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: 811-05088
THE AB PORTFOLIOS
(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: August 31, 2022
Date of reporting period: February 28, 2022
ITEM 1. REPORTS TO STOCKHOLDERS.
FEB 02.28.22
SEMI-ANNUAL REPORT
AB ALL MARKET TOTAL RETURN PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT 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’re pleased to provide this report for the AB All Market Total Return Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
April 5, 2022
This report provides management’s discussion of fund performance for the AB All Market Total Return Portfolio for the semi-annual reporting period ended February 28, 2022.
The Fund’s investment objective is to achieve the highest total return consistent with the Adviser’s determination of reasonable risk.
NAV RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB ALL MARKET TOTAL RETURN PORTFOLIO | ||||||||
Class A Shares | -6.93% | 4.65% | ||||||
Class C Shares | -7.25% | 3.87% | ||||||
Advisor Class Shares1 | -6.74% | 4.92% | ||||||
Class R Shares1 | -7.12% | 4.18% | ||||||
Class K Shares1 | -6.96% | 4.54% | ||||||
Class I Shares1 | -6.78% | 4.93% | ||||||
Primary Benchmark: MSCI ACWI (net) | -5.26% | 7.81% | ||||||
Bloomberg Global Aggregate Bond Index (USD hedged) | -3.76% | -2.19% |
1 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its primary benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) (net), and the Bloomberg Global Aggregate Bond Index (USD hedged) for the six- and 12-month periods ended February 28, 2022.
All share classes of the Fund underperformed the primary benchmark and the Bloomberg Global Aggregate Bond Index (USD hedged) for the six-month period, before sales charges. Overall allocation within fixed-income assets detracted, while allocation within equities and diversifiers contributed to absolute performance. Security selection within equities was negative, while selection within fixed income and alternative strategies was positive.
During the 12-month period, all share classes of the Fund underperformed the primary benchmark and outperformed the Bloomberg Global
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Aggregate Bond Index (USD hedged), before sales charges. Overall allocation within fixed income was negative, while allocation within equities and alternative strategies was positive. Security selection within equities detracted, while selection within fixed income and diversifiers contributed.
The Fund utilized derivatives for hedging and investment purposes in the form of credit default swaps, total return swaps, variance swaps and written swaptions, which contributed to absolute performance for both periods; futures, inflation Consumer Price Index swaps and purchased swaptions detracted for both periods; currency forwards and interest rate swaps detracted for the six-month period, but contributed for the 12-month period.
MARKET REVIEW AND INVESTMENT STRATEGY
US, international and emerging-market equities lost ground during the six-month period ended February 28, 2022. Accommodative monetary policy continued to support an accelerating economic recovery, but—despite generally strong corporate earnings and economic data—equity markets experienced a dramatic increase in volatility later in the period. Persistent high inflation and tightening monetary policy, especially in the US, dampened investor sentiment. The situation was exacerbated by Russia’s invasion of Ukraine in late February, which triggered both the imposition of severe economic sanctions on Russia and a general flight to safe haven assets, including the US dollar and US government bonds. Equity markets recovered some ground late in the month, on speculation that the Russia/Ukraine war might prompt the US Federal Reserve to slow the normalization of monetary policy, but the fear of stalling economic growth weighed on equity prices. Against a backdrop of rising interest rates, value-oriented stocks outperformed growth-oriented stocks, which ended in negative territory. Both large- and small-cap stocks declined, but large-cap stocks outperformed small-cap stocks by a wide margin.
Fixed-income government bond market yields rose on inflation concerns, leading bond prices to fall in all regions. Central banks became more hawkish about raising interest rates, causing short-term yields to rise faster than longer maturities in many markets. Global inflation-linked bonds led relative returns by falling the least versus treasuries. Investor demand for higher-yielding assets led high-yield corporate bonds in developed markets to perform similarly to global treasuries in the risk-off environment, while high-yield corporates in the US outperformed US Treasuries. Investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, underperformed government bonds, particularly in the US. Emerging-market sovereign, corporate and local-currency bonds trailed as the US dollar gained on all major developed-market currencies and most emerging-market currencies. Brent crude oil prices rose sharply, while copper and gold had modest gains.
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The Fund’s Senior Investment Management Team (the “Team”) strives to provide the highest total return consistent with reasonable risk. The Team’s global multi-asset strategy focuses on growth and defensively managing market volatility. The Team utilizes a rigorous quantitative research toolset with fundamental expertise across all regions and markets.
INVESTMENT POLICIES
The Adviser allocates the Fund’s investments primarily among a number of asset classes, including equity securities, fixed-income securities, and a number of alternative asset classes and alternative investment strategies. The Fund pursues a global strategy, typically investing in securities of issuers located in the United States and in other countries throughout the world, including emerging-market countries. Under normal circumstances, at least 40% of the Fund’s net assets will be invested in securities of non-US issuers.
The Fund’s investments in equity securities of issuers consist primarily of securities of large-capitalization companies, but include securities of small- and mid-capitalization companies to a lesser extent, and include derivatives related to equity securities. In selecting equity securities for the Fund, the Adviser uses fundamental and quantitative analysis with the goal of generating returns primarily from security selection rather than price movements in equity securities generally. Fixed-income securities include corporate and sovereign debt securities as well as interest rate derivatives and credit derivatives such as credit default swaps. Fixed-income securities also include debt securities with lower credit ratings (commonly known as “junk bonds”). In selecting fixed-income securities for the Fund, the Adviser attempts to take advantage of inefficiencies that it believes exist in the global fixed-income markets. These inefficiencies arise from investor behavior, market complexity and the investment limitations to which investors are subject.
Alternative investments include various instruments, the returns on which are expected to have low correlation with returns on equity and fixed-income securities, such as commodities and related derivatives, real estate-related securities and inflation-indexed securities. Alternative investment strategies that may be pursued by the Fund directly or indirectly through investment in other registered investment companies include (i) long/short equity strategies through which the Fund takes long positions in certain securities in the expectation that they will increase in value and takes short positions in other securities in the expectation that they will decrease in value; (ii) strategies that consider macroeconomic and technical factors to identify and exploit opportunities across global asset classes; and (iii) event-driven strategies that
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invest in the securities of companies that are expected to become the subject of major corporate events and companies in which an active role in company management has been taken or sought by a third-party investor.
The Adviser adjusts the Fund’s asset class exposure utilizing both fundamental analysis and the Adviser’s Dynamic Asset Allocation (“DAA”) approach. DAA comprises a series of analytical and forecasting tools employed by the Adviser to gauge fluctuations in the risk/return profile of various asset classes. DAA seeks to adjust the Fund’s investment exposure in changing market conditions and thereby reduce overall portfolio volatility by mitigating the effects of market fluctuations, while preserving consistent long-term return potential. For example, the Adviser may seek to reduce the Fund’s risk exposure to one or more asset classes when DAA suggests that market risks relevant to those asset classes are rising but return opportunities are declining. In addition to merely increasing or decreasing asset class exposure by buying or selling securities of that asset class, the Adviser may pursue DAA implementation for the Fund by utilizing derivatives.
The Adviser intends to utilize a variety of derivatives in its management of the Fund. As noted above, the Adviser may use derivatives to gain exposure to various asset classes, and may cause the Fund to enter into derivatives in making the adjustments called for by DAA. As a result of the use of derivatives, the Fund will frequently be leveraged, with net investment exposure substantially in excess of net assets.
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 seeks to gain such exposure to commodities and commodities-related instruments and derivatives primarily through investments in AB All Market Total Return Portfolio (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 is 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.
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Currency exchange rate fluctuations can have a dramatic impact on returns. The Fund’s foreign currency exposures will come from investment in securities priced or denominated in foreign currencies and from direct holdings in foreign currencies and currency-related derivatives. The Adviser may seek to hedge all or a portion of the currency exposure resulting from Fund investments or decide not to hedge this exposure. The Adviser may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. The Bloomberg Global Aggregate Bond Index (USD hedged) represents the performance of global investment-grade developed fixed-income markets, hedged to the US dollar. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Allocation Risk: The allocation of investments among different investment styles, such as equity or debt, growth or value, US or non-US securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value (“NAV”) when one of these investments is performing more poorly than another.
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. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
High-Yield Debt Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a
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DISCLOSURES AND RISKS (continued)
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.
Interest-Rate Risk: Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Emerging-Market 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.
Alternative Investments Risk: Many alternative investments can be volatile and may be illiquid. Their performance may have little correlation with the performance of equity or fixed-income markets, and they may not perform in accordance with expectations.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for
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DISCLOSURES AND RISKS (continued)
the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Commodity Risk: Investing in commodities and commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by 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.
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 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.
Short Sale Risk: The Fund is subject to short sale risk because it may engage in short sales either directly or indirectly through investment in the Underlying Portfolio. Short sales involve the risk that the Fund or Underlying Portfolio will incur a loss by subsequently buying a security at a higher price than the price at which it sold the security. The amount of such loss is theoretically unlimited, as it will be based on the increase in value of the security sold short. In contrast, the risk of loss from a long position is limited to the Fund’s or Underlying Portfolio’s investment in the security, because the price of the security cannot fall below zero. The Fund or Underlying Portfolio may not always be able to close out a short position on favorable terms.
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DISCLOSURES AND RISKS (continued)
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate as the prices of the individual securities in which it invests fluctuate, so that your 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. The performance shown for periods prior to April 24, 2017, is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 4.65% | 0.19% | ||||||
5 Years | 5.33% | 4.42% | ||||||
10 Years | 5.57% | 5.11% | ||||||
CLASS C SHARES | ||||||||
1 Year | 3.87% | 2.93% | ||||||
5 Years | 4.54% | 4.54% | ||||||
10 Years1 | 4.80% | 4.80% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 4.92% | 4.92% | ||||||
5 Years | 5.59% | 5.59% | ||||||
10 Years | 5.86% | 5.86% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | 4.18% | 4.18% | ||||||
5 Years | 4.88% | 4.88% | ||||||
10 Years | 5.15% | 5.15% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | 4.54% | 4.54% | ||||||
5 Years | 5.21% | 5.21% | ||||||
10 Years | 5.48% | 5.48% | ||||||
CLASS I SHARES2 | ||||||||
1 Year | 4.93% | 4.93% | ||||||
5 Years | 5.58% | 5.58% | ||||||
10 Years | 5.84% | 5.84% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.07%, 1.82%, 0.81%, 1.49%, 1.18% and 0.85% for Class A, 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 C shares into Class A shares after eight years. |
2 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -1.39% | |||
5 Years | 4.29% | |||
10 Years | 5.05% | |||
CLASS C SHARES | ||||
1 Year | 1.27% | |||
5 Years | 4.40% | |||
10 Years1 | 4.73% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 3.21% | |||
5 Years | 5.45% | |||
10 Years | 5.78% | |||
CLASS R SHARES2 | ||||
1 Year | 2.51% | |||
5 Years | 4.75% | |||
10 Years | 5.08% | |||
CLASS K SHARES2 | ||||
1 Year | 2.81% | |||
5 Years | 5.08% | |||
10 Years | 5.41% | |||
CLASS I SHARES2 | ||||
1 Year | 3.17% | |||
5 Years | 5.43% | |||
10 Years | 5.76% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 930.70 | $ | 4.83 | 1.01 | % | $ | 4.93 | 1.03 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.79 | $ | 5.06 | 1.01 | % | $ | 5.16 | 1.03 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 927.50 | $ | 8.46 | 1.77 | % | $ | 8.55 | 1.79 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,016.02 | $ | 8.85 | 1.77 | % | $ | 8.95 | 1.79 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 932.60 | $ | 3.64 | 0.76 | % | $ | 3.74 | 0.78 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.03 | $ | 3.81 | 0.76 | % | $ | 3.91 | 0.78 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 928.80 | $ | 6.84 | 1.43 | % | $ | 6.93 | 1.45 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.70 | $ | 7.15 | 1.43 | % | $ | 7.25 | 1.45 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 930.40 | $ | 5.36 | 1.12 | % | $ | 5.46 | 1.14 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.24 | $ | 5.61 | 1.12 | % | $ | 5.71 | 1.14 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 932.20 | $ | 3.78 | 0.79 | % | $ | 3.88 | 0.81 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.88 | $ | 3.96 | 0.79 | % | $ | 4.06 | 0.81 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 181/365 (to reflect the one-half year period). |
14 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
PORTFOLIO SUMMARY
February 28, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $604.5
1 | All data are as of February 28, 2022. The Fund’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” security type weightings represent 0.1% or less in the following types: Asset-Backed Securities, Mortgage Pass-Throughs, Options Purchased–Calls and Warrants. |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 15 |
PORTFOLIO SUMMARY (continued)
February 28, 2022 (unaudited)
1 | All data are as of February 28, 2022. The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.7% or less in the following: Angola, Argentina, Australia, Austria, Bahrain, Belgium, Bermuda, Brazil, Colombia, Costa Rica, Denmark, Dominican Republic, Ecuador, Egypt, El Salvador, Finland, Gabon, Ghana, Guatemala, Honduras, Hong Kong, India, Indonesia, Israel, Italy, Ivory Coast, Jamaica, Jersey (Channel Islands), Kenya, Lebanon, Macau, Mexico, Nigeria, Norway, Oman, Pakistan, Panama, Peru, Philippines, Russia, Senegal, Singapore, South Africa, Spain, Turkey, Ukraine, United Arab Emirates, Venezuela and Zambia. |
16 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS
February 28, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
COMMON STOCKS – 70.1% | ||||||||||||
Information Technology – 18.4% | ||||||||||||
Communications Equipment – 0.3% |
| |||||||||||
Calix, Inc.(a) | 11,954 | $ | 649,580 | |||||||||
Lumentum Holdings, Inc.(a) | 9,370 | 926,318 | ||||||||||
Telefonaktiebolaget LM Ericsson – Class B | 36,972 | 340,213 | ||||||||||
|
| |||||||||||
1,916,111 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components – 2.4% | ||||||||||||
Amphenol Corp. – Class A | 36,158 | 2,748,370 | ||||||||||
Arrow Electronics, Inc.(a) | 3,562 | 434,137 | ||||||||||
CDW Corp./DE | 21,814 | 3,762,042 | ||||||||||
Coherent, Inc.(a) | 11,386 | 3,009,547 | ||||||||||
Flex Ltd.(a) | 45,270 | 746,502 | ||||||||||
IPG Photonics Corp.(a) | 3,143 | 409,690 | ||||||||||
LG Innotek Co., Ltd. | 1,880 | 518,979 | ||||||||||
Rogers Corp.(a) | 9,512 | 2,596,776 | ||||||||||
Synnex Technology International Corp. | 87,000 | 225,240 | ||||||||||
WPG Holdings Ltd. | 66,000 | 131,717 | ||||||||||
|
| |||||||||||
14,583,000 | ||||||||||||
|
| |||||||||||
IT Services – 4.8% | ||||||||||||
Akamai Technologies, Inc.(a) | 14,518 | 1,571,719 | ||||||||||
Automatic Data Processing, Inc. | 20,319 | 4,154,016 | ||||||||||
Block, Inc. – Class A(a) | 3,810 | 485,775 | ||||||||||
Capgemini SE | 4,150 | 868,717 | ||||||||||
Cognizant Technology Solutions Corp. – Class A | 29,328 | 2,526,021 | ||||||||||
Computershare Ltd. | 8,160 | 128,931 | ||||||||||
Fidelity National Information Services, Inc. | 6,997 | 666,324 | ||||||||||
Gartner, Inc.(a) | 1,335 | 374,361 | ||||||||||
Genpact Ltd. | 6,940 | 290,370 | ||||||||||
GoDaddy, Inc. – Class A(a) | 5,903 | 492,369 | ||||||||||
GreenSky, Inc.(a) | 162,812 | 1,611,839 | ||||||||||
Kyndryl Holdings, Inc.(a) | 987 | 15,654 | ||||||||||
Mastercard, Inc. – Class A | 18,493 | 6,672,644 | ||||||||||
MoneyGram International, Inc.(a) | 68,309 | 733,639 | ||||||||||
NEC Corp. | 5,800 | 250,941 | ||||||||||
Network International Holdings PLC(a)(b) | 4,745 | 14,285 | ||||||||||
Nomura Research Institute Ltd. | 8,400 | 294,863 | ||||||||||
Paychex, Inc. | 10,622 | 1,264,655 | ||||||||||
PayPal Holdings, Inc.(a) | 19,093 | 2,137,079 | ||||||||||
Visa, Inc. – Class A | 19,964 | 4,314,620 | ||||||||||
|
| |||||||||||
28,868,822 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 17 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Semiconductors & Semiconductor Equipment – 3.4% | ||||||||||||
Advanced Micro Devices, Inc.(a) | 6,617 | $ | 816,141 | |||||||||
Analog Devices, Inc. | 2,910 | 466,444 | ||||||||||
Applied Materials, Inc. | 13,835 | 1,856,657 | ||||||||||
ASML Holding NV | 770 | 515,148 | ||||||||||
Broadcom, Inc. | 2,027 | 1,190,741 | ||||||||||
CMC Materials, Inc. | 12,523 | 2,322,140 | ||||||||||
Infineon Technologies AG | 30,285 | 1,024,720 | ||||||||||
KLA Corp. | 2,811 | 979,633 | ||||||||||
Lam Research Corp. | 490 | 275,062 | ||||||||||
MediaTek, Inc. | 30,000 | 1,185,475 | ||||||||||
Micron Technology, Inc. | 7,468 | 663,606 | ||||||||||
NeoPhotonics Corp.(a) | 112,947 | 1,729,219 | ||||||||||
Novatek Microelectronics Corp. | 37,000 | 613,403 | ||||||||||
NVIDIA Corp. | 1,766 | 430,639 | ||||||||||
NXP Semiconductors NV | 3,180 | 604,582 | ||||||||||
QUALCOMM, Inc. | 4,848 | 833,808 | ||||||||||
Realtek Semiconductor Corp. | 16,000 | 263,807 | ||||||||||
STMicroelectronics NV | 9,780 | 410,545 | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 75,000 | 1,612,466 | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 4,440 | 475,124 | ||||||||||
Texas Instruments, Inc. | 2,425 | 412,226 | ||||||||||
Tower Semiconductor Ltd.(a) | 34,634 | 1,622,603 | ||||||||||
Wolfspeed, Inc.(a) | 3,370 | 346,166 | ||||||||||
|
| |||||||||||
20,650,355 | ||||||||||||
|
| |||||||||||
Software – 5.9% | ||||||||||||
Adobe, Inc.(a) | 2,465 | 1,152,831 | ||||||||||
Autodesk, Inc.(a) | 660 | 145,352 | ||||||||||
Avaya Holdings Corp.(a) | 2,217 | 30,528 | ||||||||||
Blue Prism Group PLC(a) | 883 | 15,068 | ||||||||||
Citrix Systems, Inc. | 10,701 | 1,096,852 | ||||||||||
Constellation Software, Inc./Canada | 620 | 1,044,907 | ||||||||||
Dassault Systemes SE | 13,800 | 665,660 | ||||||||||
Dropbox, Inc. – Class A(a) | 21,016 | 476,853 | ||||||||||
Fair Isaac Corp.(a) | 972 | 457,997 | ||||||||||
Fortinet, Inc.(a) | 1,794 | 618,069 | ||||||||||
McAfee Corp. | 37,028 | 962,358 | ||||||||||
Microsoft Corp. | 59,507 | 17,780,395 | ||||||||||
Mimecast Ltd.(a) | 10,109 | 803,969 | ||||||||||
Momentive Global, Inc.(a) | 21,596 | 339,489 | ||||||||||
Monitronics International, Inc.(a) | 4,469 | 11,172 | ||||||||||
NortonLifeLock, Inc. | 48,846 | 1,415,529 | ||||||||||
Nuance Communications, Inc.(a) | 49,761 | 2,762,731 | ||||||||||
Oracle Corp. | 24,657 | 1,873,192 |
18 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Oracle Corp./Japan | 6,700 | $ | 478,552 | |||||||||
PTC, Inc.(a) | 3,410 | 379,465 | ||||||||||
Sage Group PLC (The) | 9,510 | 89,218 | ||||||||||
SAP SE | 10,686 | 1,205,423 | ||||||||||
ServiceNow, Inc.(a) | 1,272 | 737,658 | ||||||||||
VMware, Inc. – Class A | 12,058 | 1,414,644 | ||||||||||
|
| |||||||||||
35,957,912 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals – 1.6% | ||||||||||||
Apple, Inc. | 34,693 | 5,728,508 | ||||||||||
NetApp, Inc. | 6,798 | 532,827 | ||||||||||
Ricoh Co., Ltd. | 5,000 | 42,654 | ||||||||||
Samsung Electronics Co., Ltd. | 53,542 | 3,226,087 | ||||||||||
|
| |||||||||||
9,530,076 | ||||||||||||
|
| |||||||||||
111,506,276 | ||||||||||||
|
| |||||||||||
Financials – 11.4% | ||||||||||||
Banks – 4.9% | ||||||||||||
ABN AMRO Bank NV (GDR) | 39,802 | 529,654 | ||||||||||
Akbank TAS | 708,340 | 361,556 | ||||||||||
Atlantic Capital Bancshares, Inc.(a) | 18,207 | 588,814 | ||||||||||
Banco Santander SA | 136,145 | 453,365 | ||||||||||
Bank Leumi Le-Israel BM | 103,801 | 1,124,468 | ||||||||||
Bank of America Corp. | 1,150 | 50,830 | ||||||||||
Bank of Jiangsu Co., Ltd. | 120,067 | 126,862 | ||||||||||
Bank of Nova Scotia (The) | 8,141 | 589,942 | ||||||||||
BNP Paribas SA | 7,689 | 446,151 | ||||||||||
China CITIC Bank Corp., Ltd. – Class H | 212,000 | 99,622 | ||||||||||
China Merchants Bank Co., Ltd. – Class H | 22,500 | 189,659 | ||||||||||
Citigroup, Inc. | 12,939 | 766,377 | ||||||||||
Commonwealth Bank of Australia | 6,575 | 446,071 | ||||||||||
DBS Group Holdings Ltd. | 32,100 | 806,998 | ||||||||||
Erste Group Bank AG | 20,350 | 723,378 | ||||||||||
FinecoBank Banca Fineco SpA | 6,600 | 109,994 | ||||||||||
First Horizon Corp. | 83,378 | 1,957,715 | ||||||||||
HDFC Bank Ltd. (ADR) | 8,540 | 530,932 | ||||||||||
Huaxia Bank Co., Ltd. | 283,300 | 253,114 | ||||||||||
ING Groep NV | 39,552 | 461,908 | ||||||||||
Investors Bancorp, Inc. | 166,018 | 2,779,141 | ||||||||||
JPMorgan Chase & Co. | 7,244 | 1,027,199 | ||||||||||
Jyske Bank A/S(a) | 5,464 | 296,223 | ||||||||||
KB Financial Group, Inc. | 6,410 | 316,234 | ||||||||||
KBC Group NV | 4,080 | 293,951 | ||||||||||
KeyCorp | 17,521 | 439,252 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 229,600 | 1,409,511 | ||||||||||
National Bank of Canada | 8,692 | 696,937 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 19 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Nordea Bank Abp | 42,313 | $ | 468,131 | |||||||||
Oversea-Chinese Banking Corp. Ltd. | 107,900 | 934,999 | ||||||||||
People’s United Financial, Inc. | 132,639 | 2,796,030 | ||||||||||
Regions Financial Corp. | 9,420 | 227,870 | ||||||||||
Royal Bank of Canada | 11,280 | 1,247,786 | ||||||||||
Societe Generale SA | 14,052 | 397,356 | ||||||||||
SVB Financial Group(a) | 1,650 | 999,900 | ||||||||||
Toronto-Dominion Bank (The) | 9,887 | 797,824 | ||||||||||
TriState Capital Holdings, Inc.(a) | 52,306 | 1,736,559 | ||||||||||
Turkiye Is Bankasi AS – Class C | 319,760 | 185,147 | ||||||||||
Umpqua Holdings Corp. | 68,486 | 1,462,176 | ||||||||||
UniCredit SpA | 24,220 | 306,008 | ||||||||||
US Bancorp | 6,550 | 370,337 | ||||||||||
|
| |||||||||||
29,805,981 | ||||||||||||
|
| |||||||||||
Capital Markets – 4.0% | ||||||||||||
Ameriprise Financial, Inc. | 2,234 | 669,731 | ||||||||||
BlackRock, Inc. – Class A | 1,595 | 1,186,505 | ||||||||||
Charles Schwab Corp. (The) | 58,078 | 4,905,268 | ||||||||||
CME Group, Inc. – Class A | 3,400 | 804,202 | ||||||||||
Credit Suisse Group AG | 202,230 | 1,694,102 | ||||||||||
Deutsche Bank AG(a) | 24,370 | 300,842 | ||||||||||
Deutsche Boerse AG | 2,400 | 408,534 | ||||||||||
Goldman Sachs Group, Inc. (The) | 8,059 | 2,750,115 | ||||||||||
Houlihan Lokey, Inc. | 7,279 | 748,718 | ||||||||||
Julius Baer Group Ltd. | 24,444 | 1,431,353 | ||||||||||
Korea Investment Holdings Co., Ltd.(a) | 1,250 | 83,044 | ||||||||||
London Stock Exchange Group PLC | 13,930 | 1,216,879 | ||||||||||
Meritz Securities Co., Ltd. | 23,951 | 117,287 | ||||||||||
Moody’s Corp. | 3,575 | 1,151,257 | ||||||||||
MSCI, Inc. – Class A | 1,550 | 777,620 | ||||||||||
Partners Group Holding AG | 1,030 | 1,392,342 | ||||||||||
S&P Global, Inc. | 9,254 | 3,476,694 | ||||||||||
Samsung Securities Co., Ltd. | 1,060 | 37,568 | ||||||||||
Singapore Exchange Ltd. | 56,400 | 391,291 | ||||||||||
UBS Group AG | 27,183 | 500,079 | ||||||||||
|
| |||||||||||
24,043,431 | ||||||||||||
|
| |||||||||||
Consumer Finance – 0.2% | ||||||||||||
Ally Financial, Inc. | 12,067 | 602,143 | ||||||||||
American Express Co. | 4,694 | 913,171 | ||||||||||
|
| |||||||||||
1,515,314 | ||||||||||||
|
| |||||||||||
Diversified Financial Services – 0.2% | ||||||||||||
Berkshire Hathaway, Inc. – Class B(a) | 193 | 62,040 | ||||||||||
Chailease Holding Co., Ltd. | 13,000 | 117,981 | ||||||||||
Far East Horizon Ltd.(c) | 264,000 | 224,994 | ||||||||||
Fubon Financial Holding Co., Ltd. | 10,000 | 27,001 | ||||||||||
Groupe Bruxelles Lambert SA | 4,741 | 492,288 |
20 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Investor AB | 17,658 | $ | 390,462 | |||||||||
|
| |||||||||||
1,314,766 | ||||||||||||
|
| |||||||||||
Insurance – 1.6% | ||||||||||||
Admiral Group PLC | 1,106 | 44,058 | ||||||||||
Aflac, Inc. | 8,900 | 543,701 | ||||||||||
AIA Group Ltd. | 38,400 | 398,740 | ||||||||||
American Financial Group, Inc./OH | 1,130 | 152,991 | ||||||||||
American National Group, Inc. | 7,291 | 1,378,218 | ||||||||||
Arch Capital Group Ltd.(a) | 8,470 | 399,022 | ||||||||||
Aviva PLC | 45,840 | 256,859 | ||||||||||
Everest Re Group Ltd. | 530 | 158,057 | ||||||||||
Fidelity National Financial, Inc. | 10,360 | 493,550 | ||||||||||
Japan Post Holdings Co., Ltd.(a) | 56,200 | 464,532 | ||||||||||
Japan Post Insurance Co., Ltd. | 18,700 | 319,373 | ||||||||||
Manulife Financial Corp. | 20,373 | 412,764 | ||||||||||
Marsh & McLennan Cos., Inc. | 4,304 | 668,885 | ||||||||||
Medibank Pvt Ltd. | 111,665 | 257,556 | ||||||||||
MetLife, Inc. | 3,020 | 204,001 | ||||||||||
Phoenix Group Holdings PLC | 4,230 | 35,059 | ||||||||||
Poste Italiane SpA | 30,224 | 346,655 | ||||||||||
Progressive Corp. (The) | 7,440 | 788,119 | ||||||||||
Prudential Financial, Inc. | 5,650 | 630,879 | ||||||||||
Sampo Oyj – Class A | 7,050 | 332,651 | ||||||||||
State Auto Financial Corp. | 25,016 | 1,301,082 | ||||||||||
Swiss Life Holding AG | 90 | 54,916 | ||||||||||
|
| |||||||||||
9,641,668 | ||||||||||||
|
| |||||||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||||||
Flagstar Bancorp, Inc. | 61,126 | 2,786,123 | ||||||||||
|
| |||||||||||
69,107,283 | ||||||||||||
|
| |||||||||||
Health Care – 10.3% | ||||||||||||
Biotechnology – 0.5% | ||||||||||||
AbbVie, Inc. | 4,360 | 644,277 | ||||||||||
Abcam PLC(a) | 23,540 | 393,742 | ||||||||||
Arena Pharmaceuticals, Inc.(a) | 19,106 | 1,814,497 | ||||||||||
Moderna, Inc.(a) | 2,780 | 427,008 | ||||||||||
|
| |||||||||||
3,279,524 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies – 2.6% | ||||||||||||
Abbott Laboratories | 40,026 | 4,827,936 | ||||||||||
Alcon, Inc. | 7,700 | 594,883 | ||||||||||
Becton Dickinson and Co. | 3,240 | 878,947 | ||||||||||
Cooper Cos., Inc. (The) | 5,315 | 2,173,941 | ||||||||||
Getinge AB – Class B | 8,805 | 341,762 | ||||||||||
Hologic, Inc.(a) | 7,650 | 544,451 | ||||||||||
IDEXX Laboratories, Inc.(a) | 1,028 | 547,256 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 21 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Koninklijke Philips NV | 56,330 | $ | 1,924,158 | |||||||||
Medtronic PLC | 18,763 | 1,969,927 | ||||||||||
Ortho Clinical Diagnostics Holdings PLC(a) | 54,936 | 971,818 | ||||||||||
STERIS PLC | 3,130 | 751,200 | ||||||||||
|
| |||||||||||
15,526,279 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services – 1.6% | ||||||||||||
AmerisourceBergen Corp. – Class A | 3,570 | 508,832 | ||||||||||
Anthem, Inc. | 10,531 | 4,758,432 | ||||||||||
Apria, Inc.(a) | 24,697 | 922,186 | ||||||||||
Centene Corp.(a) | 6,678 | 551,736 | ||||||||||
Laboratory Corp. of America Holdings(a) | 2,026 | 549,573 | ||||||||||
Molina Healthcare, Inc.(a) | 1,980 | 607,603 | ||||||||||
Quest Diagnostics, Inc. | 2,270 | 297,983 | ||||||||||
Sinopharm Group Co., Ltd. – Class H | 50,000 | 121,209 | ||||||||||
UnitedHealth Group, Inc. | 3,153 | 1,500,418 | ||||||||||
|
| |||||||||||
9,817,972 | ||||||||||||
|
| |||||||||||
Health Care Technology – 0.8% | ||||||||||||
Cerner Corp. | 22,622 | 2,109,501 | ||||||||||
Change Healthcare, Inc.(a) | 119,773 | 2,565,538 | ||||||||||
|
| |||||||||||
4,675,039 | ||||||||||||
|
| |||||||||||
Life Sciences Tools & Services – 1.7% | ||||||||||||
Bio-Rad Laboratories, Inc. – Class A(a) | 1,968 | 1,231,889 | ||||||||||
Bruker Corp. | 7,320 | 515,108 | ||||||||||
Danaher Corp. | 2,940 | 806,765 | ||||||||||
Gerresheimer AG | 4,720 | 339,347 | ||||||||||
IQVIA Holdings, Inc.(a) | 17,519 | 4,031,472 | ||||||||||
Mettler-Toledo International, Inc.(a) | 450 | 633,933 | ||||||||||
Thermo Fisher Scientific, Inc. | 3,488 | 1,897,472 | ||||||||||
Waters Corp.(a) | 1,850 | 585,951 | ||||||||||
West Pharmaceutical Services, Inc. | 870 | 336,760 | ||||||||||
|
| |||||||||||
10,378,697 | ||||||||||||
|
| |||||||||||
Pharmaceuticals – 3.1% | ||||||||||||
AstraZeneca PLC (Sponsored ADR) | 15,939 | 970,366 | ||||||||||
BioDelivery Sciences International, Inc.(a) | 7,996 | 44,618 | ||||||||||
China Traditional Chinese Medicine Co., Ltd. | 292,000 | 166,457 | ||||||||||
CSPC Pharmaceutical Group Ltd. | 200,000 | 237,073 | ||||||||||
Eli Lilly & Co. | 1,620 | 404,919 | ||||||||||
Intersect ENT, Inc.(a) | 67,070 | 1,824,304 | ||||||||||
Johnson & Johnson | 2,905 | 478,076 | ||||||||||
Merck & Co., Inc. | 9,812 | 751,403 | ||||||||||
Novo Nordisk A/S – Class B | 14,125 | 1,461,703 | ||||||||||
Pfizer, Inc. | 17,526 | 822,670 |
22 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Roche Holding AG | 9,390 | $ | 3,556,306 | |||||||||
Sanofi | 21,107 | 2,206,368 | ||||||||||
Sino Biopharmaceutical Ltd. | 144,000 | 91,925 | ||||||||||
Sumitomo Dainippon Pharma Co., Ltd.(c) | 13,300 | 145,963 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 17,600 | 536,629 | ||||||||||
Vifor Pharma AG | 8,683 | 1,467,427 | ||||||||||
Zoetis, Inc. | 17,902 | 3,466,722 | ||||||||||
|
| |||||||||||
18,632,929 | ||||||||||||
|
| |||||||||||
62,310,440 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 7.5% | ||||||||||||
Auto Components – 1.1% | ||||||||||||
Aptiv PLC(a) | 28,862 | 3,735,897 | ||||||||||
ATD New Holdings, Inc.(a)(d) | 2,609 | 216,983 | ||||||||||
Energy Technology(a)(d)(e) | 13 | 17,225 | ||||||||||
Veoneer, Inc.(a) | 73,159 | 2,593,486 | ||||||||||
|
| |||||||||||
6,563,591 | ||||||||||||
|
| |||||||||||
Automobiles – 0.4% | ||||||||||||
BYD Co., Ltd. – Class H | 19,500 | 604,253 | ||||||||||
Li Auto, Inc. (ADR)(a) | 4,400 | 133,980 | ||||||||||
Tesla, Inc.(a) | 1,707 | 1,485,824 | ||||||||||
XPeng, Inc. (ADR)(a) | 11,085 | 403,162 | ||||||||||
|
| |||||||||||
2,627,219 | ||||||||||||
|
| |||||||||||
Distributors – 0.1% | ||||||||||||
Genuine Parts Co. | 3,010 | 367,702 | ||||||||||
|
| |||||||||||
Diversified Consumer Services – 0.4% | ||||||||||||
Houghton Mifflin Harcourt Co.(a) | 32,923 | 689,737 | ||||||||||
Service Corp. International/US | 16,578 | 1,008,771 | ||||||||||
Terminix Global Holdings, Inc.(a) | 16,548 | 704,283 | ||||||||||
|
| |||||||||||
2,402,791 | ||||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure – 0.8% | ||||||||||||
Aristocrat Leisure Ltd. | 6,010 | 164,854 | ||||||||||
Caesars Entertainment, Inc.(a) | 367 | 30,898 | ||||||||||
Compass Group PLC | 42,712 | 965,422 | ||||||||||
Domino’s Pizza, Inc. | 1,240 | 535,940 | ||||||||||
Galaxy Entertainment Group Ltd.(a) | 268,800 | 1,499,160 | ||||||||||
Golden Nugget Online Gaming, Inc.(a) | 27,143 | 233,430 | ||||||||||
MGM Resorts International | 11,390 | 504,463 | ||||||||||
Shenzhen Overseas Chinese Town Co., Ltd. | 474,000 | 519,028 | ||||||||||
Starbucks Corp. | 7,184 | 659,419 | ||||||||||
|
| |||||||||||
5,112,614 | ||||||||||||
|
| |||||||||||
Household Durables – 0.4% | ||||||||||||
Electrolux AB(c) | 7,260 | 129,992 | ||||||||||
PulteGroup, Inc. | 10,690 | 530,865 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 23 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Sony Group Corp. | 3,200 | $ | 326,951 | |||||||||
TopBuild Corp.(a) | 3,150 | 676,242 | ||||||||||
Whirlpool Corp. | 2,570 | 517,264 | ||||||||||
|
| |||||||||||
2,181,314 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail – 2.1% | ||||||||||||
Alibaba Group Holding Ltd.(a) | 13,200 | 173,763 | ||||||||||
Alibaba Group Holding Ltd. (ADR)(a) | 10,383 | 1,092,188 | ||||||||||
Amazon.com, Inc.(a) | 2,873 | 8,823,730 | ||||||||||
eBay, Inc. | 5,850 | 319,351 | ||||||||||
Prosus NV(a)(c) | 29,388 | 1,824,455 | ||||||||||
ZOZO, Inc. | 8,500 | 242,041 | ||||||||||
|
| |||||||||||
12,475,528 | ||||||||||||
|
| |||||||||||
Leisure Products – 0.0% | ||||||||||||
CWT Travel Equity(d) | 1,901 | 60,594 | ||||||||||
|
| |||||||||||
Media – 0.0% | ||||||||||||
Charter Communications, Inc. – Class A(a) | 193 | 116,144 | ||||||||||
|
| |||||||||||
Multiline Retail – 0.1% | ||||||||||||
Cie Financiere Richemont SA | 4,416 | 591,331 | ||||||||||
|
| |||||||||||
Specialty Retail – 1.0% | ||||||||||||
AutoZone, Inc.(a) | 850 | 1,583,882 | ||||||||||
Home Depot, Inc. (The) | 2,884 | 910,854 | ||||||||||
O’Reilly Automotive, Inc.(a) | 710 | 460,960 | ||||||||||
TJX Cos., Inc. (The) | 42,139 | 2,785,388 | ||||||||||
Topsports International Holdings Ltd.(b) | 50,000 | 51,976 | ||||||||||
|
| |||||||||||
5,793,060 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods – 1.1% |
| |||||||||||
adidas AG | 2,113 | 499,601 | ||||||||||
Deckers Outdoor Corp.(a) | 1,101 | 317,793 | ||||||||||
Kering SA | 763 | 529,242 | ||||||||||
NIKE, Inc. – Class B | 37,442 | 5,112,705 | ||||||||||
Pandora A/S | 2,756 | 282,207 | ||||||||||
|
| |||||||||||
6,741,548 | ||||||||||||
|
| |||||||||||
45,033,436 | ||||||||||||
|
| |||||||||||
Industrials – 6.4% | ||||||||||||
Aerospace & Defense – 0.2% | ||||||||||||
Hexcel Corp. | 9,330 | 540,207 | ||||||||||
Huntington Ingalls Industries, Inc. | 2,504 | 511,818 | ||||||||||
|
| |||||||||||
1,052,025 | ||||||||||||
|
| |||||||||||
Air Freight & Logistics – 0.2% | ||||||||||||
FedEx Corp. | 930 | 206,711 |
24 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Hyundai Glovis Co., Ltd. | 1,410 | $ | 207,997 | |||||||||
United Parcel Service, Inc. – Class B | 3,280 | 690,177 | ||||||||||
|
| |||||||||||
1,104,885 | ||||||||||||
|
| |||||||||||
Airlines – 0.1% | ||||||||||||
China Southern Airlines Co., Ltd.(a) | 225,600 | 247,929 | ||||||||||
Korean Air Lines Co., Ltd.(a) | 7,790 | 191,922 | ||||||||||
Spirit Airlines, Inc.(a) | 17,760 | 445,421 | ||||||||||
|
| |||||||||||
885,272 | ||||||||||||
|
| |||||||||||
Building Products – 0.8% | ||||||||||||
Assa Abloy AB – Class B | 22,870 | 600,285 | ||||||||||
Otis Worldwide Corp. | 38,916 | 3,048,290 | ||||||||||
Owens Corning | 4,770 | 444,516 | ||||||||||
Trex Co., Inc.(a) | 5,960 | 547,367 | ||||||||||
|
| |||||||||||
4,640,458 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies – 1.1% |
| |||||||||||
Dai Nippon Printing Co., Ltd. | 2,400 | 62,651 | ||||||||||
Stericycle, Inc.(a) | 38,341 | 2,237,581 | ||||||||||
Tetra Tech, Inc. | 4,140 | 657,308 | ||||||||||
TOMRA Systems ASA | 10,560 | 496,968 | ||||||||||
TOPPAN, Inc. | 1,800 | 35,468 | ||||||||||
US Ecology, Inc.(a) | 44,587 | 2,115,207 | ||||||||||
Waste Management, Inc. | 5,950 | 859,180 | ||||||||||
|
| |||||||||||
6,464,363 | ||||||||||||
|
| |||||||||||
Construction & Engineering – 0.0% | ||||||||||||
WillScot Mobile Mini Holdings Corp.(a) | 1,235 | 43,880 | ||||||||||
|
| |||||||||||
Electrical Equipment – 0.5% | ||||||||||||
Generac Holdings, Inc.(a) | 679 | 214,204 | ||||||||||
Regal Rexnord Corp. | 2,280 | 365,598 | ||||||||||
Rockwell Automation, Inc. | 2,570 | 685,111 | ||||||||||
Schneider Electric SE | 4,550 | 704,959 | ||||||||||
Vertiv Holdings Co. | 31,799 | 414,023 | ||||||||||
Vestas Wind Systems A/S | 30,630 | 987,716 | ||||||||||
|
| |||||||||||
3,371,611 | ||||||||||||
|
| |||||||||||
Industrial Conglomerates – 0.1% | ||||||||||||
CITIC Ltd. | 283,000 | 330,239 | ||||||||||
DCC PLC | 840 | 65,918 | ||||||||||
Toshiba Corp. | 6,700 | 267,128 | ||||||||||
|
| |||||||||||
663,285 | ||||||||||||
|
| |||||||||||
Machinery – 1.8% | ||||||||||||
CNH Industrial NV | 24,709 | 351,473 | ||||||||||
Deere & Co. | 2,170 | 781,244 | ||||||||||
Dover Corp. | 9,463 | 1,484,366 | ||||||||||
Meritor, Inc.(a) | 33,631 | 1,197,600 | ||||||||||
Mitsubishi Heavy Industries Ltd. | 15,500 | 457,135 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 25 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Parker-Hannifin Corp. | 5,185 | $ | 1,536,782 | |||||||||
SMC Corp. | 1,100 | 657,106 | ||||||||||
Snap-on, Inc. | 2,535 | 532,806 | ||||||||||
Volvo AB – Class B | 45,480 | 874,756 | ||||||||||
Welbilt, Inc.(a) | 114,506 | 2,706,922 | ||||||||||
Xylem, Inc./NY | 4,160 | 370,032 | ||||||||||
|
| |||||||||||
10,950,222 | ||||||||||||
|
| |||||||||||
Marine – 0.2% | ||||||||||||
AP Moller – Maersk A/S – Class B | 151 | 477,690 | ||||||||||
COSCO SHIPPING Holdings Co., Ltd. – Class H(a) | 196,000 | 396,160 | ||||||||||
SITC International Holdings Co., Ltd. | 23,000 | 94,833 | ||||||||||
|
| |||||||||||
968,683 | ||||||||||||
|
| |||||||||||
Professional Services – 0.9% | ||||||||||||
Booz Allen Hamilton Holding Corp. | 9,276 | 748,480 | ||||||||||
Intertrust NV(a)(c) | 98,405 | 2,142,058 | ||||||||||
Recruit Holdings Co., Ltd. | 9,700 | 409,439 | ||||||||||
RELX PLC | 36,690 | 1,120,488 | ||||||||||
Robert Half International, Inc. | 4,598 | 553,093 | ||||||||||
Wolters Kluwer NV | 7,820 | 796,778 | ||||||||||
|
| |||||||||||
5,770,336 | ||||||||||||
|
| |||||||||||
Road & Rail – 0.1% | ||||||||||||
Knight-Swift Transportation Holdings, Inc. | 7,330 | 399,339 | ||||||||||
TFI International, Inc. | 470 | 48,991 | ||||||||||
|
| |||||||||||
448,330 | ||||||||||||
|
| |||||||||||
Trading Companies & Distributors – 0.3% | ||||||||||||
Beijing United Information Technology Co., Ltd. | 14,200 | 266,654 | ||||||||||
Ferguson PLC | 2,780 | 423,611 | ||||||||||
United Rentals, Inc.(a) | 1,631 | 524,562 | ||||||||||
WW Grainger, Inc. | 941 | 448,913 | ||||||||||
Xiamen C & D, Inc. | 115,400 | 183,070 | ||||||||||
|
| |||||||||||
1,846,810 | ||||||||||||
|
| |||||||||||
Transportation Infrastructure – 0.1% | ||||||||||||
International Container Terminal Services, Inc. | 38,430 | 157,857 | ||||||||||
Shanghai International Port Group Co., Ltd. | 273,000 | 247,349 | ||||||||||
|
| |||||||||||
405,206 | ||||||||||||
|
| |||||||||||
38,615,366 | ||||||||||||
|
|
26 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Communication Services – 5.9% | ||||||||||||
Diversified Telecommunication Services – 1.7% | ||||||||||||
BCE, Inc. | 6,960 | $ | 365,544 | |||||||||
BT Group PLC | 114,750 | 286,312 | ||||||||||
Comcast Corp. – Class A | 53,159 | 2,485,715 | ||||||||||
LG Uplus Corp. | 9,260 | 101,715 | ||||||||||
Liberty Global PLC(a) | 11,450 | 296,211 | ||||||||||
Nippon Telegraph & Telephone Corp. | 28,800 | 827,738 | ||||||||||
Orange SA | 40,097 | 484,840 | ||||||||||
Shaw Communications, Inc. – Class B | 92,460 | 2,772,706 | ||||||||||
Telefonica SA | 95,475 | 455,981 | ||||||||||
Telstra Corp. Ltd. | 177,287 | 509,458 | ||||||||||
Vonage Holdings Corp.(a) | 91,238 | 1,853,956 | ||||||||||
|
| |||||||||||
10,440,176 | ||||||||||||
|
| |||||||||||
Entertainment – 1.3% | ||||||||||||
Activision Blizzard, Inc. | 29,788 | 2,427,722 | ||||||||||
Electronic Arts, Inc. | 19,273 | 2,507,225 | ||||||||||
NetEase, Inc. | 12,700 | 245,639 | ||||||||||
Take-Two Interactive Software, Inc.(a) | 460 | 74,520 | ||||||||||
Ubisoft Entertainment SA(a) | 5,580 | 299,183 | ||||||||||
Zynga, Inc. – Class A(a) | 277,289 | 2,517,784 | ||||||||||
|
| |||||||||||
8,072,073 | ||||||||||||
|
| |||||||||||
Interactive Media & Services – 2.4% | ||||||||||||
Alphabet, Inc. – Class A(a) | 406 | 1,096,663 | ||||||||||
Alphabet, Inc. – Class C(a) | 2,407 | 6,493,652 | ||||||||||
Auto Trader Group PLC | 69,380 | 613,602 | ||||||||||
Kakaku.com, Inc. | 13,500 | 297,012 | ||||||||||
Meta Platforms, Inc. – Class A(a) | 27,884 | 5,884,361 | ||||||||||
Tencent Holdings Ltd. | 1,800 | 97,130 | ||||||||||
|
| |||||||||||
14,482,420 | ||||||||||||
|
| |||||||||||
Media – 0.3% | ||||||||||||
Dentsu Group, Inc. | 5,200 | 207,481 | ||||||||||
DISH Network Corp. – Class A(a) | 609 | 19,464 | ||||||||||
Fox Corp. – Class A | 11,291 | 472,302 | ||||||||||
iHeartMedia, Inc. – Class A(a) | 2,453 | 52,617 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 5,440 | 200,192 | ||||||||||
Omnicom Group, Inc. | 7,265 | 609,461 | ||||||||||
Vivendi SE | 12,140 | 153,252 | ||||||||||
|
| |||||||||||
1,714,769 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||||
SK Telecom Co., Ltd. | 3,820 | 174,319 | ||||||||||
SoftBank Group Corp. | 16,700 | 749,429 | ||||||||||
|
| |||||||||||
923,748 | ||||||||||||
|
| |||||||||||
35,633,186 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 27 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Consumer Staples – 2.9% | ||||||||||||
Beverages – 1.1% | ||||||||||||
Asahi Group Holdings Ltd. | 49,439 | $ | 1,994,338 | |||||||||
Coca-Cola Co. (The) | 46,088 | 2,868,517 | ||||||||||
Constellation Brands, Inc. – Class A | 8,880 | 1,914,706 | ||||||||||
PepsiCo, Inc. | 1,630 | 266,896 | ||||||||||
|
| |||||||||||
7,044,457 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing – 0.6% | ||||||||||||
Koninklijke Ahold Delhaize NV | 35,082 | 1,079,201 | ||||||||||
Kroger Co. (The) | 12,401 | 580,367 | ||||||||||
Progenic Pharmaceuticals CVR(a)(d)(e) | 136,645 | – 0 | – | |||||||||
Southeastern Grocers, Inc.(a)(d)(e) | 8,714 | 200,422 | ||||||||||
Walgreens Boots Alliance, Inc. | 11,196 | 516,024 | ||||||||||
Walmart, Inc. | 7,840 | 1,059,654 | ||||||||||
|
| |||||||||||
3,435,668 | ||||||||||||
|
| |||||||||||
Food Products – 0.7% | ||||||||||||
Bunge Ltd. | 5,781 | 604,404 | ||||||||||
China Feihe Ltd.(b) | 25,230 | 30,106 | ||||||||||
JBS SA | 38,500 | 269,685 | ||||||||||
Nestle SA | 11,773 | 1,533,971 | ||||||||||
Salmar ASA | 8,339 | 612,702 | ||||||||||
Sanderson Farms, Inc. | 3,870 | 691,143 | ||||||||||
Tyson Foods, Inc. – Class A | 6,630 | 614,336 | ||||||||||
|
| |||||||||||
4,356,347 | ||||||||||||
|
| |||||||||||
Household Products – 0.2% | ||||||||||||
Procter & Gamble Co. (The) | 7,252 | 1,130,514 | ||||||||||
|
| |||||||||||
Tobacco – 0.3% | ||||||||||||
Altria Group, Inc. | 6,540 | 335,437 | ||||||||||
Imperial Brands PLC | 6,190 | 135,352 | ||||||||||
Philip Morris International, Inc. | 4,706 | 475,635 | ||||||||||
Swedish Match AB | 124,360 | 904,065 | ||||||||||
|
| |||||||||||
1,850,489 | ||||||||||||
|
| |||||||||||
17,817,475 | ||||||||||||
|
| |||||||||||
Materials – 2.2% | ||||||||||||
Chemicals – 1.5% | ||||||||||||
Arkema SA | 460 | 61,004 | ||||||||||
Atotech Ltd.(a) | 83,096 | 1,991,811 | ||||||||||
Braskem SA (Preference Shares) | 18,000 | 168,671 | ||||||||||
Chr Hansen Holding A/S | 5,090 | 371,083 | ||||||||||
Ferro Corp.(a) | 22,512 | 489,186 | ||||||||||
GCP Applied Technologies, Inc.(a) | 9,378 | 296,157 | ||||||||||
International Flavors & Fragrances, Inc. | 8,753 | 1,164,149 | ||||||||||
Koninklijke DSM NV | 3,390 | 636,520 | ||||||||||
Kraton Corp.(a) | 26,457 | 1,220,991 |
28 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Kumho Petrochemical Co., Ltd.(a) | 427 | $ | 57,607 | |||||||||
Linde PLC(a) | 4,031 | 1,182,050 | ||||||||||
Mitsubishi Chemical Holdings Corp. | 45,400 | 322,514 | ||||||||||
Mosaic Co. (The) | 11,871 | 622,396 | ||||||||||
Sumitomo Chemical Co., Ltd. | 69,500 | 331,809 | ||||||||||
|
| |||||||||||
8,915,948 | ||||||||||||
|
| |||||||||||
Construction Materials – 0.3% | ||||||||||||
Forterra, Inc.(a) | 80,267 | 1,891,090 | ||||||||||
|
| |||||||||||
Containers & Packaging – 0.0% | ||||||||||||
Sealed Air Corp. | 4,010 | 269,191 | ||||||||||
Westrock Co. | 16 | 725 | ||||||||||
|
| |||||||||||
269,916 | ||||||||||||
|
| |||||||||||
Metals & Mining – 0.3% | ||||||||||||
Anglo American PLC | 7,350 | 373,099 | ||||||||||
Artsonig Pty Ltd.(a)(d)(e) | 51,133 | – 0 | – | |||||||||
BHP Group Ltd. | 4,030 | 137,609 | ||||||||||
BlueScope Steel Ltd.(c) | 14,197 | 210,227 | ||||||||||
China Hongqiao Group Ltd. | 110,000 | 154,001 | ||||||||||
Fortescue Metals Group Ltd. | 33,069 | 440,556 | ||||||||||
Neenah Enterprises, Inc.(a)(d)(e) | 10,896 | – 0 | – | |||||||||
Shanxi Taigang Stainless Steel Co., Ltd. | 346,400 | 402,718 | ||||||||||
|
| |||||||||||
1,718,210 | ||||||||||||
|
| |||||||||||
Paper & Forest Products – 0.1% | ||||||||||||
Oji Holdings Corp. | 13,900 | 71,017 | ||||||||||
Verso Corp. | 9,052 | 239,969 | ||||||||||
|
| |||||||||||
310,986 | ||||||||||||
|
| |||||||||||
13,106,150 | ||||||||||||
|
| |||||||||||
Real Estate – 1.9% | ||||||||||||
Equity Real Estate Investment Trusts (REITs) – 1.5% | ||||||||||||
American Tower Corp. | 12,702 | 2,881,703 | ||||||||||
Cominar Real Estate Investment Trust | 103,745 | 957,646 | ||||||||||
CorePoint Lodging, Inc.(a) | 69,382 | 1,108,030 | ||||||||||
CyrusOne, Inc. | 11,737 | 1,060,438 | ||||||||||
Duke Realty Corp. | 12,241 | 648,773 | ||||||||||
Healthcare Trust of America, Inc. – Class A | 15,201 | 446,757 | ||||||||||
Iron Mountain, Inc. | 11,348 | 558,095 | ||||||||||
MGM Growth Properties LLC – Class A | 462 | 17,496 | ||||||||||
Nippon Building Fund, Inc. | 34 | 194,831 | ||||||||||
RioCan Real Estate Investment Trust | 5,620 | 111,380 | ||||||||||
Stockland | 91,097 | 275,650 | ||||||||||
Vornado Realty Trust | 6,540 | 283,051 | ||||||||||
Weyerhaeuser Co. | 14,637 | 569,087 | ||||||||||
|
| |||||||||||
9,112,937 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 29 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Real Estate Management & Development – 0.4% | ||||||||||||
CBRE Group, Inc. – Class A(a) | 15,558 | $ | 1,506,792 | |||||||||
Nomura Real Estate Holdings, Inc. | 10,000 | 248,986 | ||||||||||
Vonovia SE | 5,898 | 313,084 | ||||||||||
|
| |||||||||||
2,068,862 | ||||||||||||
|
| |||||||||||
11,181,799 | ||||||||||||
|
| |||||||||||
Energy – 1.7% | ||||||||||||
Energy Equipment & Services – 0.2% | ||||||||||||
Baker Hughes Co. – Class A | 14,840 | 435,999 | ||||||||||
Halliburton Co. | 16,297 | 546,439 | ||||||||||
|
| |||||||||||
982,438 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels – 1.5% | ||||||||||||
Battalion Oil Corp.(a) | 1 | 19 | ||||||||||
Berry Corp. | 9,850 | 98,500 | ||||||||||
BP PLC | 111,581 | 543,858 | ||||||||||
Canadian Natural Resources Ltd.(c) | 4,670 | 260,894 | ||||||||||
Cenovus Energy, Inc. | 16,260 | 255,670 | ||||||||||
CHC Group LLC(a) | 1,138 | – 0 | – | |||||||||
China Shenhua Energy Co., Ltd. – Class H | 135,000 | 372,058 | ||||||||||
Civitas Resources, Inc. | 493 | 24,882 | ||||||||||
Denbury, Inc.(a) | 1,189 | 86,393 | ||||||||||
Diamond Offshore Drilling, Inc.(a) | 16,845 | 84,225 | ||||||||||
Diamond Offshore Drilling, Inc.(a)(f) | 3,643 | 18,215 | ||||||||||
Equinor ASA | 32,285 | 1,014,895 | ||||||||||
Exxon Mobil Corp. | 1,550 | 121,551 | ||||||||||
Gulfport Energy Operating Corp.(a) | 3,933 | 271,298 | ||||||||||
Gulfport Energy Operating Corp.(a)(d)(g) | 1 | 5,000 | ||||||||||
Imperial Oil Ltd. | 8,220 | 368,943 | ||||||||||
Inpex Corp. | 6,500 | 66,999 | ||||||||||
K2016470219 South Africa Ltd. – Series A(a)(d)(e) | 465,862 | 1 | ||||||||||
K2016470219 South Africa Ltd. – Series B(a)(d)(e) | 73,623 | – 0 | – | |||||||||
Marathon Petroleum Corp. | 5,206 | 405,391 | ||||||||||
Neste Oyj | 10,276 | 400,709 | ||||||||||
PetroChina Co., Ltd. – Class H | 488,000 | 261,385 | ||||||||||
Petroleo Brasileiro SA | 57,700 | 410,271 | ||||||||||
Petroleo Brasileiro SA (Preference Shares) | 27,900 | 183,399 | ||||||||||
SandRidge Energy, Inc.(a) | 14 | 187 | ||||||||||
Shell PLC | 121,627 | 3,207,401 | ||||||||||
Suncor Energy, Inc.(c) | 14,710 | 449,830 | ||||||||||
TotalEnergies SE | 8,168 | 416,120 | ||||||||||
Vantage Drilling International(a) | 602 | 3,612 |
30 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Whiting Petroleum Corp. | 1,504 | $ | 111,070 | |||||||||
|
| |||||||||||
9,442,776 | ||||||||||||
|
| |||||||||||
10,425,214 | ||||||||||||
|
| |||||||||||
Utilities – 1.5% | ||||||||||||
Electric Utilities – 0.9% | ||||||||||||
American Electric Power Co., Inc. | 5,555 | 503,561 | ||||||||||
Enel SpA | 64,580 | 475,886 | ||||||||||
Iberdrola SA | 76,466 | 867,552 | ||||||||||
NextEra Energy, Inc. | 8,460 | 662,164 | ||||||||||
NRG Energy, Inc. | 6,598 | 249,668 | ||||||||||
PNM Resources, Inc. | 56,576 | 2,555,538 | ||||||||||
|
| |||||||||||
5,314,369 | ||||||||||||
|
| |||||||||||
Gas Utilities – 0.2% | ||||||||||||
AltaGas Ltd. | 4,270 | 94,058 | ||||||||||
Naturgy Energy Group SA | 1,500 | 40,244 | ||||||||||
South Jersey Industries, Inc. | 13,803 | 468,336 | ||||||||||
UGI Corp. | 10,492 | 403,313 | ||||||||||
|
| |||||||||||
1,005,951 | ||||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||||||
GD Power Development Co., Ltd. | 236,500 | 106,217 | ||||||||||
Huadian Power International Corp. Ltd. | 568,100 | 388,671 | ||||||||||
Uniper SE | 6,790 | 217,220 | ||||||||||
|
| |||||||||||
712,108 | ||||||||||||
|
| |||||||||||
Multi-Utilities – 0.2% | ||||||||||||
Ameren Corp. | 10,290 | 884,425 | ||||||||||
E.ON SE | 32,298 | 439,303 | ||||||||||
Veolia Environnement SA | 6,470 | 225,587 | ||||||||||
|
| |||||||||||
1,549,315 | ||||||||||||
|
| |||||||||||
Water Utilities – 0.1% | ||||||||||||
American Water Works Co., Inc. | 2,540 | 383,769 | ||||||||||
|
| |||||||||||
8,965,512 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 423,702,137 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATES - NON-INVESTMENT GRADE – 6.2% | ||||||||||||
Industrial – 5.2% |
| |||||||||||
Basic – 0.3% |
| |||||||||||
Advanced Drainage Systems, Inc. | U.S.$ | 16 | 16,093 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 31 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Arconic Corp. | U.S.$ | 33 | $ | 33,727 | ||||||
ASP Unifrax Holdings, Inc. | 9 | 8,662 | ||||||||
7.50%, 09/30/2029(b) | 16 | 14,603 | ||||||||
Big River Steel LLC/BRS Finance Corp. | 102 | 106,921 | ||||||||
Cleveland-Cliffs, Inc. | 25 | 24,179 | ||||||||
4.875%, 03/01/2031(b)(c) | 27 | 26,338 | ||||||||
6.75%, 03/15/2026(b) | 12 | 12,643 | ||||||||
9.875%, 10/17/2025(b) | 75 | 83,520 | ||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI | 20 | 20,340 | ||||||||
CVR Partners LP/CVR Nitrogen Finance Corp. | 64 | 64,208 | ||||||||
Diamond BC BV | 29 | 26,298 | ||||||||
Element Solutions, Inc. | 91 | 86,411 | ||||||||
ERP Iron Ore, LLC | 12 | 9,219 | ||||||||
FMG Resources (August 2006) Pty Ltd. | 36 | 36,123 | ||||||||
Glatfelter Corp. | 32 | 30,497 | ||||||||
Graham Packaging Co., Inc. | 28 | 26,950 | ||||||||
Hecla Mining Co. | 28 | 29,400 | ||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. | 77 | 81,170 | ||||||||
INEOS Quattro Finance 1 PLC | EUR | 149 | 157,117 | |||||||
Intelligent Packaging Holdco Issuer LP | U.S.$ | 52 | 52,703 | |||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC | 123 | 119,729 | ||||||||
Joseph T Ryerson & Son, Inc. | 34 | 36,785 | ||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. | EUR | 100 | 114,977 |
32 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Magnetation LLC/Mag Finance Corp. | U.S.$ | 146 | $ | – 0 | – | |||||||
Mercer International, Inc. | 93 | 90,993 | ||||||||||
Peabody Energy Corp. | 1 | 750 | ||||||||||
PIC AU Holdings LLC/PIC AU Holdings Corp. | 7 | 7,250 | ||||||||||
PMHC II, Inc. | 234 | 227,294 | ||||||||||
Valvoline, Inc. | 152 | 144,081 | ||||||||||
WR Grace Holdings LLC | 59 | 58,758 | ||||||||||
|
| |||||||||||
1,747,739 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
Apex Tool Group LLC/BC Mountain Finance, Inc. | 45 | 45,064 | ||||||||||
ARD Finance SA | EUR | 202 | 216,040 | |||||||||
Clean Harbors, Inc. | U.S.$ | 3 | 3,014 | |||||||||
Cleaver-Brooks, Inc. | 74 | 71,427 | ||||||||||
Colfax Corp. | 18 | 18,551 | ||||||||||
Eco Material Technologies, Inc. | 121 | 122,419 | ||||||||||
Energizer Holdings, Inc. | 33 | 31,330 | ||||||||||
EnerSys | 100 | 99,005 | ||||||||||
Gates Global LLC/Gates Corp. | 130 | 132,935 | ||||||||||
GFL Environmental, Inc. | 38 | 36,272 | ||||||||||
5.125%, 12/15/2026(b) | 15 | 15,314 | ||||||||||
Granite US Holdings Corp. | 54 | 57,684 | ||||||||||
Griffon Corp. | 135 | 134,372 | ||||||||||
JELD-WEN, Inc. | 17 | 16,688 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 33 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Madison IAQ LLC | U.S.$ | 207 | $ | 187,761 | ||||||||
Moog, Inc. | 42 | 41,284 | ||||||||||
Stevens Holding Co., Inc. | 18 | 18,641 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp. | 34 | 34,192 | ||||||||||
Tervita Corp. | 84 | 96,614 | ||||||||||
TransDigm UK Holdings PLC | 265 | 273,758 | ||||||||||
TransDigm, Inc. | 47 | 48,405 | ||||||||||
Triumph Group, Inc. | 37 | 36,786 | ||||||||||
7.75%, 08/15/2025(c) | 42 | 42,224 | ||||||||||
8.875%, 06/01/2024(b) | 53 | 56,564 | ||||||||||
Wesco Distribution, Inc. | 53 | 56,915 | ||||||||||
|
| |||||||||||
1,893,259 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.7% | ||||||||||||
Advantage Sales & Marketing, Inc. | 113 | 113,856 | ||||||||||
Altice Financing SA | 279 | 254,188 | ||||||||||
AMC Networks, Inc. | 181 | 169,534 | ||||||||||
Arches Buyer, Inc. | 39 | 36,533 | ||||||||||
Banijay Entertainment SASU | EUR | 150 | 163,825 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | U.S.$ | 111 | 102,029 | |||||||||
4.50%, 08/15/2030(b) | 105 | 101,175 | ||||||||||
4.75%, 02/01/2032(b) | 88 | 85,549 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 25 | 24,968 | ||||||||||
CSC Holdings LLC 3.375%, 02/15/2031(b) | 200 | 170,044 | ||||||||||
5.875%, 09/15/2022 | 15 | 15,193 | ||||||||||
DISH DBS Corp. | 53 | 44,694 | ||||||||||
5.25%, 12/01/2026(b) | 135 | 131,683 | ||||||||||
5.75%, 12/01/2028(b) | 94 | 90,006 |
34 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
7.375%, 07/01/2028 | U.S.$ | 98 | $ | 92,434 | ||||||||
DISH Network Corp. | 56 | 50,792 | ||||||||||
Gray Escrow II, Inc. | 129 | 124,175 | ||||||||||
iHeartCommunications, Inc. | 35 | 33,853 | ||||||||||
6.375%, 05/01/2026 | 22 | 22,613 | ||||||||||
8.375%, 05/01/2027 | 137 | 142,309 | ||||||||||
Lamar Media Corp. | 4 | 4,018 | ||||||||||
McGraw-Hill Education, Inc. | 139 | 131,950 | ||||||||||
8.00%, 08/01/2029(b) | 93 | 84,993 | ||||||||||
National CineMedia LLC | 33 | 23,978 | ||||||||||
5.875%, 04/15/2028(b)(c) | 67 | 59,324 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. | 61 | 57,895 | ||||||||||
Scripps Escrow, Inc. | 76 | 75,990 | ||||||||||
Scripps Escrow II, Inc. | 41 | 38,980 | ||||||||||
Sinclair Television Group, Inc. | 150 | 136,611 | ||||||||||
5.50%, 03/01/2030(b) | 107 | 94,510 | ||||||||||
Sirius XM Radio, Inc. | 116 | 107,008 | ||||||||||
4.00%, 07/15/2028(b) | 292 | 280,685 | ||||||||||
Summer BC Holdco B SARL | EUR | 150 | 169,351 | |||||||||
TEGNA, Inc. | U.S.$ | 35 | 35,223 | |||||||||
5.00%, 09/15/2029 | 110 | 110,010 | ||||||||||
Univision Communications, Inc. | 43 | 40,896 | ||||||||||
6.625%, 06/01/2027(b) | 144 | 150,228 | ||||||||||
9.50%, 05/01/2025(b) | 43 | 45,307 | ||||||||||
UPC Holding BV | 262 | 260,004 | ||||||||||
Urban One, Inc. | 203 | 203,645 | ||||||||||
|
| |||||||||||
4,080,059 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 35 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
Connect Finco SARL/Connect US Finco LLC | U.S.$ | 200 | $ | 202,580 | ||||||||
Consolidated Communications, Inc. | 25 | 23,778 | ||||||||||
6.50%, 10/01/2028(b) | 164 | 163,649 | ||||||||||
Embarq Corp. | 180 | 178,942 | ||||||||||
Frontier Communications Holdings LLC | 65 | 65,886 | ||||||||||
6.75%, 05/01/2029(b) | 28 | 27,197 | ||||||||||
Intelsat Jackson Holdings SA | 177 | 75,624 | ||||||||||
Kaixo Bondco Telecom SA | EUR | 100 | 104,171 | |||||||||
Level 3 Financing, Inc. | ||||||||||||
4.25%, 07/01/2028(b) | U.S.$ | 25 | 23,103 | |||||||||
4.625%, 09/15/2027(b) | 39 | 37,629 | ||||||||||
Telecom Italia Capital SA | 105 | 106,509 | ||||||||||
Vmed O2 UK Financing I PLC | 200 | 191,684 | ||||||||||
Zayo Group Holdings, Inc. | 74 | 68,719 | ||||||||||
|
| |||||||||||
1,269,471 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
Allison Transmission, Inc. | 60 | 63,012 | ||||||||||
Aston Martin Capital Holdings Ltd. | 263 | 290,084 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | 69 | 71,349 | ||||||||||
Dana, Inc. | 11 | 11,220 | ||||||||||
5.625%, 06/15/2028 | 17 | 17,438 | ||||||||||
Dealer Tire LLC/DT Issuer LLC | 169 | 169,128 | ||||||||||
Exide Technologies | 59 | – 0 | – | |||||||||
(First Lien) | 24 | – 0 | – | |||||||||
Goodyear Tire & Rubber Co. (The) | 42 | 41,402 |
36 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
5.25%, 07/15/2031(b)(c) | U.S.$ | 39 | $ | 37,952 | ||||||||
IHO Verwaltungs GmbH | EUR | 100 | 110,990 | |||||||||
Jaguar Land Rover Automotive PLC | U.S.$ | 353 | 374,907 | |||||||||
Mclaren Finance PLC | 200 | 198,650 | ||||||||||
Meritor, Inc. | 104 | 106,315 | ||||||||||
6.25%, 06/01/2025(b) | 38 | 39,503 | ||||||||||
PM General Purchaser LLC | 103 | 98,292 | ||||||||||
Real Hero Merger Sub 2, Inc. | 45 | 42,426 | ||||||||||
Tenneco, Inc. | 121 | 120,804 | ||||||||||
7.875%, 01/15/2029(b) | 83 | 87,680 | ||||||||||
Titan International, Inc. | 108 | 111,697 | ||||||||||
|
| |||||||||||
1,992,849 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.2% | ||||||||||||
Carnival Corp. | 58 | 55,402 | ||||||||||
5.75%, 03/01/2027(b) | 112 | 109,084 | ||||||||||
9.875%, 08/01/2027(b) | 60 | 67,592 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | 179 | 183,971 | ||||||||||
Lindblad Expeditions LLC | 37 | 37,352 | ||||||||||
Mattel, Inc. | 15 | 15,895 | ||||||||||
NCL Corp., Ltd. | 123 | 118,381 | ||||||||||
Royal Caribbean Cruises Ltd. | 112 | 110,016 | ||||||||||
5.50%, 08/31/2026-04/01/2028(b) | 183 | 180,851 | ||||||||||
10.875%, 06/01/2023(b) | 63 | 67,655 | ||||||||||
11.50%, 06/01/2025(b) | 134 | 147,913 | ||||||||||
SeaWorld Parks & Entertainment, Inc. | 93 | 97,830 | ||||||||||
Six Flags Entertainment Corp. | 30 | 29,966 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 37 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Six Flags Theme Parks, Inc. | U.S.$ | 38 | $ | 39,711 | ||||||||
Vail Resorts, Inc. | 25 | 25,944 | ||||||||||
Viking Cruises Ltd. | 129 | 119,780 | ||||||||||
7.00%, 02/15/2029(b) | 34 | 32,142 | ||||||||||
13.00%, 05/15/2025(b) | 35 | 38,960 | ||||||||||
VOC Escrow Ltd. | 3 | 2,870 | ||||||||||
|
| |||||||||||
1,481,315 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||||
Adams Homes, Inc. | 79 | 80,300 | ||||||||||
Beazer Homes USA, Inc. | 46 | 46,398 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC | 113 | 103,446 | ||||||||||
6.25%, 09/15/2027(b) | 3 | 3,020 | ||||||||||
Caesars Entertainment, Inc. | 102 | 105,763 | ||||||||||
CP Atlas Buyer, Inc. | 44 | 39,640 | ||||||||||
Empire Communities Corp. | 29 | 28,755 | ||||||||||
Everi Holdings, Inc. | 18 | 17,647 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp. | 173 | 177,055 | ||||||||||
Forterra Finance LLC/FRTA Finance Corp. | 27 | 28,033 | ||||||||||
Hilton Domestic Operating Co., Inc. | 89 | 84,598 | ||||||||||
5.375%, 05/01/2025(b) | 21 | 21,645 | ||||||||||
5.75%, 05/01/2028(b) | 22 | 22,991 | ||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc | 72 | 68,670 | ||||||||||
5.00%, 06/01/2029(b) | 66 | 65,116 | ||||||||||
Installed Building Products, Inc. | 31 | 30,947 | ||||||||||
Marriott Ownership Resorts, Inc. | 37 | 35,304 | ||||||||||
6.125%, 09/15/2025(b)(c) | 19 | 19,642 |
38 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Mattamy Group Corp. | U.S.$ | 88 | $ | 82,711 | ||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. | 70 | 63,596 | ||||||||||
5.875%, 09/01/2031(b) | 70 | 63,525 | ||||||||||
Scientific Games International, Inc. | 27 | 27,315 | ||||||||||
7.00%, 05/15/2028(b) | 43 | 44,619 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp. | 142 | 135,667 | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. | 197 | 195,101 | ||||||||||
Taylor Morrison Communities, Inc. | 69 | 71,637 | ||||||||||
5.875%, 06/15/2027(b) | 3 | 3,149 | ||||||||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. | 183 | 188,380 | ||||||||||
Travel + Leisure Co. | 126 | 120,929 | ||||||||||
4.625%, 03/01/2030(b) | 94 | 89,491 | ||||||||||
6.625%, 07/31/2026(b) | 143 | 153,063 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 93 | 93,687 | ||||||||||
|
| |||||||||||
2,311,840 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.0% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. | 53 | 54,528 | ||||||||||
IRB Holding Corp. | 122 | 122,733 | ||||||||||
|
| |||||||||||
177,261 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.4% | ||||||||||||
Arko Corp. | 46 | 42,490 | ||||||||||
Asbury Automotive Group, Inc. | 60 | 58,524 | ||||||||||
5.00%, 02/15/2032(b) | 24 | 23,415 | ||||||||||
Bath & Body Works, Inc. | 13 | 13,539 | ||||||||||
6.625%, 10/01/2030(b) | 129 | 139,301 | ||||||||||
6.75%, 07/01/2036 | 58 | 63,209 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 39 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
6.875%, 11/01/2035 | U.S.$ | 131 | $ | 144,830 | ||||||||
6.95%, 03/01/2033 | 69 | 72,910 | ||||||||||
7.50%, 06/15/2029 | 13 | 14,245 | ||||||||||
9.375%, 07/01/2025(b) | 32 | 37,442 | ||||||||||
BCPE Ulysses Intermediate, Inc. | 48 | 44,915 | ||||||||||
Dufry One BV | EUR | 143 | 155,512 | |||||||||
FirstCash, Inc. | U.S.$ | 22 | 20,761 | |||||||||
5.625%, 01/01/2030(b) | 93 | 91,927 | ||||||||||
Foundation Building Materials, Inc. | 24 | 22,401 | ||||||||||
Kontoor Brands, Inc. | 90 | 85,178 | ||||||||||
LBM Acquisition LLC | 20 | 18,522 | ||||||||||
Michaels Cos, Inc. (The) | 144 | 125,176 | ||||||||||
Murphy Oil USA, Inc. | 6 | 5,822 | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC | 60 | 61,761 | ||||||||||
Penske Automotive Group, Inc. | 65 | 64,301 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp. | 271 | 284,826 | ||||||||||
Rite Aid Corp. | 140 | 134,368 | ||||||||||
8.00%, 11/15/2026(b) | 109 | 103,830 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp. | 90 | 90,650 | ||||||||||
SRS Distribution, Inc. | 29 | 27,627 | ||||||||||
Staples, Inc. | 143 | 141,247 | ||||||||||
TPro Acquisition Corp. | 36 | 38,737 | ||||||||||
White Cap Buyer LLC | 151 | 150,295 | ||||||||||
White Cap Parent LLC | 29 | 29,216 | ||||||||||
William Carter Co. (The) | 47 | 48,441 | ||||||||||
|
| |||||||||||
2,355,418 | ||||||||||||
|
|
40 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Non-Cyclical – 0.5% | ||||||||||||
Acadia Healthcare Co., Inc. | U.S.$ | 88 | $ | 88,480 | ||||||||
AdaptHealth LLC | 118 | 106,500 | ||||||||||
6.125%, 08/01/2028(b) | 25 | 24,925 | ||||||||||
AHP Health Partners, Inc. | 83 | 78,325 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 184 | 177,221 | ||||||||||
Bausch Health Cos., Inc. | 173 | 166,364 | ||||||||||
6.25%, 02/15/2029(b) | 7 | 5,965 | ||||||||||
7.25%, 05/30/2029(b) | 48 | 41,958 | ||||||||||
CD&R Smokey Buyer, Inc. | 8 | 8,262 | ||||||||||
CHS/Community Health Systems, Inc. | 27 | 25,491 | ||||||||||
6.125%, 04/01/2030(b)(c) | 91 | 84,629 | ||||||||||
6.875%, 04/01/2028-04/15/2029(b)(c) | 258 | 247,390 | ||||||||||
DaVita, Inc. | 90 | 82,372 | ||||||||||
Emergent BioSolutions, Inc. | 13 | 11,598 | ||||||||||
Global Medical Response, Inc. | 140 | 137,385 | ||||||||||
Grifols Escrow Issuer SA | 200 | 188,582 | ||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc. | 132 | 111,743 | ||||||||||
Legacy LifePoint Health LLC | 67 | 63,942 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC | 26 | 12,865 | ||||||||||
ModivCare Escrow Issuer, Inc. | 17 | 16,011 | ||||||||||
ModivCare, Inc. | 17 | 17,046 | ||||||||||
Mozart Debt Merger Sub, Inc. | 93 | 88,316 | ||||||||||
5.25%, 10/01/2029(b) | 167 | 160,001 | ||||||||||
Option Care Health, Inc. | 85 | 81,600 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 41 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Par Pharmaceutical, Inc. | U.S.$ | 164 | $ | 164,228 | ||||||||
Post Holdings, Inc. | 131 | 132,076 | ||||||||||
RP Escrow Issuer LLC | 45 | 44,310 | ||||||||||
Spectrum Brands, Inc. | 175 | 160,359 | ||||||||||
5.75%, 07/15/2025 | 2 | 2,042 | ||||||||||
Sunshine Mid BV | EUR | 103 | 116,057 | |||||||||
Tenet Healthcare Corp. | U.S.$ | 65 | 65,814 | |||||||||
Triton Water Holdings, Inc. | 65 | 59,928 | ||||||||||
US Acute Care Solutions LLC | 59 | 58,012 | ||||||||||
US Foods, Inc. | 101 | 97,997 | ||||||||||
4.75%, 02/15/2029(b) | 188 | 185,941 | ||||||||||
US Renal Care, Inc. | 85 | 84,960 | ||||||||||
|
| |||||||||||
3,198,695 | ||||||||||||
|
| |||||||||||
Energy – 0.9% | ||||||||||||
Antero Resources Corp. | 24 | 26,004 | ||||||||||
8.375%, 07/15/2026(b) | 44 | 48,322 | ||||||||||
Apache Corp. | 50 | 49,844 | ||||||||||
4.625%, 11/15/2025 | 8 | 8,273 | ||||||||||
4.875%, 11/15/2027 | 16 | 16,375 | ||||||||||
Athabasca Oil Corp. | 121 | 126,456 | ||||||||||
Berry Petroleum Co. LLC | 115 | 113,569 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. | 29 | 29,914 | ||||||||||
7.625%, 12/15/2025(b) | 42 | 44,105 | ||||||||||
Callon Petroleum, Co. | 169 | 168,439 | ||||||||||
9.00%, 04/01/2025(b) | 34 | 36,411 | ||||||||||
Citgo Holding, Inc. | 50 | 49,996 | ||||||||||
CITGO Petroleum Corp. | 43 | 42,666 | ||||||||||
7.00%, 06/15/2025(b) | 152 | 152,389 |
42 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Civitas Resources, Inc. | U.S.$ | 45 | $ | 44,367 | ||||||
7.50%, 04/30/2026 | 5 | 5,270 | ||||||||
CNX Resources Corp. | 64 | 65,404 | ||||||||
7.25%, 03/14/2027(b) | 15 | 15,861 | ||||||||
Comstock Resources, Inc. | 50 | 48,410 | ||||||||
6.75%, 03/01/2029(b) | 36 | 36,660 | ||||||||
7.50%, 05/15/2025(b) | 15 | 15,308 | ||||||||
Crescent Energy Finance LLC | 100 | 99,769 | ||||||||
Diamond Foreign Asset Co./Diamond Finance LLC | 14 | 13,909 | ||||||||
9.00% (9.00% Cash or 13.00% PIK), 04/22/2027(i) | 12 | 11,982 | ||||||||
Encino Acquisition Partners Holdings LLC | 125 | 126,501 | ||||||||
EnLink Midstream LLC | 120 | 122,012 | ||||||||
EnLink Midstream Partners LP | 179 | 179,653 | ||||||||
4.40%, 04/01/2024 | 7 | 7,133 | ||||||||
5.05%, 04/01/2045 | 49 | 40,540 | ||||||||
5.45%, 06/01/2047 | 39 | 33,133 | ||||||||
5.60%, 04/01/2044 | 10 | 8,627 | ||||||||
EQM Midstream Partners LP | 68 | 63,493 | ||||||||
4.75%, 01/15/2031(b) | 63 | 59,221 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 51 | 50,464 | ||||||||
6.25%, 05/15/2026 | 47 | 45,472 | ||||||||
6.50%, 10/01/2025 | 32 | 31,590 | ||||||||
7.75%, 02/01/2028 | 84 | 82,887 | ||||||||
8.00%, 01/15/2027 | 57 | 57,628 | ||||||||
Global Partners LP/GLP Finance Corp. | 38 | 38,553 | ||||||||
7.00%, 08/01/2027 | 51 | 51,778 | ||||||||
Gulfport Energy Corp. | 62 | 6 | ||||||||
6.375%, 05/15/2025-01/15/2026(a) | 279 | 28 | ||||||||
6.625%, 05/01/2023(a) | 12 | 1 | ||||||||
8.00%, 05/17/2026(b) | 108 | 114,013 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 43 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Hess Midstream Operations LP | U.S.$ | 66 | $ | 63,759 | ||||||
5.625%, 02/15/2026(b) | 197 | 201,547 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 39 | 39,156 | ||||||||
6.00%, 02/01/2031(b) | 39 | 39,605 | ||||||||
ITT Holdings LLC | 172 | 161,222 | ||||||||
Moss Creek Resources Holdings, Inc. | 116 | 102,364 | ||||||||
Murphy Oil Corp. | 51 | 47,771 | ||||||||
Nabors Industries Ltd. | 59 | 57,467 | ||||||||
7.50%, 01/15/2028(b) | 117 | 111,998 | ||||||||
Nabors Industries, Inc. | 93 | 96,338 | ||||||||
New Fortress Energy, Inc. | 166 | 159,491 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. | 194 | 194,786 | ||||||||
Occidental Petroleum Corp. | 10 | 10,016 | ||||||||
5.50%, 12/01/2025 | 12 | 12,884 | ||||||||
5.875%, 09/01/2025 | 22 | 23,631 | ||||||||
6.125%, 01/01/2031 | 31 | 35,232 | ||||||||
8.00%, 07/15/2025 | 37 | 41,832 | ||||||||
8.50%, 07/15/2027 | 26 | 31,350 | ||||||||
8.875%, 07/15/2030 | 26 | 33,513 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 104 | 105,812 | ||||||||
PDC Energy, Inc. | 217 | 220,665 | ||||||||
Range Resources Corp. | 69 | 75,470 | ||||||||
Renewable Energy Group, Inc. | 40 | 43,201 | ||||||||
SM Energy Co. | 133 | 132,154 | ||||||||
6.50%, 07/15/2028(c) | 40 | 40,965 | ||||||||
Southwestern Energy Co. | 78 | 80,219 | ||||||||
8.375%, 09/15/2028 | 40 | 43,673 | ||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | 61 | 60,414 |
44 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Sunnova Energy Corp. | U.S.$ | 30 | $ | 27,459 | ||||||||
Sunoco LP/Sunoco Finance Corp. | 129 | 131,257 | ||||||||||
6.00%, 04/15/2027 | 4 | 4,132 | ||||||||||
Talos Production, Inc. | 126 | 133,273 | ||||||||||
Transocean Phoenix 2 Ltd. | 76 | 76,535 | ||||||||||
Transocean Pontus Ltd. | 40 | 39,553 | ||||||||||
Transocean Sentry Ltd. | 125 | 121,943 | ||||||||||
Transocean, Inc. | 1 | 481 | ||||||||||
7.25%, 11/01/2025(b) | 39 | 30,364 | ||||||||||
7.50%, 01/15/2026(b) | 103 | 79,760 | ||||||||||
11.50%, 01/30/2027(b) | 35 | 34,999 | ||||||||||
Vantage Drilling International | 111 | – 0 | – | |||||||||
Venture Global Calcasieu Pass LLC | 25 | 24,755 | ||||||||||
W&T Offshore, Inc. | 102 | 100,170 | ||||||||||
|
| |||||||||||
5,453,652 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
Avient Corp. | 32 | 32,795 | ||||||||||
IAA, Inc. | 34 | 34,604 | ||||||||||
Interface, Inc. | 22 | 22,161 | ||||||||||
KAR Auction Services, Inc. | 130 | 131,728 | ||||||||||
Ritchie Bros Holdings, Inc. | 29 | 28,855 | ||||||||||
|
| |||||||||||
250,143 | ||||||||||||
|
| |||||||||||
Services – 0.5% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 31 | 31,767 | ||||||||||
9.75%, 07/15/2027(b) | 206 | 216,317 | ||||||||||
ANGI Group LLC | 209 | 187,116 | ||||||||||
Aptim Corp. | 168 | 142,976 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 45 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
APX Group, Inc. | U.S.$ | 253 | $ | 227,262 | ||||||||
6.75%, 02/15/2027(b) | 35 | 35,948 | ||||||||||
Aramark Services, Inc. | 90 | 93,182 | ||||||||||
Cars.com, Inc. | 70 | 70,658 | ||||||||||
Garda World Security Corp. | 182 | 166,781 | ||||||||||
9.50%, 11/01/2027(b) | 215 | 222,678 | ||||||||||
Gartner, Inc. | 49 | 49,617 | ||||||||||
Korn Ferry | 63 | 62,055 | ||||||||||
Millennium Escrow Corp. | 140 | 136,501 | ||||||||||
MoneyGram International, Inc. | 62 | 64,732 | ||||||||||
Monitronics International, Inc. | 120 | – 0 | – | |||||||||
MPH Acquisition Holdings LLC | 77 | 74,469 | ||||||||||
5.75%, 11/01/2028(b)(c) | 287 | 258,954 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co. | 59 | 57,161 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 247 | 238,402 | ||||||||||
Sabre GLBL, Inc. | 88 | 91,225 | ||||||||||
9.25%, 04/15/2025(b) | 41 | 46,254 | ||||||||||
Service Corp. International/US | 103 | 95,186 | ||||||||||
TripAdvisor, Inc. | 41 | 42,660 | ||||||||||
Verisure Midholding AB | EUR | 185 | 195,029 | |||||||||
Verscend Escrow Corp. | U.S.$ | 115 | 120,545 | |||||||||
WASH Multifamily Acquisition, Inc. | 24 | 24,149 | ||||||||||
ZipRecruiter, Inc. | 131 | 129,090 | ||||||||||
|
| |||||||||||
3,080,714 | ||||||||||||
|
| |||||||||||
Technology – 0.3% | ||||||||||||
Ahead DB Holdings LLC | 95 | 89,989 |
46 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Austin BidCo, Inc. | U.S.$ | 66 | $ | 64,845 | ||||||||
Avaya, Inc. | 169 | 163,318 | ||||||||||
Boxer Parent Co., Inc. | 7 | 7,247 | ||||||||||
Cablevision Lightpath LLC | 200 | 182,316 | ||||||||||
Clarivate Science Holdings Corp. | 41 | 38,594 | ||||||||||
CommScope, Inc. | 92 | 86,451 | ||||||||||
LogMeIn, Inc. | 51 | 48,550 | ||||||||||
Minerva Merger Sub, Inc. | 208 | 200,156 | ||||||||||
NCR Corp. | 102 | 100,835 | ||||||||||
5.75%, 09/01/2027(b) | 40 | 40,622 | ||||||||||
6.125%, 09/01/2029(b) | 28 | 29,065 | ||||||||||
Playtika Holding Corp. | 90 | 85,293 | ||||||||||
Presidio Holdings, Inc. | 12 | 12,063 | ||||||||||
8.25%, 02/01/2028(b) | 172 | 176,114 | ||||||||||
Science Applications International Corp. | 11 | 10,743 | ||||||||||
TTM Technologies, Inc. | 90 | 83,588 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | 316 | 312,609 | ||||||||||
|
| |||||||||||
1,732,398 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.1% | ||||||||||||
Air Canada | 29 | 28,197 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | 101 | 103,505 | ||||||||||
5.75%, 04/20/2029(b) | 88 | 89,934 | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. | 47 | 47,396 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | 94 | 101,846 | ||||||||||
|
| |||||||||||
370,878 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 47 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Transportation - Services – 0.1% | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | U.S.$ | 45 | $ | 44,242 | ||||||||
5.75%, 07/15/2027(b)(c) | 80 | 80,670 | ||||||||||
Herc Holdings, Inc. | 87 | 89,463 | ||||||||||
PROG Holdings, Inc. | 120 | 115,203 | ||||||||||
|
| |||||||||||
329,578 | ||||||||||||
|
| |||||||||||
31,725,269 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.9% | ||||||||||||
Banking – 0.3% | ||||||||||||
Alliance Data Systems Corp. | 115 | 114,701 | ||||||||||
7.00%, 01/15/2026(b) | 53 | 54,452 | ||||||||||
Ally Financial, Inc. | 272 | 258,231 | ||||||||||
Series C | 19 | 17,620 | ||||||||||
Banco Santander SA | EUR | 300 | 338,790 | |||||||||
CaixaBank SA | 200 | 237,425 | ||||||||||
Credit Suisse Group AG | U.S.$ | 200 | 204,990 | |||||||||
7.50%, 07/17/2023(b)(g) | 206 | 210,555 | ||||||||||
Discover Financial Services | 306 | 321,288 | ||||||||||
UniCredit SpA | EUR | 200 | 228,143 | |||||||||
|
| |||||||||||
1,986,195 | ||||||||||||
|
| |||||||||||
Brokerage – 0.1% | ||||||||||||
Advisor Group Holdings, Inc. | U.S.$ | 83 | 90,499 | |||||||||
Jane Street Group/JSG Finance, Inc. | 91 | 88,677 | ||||||||||
Lehman Brothers Holdings, Inc. | 1,030 | 5,354 | ||||||||||
NFP Corp. | 257 | 238,781 | ||||||||||
|
| |||||||||||
423,311 | ||||||||||||
|
|
48 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Finance – 0.2% | ||||||||||||
Air Lease Corp. | U.S.$ | 112 | $ | 108,080 | ||||||||
Aircastle Ltd. | 97 | 93,233 | ||||||||||
Castlelake Aviation Finance DAC | 46 | 43,706 | ||||||||||
CNG Holdings, Inc. | 93 | 87,891 | ||||||||||
Compass Group Diversified Holdings LLC | 81 | 78,346 | ||||||||||
Curo Group Holdings Corp. | 177 | 157,089 | ||||||||||
Enova International, Inc. | 206 | 205,100 | ||||||||||
goeasy Ltd. | 74 | 74,740 | ||||||||||
HighTower Holding, LLC | 270 | 269,141 | ||||||||||
Lincoln Financing SARL | EUR | 103 | 115,421 | |||||||||
Navient Corp. | U.S.$ | 45 | 42,214 | |||||||||
5.50%, 01/25/2023 | 25 | 25,514 | ||||||||||
|
| |||||||||||
1,300,475 | ||||||||||||
|
| |||||||||||
Insurance – 0.1% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc. | 242 | 219,288 | ||||||||||
7.00%, 11/15/2025(b) | 35 | 34,794 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | 192 | 187,807 | ||||||||||
AmWINS Group, Inc. | 20 | 19,137 | ||||||||||
AssuredPartners, Inc. | 189 | 173,910 | ||||||||||
|
| |||||||||||
634,936 | ||||||||||||
|
| |||||||||||
Other Finance – 0.1% | ||||||||||||
Asteroid Private Merger Sub, Inc. | 87 | 83,935 | ||||||||||
Intrum AB | EUR | 100 | 101,745 | |||||||||
4.875%, 08/15/2025(b) | 100 | 111,920 | ||||||||||
|
| |||||||||||
297,600 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 49 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
REITs – 0.1% | ||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL | U.S.$ | 153 | $ | 142,682 | ||||||||
5.75%, 05/15/2026(b) | 51 | 50,474 | ||||||||||
Diversified Healthcare Trust | 90 | 95,173 | ||||||||||
Iron Mountain, Inc. | 72 | 69,582 | ||||||||||
5.00%, 07/15/2028(b) | 53 | 52,550 | ||||||||||
5.25%, 03/15/2028(b) | 124 | 124,160 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 90 | 93,600 | ||||||||||
5.75%, 02/01/2027 | 108 | 117,060 | ||||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer | 49 | 47,257 | ||||||||||
|
| |||||||||||
792,538 | ||||||||||||
|
| |||||||||||
5,435,055 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Calpine Corp. | 28 | 27,002 | ||||||||||
NRG Energy, Inc. | 2 | 2,071 | ||||||||||
Talen Energy Supply LLC | 164 | 69,037 | ||||||||||
7.25%, 05/15/2027(b) | 37 | 33,119 | ||||||||||
10.50%, 01/15/2026(b) | 237 | 109,134 | ||||||||||
Vistra Corp. | 70 | 69,486 | ||||||||||
8.00%, 10/15/2026(b)(g) | 78 | 80,266 | ||||||||||
|
| |||||||||||
390,115 | ||||||||||||
|
| |||||||||||
Other Utility – 0.0% | ||||||||||||
Solaris Midstream Holdings LLC | 79 | 80,807 | ||||||||||
|
| |||||||||||
470,922 | ||||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 37,631,246 | |||||||||||
|
|
50 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
INVESTMENT COMPANIES – 2.2% | ||||||||||||
Funds and Investment Trusts – 2.2%(l) | ||||||||||||
Health Care Select Sector SPDR Fund | 28,740 | $ | 3,735,051 | |||||||||
Invesco Dynamic Leisure and Entertainment ETF | 12,238 | 591,340 | ||||||||||
iShares 10-20 Year Treasury Bond ETF(c) | 4,329 | 614,761 | ||||||||||
iShares Global Energy ETF(c) | 96,170 | 3,231,312 | ||||||||||
iShares MSCI Europe Financials ETF(c) | 27,384 | 512,081 | ||||||||||
iShares Russell 2000 ETF(c) | 591 | 120,162 | ||||||||||
iShares US Technology ETF(c) | 22,616 | 2,264,766 | ||||||||||
ROBO Global Robotics and Automation Index ETF | 11,229 | 671,831 | ||||||||||
SPDR S&P Oil & Gas Equipment & Services ETF | 7,270 | 466,661 | ||||||||||
US Global Jets ETF(c) | 14,900 | 320,052 | ||||||||||
Utilities Select Sector SPDR Fund(c) | 8,321 | 565,246 | ||||||||||
|
| |||||||||||
Total Investment Companies | 13,093,263 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - TREASURIES – 1.6% | ||||||||||||
Russia – 0.0% | ||||||||||||
Russian Federal Bond – OFZ | RUB | 23,770 | 55,025 | |||||||||
|
| |||||||||||
United States – 1.6% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 14 | 11,132 | |||||||||
U.S. Treasury Notes | 2,130 | 1,931,008 | ||||||||||
1.25%, 05/31/2028 (m) | 4,020 | 3,888,094 | ||||||||||
1.625%, 08/15/2029(m)(n) | 2,556 | 2,524,849 | ||||||||||
2.375%, 05/15/2029(m) | 1,524 | 1,581,180 | ||||||||||
|
| |||||||||||
9,936,263 | ||||||||||||
|
| |||||||||||
Total Governments - Treasuries | 9,991,288 | |||||||||||
|
| |||||||||||
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 51 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CORPORATES - INVESTMENT | ||||||||||||
Financial Institutions – 0.8% | ||||||||||||
Banking – 0.5% | ||||||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | U.S.$ | 184 | $ | 195,420 | ||||||||
Bank of America Corp. | 7 | 7,466 | ||||||||||
Barclays Bank PLC | 35 | 45,407 | ||||||||||
Citigroup Capital XVIII | GBP | 185 | 220,347 | |||||||||
Citigroup, Inc. | U.S.$ | 50 | 47,553 | |||||||||
5.95%, 01/30/2023(c)(g) | 365 | 372,048 | ||||||||||
Series V | 47 | 46,071 | ||||||||||
Series Y | 65 | 62,057 | ||||||||||
Credit Agricole SA | 400 | 450,808 | ||||||||||
DNB Bank ASA | 201 | 201,591 | ||||||||||
First-Citizens Bank & Trust Co. | 31 | 31,603 | ||||||||||
Goldman Sachs Group, Inc. (The) | 23 | 23,933 | ||||||||||
Series P | 185 | 177,633 | ||||||||||
HSBC Holdings PLC | EUR | 300 | 352,713 | |||||||||
Truist Financial Corp. | U.S.$ | 211 | 218,151 | |||||||||
Series Q | 56 | 58,166 | ||||||||||
UBS Group AG | 400 | 425,500 | ||||||||||
|
| |||||||||||
2,936,467 | ||||||||||||
|
|
52 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Brokerage – 0.0% | ||||||||||||
Charles Schwab Corp. (The) | U.S.$ | 119 | $ | 125,638 | ||||||||
|
| |||||||||||
Finance – 0.1% | ||||||||||||
Aircastle Ltd. | 15 | 14,322 | ||||||||||
4.125%, 05/01/2024 | 14 | 14,327 | ||||||||||
4.25%, 06/15/2026 | 2 | 2,059 | ||||||||||
5.00%, 04/01/2023 | 3 | 3,088 | ||||||||||
5.25%, 08/11/2025(b) | 200 | 212,024 | ||||||||||
Aviation Capital Group LLC | 4 | 3,809 | ||||||||||
3.50%, 11/01/2027(b) | 25 | 24,710 | ||||||||||
4.125%, 08/01/2025(b) | 39 | 40,051 | ||||||||||
4.875%, 10/01/2025(b) | 30 | 31,442 | ||||||||||
5.50%, 12/15/2024(b) | 67 | 71,261 | ||||||||||
Huarong Finance II Co., Ltd. | 200 | 200,500 | ||||||||||
|
| |||||||||||
617,593 | ||||||||||||
|
| |||||||||||
Insurance – 0.1% | ||||||||||||
Liberty Mutual Group, Inc. | 298 | 395,735 | ||||||||||
MetLife Capital Trust IV | 254 | 321,942 | ||||||||||
MetLife, Inc. | 47 | 53,110 | ||||||||||
Prudential Financial, Inc. | 44 | 44,420 | ||||||||||
5.625%, 06/15/2043 | 126 | 129,762 | ||||||||||
|
| |||||||||||
944,969 | ||||||||||||
|
| |||||||||||
REITs – 0.1% | ||||||||||||
GLP Capital LP/GLP Financing II, Inc. | 20 | 21,411 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 33 | 33,756 | ||||||||||
5.25%, 08/01/2026 | 96 | 98,656 | ||||||||||
Trust Fibra Uno | 200 | 197,125 | ||||||||||
|
| |||||||||||
350,948 | ||||||||||||
|
| |||||||||||
4,975,615 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 53 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Industrial – 0.6% | ||||||||||||
Basic – 0.1% | ||||||||||||
ArcelorMittal SA | U.S.$ | 54 | $ | 65,891 | ||||||||
Arconic Corp. | 54 | 55,992 | ||||||||||
Braskem Netherlands Finance BV | 200 | 197,375 | ||||||||||
CF Industries, Inc. | 52 | 52,922 | ||||||||||
4.95%, 06/01/2043 | 3 | 3,234 | ||||||||||
5.375%, 03/15/2044 | 53 | 59,969 | ||||||||||
GUSAP III LP | 200 | 198,787 | ||||||||||
Industrias Penoles SAB de CV | 201 | 214,040 | ||||||||||
|
| |||||||||||
848,210 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.0% | ||||||||||||
General Electric Co. | 122 | 115,753 | ||||||||||
|
| |||||||||||
Communications - Media – 0.0% | ||||||||||||
Netflix, Inc. | 168 | 189,887 | ||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.0% | ||||||||||||
Hughes Satellite Systems Corp. | 55 | 56,472 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.1% |
| |||||||||||
General Motors Co. | 185 | 224,333 | ||||||||||
Lear Corp. | 24 | 25,416 | ||||||||||
|
| |||||||||||
249,749 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
MDC Holdings, Inc. | 195 | 210,907 | ||||||||||
Toll Brothers Finance Corp. | 27 | 28,716 | ||||||||||
|
| |||||||||||
239,623 | ||||||||||||
|
|
54 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||||
HCA, Inc. | U.S.$ | 23 | $ | 23,924 | ||||||||
Newell Brands, Inc. | 4 | 4,071 | ||||||||||
|
| |||||||||||
27,995 | ||||||||||||
|
| |||||||||||
Energy – 0.2% | ||||||||||||
Cenovus Energy, Inc. | 35 | 37,910 | ||||||||||
6.75%, 11/15/2039 | 4 | 4,445 | ||||||||||
Continental Resources, Inc./OK | 82 | 91,453 | ||||||||||
Ecopetrol SA | 46 | 41,136 | ||||||||||
5.875%, 11/02/2051 | 39 | 32,709 | ||||||||||
6.875%, 04/29/2030 | 93 | 97,139 | ||||||||||
Energy Transfer LP | 136 | 142,854 | ||||||||||
4.95%, 05/15/2028 | 26 | 28,015 | ||||||||||
6.125%, 12/15/2045 | 135 | 153,178 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 37 | 39,454 | ||||||||||
QEP Resources, Inc. | 0 | ** | 496 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 135 | 133,205 | ||||||||||
Western Midstream Operating LP | 24 | 24,267 | ||||||||||
4.50%, 03/01/2028 | 56 | 57,963 | ||||||||||
4.55%, 02/01/2030(c) | 48 | 49,241 | ||||||||||
4.75%, 08/15/2028 | 29 | 30,104 | ||||||||||
5.45%, 04/01/2044 | 19 | 19,484 | ||||||||||
|
| |||||||||||
983,053 | ||||||||||||
|
| |||||||||||
Services – 0.0% | ||||||||||||
Expedia Group, Inc. | 11 | 12,070 | ||||||||||
|
| |||||||||||
Technology – 0.1% | ||||||||||||
Baidu, Inc. | 250 | 252,460 | ||||||||||
CDW LLC/CDW Finance Corp. | 59 | 59,800 | ||||||||||
Microchip Technology, Inc. | 58 | 59,398 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 55 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Nokia Oyj | U.S.$ | 34 | $ | 40,835 | ||||||||
Western Digital Corp. | 10 | 10,389 | ||||||||||
|
| |||||||||||
422,882 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.1% | ||||||||||||
Delta Air Lines, Inc. | 57 | 63,289 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 67 | 69,815 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. | 354 | 373,495 | ||||||||||
|
| |||||||||||
506,599 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.0% | ||||||||||||
United Rentals North America, Inc. | 60 | 60,860 | ||||||||||
|
| |||||||||||
3,713,153 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Israel Electric Corp., Ltd. | 200 | 211,000 | ||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 8,899,768 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - SOVEREIGNS – 1.4% | ||||||||||||
Angola – 0.1% | ||||||||||||
Angolan Government International Bond | 200 | 189,000 | ||||||||||
9.50%, 11/12/2025(b) | 386 | 413,020 | ||||||||||
|
| |||||||||||
602,020 | ||||||||||||
|
| |||||||||||
Argentina – 0.1% | ||||||||||||
Argentine Republic Government International Bond | 592 | 188,906 | ||||||||||
1.00%, 07/09/2029 | 96 | 31,513 | ||||||||||
1.125%, 07/09/2035 | 911 | 270,152 | ||||||||||
2.50%, 07/09/2041 | 52 | 17,572 | ||||||||||
|
| |||||||||||
508,143 | ||||||||||||
|
| |||||||||||
Bahrain – 0.1% | ||||||||||||
Bahrain Government International Bond | 200 | 204,850 | ||||||||||
7.00%, 10/12/2028(b) | 200 | 211,500 |
56 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
7.375%, 05/14/2030(b) | U.S.$ | 200 | $ | 211,850 | ||||||||
|
| |||||||||||
628,200 | ||||||||||||
|
| |||||||||||
Brazil – 0.0% | ||||||||||||
Brazilian Government International Bond | 260 | 242,011 | ||||||||||
|
| |||||||||||
Costa Rica – 0.0% | ||||||||||||
Costa Rica Government International Bond | 200 | 197,975 | ||||||||||
|
| |||||||||||
Dominican Republic – 0.1% | ||||||||||||
Dominican Republic International Bond | 300 | 276,713 | ||||||||||
8.625%, 04/20/2027(b) | 425 | 477,062 | ||||||||||
|
| |||||||||||
753,775 | ||||||||||||
|
| |||||||||||
Ecuador – 0.1% | ||||||||||||
Ecuador Government International Bond | 48 | | 28,139 | | ||||||||
0.50%, 07/31/2040(b) | 200 | 124,263 | ||||||||||
1.00%, 07/31/2035(b) | 436 | 307,366 | ||||||||||
5.00%, 07/31/2030(b) | 166 | 146,289 | ||||||||||
|
| |||||||||||
606,057 | ||||||||||||
|
| |||||||||||
Egypt – 0.1% | ||||||||||||
Egypt Government International Bond | 200 | 162,500 | ||||||||||
8.70%, 03/01/2049(b) | 239 | 187,017 | ||||||||||
|
| |||||||||||
349,517 | ||||||||||||
|
| |||||||||||
El Salvador – 0.0% | ||||||||||||
El Salvador Government International Bond | 9 | 5,421 | ||||||||||
7.625%, 02/01/2041(b) | 334 | 167,585 | ||||||||||
|
| |||||||||||
173,006 | ||||||||||||
|
| |||||||||||
Gabon – 0.0% | ||||||||||||
Gabon Government International Bond | 200 | 181,850 | ||||||||||
|
| |||||||||||
Ghana – 0.1% | ||||||||||||
Ghana Government International Bond | 200 | 137,500 | ||||||||||
8.125%, 03/26/2032(b) | 232 | 155,440 | ||||||||||
10.75%, 10/14/2030(b) | 248 | 240,560 | ||||||||||
|
| |||||||||||
533,500 | ||||||||||||
|
| |||||||||||
Honduras – 0.1% | ||||||||||||
Honduras Government International Bond | 400 | 383,200 | ||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 57 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Ivory Coast – 0.1% | ||||||||||||
Ivory Coast Government International Bond | EUR | 170 | $ | 162,294 | ||||||||
5.125%, 06/15/2025(b) | 152 | 179,995 | ||||||||||
5.875%, 10/17/2031(b) | 135 | 139,619 | ||||||||||
6.125%, 06/15/2033(b) | U.S.$ | 258 | 248,293 | |||||||||
|
| |||||||||||
730,201 | ||||||||||||
|
| |||||||||||
Kenya – 0.1% | ||||||||||||
Republic of Kenya Government International Bond | 200 | 207,000 | ||||||||||
7.00%, 05/22/2027(b) | 275 | 262,625 | ||||||||||
|
| |||||||||||
469,625 | ||||||||||||
|
| |||||||||||
Lebanon – 0.0% | ||||||||||||
Lebanon Government International Bond | 189 | 22,207 | ||||||||||
6.65%, 04/22/2024(a)(b)(k) | 45 | 5,288 | ||||||||||
6.85%, 03/23/2027(a)(b)(k) | 46 | 5,405 | ||||||||||
|
| |||||||||||
32,900 | ||||||||||||
|
| |||||||||||
Nigeria – 0.1% | ||||||||||||
Nigeria Government International Bond | 200 | 190,000 | ||||||||||
7.625%, 11/21/2025-11/28/2047(b) | 467 | 444,520 | ||||||||||
|
| |||||||||||
634,520 | ||||||||||||
|
| |||||||||||
Oman – 0.0% | ||||||||||||
Oman Government International Bond | 213 | 219,923 | ||||||||||
|
| |||||||||||
Pakistan – 0.0% | ||||||||||||
Pakistan Government International Bond | 200 | 182,522 | ||||||||||
|
| |||||||||||
Senegal – 0.1% | ||||||||||||
Senegal Government International Bond | 365 | 336,713 | ||||||||||
|
| |||||||||||
South Africa – 0.1% | ||||||||||||
Republic of South Africa Government International Bond | 247 | 212,698 | ||||||||||
5.875%, 09/16/2025(c) | 300 | 319,744 | ||||||||||
|
| |||||||||||
532,442 | ||||||||||||
|
| |||||||||||
Ukraine – 0.1% | ||||||||||||
Ukraine Government International Bond | 200 | 64,000 | ||||||||||
7.75%, 09/01/2023-09/01/2027(b) | 573 | 191,360 | ||||||||||
|
| |||||||||||
255,360 | ||||||||||||
|
|
58 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Venezuela – 0.0% | ||||||||||||
Venezuela Government International Bond | U.S.$ | 815 | $ | 44,825 | ||||||||
|
| |||||||||||
Total Emerging Markets - Sovereigns | 8,598,285 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.8% | ||||||||||||
Industrial – 0.8% | ||||||||||||
Basic – 0.2% | ||||||||||||
Braskem Idesa SAPI | 200 | 198,600 | ||||||||||
CSN Inova Ventures | 219 | 226,402 | ||||||||||
Eldorado Gold Corp. | 46 | 46,000 | ||||||||||
First Quantum Minerals Ltd. | 212 | 212,052 | ||||||||||
Indika Energy Capital IV Pte Ltd. | 250 | 245,000 | ||||||||||
Stillwater Mining Co. | 200 | 184,000 | ||||||||||
Vedanta Resources Finance II PLC | 201 | 204,266 | ||||||||||
Volcan Cia Minera SAA | 71 | 67,441 | ||||||||||
|
| |||||||||||
1,383,761 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
Cemex SAB de CV | 200 | 191,000 | ||||||||||
7.375%, 06/05/2027(b) | 300 | 320,640 | ||||||||||
Embraer Netherlands Finance BV | 90 | 89,831 | ||||||||||
6.95%, 01/17/2028(b)(c) | 200 | 207,850 | ||||||||||
Odebrecht Holdco Finance Ltd. | 127 | 508 | ||||||||||
|
| |||||||||||
809,829 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
C&W Senior Financing DAC | 200 | 207,238 | ||||||||||
Digicel Group Holdings Ltd. | 9 | 7,258 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 59 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
10.00% (8.00% Cash and 2.00% PIK), 04/01/2024(i) | U.S.$ | 165 | $ | 164,499 | ||||||||
|
| |||||||||||
378,995 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
Melco Resorts Finance Ltd. | 200 | 172,920 | ||||||||||
Wynn Macau Ltd. | 214 | 186,030 | ||||||||||
|
| |||||||||||
358,950 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.0% | ||||||||||||
K2016470219 South Africa Ltd. | 40 | – 0 | – | |||||||||
K2016470260 South Africa Ltd. | 25 | – 0 | – | |||||||||
|
| |||||||||||
– 0 | – | |||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
BRF GmbH | 210 | 206,693 | ||||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL | 13 | 13,166 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV | 200 | 190,500 | ||||||||||
5.125%, 05/09/2029 | 200 | 190,498 | ||||||||||
Tonon Luxembourg SA | 5 | – 0 | – | |||||||||
Virgolino de Oliveira Finance SA | 434 | 43 | ||||||||||
|
| |||||||||||
600,900 | ||||||||||||
|
| |||||||||||
Energy – 0.2% | ||||||||||||
Investment Energy Resources Ltd. | 270 | 278,100 | ||||||||||
Leviathan Bond Ltd. | ||||||||||||
5.75%, 06/30/2023(b) | 18 | 18,063 | ||||||||||
6.50%, 06/30/2027(b) | 109 | 110,836 | ||||||||||
Peru LNG SRL | 217 | 187,271 | ||||||||||
Petrobras Global Finance BV | 59 | 58,799 | ||||||||||
6.75%, 01/27/2041 | 175 | 178,035 | ||||||||||
7.375%, 01/17/2027 | 161 | 180,119 | ||||||||||
8.75%, 05/23/2026 | 27 | 31,679 | ||||||||||
|
| |||||||||||
1,042,902 | ||||||||||||
|
|
60 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Technology – 0.0% | ||||||||||||
CA Magnum Holdings | U.S.$ | 200 | $ | 200,250 | ||||||||
|
| |||||||||||
4,775,587 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Cemig Geracao e Transmissao SA | 200 | 218,050 | ||||||||||
Terraform Global Operating LLC | 12 | 12,043 | ||||||||||
|
| |||||||||||
230,093 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | 112 | 4,193 | ||||||||||
|
| |||||||||||
REITs – 0.0% | ||||||||||||
Scenery Journey Ltd. | 200 | 19,000 | ||||||||||
|
| |||||||||||
23,193 | ||||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 5,028,873 | |||||||||||
|
| |||||||||||
BANK LOANS – 0.8% | ||||||||||||
Financial Institutions – 0.1% | ||||||||||||
Finance – 0.0% | ||||||||||||
Orbit Private Holdings I Ltd. | 20 | 19,883 | ||||||||||
|
| |||||||||||
Insurance – 0.1% | ||||||||||||
Hub International Limited | �� | 0 | ** | 306 | ||||||||
4.000% (LIBOR 3 Month + 3.25%), 04/25/2025(p) | 122 | 120,743 | ||||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) 3.959% (LIBOR 1 Month + 3.75%), 09/03/2026(p) | 146 | 144,557 | ||||||||||
|
| |||||||||||
265,606 | ||||||||||||
|
| |||||||||||
285,489 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 61 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Industrial – 0.7% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
ACProducts Holdings, Inc. | U.S.$ | 182 | $ | 172,707 | ||||||||
Chariot Buyer LLC | 20 | 19,800 | ||||||||||
Granite US Holdings Corporation | 162 | 160,774 | ||||||||||
|
| |||||||||||
353,281 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
Advantage Sales & Marketing, Inc. | 0 | ** | 371 | |||||||||
5.250% (LIBOR 3 Month + 4.50%), 10/28/2027(p) | 148 | 146,367 | ||||||||||
Clear Channel Outdoor Holdings, Inc. | 0 | ** | 86 | |||||||||
3.799% (LIBOR 3 Month + 3.50%), 08/21/2026(p) | 34 | 33,686 | ||||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) | 35 | 35,053 | ||||||||||
Univision Communications, Inc. | 95 | 94,916 | ||||||||||
|
| |||||||||||
310,479 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Crown Subsea Communications Holding, Inc. | 128 | 128,113 | ||||||||||
Intrado Corporation | 129 | 114,801 | ||||||||||
Proofpoint, Inc. | 230 | 230,000 | ||||||||||
Zacapa SARL | 197 | 197,141 | ||||||||||
|
| |||||||||||
670,055 | ||||||||||||
|
|
62 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Automotive – 0.0% | ||||||||||||
Clarios Global LP | U.S.$ | 51 | $ | 50,142 | ||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
Caesars Resort Collection, LLC | 180 | 178,126 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.0% | ||||||||||||
Great Outdoors Group, LLC | 51 | 51,080 | ||||||||||
PetSmart LLC | 199 | 197,882 | ||||||||||
|
| |||||||||||
248,962 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Kronos Acquisition Holdings, Inc. | 79 | 73,051 | ||||||||||
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.) | 96 | 94,527 | ||||||||||
Padagis LLC | 47 | 46,706 | ||||||||||
U.S. Renal Care, Inc. | 166 | 159,320 | ||||||||||
US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.) | 169 | 167,531 | ||||||||||
|
| |||||||||||
541,135 | ||||||||||||
|
| |||||||||||
Energy – 0.0% | ||||||||||||
CITGO Petroleum Corporation | 54 | 54,101 | ||||||||||
GIP II Blue Holding, L.P. | 122 | 121,666 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 63 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Parkway Generation, LLC | U.S.$ | 70 | $ | 69,358 | ||||||||
4.500% (LIBOR 1 Month + 3.75%), 11/05/2028(d)(p) | 10 | 9,913 | ||||||||||
|
| |||||||||||
255,038 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
American Tire Distributors, Inc. | 189 | 188,983 | ||||||||||
Dealer Tire, LLC | 39 | 39,016 | ||||||||||
Rockwood Service Corporation | 9 | 9,141 | ||||||||||
|
| |||||||||||
237,140 | ||||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
Amentum Government Services Holdings LLC | 39 | 39,022 | ||||||||||
Team Health Holdings, Inc. | 194 | 185,154 | ||||||||||
Verscend Holding Corp. | 88 | 87,817 | ||||||||||
|
| |||||||||||
311,993 | ||||||||||||
|
| |||||||||||
Technology – 0.2% | ||||||||||||
Ascend Learning, LLC | 60 | 59,775 | ||||||||||
Banff Guarantor, Inc. | 40 | 39,750 | ||||||||||
Boxer Parent Company, Inc. | 164 | 161,592 | ||||||||||
Endurance International Group Holdings, Inc. | 177 | 170,216 | ||||||||||
FINThrive Software Intermediate Holdings, Inc. | 40 | 39,425 |
64 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Loyalty Ventures, Inc. | U.S.$ | 156 | $ | 153,814 | ||||||||
Peraton Corp. | 66 | 65,409 | ||||||||||
Presidio Holdings, Inc. | 2 | 2,100 | ||||||||||
3.800% (LIBOR 3 Month + 3.50%), 01/22/2027(p) | 40 | 40,115 | ||||||||||
Veritas US Inc. | 222 | 218,524 | ||||||||||
|
| |||||||||||
950,720 | ||||||||||||
|
| |||||||||||
4,107,071 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Generation Bridge, LLC | 63 | 62,958 | ||||||||||
Granite Generation LLC | 171 | 162,099 | ||||||||||
4.750% (LIBOR 3 Month + 3.75%), 11/09/2026(p) | 34 | 32,063 | ||||||||||
|
| |||||||||||
257,120 | ||||||||||||
|
| |||||||||||
Total Bank Loans | 4,649,680 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.7% | ||||||||||||
Risk Share Floating Rate – 0.7% | ||||||||||||
Bellemeade Re Ltd. | 150 | 148,447 | ||||||||||
Series 2019-3A, Class M1C | 164 | 162,933 | ||||||||||
Connecticut Avenue Securities Trust | 51 | 51,875 | ||||||||||
Eagle Re Ltd. | 150 | 149,395 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 65 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | U.S.$ | 790 | $ | 830,052 | ||||||
Series 2016-HQA3, Class M3 | 289 | 295,000 | ||||||||
Series 2016-HQA4, Class M3 | 316 | 324,329 | ||||||||
Series 2019-DNA3, Class M2 | 14 | 14,373 | ||||||||
Series 2020-DNA1, Class M2 | 114 | 113,823 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 65 | 66,150 | ||||||||
Series 2015-C02, Class 2M2 | 1 | 1,134 | ||||||||
Series 2015-C03, Class 1M2 | 3 | 3,394 | ||||||||
Series 2015-C03, Class 2M2 | 4 | 4,444 | ||||||||
Series 2015-C04, Class 2M2 | 150 | 158,233 | ||||||||
Series 2016-C01, Class 2M2 | 83 | 87,976 | ||||||||
Series 2016-C04, Class 1B | 197 | 215,548 | ||||||||
Series 2016-C05, Class 2M2 | 217 | 224,709 | ||||||||
Series 2016-C07, Class 2M2 | 252 | 262,626 |
66 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2017-C01, Class 1B1 | U.S.$ | 27 | $ | 29,446 | ||||||||
Series 2017-C03, Class 1B1 | 27 | 28,132 | ||||||||||
Series 2017-C05, Class 1B1 | 27 | 27,678 | ||||||||||
Series 2017-C06, Class 1B1 | 143 | 150,570 | ||||||||||
Series 2018-C01, Class 1B1 | 107 | 107,216 | ||||||||||
Home Re Ltd. | 235 | 234,104 | ||||||||||
Mortgage Insurance-Linked Notes | 128 | 128,284 | ||||||||||
Traingle Re Ltd. | 150 | 151,170 | ||||||||||
|
| |||||||||||
3,971,041 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.0% | ||||||||||||
Federal National Mortgage Association Grantor Trust | 94 | 88,714 | ||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.0% | ||||||||||||
Alternative Loan Trust | 9 | 6,400 | ||||||||||
CSMC Mortgage-Backed Trust | 10 | 5,677 | ||||||||||
|
| |||||||||||
12,077 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 4,071,832 | |||||||||||
|
| |||||||||||
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 67 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 0.5% | ||||||||||||
CLO - Floating Rate – 0.5% | ||||||||||||
Ares XXXIV CLO Ltd. | U.S.$ | 270 | $ | 267,975 | ||||||||
Dryden 49 Senior Loan Fund | 250 | 243,419 | ||||||||||
Dryden 98 CLO Ltd. | 250 | 249,827 | ||||||||||
Dryden CLO Ltd. | 250 | 250,052 | ||||||||||
Elmwood CLO VIII Ltd. | 150 | 145,883 | ||||||||||
Elmwood CLO XII Ltd. | 250 | 245,229 | ||||||||||
Octagon Investment Partners 29 Ltd. | 263 | 259,745 | ||||||||||
Rad CLO 11 Ltd. | 250 | 246,341 | ||||||||||
Regatta XIX Funding Ltd. | 250 | 246,250 | ||||||||||
Rockford Tower CLO Ltd. | 306 | 298,723 | ||||||||||
Trimaran Cavu Ltd. | 250 | 239,570 |
68 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Voya CLO Ltd. | U.S.$ | 109 | $ | 103,663 | ||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 2,796,677 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.2% | ||||||||||||
Quasi-Sovereign Bonds – 0.2% | ||||||||||||
Mexico – 0.1% | ||||||||||||
Petroleos Mexicanos | 301 | 279,915 | ||||||||||
6.49%, 01/23/2027 | 51 | 52,351 | ||||||||||
6.50%, 01/23/2029 | 41 | 41,000 | ||||||||||
6.75%, 09/21/2047 | 182 | 149,859 | ||||||||||
6.95%, 01/28/2060 | 31 | 25,594 | ||||||||||
|
| |||||||||||
548,719 | ||||||||||||
|
| |||||||||||
Oman – 0.0% | ||||||||||||
Lamar Funding Ltd. | 206 | 201,983 | ||||||||||
|
| |||||||||||
Ukraine – 0.0% | ||||||||||||
State Agency of Roads of Ukraine | 324 | 97,200 | ||||||||||
|
| |||||||||||
United Arab Emirates – 0.1% | ||||||||||||
DP World Crescent Ltd. | 220 | 224,785 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 1,072,687 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.1% | ||||||||||||
Colombia – 0.0% | ||||||||||||
Colombia Government International Bond | 200 | 179,413 | ||||||||||
|
| |||||||||||
Mexico – 0.1% | ||||||||||||
Mexico Government International Bond | 200 | 213,400 | ||||||||||
|
| |||||||||||
Total Governments - Sovereign Bonds | 392,813 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 69 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
PREFERRED STOCKS – 0.0% | ||||||||||||
Industrials – 0.0% | ||||||||||||
Auto Components – 0.0% | ||||||||||||
Energy Technology | 117 | $ | 99,742 | |||||||||
|
| |||||||||||
Energy Equipment & Services – 0.0% | ||||||||||||
Gulfport Energy Operating Corp. | 9 | 45,000 | ||||||||||
|
| |||||||||||
Industrial Conglomerates – 0.0% | ||||||||||||
WESCO International, Inc. | 3,350 | 97,753 | ||||||||||
|
| |||||||||||
242,495 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 0.0% | ||||||||||||
Household Durables – 0.0% | ||||||||||||
Hovnanian Enterprises, Inc. | 1,190 | 24,764 | ||||||||||
|
| |||||||||||
Total Preferred Stocks | 267,259 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.0% | ||||||||||||
Non-Agency Floating Rate CMBS – 0.0% | ||||||||||||
DBWF Mortgage Trust | U.S.$ | 100 | 97,245 | |||||||||
Morgan Stanley Capital I Trust | 39 | 28,296 | ||||||||||
|
| |||||||||||
125,541 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 0.0% | ||||||||||||
Citigroup Commercial Mortgage Trust | 35 | 34,486 | ||||||||||
GS Mortgage Securities Trust | 28 | 12,365 |
70 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
JPMBB Commercial Mortgage Securities Trust | U.S.$ | 71 | $ | 67,974 | ||||||||
|
| |||||||||||
114,825 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 240,366 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
WARRANTS – 0.0% | ||||||||||||
Industrials – 0.0% | ||||||||||||
Construction & Engineering – 0.0% | ||||||||||||
Willscot Corp., expiring 11/29/2022(a)(d)(e) | 1,913 | 38,576 | ||||||||||
|
| |||||||||||
Information Technology – 0.0% | ||||||||||||
Software – 0.0% | ||||||||||||
Avaya Holdings Corp., expiring 12/15/2022(a) | 4,686 | 14,011 | ||||||||||
|
| |||||||||||
Energy – 0.0% | ||||||||||||
Oil, Gas & Consumable Fuels – 0.0% | ||||||||||||
Battalion Oil Corp., expiring 10/08/2022(a)(d)(e) | 14 | – 0 | – | |||||||||
Battalion Oil Corp., expiring 10/08/2022(a)(c)(d)(e) | 10 | – 0 | – | |||||||||
SandRidge Energy, Inc., A-CW22, | 4,816 | 145 | ||||||||||
SandRidge Energy, Inc., B-CW22, | 2,024 | 22 | ||||||||||
|
| |||||||||||
167 | ||||||||||||
|
| |||||||||||
Diversified – 0.0% | ||||||||||||
Special Purpose Acquisition Company – 0.0% | ||||||||||||
CWT Travel Holdings, A-CW26, | 1,052 | 34 | ||||||||||
CWT Travel Holdings, B-CW28, | 1,108 | 30 | ||||||||||
|
| |||||||||||
64 | ||||||||||||
|
| |||||||||||
Total Warrants | 52,818 | |||||||||||
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 71 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ASSET-BACKED SECURITIES – 0.0% | ||||||||||||
Other ABS - Fixed Rate – 0.0% | ||||||||||||
Marlette Funding Trust | U.S.$ | 35 | $ | 35,210 | ||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED - CALLS – 0.0% |
| |||||||||||
Swaptions – 0.0% | ||||||||||||
CDX-NAHY Series 37, 5 Year Index | USD | 820,000 | 5,484 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
MORTGAGE PASS-THROUGHS – 0.0% | ||||||||||||
Agency Fixed Rate 30-Year – 0.0% | ||||||||||||
Federal National Mortgage Association | U.S.$ | 0 | ** | 94 | ||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 11.7% | ||||||||||||
Investment Companies – 11.7% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(l)(q)(r) | 70,614,283 | 70,614,283 | ||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 97.8% | 591,144,063 | |||||||||||
|
| |||||||||||
72 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 1.9% | ||||||||||||
Investment Companies – 1.9% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(l)(q)(r) | 11,363,497 | $ | 11,363,497 | |||||||||
|
| |||||||||||
Total Investments – 99.7% | 602,507,560 | |||||||||||
Other assets less liabilities – 0.3% | 1,954,945 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 604,462,505 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
10 Yr Australian Bond Futures | 141 | March 2022 | $ | 13,777,003 | $ | (453,927 | ) | |||||||||
10 Yr Canadian Bond Futures | 200 | June 2022 | 21,565,286 | 132,096 | ||||||||||||
10 Yr Japan Bond (OSE) Futures | 30 | March 2022 | 39,272,822 | (425,475 | ) | |||||||||||
E-Mini Russell 2000 Futures | 4 | March 2022 | 408,900 | (9,686 | ) | |||||||||||
Euro Buxl 30 Yr Bond Futures | 63 | March 2022 | 13,970,928 | (1,362,028 | ) | |||||||||||
Euro STOXX 50 Index Futures | 10 | March 2022 | 440,315 | (5,487 | ) | |||||||||||
Euro-BOBL Futures | 63 | March 2022 | 9,314,423 | (174,344 | ) | |||||||||||
Euro-Bund Futures | 89 | March 2022 | 16,669,126 | (745,761 | ) | |||||||||||
Euro-Schatz Futures | 68 | March 2022 | 8,538,675 | (17,610 | ) | |||||||||||
FTSE KLCI Futures | 168 | March 2022 | 3,189,139 | 52,991 | ||||||||||||
FTSE/JSE Top 40 Futures | 29 | March 2022 | 1,306,620 | 19,471 | ||||||||||||
Long Gilt Futures | 346 | June 2022 | 57,128,706 | 414,071 | ||||||||||||
MSCI Emerging Markets Futures | 212 | March 2022 | 12,460,300 | (710,339 | ) | |||||||||||
OMXS30 Index Futures | 146 | March 2022 | 3,288,108 | (191,903 | ) | |||||||||||
S&P 400 E-Mini Futures | 31 | March 2022 | 8,239,800 | (361,405 | ) | |||||||||||
S&P TSX 60 Index Futures | 4 | March 2022 | 804,986 | (11,664 | ) | |||||||||||
SET 50 Futures | 870 | March 2022 | 5,368,839 | 142,045 | ||||||||||||
SGX Nifty 50 Futures | 47 | March 2022 | 1,577,320 | (45,841 | ) | |||||||||||
SPI 200 Futures | 24 | March 2022 | 3,060,482 | 16,662 | ||||||||||||
TOPIX Index Futures | 9 | March 2022 | 1,480,364 | 24,563 | ||||||||||||
U.S. Long Bond (CBT) Futures | 2 | June 2022 | 313,375 | 1,185 | ||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 145 | June 2022 | 31,207,851 | 79,173 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 243 | June 2022 | 28,742,344 | 163,001 | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 467 | June 2022 | 59,513,313 | 489,035 | ||||||||||||
U.S. Ultra Bond (CBT) Futures | 258 | June 2022 | 47,971,875 | 702,524 | ||||||||||||
WIG 20 Index Futures | 99 | March 2022 | 943,778 | (100,882 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 73 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Sold Contracts |
| |||||||||||||||
BIST 30 Futures | 3 | April 2022 | $ | 4,743 | $ | (36 | ) | |||||||||
E-Mini Russell 2000 Futures | 84 | March 2022 | 10,166,100 | 558,293 | ||||||||||||
Euro STOXX 50 Index Futures | 257 | March 2022 | 11,316,089 | 396,044 | ||||||||||||
Euro-Bund Futures | 2 | March 2022 | 374,587 | 5,974 | ||||||||||||
FTSE 100 Index Futures | 40 | March 2022 | 3,989,354 | (36,089 | ) | |||||||||||
FTSE China A50 Futures | 219 | March 2022 | 3,227,403 | 81,323 | ||||||||||||
FTSE KLCI Futures | 45 | March 2022 | 2,781,000 | 65,259 | ||||||||||||
Hang Seng Index Futures | 15 | March 2022 | 2,174,488 | 115,083 | ||||||||||||
Long Gilt Futures | 22 | June 2022 | 3,632,461 | (26,103 | ) | |||||||||||
Mexican BOLSA Index Futures | 16 | March 2022 | 418,081 | (15,310 | ) | |||||||||||
MSCI EAFE Futures | 1 | March 2022 | 107,990 | 6,413 | ||||||||||||
MSCI Emerging Markets Futures | 4 | March 2022 | 235,100 | 7,433 | ||||||||||||
MSCI Singapore IX ETS Futures | 174 | March 2022 | 4,253,419 | 156,907 | ||||||||||||
S&P 500 E-Mini Futures | 276 | March 2022 | 60,278,400 | 3,127,169 | ||||||||||||
S&P TSX 60 Index Futures | 4 | March 2022 | 804,986 | 8,371 | ||||||||||||
SPI 200 Futures | 6 | March 2022 | 765,121 | 28,532 | ||||||||||||
TOPIX Index Futures | 17 | March 2022 | 2,796,242 | 76,363 | ||||||||||||
U.S. 10 Yr Ultra Futures | 5 | June 2022 | 706,641 | (8,538 | ) | |||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 73 | June 2022 | 15,711,539 | (40,059 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 172 | June 2022 | 21,919,250 | (180,300 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures | 46 | June 2022 | 8,553,125 | 21,135 | ||||||||||||
|
| |||||||||||||||
$ | 1,968,329 | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Bank of America, NA | USD | 80 | RUB | 6,730 | 03/24/2022 | $ | (17,616 | ) | ||||||||
Bank of America, NA | CLP | 2,603,936 | USD | 3,124 | 03/25/2022 | (125,799 | ) | |||||||||
Bank of America, NA | USD | 2,023 | CLP | 1,665,339 | 03/25/2022 | 54,969 | ||||||||||
Bank of America, NA | INR | 69,419 | USD | 922 | 04/07/2022 | 5,619 | ||||||||||
Bank of America, NA | INR | 42,010 | USD | 552 | 04/07/2022 | (2,854 | ) | |||||||||
Bank of America, NA | PHP | 55,607 | USD | 1,076 | 04/28/2022 | (4,979 | ) | |||||||||
Bank of America, NA | USD | 631 | TWD | 17,499 | 04/28/2022 | (5,027 | ) | |||||||||
Barclays Bank PLC | USD | 4,718 | RUB | 352,620 | 03/02/2022 | (1,453,195 | ) | |||||||||
Barclays Bank PLC | BRL | 29,948 | USD | 5,915 | 03/03/2022 | 101,845 | ||||||||||
Barclays Bank PLC | BRL | 1,671 | USD | 315 | 03/03/2022 | (9,670 | ) | |||||||||
Barclays Bank PLC | USD | 6,152 | BRL | 31,619 | 03/03/2022 | (14,689 | ) | |||||||||
Barclays Bank PLC | USD | 786 | NOK | 7,040 | 03/16/2022 | 12,067 | ||||||||||
Barclays Bank PLC | SEK | 14,845 | USD | 1,588 | 03/24/2022 | 20,241 | ||||||||||
Barclays Bank PLC | PEN | 3,661 | USD | 950 | 03/25/2022 | (14,621 | ) | |||||||||
Barclays Bank PLC | USD | 2,558 | CLP | 2,093,350 | 03/25/2022 | 54,804 | ||||||||||
Barclays Bank PLC | USD | 683 | PEN | 2,569 | 03/25/2022 | (6,058 | ) | |||||||||
Barclays Bank PLC | USD | 6,730 | BRL | 34,398 | 04/04/2022 | (110,258 | ) | |||||||||
Barclays Bank PLC | INR | 14,003 | USD | 184 | 04/07/2022 | (1,072 | ) | |||||||||
Barclays Bank PLC | USD | 923 | INR | 69,419 | 04/07/2022 | (6,742 | ) | |||||||||
Barclays Bank PLC | USD | 702 | ZAR | 10,900 | 04/21/2022 | 1,923 | ||||||||||
Barclays Bank PLC | IDR | 9,979,716 | USD | 695 | 04/28/2022 | 3,347 |
74 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Barclays Bank PLC | KRW | 1,486,996 | USD | 1,248 | 04/28/2022 | $ | 12,617 | |||||||||
Barclays Bank PLC | KRW | 3,098,794 | USD | 2,556 | 04/28/2022 | (19,636 | ) | |||||||||
Barclays Bank PLC | PHP | 89,002 | USD | 1,722 | 04/28/2022 | (8,043 | ) | |||||||||
Barclays Bank PLC | USD | 152 | JPY | 17,447 | 04/28/2022 | 59 | ||||||||||
Barclays Bank PLC | USD | 3,624 | KRW | 4,318,363 | 04/28/2022 | (35,247 | ) | |||||||||
Barclays Bank PLC | USD | 1,146 | PHP | 59,082 | 04/28/2022 | 3,150 | ||||||||||
Barclays Bank PLC | USD | 718 | CZK | 15,960 | 05/06/2022 | (11,472 | ) | |||||||||
Barclays Bank PLC | USD | 1,853 | HUF | 610,425 | 05/06/2022 | (24,697 | ) | |||||||||
Barclays Bank PLC | USD | 380 | CNH | 2,412 | 05/18/2022 | (214 | ) | |||||||||
Barclays Bank PLC | MYR | 18,212 | USD | 4,336 | 06/16/2022 | 5,212 | ||||||||||
Barclays Bank PLC | MYR | 30,524 | USD | 7,217 | 06/16/2022 | (41,917 | ) | |||||||||
Barclays Bank PLC | USD | 12,337 | MYR | 51,852 | 06/16/2022 | (6,280 | ) | |||||||||
BNP Paribas SA | USD | 5,186 | EUR | 4,584 | 05/12/2022 | (32,220 | ) | |||||||||
Citibank, NA | COP | 12,784,665 | USD | 3,198 | 03/25/2022 | (41,409 | ) | |||||||||
Citibank, NA | USD | 1,829 | CLP | 1,507,772 | 03/25/2022 | 52,635 | ||||||||||
Citibank, NA | USD | 2,960 | CZK | 64,088 | 05/06/2022 | (123,143 | ) | |||||||||
Credit Suisse International | SEK | 3,711 | USD | 395 | 03/24/2022 | 3,100 | ||||||||||
Credit Suisse International | USD | 689 | NOK | 6,201 | 03/24/2022 | 13,844 | ||||||||||
Credit Suisse International | USD | 644 | ZAR | 9,830 | 04/21/2022 | (9,221 | ) | |||||||||
Credit Suisse International | KRW | 1,248,481 | USD | 1,044 | 04/28/2022 | 6,120 | ||||||||||
Credit Suisse International | USD | 1,016 | JPY | 116,758 | 04/28/2022 | 974 | ||||||||||
Credit Suisse International | CZK | 43,884 | USD | 1,945 | 05/06/2022 | 2,979 | ||||||||||
Credit Suisse International | CNH | 9,118 | USD | 1,432 | 05/18/2022 | (3,650 | ) | |||||||||
Deutsche Bank AG | RUB | 77,878 | USD | 938 | 03/02/2022 | 217,227 | ||||||||||
Deutsche Bank AG | USD | 773 | RUB | 63,719 | 03/02/2022 | (183,284 | ) | |||||||||
Deutsche Bank AG | BRL | 31,619 | USD | 6,152 | 03/03/2022 | 14,689 | ||||||||||
Deutsche Bank AG | USD | 5,791 | BRL | 31,619 | 03/03/2022 | 346,470 | ||||||||||
Deutsche Bank AG | MXN | 46,219 | USD | 2,223 | 03/24/2022 | (25,447 | ) | |||||||||
Deutsche Bank AG | NOK | 6,201 | USD | 697 | 03/24/2022 | (6,296 | ) | |||||||||
Deutsche Bank AG | RUB | 63,719 | USD | 761 | 03/24/2022 | 174,083 | ||||||||||
Deutsche Bank AG | USD | 6,954 | SEK | 65,343 | 03/24/2022 | (51,162 | ) | |||||||||
Deutsche Bank AG | CLP | 4,358,679 | USD | 5,388 | 03/25/2022 | (51,660 | ) | |||||||||
Deutsche Bank AG | PEN | 3,006 | USD | 777 | 03/25/2022 | (15,436 | ) | |||||||||
Deutsche Bank AG | USD | 715 | CLP | 583,985 | 03/25/2022 | 13,366 | ||||||||||
Deutsche Bank AG | INR | 175,813 | USD | 2,330 | 04/07/2022 | 8,684 | ||||||||||
Deutsche Bank AG | CHF | 4,245 | USD | 4,597 | 04/13/2022 | (40,119 | ) | |||||||||
Deutsche Bank AG | ZAR | 29,892 | USD | 1,956 | 04/21/2022 | 23,863 | ||||||||||
Deutsche Bank AG | USD | 5,521 | CAD | 7,038 | 04/22/2022 | 32,078 | ||||||||||
Deutsche Bank AG | IDR | 30,202,942 | USD | 2,094 | 04/28/2022 | 476 | ||||||||||
Deutsche Bank AG | USD | 3,889 | IDR | 56,192,808 | 04/28/2022 | 5,737 | ||||||||||
Deutsche Bank AG | PLN | 5,034 | USD | 1,251 | 05/06/2022 | 57,620 | ||||||||||
Deutsche Bank AG | EUR | 3,007 | USD | 3,442 | 05/12/2022 | 60,867 | ||||||||||
Deutsche Bank AG | CNH | 10,649 | USD | 1,665 | 05/18/2022 | (11,076 | ) | |||||||||
Goldman Sachs Bank USA | RUB | 561,956 | USD | 7,458 | 03/02/2022 | 2,254,618 | ||||||||||
Goldman Sachs Bank USA | USD | 3,276 | RUB | 246,570 | 03/02/2022 | (992,489 | ) | |||||||||
Goldman Sachs Bank USA | USD | 735 | MXN | 15,177 | 03/24/2022 | 3,574 | ||||||||||
Goldman Sachs Bank USA | USD | 420 | CLP | 342,525 | 03/25/2022 | 7,922 | ||||||||||
Goldman Sachs Bank USA | USD | 4,253 | COP | 16,930,624 | 03/25/2022 | 37,453 | ||||||||||
Goldman Sachs Bank USA | USD | 2,764 | PEN | 10,287 | 03/25/2022 | (52,189 | ) | |||||||||
Goldman Sachs Bank USA | IDR | 16,632,861 | USD | 1,159 | 04/28/2022 | 5,853 | ||||||||||
Goldman Sachs Bank USA | KRW | 1,486,996 | USD | 1,248 | 04/28/2022 | 12,538 | ||||||||||
Goldman Sachs Bank USA | USD | 11,057 | PHP | 575,043 | 04/28/2022 | 123,636 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 75 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Goldman Sachs Bank USA | HUF | 221,296 | USD | 665 | 05/06/2022 | $ | 1,919 | |||||||||
Goldman Sachs Bank USA | MYR | 13,758 | USD | 3,205 | 06/16/2022 | (66,500 | ) | |||||||||
Goldman Sachs Bank USA | USD | 10,524 | MYR | 44,662 | 06/16/2022 | 96,426 | ||||||||||
Goldman Sachs Bank USA | USD | 2,213 | MYR | 9,264 | 06/16/2022 | (9,602 | ) | |||||||||
HSBC Bank USA | USD | 2,532 | GBP | 1,873 | 03/17/2022 | (19,020 | ) | |||||||||
HSBC Bank USA | NZD | 8,120 | USD | 5,370 | 03/18/2022 | (122,786 | ) | |||||||||
HSBC Bank USA | MXN | 11,445 | USD | 551 | 03/24/2022 | (5,903 | ) | |||||||||
HSBC Bank USA | COP | 12,784,665 | USD | 3,201 | 03/25/2022 | (38,647 | ) | |||||||||
HSBC Bank USA | PEN | 18,981 | USD | 4,902 | 03/25/2022 | (101,150 | ) | |||||||||
HSBC Bank USA | USD | 1,486 | PEN | 5,643 | 03/25/2022 | 1,514 | ||||||||||
HSBC Bank USA | AUD | 8,355 | USD | 5,948 | 04/28/2022 | (124,970 | ) | |||||||||
HSBC Bank USA | JPY | 295,393 | USD | 2,560 | 04/28/2022 | (13,038 | ) | |||||||||
HSBC Bank USA | KRW | 451,364 | USD | 376 | 04/28/2022 | 423 | ||||||||||
HSBC Bank USA | TWD | 17,499 | USD | 632 | 04/28/2022 | 6,166 | ||||||||||
HSBC Bank USA | USD | 1,412 | KRW | 1,700,764 | 04/28/2022 | 992 | ||||||||||
Morgan Stanley Capital Services, Inc. | RUB | 23,075 | USD | 308 | 03/02/2022 | 94,186 | ||||||||||
Morgan Stanley Capital Services, Inc. | ZAR | 71,647 | USD | 4,670 | 04/21/2022 | 39,315 | ||||||||||
Morgan Stanley Capital Services, Inc. | CAD | 4,717 | USD | 3,710 | 04/22/2022 | (12,196 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,263 | PLN | 5,034 | 05/06/2022 | (69,301 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | EUR | 3,747 | USD | 4,288 | 05/12/2022 | 75,791 | ||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 11,357 | USD | 2,675 | 06/16/2022 | (25,289 | ) | |||||||||
Standard Chartered Bank | IDR | 56,343,551 | USD | 3,902 | 04/28/2022 | (3,169 | ) | |||||||||
Standard Chartered Bank | JPY | 120,658 | USD | 1,050 | 04/28/2022 | (662 | ) | |||||||||
Standard Chartered Bank | USD | 1,606 | JPY | 184,487 | 04/28/2022 | 1,012 | ||||||||||
State Street Bank & Trust Co. | THB | 354,284 | USD | 10,559 | 03/10/2022 | (282,974 | ) | |||||||||
State Street Bank & Trust Co. | USD | 6,233 | THB | 207,858 | 03/10/2022 | 127,978 | ||||||||||
State Street Bank & Trust Co. | USD | 1,436 | THB | 46,326 | 03/10/2022 | (18,013 | ) | |||||||||
State Street Bank & Trust Co. | GBP | 516 | USD | 704 | 03/17/2022 | 10,898 | ||||||||||
State Street Bank & Trust Co. | USD | 378 | ZAR | 5,880 | 04/21/2022 | 1,642 | ||||||||||
State Street Bank & Trust Co. | CAD | 111 | USD | 87 | 04/22/2022 | (221 | ) | |||||||||
State Street Bank & Trust Co. | USD | 314 | CAD | 399 | 04/22/2022 | 940 | ||||||||||
State Street Bank & Trust Co. | PLN | 3,761 | USD | 918 | 05/06/2022 | 26,116 | ||||||||||
State Street Bank & Trust Co. | USD | 460 | HUF | 146,209 | 05/06/2022 | (21,839 | ) | |||||||||
State Street Bank & Trust Co. | EUR | 258 | USD | 293 | 05/12/2022 | 2,901 | ||||||||||
State Street Bank & Trust Co. | USD | 380 | EUR | 334 | 05/12/2022 | (4,547 | ) | |||||||||
|
| |||||||||||||||
$ | (254,236 | ) | ||||||||||||||
|
|
76 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
CREDIT DEFAULT SWAPTIONS WRITTEN (see Note D)
Description | Counterparty | Buy/Sell Protection | Strike Rate | Expiration Month | Notional Amount (000) | Premiums Received | Market Value | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
CDX-NAHY Series 37, 5 Year Index | | BNP Paribas SA | | Sell | 102.00 | % | April 2022 | USD | 820 | $ | 7,737 | $ | (5,062 | ) |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
CNY | 36,260 | 02/17/2025 | China 7-Day Reverse Repo Rate | 2.547% | Quarterly | $ | 40,072 | $ | – 0 | – | $ | 40,072 | ||||||||||||||
CNY | 107,914 | 02/20/2025 | China 7-Day Reverse Repo Rate | 2.598% | Quarterly | 143,838 | – 0 | – | 143,838 | |||||||||||||||||
CNY | 109,516 | 02/21/2025 | China 7-Day Reverse Repo Rate | 2.620% | Quarterly | 157,061 | – 0 | – | 157,061 | |||||||||||||||||
CHF | 1,570 | 09/21/2031 | 1 Day SARON | (0.192)% | Annual | (104,463 | ) | (25,699 | ) | (78,764 | ) | |||||||||||||||
NZD | 630 | 09/28/2031 | 3 Month BKBM | 2.180% | Quarterly/Semi- Annual | (26,466 | ) | – 0 | – | (26,466 | ) | |||||||||||||||
SEK | 5,300 | 10/04/2031 | 3 Month STIBOR | 0.888% | Quarterly/Annual | (23,679 | ) | – 0 | – | (23,679 | ) | |||||||||||||||
SEK | 6,230 | 10/06/2031 | 3 Month STIBOR | 0.888% | Quarterly/Annual | (27,899 | ) | – 0 | – | (27,899 | ) | |||||||||||||||
NZD | 1,330 | 10/06/2031 | 3 Month BKBM | 2.198% | Quarterly/Semi- Annual | (54,783 | ) | – 0 | – | (54,783 | ) | |||||||||||||||
NOK | 100 | 10/21/2031 | 1.983% | 6 Month NIBOR | Annual/Semi- Annual | 163 | – 0 | – | 163 | |||||||||||||||||
CHF | 590 | 11/19/2031 | 1 Day SARON | 0.100% | Annual | (22,571 | ) | – 0 | – | (22,571 | ) | |||||||||||||||
SEK | 7,600 | 12/08/2031 | 3 Month STIBOR | 0.791% | Quarterly/Annual | (43,500 | ) | 6 | (43,506 | ) | ||||||||||||||||
NZD | 1,280 | 12/08/2031 | 3 Month BKBM | 2.513% | Quarterly/Semi- Annual | (33,751 | ) | – 0 | – | (33,751 | ) | |||||||||||||||
NZD | 890 | 01/14/2032 | 3 Month BKBM | 2.755% | Quarterly/Semi- Annual | (11,953 | ) | – 0 | – | (11,953 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (7,931 | ) | $ | (25,693 | ) | $ | 17,762 | |||||||||||||||||||
|
|
|
|
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 77 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 37, 5 Year Index, 12/20/2026* | 5.00 | % | Quarterly | 3.65 | % | USD | 5,570 | $ | 365,920 | $ | 454,718 | $ | (88,798 | ) | ||||||||||||||
iTraxx Xover Series 36, 5 Year Index, 12/20/2026* | 5.00 | Quarterly | 3.46 | EUR | 3,070 | 257,626 | 398,539 | (140,913 | ) | |||||||||||||||||||
Republic of South Africa, 5.875%, 09/16/2025, 12/20/2026* | 1.00 | Quarterly | 2.27 | USD | 300 | (16,336 | ) | (15,099 | ) | (1,237 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 607,210 | $ | 838,158 | $ | (230,948 | ) | ||||||||||||||||||||||
|
|
|
| �� |
|
|
* | Termination date |
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB | (5.00 | )% | Monthly | 7.50 | % | USD | 830 | $ | 350,134 | $ | 261,632 | $ | 88,502 | |||||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | (3.00 | ) | Monthly | 7.50 | USD | 946 | 229,375 | 154,086 | 75,289 | |||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 25 | (10,524 | ) | (11,972 | ) | 1,448 | ||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 1,579 | (665,756 | ) | (263,130 | ) | (402,626 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 4,453 | (1,079,752 | ) | (418,158 | ) | (661,594 | ) | |||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 2,400 | (1,011,946 | ) | (408,483 | ) | (603,463 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
Avis Budget Group, Inc., | 5.00 | Quarterly | 1.31 | USD | 50 | 3,789 | 1,166 | 2,623 | ||||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 5 | (2,024 | ) | (2,299 | ) | 275 | ||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 5 | (2,024 | ) | (2,299 | ) | 275 | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 30 | (12,548 | ) | (13,165 | ) | 617 | ||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 10 | (4,048 | ) | (4,501 | ) | 453 |
78 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | % | Monthly | 7.50 | % | USD | 30 | $ | (12,548 | ) | $ | (12,169 | ) | $ | (379 | ) | ||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 29 | (12,144 | ) | (11,708 | ) | (436 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 31 | (12,953 | ) | (12,415 | ) | (538 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB | 5.00 | Monthly | 7.50 | USD | 32 | (13,358 | ) | (12,727 | ) | (631 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (2,256,327 | ) | $ | (756,142 | ) | $ | (1,500,185 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||
Bank of America, NA |
| |||||||||||||||||
MLABUSCU | OBFR Plus 0.25% | Quarterly | USD | 298 | 11/15/2022 | $ | (7,359 | ) | ||||||||||
MLABUSCU | OBFR Plus 0.25% | Quarterly | USD | 1,541 | 11/15/2022 | (37,975 | ) | |||||||||||
MLABUSLV | OBFR Plus 0.25% | Quarterly | USD | 792 | 11/15/2022 | (9,239 | ) | |||||||||||
MLABUSLV | OBFR Plus 0.25% | Quarterly | USD | 1,620 | 11/15/2022 | (18,651 | ) | |||||||||||
Barclays Bank PLC | ||||||||||||||||||
Barclays Capital US Inflation Linked Bonds 1 to 10 Year | SOFR | Maturity | USD | 111,225 | 05/02/2022 | (200,547 | ) | |||||||||||
Citibank, NA | ||||||||||||||||||
CGABROEF | FedFundEffective Plus 0.30% | Quarterly | USD | 369 | 12/15/2022 | 5,487 | ||||||||||||
CGABROEF | FedFundEffective Plus 0.30% | Quarterly | USD | 207 | 12/15/2022 | (17,887 | ) | |||||||||||
CGABROEF | FedFundEffective Plus 0.30% | Quarterly | USD | 2,625 | 12/15/2022 | (278,870 | ) | |||||||||||
Goldman Sachs International | ||||||||||||||||||
Siltronic AG | ESTR Plus 0.35% | Monthly | EUR | 272 | 01/05/2023 | (113,668 | ) | |||||||||||
Markit iBoxx EUR Contingent Convertible Liquid Developed Market AT1 TRI | EURIBOR | Maturity | EUR | 481 | 03/21/2022 | (31,436 | ) | |||||||||||
Russell 2000 Total Return Index | FedFundEffective Plus 0.16% | Quarterly | USD | 7,685 | 06/15/2022 | (334,071 | ) | |||||||||||
Sanne Group PLC | SONIA Plus 0.35% | Monthly | GBP | 739 | 07/15/2025 | 7,461 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.35% | Monthly | GBP | 144 | 07/15/2025 | 1,640 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 79 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Sanne Group PLC | SONIA Plus 0.35% | Monthly | GBP | 83 | 07/15/2025 | $ | 1,055 | |||||||||||
Sanne Group PLC | SONIA Plus 0.35% | Monthly | GBP | 26 | 07/15/2025 | 23 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.35% | Monthly | GBP | 0 | *** | 07/15/2025 | 4 | |||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 122 | 07/15/2025 | 3,873 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 121 | 07/15/2025 | 3,872 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 120 | 07/15/2025 | 3,715 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 120 | 07/15/2025 | 3,686 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 120 | 07/15/2025 | 3,432 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 81 | 07/15/2025 | 2,868 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 100 | 07/15/2025 | 2,072 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 98 | 07/15/2025 | 1,899 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 47 | 07/15/2025 | 1,639 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 68 | 07/15/2025 | 1,358 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 38 | 07/15/2025 | 1,328 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 80 | 07/15/2025 | 1,249 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 44 | 07/15/2025 | 1,194 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 62 | 07/15/2025 | 966 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 33 | 07/15/2025 | 648 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 22 | 07/15/2025 | 348 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 11 | 07/15/2025 | 266 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 3 | 07/15/2025 | 113 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 1 | 07/15/2025 | 23 | ||||||||||||
Vivo Energy PLC | SOFR Plus 0.35% | Monthly | USD | 0 | *** | 07/15/2025 | 9 | |||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 56 | 08/12/2022 | 8,896 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 211 | 08/12/2022 | 2,151 |
80 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 179 | 08/12/2022 | $ | 2,333 | |||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 172 | 08/12/2022 | 2,067 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 172 | 08/12/2022 | 1,481 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 76 | 08/12/2022 | 829 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 78 | 08/12/2022 | 722 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 85 | 08/12/2022 | 642 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 62 | 08/12/2022 | 677 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 55 | 08/12/2022 | 619 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 61 | 08/12/2022 | 396 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 27 | 08/12/2022 | 294 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 24 | 08/12/2022 | 181 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 24 | 08/12/2022 | 178 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 2 | 08/12/2022 | 24 | ||||||||||||
Blue Prism Group PLC | SONIA Plus 0.35% | Monthly | GBP | 2 | 08/12/2022 | 18 | ||||||||||||
JPABJVAL(1) | TONAR Plus 0.18% | Quarterly | JPY | 130,360 | 11/15/2022 | (10,131 | ) | |||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 270 | 10/18/2023 | 17,952 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 129 | 10/18/2023 | 17,673 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 135 | 10/18/2023 | 15,567 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 105 | 10/18/2023 | 14,667 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 166 | 10/18/2023 | 10,596 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 141 | 10/18/2023 | 10,190 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 101 | 10/18/2023 | 10,382 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 119 | 10/18/2023 | 8,059 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 133 | 10/18/2023 | 7,752 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 96 | 10/18/2023 | 7,622 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 81 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 50 | 10/18/2023 | $ | 7,321 | |||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 108 | 10/18/2023 | 6,864 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 93 | 10/18/2023 | 6,485 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 66 | 10/18/2023 | 6,492 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 57 | 10/18/2023 | 5,804 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 54 | 10/18/2023 | 4,938 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 50 | 10/18/2023 | 3,087 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 16 | 10/18/2023 | 1,489 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 15 | 10/18/2023 | 1,111 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 15 | 10/18/2023 | 1,034 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 10 | 10/18/2023 | 1,025 | ||||||||||||
Avast PLC | SONIA Plus 0.54% | Monthly | GBP | 9 | 10/18/2023 | 928 | ||||||||||||
Bloomberg Commodity Index | 0 12% | Annual | USD | 52,302 | 03/15/2022 | 7,886,839 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 172 | 10/18/2023 | 11,114 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 186 | 10/18/2023 | 10,217 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 101 | 10/18/2023 | 6,586 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 168 | 10/18/2023 | 6,066 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 169 | 10/18/2023 | 5,936 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 165 | 10/18/2023 | 5,779 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 167 | 10/18/2023 | 3,872 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 82 | 10/18/2023 | 3,746 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 73 | 10/18/2023 | 2,964 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 79 | 10/18/2023 | 2,927 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 70 | 10/18/2023 | 2,028 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 59 | 10/18/2023 | 1,809 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 56 | 10/18/2023 | 1,410 |
82 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 92 | 10/18/2023 | $ | 1,283 | |||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 71 | 10/18/2023 | 975 | ||||||||||||
Meggitt PLC | SONIA Plus 0.54% | Monthly | GBP | 72 | 10/18/2023 | 641 | ||||||||||||
RTS Futures | 0.00% | Monthly | USD | 312 | 03/17/2022 | (218,762 | ) | |||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 347 | 10/18/2023 | 3,476 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 223 | 10/18/2023 | 2,564 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 87 | 10/18/2023 | 1,005 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 70 | 10/18/2023 | 812 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 63 | 10/18/2023 | 729 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 65 | 10/18/2023 | 706 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 14 | 10/18/2023 | 186 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 7 | 10/18/2023 | 82 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 1 | 10/18/2023 | 10 | ||||||||||||
Sanne Group PLC | SONIA Plus 0.54% | Monthly | GBP | 0 | *** | 10/18/2023 | 1 | |||||||||||
Swiss Market Index Futures | 0.00% | Monthly | CHF | 588 | 03/18/2022 | (17,771 | ) | |||||||||||
Swiss Market Index Futures | 0.00% | Monthly | CHF | 1,412 | 03/18/2022 | (50,282 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 35 | 10/18/2023 | 750 | ||||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 41 | 10/18/2023 | 372 | ||||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 46 | 10/18/2023 | (76 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 35 | 10/18/2023 | (40 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 120 | 10/18/2023 | (437 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 84 | 10/18/2023 | (2,494 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 84 | 10/18/2023 | (2,709 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 87 | 10/18/2023 | (3,026 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 85 | 10/18/2023 | (3,156 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 83 | 10/18/2023 | (3,255 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 83 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Annual | GBP | 80 | 10/18/2023 | $ | (4,051 | ) | ||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 106 | 10/18/2023 | (4,386 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 75 | 10/18/2023 | (4,321 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 71 | 10/18/2023 | (5,034 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 95 | 10/18/2023 | (6,121 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 163 | 10/18/2023 | (6,621 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 163 | 10/18/2023 | (7,052 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 151 | 10/18/2023 | (9,442 | ) | |||||||||||
Ultra Electronics Holdings PLC | SONIA Plus 0.54% | Monthly | GBP | 152 | 10/18/2023 | (10,437 | ) | |||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 237 | 07/15/2025 | 1,235 | ||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 147 | 07/15/2025 | 380 | ||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 6 | 07/15/2025 | 132 | ||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 8 | 07/15/2025 | 80 | ||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 1 | 07/15/2025 | 11 | ||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 1 | 07/15/2025 | (7 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 0 | *** | 07/15/2025 | (13 | ) | ||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.33% | Monthly | USD | 1 | 07/15/2025 | (32 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 45 | 07/15/2025 | (451 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 30 | 07/15/2025 | (472 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 185 | 07/15/2025 | (922 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 70 | 07/15/2025 | (1,018 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.33% | Monthly | USD | 23 | 07/15/2025 | (1,061 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 178 | 07/15/2025 | (1,889 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 237 | 07/15/2025 | (2,180 | ) |
84 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 59 | 07/15/2025 | $ | (4,259 | ) | ||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 96 | 07/15/2025 | (4,420 | ) | |||||||||||
Columbia Banking System, Inc. | SOFR Minus 0.32% | Monthly | USD | 171 | 07/15/2025 | (10,207 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 66 | 07/15/2025 | 2,976 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 66 | 07/15/2025 | 2,635 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 52 | 07/15/2025 | 2,023 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 43 | 07/15/2025 | 1,247 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 34 | 07/15/2025 | 675 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 20 | 07/15/2025 | 568 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 27 | 07/15/2025 | 482 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 44 | 07/15/2025 | 432 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 3 | 07/15/2025 | 80 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.33% | Monthly | USD | 12 | 07/15/2025 | 69 | ||||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 4 | 07/15/2025 | (2 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.33% | Monthly | USD | 1 | 07/15/2025 | (146 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 14 | 07/15/2025 | (239 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 20 | 07/15/2025 | (554 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 19 | 07/15/2025 | (571 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 78 | 07/15/2025 | (850 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 74 | 07/15/2025 | (1,164 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 39 | 07/15/2025 | (1,590 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.33% | Monthly | USD | 20 | 07/15/2025 | (1,683 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 23 | 07/15/2025 | (2,543 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 42 | 07/15/2025 | (3,032 | ) | |||||||||||
Entegris, Inc. | SOFR Minus 0.32% | Monthly | USD | 35 | 07/15/2025 | (4,082 | ) | |||||||||||
GSABHVIP | SOFR | Quarterly | USD | 509 | 09/15/2022 | (23,889 | ) |
abfunds.com | AB ALL MARKET��TOTAL RETURN PORTFOLIO | 85 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
II-VI, Inc. | SOFR Minus 0.31% | Monthly | USD | 240 | 01/05/2023 | $ | (4,036 | ) | ||||||||||
II-VI, Inc. | SOFR Minus 0.30% | Monthly | USD | 240 | 01/05/2023 | (6,502 | ) | |||||||||||
II-VI, Inc. | SOFR Minus 0.31% | Monthly | USD | 240 | 01/05/2023 | (12,046 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 1 | 01/05/2023 | (81 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 7 | 01/05/2023 | (813 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.05% | Monthly | USD | 10 | 01/05/2023 | (1,227 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 10 | 01/05/2023 | (1,468 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 21 | 01/05/2023 | (3,049 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.07% | Monthly | USD | 21 | 01/05/2023 | (3,196 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.29% | Monthly | USD | 37 | 01/05/2023 | (4,076 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 33 | 01/05/2023 | (4,952 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.29% | Monthly | USD | 63 | 01/05/2023 | (7,674 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 58 | 01/05/2023 | (8,888 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.28% | Monthly | USD | 73 | 01/05/2023 | (10,257 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 108 | 01/05/2023 | (16,138 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.29% | Monthly | USD | 211 | 01/05/2023 | (20,619 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.28% | Monthly | USD | 182 | 01/05/2023 | (25,049 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.07% | Monthly | USD | 265 | 01/05/2023 | (35,987 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 272 | 01/05/2023 | (39,936 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.26% | Monthly | USD | 3 | 07/15/2025 | (277 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 6 | 07/15/2025 | (1,030 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 22 | 07/15/2025 | (3,507 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.27% | Monthly | USD | 71 | 07/15/2025 | (7,912 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.30% | Monthly | USD | 102 | 07/15/2025 | (12,770 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 83 | 07/15/2025 | (13,288 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 99 | 07/15/2025 | (14,177 | ) |
86 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 124 | 07/15/2025 | $ | (22,383 | ) | ||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 145 | 07/15/2025 | (22,775 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 157 | 07/15/2025 | (27,054 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 182 | 07/15/2025 | (34,169 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 182 | 07/15/2025 | (34,479 | ) | |||||||||||
M&T Bank Corp. | SOFR Minus 0.32% | Monthly | USD | 304 | 07/15/2025 | (55,927 | ) | |||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 447 | 01/05/2023 | 44,215 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 427 | 01/05/2023 | 39,361 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 331 | 01/05/2023 | 21,941 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 198 | 01/05/2023 | 20,415 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 293 | 01/05/2023 | 18,125 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.07% | Monthly | USD | 128 | 01/05/2023 | 8,994 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 142 | 01/05/2023 | 6,294 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 18 | 01/05/2023 | 1,027 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.29% | Monthly | USD | 46 | 01/05/2023 | (343 | ) | |||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.29% | Monthly | USD | 125 | 01/05/2023 | (485 | ) | |||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 67 | 07/15/2025 | 8,935 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.30% | Monthly | USD | 206 | 07/15/2025 | 8,465 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 51 | 07/15/2025 | 7,380 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 87 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 44 | 07/15/2025 | $ | 6,622 | |||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 69 | 07/15/2025 | 1,357 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 69 | 07/15/2025 | 1,186 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.33% | Monthly | USD | 54 | 07/15/2025 | 79 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 1 | 07/15/2025 | 78 | ||||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.32% | Monthly | USD | 8 | 07/15/2025 | (71 | ) | |||||||||||
New York Community Bancorp, Inc. | SOFR Minus 0.33% | Monthly | USD | 108 | 07/15/2025 | (121 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.32% | Monthly | USD | 21 | 07/15/2025 | 6,671 | ||||||||||||
Quidel Corporation | SOFR Minus 0.32% | Monthly | USD | 0 | *** | 07/15/2025 | (6 | ) | ||||||||||
Quidel Corporation | SOFR Minus 0.33% | Monthly | USD | 47 | 07/15/2025 | (1,252 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.32% | Monthly | USD | 24 | 07/15/2025 | (2,056 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.33% | Monthly | USD | 56 | 07/15/2025 | (2,568 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.32% | Monthly | USD | 39 | 07/15/2025 | (4,078 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.32% | Monthly | USD | 71 | 07/15/2025 | (5,575 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.33% | Monthly | USD | 128 | 07/15/2025 | (11,579 | ) | |||||||||||
Quidel Corporation | SOFR Minus 0.33% | Monthly | USD | 225 | 07/15/2025 | (12,666 | ) | |||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||
Healthcare Realty Trust, Inc. | OBFR Minus 0.30% | Monthly | USD | 396 | 08/12/2022 | 5,269 | ||||||||||||
JPQABHYS | OBFR Minus 0.05% | Quarterly | USD | 188 | 06/15/2022 | (7,981 | ) | |||||||||||
JPQABHYS | OBFR Plus 0.05% | Quarterly | USD | 139 | 06/15/2022 | (8,854 | ) | |||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 154 | 08/12/2022 | 20,444 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 154 | 08/12/2022 | 19,935 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 50 | 08/12/2022 | 5,617 |
88 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 64 | 08/12/2022 | $ | 5,356 | |||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 47 | 08/12/2022 | 4,308 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 38 | 08/12/2022 | 3,356 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 36 | 08/12/2022 | 3,302 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 30 | 08/12/2022 | 2,690 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.39% | Monthly | USD | 97 | 08/12/2022 | 1,485 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.40% | Monthly | USD | 14 | 08/12/2022 | 1,368 | ||||||||||||
MKS Instruments, Inc. | OBFR Minus 0.39% | Monthly | USD | 7 | 08/12/2022 | 308 | ||||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 1 | 08/12/2022 | (83 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 1 | 08/12/2022 | (85 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 1 | 08/12/2022 | (102 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 1 | 08/12/2022 | (132 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 2 | 08/12/2022 | (137 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 2 | 08/12/2022 | (178 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 2 | 08/12/2022 | (226 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 3 | 08/12/2022 | (241 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 3 | 08/12/2022 | (309 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 3 | 08/12/2022 | (339 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 4 | 08/12/2022 | (438 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 7 | 08/12/2022 | (734 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 13 | 08/12/2022 | (1,354 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 20 | 08/12/2022 | (2,015 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.31% | Monthly | USD | 27 | 08/12/2022 | (2,238 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 40 | 08/12/2022 | (2,986 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 39 | 08/12/2022 | (3,493 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 33 | 08/12/2022 | (3,887 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 89 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 37 | 08/12/2022 | $ | (3,889 | ) | ||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 62 | 08/12/2022 | (3,908 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.31% | Monthly | USD | 62 | 08/12/2022 | (4,327 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 66 | 08/12/2022 | (4,336 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 50 | 08/12/2022 | (4,349 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 80 | 08/12/2022 | (5,466 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 50 | 08/12/2022 | (5,931 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.31% | Monthly | USD | 119 | 08/12/2022 | (8,665 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 103 | 08/12/2022 | (8,820 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 72 | 08/12/2022 | (8,879 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 90 | 08/12/2022 | (9,058 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 86 | 08/12/2022 | (9,362 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 79 | 08/12/2022 | (9,694 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 149 | 08/12/2022 | (12,164 | ) | |||||||||||
Raymond James Financial, Inc. | OBFR Minus 0.30% | Monthly | USD | 121 | 08/12/2022 | (13,646 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 18 | 08/12/2022 | (2,046 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 34 | 08/12/2022 | (3,369 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 60 | 08/12/2022 | (8,303 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.40% | Monthly | USD | 101 | 08/12/2022 | (12,608 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 164 | 08/12/2022 | (17,349 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 174 | 08/12/2022 | (23,455 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 213 | 08/12/2022 | (24,051 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 225 | 08/12/2022 | (24,792 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 213 | 08/12/2022 | (24,977 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 200 | 08/12/2022 | (26,013 | ) | |||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 209 | 08/12/2022 | (27,223 | ) |
90 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
S&P Global, Inc. | OBFR Minus 0.40% | Monthly | USD | 418 | 08/12/2022 | $ | (50,632 | ) | ||||||||||
S&P Global, Inc. | OBFR Minus 0.39% | Monthly | USD | 473 | 08/12/2022 | (64,847 | ) | |||||||||||
Take-Two Interactive Software, Inc. | OBFR Minus 0.30% | Monthly | USD | 144 | 08/12/2022 | (13,738 | ) | |||||||||||
Take-Two Interactive Software, Inc. | OBFR Minus 0.30% | Monthly | USD | 270 | 08/12/2022 | (35,596 | ) | |||||||||||
Take-Two Interactive Software, Inc. | OBFR Minus 0.30% | Monthly | USD | 889 | 08/12/2022 | (117,915 | ) | |||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 0 | *** | 10/18/2023 | (15 | ) | ||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 0 | *** | 10/18/2023 | (45 | ) | ||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 0 | *** | 10/18/2023 | (61 | ) | ||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 1 | 10/18/2023 | (102 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 1 | 10/18/2023 | (102 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 1 | 10/18/2023 | (104 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 1 | 10/18/2023 | (134 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 1 | 10/18/2023 | (148 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 1 | 10/18/2023 | (176 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 2 | 10/18/2023 | (433 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 5 | 10/18/2023 | (522 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.23% | Monthly | USD | 7 | 10/18/2023 | (572 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.22% | Monthly | USD | 4 | 10/18/2023 | (840 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.23% | Monthly | USD | 5 | 10/18/2023 | (878 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 14 | 10/18/2023 | (2,380 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 17 | 10/18/2023 | (2,558 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 28 | 10/18/2023 | (2,789 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 25 | 10/18/2023 | (3,312 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 22 | 10/18/2023 | (4,127 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 38 | 10/18/2023 | (4,141 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 91 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 162 | 10/18/2023 | $ | (4,291 | ) | ||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 26 | 10/18/2023 | (4,513 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 170 | 10/18/2023 | (5,479 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 31 | 10/18/2023 | (5,522 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 85 | 10/18/2023 | (5,747 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 69 | 10/18/2023 | (5,944 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 35 | 10/18/2023 | (5,925 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.23% | Monthly | USD | 86 | 10/18/2023 | (6,455 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 70 | 10/18/2023 | (7,200 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 93 | 10/18/2023 | (7,485 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 51 | 10/18/2023 | (8,422 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 88 | 10/18/2023 | (8,750 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 65 | 10/18/2023 | (10,473 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 62 | 10/18/2023 | (11,287 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 78 | 10/18/2023 | (11,934 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 125 | 10/18/2023 | (12,676 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 136 | 10/18/2023 | (12,844 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 101 | 10/18/2023 | (16,572 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 105 | 10/18/2023 | (17,535 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 121 | 10/18/2023 | (20,269 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 131 | 10/18/2023 | (25,773 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 170 | 10/18/2023 | (26,603 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 156 | 10/18/2023 | (27,303 | ) | |||||||||||
Citizens Financial Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 194 | 10/18/2023 | (31,706 | ) | |||||||||||
DraftKings, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 138 | 10/18/2023 | 161,372 | ||||||||||||
DraftKings, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 73 | 10/18/2023 | 89,315 |
92 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
DraftKings, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 21 | 10/18/2023 | $ | 26,029 | |||||||||||
DraftKings, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 3 | 10/18/2023 | 4,678 | ||||||||||||
Frontier Group Holdings, Inc. | FedFundEffective Minus 0.87% | Monthly | USD | 433 | 10/18/2023 | 11,732 | ||||||||||||
Frontier Group Holdings, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 4 | 10/18/2023 | (3 | ) | |||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 210 | 10/18/2023 | 30,800 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 205 | 10/18/2023 | 30,786 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 202 | 10/18/2023 | 30,507 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 198 | 10/18/2023 | 29,217 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 162 | 10/18/2023 | 23,791 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 125 | 10/18/2023 | 21,098 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 122 | 10/18/2023 | 21,070 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 94 | 10/18/2023 | 16,111 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 77 | 10/18/2023 | 13,151 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 54 | 10/18/2023 | 7,148 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 59 | 10/18/2023 | 7,091 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 44 | 10/18/2023 | 6,449 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 67 | 10/18/2023 | 5,747 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 13 | 10/18/2023 | 1,969 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 14 | 10/18/2023 | 1,914 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 9 | 10/18/2023 | 1,315 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 6 | 10/18/2023 | 1,051 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 2 | 10/18/2023 | 372 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 2 | 10/18/2023 | 248 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 1 | 10/18/2023 | 201 | ||||||||||||
Goldman Sachs Group, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 1 | 10/18/2023 | 170 | ||||||||||||
IBOVESPA Futures | 0.00% | Monthly | BRL | 10,173 | 04/13/2022 | 43,132 | ||||||||||||
KOSPI 200 Futures | 0.00% | Monthly | KRW | 1,715,700 | 03/10/2022 | 18,634 |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 93 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
KOSPI 200 Futures | 0.00% | Monthly | KRW | 541,800 | 03/10/2022 | $ | 8,176 | |||||||||||
MSABHOWN | FedFundEffective Minus 0.22% | Quarterly | USD | 582 | 06/15/2022 | (2,552 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 1 | 10/18/2023 | (125 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 1 | 10/18/2023 | (139 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.22% | Monthly | USD | 2 | 10/18/2023 | (172 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 2 | 10/18/2023 | (207 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 2 | 10/18/2023 | (220 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.22% | Monthly | USD | 7 | 10/18/2023 | (523 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 8 | 10/18/2023 | (699 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 8 | 10/18/2023 | (772 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 9 | 10/18/2023 | (910 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.23% | Monthly | USD | 7 | 10/18/2023 | (915 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 13 | 10/18/2023 | (1,210 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 20 | 10/18/2023 | (1,280 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.23% | Monthly | USD | 17 | 10/18/2023 | (1,334 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 13 | 10/18/2023 | (1,439 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 15 | 10/18/2023 | (1,544 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 14 | 10/18/2023 | (1,555 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 15 | 10/18/2023 | (1,964 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 18 | 10/18/2023 | (2,010 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 18 | 10/18/2023 | (2,485 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.21% | Monthly | USD | 19 | 10/18/2023 | (2,542 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 23 | 10/18/2023 | (2,584 | ) | |||||||||||
NortonLifeLock, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 38 | 10/18/2023 | (4,511 | ) | |||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 75 | 10/18/2023 | 9,678 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 80 | 10/18/2023 | 7,458 |
94 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 85 | 10/18/2023 | $ | 6,308 | |||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 45 | 10/18/2023 | 6,208 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 80 | 10/18/2023 | 5,627 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 17 | 10/18/2023 | 2,458 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 115 | 10/18/2023 | 2,354 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 33 | 10/18/2023 | 1,725 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 16 | 10/18/2023 | 427 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 10 | 10/18/2023 | 303 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 2 | 10/18/2023 | 271 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 11 | 10/18/2023 | 169 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 5 | 10/18/2023 | 149 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 3 | 10/18/2023 | 75 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 1 | 10/18/2023 | 53 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 6 | 10/18/2023 | 50 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 1 | 10/18/2023 | 44 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 1 | 10/18/2023 | 1 | ||||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 1 | 10/18/2023 | (29 | ) | |||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 2 | 10/18/2023 | (75 | ) | |||||||||||
Rentokil Initial PLC | FedFundEffective Minus 0.26% | Monthly | USD | 10 | 10/18/2023 | (241 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 1 | 10/18/2023 | (154 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.19% | Monthly | USD | 2 | 10/18/2023 | (467 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 3 | 10/18/2023 | (683 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 5 | 10/18/2023 | (954 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 7 | 10/18/2023 | (1,541 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 7 | 10/18/2023 | (1,590 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 8 | 10/18/2023 | (1,853 | ) |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 95 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 17 | 10/18/2023 | $ | (3,584 | ) | ||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 23 | 10/18/2023 | (4,847 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 22 | 10/18/2023 | (4,858 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.22% | Monthly | USD | 27 | 10/18/2023 | (5,912 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 93 | 10/18/2023 | (19,626 | ) | |||||||||||
South State Corp. | FedFundEffective Minus 0.20% | Monthly | USD | 374 | 10/18/2023 | (79,707 | ) | |||||||||||
VICI Properties, Inc. | FedFundEffective Minus 0.20% | Monthly | USD | 18 | 10/18/2023 | 1,445 | ||||||||||||
Zendesk, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 37 | 10/18/2023 | (5,876 | ) | |||||||||||
Zendesk, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 82 | 10/18/2023 | (11,929 | ) | |||||||||||
Zendesk, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 174 | 10/18/2023 | (27,587 | ) | |||||||||||
Zendesk, Inc. | FedFundEffective Minus 0.29% | Monthly | USD | 275 | 10/18/2023 | (41,660 | ) | |||||||||||
|
| |||||||||||||||||
$ | 5,971,984 | |||||||||||||||||
|
|
VARIANCE SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid)/ Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||||||
FTSE 100 Index 03/18/2022* | 22.85 | % | Maturity | GBP | 441 | $ | 202,524 | $ | – 0 | – | $ | 202,524 | ||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||
Nikkei 225 Index 05/13/2022* | 25.80 | Maturity | JPY | 38,801 | 63,424 | – 0 | – | 63,424 | ||||||||||||||||
UBS AG | ||||||||||||||||||||||||
FTSE 100 Index 05/20/2022* | 23.55 | Maturity | GBP | 555 | 57,346 | – 0 | – | 57,346 | ||||||||||||||||
Nasdaq 100 Stock Index 05/20/2022* | 33.75 | Maturity | USD | 404 | (42,820 | ) | – 0 | – | (42,820 | ) | ||||||||||||||
S&P/ASX 200 Index 05/19/2022* | 21.16 | Maturity | AUD | 1,297 | 211,474 | – 0 | – | 211,474 | ||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||
Nasdaq 100 Stock Index 03/18/2022* | 34.30 | Maturity | USD | 355 | 7,883 | – 0 | – | 7,883 | ||||||||||||||||
Russell 2000 Index 03/18/2022* | 34.80 | Maturity | USD | 831 | 57,305 | – 0 | – | 57,305 |
96 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid)/ Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||
Nikkei 225 Index 03/11/2022* | 22.61 | % | Maturity | JPY | 18,777 | $ | (51,518 | ) | $ | – 0 | – | $ | (51,518 | ) | ||||||||||
UBS AG | ||||||||||||||||||||||||
FTSE 100 Index 03/18/2022* | 19.90 | Maturity | GBP | 335 | (345,398 | ) | – 0 | – | (345,398 | ) | ||||||||||||||
Nikkei 225 Index 03/11/2022* | 29.11 | Maturity | JPY | 100,795 | 144,052 | – 0 | – | 144,052 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 304,272 | $ | – 0 | – | $ | 304,272 | ||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
** | Principal amount less than 500. |
*** | Notional amount less than 500. |
(a) | Non-income producing security. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At February 28, 2022, the aggregate market value of these securities amounted to $52,779,464 or 8.7% of net assets. |
(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) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of February 28, 2022, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Diamond Offshore Drilling, Inc. | 04/26/2021 | $ | 56,839 | $ | 18,215 | 0.00 | % | |||||||||
Digicel Group Holdings Ltd. | 06/19/2020 | 1,392 | 7,258 | 0.00 | % | |||||||||||
Exide Technologies (Exchange Priority) | 10/26/2020 | – 0 | – | – 0 | – | 0.00 | % | |||||||||
Exide Technologies (First Lien) | 06/21/2019 | 17,967 | – 0 | – | 0.00 | % | ||||||||||
K2016470219 South Africa Ltd. | 04/26/2017 | 31,133 | – 0 | – | 0.00 | % | ||||||||||
K2016470260 South Africa Ltd. | 04/26/2017 | 25,732 | – 0 | – | 0.00 | % | ||||||||||
Magnetation LLC/Mag Finance Corp. | 04/26/2017 | 15 | – 0 | – | 0.00 | % | ||||||||||
Terraform Global Operating LLC | 02/08/2018 | 12,000 | 12,043 | 0.00 | % | |||||||||||
Tonon Luxembourg SA | 04/26/2017 | 2,770 | – 0 | – | 0.00 | % | ||||||||||
Virgolino de Oliveira Finance SA | 03/29/2017 | 33,435 | 43 | 0.00 | % |
(g) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 97 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
(h) | Defaulted matured security. |
(i) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at February 28, 2022. |
(j) | Convertible security. |
(k) | Defaulted. |
(l) | 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. |
(m) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(n) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open exchange-traded derivatives. |
(o) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at February 28, 2022. |
(p) | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at February 28, 2022. |
(q) | Affiliated investments. |
(r) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD – Australian Dollar BRL – Brazilian Real CAD – Canadian Dollar CHF – Swiss Franc CLP – Chilean Peso CNH – Chinese Yuan Renminbi (Offshore) CNY – Chinese Yuan Renminbi COP – Colombian Peso CZK – Czech Koruna EUR – Euro GBP – Great British Pound HUF – Hungarian Forint IDR – Indonesian Rupiah INR – Indian Rupee | JPY – Japanese Yen KRW – South Korean Won MXN – Mexican Peso MYR – Malaysian Ringgit NOK – Norwegian Krone NZD – New Zealand Dollar PEN – Peruvian Sol PHP – Philippine Peso PLN – Polish Zloty RUB – Russian Ruble SEK – Swedish Krona THB – Thailand Baht TWD – New Taiwan Dollar USD – United States Dollar ZAR – South African Rand |
Glossary:
ABS – Asset-Backed Securities ADR – American Depositary Receipt ASX – Australian Stock Exchange BIST – Borsa Istanbul Stock Exchange BKBM – Bank Bill Benchmark (New Zealand) BOBL – Bundesobligationen CBT – Chicago Board of Trade CDX-CMBX.NA – North American Commercial Mortgage-Backed Index CDX-NAHY – North American High Yield Credit Default Swap Index CLO – Collateralized Loan Obligations CMBS – Commercial Mortgage-Backed Securities CPI – Consumer Price Index EAFE – Europe, Australia, and Far East ETF – Exchange Traded Fund ETS – Emission Trading Scheme EURIBOR – Euro Interbank Offered Rate FedFundEffective – Federal Funds Effective Rate FTSE – Financial Times Stock Exchange GDR – Global Depositary Receipt JSE – Johannesburg Stock Exchange | KLCI – Kuala Lumpur Composite Index KOSPI – Korea Composite Stock Price Index LIBOR – London Interbank Offered Rate MSCI – Morgan Stanley Capital International NIBOR – Norwegian Interbank Offered Rate OBFR – Overnight Bank Funding Rate OMXS – Stockholm Stock Exchange OSE – Osaka Securities Exchange REIT – Real Estate Investment Trust RTS – Russian Trading System SARON – Swiss Average Rate Overnight SET – Stock Exchange of Thailand SGX – Singapore Exchange SOFR – Secured Overnight Financing Rate SONIA – Sterling Overnight Index Average SPDR – Standard & Poor’s Depository Receipt SPI – Share Price Index STIBOR – Stockholm Interbank Offered Rate TIPS – Treasury Inflation Protected Security TONAR – Tokyo Overnight Average Rate TOPIX – Tokyo Price Index TSX – Toronto Stock Exchange WIG – Warszawski Indeks Gieldowy |
98 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
(1) | The following table represents the 50 largest equity basket holdings underlying the total return swap in JPABJVAL as of February 28, 2022. |
Security Description | Shares | Current Notional | Percent of Basket’s Value | |||||||||
Nippon Yusen KK | 550 | JPY 5,863,644 | 4.5 | % | ||||||||
Sumitomo Mitsui Financial Group | 1,111 | 4,577,152 | 3.5 | % | ||||||||
Nintendo Co., Ltd. | 78 | 4,550,310 | 3.5 | % | ||||||||
Toyota Motor Corp. | 1,863 | 3,984,040 | 3.1 | % | ||||||||
Marubeni Corp. | 3,193 | 3,842,935 | 2.9 | % | ||||||||
SoftBank Group Corp. | 726 | 3,718,866 | 2.9 | % | ||||||||
Japan Tobacco, Inc. | 1,606 | 3,404,810 | 2.6 | % | ||||||||
T&D Holdings, Inc. | 2,021 | 3,402,744 | 2.6 | % | ||||||||
TDK Corp. | 708 | 3,258,323 | 2.5 | % | ||||||||
SBI Holdings, Inc./Japan | 1,076 | 3,227,350 | 2.5 | % | ||||||||
Trend Micro, Inc./Japan | 500 | 3,201,754 | 2.5 | % | ||||||||
Toyo Suisan Kaisha, Ltd. | 655 | 3,170,072 | 2.4 | % | ||||||||
Central Japan Railway Co. | 204 | 3,154,137 | 2.4 | % | ||||||||
Mitsubishi Heavy Industries, Ltd. | 914 | 3,103,023 | 2.4 | % | ||||||||
Tokyo Electric Power Co. Holdings | 8,519 | 3,083,730 | 2.4 | % | ||||||||
Nitto Denko Corp. | 369 | 3,077,838 | 2.4 | % | ||||||||
Taisei Corp. | 768 | 2,930,162 | 2.2 | % | ||||||||
Takeda Pharmaceutical Co., Ltd. | 822 | 2,878,897 | 2.2 | % | ||||||||
Daito Trust Construction Co., Ltd. | 225 | 2,864,417 | 2.2 | % | ||||||||
Otsuka Holdings Co., Ltd. | 718 | 2,846,530 | 2.2 | % | ||||||||
McDonald’s Holdings Co./Japan | 564 | 2,788,271 | 2.1 | % | ||||||||
NGK Insulators, Ltd. | 1,525 | 2,714,683 | 2.1 | % | ||||||||
Subaru Corp. | 1,422 | 2,693,385 | 2.1 | % | ||||||||
NEC Corp. | 539 | 2,669,375 | 2.0 | % | ||||||||
Hoya Corp. | 177 | 2,629,048 | 2.0 | % | ||||||||
Nomura Real Estate Holdings, Inc. | 912 | 2,612,644 | 2.0 | % | ||||||||
Brother Industries, Ltd. | 1,236 | 2,578,360 | 2.0 | % | ||||||||
Aisin Corp. | 605 | 2,533,936 | 1.9 | % | ||||||||
Z Holdings Corp. | 4,226 | 2,356,201 | 1.8 | % | ||||||||
Pan Pacific International Holdings | 1,225 | 2,302,295 | 1.8 | % | ||||||||
Lida Group Holdings Co., Ltd. | 1,034 | 2,195,712 | 1.7 | % | ||||||||
Lion Corp. | 1,421 | 2,138,086 | 1.6 | % | ||||||||
Astellas Pharma, Inc. | 1,095 | 2,100,381 | 1.6 | % | ||||||||
Nabtesco Corp. | 656 | 2,072,441 | 1.6 | % | ||||||||
ZOZO, Inc. | 610 | 1,981,475 | 1.5 | % | ||||||||
Kobe Bussan Co., Ltd. | 499 | 1,887,837 | 1.4 | % | ||||||||
Shionogi & Co. Ltd. | 237 | 1,812,187 | 1.4 | % | ||||||||
Sony Group Corp. | 143 | 1,686,391 | 1.3 | % | ||||||||
Murata Manufacturing Co., Ltd. | 192 | 1,494,056 | 1.1 | % | ||||||||
TOPPAN, Inc. | 523 | 1,179,398 | 0.9 | % | ||||||||
Tokyo Electron, Ltd. | 20 | 1,136,510 | 0.9 | % | ||||||||
Honda Motor Co., Ltd. | 316 | 1,112,447 | 0.9 | % | ||||||||
Dai-ichi Life Holdings, Inc. | 373 | 897,266 | 0.7 | % | ||||||||
AGC, Inc. | 176 | 893,435 | 0.7 | % | ||||||||
Tobu Railway Co., Ltd. | 305 | 861,493 | 0.7 | % | ||||||||
United Urban Investment Corp. | 5 | 673,972 | 0.5 | % | ||||||||
Yamada Holdings Co., Ltd. | 1,652 | 658,995 | 0.5 | % | ||||||||
Makita Corp. | 159 | 648,881 | 0.5 | % | ||||||||
Keyence Corp. | 12 | 634,049 | 0.5 | % | ||||||||
Kansai Paint Co., Ltd. | 241 | 553,865 | 0.4 | % | ||||||||
Other Long | 3,333 | 7,721,935 | 5.9 | % |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 99 |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
February 28, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $475,088,317) | $ | 520,529,780 | (a) | |
Affiliated issuers (cost $81,977,780—including investment of cash collateral for securities loaned of $11,363,497) | 81,977,780 | |||
Cash collateral due from broker | 14,954,594 | |||
Foreign currencies, at value (cost $2,995,584) | 2,986,390 | |||
Unrealized appreciation on total return swaps | 9,149,344 | |||
Unrealized appreciation on forward currency exchange contracts | 4,244,478 | |||
Receivable for variation margin on futures | 3,228,486 | |||
Receivable for investment securities sold and foreign currency transactions | 1,882,831 | |||
Unaffiliated interest and dividends receivable | 1,752,064 | |||
Unrealized appreciation on variance swaps | 744,008 | |||
Market value on credit default swaps (net premiums paid $416,884) | 583,298 | |||
Receivable for shares of beneficial interest sold | 85,825 | |||
Receivable for variation margin on centrally cleared swaps | 4,926 | |||
Affiliated dividends receivable | 570 | |||
|
| |||
Total assets | 642,124,374 | |||
|
| |||
Liabilities | ||||
Due to custodian | 47,612 | |||
Swaptions written, at value (premiums received $7,737) | 5,062 | |||
Payable for collateral received on securities loaned | 11,363,497 | |||
Cash collateral due to broker | 7,456,034 | |||
Payable for investment securities purchased and foreign currency transactions | 5,773,494 | |||
Unrealized depreciation on forward currency exchange contracts | 4,498,714 | |||
Unrealized depreciation on total return swaps | 3,177,360 | |||
Market value on credit default swaps (net premiums received $1,173,026) | 2,839,625 | |||
Payable for shares of beneficial interest redeemed | 740,065 | |||
Unrealized depreciation on variance swaps | 439,736 | |||
Advisory fee payable | 254,269 | |||
Payable for terminated total return swaps | 197,259 | |||
Distribution fee payable | 109,144 | |||
Transfer Agent fee payable | 34,177 | |||
Foreign capital gains tax payable | 21,517 | |||
Trustees’ fees payable | 6,681 | |||
Accrued expenses | 697,623 | |||
|
| |||
Total liabilities | 37,661,869 | |||
|
| |||
Net Assets | $ | 604,462,505 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 392 | ||
Additional paid-in capital | 577,614,826 | |||
Distributable earnings | 26,847,287 | |||
|
| |||
Net Assets | $ | 604,462,505 | ||
|
|
(a) | Includes securities on loan with a value of $13,077,036 (see Note E). |
See notes to consolidated financial statements.
100 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 513,339,016 | 33,349,533 | $ | 15.39 | * | ||||||
| ||||||||||||
C | $ | 8,323,805 | 550,693 | $ | 15.12 | |||||||
| ||||||||||||
Advisor | $ | 72,716,520 | 4,662,639 | $ | 15.60 | |||||||
| ||||||||||||
R | $ | 3,194,955 | 210,443 | $ | 15.18 | |||||||
| ||||||||||||
K | $ | 6,572,811 | 429,328 | $ | 15.31 | |||||||
| ||||||||||||
I | $ | 315,398 | 19,994 | $ | 15.77 | |||||||
|
* | The maximum offering price per share for Class A shares was $16.07 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 101 |
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended February 28, 2022 (unaudited)
Investment Income |
| |||||||
Interest (net of foreign taxes withheld of $2) | $ | 2,262,990 | ||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $110,334) | 1,649,594 | |||||||
Affiliated issuers | 4,697 | |||||||
Securities lending income | 47,031 | |||||||
Other income | 990 | $ | 3,965,302 | |||||
|
| |||||||
Expenses |
| |||||||
Advisory fee (see Note B) | 1,795,356 | |||||||
Distribution fee—Class A | 690,351 | |||||||
Distribution fee—Class C | 47,244 | |||||||
Distribution fee—Class R | 8,578 | |||||||
Distribution fee—Class K | 8,973 | |||||||
Transfer agency—Class A | 248,896 | |||||||
Transfer agency—Class C | 4,630 | |||||||
Transfer agency—Advisor Class | 36,140 | |||||||
Transfer agency—Class R | 4,491 | |||||||
Transfer agency—Class K | 7,244 | |||||||
Transfer agency—Class I | 200 | |||||||
Custody and accounting | 230,156 | |||||||
Audit and tax | 59,957 | |||||||
Registration fees | 42,193 | |||||||
Printing | 32,059 | |||||||
Legal | 20,946 | |||||||
Trustees’ fees | 13,301 | |||||||
Miscellaneous | 24,781 | |||||||
|
| |||||||
Total expenses | 3,275,496 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (26,720 | ) | ||||||
|
| |||||||
Net expenses | 3,248,776 | |||||||
|
| |||||||
Net investment income | $ | 716,526 | ||||||
|
|
See notes to consolidated financial statements.
102 | AB ALL MARKET TOTAL RETURN PORTFOLIO | 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(a) | $ | 13,631,775 | ||||||
Forward currency exchange contracts | 578,149 | |||||||
Futures | (19,817,724 | ) | ||||||
Swaps | 1,720,670 | |||||||
Foreign currency transactions | (48,278 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments(b) | (48,970,528 | ) | ||||||
Forward currency exchange contracts | (1,174,551 | ) | ||||||
Futures | 3,089,203 | |||||||
Swaptions written | 2,675 | |||||||
Swaps | 5,062,686 | |||||||
Foreign currency denominated assets and liabilities | (409,449 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (46,335,372 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (45,618,846 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $1,515. |
(b) | Net of decrease in accrued foreign capital gains taxes on unrealized gains of $3,947. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 103 |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 716,526 | $ | 6,392,051 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (3,935,408 | ) | 111,063,368 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (42,399,964 | ) | 9,198,796 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (45,618,846 | ) | 126,654,215 | |||||
Distributions to Shareholders | ||||||||
Class A | (50,069,353 | ) | (15,587,969 | ) | ||||
Class C | (848,075 | ) | (391,667 | ) | ||||
Advisor Class | (7,225,344 | ) | (2,421,226 | ) | ||||
Class R | (315,935 | ) | (83,732 | ) | ||||
Class K | (658,119 | ) | (206,196 | ) | ||||
Class I | (29,331 | ) | (8,700 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 16,068,798 | (54,365,790 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | (88,696,205 | ) | 53,588,935 | |||||
Net Assets |
| |||||||
Beginning of period | 693,158,710 | 639,569,775 | ||||||
|
|
|
| |||||
End of period | $ | 604,462,505 | $ | 693,158,710 | ||||
|
|
|
|
See notes to consolidated financial statements.
104 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
February 28, 2022 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company, which is a Massachusetts Business Trust, operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB All Market Total Return Portfolio (the “Fund”). 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 AB All Market Total Return Portfolio (Cayman), 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 February 28, 2022, net assets of the Fund were $604,462,505, of which 35,822,563 or approximately 6%, 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 C, Advisor Class, Class R, Class K and Class I shares. Class B and 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 C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares ten years after the end of the calendar month of purchase. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class and Class I shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 Company’s Board of Trustees (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 securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an
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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 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
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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.
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.
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
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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.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
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 February 28, 2022:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 97,399,232 | $ | 14,107,044 | $ | – 0 | – | $ | 111,506,276 | |||||||
Financials | 47,255,471 | 21,851,812 | – 0 | – | 69,107,283 | |||||||||||
Health Care | 48,725,488 | 13,584,952 | – 0 | – | 62,310,440 | |||||||||||
Consumer Discretionary | 36,334,358 | 8,404,276 | 294,802 | 45,033,436 | ||||||||||||
Industrials | 25,517,586 | 13,097,780 | – 0 | – | 38,615,366 | |||||||||||
Communication Services | 30,130,095 | 5,503,091 | – 0 | – | 35,633,186 | |||||||||||
Consumer Staples | 11,057,633 | 6,559,420 | 200,422 | (a) | 17,817,475 | |||||||||||
Materials | 9,367,715 | 3,738,435 | 0 | (a) | 13,106,150 | |||||||||||
Real Estate | 10,149,248 | 1,032,551 | – 0 | – | 11,181,799 | |||||||||||
Energy | 3,440,678 | 6,979,535 | 5,001 | (a) | 10,425,214 | |||||||||||
Utilities | 6,204,832 | 2,760,680 | – 0 | – | 8,965,512 | |||||||||||
Corporates – Non-Investment Grade | – 0 | – | 37,622,027 | 9,219 | (a) | 37,631,246 | ||||||||||
Investment Companies | 13,093,263 | – 0 | – | – 0 | – | 13,093,263 | ||||||||||
Governments – Treasuries | – 0 | – | 9,991,288 | – 0 | – | 9,991,288 | ||||||||||
Corporates – Investment Grade | – 0 | – | 8,899,768 | – 0 | – | 8,899,768 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 8,598,285 | – 0 | – | 8,598,285 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 5,028,830 | 43 | (a) | 5,028,873 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bank Loans | $ | – 0 | – | $ | 4,036,158 | $ | 613,522 | $ | 4,649,680 | |||||||
Collateralized Mortgage Obligations | – 0 | – | 4,071,832 | – 0 | – | 4,071,832 | ||||||||||
Collateralized Loan Obligations | – 0 | – | 2,796,677 | – 0 | – | 2,796,677 | ||||||||||
Quasi-Sovereigns | – 0 | – | 1,072,687 | – 0 | – | 1,072,687 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 392,813 | – 0 | – | 392,813 | ||||||||||
Preferred Stocks | 122,517 | – 0 | – | 144,742 | 267,259 | |||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 240,366 | – 0 | – | 240,366 | ||||||||||
Warrants | 14,178 | – 0 | – | 38,640 | (a) | 52,818 | ||||||||||
Asset-Backed Securities | – 0 | – | 35,210 | – 0 | – | 35,210 | ||||||||||
Options Purchased – Calls | – 0 | – | 5,484 | – 0 | – | 5,484 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 94 | – 0 | – | 94 | ||||||||||
Short-Term Investments | 70,614,283 | – 0 | – | – 0 | – | 70,614,283 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 11,363,497 | – 0 | – | – 0 | – | 11,363,497 | ||||||||||
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Total Investments in Securities | 420,790,074 | 180,411,095 | 1,306,391 | 602,507,560 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 6,891,116 | – 0 | – | – 0 | – | 6,891,116 | (c) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 4,244,478 | – 0 | – | 4,244,478 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 341,134 | – 0 | – | 341,134 | (c) | |||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 623,546 | – 0 | – | 623,546 | (c) | |||||||||
Credit Default Swaps | – 0 | – | 583,298 | – 0 | – | 583,298 | ||||||||||
Total Return Swaps | – 0 | – | 9,149,344 | – 0 | – | 9,149,344 | ||||||||||
Variance Swaps | – 0 | – | 744,008 | – 0 | – | 744,008 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (4,922,787 | ) | – 0 | – | – 0 | – | (4,922,787 | )(c) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (4,498,714 | ) | – 0 | – | (4,498,714 | ) | ||||||||
Credit Default Swaptions Written | – 0 | – | (5,062 | ) | – 0 | – | (5,062 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (349,065 | ) | – 0 | – | (349,065 | )(c) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (16,336 | ) | – 0 | – | (16,336 | )(c) | ||||||||
Credit Default Swaps | – 0 | – | (2,839,625 | ) | – 0 | – | (2,839,625 | ) | ||||||||
Total Return Swaps | – 0 | – | (3,177,360 | ) | – 0 | – | (3,177,360 | ) | ||||||||
Variance Swaps | – 0 | – | (439,736 | ) | – 0 | – | (439,736 | ) | ||||||||
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Total | $ | 422,758,403 | $ | 184,771,005 | $ | 1,306,391 | $ | 608,835,799 | ||||||||
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(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the 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. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at 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.
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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 gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. Investment transactions are accounted for on the date the securities are purchased or sold. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly.
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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.
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 $85,947 for the six months ended February 28, 2022.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $2,376 from the sale of Class A shares and received $753 and $27 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended February 28, 2022.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until December 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2022, such waiver amounted to $26,707.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2022 is as follows:
Fund | Market Value 8/31/21 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 2/28/22 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 105,669 | $ | 118,655 | $ | 153,709 | $ | 70,615 | $ | 5 | ||||||||||
Government Money Market Portfolio* | 5,299 | 61,206 | 55,142 | 11,363 | 0 | ** | ||||||||||||||
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Total | $ | 81,978 | $ | 5 | ||||||||||||||||
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* | Investments of cash collateral for securities lending transactions (see Note E). |
** | Amount is less than $500. |
NOTE C
Distribution Plan
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the “Plan”). Under the Plan, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and .25% of the Fund’s average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class and Class I shares. The fees are accrued daily and paid monthly. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities Exchange Commission as being a “compensation” plan.
In the event that the Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class.
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The Plan 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 February 28, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 310,679,374 | $ | 322,492,429 | ||||
U.S. government securities | 10,380,267 | 9,390,251 |
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 | $ | 87,130,245 | ||
Gross unrealized depreciation | (35,409,129 | ) | ||
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Net unrealized appreciation | $ | 51,721,116 | ||
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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
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statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the 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 February 28, 2022, 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2022, 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.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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. The Fund’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended February 28, 2022, the Fund held written swaptions for hedging and non-hedging purposes.
During the six months ended February 28, 2022, the Fund held purchased swaptions for hedging and non-hedging purposes.
• | 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” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 for swaps are recognized as cost or proceeds on the consolidated statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the 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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
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 February 28, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended February 28, 2022, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
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 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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 February 28, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended February 28, 2022, the Fund held total return swaps for hedging and non-hedging purposes.
Variance Swaps:
The Fund may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.
During the six months ended February 28, 2022, the Fund held variance swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty,
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended February 28, 2022, 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 | $ | 2,008,194 | * | Receivable/Payable for variation margin on futures | $ | 3,434,145 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | | 4,882,922 | * | Receivable/Payable for variation margin on futures | | 1,488,642 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | | 230,948 | * | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | | 341,134 | * | Receivable/Payable for variation margin on centrally cleared swaps | | 323,372 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | | 4,244,478 | Unrealized depreciation on forward currency exchange contracts | | 4,498,714 | ||||||
Credit contracts | Investments in securities, at value | | 5,484 | |||||||||
Credit contracts | Swaptions written, at value | | 5,062 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Credit contracts | Market value on credit default swaps | $ | 583,298 | Market value on credit default swaps | $ | 2,839,625 | ||||||
Interest rate contracts | Unrealized depreciation on total return swaps | | 200,547 | |||||||||
Credit contracts | Unrealized depreciation on total return swaps | | 31,436 | |||||||||
Commodity contracts | Unrealized appreciation on total return swaps | | 7,886,839 | |||||||||
Equity contracts | Unrealized appreciation on total return swaps | | 1,262,505 | Unrealized depreciation on total return swaps | | 2,945,377 | ||||||
Equity contracts | Unrealized appreciation on variance swaps | | 744,008 | Unrealized depreciation on variance swaps | | 439,736 | ||||||
|
|
|
| |||||||||
Total | $ | 21,958,862 | $ | 16,437,604 | ||||||||
|
|
|
|
* | 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 Gain or (Loss) on Derivatives Within Consolidated | 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 | $ | (9,467,505 | ) | $ | (3,565,354 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (10,350,219 | ) | 6,654,557 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain or (Loss) on Derivatives Within Consolidated | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | $ | 578,149 | $ | (1,174,551 | ) | ||||
Credit contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | – 0 | – | (2,880 | ) | |||||
Credit contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of swaptions written | – 0 | – | 2,675 | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (85,202 | ) | (923,514 | ) | |||||
Commodity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 3,088,348 | 6,334,759 | |||||||
Foreign exchange contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (80,967 | ) | 80,916 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 357,240 | (282,471 | ) | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,558,749 | ) | (147,004 | ) | |||||
|
|
|
| |||||||
Total | $ | (17,518,905 | ) | $ | 6,977,133 | |||||
|
|
|
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 125 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended February 28, 2022:
Futures: | ||||
Average notional amount of buy contracts | $ | 464,097,837 | ||
Average notional amount of sale contracts | $ | 192,766,138 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 139,337,086 | ||
Average principal amount of sale contracts | $ | 154,763,944 | ||
Purchased Swaptions: | ||||
Average notional amount | $ | 820,000 | (a) | |
Swaptions Written: | ||||
Average notional amount | $ | 820,000 | (a) | |
Inflation Swaps: | ||||
Average notional amount | $ | 10,100,000 | (b) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 55,963,693 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 1,780,962 | ||
Average notional amount of sale contracts | $ | 8,698,954 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 13,540,000 | (c) | |
Average notional amount of sale contracts | $ | 15,264,386 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 254,167,727 | ||
Variance Swaps: | ||||
Average notional amount | $ | 5,730,375 |
(a) | Positions were open for one month during the period. |
(b) | Positions were open for four months during the period. |
(c) | Positions were open for five months 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 (“MA”) and net of the related collateral received/pledged by the Fund as of February 28, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
AB All Market Total Return Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Bank of America, NA | $ | 263,112 | $ | (229,499 | ) | $ | – 0 | – | $ | – 0 | – | $ | 33,613 | |||||||
Barclays Bank PLC | 215,265 | (215,265 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 5,484 | (5,484 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 123,310 | (123,310 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 27,017 | (27,017 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 955,160 | (955,160 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 3,220,197 | (2,219,339 | ) | (54,034 | ) | – 0 | – | 946,824 | ||||||||||||
HSBC Bank USA | 9,095 | (9,095 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 324,321 | (324,321 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 1,112,453 | (1,102,873 | ) | – 0 | – | – 0 | – | 9,580 | ||||||||||||
Standard Chartered Bank | 1,012 | (1,012 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 170,475 | (170,475 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 412,872 | (388,218 | ) | – 0 | – | – 0 | – | 24,654 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,839,773 | $ | (5,771,068 | ) | $ | (54,034 | ) | $ | – 0 | – | $ | 1,014,671 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Bank of America, NA | $ | 229,499 | $ | (229,499 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 1,964,358 | (215,265 | ) | – 0 | – | (827,201 | ) | 921,892 | ||||||||||||
BNP Paribas SA | 37,282 | (5,484 | ) | – 0 | – | – 0 | – | 31,798 | ||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 1,137,589 | (123,310 | ) | – 0 | – | (1,014,279 | ) | – 0 | – | |||||||||||
Credit Suisse International | 1,092,623 | (27,017 | ) | (330,000 | ) | (722,001 | ) | 13,605 | ||||||||||||
Deutsche Bank AG | 1,396,426 | (955,160 | ) | (367,000 | ) | (74,266 | ) | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 2,219,339 | (2,219,339 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 425,514 | (9,095 | ) | – 0 | – | – 0 | – | 416,419 | ||||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 635,351 | (324,321 | ) | – 0 | – | (311,030 | ) | – 0 | – |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 127 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | $ | 1,102,873 | $ | (1,102,873 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Standard Chartered Bank | 3,831 | (1,012 | ) | – 0 | – | – 0 | – | 2,819 | ||||||||||||
State Street Bank & Trust Co. | 327,594 | (170,475 | ) | – 0 | – | – 0 | – | 157,119 | ||||||||||||
UBS AG | 388,218 | (388,218 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 10,960,497 | $ | (5,771,068 | ) | $ | (697,000 | ) | $ | (2,948,777 | ) | $ | 1,543,652 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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. |
AB All Market Total Return Portfolio (Cayman), Ltd.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Morgan Stanley Capital Services LLC | $ | 7,886,839 | $ | – 0 | – | $ | (7,112,000 | ) | $ | – 0 | – | $ | 774,839 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 7,886,839 | $ | – 0 | – | $ | (7,112,000 | ) | $ | – 0 | – | $ | 774,839 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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
128 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, 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. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the consolidated statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Fund in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.
A summary of the Fund’s transactions surrounding securities lending for the six months ended February 28, 2022 is as follows:
Government Money Market Portfolio | ||||||||||||||||||||||
Market Value of Securities on Loan* | Cash Collateral* | Market Value of Non-Cash Collateral* | Income from Borrowers | Income Earned | Advisory Fee Waived | |||||||||||||||||
$ | 13,077,036 | $ | 11,363,497 | $ | 2,234,799 | $ | 46,728 | $ | 303 | $ | 13 |
* | As of February 28, 2022. |
NOTE F
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 297,665 | 493,414 | $ | 4,946,283 | $ | 8,213,843 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 2,786,096 | 877,313 | 45,608,403 | 13,940,496 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 53,854 | 801,989 | 923,621 | 13,457,470 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,116,141 | ) | (4,187,417 | ) | (36,433,867 | ) | (68,953,969 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,021,474 | (2,014,701 | ) | $ | 15,044,440 | $ | (33,342,160 | ) | ||||||||||||||||
|
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||
Shares sold | 20,229 | 49,854 | $ | 341,191 | $ | 817,361 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 50,106 | 22,012 | 806,699 | 347,117 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (54,680 | ) | (811,867 | ) | (923,621 | ) | (13,457,470 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (52,831 | ) | (195,215 | ) | (894,493 | ) | (3,160,401 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (37,176 | ) | (935,216 | ) | $ | (670,224 | ) | $ | (15,453,393 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Shares sold | 183,325 | 573,061 | $ | 3,197,676 | $ | 9,485,036 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 384,769 | 124,470 | 6,379,466 | 1,996,503 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (483,315 | ) | (959,669 | ) | (8,134,931 | ) | (16,051,284 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 84,779 | (262,138 | ) | $ | 1,442,211 | $ | (4,569,745 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class R |
| |||||||||||||||||||||||
Shares sold | 20,745 | 29,117 | $ | 331,888 | $ | 471,783 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 19,550 | 5,306 | 315,934 | 83,732 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (31,219 | ) | (34,963 | ) | (504,470 | ) | (575,829 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 9,076 | (540 | ) | $ | 143,352 | $ | (20,314 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class K |
| |||||||||||||||||||||||
Shares sold | 14,371 | 37,889 | $ | 241,989 | $ | 621,966 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 40,400 | 13,017 | 658,113 | 206,194 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (48,800 | ) | (108,851 | ) | (820,839 | ) | (1,825,454 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 5,971 | (57,945 | ) | $ | 79,263 | $ | (997,294 | ) | ||||||||||||||||
|
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 131 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||
Shares sold | 367 | 651 | $ | 6,109 | $ | 11,200 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,452 | 440 | 24,346 | 7,135 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (40 | ) | (72 | ) | (699 | ) | (1,219 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 1,779 | 1,019 | $ | 29,756 | $ | 17,116 | ||||||||||||||||||
|
NOTE G
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Allocation Risk—The allocation of investments among different investment styles, such as equity or debt, growth or value, U.S. or non-U.S. securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value, or NAV, when one of these investments is performing more poorly than another.
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. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
High Yield Debt Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity,
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
negative perceptions of the junk bond market generally and less secondary market liquidity.
Interest-Rate Risk—Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
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.
Alternative Investments Risk—Many alternative investments can be volatile and may be illiquid. Their performance may have little correlation with the performance of equity or fixed-income markets, and they may not perform in accordance with expectations.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Fund.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures 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.
Commodity Risk—Investing in commodities and commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by 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.
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.
Short Sale Risk—The Fund is subject to short sale risk because it may engage in short sales either directly or indirectly through investment in the Underlying Portfolio. Short sales involve the risk that the Fund or Underlying Portfolio will incur a loss by subsequently buying a security at a higher price than the price at which it sold the security. The amount of such loss is theoretically unlimited, as it will be based on the increase in value of the
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
security sold short. In contrast, the risk of loss from a long position is limited to the Fund’s or Underlying Portfolio’s investment in the security, because the price of the security cannot fall below zero. The Fund or Underlying Portfolio may not always be able to close out a short position on favorable terms.
LIBOR Transition and Associated Risk—A Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the consolidated statement of operations. The Fund did not utilize the Facility during the six months ended February 28, 2022.
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2021 and August 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 18,699,490 | $ | 16,217,686 | ||||
Net long-term capital gains | – 0 | – | 4,294,042 | |||||
|
|
|
| |||||
Total taxable distributions paid | $ | 18,699,490 | $ | 20,511,728 | ||||
|
|
|
|
136 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
As of August 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed capital gains | $ | 59,145,875 | (a) | |
Other losses | (7,479,031 | )(b) | ||
Unrealized appreciation/(depreciation) | 88,237,657 | (c) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 139,904,501 | (d) | |
|
|
(a) | During the fiscal year, the Fund utilized $28,531,043 of capital loss carry forwards to offset current year net realized gains. |
(b) | As of August 31, 2021, the Fund had a qualified late-year ordinary loss deferral of $6,548,878. As of August 31, 2021, the cumulative deferred loss on straddles was $930,153. |
(c) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of earnings from the Subsidiary, the tax treatment of callable bonds, the tax treatment of swaps, and the tax deferral of losses on wash sales. |
(d) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax and the tax treatment of defaulted securities. |
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 August 31, 2021, the Fund did not have any capital loss carryforwards.
NOTE J
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the 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.
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CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 18.16 | $ 15.44 | $ 15.65 | $ 14.78 | $ 14.71 | $ 13.85 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .02 | .16 | .19 | .21 | .20 | .44 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.18 | ) | 3.03 | .07 | (c) | .66 | .05 | .85 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.16 | ) | 3.19 | .26 | .87 | .25 | 1.29 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.47 | ) | (.34 | ) | – 0 | – | (.18 | ) | (.43 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.61 | ) | – 0 | – | (.13 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.61 | ) | (.47 | ) | (.47 | ) | – 0 | – | (.18 | ) | (.43 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.39 | $ 18.16 | $ 15.44 | $ 15.65 | $ 14.78 | $ 14.71 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(e)* | (6.93 | )% | 21.16 | % | 1.44 | % | 5.88 | % | 1.79 | % | 9.61 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $513,339 | $586,995 | $530,168 | $578,919 | $620,635 | $688,485 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f)‡ | 1.01 | %^ | 1.03 | % | 1.03 | % | .96 | % | .84 | % | .83 | % | ||||||||||||
Expenses, before waivers/reimbursements(f)‡ | 1.02 | %^ | 1.05 | % | 1.04 | % | 1.03 | % | 1.03 | % | .97 | % | ||||||||||||
Net investment income(b) | .20 | %^ | .99 | % | 1.23 | % | 1.45 | % | 1.38 | % | 3.14 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 117 | % | 76 | % | 81 | % | 38 | % | 108 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .02 | %^ | .02 | % | .02 | % | .07 | % | .20 | % | .31 | % |
See footnote summary on page 144.
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CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 17.92 | $ 15.20 | $ 15.38 | $ 14.64 | $ 14.53 | $ 13.68 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.05 | ) | (.10 | ) | .08 | .10 | .09 | .38 | ||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.14 | ) | 3.13 | .05 | (c) | .64 | .06 | .79 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.19 | ) | 3.03 | .13 | .74 | .15 | 1.17 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.31 | ) | (.18 | ) | – 0 | – | (.04 | ) | (.32 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.61 | ) | – 0 | – | (.13 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.61 | ) | (.31 | ) | (.31 | ) | – 0 | – | (.04 | ) | (.32 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.12 | $ 17.92 | $ 15.20 | $ 15.38 | $ 14.64 | $ 14.53 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(e)* | (7.25 | )% | 20.33 | % | .67 | % | 5.05 | % | 1.01 | % | 8.84 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $8,324 | $10,537 | $23,156 | $37,609 | $61,466 | $102,696 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f)‡ | 1.77 | %^ | 1.78 | % | 1.79 | % | 1.71 | % | 1.58 | % | 1.59 | % | ||||||||||||
Expenses, before waivers/reimbursements(f)‡ | 1.78 | %^ | 1.80 | % | 1.80 | % | 1.78 | % | 1.78 | % | 1.71 | % | ||||||||||||
Net investment income (loss)(b) | (.56 | )%^ | (.61 | )% | .52 | % | .71 | % | .63 | % | 2.73 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 117 | % | 76 | % | 81 | % | 38 | % | 108 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .02 | %^ | .02 | % | .02 | % | .07 | % | .20 | % | .31 | % |
See footnote summary on page 144.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 139 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 18.35 | $ 15.60 | $ 15.81 | $ 14.90 | $ 14.80 | $ 13.93 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .04 | .20 | .23 | .25 | .24 | .48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.18 | ) | 3.06 | .07 | (c) | .66 | .07 | .86 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.14 | ) | 3.26 | .30 | .91 | .31 | 1.34 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.51 | ) | (.38 | ) | – 0 | – | (.21 | ) | (.47 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.61 | ) | – 0 | – | (.13 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.61 | ) | (.51 | ) | (.51 | ) | – 0 | – | (.21 | ) | (.47 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.60 | $ 18.35 | $ 15.60 | $ 15.81 | $ 14.90 | $ 14.80 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(e)* | (6.74 | )% | 21.43 | % | 1.68 | % | 6.17 | % | 2.02 | % | 9.99 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $72,717 | $84,018 | $75,493 | $82,885 | $82,258 | $90,911 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f)‡ | .76 | %^ | .78 | % | .78 | % | .71 | % | .59 | % | .59 | % | ||||||||||||
Expenses, before waivers/reimbursements(f)‡ | .77 | %^ | .79 | % | .79 | % | .78 | % | .78 | % | .72 | % | ||||||||||||
Net investment income(b) | .45 | %^ | 1.22 | % | 1.48 | % | 1.70 | % | 1.63 | % | 3.40 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 117 | % | 76 | % | 81 | % | 38 | % | 108 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .02 | %^ | .02 | % | .02 | % | .07 | % | .20 | % | .31 | % |
See footnote summary on page 144.
140 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 17.97 | $ 15.29 | $ 15.48 | $ 14.69 | $ 14.63 | $ 13.77 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.02 | ) | .09 | .13 | .15 | .14 | .38 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.16 | ) | 3.00 | .06 | (c) | .64 | .06 | .85 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.18 | ) | 3.09 | .19 | .79 | .20 | 1.23 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.41 | ) | (.25 | ) | – 0 | – | (.14 | ) | (.37 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.61 | ) | – 0 | – | (.13 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.61 | ) | (.41 | ) | (.38 | ) | – 0 | – | (.14 | ) | (.37 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.18 | $ 17.97 | $ 15.29 | $ 15.48 | $ 14.69 | $ 14.63 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(e)* | (7.12 | )% | 20.66 | % | 1.05 | % | 5.45 | % | 1.34 | % | 9.17 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $3,195 | $3,618 | $3,087 | $4,124 | $4,414 | $6,196 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f)‡ | 1.43 | %^ | 1.45 | % | 1.44 | % | 1.38 | % | 1.25 | % | 1.25 | % | ||||||||||||
Expenses, before waivers/reimbursements(f)‡ | 1.44 | %^ | 1.47 | % | 1.45 | % | 1.44 | % | 1.44 | % | 1.38 | % | ||||||||||||
Net investment income (loss)(b) | (.22 | )%^ | .57 | % | .86 | % | 1.04 | % | .97 | % | 2.69 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 117 | % | 76 | % | 81 | % | 38 | % | 108 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .02 | %^ | .02 | % | .02 | % | .07 | % | .20 | % | .31 | % |
See footnote summary on page 144.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 141 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 18.08 | $ 15.37 | $ 15.58 | $ 14.73 | $ 14.66 | $ 13.80 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .01 | .13 | .17 | .20 | .19 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.17 | ) | 3.02 | .07 | (c) | .65 | .06 | .86 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.16 | ) | 3.15 | .24 | .85 | .25 | 1.27 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.44 | ) | (.32 | ) | – 0 | – | (.18 | ) | (.41 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.61 | ) | – 0 | – | (.13 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.61 | ) | (.44 | ) | (.45 | ) | – 0 | – | (.18 | ) | (.41 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.31 | $ 18.08 | $ 15.37 | $ 15.58 | $ 14.73 | $ 14.66 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(e)* | (6.96 | )% | 21.01 | % | 1.35 | % | 5.84 | % | 1.60 | % | 9.56 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $6,573 | $7,653 | $7,395 | $10,298 | $15,032 | $23,344 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f)‡ | 1.12 | %^ | 1.14 | % | 1.13 | % | 1.06 | % | .94 | % | .94 | % | ||||||||||||
Expenses, before waivers/reimbursements(f)‡ | 1.13 | %^ | 1.16 | % | 1.14 | % | 1.13 | % | 1.13 | % | 1.07 | % | ||||||||||||
Net investment income(b) | .09 | %^ | .77 | % | 1.15 | % | 1.36 | % | 1.28 | % | 2.95 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 117 | % | 76 | % | 81 | % | 38 | % | 108 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .02 | %^ | .02 | % | .02 | % | .07 | % | .20 | % | .31 | % |
See footnote summary on page 144.
142 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 18.55 | $ 15.76 | $ 15.97 | $ 15.05 | $ 14.76 | $ 13.89 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .04 | .22 | .22 | .25 | .24 | .47 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.21 | ) | 3.07 | .07 | (c) | .67 | .05 | .87 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (d) | .00 | (d) | .00 | (d) | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (d) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.17 | ) | 3.29 | .29 | .92 | .29 | 1.34 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.50 | ) | (.37 | ) | – 0 | – | – 0 | – | (.47 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.61 | ) | – 0 | – | (.13 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.61 | ) | (.50 | ) | (.50 | ) | – 0 | – | – 0 | – | (.47 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 15.77 | $ 18.55 | $ 15.76 | $ 15.97 | $ 15.05 | $ 14.76 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(e)* | (6.78 | )% | 21.44 | % | 1.64 | % | 6.18 | % | 1.97 | % | 9.92 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $315 | $338 | $271 | $254 | $230 | $214 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(f)‡ | .79 | %^ | .81 | % | .80 | % | .74 | % | .62 | % | .61 | % | ||||||||||||
Expenses, before waivers/reimbursements(f)‡ | .80 | %^ | .83 | % | .82 | % | .80 | % | .81 | % | .74 | % | ||||||||||||
Net investment income(b) | .42 | %^ | 1.31 | % | 1.44 | % | 1.68 | % | 1.60 | % | 3.33 | % | ||||||||||||
Portfolio turnover rate. | 59 | % | 117 | % | 76 | % | 81 | % | 38 | % | 108 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .02 | %^ | .02 | % | .02 | % | .07 | % | .20 | % | .31 | % |
See footnote summary on page 144.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 143 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | 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. |
(d) | Amount is less than $.005. |
(e) | 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. |
(f) | In connection with the Fund’s investments in affiliated 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 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 February 28, 2022 and the years ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017, such waiver amounted to .01% (annualized), .01%, .01%, .07%, .19% and .13%, respectively. |
* | 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 August 31, 2018 and August 31, 2017 by .03% and .03%, respectively. |
^ | Annualized. |
See notes to consolidated financial statements.
144 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
BOARD OF TRUSTEES
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) | |
OFFICERS | ||
Alexander Barenboym(2), Vice President Daniel J. Loewy(2), Vice President Defne Ozaltun(2), Vice President Emilie D. Wrapp, Clerk Michael B. Reyes, Senior Vice President of the Funds | Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller and Chief Accounting Officer Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company
Principal Underwriter AllianceBernstein Investments, Inc. Nashville, TN 37203
Legal Counsel Seward & Kissel LLP | Transfer Agent AllianceBernstein Investor
Independent Registered Public Accounting Firm Ernst & Young LLP New York, NY 10001 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Barenboym and Loewy and Ms. Ozaltun are the investment professionals primarily responsible for the day-to-day management of the Fund’s portfolio. |
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 145 |
Operation and Effectiveness of the Funds’ Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended,
146 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID 19 impacts. As such, the Program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB ALL MARKET TOTAL RETURN PORTFOLIO | 147 |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB All Market Total Return Portfolio (the “Fund”) at a meeting held by video conference on August 3-4, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
148 | AB ALL MARKET TOTAL RETURN PORTFOLIO | abfunds.com |
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in 2020. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund in 2019 was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage
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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 recent unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
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The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advised accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the
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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.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee™ US Thematic Portfolio. Prior to April 30, 2021, High Yield Portfolio was named FlexFee™ High Yield Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
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NOTES
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NOTES
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NOTES
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AB ALL MARKET TOTAL RETURN PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
AMTR-0152-0222
FEB 02.28.22
SEMI-ANNUAL REPORT
AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT 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’re pleased to provide this report for the AB Sustainable Thematic Balanced Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
April 6, 2022
This report provides management’s discussion of fund performance for the AB Sustainable Thematic Balanced Portfolio for the semi-annual reporting period ended February 28, 2022. Prior to December 1, 2021, the Fund was named AB Conservative Wealth Strategy.
Effective December 1, 2021, the Fund made certain changes to its principal strategies, including the modification of the strategies to increase allocation to equity securities, to decrease investment in fixed-income securities and securities of non-US issuers and the use of derivatives, and to emphasize sustainable investment themes. In light of these changes, the performance shown for periods prior to December 1, 2021, is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
The Fund’s investment objective is to achieve a high total return without, in the opinion of the Adviser, undue risk to principal.
NAV RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | ||||||||
Class A Shares | -8.52% | -0.67% | ||||||
Class C Shares | -8.90% | -1.45% | ||||||
Advisor Class Shares1 | -8.38% | -0.42% | ||||||
Class R Shares1 | -8.67% | -1.07% | ||||||
Class K Shares1 | -8.56% | -0.81% | ||||||
Class I Shares1 | -8.38% | -0.43% | ||||||
Class Z Shares1 | -6.77% | 2 | — | |||||
Primary Benchmark:3 S&P 500 Index | -2.62% | 16.39% | ||||||
Blended Benchmark: 60% S&P 500 Index / 40% Bloomberg US Government/Credit Index | -3.24% | 8.61% | ||||||
Bloomberg Global Aggregate Bond Index (USD hedged) | -3.76% | -2.19% |
1 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
2 | Since inception on 12/14/2021. |
3 | Effective December 1, 2021, the primary benchmark changed from the Bloomberg Global Aggregate Bond (USD hedged) Index to the S&P 500 Index, as the S&P 500 Index is more closely aligned with the Fund’s principal investment strategies and portfolio holdings. |
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INVESTMENT RESULTS
The preceding table shows the Fund’s performance compared to its primary benchmark, the Standard & Poor’s (“S&P”) 500 Index, and its blended benchmark, a 60% / 40% blend of S&P 500 Index / Bloomberg US Government/Credit Index, respectively, for the six- and 12-month periods ended February 28, 2022. The table also includes the previous primary benchmark, the Bloomberg Global Aggregate Bond Index (USD hedged). The inception date for Class Z shares was December 14, 2021; due to limited performance history, there is no discussion of comparison to the benchmark for this share class.
During the six- and 12-month periods, all share classes of the Fund underperformed the primary and blended benchmarks, before sales charges. All share classes underperformed the previous benchmark, the Bloomberg Global Aggregate Bond Index (USD hedged), for the six-month period, and outperformed for the 12-month period, before sales charges.
In the period before the Fund’s transition to its new investment strategy, from March 1, 2021, through November 30, 2021, all share classes outperformed the previous benchmark, the Bloomberg Global Aggregate Bond Index (USD hedged), before sales charges. Overall asset-class allocation to equities and diversifiers contributed to absolute performance, while allocation to fixed income was negative. Security selection within diversifiers and fixed-income assets contributed to performance, while selection within equities detracted. Diversifiers include alternative asset classes and alternative investment strategies that are expected to have low correlation with returns on equities and fixed-income securities. These investments can include commodities and related derivatives, real estate-related securities and inflation-linked securities.
The Fund transitioned to its new investment strategy in December 2021. During the month, the Fund underperformed the primary and blended benchmarks, but outperformed the previous benchmark, the Bloomberg Global Aggregate Bond Index (USD hedged), before sales charges.
In the period from January 1, 2022, through February 28, 2022, all share classes underperformed the primary and blended benchmarks, before sales charges. Security selection detracted, relative to the primary benchmark. Sector selection contributed slightly, led by an overweight to industrials as well as underweights to consumer discretionary and communication services. These contributions were offset largely by a lack of exposure to energy, as the sector was the only positive performer in the benchmark during the period.
The Fund utilized derivatives for hedging and investment purposes in the form of futures, variance swaps, inflation Consumer Price Index swaps and total return swaps, which detracted from absolute performance for both periods, while currency forwards and interest rate swaps contributed;
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credit default swaps detracted for the 12-month period, but added for the six-month period; during the 12-month period, written options had no material impact on returns and written swaptions added. The Fund’s repositioning due to the transition to the new investment strategy was a significant contributor to the Fund’s turnover rate of 129%.
MARKET REVIEW AND INVESTMENT STRATEGY
US, international and emerging-market equities lost ground during the six-month period ended February 28, 2022. Accommodative monetary policy continued to support an accelerating economic recovery, but—despite generally strong corporate earnings and economic data—equity markets experienced a dramatic increase in volatility later in the period. Persistent high inflation and tightening monetary policy, especially in the US, dampened investor sentiment. The situation was exacerbated by Russia’s invasion of Ukraine in late February, which triggered both the imposition of severe economic sanctions on Russia and a general flight to safe haven assets, including the US dollar and US government bonds. Equity markets recovered some ground late in the month, on speculation that the Russia/Ukraine war might prompt the US Federal Reserve to slow the normalization of monetary policy, but the fear of stalling economic growth weighed on equity prices. Against a backdrop of rising interest rates, value-oriented stocks outperformed growth-oriented stocks, which ended in negative territory. Both large- and small-cap stocks declined, but large-cap stocks outperformed small-cap stocks by a wide margin.
Fixed-income government bond market yields rose on inflation concerns, leading bond prices to fall in all regions. Central banks became more hawkish about raising interest rates, causing short-term yields to rise faster than longer maturities in many markets. Global inflation-linked bonds led relative returns by falling the least versus treasuries. Investor demand for higher-yielding assets led high-yield corporate bonds in developed markets to perform similarly to global treasuries in the risk-off environment, while high-yield corporates in the US outperformed US Treasuries. Investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, underperformed government bonds, particularly in the US. Emerging-market sovereign, corporate and local-currency bonds trailed as the US dollar gained on all major developed-market currencies and most emerging-market currencies. Brent crude oil prices rose sharply, while copper and gold had modest gains.
The Fund’s Senior Investment Management Team (the “Team”) seeks to capitalize on long-term sustainable investment themes through investing in companies that contribute to positive social and environmental outcomes, while defensively managing market volatility with a balanced portfolio allocation. In the equity sleeve, the Team targets US companies with strong environmental, social and governance (“ESG”) practices using a
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combination of bottom-up and top-down research, and pairs with a fixed-income sleeve consisting predominantly of US government agency and treasury securities.
The Team’s approach to building a sustainable equity sleeve with attractive financial return potential is to invest in companies aligned with the United Nations Sustainable Development Goals (“SDGs”), which 193 nations have committed to advancing. The estimated cost to achieve these goals between 2016 and 2030 is $90 trillion, creating substantial opportunity for investment in companies aligned with these goals.
INVESTMENT POLICIES
The Fund invests in a diversified portfolio of equity and fixed-income securities. Normally, the Fund’s investments will consist of approximately 60% equity securities and 40% fixed-income securities, but these target allocations may vary. Under normal market conditions, the Fund will not deviate more than 10% from each target allocation. The Fund will not purchase a security if as a result less than 25% of its total assets would be invested in either equity securities or fixed-income securities. Under normal circumstances, at least 80% of the Fund’s net assets will be invested in securities of issuers that meet the Fund’s sustainability criteria, as described below.
In its equity investments, the Fund pursues opportunistic growth by investing primarily in a portfolio of US companies whose business activities the Adviser believes position the company to benefit from certain environmentally or socially oriented sustainable investment themes that align with one or more of the United Nations SDGs. These themes principally include the advancement of health, climate, and empowerment. A company that derives at least 25% of its total revenues from activities consistent with the achievement of the SDGs meets the Fund’s sustainability criteria, although many of the companies in which the Fund invests will derive a much greater portion of their revenues from such activities.
The Adviser normally considers a universe of primarily US mid- to large-capitalization companies for investment.
The Adviser employs a combination of “top-down” and “bottom-up” investment processes with the goal of identifying, based on its internal research and analysis, the most attractive US equity securities that fit into sustainable investment themes. First, under the “top-down” approach, the Adviser identifies the sustainable investment themes. In addition to this “top-down” thematic approach, the Adviser then uses a “bottom-up” analysis of individual companies that focuses on
(continued on next page)
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prospective earnings growth, valuation and quality of company management and on evaluating a company’s risks, including those related to ESG factors. ESG factors, which can vary across companies and industries, may include environmental impact, corporate governance, ethical business practices, diversity and employee practices, product safety, supply chain management and community impact. Eligible investments include securities of issuers that the Adviser believes will maximize total return while also contributing to positive societal impact aligned with one or more SDGs. While the Adviser emphasizes focusing on individual companies with favorable ESG attributes over the use of broad-based negative screens (e.g., disqualifying business activities) in assessing an issuer’s exposure to ESG factors, the Fund will not invest in issuers of equity securities that derive revenue from direct involvement in alcohol, coal, gambling, pornography, prisons, tobacco or weapons.
The Fund’s fixed-income securities will consist predominantly of US government and agency securities, which must meet the Fund’s sustainability and ESG criteria for government securities. In this regard, the Adviser evaluates government securities based on the alignment of the nation’s policies with the SDGs and an internal scoring system that considers the nation’s policies on ESG issues.
The Fund expects to use derivatives, such as options, futures contracts, forwards and swaps. Derivatives may provide more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Fund’s exposures than making direct investments. For example, the Fund may use bond futures contracts and interest rate swaps to gain and adjust its exposures to the fixed-income markets.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The S&P 500® Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The Bloomberg US Government/Credit Index measures the investment-grade, US dollar-denominated, fixed-rate, taxable bond market and includes Treasuries and government-related (agency, sovereign, supranational and local authority debt guaranteed by the US government) and investment-grade corporate securities. The Bloomberg Global Aggregate Bond Index (USD hedged) represents the performance of global investment-grade developed fixed-income markets, hedged to the US dollar. 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 assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
ESG Risk: Applying ESG and sustainability criteria to the investment process may exclude securities of certain issuers for non-investment reasons and, therefore, the Fund may forgo some market opportunities available to funds that do not use ESG or sustainability criteria. Securities of companies with ESG practices may shift into and out of favor depending on market and economic conditions, and the Fund’s performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. Furthermore, “sustainability” is not a uniformly defined characteristic, and the Fund’s sustainability criteria may differ from those used by other funds. In addition, in evaluating an investment, the investment adviser is dependent upon information and data that may be incomplete, inaccurate or unavailable, which could adversely affect the analysis of the ESG and sustainability factors relevant to a particular investment.
Allocation Risk: The allocation of investments among different investment styles, such as equity or debt, growth or value, US or non-US securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value (“NAV”) when one of these investments is performing more poorly than another.
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DISCLOSURES AND RISKS (continued)
Capitalization Risk: Investments in mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in mid-capitalization companies may have additional risks because these companies may have limited product lines, markets or financial resources.
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. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.
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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
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DISCLOSURES AND RISKS (continued)
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 as the prices of the individual securities in which it invests fluctuate, so that your 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. The performance shown for periods prior to July 14, 2017, is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 9 |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | -0.67% | -4.86% | ||||||
5 Years | 3.57% | 2.67% | ||||||
10 Years | 3.52% | 3.07% | ||||||
CLASS C SHARES | ||||||||
1 Year | -1.45% | -2.41% | ||||||
5 Years | 2.78% | 2.78% | ||||||
10 Years1 | 2.75% | 2.75% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | -0.42% | -0.42% | ||||||
5 Years | 3.85% | 3.85% | ||||||
10 Years | 3.80% | 3.80% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | -1.07% | -1.07% | ||||||
5 Years | 3.17% | 3.17% | ||||||
10 Years | 3.12% | 3.12% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | -0.81% | -0.81% | ||||||
5 Years | 3.47% | 3.47% | ||||||
10 Years | 3.44% | 3.44% | ||||||
CLASS I SHARES2 | ||||||||
1 Year | -0.43% | -0.43% | ||||||
5 Years | 3.80% | 3.80% | ||||||
10 Years | 3.76% | 3.76% | ||||||
CLASS Z SHARES2 | ||||||||
Since Inception3 | -6.77% | -6.77% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.18%, 1.93%, 0.93%, 1.58%, 1.28%, 0.95% and 0.85% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense and extraordinary expenses) to 1.00%, 1.75%, 0.75%, 1.25%, 1.00%, 0.75% and 0.75% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2022, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
(footnotes continued on next page)
10 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
HISTORICAL PERFORMANCE (continued)
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
3 | Inception date: 12/14/2021. |
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 11 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -7.06% | |||
5 Years | 2.40% | |||
10 Years | 2.94% | |||
CLASS C SHARES | ||||
1 Year | -4.65% | |||
5 Years | 2.50% | |||
10 Years1 | 2.62% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -2.62% | |||
5 Years | 3.56% | |||
10 Years | 3.66% | |||
CLASS R SHARES2 | ||||
1 Year | -3.26% | |||
5 Years | 2.88% | |||
10 Years | 2.99% | |||
CLASS K SHARES2 | ||||
1 Year | -3.01% | |||
5 Years | 3.18% | |||
10 Years | 3.30% | |||
CLASS I SHARES2 | ||||
1 Year | -2.68% | |||
5 Years | 3.52% | |||
10 Years | 3.63% | |||
CLASS Z SHARES2 | ||||
Since Inception3 | -7.61% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
3 | Inception date: 12/14/2021. |
12 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
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.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 13 |
EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 914.80 | $ | 5.36 | 1.13 | % | $ | 5.70 | 1.20 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.19 | $ | 5.66 | 1.13 | % | $ | 6.01 | 1.20 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 911.00 | $ | 9.14 | 1.93 | % | $ | 9.48 | 2.00 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,015.22 | $ | 9.64 | 1.93 | % | $ | 9.99 | 2.00 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 916.20 | $ | 3.42 | 0.72 | % | $ | 3.75 | 0.79 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.22 | $ | 3.61 | 0.72 | % | $ | 3.96 | 0.79 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 913.30 | $ | 6.83 | 1.44 | % | $ | 7.16 | 1.51 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.65 | $ | 7.20 | 1.44 | % | $ | 7.55 | 1.51 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 914.40 | $ | 5.60 | 1.18 | % | $ | 5.93 | 1.25 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.94 | $ | 5.91 | 1.18 | % | $ | 6.26 | 1.25 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 916.20 | $ | 4.18 | 0.88 | % | $ | 4.51 | 0.95 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.43 | $ | 4.41 | 0.88 | % | $ | 4.76 | 0.95 | % | ||||||||||||
Class Z | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 932.30 | $ | 1.51 | *** | 0.75 | %*** | $ | 1.65 | 0.82 | % | |||||||||||
Hypothetical** | $ | 1,000 | $ | 1,008.87 | $ | 1.57 | *** | 0.75 | %*** | $ | 1.71 | 0.82 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
*** | Expenses paid are based on the period from December 15, 2021 (commencement of distribution) and are equal to the class’s annualized expense ratio, multiped by the average account value over the period, multiplied by 76/365 (to reflect the since inception period). |
+ | 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 181/365 (to reflect the one-half year period). |
14 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
PORTFOLIO SUMMARY
February 28, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $154.6
1 | All data are as of February 28, 2022. The Fund’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. |
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS
February 28, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
COMMON STOCKS – 58.0% | ||||||||||||
Information Technology – 19.6% | ||||||||||||
Communications Equipment – 3.0% | ||||||||||||
Ciena Corp.(a) | 31,198 | $ | 2,134,567 | |||||||||
Lumentum Holdings, Inc.(a) | 25,176 | 2,488,899 | ||||||||||
|
| |||||||||||
4,623,466 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components – 4.1% | ||||||||||||
Flex Ltd.(a) | 133,567 | 2,202,520 | ||||||||||
Keysight Technologies, Inc.(a) | 11,308 | 1,779,540 | ||||||||||
TE Connectivity Ltd. | 16,191 | 2,306,084 | ||||||||||
|
| |||||||||||
6,288,144 | ||||||||||||
|
| |||||||||||
IT Services – 2.9% |
| |||||||||||
Block, Inc. – Class A(a) | 10,350 | 1,319,625 | ||||||||||
Maximus, Inc. | 16,710 | 1,317,751 | ||||||||||
Visa, Inc. – Class A | 8,587 | 1,855,822 | ||||||||||
|
| |||||||||||
4,493,198 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment – 4.3% | ||||||||||||
Monolithic Power Systems, Inc. | 4,224 | 1,937,549 | ||||||||||
NVIDIA Corp. | 6,500 | 1,585,025 | ||||||||||
NXP Semiconductors NV | 10,421 | 1,981,240 | ||||||||||
Wolfspeed, Inc.(a) | 11,962 | 1,228,737 | ||||||||||
|
| |||||||||||
6,732,551 | ||||||||||||
|
| |||||||||||
Software – 3.6% |
| |||||||||||
Adobe, Inc.(a) | 3,698 | 1,729,481 | ||||||||||
ANSYS, Inc.(a) | 3,885 | 1,259,478 | ||||||||||
Microsoft Corp. | 8,623 | 2,576,466 | ||||||||||
|
| |||||||||||
5,565,425 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals – 1.7% | ||||||||||||
Apple, Inc. | 15,756 | 2,601,631 | ||||||||||
|
| |||||||||||
30,304,415 | ||||||||||||
|
| |||||||||||
Health Care – 12.9% |
| |||||||||||
Health Care Equipment & Supplies – 8.4% |
| |||||||||||
Alcon, Inc.(b) | 26,495 | 2,039,850 | ||||||||||
Becton Dickinson and Co. | 9,991 | 2,710,359 | ||||||||||
Danaher Corp. | 9,471 | 2,598,937 | ||||||||||
Koninklijke Philips NV (ADR) | 39,087 | 1,331,694 | ||||||||||
STERIS PLC | 9,957 | 2,389,680 | ||||||||||
West Pharmaceutical Services, Inc. | 4,779 | 1,849,855 | ||||||||||
|
| |||||||||||
12,920,375 | ||||||||||||
|
|
16 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Health Care Providers & Services – 2.0% |
| |||||||||||
Laboratory Corp. of America Holdings(a) | 5,897 | $ | 1,599,620 | |||||||||
UnitedHealth Group, Inc. | 3,162 | 1,504,701 | ||||||||||
|
| |||||||||||
3,104,321 | ||||||||||||
|
| |||||||||||
Life Sciences Tools & Services – 2.5% |
| |||||||||||
Bio-Rad Laboratories, Inc. – Class A(a) | 3,355 | 2,100,096 | ||||||||||
Bruker Corp. | 26,017 | 1,830,816 | ||||||||||
|
| |||||||||||
3,930,912 | ||||||||||||
|
| |||||||||||
19,955,608 | ||||||||||||
|
| |||||||||||
Industrials – 11.5% |
| |||||||||||
Aerospace & Defense – 1.1% |
| |||||||||||
Hexcel Corp. | 29,004 | 1,679,332 | ||||||||||
|
| |||||||||||
Building Products – 2.5% |
| |||||||||||
Owens Corning | 20,717 | 1,930,617 | ||||||||||
Trex Co., Inc.(a) | 20,590 | 1,890,986 | ||||||||||
|
| |||||||||||
3,821,603 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies – 2.7% |
| |||||||||||
Tetra Tech, Inc. | 11,503 | 1,826,331 | ||||||||||
Waste Management, Inc. | 16,865 | 2,435,306 | ||||||||||
|
| |||||||||||
4,261,637 | ||||||||||||
|
| |||||||||||
Electrical Equipment – 3.1% |
| |||||||||||
Rockwell Automation, Inc. | 7,578 | 2,020,143 | ||||||||||
Vestas Wind Systems A/S (Sponsored ADR) | 253,570 | 2,748,699 | ||||||||||
|
| |||||||||||
4,768,842 | ||||||||||||
|
| |||||||||||
Machinery – 2.1% |
| |||||||||||
Deere & Co. | 6,036 | 2,173,081 | ||||||||||
Xylem, Inc./NY | 11,943 | 1,062,330 | ||||||||||
|
| |||||||||||
3,235,411 | ||||||||||||
|
| |||||||||||
17,766,825 | ||||||||||||
|
| |||||||||||
Financials – 6.1% |
| |||||||||||
Banks – 1.8% |
| |||||||||||
SVB Financial Group(a) | 4,621 | 2,800,326 | ||||||||||
|
| |||||||||||
Capital Markets – 2.9% |
| |||||||||||
Intercontinental Exchange, Inc. | 17,373 | 2,225,829 | ||||||||||
MSCI, Inc. – Class A | 4,563 | 2,289,211 | ||||||||||
|
| |||||||||||
4,515,040 | ||||||||||||
|
| |||||||||||
Insurance – 1.4% |
| |||||||||||
Aflac, Inc. | 35,627 | 2,176,454 | ||||||||||
|
| |||||||||||
9,491,820 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 4.5% |
| |||||||||||
Auto Components – 0.9% |
| |||||||||||
Aptiv PLC(a) | 10,873 | 1,407,401 | ||||||||||
|
|
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Household Durables – 1.2% |
| |||||||||||
TopBuild Corp.(a) | 8,392 | $ | 1,801,594 | |||||||||
|
| |||||||||||
Specialty Retail – 1.1% |
| |||||||||||
Home Depot, Inc. (The) | 5,161 | 1,629,999 | ||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||||||
NIKE, Inc. – Class B | 15,049 | 2,054,941 | ||||||||||
|
| |||||||||||
6,893,935 | ||||||||||||
|
| |||||||||||
Utilities – 2.4% |
| |||||||||||
Electric Utilities – 1.4% |
| |||||||||||
NextEra Energy, Inc. | 28,192 | 2,206,588 | ||||||||||
|
| |||||||||||
Water Utilities – 1.0% |
| |||||||||||
American Water Works Co., Inc. | 10,292 | 1,555,018 | ||||||||||
|
| |||||||||||
3,761,606 | ||||||||||||
|
| |||||||||||
Real Estate – 1.0% |
| |||||||||||
Equity Real Estate Investment Trusts (REITs) – 1.0% | ||||||||||||
SBA Communications Corp. | 5,110 | 1,550,323 | ||||||||||
|
| |||||||||||
Consumer Staples – 0.0% |
| |||||||||||
Food & Staples Retailing – 0.0% |
| |||||||||||
Progenic Pharmaceuticals CVR(c)(d) | 24,977 | – 0 | – | |||||||||
|
| |||||||||||
Total Common Stocks | 89,724,532 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - TREASURIES – 33.4% |
| |||||||||||
United States – 33.4% |
| |||||||||||
U.S. Treasury Bonds |
| |||||||||||
1.25%, 05/15/2050 | U.S.$ | 2,544 | 2,023,116 | |||||||||
2.50%, 02/15/2046 | 1,372 | 1,415,217 | ||||||||||
3.00%, 05/15/2042-02/15/2049 | 7,178 | 8,065,183 | ||||||||||
6.125%, 08/15/2029 | 754 | 980,882 | ||||||||||
U.S. Treasury Notes |
| |||||||||||
0.25%, 05/31/2025 | 8,276 | 7,905,064 | ||||||||||
0.625%, 05/15/2030 | 5,376 | 4,887,029 | ||||||||||
1.50%, 08/15/2026 | 1,944 | 1,923,860 | ||||||||||
1.625%, 02/15/2026 | 2,220 | 2,210,930 | ||||||||||
1.75%, 06/30/2022 | 1,934 | 1,942,158 | ||||||||||
1.875%, 03/31/2022 | 1,670 | 1,672,388 | ||||||||||
2.00%, 02/15/2025-08/15/2025 | 4,536 | 4,583,997 | ||||||||||
2.125%, 03/31/2024 | 1,718 | 1,741,390 |
18 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Principal Amount (000) | U.S. $ Value | ||||||||||
| ||||||||||||
2.25%, 08/15/2027 | U.S.$ | 1,356 | $ | 1,390,420 | ||||||||
2.375%, 01/31/2023 | 4,052 | 4,100,548 | ||||||||||
2.625%, 02/15/2029 | 1,525 | 1,605,539 | ||||||||||
2.75%, 02/15/2024 | 5,077 | 5,206,407 | ||||||||||
|
| |||||||||||
Total Governments - Treasuries | 51,654,128 | |||||||||||
|
| |||||||||||
AGENCIES – 1.6% |
| |||||||||||
Agency Debentures – 1.6% |
| |||||||||||
Federal National Mortgage Association | 1,783 | 2,415,879 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 7.1% |
| |||||||||||
Investment Companies – 7.1% |
| |||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(d)(e)(f) | 10,987,435 | 10,987,435 | ||||||||||
|
| |||||||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 100.1% | 154,781,974 | |||||||||||
|
| |||||||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.2% | ||||||||||||
Investment Companies – 0.2% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio Class AB, 0.01%(e)(f)(g) | 264,650 | 264,650 | ||||||||||
|
| |||||||||||
Total Investments – 100.3% | 155,046,624 | |||||||||||
Other assets less liabilities – (0.3)% | (441,550 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 154,605,074 | ||||||||||
|
|
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
(c) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(d) | Fair valued by the Adviser. |
(e) | Affiliated investments. |
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
(f) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(g) | The rate shown represents the 7-day yield as of period end. |
Glossary:
ADR – American Depositary Receipt
REIT – Real Estate Investment Trust
See notes to financial statements.
20 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2022 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $149,139,780) | $ | 143,794,539 | (a) | |
Affiliated issuers (cost $11,252,085—including investment of cash collateral for securities loaned of $264,650) | 11,252,085 | |||
Cash collateral due from broker | 38 | |||
Foreign currencies, at value (cost $71,337) | 71,893 | |||
Unaffiliated interest and dividends receivable | 291,126 | |||
Receivable for shares of beneficial interest sold | 30,388 | |||
Affiliated dividends receivable | 86 | |||
Other assets | 2,740 | |||
|
| |||
Total assets | 155,442,895 | |||
|
| |||
Liabilities | ||||
Custody and accounting fees payable | 340,732 | |||
Payable for collateral received on securities loaned | 264,650 | |||
Payable for shares of beneficial interest redeemed | 93,558 | |||
Advisory fee payable | 36,082 | |||
Distribution fee payable | 29,309 | |||
Payable for terminated centrally cleared interest rate swaps | 8,093 | |||
Trustees’ fees payable | 4,989 | |||
Transfer Agent fee payable | 436 | |||
Foreign capital gains tax payable | 363 | |||
Accrued expenses | 59,609 | |||
|
| |||
Total liabilities | 837,821 | |||
|
| |||
Net Assets | $ | 154,605,074 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 127 | ||
Additional paid-in capital | 148,425,034 | |||
Distributable earnings | 6,179,913 | |||
|
| |||
Net Assets | $ | 154,605,074 | ||
|
|
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 121,155,723 | 9,931,224 | $ | 12.20 | * | ||||||
| ||||||||||||
C | $ | 4,929,538 | 403,137 | $ | 12.23 | |||||||
| ||||||||||||
Advisor | $ | 21,743,924 | 1,772,468 | $ | 12.27 | |||||||
| ||||||||||||
R | $ | 4,671,034 | 382,819 | $ | 12.20 | |||||||
| ||||||||||||
K | $ | 2,057,769 | 168,350 | $ | 12.22 | |||||||
| ||||||||||||
I | $ | 38,075 | 3,069 | $ | 12.41 | |||||||
| ||||||||||||
Z | $ | 9,011 | 740.14 | $ | 12.17 | |||||||
|
(a) | Includes securities on loan with a value of $2,019,448 (see Note E). |
* | The maximum offering price per share for Class A shares was $12.74 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 21 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2022 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Affiliated issuers | $ | 229,862 | ||||||
Unaffiliated issuers | 182,623 | |||||||
Interest | 253,325 | |||||||
Securities lending income | 5,158 | $ | 670,968 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 397,332 | |||||||
Distribution fee—Class A | 163,633 | |||||||
Distribution fee—Class C | 27,495 | |||||||
Distribution fee—Class R | 11,952 | |||||||
Distribution fee—Class K | 2,702 | |||||||
Transfer agency—Class A | 64,443 | |||||||
Transfer agency—Class C | 2,818 | |||||||
Transfer agency—Advisor Class | 3,838 | |||||||
Transfer agency—Class R | 6,215 | |||||||
Transfer agency—Class K | 2,161 | |||||||
Transfer agency—Class I | 24 | |||||||
Custody and accounting | 141,905 | |||||||
Registration fees | 42,045 | |||||||
Audit and tax | 40,088 | |||||||
Legal | 19,359 | |||||||
Printing | 15,317 | |||||||
Trustees’ fees | 10,079 | |||||||
Miscellaneous | 19,688 | |||||||
|
| |||||||
Total expenses | 971,094 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (103,489 | ) | ||||||
|
| |||||||
Net expenses | 867,605 | |||||||
|
| |||||||
Net investment loss | (196,637 | ) | ||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Affiliated Underlying Portfolios | 1,131,879 | |||||||
Investment transactions(a) | 10,975,467 | |||||||
Forward currency exchange contracts | 447,899 | |||||||
Futures | (1,170,204 | ) | ||||||
Swaps | 686,765 | |||||||
Foreign currency transactions | (164,162 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | (1,812,635 | ) | ||||||
Investments | (22,734,688 | ) | ||||||
Forward currency exchange contracts | (212,389 | ) | ||||||
Futures | 616,025 | |||||||
Swaps | (756,134 | ) | ||||||
Foreign currency denominated assets and liabilities | (62,977 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (13,055,154 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (13,251,791 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $236. |
See notes to financial statements.
22 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income (loss) | $ | (196,637 | ) | $ | 1,401,924 | |||
Net realized gain on investment transactions | 11,907,644 | 12,739,214 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (24,962,798 | ) | 8,219,821 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (13,251,791 | ) | 22,360,959 | |||||
Distributions to Shareholders | ||||||||
Class A | (4,495,636 | ) | (4,585,056 | ) | ||||
Class C | (130,885 | ) | (264,659 | ) | ||||
Advisor Class | (199,535 | ) | (198,708 | ) | ||||
Class R | (156,270 | ) | (137,730 | ) | ||||
Class K | (73,358 | ) | (61,098 | ) | ||||
Class I | (1,430 | ) | (1,500 | ) | ||||
Class Z(a) | (363 | ) | – 0 | – | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 15,000,100 | (14,713,905 | ) | |||||
Capital Contributions | ||||||||
Total increase (decrease) | (3,309,168 | ) | 2,398,303 | |||||
Net Assets | ||||||||
Beginning of period | 157,914,242 | 155,515,939 | ||||||
|
|
|
| |||||
End of period | $ | 154,605,074 | $ | 157,914,242 | ||||
|
|
|
|
(a) | Commenced distribution on December 15, 2021. |
See notes to financial statements.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 23 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2022 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company, which is a Massachusetts Business Trust, operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Sustainable Thematic Balanced Portfolio (the “Fund”) (formerly known as AB Conservative Wealth Strategy). The Fund offers Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares. Effective December 15, 2021, the Fund commenced offering Class Z shares. Class B and 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 C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares ten years after the end of the calendar month of purchase. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class and Class I shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All nine classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Trustees (the “Board”).
24 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates,
26 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
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.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 27 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of February 28, 2022:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks(a) | $ | 89,724,532 | $ | – 0 | – | $ | 0 | (b) | $ | 89,724,532 | ||||||
Governments – Treasuries | – 0 | – | 51,654,128 | – 0 | – | 51,654,128 | ||||||||||
Agencies | – 0 | – | 2,415,879 | – 0 | – | 2,415,879 | ||||||||||
Short-Term Investments | 10,987,435 | – 0 | – | – 0 | – | 10,987,435 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 264,650 | – 0 | – | – 0 | – | 264,650 | ||||||||||
Total Investments in Securities | 100,976,617 | 54,070,007 | 0 | (b) | 155,046,624 | |||||||||||
Other Financial Instruments(c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 100,976,617 | $ | 54,070,007 | $ | 0 | (b) | $ | 155,046,624 | |||||||
|
|
|
|
|
|
|
|
(a) | See Portfolio of Investments for sector classifications. |
(b) | The Fund held securities with zero market value at period end. |
(c) | 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. |
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.
28 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 29 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .50% of the first $2.5 billion, .40% of the next $2.5 billion and .35% in excess of $5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. Prior to December 1, 2021, the Fund paid an advisory fee at an annual rate of .55% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion of the Fund’s average daily net assets. The fee was accrued daily and paid monthly.
Effective December 1, 2021, the Adviser has contractually agreed to waive its management fees and/or bear certain expenses of the Fund until December 31, 2022 to the extent necessary to prevent total Fund operating expenses (excluding acquired fund fees and expenses other than the advisory fees of any AB Mutual Funds in which the Fund may invest, interest expense and extraordinary expenses), on an annualized basis, from exceeding 1.00%, 1.75%, .75%, 1.25%, 1.00%, .75%, and .75% of average daily net assets, for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. The Expense Caps may not be terminated by the Adviser before December 31, 2022. For the six months ended February 28, 2022, such reimbursements/waivers amounted to $60,450.
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 $23,339 for the six months ended February 28, 2022.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $633 from the sale of Class A shares and received $248 and $38 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended February 28, 2022.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and
30 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until December 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2022, such waiver amounted to $2,856.
In connection with the Fund’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fees of AB mutual funds, as paid by the Fund as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until December 31, 2022. For the six months ended February 28, 2022, such waivers and/or reimbursements amounted to $40,182.
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2022 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/21 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/22 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 9,906 | $ | 38,714 | $ | 37,633 | $ | – 0 | – | $ | – 0 | – | $ | 10,987 | $ | 1 | $ | – 0 | – | |||||||||||||
AB Bond Fund, Inc. – AB All Market Real Return Portfolio | 11,284 | – 0 | – | 11,020 | 2,243 | (2,507 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||||||||||
AB High Income Fund, Inc. | 16,501 | 227 | 16,311 | (1,111 | ) | 694 | – 0 | – | 229 | – 0 | – | |||||||||||||||||||||
Government Money Market Portfolio* | 1,352 | 9,717 | 10,804 | – 0 | – | – 0 | – | 265 | 0 | ** | – 0 | – | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 1,132 | $ | (1,813 | ) | $ | 11,252 | $ | 230 | $ | – 0 | – | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | Investments of cash collateral for securities lending transactions (see Note E). |
** | Amount is less than $500. |
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE C
Distribution Plan
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the “Plan”). Under the Plan, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and .25% of the Fund’s average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class, Class I and Class Z shares. The fees are accrued daily and paid monthly. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” plan.
In the event that the Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class. The Plan 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 February 28, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 126,620,800 | $ | 162,473,617 | ||||
U.S. government securities | 60,986,555 | 16,847,721 |
32 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO 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 | $ | 4,563,185 | ||
Gross unrealized depreciation | (9,908,426 | ) | ||
|
| |||
Net unrealized depreciation | $ | (5,345,241 | ) | |
|
|
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 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended February 28, 2022, 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 February 28, 2022, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | 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” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”.
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted
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NOTES TO FINANCIAL STATEMENTS (continued)
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 statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the
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NOTES TO FINANCIAL STATEMENTS (continued)
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.
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 February 28, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in
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NOTES TO FINANCIAL STATEMENTS (continued)
the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended February 28, 2022, the Fund held inflation (CPI) 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.
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 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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 February 28, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended February 28, 2022, the Fund held total return swaps for hedging and non-hedging purposes.
Variance Swaps:
The Fund may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.
During the six months ended February 28, 2022, the Fund held variance swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include
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NOTES TO FINANCIAL STATEMENTS (continued)
provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended February 28, 2022, the Fund had entered into the following derivatives:
Derivative Type | Location of Gain or | 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 | $ | (17,607 | ) | $ | (6,841 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (1,152,597 | ) | 622,866 | ||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 447,899 | (212,389 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 1,333,286 | (1,095,874 | ) |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain or | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Foreign exchange contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | (12,058 | ) | $ | 12,052 |
| |||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (20,211 | ) | 43,521 | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (614,252 | ) | 284,167 | ||||||
|
|
|
| |||||||
Total | $ | (35,540) | $ | (352,498 | ) | |||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended February 28, 2022:
Futures: | ||||
Average notional amount of buy contracts | $ | 37,742,691 | (a) | |
Average notional amount of sale contracts | $ | 25,416,828 | (a) | |
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 20,737,335 | (b) | |
Average principal amount of sale contracts | $ | 34,886,924 | (b) | |
Inflation Swaps: | ||||
Average notional amount | $ | 20,650,000 | (a) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 13,923,517 | (a) | |
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 2,260,000 | (a) | |
Total Return Swaps: | ||||
Average notional amount | $ | 9,225,236 | (a) | |
Variance Swaps: | ||||
Average notional amount | $ | 197,841 | (c) |
(a) | Positions were open for three months during the period. |
(b) | Positions were open for five months during the period. |
(c) | Positions were open for less than one month during the period. |
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
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NOTES TO FINANCIAL STATEMENTS (continued)
contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market
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NOTES TO FINANCIAL STATEMENTS (continued)
Portfolio are reflected in the statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Fund in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.
A summary of the Fund’s transactions surrounding securities lending for the six months ended February 28, 2022 is as follows:
Government Money Market Portfolio | ||||||||||||||||||||||
Market on Loan* | Cash Collateral* | Market Value of Non-Cash Collateral* | Income from Borrowers | Income Earned | Advisory Fee Waived | |||||||||||||||||
$ | 2,019,448 | $ | 264,650 | $ | 1,813,930 | $ | 5,111 | $ | 47 | $ | 1 |
* | As of February 28, 2022. |
NOTE F
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 72,336 | 299,660 | $ | 961,456 | $ | 3,906,358 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 304,518 | 326,790 | 4,016,597 | 4,071,800 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 32,816 | 378,636 | 436,424 | 5,027,932 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (531,595 | ) | (1,671,623 | ) | (7,027,857 | ) | (21,640,581 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (121,925 | ) | (666,537 | ) | $ | (1,613,380 | ) | $ | (8,634,491 | ) | ||||||||||||||
| ||||||||||||||||||||||||
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NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||
Shares sold | 34,026 | 36,184 | $ | 434,534 | $ | 476,020 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 8,853 | 19,127 | 117,219 | 238,896 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (32,897 | ) | (379,065 | ) | (436,424 | ) | (5,027,932 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (61,605 | ) | (87,125 | ) | (816,642 | ) | (1,115,502 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (51,623 | ) | (410,879 | ) | $ | (701,313 | ) | $ | (5,428,518 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Shares sold | 1,420,597 | 86,461 | $ | 17,637,940 | $ | 1,123,346 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 11,682 | 12,869 | 154,899 | 160,868 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (77,057 | ) | (117,652 | ) | (1,004,117 | ) | (1,516,311 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,355,222 | (18,322 | ) | $ | 16,788,722 | $ | (232,097 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class R |
| |||||||||||||||||||||||
Shares sold | 44,453 | 106,346 | $ | 579,949 | $ | 1,380,459 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 11,839 | 11,036 | 156,270 | 137,730 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (24,707 | ) | (111,887 | ) | (315,204 | ) | (1,454,186 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 31,585 | 5,495 | $ | 421,015 | $ | 64,003 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class K |
| |||||||||||||||||||||||
Shares sold | 4,364 | 7,882 | $ | 57,559 | $ | 102,146 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 5,549 | 4,896 | 73,356 | 61,096 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,802 | ) | (50,437 | ) | (37,579 | ) | (644,142 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 7,111 | (37,659 | ) | $ | 93,336 | $ | (480,900 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||
Shares sold | 53 | 198 | $ | 717 | $ | 2,603 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 77 | 88 | 1,041 | 1,115 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (4 | ) | (425 | ) | (59 | ) | (5,620 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 126 | (139 | ) | $ | 1,699 | $ | (1,902 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
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NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class Z(a) |
| |||||||||||||||||||||||
Shares sold | 740 | – 0 | – | $ | 10,021 | $ | – 0 | – | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 740 | – 0 | – | $ | 10,021 | $ | – 0 | – | ||||||||||||||||
|
(a) | Commenced distribution on December 15, 2021. |
NOTE G
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
ESG Risk—Applying ESG and sustainability criteria to the investment process may exclude securities of certain issuers for non-investment reasons and, therefore, the Fund may forgo some market opportunities available to funds that do not use ESG or sustainability criteria. Securities of companies with ESG practices may shift into and out of favor depending on market and economic conditions, and the Fund’s performance may at times be better or worse than the performance of funds that do not use ESG or sustainability criteria. Furthermore, “sustainability” is not a uniformly defined characteristic, and the Fund’s sustainability criteria may differ from those used by other funds. In addition, in evaluating an investment, the investment adviser is dependent upon information and data that may be incomplete, inaccurate or unavailable, which could adversely affect the analysis of the ESG and sustainability factors relevant to a particular investment.
Allocation Risk—The allocation of investments among different investment styles, such as equity or debt, growth or value, U.S. or non-U.S. securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value, or NAV, when one of these investments is performing more poorly than another.
Capitalization Risk—Investments in mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
44 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Fund.
LIBOR Transition and Associated Risk—A Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 45 |
NOTES TO FINANCIAL STATEMENTS (continued)
counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
46 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES TO 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 $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended February 28, 2022.
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2021 and August 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 5,248,751 | $ | 5,317,969 | ||||
Net long-term capital gains | – 0 | – | 533,447 | |||||
|
|
|
| |||||
Total taxable distributions paid | $ | 5,248,751 | $ | 5,851,416 | ||||
|
|
|
|
As of August 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 2,573,136 | ||
Undistributed capital gains | 3,497,420 | |||
Other losses | (64,767 | )(a) | ||
Unrealized appreciation/(depreciation) | 18,483,510 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 24,489,299 | (c) | |
|
|
(a) | As of August 31, 2021, the cumulative deferred loss on straddles was $64,767. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of callable bonds, the tax treatment of swaps, and the tax deferral of losses on wash sales. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to the accrual of foreign capital gains tax. |
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 August 31, 2021, the Fund did not have any capital loss carryforwards.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE J
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE K
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
48 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.80 | $ 12.38 | $ 12.58 | $ 12.14 | $ 12.79 | $ 12.38 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.02 | ) | .12 | .14 | .16 | .17 | .38 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.12 | ) | 1.74 | .10 | .37 | .10 | .34 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | – 0 | – | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.14 | ) | 1.86 | .24 | .53 | .27 | .72 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.36 | ) | (.44 | ) | (.40 | ) | (.09 | ) | (.56 | ) | (.31 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.10 | ) | – 0 | – | (.04 | ) | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.19 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.46 | ) | (.44 | ) | (.44 | ) | (.09 | ) | (.92 | ) | (.31 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.20 | $ 13.80 | $ 12.38 | $ 12.58 | $ 12.14 | $ 12.79 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (8.52 | )% | 15.54 | % | 1.77 | % | 4.47 | % | 2.14 | % | 5.93 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $121,155 | $138,753 | $132,657 | $145,002 | $160,517 | $174,667 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.13 | %^ | 1.25 | % | 1.14 | % | 1.05 | % | 1.04 | % | 1.01 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.26 | %^ | 1.36 | % | 1.29 | % | 1.23 | % | 1.25 | % | 1.09 | % | ||||||||||||
Net investment income (loss)(b) | (.25 | )%^ | .95 | % | 1.13 | % | 1.32 | % | 1.36 | % | 3.08 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 120 | % | 96 | % | 100 | % | 90 | % | 86 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .07 | %^ | .14 | % | .17 | % | .20 | % | .25 | % | .22 | % |
See footnote summary on page 56.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 49 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.76 | $ 12.32 | $ 12.51 | $ 12.07 | $ 12.58 | $ 12.17 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.07 | ) | .02 | .05 | .07 | .08 | .29 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.13 | ) | 1.75 | .09 | .37 | .09 | .32 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | – 0 | – | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.20 | ) | 1.77 | .14 | .44 | .17 | .61 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.23 | ) | (.33 | ) | (.29 | ) | – 0 | – | (.38 | ) | (.20 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.10 | ) | – 0 | – | (.04 | ) | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.13 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.33 | ) | (.33 | ) | (.33 | ) | – 0 | – | (.68 | ) | (.20 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.23 | $ 13.76 | $ 12.32 | $ 12.51 | $ 12.07 | $ 12.58 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (8.90 | )% | 14.64 | % | .97 | % | 3.73 | % | 1.37 | % | 5.12 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $4,930 | $6,257 | $10,667 | $14,989 | $22,039 | $41,637 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.93 | %^ | 1.98 | % | 1.89 | % | 1.80 | % | 1.77 | % | 1.75 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 2.01 | %^ | 2.09 | % | 2.04 | % | 1.98 | % | 1.98 | % | 1.82 | % | ||||||||||||
Net investment income (loss)(b) | (1.02 | )%^ | .18 | % | .44 | % | .59 | % | .64 | % | 2.41 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 120 | % | 96 | % | 100 | % | 90 | % | 86 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .07 | %^ | .14 | % | .17 | % | .20 | % | .25 | % | .22 | % |
See footnote summary on page 56.
50 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.88 | $ 12.44 | $ 12.64 | $ 12.20 | $ 12.86 | $ 12.45 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .02 | .16 | .17 | .19 | .20 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.15 | ) | 1.76 | .10 | .37 | .10 | .33 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | – 0 | – | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.13 | ) | 1.92 | .27 | .56 | .30 | .74 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.48 | ) | (.43 | ) | (.12 | ) | (.59 | ) | (.33 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.10 | ) | – 0 | – | (.04 | ) | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.20 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.48 | ) | (.48 | ) | (.47 | ) | (.12 | ) | (.96 | ) | (.33 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.27 | $ 13.88 | $ 12.44 | $ 12.64 | $ 12.20 | $ 12.86 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d)* | (8.38 | )% | 15.82 | % | 2.02 | % | 4.81 | % | 2.39 | % | 6.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $21,744 | $5,790 | $5,419 | $6,464 | $8,772 | $9,274 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .72 | %^ | 1.00 | % | .89 | % | .80 | % | .79 | % | .75 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.00 | %^ | 1.11 | % | 1.04 | % | .97 | % | 1.00 | % | .83 | % | ||||||||||||
Net investment income(b) | .25 | %^ | 1.20 | % | 1.41 | % | 1.58 | % | 1.60 | % | 3.26 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 120 | % | 96 | % | 100 | % | 90 | % | 86 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .07 | %^ | .14 | % | .17 | % | .20 | % | .25 | % | .22 | % |
See footnote summary on page 56.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 51 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.79 | $ 12.37 | $ 12.57 | $ 12.13 | $ 12.76 | $ 12.36 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.04 | ) | .07 | .09 | .11 | .12 | .33 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.12 | ) | 1.75 | .10 | .38 | .09 | .32 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | – 0 | – | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.16 | ) | 1.82 | .19 | .49 | .21 | .65 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.33 | ) | (.40 | ) | (.35 | ) | (.05 | ) | (.50 | ) | (.25 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.10 | ) | – 0 | – | (.04 | ) | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.43 | ) | (.40 | ) | (.39 | ) | (.05 | ) | (.84 | ) | (.25 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.20 | $ 13.79 | $ 12.37 | $ 12.57 | $ 12.13 | $ 12.76 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (8.67 | )% | 15.05 | % | 1.36 | % | 4.06 | % | 1.73 | % | 5.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $4,671 | $4,844 | $4,278 | $4,604 | $3,896 | $4,078 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.44 | %^ | 1.65 | % | 1.53 | % | 1.46 | % | 1.45 | % | 1.42 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.67 | %^ | 1.76 | % | 1.68 | % | 1.63 | % | 1.66 | % | 1.50 | % | ||||||||||||
Net investment income (loss)(b) | (.57 | )%^ | .55 | % | .74 | % | .89 | % | .94 | % | 2.63 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 120 | % | 96 | % | 100 | % | 90 | % | 86 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .07 | %^ | .14 | % | .17 | % | .20 | % | .25 | % | .22 | % |
See footnote summary on page 56.
52 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.82 | $ 12.35 | $ 12.55 | $ 12.11 | $ 12.75 | $ 12.35 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.02 | ) | .11 | .14 | .15 | .15 | .37 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.13 | ) | 1.74 | .08 | .37 | .11 | .32 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | – 0 | – | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.15 | ) | 1.85 | .22 | .52 | .26 | .69 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.35 | ) | (.38 | ) | (.38 | ) | (.08 | ) | (.55 | ) | (.29 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.10 | ) | – 0 | – | (.04 | ) | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.18 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.45 | ) | (.38 | ) | (.42 | ) | (.08 | ) | (.90 | ) | (.29 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.22 | $ 13.82 | $ 12.35 | $ 12.55 | $ 12.11 | $ 12.75 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (8.56 | )% | 15.44 | % | 1.58 | % | 4.45 | % | 2.07 | % | 5.72 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,058 | $2,229 | $2,456 | $5,832 | $6,734 | $7,096 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.18 | %^ | 1.35 | % | 1.23 | % | 1.15 | % | 1.15 | % | 1.11 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.36 | %^ | 1.46 | % | 1.38 | % | 1.32 | % | 1.36 | % | 1.19 | % | ||||||||||||
Net investment income (loss)(b) | (.30 | )%^ | .83 | % | 1.12 | % | 1.24 | % | 1.23 | % | 2.96 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 120 | % | 96 | % | 100 | % | 90 | % | 86 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .07 | %^ | .14 | % | .17 | % | .20 | % | .25 | % | .22 | % |
See footnote summary on page 56.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 53 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 14.03 | $ 12.58 | $ 12.78 | $ 12.34 | $ 12.82 | $ 12.42 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | (.00 | )(c) | .16 | .16 | .18 | .25 | .40 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.14 | ) | 1.77 | .11 | .39 | .05 | .34 | |||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | – 0 | – | – 0 | – | ||||||||||||
Capital contributions | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.14 | ) | 1.93 | .27 | .57 | .30 | .74 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.48 | ) | (.43 | ) | (.13 | ) | (.46 | ) | (.34 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.10 | ) | – 0 | – | (.04 | ) | – 0 | – | (.17 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.15 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.48 | ) | (.48 | ) | (.47 | ) | (.13 | ) | (.78 | ) | (.34 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.41 | $ 14.03 | $ 12.58 | $ 12.78 | $ 12.34 | $ 12.82 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (8.38 | )% | 15.81 | % | 2.02 | % | 4.72 | % | 2.34 | % | 6.09 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $38 | $41 | $39 | $33 | $10 | $36 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .88 | %^ | 1.01 | % | .91 | % | .86 | % | .73 | % | .78 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.03 | %^ | 1.13 | % | 1.06 | % | 1.02 | % | .94 | % | .86 | % | ||||||||||||
Net investment income (loss)(b) | (.00 | )%(f)^ | 1.18 | % | 1.33 | % | 1.46 | % | 1.99 | % | 3.25 | % | ||||||||||||
Portfolio turnover rate | 129 | % | 120 | % | 96 | % | 100 | % | 90 | % | 86 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .07 | %^ | .14 | % | .17 | % | .20 | % | .25 | % | .22 | % |
See footnote summary on page 56.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class Z | ||||
December 15, 2021(g) to February 28, 2022 (unaudited) | ||||
|
| |||
Net asset value, beginning of period | $ 13.54 | |||
|
| |||
Income From Investment Operations | ||||
Net investment loss(a)(b) | (.00 | )(c) | ||
Net realized and unrealized gain (loss) on investment transactions | (.88 | ) | ||
|
| |||
Net increase (decrease) in net asset value from operations | (.88 | ) | ||
|
| |||
Less: Dividends and Distributions | ||||
Dividends from net investment income | (.39 | ) | ||
Distributions from net realized gain on investment transactions | (.10 | ) | ||
|
| |||
Total distributions | (.49 | ) | ||
|
| |||
Net asset value, end of period | $ 12.17 | |||
|
| |||
Total Return | ||||
Total investment return based on net asset value(d) | (6.77 | )% | ||
Ratios/Supplemental Data | ||||
Net assets, end of period (000’s omitted) | $9 | |||
Ratio to average net assets of: | ||||
Expenses, net of waivers/reimbursements(e)‡ | .75 | %^ | ||
Expenses, before waivers/reimbursements(e)‡ | .87 | %^ | ||
Net investment loss(b) | (.00 | )%(f)^ | ||
Portfolio turnover rate | 129 | % |
See footnote summary on page 56.
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 55 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of 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) | In connection with the Fund’s investments in affiliated 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 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 February 28, 2022 and the years ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017, such waiver amounted to .06% (annualized), .11%, .15%, .17%, .21% and .08%, respectively. |
(f) | Amount is less than .005%. |
(g) | Commencement of distributions. |
* | 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 August 31, 2018 and August 31, 2017 by .03% and .28%, respectively. |
^ | Annualized. |
See notes to financial statements.
56 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
TRUSTEES
Marshall C. Turner, Jr.(1), Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) | |
OFFICERS | ||
Benjamin Ruegsegger(2), Daniel C. Roarty(2), Vice President Tiffanie Wong(2), Vice President Emilie D. Wrapp, Clerk Michael B. Reyes, Senior Vice President of the Funds | Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller and Chief Accounting Officer Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company
Principal Underwriter AllianceBernstein Investments, Inc.
Legal Counsel Seward & Kissel LLP | Transfer Agent AllianceBernstein Investor Services, Inc.
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Ruegseggar and Roarty and Ms. Wong are the investment professionals primarily responsible for the day-to-day management of the Fund’s portfolio. |
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Operation and Effectiveness of the Funds’ Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Trustees (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID 19 impacts. As such, the Program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Fund’s Advisory Agreement
At a meeting of the Board of Trustees of The AB Portfolios (the “Company”) held by video conference on August 3-4, 2021 (the “Meeting”), the Adviser recommended an amendment to the Company’s then-current Advisory Agreement with the Adviser (the “Amended Agreement”) to effect a fee reduction in respect of AB Conservative Wealth Strategy (the “Fund”). The Adviser also recommended various other changes to the Fund, including changes to the Fund’s non-fundamental principal investment strategies and a change in the Fund’s name to “AB Sustainable Thematic Balanced Portfolio.” These changes will be effective on or about December 1, 2021.
At the recommendation of the Adviser, the disinterested trustees (the “directors”) unanimously approved the Adviser’s proposals, including the Amended Agreement, conditioned on the Adviser’s agreement to pay the out-of-pocket expenses of implementing such proposals, other than the fees and expenses of their independent counsel, to the extent such expenses are not covered by the Adviser as a result of an effective expense limitation agreement. At the Meeting, the directors also approved the continuance of the Fund’s then-current Advisory Agreement for an additional annual term or, if earlier, until such time as the Amended Agreement takes effect.
Prior to approval of the Amended Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed Amended Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed approvals in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
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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 proposed 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 Amended Advisory Agreement, including the proposed 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 directors noted that the proposed lowering of the advisory fee would benefit the Fund and its shareholders. The directors noted that the Adviser was reducing the advisory fee for business reasons, and had assured them that there would be no diminution in the nature or quality of services to the Fund. 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 to be provided by the Adviser under the Amended Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The 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 to be provided to the Fund under the Amended Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and
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brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the then-current Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in 2020. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund in 2019 was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s recent unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the then-current advisory fee rate payable by the Fund to the Adviser under the then-current Advisory Agreement and the
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proposed advisory fee rate payable by the Fund to the Adviser under the Amended Agreement, 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 considered the Fund’s contractual effective advisory fee rate under the then-current Advisory Agreement against a peer group median. The directors also compared the Fund’s proposed contractual effective advisory fee rate with a peer group median.
The directors also considered the Adviser’s fee schedule for separately managed accounts managed by it that utilize investment strategies similar to those proposed for the Fund.
The directors noted that the Fund invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s then-current advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. 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 medians. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
With respect to the Fund’s proposed advisory fee, the directors considered the pro forma total expense ratio of the Class A shares of the Fund that gave effect to the proposed fee reduction for the entire fiscal year. The directors considered the Adviser’s proposed expense cap for the Fund’s
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 63 |
Class A shares, with corresponding expense caps for the other classes of shares, for an initial period to end no earlier than December 31, 2022. 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 adviser, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the proposed advisory fee schedule for the Fund in the Amended Agreement, like the advisory fee schedule in the then-current Advisory Agreement, contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
64 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee™ US Thematic Portfolio. Prior to April 30, 2021, High Yield Portfolio was named FlexFee™ High Yield Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 65 |
NOTES
66 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
NOTES
abfunds.com | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | 67 |
NOTES
68 | AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO | abfunds.com |
AB SUSTAINABLE THEMATIC BALANCED PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
STB-0152-0222
FEB 02.28.22
SEMI-ANNUAL REPORT
AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT 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’re pleased to provide this report for the AB Tax-Managed All Market Income Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
April 7, 2022
This report provides management’s discussion of fund performance for the AB Tax-Managed All Market Income Portfolio for the semi-annual reporting period ended February 28, 2022.
The Fund’s investment objective is to seek current income with consideration of capital appreciation.
NAV RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | ||||||||
Class A Shares | -6.74% | 1.60% | ||||||
Class C Shares | -7.05% | 0.82% | ||||||
Advisor Class Shares1 | -6.61% | 1.86% | ||||||
Primary Benchmark: Bloomberg 5-Year GO Municipal Bond Index | -3.23% | -1.73% | ||||||
MSCI ACWI (net) | -5.26% | 7.81% |
1 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its primary benchmark, the Bloomberg 5-Year General Obligation (“GO”) Municipal Bond Index, and the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) (net) for the six- and 12-month periods ended February 28, 2022.
All share classes of the Fund underperformed the primary benchmark and the MSCI ACWI (net) for the six-month period, before sales charges. Overall allocation to equities and fixed income detracted from absolute performance, while the effect of nontraditional income assets was neutral. Security selection within equities and nontraditional income assets detracted, while selection within fixed-income assets contributed.
During the 12-month period, all share classes of the Fund outperformed the primary benchmark and underperformed the MSCI ACWI (net), before sales charges. Overall allocation to equities and fixed-income assets was positive, while the effect of nontraditional income assets was neutral. Security selection within fixed income contributed, while selection within nontraditional income assets was neutral and selection within equities detracted. Active currency management was neutral over both periods.
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The Fund utilized derivatives for hedging and investment purposes in the form of credit default swaps and purchased options, which detracted from absolute returns for both periods; futures, currency forwards, interest rate swaps and total return swaps detracted for the six-month period, but contributed for the 12-month period; for the 12-month period, inflation Consumer Price Index swaps detracted, while written options added.
MARKET REVIEW AND INVESTMENT STRATEGY
US, international and emerging-market equities lost ground during the six-month period ended February 28, 2022. Accommodative monetary policy continued to support an accelerating economic recovery, but—despite generally strong corporate earnings and economic data—equity markets experienced a dramatic increase in volatility later in the period. Persistent high inflation and tightening monetary policy, especially in the US, dampened investor sentiment. The situation was exacerbated by Russia’s invasion of Ukraine in late February, which triggered both the imposition of severe economic sanctions on Russia and a general flight to safe haven assets, including the US dollar and US government bonds. Equity markets recovered some ground late in the month, on speculation that the Russia/Ukraine war might prompt the US Federal Reserve to slow the normalization of monetary policy, but the fear of stalling economic growth weighed on equity prices. Against a backdrop of rising interest rates, value-oriented stocks outperformed growth-oriented stocks, which ended in negative territory. Both large- and small-cap stocks declined, but large-cap stocks outperformed small-cap stocks by a wide margin.
Fixed-income government bond market yields rose on inflation concerns, leading bond prices to fall in all regions. Central banks became more hawkish about raising interest rates, causing short-term yields to rise faster than longer maturities in many markets. Global inflation-linked bonds led relative returns by falling the least versus treasuries. Investor demand for higher-yielding assets led high-yield corporate bonds in developed markets to perform similarly to global treasuries in the risk-off environment, while high-yield corporates in the US outperformed US Treasuries. Investment-grade corporate bonds, which typically have longer maturities and are more sensitive to changes in yields than high-yield corporates, underperformed government bonds, particularly in the US. Emerging-market sovereign, corporate and local-currency bonds trailed as the US dollar gained on all major developed-market currencies and most emerging-market currencies. Brent crude oil prices rose sharply, while copper and gold had modest gains.
Municipal bond yields also rose on inflation concerns leading bond prices to fall over the six-month period. Municipal bonds outperformed Treasuries in 2021 as municipal yields rose less, with the tax-exempt market continuing to benefit from record-breaking demand. In 2022 so far, municipal bonds underperformed Treasuries, which benefited from a flight to safe haven assets amid rising tensions between Russia and Ukraine.
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The Fund’s Senior Investment Management Team (the “Team”) seeks current income with consideration of capital appreciation. The Team’s global multi-asset strategy focuses on generating high, stable income for taxable investors. The Team utilizes a rigorous quantitative research toolset with fundamental expertise across all regions and markets.
The municipal components may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most bond insurers, insurance has less value than it did in the past. The market now values insured municipal securities, primarily based on the credit quality of the issuer of the security, with little value given to the insurance feature. In purchasing such insured securities, the Adviser evaluates the risk and return of municipal securities through its own research. If an insurance company’s rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of February 28, 2022, the Fund’s percentages of total investments in insured bonds and in insured bonds that have been pre-refunded or escrowed to maturity were 2.73% and 0.00%, respectively.
INVESTMENT POLICIES
The Adviser allocates the Fund’s investments primarily among a broad range of income-producing securities, including common stock of companies that regularly pay dividends, preferred stocks, debt securities (including high-yield debt securities, also known as “junk bonds”), and derivatives related to these types of securities. The Fund pursues a global strategy, typically investing in securities of issuers located in the United States and in other countries throughout the world, including emerging-market countries.
In selecting equity securities for the Fund, the Adviser focuses on securities that have high dividend yields and that it believes are undervalued by the market relative to their long-term earnings potential. In order to provide diversification and the opportunity for increased return, the Adviser also acquires equity securities for the Fund that are expected to exhibit relatively little correlation with the returns of the Fund’s holdings in high dividend yield equity securities.
The Fund intends to meet the tax requirement for passing municipal bond interest through to Fund shareholders as tax-exempt interest dividends, which currently requires that at least 50% of the Fund’s assets be invested in tax-exempt debt securities. In the event that the Internal Revenue Code or the related rules, regulations and interpretations of the Internal Revenue Service should in the future change so as to permit the Fund to pass through tax-exempt dividends when
(continued on next page)
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the Fund invests a lesser amount of its assets in tax-exempt debt securities, the Fund’s allocations to equity securities may increase. In selecting tax-exempt securities for the Fund’s debt investments, the Adviser may draw on the capabilities of separate investment teams that specialize in different areas that are generally defined by the maturity of the debt securities and/or their ratings. These fixed-income teams draw on the resources and expertise of the Adviser’s fixed-income research staff, which includes fixed-income research analysts and economists.
In addition, the Fund may engage in certain alternative income strategies that generally utilize derivatives to diversify sources of income and manage risk. For example, the Fund may take long positions in currency derivatives on higher yielding currencies and/or short positions in currency derivatives on lower yielding currencies.
The Adviser adjusts the Fund’s investment exposure utilizing the Adviser’s Dynamic Asset Allocation (“DAA”) approach. DAA comprises a series of analytical and forecasting tools employed by the Adviser to gauge fluctuations in the risk/return profile of various asset classes. DAA seeks to adjust the Fund’s investment exposure in changing market conditions and thereby reduce overall portfolio volatility by mitigating the effects of market fluctuations, while preserving consistent long-term return potential. For example, the Adviser may seek to reduce the Fund’s risk exposure to one or more assets classes when DAA suggests that market risks relevant to those asset classes are rising but return opportunities are declining. In addition to merely increasing or decreasing asset class exposure by buying or selling securities of that asset class, the Adviser may pursue DAA implementation for the Fund by investing in derivatives or exchange-traded funds.
The Adviser intends to utilize a variety of derivatives in its management of the Fund. The Adviser may use derivatives to gain exposure to an asset class, such as using interest rate derivatives to gain exposure to certain bonds. As noted above, the Adviser may separately pursue certain alternative investment strategies that utilize derivatives, and may enter into derivatives in making the adjustments called for by DAA. As a result of the use of derivatives, the Fund may be leveraged, with net investment exposure in excess of net assets.
Currency exchange rate fluctuation can have a dramatic impact on returns. The Fund’s foreign currency exposures will come from investment in securities priced or denominated in foreign currencies and from direct holdings in foreign currencies and currency-related derivatives. The Adviser may seek to hedge all or a portion of the currency exposure resulting from Fund investments or decide not to hedge this exposure.
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DISCLOSURES AND RISKS
Benchmark Disclosure
All indices are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 5-Year GO Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six years. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the stock or bond market fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Allocation Risk: The allocation of investments among different investment styles, such as equity or debt, growth or value, US or non-US securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value (“NAV”) when one of these investments is performing more poorly than another.
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. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
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DISCLOSURES AND RISKS (continued)
High-Yield Debt Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest-rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.
Interest-Rate Risk: Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuer’s ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic
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DISCLOSURES AND RISKS (continued)
conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Emerging-Market 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.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Fund.
Leverage Risk: To the extent the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected. The Fund’s tax-management
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DISCLOSURES AND RISKS (continued)
strategies may result in it forgoing performance in favor of tax benefits that may not materialize, or may result in pre-tax performance that is lower than that of funds that do not use tax-management strategies.
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 as the prices of the individual securities in which it invests fluctuate, so that your 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. The performance shown for periods prior to April 17, 2017, is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 1.60% | -2.69% | ||||||
5 Years | 3.85% | 2.95% | ||||||
10 Years | 3.98% | 3.52% | ||||||
CLASS C SHARES | ||||||||
1 Year | 0.82% | -0.16% | ||||||
5 Years | 3.09% | 3.09% | ||||||
10 Years1 | 3.22% | 3.22% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 1.86% | 1.86% | ||||||
5 Years | 4.12% | 4.12% | ||||||
10 Years | 4.25% | 4.25% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.41%, 2.15% and 1.16% for Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios, exclusive of acquired fund fees and expenses, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs, to 0.99%, 1.74% and 0.74% for Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2022. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is 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
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -7.04% | |||
5 Years | 2.58% | |||
10 Years | 3.34% | |||
CLASS C SHARES | ||||
1 Year | -4.59% | |||
5 Years | 2.69% | |||
10 Years1 | 3.03% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -2.59% | |||
5 Years | 3.74% | |||
10 Years | 4.06% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that this share class is 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)
RETURNS AFTER TAXES ON DISTRIBUTIONS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | -7.76% | |||
5 Years | 1.32% | |||
10 Years | 2.43% | |||
CLASS C SHARES | ||||
1 Year | -5.17% | |||
5 Years | 1.64% | |||
10 Years1 | 2.27% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -3.38% | |||
5 Years | 2.42% | |||
10 Years | 3.10% |
RETURNS AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | -3.33% | |||
5 Years | 2.05% | |||
10 Years | 2.67% | |||
CLASS C SHARES | ||||
1 Year | -2.05% | |||
5 Years | 2.11% | |||
10 Years1 | 2.39% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -0.59% | |||
5 Years | 2.97% | |||
10 Years | 3.27% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that this share class is 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.
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EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 932.60 | $ | 4.74 | 0.99 | % | $ | 4.79 | 1.00 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.89 | $ | 4.96 | 0.99 | % | $ | 5.01 | 1.00 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 929.50 | $ | 8.32 | 1.74 | % | $ | 8.37 | 1.75 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,016.17 | $ | 8.70 | 1.74 | % | $ | 8.75 | 1.75 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 933.90 | $ | 3.55 | 0.74 | % | $ | 3.60 | 0.75 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.12 | $ | 3.71 | 0.74 | % | $ | 3.76 | 0.75 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 181/365 (to reflect the one-half year period). |
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PORTFOLIO SUMMARY
February 28, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $100.3
1 | All data are as of February 28, 2022. The Fund’s security type and sector breakdowns are expressed as a percentage of total investments 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” weightings represent 1.0% or less in the following sectors: Agency CMBS, Industrial and Utilities. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Fund’s prospectus.
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PORTFOLIO SUMMARY (continued)
February 28, 2022 (unaudited)
1 | All data are as of February 28, 2022. The Fund’s quality rating breakdown is expressed as a percentage of the Fund’s total investments in municipal securities 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). The quality ratings are determined by using the S&P Global Ratings (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”). The Fund considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non-creditworthy investments such as, equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment. |
16 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS
February 28, 2022 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MUNICIPAL OBLIGATIONS – 56.3% | ||||||||||||
Long-Term Municipal Bonds – 54.9% | ||||||||||||
Alabama – 0.7% | ||||||||||||
Black Belt Energy Gas District | $ | 265 | $ | 284,855 | ||||||||
Lower Alabama Gas District (The) | 100 | 129,182 | ||||||||||
Tuscaloosa County Industrial Development Authority | 250 | 266,239 | ||||||||||
|
| |||||||||||
680,276 | ||||||||||||
|
| |||||||||||
Arizona – 0.6% |
| |||||||||||
Arizona Industrial Development Authority | 139 | 148,601 | ||||||||||
Arizona Industrial Development Authority | 100 | 116,930 | ||||||||||
Glendale Industrial Development Authority | 235 | 244,311 | ||||||||||
Tempe Industrial Development Authority | 110 | 116,392 | ||||||||||
|
| |||||||||||
626,234 | ||||||||||||
|
| |||||||||||
California – 2.7% |
| |||||||||||
ARC70 II TRUST | 100 | 101,686 | ||||||||||
California Community Housing Agency | 150 | 150,229 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
California Health Facilities Financing Authority | $ | 500 | $ | 553,756 | ||||||||
California School Finance Authority | 250 | 275,501 | ||||||||||
California Statewide Communities Development Authority | 100 | 103,058 | ||||||||||
CMFA Special Finance Agency | 100 | 93,977 | ||||||||||
CMFA Special Finance Agency | 100 | 80,827 | ||||||||||
CMFA Special Finance Agency | 100 | 100,160 | ||||||||||
CSCDA Community Improvement Authority | 100 | 85,736 | ||||||||||
4.00%, 05/01/2057(a) | 100 | 86,019 | ||||||||||
CSCDA Community Improvement Authority | 100 | 100,790 | ||||||||||
CSCDA Community Improvement Authority | 100 | 96,543 | ||||||||||
CSCDA Community Improvement Authority | 100 | 86,456 |
18 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CSCDA Community Improvement Authority | $ | 100 | $ | 100,410 | ||||||||
CSCDA Community Improvement Authority | 100 | 87,235 | ||||||||||
Golden State Tobacco Securitization Corp. | 200 | 202,175 | ||||||||||
Series 2021-B | 225 | 33,513 | ||||||||||
Hastings Campus Housing Finance Authority | 150 | 165,075 | ||||||||||
Los Angeles Department of Water & Power | 180 | 221,475 | ||||||||||
|
| |||||||||||
2,724,621 | ||||||||||||
|
| |||||||||||
Colorado – 0.9% |
| |||||||||||
City & County of Denver Co. Airport System Revenue | 545 | 641,250 | ||||||||||
Colorado Health Facilities Authority | 100 | 102,063 | ||||||||||
Colorado Health Facilities Authority | 100 | 101,400 | ||||||||||
Douglas County Housing Partnership | 100 | 92,996 | ||||||||||
|
| |||||||||||
937,709 | ||||||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Connecticut – 1.2% |
| |||||||||||
State of Connecticut Special Tax Revenue | $ | 1,135 | $ | 1,171,292 | ||||||||
|
| |||||||||||
Delaware – 0.2% |
| |||||||||||
State of Delaware | 225 | 225,000 | ||||||||||
|
| |||||||||||
District of Columbia – 0.1% |
| |||||||||||
District of Columbia Tobacco Settlement Financing Corp. | 1,625 | 145,690 | ||||||||||
|
| |||||||||||
Florida – 4.0% |
| |||||||||||
Alachua County Health Facilities Authority | 100 | 103,274 | ||||||||||
Cape Coral Health Facilities Authority | 270 | 280,010 | ||||||||||
Capital Projects Finance Authority/FL | 500 | 583,763 | ||||||||||
Capital Trust Agency, Inc. | 240 | 243,232 | ||||||||||
County of Broward FL Airport System Revenue | 500 | 589,195 | ||||||||||
County of Miami-Dade FL | 560 | 573,917 | ||||||||||
County of Miami-Dade FL Aviation Revenue | 665 | 722,980 |
20 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Florida Higher Educational Facilities Financial Authority | $ | 315 | $ | 357,215 | ||||||||
North Broward Hospital District | 425 | 483,019 | ||||||||||
Village Community Development District No. 13 | 100 | 97,990 | ||||||||||
|
| |||||||||||
4,034,595 | ||||||||||||
|
| |||||||||||
Georgia – 3.5% |
| |||||||||||
Augusta Development Authority | 200 | 229,744 | ||||||||||
City of Atlanta GA Department of Aviation | 625 | 666,270 | ||||||||||
Development Authority for Fulton County | 835 | 1,009,334 | ||||||||||
Main Street Natural Gas, Inc. | 220 | 245,406 | ||||||||||
Main Street Natural Gas, Inc. | 450 | 469,614 | ||||||||||
Private Colleges & Universities Authority | 210 | 226,481 | ||||||||||
State of Georgia | 215 | 252,759 | ||||||||||
5.00%, 07/01/2029 | 305 | 378,128 | ||||||||||
|
| |||||||||||
3,477,736 | ||||||||||||
|
| |||||||||||
Illinois – 5.9% |
| |||||||||||
Chicago Board of Education | 525 | 537,400 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2016-A | $ | 100 | $ | 115,685 | ||||||||
Series 2017-B | 135 | 167,508 | ||||||||||
7.00%, 12/01/2042(a) | 100 | 122,981 | ||||||||||
Chicago O’Hare International Airport | 105 | 123,475 | ||||||||||
Illinois Finance Authority | 415 | 477,352 | ||||||||||
Illinois Finance Authority | 250 | 264,865 | ||||||||||
Illinois Finance Authority | 210 | 230,757 | ||||||||||
Illinois Finance Authority | 448 | 407,754 | ||||||||||
Illinois Finance Authority | 425 | 472,512 | ||||||||||
Metropolitan Pier & Exposition Authority Series 2012 | 675 | 272,240 | ||||||||||
Series 2017-A | 115 | 125,722 | ||||||||||
Series 2017-B | 150 | 40,527 | ||||||||||
Railsplitter Tobacco Settlement Authority | 365 | 381,196 | ||||||||||
State of Illinois | 315 | 319,322 | ||||||||||
Series 2016 | 650 | 735,988 | ||||||||||
Series 2017-A | 135 | 150,099 |
22 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2017-D | $ | 480 | $ | 536,922 | ||||||||
Series 2021-B | 430 | 466,093 | ||||||||||
|
| |||||||||||
5,948,398 | ||||||||||||
|
| |||||||||||
Indiana – 0.2% |
| |||||||||||
Indiana Finance Authority | 185 | 152,540 | ||||||||||
Indiana Finance Authority | 100 | 99,458 | ||||||||||
|
| |||||||||||
251,998 | ||||||||||||
|
| |||||||||||
Iowa – 1.0% |
| |||||||||||
Iowa Finance Authority | 110 | 117,923 | ||||||||||
Iowa Finance Authority | 385 | 443,706 | ||||||||||
Iowa Finance Authority | 100 | 106,926 | ||||||||||
Xenia Rural Water District | 340 | 381,901 | ||||||||||
|
| |||||||||||
1,050,456 | ||||||||||||
|
| |||||||||||
Kansas – 0.3% |
| |||||||||||
Wyandotte County-Kansas City Unified Government | 265 | 267,692 | ||||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Kentucky – 1.1% |
| |||||||||||
Kentucky Economic Development Finance Authority | $ | 410 | $ | 472,470 | ||||||||
Kentucky Economic Development Finance Authority | 315 | 358,348 | ||||||||||
Kentucky Public Energy Authority | 220 | 242,592 | ||||||||||
|
| |||||||||||
1,073,410 | ||||||||||||
|
| |||||||||||
Louisiana – 1.0% |
| |||||||||||
City of New Orleans LA | 440 | 544,715 | ||||||||||
New Orleans Aviation Board | 400 | 444,417 | ||||||||||
|
| |||||||||||
989,132 | ||||||||||||
|
| |||||||||||
Maryland – 0.8% |
| |||||||||||
City of Baltimore MD | 100 | 108,903 | ||||||||||
County of Frederick MD | 215 | 229,339 | ||||||||||
Maryland State Transportation Authority | 340 | 432,044 | ||||||||||
|
| |||||||||||
770,286 | ||||||||||||
|
| |||||||||||
Massachusetts – 1.2% |
| |||||||||||
Commonwealth of Massachusetts | 355 | 357,628 | ||||||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 165 | 206,698 |
24 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Massachusetts Development Finance Agency | $ | 635 | $ | 644,769 | ||||||||
|
| |||||||||||
1,209,095 | ||||||||||||
|
| |||||||||||
Michigan – 1.9% |
| |||||||||||
City of Detroit MI | 65 | 73,548 | ||||||||||
Detroit City School District | 395 | 397,871 | ||||||||||
Grand Rapids Economic Development Corp. | 325 | 345,568 | ||||||||||
Michigan Finance Authority | 500 | 543,345 | ||||||||||
Michigan Finance Authority | 235 | 29,903 | ||||||||||
Michigan State Hospital Finance Authority | 445 | 474,693 | ||||||||||
Michigan Tobacco Settlement Finance Authority | 1,000 | 49,290 | ||||||||||
|
| |||||||||||
1,914,218 | ||||||||||||
|
| |||||||||||
Minnesota – 0.4% |
| |||||||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority | 75 | 75,000 | ||||||||||
State of Minnesota | 255 | 298,695 | ||||||||||
|
| |||||||||||
373,695 | ||||||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Missouri – 0.8% |
| |||||||||||
Cape Girardeau County Industrial Development Authority | $ | 470 | $ | 530,503 | ||||||||
Lee’s Summit Industrial Development Authority | 245 | 258,181 | ||||||||||
|
| |||||||||||
788,684 | ||||||||||||
|
| |||||||||||
Nevada – 0.1% |
| |||||||||||
State of Nevada Department of Business & Industry | 100 | 103,720 | ||||||||||
|
| |||||||||||
New Jersey – 4.7% |
| |||||||||||
New Jersey Economic Development Authority | 685 | 712,994 | ||||||||||
Series 2014-P | 500 | 542,865 | ||||||||||
New Jersey Economic Development Authority | 415 | 457,422 | ||||||||||
New Jersey Economic Development Authority | 415 | 462,311 | ||||||||||
New Jersey Health Care Facilities Financing Authority | 375 | 418,885 | ||||||||||
New Jersey Transportation Trust Fund Authority | 250 | 287,134 | ||||||||||
New Jersey Turnpike Authority | 675 | 729,943 |
26 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2021-A | $ | 500 | $ | 561,624 | ||||||||
Tobacco Settlement Financing Corp./NJ | 515 | 573,566 | ||||||||||
|
| |||||||||||
4,746,744 | ||||||||||||
|
| |||||||||||
New York – 2.4% |
| |||||||||||
Build NYC Resource Corp. | 100 | 107,863 | ||||||||||
County of Nassau NY | 225 | 258,949 | ||||||||||
Metropolitan Transportation Authority | 310 | 316,279 | ||||||||||
New York City Transitional Finance Authority Building Aid Revenue | 195 | 234,067 | ||||||||||
New York Counties Tobacco Trust V | 550 | 86,940 | ||||||||||
New York Liberty Development Corp. | 200 | 260,688 | ||||||||||
New York State Thruway Authority | 295 | 352,723 | ||||||||||
New York Transportation Development Corp. | 200 | 213,932 | ||||||||||
New York Transportation Development Corp. | 460 | 489,717 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Westchester County Local Development Corp. | $ | 100 | $ | 98,450 | ||||||||
|
| |||||||||||
2,419,608 | ||||||||||||
|
| |||||||||||
North Carolina – 0.3% |
| |||||||||||
North Carolina Medical Care Commission | 250 | 271,148 | ||||||||||
|
| |||||||||||
Ohio – 2.8% |
| |||||||||||
Buckeye Tobacco Settlement Financing Authority | 395 | 61,642 | ||||||||||
5.00%, 06/01/2055 | 1,000 | 1,088,653 | ||||||||||
County of Allen OH Hospital Facilities Revenue | 315 | 373,685 | ||||||||||
County of Cuyahoga OH | 560 | 640,266 | ||||||||||
County of Miami OH | 195 | 233,351 | ||||||||||
Ohio University | 220 | 222,420 | ||||||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 45 | 45,246 | ||||||||||
Port of Greater Cincinnati Development Authority | 100 | 97,290 | ||||||||||
|
| |||||||||||
2,762,553 | ||||||||||||
|
|
28 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Oregon – 0.1% |
| |||||||||||
Yamhill County Hospital Authority | $ | 100 | $ | 97,867 | ||||||||
|
| |||||||||||
Pennsylvania – 2.3% |
| |||||||||||
Allegheny County Hospital Development Authority | 305 | 370,417 | ||||||||||
Allentown Neighborhood Improvement Zone Development Authority | 220 | 242,222 | ||||||||||
Commonwealth of Pennsylvania | 600 | 635,911 | ||||||||||
Crawford County Hospital Authority | 215 | 234,242 | ||||||||||
Pennsylvania Economic Development Financing Authority | 220 | 242,363 | ||||||||||
Pennsylvania Higher Educational Facilities Authority | 500 | 562,104 | ||||||||||
|
| |||||||||||
2,287,259 | ||||||||||||
|
| |||||||||||
Puerto Rico – 3.1% |
| |||||||||||
Children’s Trust Fund | 2,000 | 135,829 | ||||||||||
Commonwealth of Puerto Rico | 20 | 20,075 | ||||||||||
Series 2011-A | 40 | 39,600 | ||||||||||
Series 2012-A | 65 | 61,588 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-A | $ | 100 | $ | 89,875 | ||||||||
GDB Debt Recovery Authority of Puerto Rico | 80 | 75,018 | ||||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | 15 | 16,074 | ||||||||||
Series 2012-A | 90 | 91,219 | ||||||||||
5.125%, 07/01/2037 | 25 | 25,349 | ||||||||||
5.25%, 07/01/2029-07/01/2042 | 120 | 121,724 | ||||||||||
5.50%, 07/01/2028 | 30 | 30,456 | ||||||||||
5.75%, 07/01/2037 | 30 | 30,481 | ||||||||||
6.00%, 07/01/2047 | 30 | 30,504 | ||||||||||
Puerto Rico Electric Power Authority | 245 | 253,490 | ||||||||||
Series 2007-T | 175 | 180,032 | ||||||||||
Series 2008-W | 90 | 92,588 | ||||||||||
5.375%, 07/01/2024(d)(e) | 45 | 46,575 | ||||||||||
5.50%, 07/01/2036(d)(e) | 100 | 103,750 | ||||||||||
Series 2010-A | 55 | 56,856 | ||||||||||
Series 2010-C | 25 | 25,719 | ||||||||||
5.25%, 07/01/2028(d)(e) | 65 | 67,194 | ||||||||||
Series 2010-D | 15 | 15,431 | ||||||||||
Series 2010-X | 70 | 72,363 | ||||||||||
Series 2010-Z | 25 | 25,844 | ||||||||||
Series 2012-A | 40 | 41,150 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth | 225 | 232,312 |
30 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | $ | 434 | $ | 148,774 | ||||||||
Series 2019-A | 100 | 109,253 | ||||||||||
5.00%, 07/01/2058 | 772 | 863,831 | ||||||||||
|
| |||||||||||
3,102,954 | ||||||||||||
|
| |||||||||||
Tennessee – 0.6% |
| |||||||||||
Bristol Industrial Development Board | 280 | 289,808 | ||||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | 100 | 48,000 | ||||||||||
Metropolitan Government Nashville & Davidson County Industrial Development Board | 100 | 96,973 | ||||||||||
Tennessee Housing Development Agency | 165 | 173,253 | ||||||||||
|
| |||||||||||
608,034 | ||||||||||||
|
| |||||||||||
Texas – 5.3% | ||||||||||||
Baytown Municipal Development District | 100 | 103,200 | ||||||||||
City of Houston TX | 405 | 460,140 | ||||||||||
Harris County-Houston Sports Authority | 615 | 667,867 | ||||||||||
Hidalgo County Regional Mobility Authority | 100 | 20,042 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Irving Hospital Authority | $ | 500 | $ | 559,266 | ||||||||
New Hope Cultural Education Facilities Finance Corp. | 35 | 25,349 | ||||||||||
New Hope Cultural Education Facilities Finance Corp. | 325 | 343,905 | ||||||||||
Red River Education Finance Corp. | 90 | 99,695 | ||||||||||
State of Texas | 365 | 435,753 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp. | 180 | 185,413 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp. | 300 | 318,702 | ||||||||||
Texas Private Activity Bond Surface Transportation Corp. | 230 | 262,485 | ||||||||||
Texas Water Development Board | 825 | 997,147 | ||||||||||
University of North Texas System | 400 | 444,055 |
32 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Uptown Development Authority | $ | 325 | $ | 355,420 | ||||||||
|
| |||||||||||
5,278,439 | ||||||||||||
|
| |||||||||||
Utah – 0.3% | ||||||||||||
City of Salt Lake City UT Airport Revenue | 255 | 290,631 | ||||||||||
|
| |||||||||||
Vermont – 0.4% | ||||||||||||
Vermont Economic Development Authority | 100 | 111,627 | ||||||||||
Vermont Economic Development Authority | 235 | 251,624 | ||||||||||
|
| |||||||||||
363,251 | ||||||||||||
|
| |||||||||||
Virginia – 1.0% | ||||||||||||
Fairfax County Water Authority | 185 | 212,933 | ||||||||||
Richmond Redevelopment & Housing Authority | 220 | 223,610 | ||||||||||
Tobacco Settlement Financing Corp./VA | 410 | 412,981 | ||||||||||
Virginia College Building Authority | 155 | 180,672 | ||||||||||
|
| |||||||||||
1,030,196 | ||||||||||||
|
| |||||||||||
Washington – 1.9% | ||||||||||||
Central Puget Sound Regional Transit Authority | 585 | 711,250 | ||||||||||
Kalispel Tribe of Indians | 155 | 177,504 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
King County Public Hospital District No. 1 | $ | 265 | $ | 315,902 | ||||||||
Washington State Housing Finance Commission | 340 | 351,367 | ||||||||||
Washington State Housing Finance Commission | 315 | 325,896 | ||||||||||
|
| |||||||||||
1,881,919 | ||||||||||||
|
| |||||||||||
Wisconsin – 1.1% | ||||||||||||
Wisconsin Health & Educational Facilities Authority | 100 | 100,934 | ||||||||||
Wisconsin Public Finance Authority | 160 | 169,845 | ||||||||||
Wisconsin Public Finance Authority | 265 | 281,036 | ||||||||||
Wisconsin Public Finance Authority | 410 | 455,437 | ||||||||||
Wisconsin Public Finance Authority | 100 | 88,135 | ||||||||||
|
| |||||||||||
1,095,387 | ||||||||||||
|
| |||||||||||
Total Long-Term Municipal Bonds | 54,999,927 | |||||||||||
|
| |||||||||||
Short-Term Municipal Notes – 1.4% | ||||||||||||
Nevada – 0.2% | ||||||||||||
County of Clark Department of Aviation | 200 | 200,000 | ||||||||||
|
|
34 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
New York – 0.7% | ||||||||||||
New York City Health and Hospitals Corp. | $ | 685 | $ | 685,000 | ||||||||
|
| |||||||||||
Puerto Rico – 0.5% | ||||||||||||
Commonwealth of Puerto Rico | 250 | 254,063 | ||||||||||
Puerto Rico Public Buildings Authority | 250 | 280,312 | ||||||||||
|
| |||||||||||
534,375 | ||||||||||||
|
| |||||||||||
Total Short-Term Municipal Notes | 1,419,375 | |||||||||||
|
| |||||||||||
Total Municipal Obligations | 56,419,302 | |||||||||||
|
| |||||||||||
| Shares | |||||||||||
COMMON STOCKS – 42.4% | ||||||||||||
Information Technology – 10.8% | ||||||||||||
Communications Equipment – 0.2% | ||||||||||||
Juniper Networks, Inc. | 5,720 | 193,279 | ||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components – 0.1% | ||||||||||||
Arrow Electronics, Inc.(d) | 507 | 61,793 | ||||||||||
IPG Photonics Corp.(d) | 367 | 47,838 | ||||||||||
|
| |||||||||||
109,631 | ||||||||||||
|
| |||||||||||
IT Services – 2.5% | ||||||||||||
Accenture PLC – Class A | 735 | 232,275 | ||||||||||
Akamai Technologies, Inc.(d) | 1,705 | 184,583 | ||||||||||
Automatic Data Processing, Inc. | 383 | 78,300 | ||||||||||
Capgemini SE | 667 | 139,623 | ||||||||||
Cognizant Technology Solutions Corp. – Class A | 3,446 | 296,804 | ||||||||||
EPAM Systems, Inc.(d) | 399 | 82,892 | ||||||||||
Fidelity National Information Services, Inc. | 1,116 | 106,277 | ||||||||||
Gartner, Inc.(d) | 299 | 83,846 | ||||||||||
Genpact Ltd. | 1,052 | 44,016 | ||||||||||
International Business Machines Corp. | 1,796 | 220,028 | ||||||||||
Mastercard, Inc. – Class A | 220 | 79,380 | ||||||||||
Nomura Research Institute Ltd. | 1,300 | 45,634 | ||||||||||
Paychex, Inc. | 1,604 | 190,972 | ||||||||||
PayPal Holdings, Inc.(d) | 2,244 | 251,171 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Visa, Inc. – Class A | 2,246 | $ | 485,405 | |||||||||
|
| |||||||||||
2,521,206 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment – 1.7% | ||||||||||||
Advanced Micro Devices, Inc.(d) | 505 | 62,287 | ||||||||||
Analog Devices, Inc. | 444 | 71,169 | ||||||||||
Applied Materials, Inc. | 3,201 | 429,574 | ||||||||||
ASM International NV | 19 | 6,136 | ||||||||||
Broadcom, Inc. | 316 | 185,631 | ||||||||||
Enphase Energy, Inc.(d) | 39 | 6,501 | ||||||||||
Infineon Technologies AG | 1,691 | 57,217 | ||||||||||
KLA Corp. | 640 | 223,040 | ||||||||||
Micron Technology, Inc. | 2,546 | 226,238 | ||||||||||
NVIDIA Corp. | 230 | 56,085 | ||||||||||
QUALCOMM, Inc. | 1,541 | 265,037 | ||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR) | 700 | 74,907 | ||||||||||
Texas Instruments, Inc. | 373 | 63,406 | ||||||||||
|
| |||||||||||
1,727,228 | ||||||||||||
|
| |||||||||||
Software – 4.2% | ||||||||||||
Adobe, Inc.(d) | 187 | 87,456 | ||||||||||
Bentley Systems, Inc. | 192 | 7,371 | ||||||||||
Cadence Design Systems, Inc.(d) | 215 | 32,557 | ||||||||||
Citrix Systems, Inc. | 616 | 63,140 | ||||||||||
Constellation Software, Inc./Canada | 96 | 161,792 | ||||||||||
Crowdstrike Holdings, Inc. – Class A(d) | 129 | 25,182 | ||||||||||
DocuSign, Inc.(d) | 30 | 3,553 | ||||||||||
Fortinet, Inc.(d) | 675 | 232,551 | ||||||||||
Intuit, Inc. | 41 | 19,449 | ||||||||||
Microsoft Corp. | 6,892 | 2,059,261 | ||||||||||
NortonLifeLock, Inc. | 10,145 | 294,002 | ||||||||||
Oracle Corp. | 5,349 | 406,364 | ||||||||||
Oracle Corp./Japan | 1,000 | 71,426 | ||||||||||
SAP SE | 1,256 | 141,682 | ||||||||||
ServiceNow, Inc.(d) | 441 | 255,745 | ||||||||||
SS&C Technologies Holdings, Inc. | 292 | 21,891 | ||||||||||
Synopsys, Inc.(d) | 345 | 107,775 | ||||||||||
Trade Desk, Inc. (The) – Class A(d) | 1,245 | 106,223 | ||||||||||
VMware, Inc. – Class A | 917 | 107,582 | ||||||||||
|
| |||||||||||
4,205,002 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals – 2.1% | ||||||||||||
Apple, Inc. | 8,432 | 1,392,292 | ||||||||||
HP, Inc. | 5,756 | 197,776 | ||||||||||
NetApp, Inc. | 2,180 | 170,868 |
36 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Samsung Electronics Co., Ltd. | 6,279 | $ | 378,331 | |||||||||
|
| |||||||||||
2,139,267 | ||||||||||||
|
| |||||||||||
10,895,613 | ||||||||||||
|
| |||||||||||
Financials – 7.5% | ||||||||||||
Banks – 2.8% | ||||||||||||
ABN AMRO Bank NV (GDR) | 5,413 | 72,032 | ||||||||||
Australia & New Zealand Banking Group Ltd. | 4,215 | 79,798 | ||||||||||
Bank Leumi Le-Israel BM | 16,003 | 173,359 | ||||||||||
Bank of Nova Scotia (The) | 257 | 18,624 | ||||||||||
Citigroup, Inc. | 1,781 | 105,489 | ||||||||||
Concordia Financial Group Ltd. | 30,000 | 122,048 | ||||||||||
Credit Agricole SA | 12,726 | 162,108 | ||||||||||
DBS Group Holdings Ltd. | 4,900 | 123,187 | ||||||||||
ING Groep NV | 13,915 | 162,506 | ||||||||||
JPMorgan Chase & Co. | 860 | 121,948 | ||||||||||
KBC Group NV | 604 | 43,516 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 32,900 | 201,973 | ||||||||||
National Bank of Canada | 2,486 | 199,331 | ||||||||||
Nordea Bank Abp | 22,955 | 253,963 | ||||||||||
Oversea-Chinese Banking Corp. Ltd. | 10,100 | 87,521 | ||||||||||
Regions Financial Corp. | 2,330 | 56,363 | ||||||||||
Royal Bank of Canada | 1,698 | 187,832 | ||||||||||
Skandinaviska Enskilda Banken AB – Class A | 12,044 | 138,751 | ||||||||||
Societe Generale SA | 3,159 | 89,329 | ||||||||||
Toronto-Dominion Bank (The) | 4,510 | 363,931 | ||||||||||
US Bancorp | 986 | 55,748 | ||||||||||
|
| |||||||||||
2,819,357 | ||||||||||||
|
| |||||||||||
Capital Markets – 2.3% | ||||||||||||
Ameriprise Financial, Inc. | 165 | 49,465 | ||||||||||
BlackRock, Inc. – Class A | 218 | 162,168 | ||||||||||
Carlyle Group, Inc. (The) | 3,771 | 176,747 | ||||||||||
CME Group, Inc. – Class A | 523 | 123,705 | ||||||||||
Credit Suisse Group AG | 27,420 | 229,700 | ||||||||||
Daiwa Securities Group, Inc. | 11,800 | 69,768 | ||||||||||
EQT AB | 277 | 9,271 | ||||||||||
Goldman Sachs Group, Inc. (The) | 1,044 | 356,307 | ||||||||||
Houlihan Lokey, Inc. | 1,105 | 113,660 | ||||||||||
IGM Financial, Inc. | 4,343 | 154,292 | ||||||||||
London Stock Exchange Group PLC | 1,425 | 124,483 | ||||||||||
Moody’s Corp. | 485 | 156,185 | ||||||||||
Morgan Stanley | 1,798 | 163,151 | ||||||||||
Partners Group Holding AG | 80 | 108,143 | ||||||||||
S&P Global, Inc. | 403 | 151,407 | ||||||||||
Singapore Exchange Ltd. | 8,800 | 61,053 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
T Rowe Price Group, Inc. | 297 | $ | 42,934 | |||||||||
|
| |||||||||||
2,252,439 | ||||||||||||
|
| |||||||||||
Consumer Finance – 0.3% | ||||||||||||
Ally Financial, Inc. | 3,915 | 195,358 | ||||||||||
American Express Co. | 618 | 120,226 | ||||||||||
|
| |||||||||||
315,584 | ||||||||||||
|
| |||||||||||
Diversified Financial Services – 0.3% | ||||||||||||
Apollo Global Management, Inc. | 164 | 10,702 | ||||||||||
Groupe Bruxelles Lambert SA | 551 | 57,214 | ||||||||||
Kinnevik AB(d) | 2,496 | 63,549 | ||||||||||
M&G PLC | 73,450 | 202,199 | ||||||||||
|
| |||||||||||
333,664 | ||||||||||||
|
| |||||||||||
Insurance – 1.4% | ||||||||||||
Admiral Group PLC | 1,205 | 48,002 | ||||||||||
Aviva PLC | 7,960 | 44,603 | ||||||||||
CNP Assurances | 3,459 | 84,307 | ||||||||||
Japan Post Holdings Co., Ltd. | 23,900 | 197,550 | ||||||||||
Japan Post Insurance Co., Ltd. | 11,000 | 187,867 | ||||||||||
Legal & General Group PLC | 20,751 | 76,726 | ||||||||||
Marsh & McLennan Cos., Inc. | 642 | 99,773 | ||||||||||
Medibank Pvt Ltd. | 5,912 | 13,636 | ||||||||||
MetLife, Inc. | 246 | 16,617 | ||||||||||
NN Group NV | 3,287 | 157,759 | ||||||||||
Phoenix Group Holdings PLC | 18,648 | 154,560 | ||||||||||
Progressive Corp. (The) | 1,099 | 116,417 | ||||||||||
Prudential Financial, Inc. | 1,756 | 196,075 | ||||||||||
Sampo Oyj – Class A | 980 | 46,241 | ||||||||||
|
| |||||||||||
1,440,133 | ||||||||||||
|
| |||||||||||
Mortgage Real Estate Investment Trusts (REITs) – 0.4% | ||||||||||||
AGNC Investment Corp. | 12,845 | 165,829 | ||||||||||
Annaly Capital Management, Inc. | 24,873 | 173,116 | ||||||||||
|
| |||||||||||
338,945 | ||||||||||||
|
| |||||||||||
7,500,122 | ||||||||||||
|
| |||||||||||
Health Care – 5.2% | ||||||||||||
Biotechnology – 0.4% | ||||||||||||
AbbVie, Inc. | 2,721 | 402,082 | ||||||||||
Moderna, Inc.(d) | 148 | 22,733 | ||||||||||
|
| |||||||||||
424,815 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies – 0.7% | ||||||||||||
Align Technology, Inc.(d) | 174 | 88,994 | ||||||||||
Getinge AB – Class B | 1,381 | 53,603 | ||||||||||
IDEXX Laboratories, Inc.(d) | 343 | 182,596 | ||||||||||
Koninklijke Philips NV | 4,868 | 166,284 |
38 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Medtronic PLC | 2,205 | $ | 231,503 | |||||||||
|
| |||||||||||
722,980 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services – 1.2% | ||||||||||||
AmerisourceBergen Corp. – Class A | 91 | 12,970 | ||||||||||
Anthem, Inc. | 1,279 | 577,916 | ||||||||||
Humana, Inc. | 547 | 237,573 | ||||||||||
Molina Healthcare, Inc.(d) | 553 | 169,699 | ||||||||||
UnitedHealth Group, Inc. | 411 | 195,583 | ||||||||||
|
| |||||||||||
1,193,741 | ||||||||||||
|
| |||||||||||
Life Sciences Tools & Services – 0.6% | ||||||||||||
Bio-Rad Laboratories, Inc. – Class A(d) | 183 | 114,551 | ||||||||||
Mettler-Toledo International, Inc.(d) | 136 | 191,588 | ||||||||||
Sartorius Stedim Biotech | 104 | 39,881 | ||||||||||
Thermo Fisher Scientific, Inc. | 453 | 246,432 | ||||||||||
|
| |||||||||||
592,452 | ||||||||||||
|
| |||||||||||
Pharmaceuticals – 2.3% | ||||||||||||
AstraZeneca PLC (Sponsored ADR) | 1,873 | 114,028 | ||||||||||
Eli Lilly & Co. | 857 | 214,207 | ||||||||||
Johnson & Johnson | 280 | 46,080 | ||||||||||
Merck & Co., Inc. | 4,065 | 311,298 | ||||||||||
Novo Nordisk A/S – Class B | 4,376 | 452,843 | ||||||||||
Pfizer, Inc. | 5,610 | 263,334 | ||||||||||
Roche Holding AG | 1,248 | 472,659 | ||||||||||
Sanofi | 2,479 | 259,136 | ||||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 900 | 9,877 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 6,100 | 185,991 | ||||||||||
|
| |||||||||||
2,329,453 | ||||||||||||
|
| |||||||||||
5,263,441 | ||||||||||||
|
| |||||||||||
Communication Services – 3.8% | ||||||||||||
Diversified Telecommunication Services – 0.9% | ||||||||||||
BCE, Inc. | 1,099 | 57,720 | ||||||||||
Comcast Corp. – Class A | 6,584 | 307,868 | ||||||||||
Nippon Telegraph & Telephone Corp. | 4,400 | 126,460 | ||||||||||
Orange SA | 3,856 | 46,626 | ||||||||||
Spark New Zealand Ltd. | 53,828 | 165,268 | ||||||||||
Telefonica SA | 43,775 | 209,066 | ||||||||||
|
| |||||||||||
913,008 | ||||||||||||
|
| |||||||||||
Entertainment – 0.4% | ||||||||||||
Electronic Arts, Inc. | 1,905 | 247,822 | ||||||||||
Netflix, Inc.(d) | 216 | 85,216 | ||||||||||
Ubisoft Entertainment SA(d) | 803 | 43,054 | ||||||||||
|
| |||||||||||
376,092 | ||||||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Interactive Media & Services – 1.7% | ||||||||||||
Alphabet, Inc. – Class A(d) | 51 | $ | 137,758 | |||||||||
Alphabet, Inc. – Class C(d) | 331 | 892,979 | ||||||||||
Auto Trader Group PLC | 10,251 | 90,660 | ||||||||||
Kakaku.com, Inc. | 2,100 | 46,202 | ||||||||||
Meta Platforms, Inc. – Class A(d) | 2,349 | 495,709 | ||||||||||
|
| |||||||||||
1,663,308 | ||||||||||||
|
| |||||||||||
Media – 0.6% | ||||||||||||
Interpublic Group of Cos., Inc. (The) | 5,245 | 193,016 | ||||||||||
Omnicom Group, Inc. | 2,515 | 210,984 | ||||||||||
Vivendi SE | 14,674 | 185,241 | ||||||||||
|
| |||||||||||
589,241 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Services – 0.2% | ||||||||||||
SoftBank Corp. | 12,177 | 153,849 | ||||||||||
SoftBank Group Corp. | 1,943 | 87,194 | ||||||||||
|
| |||||||||||
241,043 | ||||||||||||
|
| |||||||||||
3,782,692 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 3.6% | ||||||||||||
Auto Components – 0.0% | ||||||||||||
Aisin Corp. | 400 | 14,570 | ||||||||||
|
| |||||||||||
Automobiles – 0.5% | ||||||||||||
Tesla, Inc.(d) | 523 | 455,235 | ||||||||||
|
| |||||||||||
Distributors – 0.0% | ||||||||||||
LKQ Corp. | 596 | 27,982 | ||||||||||
|
| |||||||||||
Diversified Consumer Services – 0.1% | ||||||||||||
Service Corp. International/US | 1,632 | 99,307 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||||||
Compass Group PLC | 5,020 | 113,467 | ||||||||||
Darden Restaurants, Inc. | 521 | 75,660 | ||||||||||
Domino’s Pizza Enterprises Ltd. | 271 | 15,648 | ||||||||||
Domino’s Pizza, Inc. | 53 | 22,907 | ||||||||||
Galaxy Entertainment Group Ltd.(d) | 31,600 | 176,241 | ||||||||||
Starbucks Corp. | 844 | 77,471 | ||||||||||
Vail Resorts, Inc. | 119 | 31,005 | ||||||||||
|
| |||||||||||
512,399 | ||||||||||||
|
| |||||||||||
Household Durables – 0.5% | ||||||||||||
Electrolux AB | 2,215 | 39,660 | ||||||||||
Persimmon PLC | 5,526 | 177,846 | ||||||||||
PulteGroup, Inc. | 142 | 7,052 | ||||||||||
Sony Group Corp. | 500 | 51,086 |
40 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Whirlpool Corp. | 930 | $ | 187,181 | |||||||||
|
| |||||||||||
462,825 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail – 1.2% | ||||||||||||
Alibaba Group Holding Ltd.(d) | 1,500 | 19,746 | ||||||||||
Alibaba Group Holding Ltd. (ADR)(d) | 1,026 | 107,925 | ||||||||||
Amazon.com, Inc.(d) | 247 | 758,601 | ||||||||||
Etsy, Inc.(d) | 249 | 38,568 | ||||||||||
Prosus NV(d) | 3,474 | 215,671 | ||||||||||
ZOZO, Inc. | 1,300 | 37,018 | ||||||||||
|
| |||||||||||
1,177,529 | ||||||||||||
|
| |||||||||||
Multiline Retail – 0.2% | ||||||||||||
Target Corp. | 919 | 183,589 | ||||||||||
|
| |||||||||||
Specialty Retail – 0.4% | ||||||||||||
AutoZone, Inc.(d) | 126 | 234,787 | ||||||||||
Home Depot, Inc. (The) | 438 | 138,334 | ||||||||||
O’Reilly Automotive, Inc.(d) | 109 | 70,767 | ||||||||||
|
| |||||||||||
443,888 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods – 0.2% | ||||||||||||
adidas AG | 248 | 58,638 | ||||||||||
Deckers Outdoor Corp.(d) | 171 | 49,357 | ||||||||||
Kering SA | 89 | 61,733 | ||||||||||
Pandora A/S | 329 | 33,689 | ||||||||||
|
| |||||||||||
203,417 | ||||||||||||
|
| |||||||||||
3,580,741 | ||||||||||||
|
| |||||||||||
Industrials – 3.0% | ||||||||||||
Aerospace & Defense – 0.2% | ||||||||||||
Huntington Ingalls Industries, Inc. | 970 | 198,268 | ||||||||||
|
| |||||||||||
Air Freight & Logistics – 0.1% | ||||||||||||
CH Robinson Worldwide, Inc. | 223 | 21,560 | ||||||||||
Kuehne & Nagel International AG | 316 | 86,178 | ||||||||||
|
| |||||||||||
107,738 | ||||||||||||
|
| |||||||||||
Building Products – 0.5% | ||||||||||||
Assa Abloy AB – Class B | 3,422 | 89,820 | ||||||||||
Lixil Corp. | 1,200 | 26,745 | ||||||||||
Otis Worldwide Corp. | 4,571 | 358,046 | ||||||||||
Owens Corning | 387 | 36,064 | ||||||||||
|
| |||||||||||
510,675 | ||||||||||||
|
| |||||||||||
Construction & Engineering – 0.0% | ||||||||||||
Kajima Corp. | 3,513 | 47,280 | ||||||||||
|
| |||||||||||
Electrical Equipment – 0.3% | ||||||||||||
Generac Holdings, Inc.(d) | 102 | 32,178 | ||||||||||
Regal Rexnord Corp. | 340 | 54,519 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Rockwell Automation, Inc. | 420 | $ | 111,964 | |||||||||
Schneider Electric SE | 374 | 57,946 | ||||||||||
Vertiv Holdings Co. | 3,755 | 48,890 | ||||||||||
|
| |||||||||||
305,497 | ||||||||||||
|
| |||||||||||
Machinery – 1.0% | ||||||||||||
Cummins, Inc. | 515 | 105,122 | ||||||||||
Dover Corp. | 1,111 | 174,271 | ||||||||||
Mitsubishi Heavy Industries Ltd. | 7,200 | 212,347 | ||||||||||
Parker-Hannifin Corp. | 609 | 180,501 | ||||||||||
Snap-on, Inc. | 899 | 188,952 | ||||||||||
Volvo AB – Class B | 5,320 | 102,324 | ||||||||||
|
| |||||||||||
963,517 | ||||||||||||
|
| |||||||||||
Marine – 0.1% | ||||||||||||
SITC International Holdings Co., Ltd. | 13,000 | 53,601 | ||||||||||
|
| |||||||||||
Professional Services – 0.6% | ||||||||||||
Booz Allen Hamilton Holding Corp. | 1,678 | 135,398 | ||||||||||
RELX PLC | 5,479 | 167,325 | ||||||||||
Robert Half International, Inc. | 1,737 | 208,944 | ||||||||||
Wolters Kluwer NV | 1,202 | 122,471 | ||||||||||
|
| |||||||||||
634,138 | ||||||||||||
|
| |||||||||||
Road & Rail – 0.2% | ||||||||||||
Aurizon Holdings Ltd. | 21,519 | 54,893 | ||||||||||
Knight-Swift Transportation Holdings, Inc. | 1,553 | 84,607 | ||||||||||
NIPPON EXPRESS HOLDINGS, Inc. | 400 | 24,248 | ||||||||||
|
| |||||||||||
163,748 | ||||||||||||
|
| |||||||||||
2,984,462 | ||||||||||||
|
| |||||||||||
Energy – 2.2% | ||||||||||||
Oil, Gas & Consumable Fuels – 2.2% | ||||||||||||
Canadian Natural Resources Ltd. | 1,610 | 89,944 | ||||||||||
Devon Energy Corp. | 2,146 | 127,794 | ||||||||||
Enbridge, Inc. | 2,723 | 117,642 | ||||||||||
Eni SpA | 13,154 | 204,607 | ||||||||||
EOG Resources, Inc. | 1,596 | 183,412 | ||||||||||
Equinor ASA | 5,524 | 173,650 | ||||||||||
Inpex Corp. | 15,300 | 157,705 | ||||||||||
Keyera Corp. | 3,448 | 80,766 | ||||||||||
Marathon Petroleum Corp. | 2,802 | 218,192 | ||||||||||
Neste Oyj | 1,197 | 46,677 | ||||||||||
ONEOK, Inc. | 3,170 | 207,001 | ||||||||||
Shell PLC | 16,870 | 444,875 | ||||||||||
Suncor Energy, Inc. | 3,083 | 94,278 | ||||||||||
Valero Energy Corp. | 756 | 63,133 | ||||||||||
|
| |||||||||||
2,209,676 | ||||||||||||
|
|
42 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Staples – 1.9% | ||||||||||||
Beverages – 0.6% | ||||||||||||
Asahi Group Holdings Ltd. | 5,770 | $ | 232,758 | |||||||||
Coca-Cola Co. (The) | 5,837 | 363,295 | ||||||||||
|
| |||||||||||
596,053 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing – 0.5% | ||||||||||||
Koninklijke Ahold Delhaize NV | 5,316 | 163,532 | ||||||||||
Kroger Co. (The) | 3,213 | 150,368 | ||||||||||
Walmart, Inc. | 1,188 | 160,570 | ||||||||||
|
| |||||||||||
474,470 | ||||||||||||
|
| |||||||||||
Food Products – 0.3% | ||||||||||||
Bunge Ltd. | 1,790 | 187,145 | ||||||||||
Nestle SA | 546 | 71,141 | ||||||||||
|
| |||||||||||
258,286 | ||||||||||||
|
| |||||||||||
Household Products – 0.1% | ||||||||||||
Procter & Gamble Co. (The) | 958 | 149,343 | ||||||||||
|
| |||||||||||
Tobacco – 0.4% | ||||||||||||
Altria Group, Inc. | 925 | 47,443 | ||||||||||
Imperial Brands PLC | 9,386 | 205,237 | ||||||||||
Philip Morris International, Inc. | 711 | 71,861 | ||||||||||
Swedish Match AB | 18,384 | 133,647 | ||||||||||
|
| |||||||||||
458,188 | ||||||||||||
|
| |||||||||||
1,936,340 | ||||||||||||
|
| |||||||||||
Real Estate – 1.7% | ||||||||||||
Equity Real Estate Investment Trusts (REITs) – 1.3% | ||||||||||||
Duke Realty Corp. | 945 | 50,085 | ||||||||||
Extra Space Storage, Inc. | 1,010 | 190,031 | ||||||||||
Iron Mountain, Inc. | 4,324 | 212,654 | ||||||||||
Nippon Building Fund, Inc. | 6 | 34,382 | ||||||||||
Public Storage | 428 | 151,949 | ||||||||||
Simon Property Group, Inc. | 1,401 | 192,722 | ||||||||||
Stockland | 64,317 | 194,616 | ||||||||||
VICI Properties, Inc. | 446 | 12,470 | ||||||||||
Vornado Realty Trust | 1,114 | 48,214 | ||||||||||
Weyerhaeuser Co. | 4,258 | 165,551 | ||||||||||
|
| |||||||||||
1,252,674 | ||||||||||||
|
| |||||||||||
Real Estate Management & Development – 0.4% | ||||||||||||
CBRE Group, Inc. – Class A(d) | 1,825 | 176,751 | ||||||||||
Nomura Real Estate Holdings, Inc. | 7,900 | 196,699 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Vonovia SE | 860 | $ | 45,652 | |||||||||
|
| |||||||||||
419,102 | ||||||||||||
|
| |||||||||||
1,671,776 | ||||||||||||
|
| |||||||||||
Materials – 1.6% | ||||||||||||
Chemicals – 0.6% | ||||||||||||
Celanese Corp. – Class A | 87 | 12,117 | ||||||||||
Clariant AG(d) | 738 | 13,323 | ||||||||||
Linde PLC(d) | 474 | 138,996 | ||||||||||
Mitsubishi Chemical Holdings Corp. | 8,887 | 63,132 | ||||||||||
Mosaic Co. (The) | 3,943 | 206,731 | ||||||||||
Sumitomo Chemical Co., Ltd. | 38,200 | 182,376 | ||||||||||
|
| |||||||||||
616,675 | ||||||||||||
|
| |||||||||||
Containers & Packaging – 0.2% | ||||||||||||
Packaging Corp. of America | 1,364 | 200,767 | ||||||||||
Sealed Air Corp. | 748 | 50,213 | ||||||||||
|
| |||||||||||
250,980 | ||||||||||||
|
| |||||||||||
Metals & Mining – 0.8% | ||||||||||||
Anglo American PLC | 1,097 | 55,686 | ||||||||||
BHP Group Ltd. | 6,558 | 223,930 | ||||||||||
Fortescue Metals Group Ltd. | 13,592 | 181,077 | ||||||||||
Rio Tinto Ltd. | 1,771 | 152,726 | ||||||||||
Steel Dynamics, Inc. | 2,010 | 141,866 | ||||||||||
Teck Resources Ltd. – Class B | 859 | 30,931 | ||||||||||
|
| |||||||||||
786,216 | ||||||||||||
|
| |||||||||||
1,653,871 | ||||||||||||
|
| |||||||||||
Utilities – 1.1% | ||||||||||||
Electric Utilities – 0.4% | ||||||||||||
American Electric Power Co., Inc. | 830 | 75,239 | ||||||||||
Endesa SA | 4,422 | 97,202 | ||||||||||
Enel SpA | 9,332 | 68,767 | ||||||||||
Iberdrola SA | 8,986 | 101,951 | ||||||||||
NRG Energy, Inc. | 453 | 17,142 | ||||||||||
|
| |||||||||||
360,301 | ||||||||||||
|
| |||||||||||
Gas Utilities – 0.3% | ||||||||||||
AltaGas Ltd. | 7,268 | 160,097 | ||||||||||
Snam SpA | 3,946 | 21,925 | ||||||||||
UGI Corp. | 4,120 | 158,373 | ||||||||||
|
| |||||||||||
340,395 | ||||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||||||
Uniper SE | 2,500 | 79,978 | ||||||||||
|
| |||||||||||
Multi-Utilities – 0.3% | ||||||||||||
Ameren Corp. | 1,542 | 132,535 |
44 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
E.ON SE | 8,259 | $ | 112,335 | |||||||||
Sempra Energy | 395 | 56,967 | ||||||||||
|
| |||||||||||
301,837 | ||||||||||||
|
| |||||||||||
1,082,511 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 42,561,245 | |||||||||||
|
| |||||||||||
PREFERRED STOCKS – 5.5% | ||||||||||||
Real Estate – 5.5% | ||||||||||||
Diversified REITs – 1.1% | ||||||||||||
Armada Hoffler Properties, Inc. | 7,815 | 201,236 | ||||||||||
DigitalBridge Group, Inc. | 7,937 | 196,044 | ||||||||||
DigitalBridge Group, Inc. | 5,728 | 141,310 | ||||||||||
DigitalBridge Group, Inc. | 4,575 | 113,414 | ||||||||||
Gladstone Commercial Corp. | 5,851 | 146,860 | ||||||||||
Global Net Lease, Inc. | 4,357 | 107,967 | ||||||||||
Global Net Lease, Inc. | 3,646 | 90,306 | ||||||||||
PS Business Parks, Inc. | 193 | 4,711 | ||||||||||
PS Business Parks, Inc. | 2,193 | 54,474 | ||||||||||
Vornado Realty Trust | 3,588 | 85,897 | ||||||||||
|
| |||||||||||
1,142,219 | ||||||||||||
|
| |||||||||||
Health Care REITs – 0.1% | ||||||||||||
Global Medical REIT, Inc. | 2,772 | 70,650 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Healthcare Trust, Inc. | 353 | $ | 8,818 | |||||||||
|
| |||||||||||
79,468 | ||||||||||||
|
| |||||||||||
Hotel & Resort REITs – 1.0% | ||||||||||||
Chatham Lodging Trust | 3,885 | 92,735 | ||||||||||
DiamondRock Hospitality Co. | 6,828 | 177,795 | ||||||||||
Hersha Hospitality Trust | 782 | 18,299 | ||||||||||
Hersha Hospitality Trust | 3,923 | 85,443 | ||||||||||
Hersha Hospitality Trust | 2,727 | 59,305 | ||||||||||
Pebblebrook Hotel Trust | 1,194 | 28,357 | ||||||||||
Pebblebrook Hotel Trust | 5,862 | 137,816 | ||||||||||
Pebblebrook Hotel Trust | 8,025 | 175,908 | ||||||||||
Summit Hotel Properties, Inc. | 8,671 | 213,306 | ||||||||||
Summit Hotel Properties, Inc. | 1,400 | 33,236 | ||||||||||
|
| |||||||||||
1,022,200 | ||||||||||||
|
| |||||||||||
Industrial REITs – 0.3% | ||||||||||||
Plymouth Industrial REIT, Inc. | 2,572 | 66,190 | ||||||||||
Rexford Industrial Realty, Inc. | 5,575 | 141,438 | ||||||||||
Rexford Industrial Realty, Inc. | 3,099 | 78,436 | ||||||||||
|
| |||||||||||
286,064 | ||||||||||||
|
|
46 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Office REITs – 0.2% | ||||||||||||
City Office REIT, Inc. | 1,978 | $ | 48,006 | |||||||||
Hudson Pacific Properties, Inc. | 3,780 | 79,380 | ||||||||||
Vornado Realty Trust | 3,061 | 70,495 | ||||||||||
Vornado Realty Trust | 1,851 | 43,017 | ||||||||||
|
| |||||||||||
240,898 | ||||||||||||
|
| |||||||||||
Real Estate Development – 0.5% | ||||||||||||
Agree Realty Corp. | 8,381 | 169,464 | ||||||||||
Necessity Retail REIT, Inc. (The) | 8,150 | 205,380 | ||||||||||
Sunstone Hotel Investors, Inc. | 3,275 | 80,434 | ||||||||||
Vornado Realty Trust | 1,000 | 20,320 | ||||||||||
|
| |||||||||||
475,598 | ||||||||||||
|
| |||||||||||
Real Estate Operating Companies – 0.1% | ||||||||||||
Brookfield Property Partners LP | 3,477 | 79,415 | ||||||||||
|
| |||||||||||
Real Estate Services – 0.1% | ||||||||||||
CTO Realty Growth, Inc. | 2,403 | 61,517 | ||||||||||
Sunstone Hotel Investors, Inc. | 3,450 | 81,661 | ||||||||||
|
| |||||||||||
143,178 | ||||||||||||
|
| |||||||||||
Residential REITs – 0.6% | ||||||||||||
American Homes 4 Rent | 2,431 | 60,969 |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
American Homes 4 Rent | 459 | $ | 11,530 | |||||||||
American Homes 4 Rent | 3,561 | 93,405 | ||||||||||
Bluerock Residential Growth REIT, Inc. | 2,680 | 67,804 | ||||||||||
Centerspace | 3,781 | 95,471 | ||||||||||
UMH Properties, Inc. | 9,292 | 233,415 | ||||||||||
UMH Properties, Inc. | 2,825 | 70,766 | ||||||||||
|
| |||||||||||
633,360 | ||||||||||||
|
| |||||||||||
Retail REITs – 0.9% | ||||||||||||
Cedar Realty Trust, Inc. | 5,761 | 128,585 | ||||||||||
Necessity Retail REIT, Inc. (The) | 1,350 | 34,425 | ||||||||||
Saul Centers, Inc. | 6,875 | 171,875 | ||||||||||
SITE Centers Corp. | 8,238 | 203,890 | ||||||||||
Spirit Realty Capital, Inc. | 5,403 | 134,427 | ||||||||||
Urstadt Biddle Properties, Inc. | 6,790 | 170,429 | ||||||||||
Urstadt Biddle Properties, Inc. | 1,424 | 35,572 | ||||||||||
|
| |||||||||||
879,203 | ||||||||||||
|
| |||||||||||
Specialized REITs – 0.6% | ||||||||||||
Digital Realty Trust, Inc. | 3,025 | �� | 78,469 |
48 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Digital Realty Trust, Inc. | 10,725 | $ | 263,835 | |||||||||
National Storage Affiliates Trust | 8,130 | 204,144 | ||||||||||
Public Storage | 989 | 25,487 | ||||||||||
Public Storage | 247 | 5,908 | ||||||||||
|
| |||||||||||
577,843 | ||||||||||||
|
| |||||||||||
Total Preferred Stocks | 5,559,446 | |||||||||||
|
| |||||||||||
INVESTMENT COMPANIES – 1.5% | ||||||||||||
Funds and Investment Trusts – 1.5%(h) | ||||||||||||
Vanguard Global ex-U.S. Real Estate ETF | 14,596 | 755,051 | ||||||||||
Vanguard Real Estate ETF | 7,406 | 759,411 | ||||||||||
|
| |||||||||||
Total Investment Companies | 1,514,462 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED - PUTS – 1.3% |
| |||||||||||
Options on Equity Indices – 1.3% | ||||||||||||
Euro STOXX 50 Index | EUR | 4,773,000 | $ | 173,348 | ||||||||
FTSE 100 Index | GBP | 1,922,000 | 57,490 | |||||||||
Nikkei 225 Index | JPY | 427,500,000 | 94,871 | |||||||||
S&P 500 Index | USD | 39,150,000 | 999,256 | |||||||||
|
| |||||||||||
Total Options Purchased – Puts | 1,324,965 | |||||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITY – 0.1% | ||||||||||||
Agency CMBS – 0.1% | ||||||||||||
California Housing Finance Agency | $ | 100 | $ | 104,951 | ||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.1% | ||||||||||||
Industrial – 0.1% | ||||||||||||
Transportation - Airlines – 0.1% | ||||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | 100 | 102,198 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 5.1% |
| |||||||||||
Investment Companies – 5.1% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(h)(i)(j) | 5,064,340 | 5,064,340 | ||||||||||
|
| |||||||||||
Total Investments – 112.3% | 112,650,909 | |||||||||||
Other assets less liabilities – (12.3)% | (12,367,866 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 100,283,043 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
10 Yr Australian Bond Futures | 3 | March 2022 | $ | 293,128 | $ | (7,247 | ) | |||||||||
10 Yr Canadian Bond Futures | 1 | June 2022 | 107,826 | 724 | ||||||||||||
10 Yr Mini Japan Government Bond Futures | 9 | March 2022 | 1,178,576 | 2,128 | ||||||||||||
Euro STOXX 50 Index Futures | 12 | March 2022 | 528,378 | (1,373 | ) | |||||||||||
Euro-Bund Futures | 11 | March 2022 | 2,060,229 | 7,265 | ||||||||||||
FTSE KLCI Futures | 21 | March 2022 | 398,642 | 6,593 | ||||||||||||
FTSE/JSE Top 40 Futures | 4 | March 2022 | 180,223 | 2,688 | ||||||||||||
Hang Seng Index Futures | 1 | March 2022 | 144,966 | (10,231 | ) | |||||||||||
Long Gilt Futures | 5 | June 2022 | 825,559 | 1,657 | ||||||||||||
OMXS30 Index Futures | 29 | March 2022 | 653,117 | (38,851 | ) | |||||||||||
S&P 500 E-Mini Futures | 5 | March 2022 | 1,092,000 | 12,666 |
50 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
SET 50 Futures | 118 | March 2022 | $ | 728,187 | $ | 19,595 | ||||||||||
SGX Nifty 50 Futures | 7 | March 2022 | 234,920 | (6,890 | ) | |||||||||||
SPI 200 Futures | 4 | March 2022 | 510,080 | 14,043 | ||||||||||||
TOPIX Index Futures | 4 | March 2022 | 657,939 | 4,370 | ||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 65 | June 2022 | 8,283,438 | 50,585 | ||||||||||||
WIG 20 Index Futures | 4 | March 2022 | 38,132 | (4,062 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||
10 Yr Mini Japan Government Bond Futures | 1 | March 2022 | 130,953 | 387 | ||||||||||||
Euro STOXX 50 Index Futures | 2 | March 2022 | 88,063 | (159 | ) | |||||||||||
FTSE 100 Index Futures | 2 | March 2022 | 199,468 | 531 | ||||||||||||
FTSE China A50 Futures | 30 | March 2022 | 442,110 | 11,138 | ||||||||||||
FTSE KLCI Futures | 7 | March 2022 | 432,600 | 9,451 | ||||||||||||
Hang Seng Index Futures | 3 | March 2022 | 434,898 | 23,016 | ||||||||||||
Long Gilt Futures | 3 | June 2022 | 495,335 | (3,585 | ) | |||||||||||
MEX BOLSA Index Futures | 5 | March 2022 | 130,650 | (4,558 | ) | |||||||||||
MSCI Singapore IX ETS Futures | 30 | March 2022 | 733,348 | 29,624 | ||||||||||||
S&P 500 E-Mini Futures | 5 | March 2022 | 1,092,000 | 3,788 | ||||||||||||
S&P TSX 60 Index Futures | 1 | March 2022 | 201,246 | 3,358 | ||||||||||||
SPI 200 Futures | 2 | March 2022 | 255,039 | (222 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 7 | June 2022 | 892,062 | (7,338 | ) | |||||||||||
|
| |||||||||||||||
$ | 119,091 | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Bank of America, NA | CLP | 641,804 | USD | 770 | 03/25/2022 | $ | (31,006 | ) | ||||||||||||
Bank of America, NA | USD | 270 | CLP | 221,851 | 03/25/2022 | 7,323 | ||||||||||||||
Bank of America, NA | INR | 10,221 | USD | 136 | 04/07/2022 | 827 | ||||||||||||||
Bank of America, NA | INR | 5,494 | USD | 72 | 04/07/2022 | (373 | ) | |||||||||||||
Bank of America, NA | PHP | 9,390 | USD | 182 | 04/28/2022 | (841 | ) | |||||||||||||
Bank of America, NA | USD | 276 | TWD | 7,650 | 04/28/2022 | (2,198 | ) | |||||||||||||
Barclays Bank PLC | RUB | 55,222 | USD | 739 | 03/02/2022 | 227,577 | ||||||||||||||
Barclays Bank PLC | USD | 1,188 | RUB | 88,782 | 03/02/2022 | (365,883 | ) | |||||||||||||
Barclays Bank PLC | BRL | 3,574 | USD | 673 | 03/03/2022 | (20,682 | ) | |||||||||||||
Barclays Bank PLC | BRL | 4,433 | USD | 876 | 03/03/2022 | 15,075 | ||||||||||||||
Barclays Bank PLC | USD | 1,558 | BRL | 8,007 | 03/03/2022 | (3,719 | ) | |||||||||||||
Barclays Bank PLC | SEK | 12,828 | USD | 1,373 | 03/24/2022 | 17,492 | ||||||||||||||
Barclays Bank PLC | PEN | 2,009 | USD | 521 | 03/25/2022 | (8,022 | ) | |||||||||||||
Barclays Bank PLC | USD | 762 | CLP | 623,410 | 03/25/2022 | 16,320 | ||||||||||||||
Barclays Bank PLC | USD | 1,001 | PEN | 3,861 | 03/25/2022 | 16,720 | ||||||||||||||
Barclays Bank PLC | USD | 124 | PEN | 466 | 03/25/2022 | (1,099 | ) | |||||||||||||
Barclays Bank PLC | USD | 868 | BRL | 4,433 | 04/04/2022 | (14,797 | ) | |||||||||||||
Barclays Bank PLC | INR | 1,831 | USD | 24 | 04/07/2022 | (140 | ) | |||||||||||||
Barclays Bank PLC | USD | 136 | INR | 10,221 | 04/07/2022 | (992 | ) | |||||||||||||
Barclays Bank PLC | CAD | 1,459 | USD | 1,145 | 04/22/2022 | (7,050 | ) | |||||||||||||
Barclays Bank PLC | IDR | 1,335,445 | USD | 92 | 04/28/2022 | (426 | ) |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Barclays Bank PLC | IDR | 2,269,798 | USD | 158 | 04/28/2022 | $ | 455 | |||||||||||||
Barclays Bank PLC | KRW | 421,900 | USD | 354 | 04/28/2022 | 3,580 | ||||||||||||||
Barclays Bank PLC | KRW | 930,909 | USD | 768 | 04/28/2022 | (5,899 | ) | |||||||||||||
Barclays Bank PLC | PHP | 97,584 | USD | 1,879 | 04/28/2022 | (18,161 | ) | |||||||||||||
Barclays Bank PLC | USD | 485 | AUD | 673 | 04/28/2022 | 3,799 | ||||||||||||||
Barclays Bank PLC | USD | 108 | IDR | 1,562,937 | 04/28/2022 | 349 | ||||||||||||||
Barclays Bank PLC | USD | 107 | JPY | 12,308 | 04/28/2022 | 42 | ||||||||||||||
Barclays Bank PLC | USD | 705 | KRW | 837,443 | 04/28/2022 | (8,678 | ) | |||||||||||||
Barclays Bank PLC | USD | 581 | PHP | 30,099 | 04/28/2022 | 3,773 | ||||||||||||||
Barclays Bank PLC | EUR | 711 | USD | 807 | 05/12/2022 | 7,932 | ||||||||||||||
Barclays Bank PLC | USD | 86 | CNH | 544 | 05/18/2022 | (48 | ) | |||||||||||||
Barclays Bank PLC | MYR | 9,806 | USD | 2,316 | 06/16/2022 | (16,179 | ) | |||||||||||||
Barclays Bank PLC | MYR | 5,855 | USD | 1,394 | 06/16/2022 | 1,675 | ||||||||||||||
Barclays Bank PLC | USD | 2,854 | MYR | 11,996 | 06/16/2022 | (1,518 | ) | |||||||||||||
BNP Paribas SA | USD | 1,856 | EUR | 1,640 | 05/12/2022 | (11,529 | ) | |||||||||||||
Citibank, NA | COP | 3,203,569 | USD | 801 | 03/25/2022 | (10,376 | ) | |||||||||||||
Citibank, NA | USD | 442 | CLP | 364,596 | 03/25/2022 | 12,728 | ||||||||||||||
Credit Suisse International | USD | 1,140 | NZD | 1,704 | 03/18/2022 | 12,187 | ||||||||||||||
Credit Suisse International | SEK | 3,207 | USD | 341 | 03/24/2022 | 2,679 | ||||||||||||||
Credit Suisse International | USD | 789 | AUD | 1,098 | 04/28/2022 | 9,443 | ||||||||||||||
Credit Suisse International | USD | 717 | JPY | 82,369 | 04/28/2022 | 687 | ||||||||||||||
Credit Suisse International | CNH | 526 | USD | 83 | 05/18/2022 | (211 | ) | |||||||||||||
Deutsche Bank AG | RUB | 11,236 | USD | 135 | 03/02/2022 | 31,342 | ||||||||||||||
Deutsche Bank AG | USD | 1 | RUB | 64 | 03/02/2022 | (185 | ) | |||||||||||||
Deutsche Bank AG | BRL | 8,049 | USD | 1,566 | 03/03/2022 | 3,739 | ||||||||||||||
Deutsche Bank AG | USD | 1,470 | BRL | 8,049 | 03/03/2022 | 92,874 | ||||||||||||||
Deutsche Bank AG | RUB | 64 | USD | 1 | 03/24/2022 | 176 | ||||||||||||||
Deutsche Bank AG | USD | 2,575 | SEK | 24,200 | 03/24/2022 | (18,948 | ) | |||||||||||||
Deutsche Bank AG | CLP | 909,548 | USD | 1,125 | 03/25/2022 | (10,508 | ) | |||||||||||||
Deutsche Bank AG | COP | 391,004 | USD | 99 | 03/25/2022 | (346 | ) | |||||||||||||
Deutsche Bank AG | PEN | 702 | USD | 181 | 03/25/2022 | (3,604 | ) | |||||||||||||
Deutsche Bank AG | USD | 186 | CLP | 151,691 | 03/25/2022 | 3,472 | ||||||||||||||
Deutsche Bank AG | USD | 97 | COP | 380,302 | 03/25/2022 | (693 | ) | |||||||||||||
Deutsche Bank AG | USD | 71 | PEN | 276 | 03/25/2022 | 1,634 | ||||||||||||||
Deutsche Bank AG | INR | 18,670 | USD | 247 | 04/07/2022 | 820 | ||||||||||||||
Deutsche Bank AG | CHF | 1,503 | USD | 1,628 | 04/13/2022 | (14,203 | ) | |||||||||||||
Deutsche Bank AG | USD | 635 | CHF | 583 | 04/13/2022 | 2,769 | ||||||||||||||
Deutsche Bank AG | USD | 2,090 | CAD | 2,664 | 04/22/2022 | 12,145 | ||||||||||||||
Deutsche Bank AG | IDR | 3,792,265 | USD | 263 | 04/28/2022 | 60 | ||||||||||||||
Deutsche Bank AG | PHP | 6,073 | USD | 118 | 04/28/2022 | (152 | ) | |||||||||||||
Deutsche Bank AG | USD | 989 | IDR | 14,283,331 | 04/28/2022 | 1,342 | ||||||||||||||
Deutsche Bank AG | CNH | 2,234 | USD | 349 | 05/18/2022 | (2,323 | ) | |||||||||||||
Goldman Sachs Bank USA | RUB | 77,546 | USD | 1,025 | 03/02/2022 | 306,863 | ||||||||||||||
Goldman Sachs Bank USA | USD | 726 | RUB | 55,157 | 03/02/2022 | (215,089 | ) | |||||||||||||
Goldman Sachs Bank USA | BRL | 909 | USD | 177 | 03/03/2022 | 422 | ||||||||||||||
Goldman Sachs Bank USA | USD | 167 | BRL | 909 | 03/03/2022 | 9,320 | ||||||||||||||
Goldman Sachs Bank USA | USD | 121 | CLP | 99,196 | 03/25/2022 | 2,294 | ||||||||||||||
Goldman Sachs Bank USA | USD | 1,384 | COP | 5,513,777 | 03/25/2022 | 13,554 | ||||||||||||||
Goldman Sachs Bank USA | USD | 422 | PEN | 1,572 | 03/25/2022 | (7,975 | ) | |||||||||||||
Goldman Sachs Bank USA | IDR | 1,447,975 | USD | 101 | 04/28/2022 | 509 | ||||||||||||||
Goldman Sachs Bank USA | KRW | 421,900 | USD | 354 | 04/28/2022 | 3,558 |
52 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Goldman Sachs Bank USA | USD | 2,776 | PHP | 144,377 | 04/28/2022 | $ | 31,042 | |||||||||||||
Goldman Sachs Bank USA | MYR | 2,936 | USD | 684 | 06/16/2022 | (14,191 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 2,810 | MYR | 11,923 | 06/16/2022 | 25,583 | ||||||||||||||
Goldman Sachs Bank USA | USD | 289 | MYR | 1,209 | 06/16/2022 | (1,254 | ) | |||||||||||||
HSBC Bank USA | BRL | 951 | USD | 178 | 03/03/2022 | (6,662 | ) | |||||||||||||
HSBC Bank USA | USD | 185 | BRL | 951 | 03/03/2022 | (442 | ) | |||||||||||||
HSBC Bank USA | USD | 934 | GBP | 691 | 03/17/2022 | (7,014 | ) | |||||||||||||
HSBC Bank USA | NZD | 3,290 | USD | 2,176 | 03/18/2022 | (49,753 | ) | |||||||||||||
HSBC Bank USA | COP | 3,203,569 | USD | 802 | 03/25/2022 | (9,684 | ) | |||||||||||||
HSBC Bank USA | PEN | 4,917 | USD | 1,270 | 03/25/2022 | (26,203 | ) | |||||||||||||
HSBC Bank USA | USD | 139 | PEN | 527 | 03/25/2022 | 141 | ||||||||||||||
HSBC Bank USA | AUD | 3,231 | USD | 2,300 | 04/28/2022 | (48,327 | ) | |||||||||||||
HSBC Bank USA | JPY | 119,144 | USD | 1,032 | 04/28/2022 | (5,259 | ) | |||||||||||||
HSBC Bank USA | TWD | 7,650 | USD | 276 | 04/28/2022 | 2,696 | ||||||||||||||
HSBC Bank USA | USD | 507 | KRW | 610,649 | 04/28/2022 | 356 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | ZAR | 18,187 | USD | 1,185 | 04/21/2022 | 9,980 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 2,706 | USD | 637 | 06/16/2022 | (6,025 | ) | |||||||||||||
Standard Chartered Bank | IDR | 14,552,622 | USD | 1,008 | 04/28/2022 | (819 | ) | |||||||||||||
State Street Bank & Trust Co. | THB | 95,516 | USD | 2,839 | 03/10/2022 | (83,815 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 2,198 | THB | 73,211 | 03/10/2022 | 42,963 | ||||||||||||||
State Street Bank & Trust Co. | USD | 245 | THB | 7,871 | 03/10/2022 | (4,016 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 167 | NOK | 1,502 | 03/16/2022 | 3,414 | ||||||||||||||
State Street Bank & Trust Co. | GBP | 270 | USD | 367 | 03/17/2022 | 4,470 | ||||||||||||||
State Street Bank & Trust Co. | NZD | 210 | USD | 142 | 03/18/2022 | (147 | ) | |||||||||||||
State Street Bank & Trust Co. | MXN | 14,863 | USD | 716 | 03/24/2022 | (6,904 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 372 | MXN | 7,707 | 03/24/2022 | 2,999 | ||||||||||||||
State Street Bank & Trust Co. | USD | 100 | MXN | 2,042 | 03/24/2022 | (239 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 157 | NOK | 1,379 | 03/24/2022 | (190 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 119 | NOK | 1,057 | 03/24/2022 | 1,154 | ||||||||||||||
State Street Bank & Trust Co. | USD | 93 | ZAR | 1,440 | 04/21/2022 | (10 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 577 | ZAR | 8,986 | 04/21/2022 | 4,049 | ||||||||||||||
State Street Bank & Trust Co. | ZAR | 1,983 | USD | 130 | 04/21/2022 | 1,408 | ||||||||||||||
State Street Bank & Trust Co. | CZK | 5,819 | USD | 259 | 05/06/2022 | 1,087 | ||||||||||||||
State Street Bank & Trust Co. | PLN | 1,164 | USD | 287 | 05/06/2022 | 11,349 | ||||||||||||||
State Street Bank & Trust Co. | USD | 485 | CZK | 10,533 | 05/06/2022 | (18,403 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 304 | HUF | 99,308 | 05/06/2022 | (6,404 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 188 | PLN | 750 | 05/06/2022 | (10,509 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (119,876 | ) | ||||||||||||||||||
|
|
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 53 |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 37, 5 Year Index, 12/20/2026* | (5.00 | )% | Quarterly | 3.65 | % | USD | 7,260 | $ | (477,915 | ) | $ | (397,451 | ) | $ | (80,464 | ) | ||||||||||||
iTraxx Xover Series 36, 5 Year Index, 12/20/2026* | (5.00 | ) | Quarterly | 3.46 | EUR | 1,700 | (142,768 | ) | (121,966 | ) | (20,802 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (620,683 | ) | $ | (519,417 | ) | $ | (101,266 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
USD | 290 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 23,457 | $ | – 0 | – | $ | 23,457 | ||||||||||
USD | 145 | 01/15/2025 | 2.585% | CPI# | Maturity | 11,608 | – 0 | – | 11,608 | |||||||||||||
USD | 145 | 01/15/2025 | 2.613% | CPI# | Maturity | 11,443 | – 0 | – | 11,443 | |||||||||||||
USD | 650 | 01/15/2026 | CPI# | 3.765% | Maturity | (12,307 | ) | – 0 | – | (12,307 | ) | |||||||||||
USD | 200 | 01/15/2026 | CPI# | 3.766% | Maturity | (3,776 | ) | – 0 | – | (3,776 | ) | |||||||||||
USD | 700 | 01/15/2027 | CPI# | 3.320% | Maturity | (24,890 | ) | – 0 | – | (24,890 | ) | |||||||||||
USD | 620 | 01/15/2027 | CPI# | 3.466% | Maturity | (16,100 | ) | (823 | ) | (15,277 | ) | |||||||||||
USD | 370 | 01/15/2027 | CPI# | 3.323% | Maturity | (13,083 | ) | – 0 | – | (13,083 | ) | |||||||||||
USD | 1,170 | 01/15/2028 | 0.735% | CPI# | Maturity | 257,338 | – 0 | – | 257,338 | |||||||||||||
USD | 1,080 | 01/15/2028 | 1.230% | CPI# | Maturity | 195,836 | – 0 | – | 195,836 | |||||||||||||
USD | 310 | 01/15/2028 | 1.230% | CPI# | Maturity | 56,212 | – 0 | – | 56,212 | |||||||||||||
USD | 850 | 01/15/2029 | CPI# | 3.390% | Maturity | (10,393 | ) | – 0 | – | (10,393 | ) | |||||||||||
USD | 710 | 01/15/2029 | CPI# | 3.331% | Maturity | (12,462 | ) | – 0 | – | (12,462 | ) | |||||||||||
USD | 630 | 01/15/2030 | 1.585% | CPI# | Maturity | 109,437 | – 0 | – | 109,437 | |||||||||||||
USD | 75 | 01/15/2030 | 1.572% | CPI# | Maturity | 13,127 | – 0 | – | 13,127 | |||||||||||||
USD | 75 | 01/15/2030 | 1.587% | CPI# | Maturity | 13,013 | – 0 | – | 13,013 | |||||||||||||
USD | 250 | 01/15/2031 | 2.782% | CPI# | Maturity | 14,936 | – 0 | – | 14,936 | |||||||||||||
USD | 230 | 01/15/2031 | 2.989% | CPI# | Maturity | 8,443 | – 0 | – | 8,443 | |||||||||||||
USD | 220 | 01/15/2031 | 2.680% | CPI# | Maturity | 15,613 | – 0 | – | 15,613 | |||||||||||||
USD | 360 | 01/15/2032 | CPI# | 3.064% | Maturity | (7,401 | ) | – 0 | – | (7,401 | ) | |||||||||||
USD | 80 | 04/15/2032 | CPI# | 2.909% | Maturity | (2,839 | ) | – 0 | – | (2,839 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 627,212 | $ | (823 | ) | $ | 628,035 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
54 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
USD | 820 | 09/10/2024 | | 3 Month LIBOR | | 1.341% | | Quarterly/ Semi-Annual | $ | (2,546 | ) | $ | – 0 | – | $ | (2,546 | ) | |||||||||||||||
USD | 650 | 01/15/2028 | 1.208% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly |
| 22,749 | – 0 | – | 22,749 | |||||||||||||||||||
USD | 145 | 10/09/2029 | | 3 Month LIBOR | | 1.476% | | Quarterly/ Semi-Annual | (3,582 | ) | – 0 | – | (3,582 | ) | ||||||||||||||||||
USD | 145 | 10/09/2029 | | 3 Month LIBOR | | 1.479% | | Quarterly/ Semi-Annual | (3,549 | ) | – 0 | – | (3,549 | ) | ||||||||||||||||||
CHF | 260 | 09/17/2031 | | 1 Day SARON | | (0.181)% | Annual | (17,128 | ) | (2,122 | ) | (15,006 | ) | |||||||||||||||||||
NZD | 200 | 09/28/2031 | | 3 Month BKBM | | 2.180% | | Quarterly/ Semi-Annual | (8,324 | ) | – 0 | – | (8,324 | ) | ||||||||||||||||||
SEK | 450 | 10/04/2031 | | 3 Month STIBOR | | 0.888% | | Quarterly/ Annual | (1,998 | ) | – 0 | – | (1,998 | ) | ||||||||||||||||||
NOK | 30 | 10/21/2031 | 1.983% | | 6 Month NIBOR | | | Annual/ Semi-Annual |
| 46 | – 0 | – | 46 | |||||||||||||||||||
CHF | 60 | 11/19/2031 | | 1 Day SARON | | 0.100% | Annual | (2,295 | ) | – 0 | – | (2,295 | ) | |||||||||||||||||||
SEK | 3,380 | 12/08/2031 | | 3 Month STIBOR | | 0.791% | | Quarterly/ Annual | (19,345 | ) | 3 | (19,348 | ) | |||||||||||||||||||
NZD | 440 | 12/08/2031 | | 3 Month BKBM |
| 2.513% | | Quarterly/ Semi-Annual | (11,602 | ) | – 0 | – | (11,602 | ) | ||||||||||||||||||
USD | 300 | 04/15/2032 | 1.284% | | 1 Day SOFR | | Annual | 9,691 | – 0 | – | 9,691 | |||||||||||||||||||||
USD | 1,300 | 02/15/2041 | | 3 Month LIBOR | | 1.850% | | Quarterly/ Semi-Annual | (42,478 | ) | – 0 | – | (42,478 | ) | ||||||||||||||||||
USD | 400 | 02/15/2041 | | 1 Day SOFR | | 1.770% | Annual | 2,019 | – 0 | – | 2,019 | |||||||||||||||||||||
USD | 350 | 02/15/2041 | | 3 Month LIBOR | | 2.166% | | Quarterly/ Semi-Annual | 6,473 | – 0 | – | 6,473 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (71,869 | ) | $ | (2,119 | ) | $ | (69,750 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||
CDX-CMBX. | 3.00 | % | Monthly | 7.50 | % | USD | 8 | $ | (1,931 | ) | $ | (755 | ) | $ | (1,176 | ) | ||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 70 | (16,902 | ) | (8,525 | ) | (8,377 | ) |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 55 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at February 28, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||
CDX-CMBX. | 3.00 | % | Monthly | 7.50 | % | USD | 3 | $ | (725 | ) | $ | (286 | ) | $ | (439 | ) | ||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 4 | (965 | ) | (472 | ) | (493 | ) | |||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 54 | (13,038 | ) | (5,151 | ) | (7,887 | ) | |||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 81 | (19,557 | ) | (7,528 | ) | (12,029 | ) | |||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 137 | (33,319 | ) | (16,190 | ) | (17,129 | ) | |||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 7 | (1,690 | ) | (849 | ) | (841 | ) | |||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 26 | (6,278 | ) | (3,153 | ) | (3,125 | ) | |||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 69 | (16,659 | ) | (6,224 | ) | (10,435 | ) | |||||||||||||||||
CDX-CMBX. | 3.00 | Monthly | 7.50 | USD | 148 | (35,975 | ) | (20,414 | ) | (15,561 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (147,039 | ) | $ | (69,547 | ) | $ | (77,492 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Citibank, NA | USD 195 | 10/09/2029 | 1.125 | % | SIFMA | * | Quarterly | $ | 6,235 | $ | – 0 | – | $ | 6,235 |
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
56 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||
MLABWGC1 | | OBFR Plus 0.22 | % | Maturity | USD | 9,993 | 03/31/2022 | $ | – 0 | – | ||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||
RTS Futures | 0.00 | % | Monthly | USD | 25 | 03/17/2022 | (17,703 | ) | ||||||||||||
Swiss Market Index Futures | 0.00 | % | Monthly | CHF | 353 | 03/18/2022 | (12,571 | ) | ||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||
MSCI Daily TR Gross World USD Index | | OBFR Plus 0.31 | % | Maturity | USD | 9,991 | 02/28/2023 | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||
IBOVESPA Futures | 0.00 | % | Monthly | BRL | 1,257 | 04/13/2022 | 5,331 | |||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 270,900 | 03/10/2022 | 2,942 | |||||||||||||
KOSPI 200 Futures | 0.00 | % | Monthly | KRW | 90,300 | 03/10/2022 | 1,363 | |||||||||||||
|
| |||||||||||||||||||
$ | (20,638 | ) | ||||||||||||||||||
|
|
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At February 28, 2022, the aggregate market value of these securities amounted to $6,218,566 or 6.2% of net assets. |
(b) | When-Issued or delayed delivery security. |
(c) | An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of February 28, 2022 and the aggregate market value of this security amounted to $75,000 or 0.07% of net assets. |
(d) | Non-income producing security. |
(e) | Defaulted. |
(f) | Defaulted matured security. |
(g) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(h) | 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. |
(i) | The rate shown represents the 7-day yield as of period end. |
(j) | Affiliated investments. |
As of February 28, 2022, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.7% and 0.0%, respectively.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 57 |
PORTFOLIO OF INVESTMENTS (continued)
Currency Abbreviations:
AUD – Australian Dollar BRL – Brazilian Real CAD – Canadian Dollar CHF – Swiss Franc CLP – Chilean Peso CNH – Chinese Yuan Renminbi (Offshore) COP – Colombian Peso CZK – Czech Koruna EUR – Euro GBP – Great British Pound HUF – Hungarian Forint IDR – Indonesian Rupiah INR – Indian Rupee JPY – Japanese Yen | KRW – South Korean Won MXN – Mexican Peso MYR – Malaysian Ringgit NOK – Norwegian Krone NZD – New Zealand Dollar PEN – Peruvian Sol PHP – Philippine Peso PLN – Polish Zloty RUB – Russian Ruble SEK – Swedish Krona THB – Thailand Baht TWD – New Taiwan Dollar USD – United States Dollar ZAR – South African Rand |
Glossary:
ADR – American Depositary Receipt AGM – Assured Guaranty Municipal BKBM – Bank Bill Benchmark (New Zealand) CBT – Chicago Board of Trade CMBS – Commercial Mortgage-Backed Securities CPI – Consumer Price Index CDX-CMBX.NA – North American Commercial Mortgage-Backed Index CDX-NAHY – North American High Yield Credit Default Swap Index ETF – Exchange Traded Fund ETM – Escrowed to Maturity ETS – Emission Trading Scheme FTSE – Financial Times Stock Exchange GDR – Global Depositary Receipt JSE – Johannesburg Stock Exchange KLCI – Kuala Lumpur Composite Index | KOSPI – Korea Composite Stock Price Index LIBOR – London Interbank Offered Rate MSCI – Morgan Stanley Capital International NATL – National Interstate Corporation NIBOR – Norwegian Interbank Offered Rate OBFR – Overnight Bank Funding Rate REIT – Real Estate Investment Trust RTS – Russian Trading System SARON – Swiss Average Rate Overnight SET – Stock Exchange of Thailand SGX – Singapore Exchange SOFR – Secured Overnight Financing Rate SPI – Share Price Index STIBOR – Stockholm Interbank Offered Rate TOPIX – Tokyo Price Index TSX – Toronto Stock Exchange UPMC – University of Pittsburgh Medical Center WIG – Warszawski Indeks Gieldowy |
See notes to financial statements.
58 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2022 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $106,483,134) | $ | 107,586,569 | ||
Affiliated issuers (cost $5,064,340) | 5,064,340 | |||
Cash | 609,274 | |||
Cash collateral due from broker | 1,222,057 | |||
Foreign currencies, at value (cost $853,128) | 851,874 | |||
Receivable for investment securities sold and foreign currency transactions | 4,184,048 | |||
Unrealized appreciation on forward currency exchange contracts | 990,247 | |||
Unaffiliated interest and dividends receivable | 729,051 | |||
Receivable for variation margin on futures | 576,156 | |||
Receivable for newly entered centrally cleared credit default swaps | 288,162 | |||
Unrealized appreciation on total return swaps | 9,636 | |||
Receivable for shares of beneficial interest sold | 7,250 | |||
Unrealized appreciation on interest rate swaps | 6,235 | |||
Affiliated dividends receivable | 40 | |||
|
| |||
Total assets | 122,124,939 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased and foreign currency transactions | 18,704,355 | |||
Cash collateral due to broker | 1,212,000 | |||
Unrealized depreciation on forward currency exchange contracts | 1,110,123 | |||
Payable for variation margin on centrally cleared swaps | 222,642 | |||
Market value on credit default swaps (net premiums received $69,547) | 147,039 | |||
Payable for shares of beneficial interest redeemed | 53,414 | |||
Payable for terminated total return swaps | 40,441 | |||
Unrealized depreciation on total return swaps | 30,274 | |||
Advisory fee payable | 21,862 | |||
Distribution fee payable | 10,801 | |||
Trustees’ fees payable | 4,748 | |||
Transfer Agent fee payable | 4,364 | |||
Accrued expenses | 279,833 | |||
|
| |||
Total liabilities | 21,841,896 | |||
|
| |||
Net Assets | $ | 100,283,043 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 84 | ||
Additional paid-in capital | 102,401,014 | |||
Accumulated loss | (2,118,055 | ) | ||
|
| |||
Net Assets | $ | 100,283,043 | ||
|
|
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 47,852,757 | 4,001,189 | $ | 11.96 | * | ||||||
| ||||||||||||
C | $ | 1,899,261 | 155,367 | $ | 12.22 | |||||||
| ||||||||||||
Advisor | $ | 50,531,025 | 4,218,451 | $ | 11.98 | |||||||
|
* | The maximum offering price per share for Class A shares was $12.49 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 59 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2022 (unaudited)
Investment Income | ||||||||
Interest | $ | 844,449 | ||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $12,453) | 522,096 | |||||||
Affiliated issuers | 296 | $ | 1,366,841 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 279,308 | |||||||
Distribution fee—Class A | 63,575 | |||||||
Distribution fee—Class C | 10,538 | |||||||
Transfer agency—Class A | 15,761 | |||||||
Transfer agency—Class C | 718 | |||||||
Transfer agency—Advisor Class | 15,021 | |||||||
Custody and accounting | 89,815 | |||||||
Audit and tax | 37,737 | |||||||
Registration fees | 24,216 | |||||||
Legal | 17,110 | |||||||
Printing | 11,417 | |||||||
Trustees’ fees | 9,696 | |||||||
Miscellaneous | 21,391 | |||||||
|
| |||||||
Total expenses | 596,303 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (146,791 | ) | ||||||
|
| |||||||
Net expenses | 449,512 | |||||||
|
| |||||||
Net investment income | 917,329 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions(a) | (789,453 | ) | ||||||
Forward currency exchange contracts | 177,084 | |||||||
Futures | (1,381,610 | ) | ||||||
Swaps | (350,077 | ) | ||||||
Foreign currency transactions | (41,416 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | (4,479,909 | ) | ||||||
Forward currency exchange contracts | (343,908 | ) | ||||||
Futures | (445,741 | ) | ||||||
Swaps | (126,847 | ) | ||||||
Foreign currency denominated assets and liabilities | (46,244 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (7,828,121 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (6,910,792 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $233. |
See notes to financial statements.
60 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 917,329 | $ | 2,001,844 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (2,385,472 | ) | 8,612,596 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (5,442,649 | ) | 1,930,401 | |||||
Contributions from Affiliates (see Note B) | – 0 | – | 77 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (6,910,792 | ) | 12,544,918 | |||||
Distributions to Shareholders |
| |||||||
Class A | (1,351,505 | ) | (1,655,580 | ) | ||||
Class C | (45,096 | ) | (72,699 | ) | ||||
Advisor Class | (1,389,782 | ) | (1,075,197 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 13,732,056 | (3,564,890 | ) | |||||
|
|
|
| |||||
Total increase | 4,034,881 | 6,176,552 | ||||||
Net Assets |
| |||||||
Beginning of period | 96,248,162 | 90,071,610 | ||||||
|
|
|
| |||||
End of period | $ | 100,283,043 | $ | 96,248,162 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 61 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2022 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company, which is a Massachusetts Business Trust, operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates to the AB Tax-Managed All Market Income Portfolio (the “Fund”). The Fund offers Class A, Class C and Advisor Class shares. Class B 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 C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares ten years after the end of the calendar month of purchase. Advisor Class shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All four classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Trustees (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
62 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this 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
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and 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.
64 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively, the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on an exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of February 28, 2022:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 54,999,927 | $ | – 0 | – | $ | 54,999,927 | ||||||
Short-Term Municipal Notes | – 0 | – | 1,419,375 | – 0 | – | 1,419,375 | ||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | 10,055,564 | 840,049 | – 0 | – | 10,895,613 | |||||||||||
Financials | 3,853,400 | 3,646,722 | – 0 | – | 7,500,122 | |||||||||||
Health Care | 3,623,167 | 1,640,274 | – 0 | – | 5,263,441 | |||||||||||
Communication Services | 2,629,072 | 1,153,620 | – 0 | – | 3,782,692 | |||||||||||
Consumer Discretionary | 2,565,728 | 1,015,013 | – 0 | – | 3,580,741 | |||||||||||
Industrials | 1,939,284 | 1,045,178 | – 0 | – | 2,984,462 | |||||||||||
Energy | 1,182,162 | 1,027,514 | – 0 | – | 2,209,676 | |||||||||||
Consumer Staples | 1,130,025 | 806,315 | – 0 | – | 1,936,340 | |||||||||||
Real Estate | 1,200,427 | 471,349 | – 0 | – | 1,671,776 | |||||||||||
Materials | 781,621 | 872,250 | – 0 | – | 1,653,871 | |||||||||||
Utilities | 600,353 | 482,158 | – 0 | – | 1,082,511 | |||||||||||
Preferred Stocks | 5,559,446 | – 0 | – | – 0 | – | 5,559,446 | ||||||||||
Investment Companies | 1,514,462 | – 0 | – | – 0 | – | 1,514,462 | ||||||||||
Options Purchased—Puts | – 0 | – | 1,324,965 | – 0 | – | 1,324,965 | ||||||||||
Corporates—Non-Investment Grade | – 0 | – | 102,198 | – 0 | – | 102,198 | ||||||||||
Commercial Mortgage-Backed Security | – 0 | – | 104,951 | – 0 | – | 104,951 | ||||||||||
Short-Term Investments | 5,064,340 | – 0 | – | – 0 | – | 5,064,340 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 41,699,051 | 70,951,858 | – 0 | – | 112,650,909 | |||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 203,607 | – 0 | – | – 0 | – | 203,607 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 990,247 | – 0 | – | 990,247 | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | 730,463 | – 0 | – | 730,463 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 40,978 | – 0 | – | 40,978 | (b) | |||||||||
Interest Rate Swaps | – 0 | – | 6,235 | – 0 | – | 6,235 | ||||||||||
Total Return Swaps | – 0 | – | 9,636 | – 0 | – | 9,636 | ||||||||||
Liabilities: |
| |||||||||||||||
Futures | (84,516 | ) | – 0 | – | – 0 | – | (84,516 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,110,123 | ) | – 0 | – | (1,110,123 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (620,683 | ) | – 0 | – | (620,683 | )(b) | ||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | (103,251 | ) | – 0 | – | (103,251 | )(b) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (112,847 | ) | – 0 | – | (112,847 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (147,039 | ) | – 0 | – | (147,039 | ) | ||||||||
Total Return Swaps | – 0 | – | (30,274 | ) | – 0 | – | (30,274 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 41,818,142 | $ | 70,605,200 | $ | – 0 | – | $ | 112,423,342 | |||||||
|
|
|
|
|
|
|
|
(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 statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
66 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
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 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 gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. Investment transactions are accounted for on the date the securities are purchased or sold. The Fund accounts for distributions received
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 67 |
NOTES TO FINANCIAL STATEMENTS (continued)
from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement (the “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .55% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has contractually agreed to waive advisory fees and/or to bear certain expenses to the extent necessary to limit total operating expenses (excluding acquired fund fees and expenses, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transactions costs), on an annual basis (the “Expense Caps”) to .99%, 1.74% and .74% of the daily average net assets for the Class A, Class C and Advisor Class shares, respectively. For the six months ended February 28, 2022, such reimbursement amounted to $145,073. The Expense Caps will remain in effect through December 31, 2022.
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 $15,881 for the six months ended February 28, 2022.
68 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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 $220 from the sale of Class A shares and received $58 and $18 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended February 28, 2022.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive ..10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until December 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2022, such waiver amounted to $1,718.
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2022 is as follows:
Fund | Market Value 8/31/21 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 2/28/22 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 2,985 | $ | 32,324 | $ | 30,245 | $ | 5,064 | $ | 0 | * |
* | Amount is less than $500. |
During the year ended August 31, 2021, the Adviser reimbursed the Fund $77 for trading losses incurred due to a trade entry error.
NOTE C
Distribution Plan
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the “Plan”). Under the Plan, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Fund’s average daily net assets attributable to Class A shares and 1% of the Fund’s average daily net assets attributable to Class C shares. There are no distribution and servicing fees on the Advisor Class shares. The fees are accrued daily and paid monthly. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 69 |
NOTES TO FINANCIAL STATEMENTS (continued)
daily net assets. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities Exchange Commission as being a “compensation” plan.
In the event that the Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class. The Plan 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 February 28, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 43,988,168 | $ | 24,997,076 | ||||
U.S. government securities | – 0 | – | 165,553 |
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 | $ | 6,024,099 | ||
Gross unrealized depreciation | (4,557,148 | ) | ||
|
| |||
Net unrealized appreciation | $ | 1,466,951 | ||
|
|
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.
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NOTES TO FINANCIAL STATEMENTS (continued)
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 statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended February 28, 2022, 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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 February 28, 2022, 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.
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
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NOTES TO FINANCIAL STATEMENTS (continued)
market value of the option written. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
During the six months ended February 28, 2022, the Fund held purchased options for hedging and non-hedging purposes.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates. 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” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment
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NOTES TO FINANCIAL STATEMENTS (continued)
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 statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust
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NOTES TO FINANCIAL STATEMENTS (continued)
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.
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 February 28, 2022, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended February 28, 2022, the Fund held inflation (CPI) 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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.
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 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2022, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended February 28, 2022, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
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NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2022, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||||
Interest rate contracts | Receivable/Payable | $ | 62,746 | * | | Receivable/Payable | | $ | 18,170 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 140,861 | * | | Receivable/Payable for variation margin on futures | | 66,346 | * | ||||||
Credit contracts | | Receivable/Payable for variation margin on centrally cleared swaps | | 101,266 | * | |||||||||
Interest rate contracts | Receivable/Payable | | 771,441 | * | | Receivable/Payable | | | 213,156 | * | ||||
Foreign currency contracts | Unrealized | | 990,247 |
| | Unrealized | | | 1,110,123 |
| ||||
Equity contracts | Investments in securities, at value | 1,324,965 | ||||||||||||
Interest rate contracts | Unrealized | | 6,235 |
| ||||||||||
Credit contracts | | Market value on credit default swaps | | 147,039 | ||||||||||
Equity contracts | Unrealized appreciation on total return swaps | 9,636 | | Unrealized depreciation on total return swaps | | 30,274 | ||||||||
|
|
|
| |||||||||||
Total | $ | 3,306,131 | $ | 1,686,374 | ||||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain or | 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 | $ | (585,299 | ) | $ | (11,994 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (796,311 | ) | (433,747 | ) | |||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 177,084 | (343,908 | ) | ||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (672,615 | ) | 400,056 | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (164,936 | ) | 10,722 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 1,751 | (134,425 | ) | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (186,892 | ) | (3,144 | ) | |||||
|
|
|
| |||||||
Total | $ | (2,227,218 | ) | $ | (516,440 | ) | ||||
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended February 28, 2022:
Futures: | ||||
Average notional amount of buy contracts | $ | 38,905,168 | ||
Average notional amount of sale contracts | $ | 10,612,058 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 38,840,687 | ||
Average principal amount of sale contracts | $ | 39,574,400 | ||
Purchased Options: | ||||
Average notional amount | $ | 67,153,398 | ||
Interest Rate Swaps: | ||||
Average notional amount | $ | 362,143 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 7,030,872 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 7,490,000 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 608,399 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 2,927,477 | ||
Average notional amount of sale contracts | $ | 5,984,377 | (a) | |
Total Return Swaps: | ||||
Average notional amount | $ | 9,637,564 |
(a) | Positions were open for two months 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 statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of February 28, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Bank of America, NA | $ | 65,640 | $ | (34,418 | ) | $ | (30,000 | ) | $ | – 0 | – | $ | 1,222 | |||||||
Barclays Bank PLC | 314,789 | (314,789 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 192,311 | (29,209 | ) | – 0 | – | – 0 | – | 163,102 | ||||||||||||
Credit Suisse International | 24,996 | (24,996 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 150,373 | (50,962 | ) | – 0 | – | – 0 | – | 99,411 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | $ | 393,145 | $ | (299,111 | ) | $ | – 0 | – | $ | – 0 | – | $ | 94,034 | |||||||
HSBC Bank USA | 3,193 | (3,193 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 19,616 | (19,616 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 72,893 | (72,893 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 1,094,127 | – 0 | – | (1,094,127 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,331,083 | $ | (849,187 | ) | $ | (1,124,127 | ) | $ | – 0 | – | $ | 357,769 | ^ | ||||||
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|
|
|
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|
|
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Bank of America, NA | $ | 34,418 | $ | (34,418 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 473,293 | (314,789 | ) | – 0 | – | – 0 | – | 158,504 | ||||||||||||
BNP Paribas SA | 11,529 | – 0 | – | – 0 | – | – 0 | – | 11,529 | ||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 29,209 | (29,209 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 67,815 | (24,996 | ) | – 0 | – | – 0 | – | 42,819 | ||||||||||||
Deutsche Bank AG | 50,962 | (50,962 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 299,111 | (299,111 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 153,344 | (3,193 | ) | – 0 | – | – 0 | – | 150,151 | ||||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 36,299 | (19,616 | ) | – 0 | – | – 0 | – | 16,683 | ||||||||||||
Standard Chartered Bank | 819 | – 0 | – | – 0 | – | – 0 | – | 819 | ||||||||||||
State Street Bank & Trust Co. | 130,637 | (72,893 | ) | – 0 | – | – 0 | – | 57,744 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,287,436 | $ | (849,187 | ) | $ | – 0 | – | $ | – 0 | – | $ | 438,249 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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. |
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NOTES TO FINANCIAL STATEMENTS (continued)
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | Six Months Ended (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 34,578 | 22,718 | $ | 444,156 | $ | 282,212 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 95,581 | 116,701 | 1,211,798 | 1,452,606 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 4,407 | 108,239 | 55,200 | 1,360,446 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (197,118 | ) | (807,608 | ) | (2,529,314 | ) | (10,111,097 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (62,552 | ) | (559,950 | ) | $ | (818,160 | ) | $ | (7,015,833 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||
Shares sold | 5,743 | 6,955 | $ | 73,481 | $ | 87,721 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,146 | 5,290 | 40,819 | 66,843 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (4,314 | ) | (106,049 | ) | (55,200 | ) | (1,360,446 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (30,524 | ) | (67,354 | ) | (401,732 | ) | (845,748 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (25,949 | ) | (161,158 | ) | $ | (342,632 | ) | $ | (2,051,630 | ) | ||||||||||||||
|
82 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended 2021 | Six Months Ended (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Shares sold | 1,279,974 | 914,429 | $ | 16,377,286 | $ | 11,625,588 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 96,150 | 63,877 | 1,219,808 | 797,031 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (212,228 | ) | (563,557 | ) | (2,704,246 | ) | (6,920,046 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 1,163,896 | 414,749 | $ | 14,892,848 | $ | 5,502,573 | ||||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets 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, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Allocation Risk—The allocation of investments among different investment styles, such as equity or debt, growth or value, U.S. or non-U.S. securities, or diversification strategies, may have a more significant effect on the Fund’s net asset value, or NAV, when one of these investments is performing more poorly than another.
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. Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations.
High Yield Debt Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
Interest-Rate Risk—Changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuer’s ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Foreign (Non-U.S.) Risk—The Fund’s investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
84 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
Derivatives Risk—Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligation to the Fund.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
LIBOR Transition and Associated Risk—A Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 85 |
NOTES TO FINANCIAL STATEMENTS (continued)
published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
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
86 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected. The Fund’s tax-management strategies may result in it forgoing performance in favor of tax benefits that may not materialize, or may result in pre-tax performance that is lower than that of funds that do not use tax-management strategies.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended February 28, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2021 and August 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,525,942 | $ | 1,888,525 | ||||
Net long-term capital gains | 4,701 | – 0 | – | |||||
|
|
|
| |||||
Total taxable distributions paid | $ | 1,530,643 | $ | 1,888,525 | ||||
Tax-exempt income | 1,272,833 | 2,919,115 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 2,803,476 | $ | 4,807,640 | ||||
|
|
|
|
As of August 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed capital gains | $ | 1,574,220 | (a) | |
Other losses | (81,419 | )(b) | ||
Unrealized appreciation/(depreciation) | 6,086,319 | (c) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 7,579,120 | ||
|
|
(a) | During the fiscal year, the Fund utilized $4,971,237 of capital loss carry forwards to offset current year net realized gains. |
(b) | As of August 31, 2021, the cumulative deferred loss on straddles was $81,419. |
(c) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of callable bonds, the tax treatment of swaps, and the tax deferral of losses on wash sales. |
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 87 |
NOTES TO FINANCIAL STATEMENTS (continued)
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of August 31, 2021, the Fund did not have any capital loss carryforwards.
NOTE I
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE J
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
88 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.17 | $ 11.83 | $ 12.75 | $ 12.68 | $ 13.93 | $ 13.20 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .11 | .27 | .32 | .35 | .36 | .34 | † | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.98 | ) | 1.45 | (.64 | ) | .49 | (.01 | ) | .65 | |||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.87 | ) | 1.72 | (.32 | ) | .84 | .35 | .99 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.15 | ) | (.38 | ) | (.60 | ) | (.37 | ) | (.69 | ) | (.19 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.19 | ) | – 0 | – | – 0 | – | (.40 | ) | (.91 | ) | (.07 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.34 | ) | (.38 | ) | (.60 | ) | (.77 | ) | (1.60 | ) | (.26 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.96 | $ 13.17 | $ 11.83 | $ 12.75 | $ 12.68 | $ 13.93 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d)* | (6.74 | )% | 14.87 | % | (2.72 | )% | 7.22 | % | 2.54 | %+ | 7.64 | %†+ | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $47,853 | $53,519 | $54,677 | $64,994 | $68,946 | $77,486 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | .99 | %^ | .99 | % | .98 | % | .99 | % | .99 | % | 1.08 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 1.28 | %^ | 1.40 | % | 1.33 | % | 1.35 | % | 1.31 | % | 1.25 | % | ||||||||||||
Net investment income(b) | 1.72 | %^ | 2.16 | % | 2.66 | % | 2.85 | % | 2.77 | % | 2.57 | %† | ||||||||||||
Portfolio turnover rate | 27 | % | 68 | % | 35 | % | 22 | % | 50 | % | 85 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .01 | %^ | .01 | % | .02 | % | .02 | % | .04 | % | .11 | % |
See footnote summary on page 92.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 89 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.45 | $ 12.06 | $ 12.98 | $ 12.90 | $ 13.93 | $ 13.19 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .06 | .18 | .24 | .26 | .27 | .23 | † | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.00 | ) | 1.49 | (.66 | ) | .49 | (.02 | ) | .66 | |||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.94 | ) | 1.67 | (.42 | ) | .75 | .25 | .89 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.28 | ) | (.50 | ) | (.27 | ) | (.37 | ) | (.08 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.19 | ) | – 0 | – | – 0 | – | (.40 | ) | (.91 | ) | (.07 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.29 | ) | (.28 | ) | (.50 | ) | (.67 | ) | (1.28 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 12.22 | $ 13.45 | $ 12.06 | $ 12.98 | $ 12.90 | $ 13.93 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (7.05 | )% | 13.97 | % | (3.37 | )% | 6.33 | % | 1.83 | %+ | 6.82 | %†+ | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $1,899 | $2,439 | $4,131 | $5,537 | $7,383 | $11,986 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 1.74 | %^ | 1.74 | % | 1.73 | % | 1.74 | % | 1.74 | % | 1.86 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 2.03 | %^ | 2.14 | % | 2.09 | % | 2.10 | % | 2.05 | % | 1.99 | % | ||||||||||||
Net investment income(b) | .98 | %^ | 1.43 | % | 1.92 | % | 2.11 | % | 2.02 | % | 1.72 | %† | ||||||||||||
Portfolio turnover rate | 27 | % | 68 | % | 35 | % | 22 | % | 50 | % | 85 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .01 | %^ | .01 | % | .02 | % | .02 | % | .04 | % | .11 | % |
See footnote summary on page 92.
90 | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 13.19 | $ 11.84 | $ 12.77 | $ 12.70 | $ 13.96 | $ 13.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .12 | .30 | .35 | .38 | .39 | .37 | † | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.98 | ) | 1.46 | (.65 | ) | .49 | .00 | (c) | .64 | |||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.86 | ) | 1.76 | (.30 | ) | .87 | .39 | 1.01 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.41 | ) | (.63 | ) | (.40 | ) | (.74 | ) | (.22 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.19 | ) | – 0 | – | – 0 | – | (.40 | ) | (.91 | ) | (.07 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.35 | ) | (.41 | ) | (.63 | ) | (.80 | ) | (1.65 | ) | (.29 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.98 | $ 13.19 | $ 11.84 | $ 12.77 | $ 12.70 | $ 13.96 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (6.61 | )% | 15.13 | % | (2.47 | )% | 7.48 | % | 2.95 | % | 7.84 | %†+ | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $50,531 | $40,290 | $31,264 | $33,141 | $35,479 | $39,646 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | .74 | %^ | .74 | % | .73 | % | .74 | % | .74 | % | .84 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 1.03 | %^ | 1.15 | % | 1.08 | % | 1.10 | % | 1.06 | % | 1.00 | % | ||||||||||||
Net investment income(b) | 1.94 | %^ | 2.38 | % | 2.91 | % | 3.10 | % | 3.02 | % | 2.81 | %† | ||||||||||||
Portfolio turnover rate | 27 | % | 68 | % | 35 | % | 22 | % | 50 | % | 85 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .01 | %^ | .01 | % | .02 | % | .02 | % | .04 | % | .11 | % |
See footnote summary on page 92.
abfunds.com | AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO | 91 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of 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) | In connection with the Fund’s investments in affiliated 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 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 years ended August 31, 2020 and August 31, 2017, such waiver amounted to .01% and .04%, respectively. |
(f) | The expense ratios presented below exclude interest expense: |
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Net of waivers/reimbursements | .99 | %^ | .99 | % | .98 | % | .99 | % | .99 | % | 1.08 | % | ||||||||||||
Before waivers/reimbursements | 1.28 | %^ | 1.40 | % | 1.33 | % | 1.35 | % | 1.30 | % | 1.25 | % | ||||||||||||
Class C |
| |||||||||||||||||||||||
Net of waivers/reimbursements | 1.74 | %^ | 1.74 | % | 1.73 | % | 1.74 | % | 1.74 | % | 1.86 | % | ||||||||||||
Before waivers/reimbursements | 2.03 | %^ | 2.14 | % | 2.09 | % | 2.10 | % | 2.04 | % | 1.99 | % | ||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Net of waivers/reimbursements | .74 | %^ | .74 | % | .73 | % | .74 | % | .74 | % | .84 | % | ||||||||||||
Before waivers/reimbursements | 1.03 | %^ | 1.15 | % | 1.08 | % | 1.10 | % | 1.05 | % | 1.00 | % |
† | For the year ended August 31, 2017, 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 | ||
$.012 | .09% | .09% |
* | 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 August 31, 2018 and August 31, 2017 by .01% and .01%, respectively. |
+ | 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. |
^ | Annualized. |
See notes to financial statements.
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BOARD OF TRUSTEES
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Morgan C. Harting(2), Vice President Daniel J. Loewy(2), Vice President Karen Watkin(2), Vice President Emilie D. Wrapp, Clerk Michael B. Reyes, Senior Vice President of the Funds | Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller and Chief Accounting Officer 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. 501 Commerce Street Nashville, TN 37203
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 Toll-Free (800) 221-5672
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Harting and Loewy and Ms. Watkin are the investment professionals primarily responsible for the day-to-day management of the Fund’s portfolio. |
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Operation and Effectiveness of the Funds’ Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Trustees (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions
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have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID 19 impacts. As such, the Program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Tax-Managed All Market Income Portfolio (the “Fund”) at a meeting held by video conference on August 3-4, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the underlying funds advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
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judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the
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Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended May 31, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
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The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advised accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give
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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.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee™ US Thematic Portfolio. Prior to April 30, 2021, High Yield Portfolio was named FlexFee™ High Yield Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
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NOTES
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NOTES
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NOTES
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AB TAX-MANAGED ALL MARKET INCOME PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TAMI-0152-0222
FEB 02.28.22
SEMI-ANNUAL REPORT
AB TAX-MANAGED WEALTH APPRECIATION STRATEGY
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT 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’re pleased to provide this report for the AB Tax-Managed Wealth Appreciation Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
April 5, 2022
This report provides management’s discussion of fund performance for the AB Tax-Managed Wealth Appreciation Strategy for the semi-annual reporting period ended February 28, 2022.
The Fund’s investment objective is long-term growth of capital.
NAV RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | ||||||||
Class A Shares | -5.41% | 8.33% | ||||||
Class C Shares | -5.80% | 7.50% | ||||||
Advisor Class Shares1 | -5.29% | 8.67% | ||||||
MSCI ACWI (net) | -5.26% | 7.81% |
1 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) (net), for the six- and 12-month periods ended February 28, 2022.
During the six-month period, all share classes of the Fund underperformed the benchmark, before sales charges, as the market declined. Weak sector selection offset positive stock selection, and the Fund’s overweight to smaller-capitalization stocks detracted, relative to the benchmark. The Fund’s modest underweight to the energy sector was the largest detractor as oil prices rose sharply on supply shortages caused by the horrific events of Russia’s invasion of Ukraine and increased demand as the global economy continued to reopen. Weaker stock selection in financials and consumer staples was offset by continued positive stock selection in industrials.
During the 12-month period, Class A and Advisor Class shares outperformed the benchmark, while Class C shares underperformed, before sales charges. For the period, stock selection was the primary driver of relative returns. Country and currency selection were also positive contributors, while negative sector selection offset some of the outperformance. The Fund’s overweight to smaller-cap stocks was a headwind as larger-cap stocks outperformed in the period, although positive stock
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selection across all regions and market-capitalization categories added. Positive stock selection came from the more cyclically sensitive parts of the market, as the global economy continued to recover from the prior year’s pandemic shutdowns. Strong stock selection within communication services, industrials and consumer discretionary more than offset some modestly weaker selection in utilities and materials. An underweight to the energy sector and an overweight to consumer discretionary detracted from returns.
The Fund utilized derivatives in the form of futures for investment purposes, which had an immaterial impact on absolute returns for both periods.
MARKET REVIEW AND INVESTMENT STRATEGY
US, international and emerging-market equities lost ground during the six-month period ended February 28, 2022. Accommodative monetary policy continued to support an accelerating economic recovery, but—despite generally strong corporate earnings and economic data—equity markets experienced a dramatic increase in volatility later in the period. Persistent high inflation and tightening monetary policy, especially in the US, dampened investor sentiment. The situation was exacerbated by Russia’s invasion of Ukraine in late February, which triggered both the imposition of severe economic sanctions on Russia and a general flight to safe haven assets, including the US dollar and US government bonds. Equity markets recovered some ground late in the month, on speculation that the Russia/Ukraine war might prompt the US Federal Reserve to slow the normalization of monetary policy, but the fear of stalling economic growth weighed on equity prices. Against a backdrop of rising interest rates, value-oriented stocks outperformed growth-oriented stocks, which ended in negative territory. Both large- and small-cap stocks declined, but large-cap stocks outperformed small-cap stocks by a wide margin.
Throughout the reporting period, the Fund maintained a balanced approach with exposure across many parts of the world. The Fund continues to feature US and non-US large-cap stocks designed to provide stable participation in global equity markets as well as exposure to emerging markets and global smaller-cap stocks to provide higher returns. The Fund also remains style balanced, with equal exposures to growth, value and core styles of investing, which is intended to help the Fund seek to generate active returns across the full economic cycle.
The Fund’s Senior Investment Management Team (the “Team”) seeks improved equity risk control by utilizing the Adviser’s Strategic Equities services as the core equity allocation to US and international markets. This diversified exposure across equity markets and emphasis on a broad set of stocks, which includes companies with historical and projected stable earnings and higher profitability, eliminates the need for diversifiers to limit volatility. The Team believes this allocation offers the potential to achieve
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higher returns, with similar levels of volatility, increasing risk-adjusted returns in an all-equity service to meet the long-term growth goal—growth of capital.
INVESTMENT POLICIES
The Fund invests primarily in equity securities, either directly or through underlying investment companies advised by the Adviser (“Underlying Portfolios”). A majority of the Fund’s assets are expected to be invested directly in US large-cap equity securities, primarily common stocks, in accordance with the Adviser’s US Strategic Equities investment strategy (“US Strategic Equities”), as described below. In addition, the Fund seeks to achieve exposure to international large-cap equity securities through investments in other registered investment companies advised by the Adviser, which may include International Strategic Equities Portfolio of Bernstein Fund, Inc. (“Bernstein International Strategic Equities Portfolio”). The Fund also invests in other Underlying Portfolios to efficiently gain exposure to certain other types of equity securities, including small- and mid-cap and emerging-market equity securities. An Underlying Portfolio is selected based on the segment of the equity market to which the Underlying Portfolio provides exposure, its investment philosophy, and how it complements and diversifies the Fund’s overall portfolio.
Under US Strategic Equities, portfolio managers of the Adviser that specialize in various investment disciplines identify high-conviction large-cap equity securities based on their fundamental investment research for potential investment by the Fund. These securities are then assessed in terms of both this fundamental research and quantitative analysis in creating the Fund’s portfolio. In applying the quantitative analysis, the Adviser considers a number of metrics that historically have provided some indication of favorable future returns, including metrics related to valuation, quality, investor behavior and corporate behavior.
Bernstein International Strategic Equities Portfolio focuses on investing in non-US large-cap and mid-cap equity securities. Bernstein International Strategic Equities Portfolio follows a strategy similar to US Strategic Equities, but in the international context.
Fluctuations in currency exchange rates can have a dramatic impact on the returns of foreign equity securities. The Adviser may employ currency hedging strategies in the Fund or the Underlying Portfolios, including the use of currency-related derivatives, to seek to reduce currency risk in the Fund or the Underlying Portfolios, but it is not required to do so.
(continued on next page)
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The Fund seeks to maximize after-tax returns to shareholders by taking into account the tax impact of buy and sell investment decisions on its shareholders. For example, the Adviser may sell certain securities in order to realize capital losses. Capital losses may be used to offset realized capital gains. To minimize capital gains distributions, the Adviser may sell securities in the Fund with the highest cost basis. The Adviser may monitor the length of time the Fund has held an investment to evaluate whether the investment should be sold at a short-term gain or held for a longer period so that the gain on the investment will be taxed at the lower long-term rate. In making this decision, the Adviser considers whether, in its judgment, the risk of continued exposure to the investment is worth the tax savings of a lower capital gains rate. There can be no assurance that any of these strategies will be effective or that their use will not adversely affect the gross returns of the Fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The MSCI ACWI is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Foreign (Non-US) Risk: The Fund’s investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Emerging-Market 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.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets, or financial resources.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both
6 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
DISCLOSURES AND RISKS (continued)
their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies in which the Fund invests (to the extent these expenses are not waived or reimbursed by the Adviser).
Sector Risk: The Fund may have more risk because it may invest to a significant extent in one or more particular market sectors, such as the information-technology sector. To the extent it does so, market or economic factors affecting the relevant sector(s) could have a major effect on 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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected. The Fund’s tax-management strategies may result in it forgoing performance in favor of tax benefits that may not materialize, or may result in pre-tax performance that is lower than that of funds that do not use tax-management strategies.
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 as the prices of the individual securities in which it invests fluctuate, so that your 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. The performance shown for periods prior to July 14, 2017, is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. Net asset value (“NAV”) returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 7 |
DISCLOSURES AND RISKS (continued)
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.
8 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 8.33% | 3.71% | ||||||
5 Years | 10.48% | 9.52% | ||||||
10 Years | 9.33% | 8.86% | ||||||
CLASS C SHARES | ||||||||
1 Year | 7.50% | 6.50% | ||||||
5 Years | 9.64% | 9.64% | ||||||
10 Years1 | 8.52% | 8.52% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 8.67% | 8.67% | ||||||
5 Years | 10.77% | 10.77% | ||||||
10 Years | 9.62% | 9.62% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.36%, 2.12% and 1.11% for Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios to 1.01%, 1.76% and 0.76% for Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2022. Absent reimbursements or waivers, performance would have been lower. The net and gross expenses shown include the total operating expenses of the Fund and the indirect expenses of the Fund’s Underlying Portfolios, as based upon the allocation of the Fund’s assets among the Underlying Portfolios. 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 C shares into Class A shares after eight years. |
2 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is 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. |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 1.69 | % | ||
5 Years | 9.52 | % | ||
10 Years | 8.80 | % | ||
CLASS C SHARES | ||||
1 Year | 4.35 | % | ||
5 Years | 9.65 | % | ||
10 Years1 | 8.46 | % | ||
ADVISOR CLASS SHARES2 | ||||
1 Year | 6.41 | % | ||
5 Years | 10.75 | % | ||
10 Years | 9.56 | % |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that this share class is 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. |
10 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
HISTORICAL PERFORMANCE (continued)
RETURNS AFTER TAXES ON DISTRIBUTIONS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | 0.35 | % | ||
5 Years | 7.98 | % | ||
10 Years | 7.60 | % | ||
CLASS C SHARES | ||||
1 Year | 3.26 | % | ||
5 Years | 8.38 | % | ||
10 Years1 | 7.51 | % | ||
ADVISOR CLASS SHARES2 | ||||
1 Year | 4.96 | % | ||
5 Years | 9.12 | % | ||
10 Years | 8.27 | % |
RETURNS AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
Returns | ||||
CLASS A SHARES | ||||
1 Year | 1.98 | % | ||
5 Years | 7.17 | % | ||
10 Years | 6.83 | % | ||
CLASS C SHARES | ||||
1 Year | 3.43 | % | ||
5 Years | 7.38 | % | ||
10 Years1 | 6.65 | % | ||
ADVISOR CLASS SHARES2 | ||||
1 Year | 4.85 | % | ||
5 Years | 8.15 | % | ||
10 Years | 7.45 | % |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that this share class is 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. |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 11 |
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.
12 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 945.90 | $ | 3.04 | 0.63 | % | $ | 4.82 | 1.00 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.67 | $ | 3.16 | 0.63 | % | $ | 5.01 | 1.00 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 942.00 | $ | 6.64 | 1.38 | % | $ | 8.43 | 1.75 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.95 | $ | 6.90 | 1.38 | % | $ | 8.75 | 1.75 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 947.10 | $ | 1.83 | 0.38 | % | $ | 3.62 | 0.75 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.91 | $ | 1.91 | 0.38 | % | $ | 3.76 | 0.75 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 181/365 (to reflect the one-half year period). |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 13 |
PORTFOLIO SUMMARY
February 28, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $794.2
1 | All data are as of February 28, 2022. The Fund’s security type and sector breakdowns are expressed as a percentage of total investments 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). Sectors shown include investments of Underlying Portfolios. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Fund’s prospectus.
14 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS
February 28, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 55.3% | ||||||||
Information Technology – 15.9% | ||||||||
Communications Equipment – 0.1% |
| |||||||
Cisco Systems, Inc./Delaware | 14,232 | $ | 793,719 | |||||
|
| |||||||
Electronic Equipment, Instruments & | ||||||||
CDW Corp./DE | 20,234 | 3,489,556 | ||||||
|
| |||||||
IT Services – 2.6% |
| |||||||
FleetCor Technologies, Inc.(a) | 7,686 | 1,800,061 | ||||||
Genpact Ltd. | 87,042 | 3,641,837 | ||||||
PayPal Holdings, Inc.(a) | 17,527 | 1,961,797 | ||||||
Visa, Inc. – Class A | 62,530 | 13,513,984 | ||||||
|
| |||||||
20,917,679 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.1% | ||||||||
Advanced Micro Devices, Inc.(a) | 4,089 | 504,337 | ||||||
Analog Devices, Inc. | 18,613 | 2,983,478 | ||||||
KLA Corp. | 7,037 | 2,452,395 | ||||||
NVIDIA Corp. | 28,225 | 6,882,666 | ||||||
NXP Semiconductors NV | 21,441 | 4,076,363 | ||||||
QUALCOMM, Inc. | 34,893 | 6,001,247 | ||||||
Texas Instruments, Inc. | 8,454 | 1,437,095 | ||||||
|
| |||||||
24,337,581 | ||||||||
|
| |||||||
Software – 6.6% |
| |||||||
Adobe, Inc.(a) | 11,943 | 5,585,502 | ||||||
Citrix Systems, Inc. | 2,649 | 271,523 | ||||||
Microsoft Corp. | 114,270 | 34,142,733 | ||||||
NortonLifeLock, Inc. | 191,930 | 5,562,131 | ||||||
Oracle Corp. | 63,132 | 4,796,138 | ||||||
ServiceNow, Inc.(a) | 3,953 | 2,292,424 | ||||||
|
| |||||||
52,650,451 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.0% | ||||||||
Apple, Inc. | 125,328 | 20,694,159 | ||||||
Western Digital Corp.(a) | 59,910 | 3,051,816 | ||||||
|
| |||||||
23,745,975 | ||||||||
|
| |||||||
125,934,961 | ||||||||
|
| |||||||
Health Care – 7.8% |
| |||||||
Biotechnology – 0.9% |
| |||||||
Gilead Sciences, Inc. | 412 | 24,885 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 4,270 | 2,640,397 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 20,556 | 4,728,291 | ||||||
|
| |||||||
7,393,573 | ||||||||
|
| |||||||
Health Care Equipment & | ||||||||
Align Technology, Inc.(a) | 5,727 | 2,929,132 |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Edwards Lifesciences Corp.(a) | 36,521 | $ | 4,103,865 | |||||
Intuitive Surgical, Inc.(a) | 2,352 | 682,856 | ||||||
Medtronic PLC | 54,867 | 5,760,486 | ||||||
Zimmer Biomet Holdings, Inc. | 27,973 | 3,557,886 | ||||||
|
| |||||||
17,034,225 | ||||||||
|
| |||||||
Health Care Providers & | ||||||||
Anthem, Inc. | 13,112 | 5,924,657 | ||||||
UnitedHealth Group, Inc. | 32,923 | 15,667,068 | ||||||
|
| |||||||
21,591,725 | ||||||||
|
| |||||||
Pharmaceuticals – 2.0% |
| |||||||
Johnson & Johnson | 15,114 | 2,487,311 | ||||||
Merck & Co., Inc. | 10,156 | 777,746 | ||||||
Organon & Co. | 1,015 | 37,890 | ||||||
Pfizer, Inc. | 8,730 | 409,786 | ||||||
Roche Holding AG (Sponsored ADR) | 159,897 | 7,551,935 | ||||||
Viatris, Inc. | 779 | 8,577 | ||||||
Zoetis, Inc. | 25,281 | 4,895,666 | ||||||
|
| |||||||
16,168,911 | ||||||||
|
| |||||||
62,188,434 | ||||||||
|
| |||||||
Consumer Discretionary – 6.4% |
| |||||||
Auto Components – 0.3% |
| |||||||
Goodyear Tire & Rubber Co. (The)(a) | 138,470 | 2,144,900 | ||||||
Magna International, Inc. – Class A (United States) | 4,191 | 311,266 | ||||||
|
| |||||||
2,456,166 | ||||||||
|
| |||||||
Automobiles – 0.5% |
| |||||||
Stellantis NV | 206,772 | 3,779,792 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.2% |
| |||||||
Booking Holdings, Inc.(a) | 306 | 664,709 | ||||||
Starbucks Corp. | 8,298 | 761,673 | ||||||
|
| |||||||
1,426,382 | ||||||||
|
| |||||||
Internet & Direct Marketing | ||||||||
Amazon.com, Inc.(a) | 4,513 | 13,860,596 | ||||||
eBay, Inc. | 45,145 | 2,464,465 | ||||||
Etsy, Inc.(a) | 13,711 | 2,123,697 | ||||||
|
| |||||||
18,448,758 | ||||||||
|
| |||||||
Specialty Retail – 2.1% |
| |||||||
AutoZone, Inc.(a) | 2,586 | 4,818,727 | ||||||
Home Depot, Inc. (The) | 29,493 | 9,314,774 | ||||||
TJX Cos., Inc. (The) | 41,324 | 2,731,516 | ||||||
|
| |||||||
16,865,017 | ||||||||
|
|
16 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Textiles, Apparel & Luxury | ||||||||
Deckers Outdoor Corp.(a) | 5,097 | $ | 1,471,198 | |||||
NIKE, Inc. – Class B | 47,114 | 6,433,417 | ||||||
|
| |||||||
7,904,615 | ||||||||
|
| |||||||
50,880,730 | ||||||||
|
| |||||||
Communication Services – 6.0% |
| |||||||
Diversified Telecommunication | ||||||||
Comcast Corp. – Class A | 144,341 | 6,749,385 | ||||||
|
| |||||||
Entertainment – 0.5% |
| |||||||
Electronic Arts, Inc. | 1,749 | 227,528 | ||||||
Take-Two Interactive Software, Inc.(a) | 20,951 | 3,394,062 | ||||||
Walt Disney Co. (The)(a) | 3,242 | 481,307 | ||||||
|
| |||||||
4,102,897 | ||||||||
|
| |||||||
Interactive Media & Services – 4.0% |
| |||||||
Alphabet, Inc. – Class A(a) | 614 | 1,658,500 | ||||||
Alphabet, Inc. – Class C(a) | 7,581 | 20,452,173 | ||||||
Meta Platforms, Inc. – Class A(a) | 47,389 | 10,000,501 | ||||||
|
| |||||||
32,111,174 | ||||||||
|
| |||||||
Wireless Telecommunication | ||||||||
T-Mobile US, Inc.(a) | 35,564 | 4,381,840 | ||||||
|
| |||||||
47,345,296 | ||||||||
|
| |||||||
Financials – 5.9% |
| |||||||
Banks – 3.0% |
| |||||||
Bank of America Corp. | 220,137 | 9,730,055 | ||||||
Citigroup, Inc. | 8,678 | 513,998 | ||||||
JPMorgan Chase & Co. | 7,890 | 1,118,802 | ||||||
PNC Financial Services Group, Inc. (The) | 15,715 | 3,131,214 | ||||||
Wells Fargo & Co. | 173,148 | 9,240,909 | ||||||
|
| |||||||
23,734,978 | ||||||||
|
| |||||||
Capital Markets – 2.1% |
| |||||||
CME Group, Inc. – Class A | 8,441 | 1,996,549 | ||||||
Goldman Sachs Group, Inc. (The) | 27,427 | 9,360,561 | ||||||
LPL Financial Holdings, Inc. | 26,381 | 4,773,642 | ||||||
S&P Global, Inc. | 957 | 359,545 | ||||||
|
| |||||||
16,490,297 | ||||||||
|
| |||||||
Insurance – 0.8% |
| |||||||
Progressive Corp. (The) | 35,998 | 3,813,268 | ||||||
Willis Towers Watson PLC | 13,588 | 3,020,613 | ||||||
|
| |||||||
6,833,881 | ||||||||
|
| |||||||
47,059,156 | ||||||||
|
|
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Industrials – 5.4% |
| |||||||
Aerospace & Defense – 0.9% |
| |||||||
Raytheon Technologies Corp. | 70,427 | $ | 7,232,853 | |||||
|
| |||||||
Construction & Engineering – 0.6% |
| |||||||
AECOM | 66,087 | 4,801,882 | ||||||
|
| |||||||
Electrical Equipment – 1.3% |
| |||||||
Eaton Corp. PLC | 35,199 | 5,430,854 | ||||||
Regal Rexnord Corp. | 28,741 | 4,608,619 | ||||||
|
| |||||||
10,039,473 | ||||||||
|
| |||||||
Machinery – 0.5% |
| |||||||
Ingersoll Rand, Inc. | 10,221 | 516,365 | ||||||
Oshkosh Corp. | 29,635 | 3,290,670 | ||||||
|
| |||||||
3,807,035 | ||||||||
|
| |||||||
Professional Services – 0.9% |
| |||||||
Booz Allen Hamilton Holding Corp. | 36,487 | 2,944,136 | ||||||
Robert Half International, Inc. | 34,921 | 4,200,647 | ||||||
|
| |||||||
7,144,783 | ||||||||
|
| |||||||
Road & Rail – 1.2% |
| |||||||
CSX Corp. | 148,905 | 5,049,369 | ||||||
Knight-Swift Transportation Holdings, Inc. | 69,476 | 3,785,052 | ||||||
Norfolk Southern Corp. | 3,002 | 770,073 | ||||||
|
| |||||||
9,604,494 | ||||||||
|
| |||||||
42,630,520 | ||||||||
|
| |||||||
Consumer Staples – 3.3% |
| |||||||
Beverages – 1.1% |
| |||||||
Coca-Cola Co. (The) | 96,263 | 5,991,409 | ||||||
Constellation Brands, Inc. – Class A | 10,435 | 2,249,995 | ||||||
|
| |||||||
8,241,404 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.4% |
| |||||||
Costco Wholesale Corp. | 7,999 | 4,153,481 | ||||||
Walmart, Inc. | 53,576 | 7,241,332 | ||||||
|
| |||||||
11,394,813 | ||||||||
|
| |||||||
Household Products – 0.8% |
| |||||||
Procter & Gamble Co. (The) | 42,360 | 6,603,500 | ||||||
|
| |||||||
26,239,717 | ||||||||
|
| |||||||
Real Estate – 1.6% |
| |||||||
Equity Real Estate Investment Trusts (REITs) – 1.6% | ||||||||
American Campus Communities, Inc. | 50,732 | 2,729,889 | ||||||
American Tower Corp. | 11,632 | 2,638,952 | ||||||
Mid-America Apartment Communities, Inc. | 18,244 | 3,732,905 | ||||||
Prologis, Inc. | 23,062 | 3,363,592 | ||||||
|
| |||||||
12,465,338 | ||||||||
|
|
18 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate Management & Development – 0.0% | ||||||||
CBRE Group, Inc. – Class A(a) | 450 | $ | 43,583 | |||||
|
| |||||||
12,508,921 | ||||||||
|
| |||||||
Energy – 1.4% |
| |||||||
Oil, Gas & Consumable Fuels – 1.4% |
| |||||||
Chevron Corp. | 39,275 | 5,655,600 | ||||||
EOG Resources, Inc. | 49,754 | 5,717,730 | ||||||
|
| |||||||
11,373,330 | ||||||||
|
| |||||||
Utilities – 0.9% |
| |||||||
Electric Utilities – 0.9% |
| |||||||
American Electric Power Co., Inc. | 53,822 | 4,878,964 | ||||||
Edison International | 4,800 | 304,416 | ||||||
NextEra Energy, Inc. | 29,821 | 2,334,090 | ||||||
|
| |||||||
7,517,470 | ||||||||
|
| |||||||
Materials – 0.7% |
| |||||||
Chemicals – 0.7% |
| |||||||
Linde PLC(a) | 15,850 | 4,647,854 | ||||||
LyondellBasell Industries NV – Class A | 4,814 | 468,065 | ||||||
Westlake Chemical Corp. | 1,866 | 205,839 | ||||||
|
| |||||||
5,321,758 | ||||||||
|
| |||||||
Total Common Stocks | 439,000,293 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 43.7% | ||||||||
Funds and Investment Trusts – 43.7%(b)(c) |
| |||||||
AB Discovery Growth Fund, Inc. – Class Z | 1,710,828 | 20,820,771 | ||||||
AB Trust – AB Discovery Value Fund – Class Z | 1,049,928 | 25,114,283 | ||||||
Bernstein Fund, Inc. – International Small Cap Portfolio – Class Z | 3,561,321 | 42,878,307 | ||||||
Bernstein Fund, Inc. – International Strategic Equities Portfolio – Class Z | 17,718,968 | 221,664,285 | ||||||
Bernstein Fund, Inc. – Small Cap Core Portfolio – Class Z | 1,195,188 | 16,828,243 | ||||||
Sanford C Bernstein Fund, Inc. – Emerging Markets Portfolio – Class Z | 685,861 | 19,896,815 | ||||||
|
| |||||||
Total Investment Companies | 347,202,704 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 0.7% | ||||||||
Investment Companies – 0.7% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(b)(c)(d) | 6,019,256 | 6,019,256 | ||||||
|
|
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
U.S. $ Value | ||||||||
| ||||||||
Total Investments – 99.7% | $ | 792,222,253 | ||||||
Other assets less liabilities – 0.3% | 2,000,330 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 794,222,583 | ||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts | ||||||||||||||||
S&P 500 E-Mini Futures | 10 | March 2022 | $ | 2,184,000 | $ | (199,368) |
(a) | Non-income producing security. |
(b) | Affiliated investments. |
(c) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(d) | The rate shown represents the 7-day yield as of period end. |
Glossary:
ADR – American Depositary Receipt
REIT – Real Estate Investment Trust
See notes to financial statements.
20 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2022 (unaudited)
Assets |
| |||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $241,227,887) | $ | 439,000,293 | ||
Affiliated issuers (cost $339,808,345) | 353,221,960 | |||
Cash collateral due from broker | 108,000 | |||
Foreign currencies, at value (cost $99,903) | 102,114 | |||
Receivable for investment securities sold | 33,794,561 | |||
Unaffiliated dividends receivable | 438,411 | |||
Receivable for shares of beneficial interest sold | 257,194 | |||
Affiliated dividends receivable | 49 | |||
Other assets | 10,587 | |||
|
| |||
Total assets | 826,933,169 | |||
|
| |||
Liabilities |
| |||
Due to custodian | 6,000 | |||
Payable for investment securities purchased | 31,725,865 | |||
Payable for shares of beneficial interest redeemed | 521,758 | |||
Advisory fee payable | 188,207 | |||
Administrative fee payable | 16,042 | |||
Distribution fee payable | 9,409 | |||
Trustees’ fees payable | 7,058 | |||
Transfer Agent fee payable | 6,601 | |||
Accrued expenses | 229,646 | |||
|
| |||
Total liabilities | 32,710,586 | |||
|
| |||
Net Assets | $ | 794,222,583 | ||
|
| |||
Composition of Net Assets |
| |||
Shares of beneficial interest, at par | $ | 409 | ||
Additional paid-in capital | 547,474,156 | |||
Distributable earnings | 246,748,018 | |||
|
| |||
Net Assets | $ | 794,222,583 | ||
|
|
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 45,382,363 | 2,348,061 | $ | 19.33 | * | ||||||
| ||||||||||||
C | $ | 650,089 | 33,830 | $ | 19.22 | |||||||
| ||||||||||||
Advisor | $ | 748,190,131 | 38,536,506 | $ | 19.42 | |||||||
|
* | The maximum offering price per share for Class A shares was $20.19 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 21 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2022 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Affiliated issuers | $ | 10,707,319 | ||||||
Unaffiliated issuers | 2,450,829 | $ | 13,158,148 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 2,706,732 | |||||||
Distribution fee—Class A | 59,489 | |||||||
Distribution fee—Class C | 4,366 | |||||||
Transfer agency—Class A | 3,613 | |||||||
Transfer agency—Class C | 97 | |||||||
Transfer agency—Advisor Class | 59,551 | |||||||
Custody and accounting | 57,921 | |||||||
Administrative | 43,802 | |||||||
Audit and tax | 29,871 | |||||||
Registration fees | 24,619 | |||||||
Legal | 19,460 | |||||||
Printing | 18,891 | |||||||
Trustees’ fees | 14,229 | |||||||
Miscellaneous | 18,905 | |||||||
|
| |||||||
Total expenses | 3,061,546 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (1,433,423 | ) | ||||||
|
| |||||||
Net expenses | 1,628,123 | |||||||
|
| |||||||
Net investment income | 11,530,025 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Affiliated Underlying Portfolios | 354,924 | |||||||
Investment transactions(a) | 24,054,050 | |||||||
Futures | (42,763 | ) | ||||||
Foreign currency transactions | 44 | |||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 14,980,119 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | (55,044,841 | ) | ||||||
Investments | (40,543,451 | ) | ||||||
Futures | (199,368 | ) | ||||||
Foreign currency denominated assets and liabilities | (2,632 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (56,443,918 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (44,913,893 | ) | |||||
|
|
(a) | Net of foreign realized capital gains taxes of $2,428. |
See notes to financial statements.
22 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 11,530,025 | $ | 6,197,379 | ||||
Net realized gain on investment and foreign currency transactions | 24,366,255 | 30,790,903 | ||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 14,980,119 | 2,823,876 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (95,790,292 | ) | 162,981,991 | |||||
Contributions from Affiliates (see Note B) | – 0 | – | 3,159 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (44,913,893 | ) | 202,797,308 | |||||
Distributions to Shareholders | ||||||||
Class A | (2,624,214 | ) | (417,754 | ) | ||||
Class C | (30,366 | ) | (4,650 | ) | ||||
Advisor Class | (44,521,140 | ) | (8,582,612 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 32,873,384 | (39,043,294 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | (59,216,229 | ) | 154,748,998 | |||||
Net Assets | ||||||||
Beginning of period | 853,438,812 | 698,689,814 | ||||||
|
|
|
| |||||
End of period | $ | 794,222,583 | $ | 853,438,812 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 23 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2022 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company, which is a Massachusetts Business Trust, operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates to the AB Tax-Managed Wealth Appreciation Strategy (the “Fund”). The Fund offers Class A, Class C and Advisor Class shares. Class B 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 C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares ten years after the end of the calendar month of purchase. Advisor Class shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All four classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Trustees (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
24 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
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
26 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of February 28, 2022:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks(a) | $ | 439,000,293 | $ | – 0 | – | $ | – 0 | – | $ | 439,000,293 | ||||||
Investment Companies | 347,202,704 | – 0 | – | – 0 | – | 347,202,704 | ||||||||||
Short-Term Investments | 6,019,256 | – 0 | – | – 0 | – | 6,019,256 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 792,222,253 | – 0 | – | – 0 | – | 792,222,253 | ||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
Liabilities: |
| |||||||||||||||
Futures | (199,368 | ) | – 0 | – | – 0 | – | (199,368 | )(c) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 792,022,885 | $ | – 0 | – | $ | – 0 | – | $ | 792,022,885 | ||||||
|
|
|
|
|
|
|
|
(a) | See Portfolio of Investments for sector classifications. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at 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
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 27 |
NOTES TO FINANCIAL STATEMENTS (continued)
assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are
28 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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 “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .65% of the first $2.5 billion, .55% of the next $2.5 billion and .50% in excess of $5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly.
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 February 28, 2022, the reimbursement for such services amounted to $43,802.
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 $38,540 for the six months ended February 28, 2022.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $1,339 from the sale of Class A shares and received $6 and $56 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended February 28, 2022.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until December 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 29 |
NOTES TO FINANCIAL STATEMENTS (continued)
an acquired fund fee and expense. For the six months ended February 28, 2022, such waiver amounted to $1,423.
In connection with the Fund’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fees of AB mutual funds, as paid by the Fund as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until December 31, 2022. For the six months ended February 28, 2022, such waivers and/or reimbursements amounted to $1,432,000.
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2022 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/21 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/22 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | – 0 – | $ | 42,700 | $ | 36,681 | $ | – 0 – | $ | – 0 – | $ | 6,019 | $ | – 0 – | $ | – 0 – | ||||||||||||||||
AB Discovery Growth Fund, Inc. | 26,686 | 5,289 | 2,792 | (570 | ) | (7,792 | ) | 20,821 | 460 | 3,163 | ||||||||||||||||||||||
AB Trust – AB Discovery Value Fund | 28,594 | 2,656 | 3,747 | 363 | (2,752 | ) | 25,114 | 2,069 | 587 | |||||||||||||||||||||||
Bernstein Fund, Inc.: | ||||||||||||||||||||||||||||||||
International Small Cap Portfolio | 51,882 | 1,891 | 4,118 | (38 | ) | (6,738 | ) | 42,879 | 1,015 | 876 | ||||||||||||||||||||||
International Strategic Equities Portfolio | 258,831 | 16,683 | 22,306 | 220 | (31,764 | ) | 221,664 | 6,635 | 7,823 | |||||||||||||||||||||||
Small Cap Core Portfolio | 20,051 | 1,170 | 2,363 | 380 | (2,410 | ) | 16,828 | 27 | 1,143 | |||||||||||||||||||||||
Sanford C. Bernstein Fund, Inc. – Emerging Markets Portfolio | 21,597 | 1,889 | – 0 – | – 0 – | (3,589 | ) | 19,897 | 501 | 1,388 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 355 | $ | (55,045 | ) | $ | 353,222 | $ | 10,707 | $ | 14,980 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
During the year ended August 31, 2021, the Adviser reimbursed the Fund $3,159 for trading losses incurred due to a trade entry error.
30 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE C
Distribution Plan
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the “Plan”). Under the Plan, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .50% of the Fund’s average daily net assets attributable to Class A shares and 1% of the Fund’s average daily net assets attributable to Class C shares. There are no distribution and servicing fees on the Advisor Class shares. The fees are accrued daily and paid monthly. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” plan.
In the event that the Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class. The Plan 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 February 28, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 111,793,702 | $ | 106,479,733 | ||||
U.S. government securities | – 0 | – | – 0 | – |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 215,207,477 | ||
Gross unrealized depreciation | (4,220,824 | ) | ||
|
| |||
Net unrealized appreciation | $ | 210,986,653 | ||
|
|
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
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 statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
32 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended February 28, 2022, the Fund held futures for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended February 28, 2022, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 199,368 | * | ||||||||
|
| |||||||||||
Total | $ | 199,368 | ||||||||||
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain | 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 | $ | (42,763 | ) | $ | (199,368 | ) | |||
|
|
|
| |||||||
Total | $ | (42,763 | ) | $ | (199,368 | ) | ||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended February 28, 2022:
Futures: | ||||
Average notional amount of buy contracts | $ | 2,553,348 | (a) |
(a) | Positions were open for four months during the period. |
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).
34 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 61,540 | 46,346 | $ | 1,313,731 | $ | 863,359 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 113,868 | 20,852 | 2,332,020 | 371,580 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 3,382 | 54,526 | 72,393 | 1,032,666 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (87,035 | ) | (184,252 | ) | (1,835,962 | ) | (3,371,515 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 91,755 | (62,528 | ) | $ | 1,882,182 | $ | (1,103,910 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 3,272 | 1,944 | $ | 66,447 | $ | 36,240 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | 1,489 | 251 | 30,361 | 4,436 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (3,422 | ) | (55,190 | ) | (72,393 | ) | (1,032,666 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (32,126 | ) | (27,856 | ) | (683,466 | ) | (527,962 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (30,787 | ) | (80,851 | ) | $ | (659,051 | ) | $ | (1,519,952 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 1,417,492 | 2,495,754 | $ | 29,488,885 | $ | 47,548,608 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,871,278 | 429,733 | 38,473,464 | 7,687,922 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,736,992 | ) | (4,837,677 | ) | (36,312,096 | ) | (91,655,962 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,551,778 | (1,912,190 | ) | $ | 31,650,253 | $ | (36,419,432 | ) | ||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 35 |
NOTES TO FINANCIAL STATEMENTS (continued)
Foreign (Non-U.S.) Risk—The Fund’s investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
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.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies in which the Fund invests (to the extent these expenses are not waived or reimbursed by the Adviser).
Sector Risk—The Fund may have more risk because it may invest to a significant extent in one or more particular market sectors, such as the information technology sector. To the extent it does so, market or economic factors affecting the relevant sector(s) could have a major effect on the value of the Fund’s investments.
LIBOR Transition and Associated Risk—The Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with
36 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect the Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting the Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 37 |
NOTES TO FINANCIAL STATEMENTS (continued)
generate accurate forecasts, reduce risk or otherwise perform as expected. The Fund’s tax-management strategies may result in it forgoing performance in favor of tax benefits that may not materialize, or may result in pre-tax performance that is lower than that of funds that do not use tax-management strategies.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended February 28, 2022.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2021 and August 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 6,191,520 | $ | 12,291,441 | ||||
Net long-term capital gains | 2,813,496 | 23,048,158 | ||||||
|
|
|
| |||||
Total taxable distributions paid | $ | 9,005,016 | $ | 35,339,599 | ||||
|
|
|
|
As of August 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed capital gains | $ | 32,346,475 | ||
Unrealized appreciation/(depreciation) | 306,491,156 | (a) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 338,837,631 | ||
|
|
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales. |
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 August 31, 2021, the Fund did not have any capital loss carryforwards.
38 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE J
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 39 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 21.60 | $ 16.81 | $ 15.66 | $ 16.76 | $ 16.85 | $ 15.08 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .27 | .11 | .18 | .20 | .18 | .42 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.37 | ) | 4.87 | 1.75 | (.57 | ) | 1.78 | 1.78 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.10 | ) | 4.98 | 1.93 | (.37 | ) | 1.96 | 2.20 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.15 | ) | (.33 | ) | (.16 | ) | (.39 | ) | (.29 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.93 | ) | (.04 | ) | (.45 | ) | (.57 | ) | (1.66 | ) | (.14 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.17 | ) | (.19 | ) | (.78 | ) | (.73 | ) | (2.05 | ) | (.43 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 19.33 | $ 21.60 | $ 16.81 | $ 15.66 | $ 16.76 | $ 16.85 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.41 | )% | 29.83 | % | 12.44 | % | (1.66 | )% | 12.13 | % | 14.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $45,382 | $48,742 | $38,983 | $36,908 | $39,519 | $39,479 | ||||||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .63 | %^ | .63 | % | .63 | % | .63 | % | .62 | % | .88 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | .97 | %^ | .98 | % | .99 | % | .99 | % | 1.00 | % | 1.01 | % | ||||||||||||
Net investment income(b) | 2.55 | %^ | .57 | % | 1.15 | % | 1.30 | % | 1.05 | % | 2.70 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 21 | % | 19 | % | 25 | % | 112 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .39 | % | .39 | % | .40 | % | .23 | % |
See footnote summary on page 43.
40 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 21.33 | $ 16.59 | $ 15.44 | $ 16.47 | $ 16.55 | $ 14.82 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | .13 | (.01 | ) | .09 | .08 | .05 | .27 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.31 | ) | 4.79 | 1.69 | (.54 | ) | 1.75 | 1.78 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.18 | ) | 4.78 | 1.78 | (.46 | ) | 1.80 | 2.05 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | – 0 | – | (.18 | ) | – 0 | – | (.22 | ) | (.18 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.93 | ) | (.04 | ) | (.45 | ) | (.57 | ) | (1.66 | ) | (.14 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.93 | ) | (.04 | ) | (.63 | ) | (.57 | ) | (1.88 | ) | (.32 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 19.22 | $ 21.33 | $ 16.59 | $ 15.44 | $ 16.47 | $ 16.55 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.80 | )% | 28.85 | % | 11.63 | % | (2.42 | )% | 11.31 | % | 14.09 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $650 | $1,378 | $2,413 | $4,522 | $8,577 | $9,373 | ||||||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.38 | %^ | 1.38 | % | 1.38 | % | 1.38 | % | 1.38 | % | 1.65 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.72 | %^ | 1.74 | % | 1.74 | % | 1.74 | % | 1.75 | % | 1.76 | % | ||||||||||||
Net investment income (loss)(b) | 1.22 | %^ | (.05 | )% | .58 | % | .53 | % | .32 | % | 1.78 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 21 | % | 19 | % | 25 | % | 112 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .39 | % | .39 | % | .40 | % | .23 | % |
See footnote summary on page 43.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 41 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 21.72 | $ 16.90 | $ 15.73 | $ 16.84 | $ 16.92 | $ 15.14 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .29 | .16 | .22 | .24 | .21 | .45 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.37 | ) | 4.89 | 1.77 | (.58 | ) | 1.80 | 1.80 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (1.08 | ) | 5.05 | 1.99 | (.34 | ) | 2.01 | 2.25 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.29 | ) | (.19 | ) | (.37 | ) | (.20 | ) | (.43 | ) | (.33 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.93 | ) | (.04 | ) | (.45 | ) | (.57 | ) | (1.66 | ) | (.14 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (1.22 | ) | (.23 | ) | (.82 | ) | (.77 | ) | (2.09 | ) | (.47 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 19.42 | $ 21.72 | $ 16.90 | $ 15.73 | $ 16.84 | $ 16.92 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.29 | )% | 30.14 | % | 12.78 | % | (1.44 | )% | 12.41 | % | 15.27 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period | $748,191 | $803,319 | $657,294 | $655,810 | $700,240 | $638,666 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .38 | %^ | .38 | % | .38 | % | .38 | % | .38 | % | .64 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | .72 | %^ | .73 | % | .74 | % | .74 | % | .75 | % | .76 | % | ||||||||||||
Net investment income(b) | 2.78 | %^ | .82 | % | 1.41 | % | 1.51 | % | 1.28 | % | 2.89 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 21 | % | 19 | % | 25 | % | 112 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .39 | % | .39 | % | .40 | % | .23 | % |
See footnote summary on page 43.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of 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) | In connection with the Fund’s investments in affiliated 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 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 February 28, 2022 and the years ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017, such waiver amounted to .34% (annualized), .35%, .36%, .36%, .37% and .12%, respectively. |
* | 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 August 31, 2018 and August 31, 2017 by .02% and .02%, respectively. |
^ | Annualized. |
See notes to financial statements.
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 43 |
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) |
OFFICERS
Ding Liu(2), Vice President Nelson Yu(2), Vice President Emilie D. Wrapp, Clerk Michael B. Reyes, Senior Vice President of the Funds Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer 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. 501 Commerce Street Nashville, TN 37203
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 Toll-Free (800) 221-5672
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Liu and Yu are the investment professionals primarily responsible for the day-to-day management of the Fund’s portfolio. |
44 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended,
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 45 |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID 19 impacts. As such, the Program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
46 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Tax-Managed Wealth Appreciation Strategy (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund, and the underlying funds advised by the Adviser in which the Fund invests.
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
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 47 |
investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by
48 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule, on the other. The directors
abfunds.com | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | 49 |
noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In this regard, the Adviser noted, among other things, that, compared to institutional accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund 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, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. 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
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services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would 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 TAX-MANAGED WEALTH APPRECIATION STRATEGY | 51 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee™ US Thematic Portfolio. Prior to April 30, 2021, High Yield Portfolio was named FlexFee™ High Yield Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
52 | AB TAX-MANAGED WEALTH APPRECIATION STRATEGY | abfunds.com |
AB TAX-MANAGED WEALTH APPRECIATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TWA-0152-0222
FEB 02.28.22
SEMI-ANNUAL REPORT
AB WEALTH APPRECIATION STRATEGY
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT 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’re pleased to provide this report for the AB Wealth Appreciation Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 1 |
SEMI-ANNUAL REPORT
April 5, 2022
This report provides management’s discussion of fund performance for the AB Wealth Appreciation Strategy for the semi-annual reporting period ended February 28, 2022.
The Fund’s investment objective is long-term growth of capital.
NAV RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB WEALTH APPRECIATION STRATEGY | ||||||||
Class A Shares | -5.54% | 8.50% | ||||||
Class C Shares | -5.87% | 7.69% | ||||||
Advisor Class Shares1 | -5.41% | 8.75% | ||||||
Class R Shares1 | -5.75% | 7.98% | ||||||
Class K Shares1 | -5.62% | 8.29% | ||||||
MSCI ACWI (net) | -5.26% | 7.81% |
1 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Morgan Stanley Capital International All Country World Index (“MSCI ACWI”) (net), for the six- and 12-month periods ended February 28, 2022.
During the six-month period, all share classes of the Fund underperformed the benchmark, before sales charges, as the market declined. Weak sector selection offset positive stock selection, and the Fund’s overweight to smaller-capitalization stocks detracted, relative to the benchmark. The Fund’s modest underweight to the energy sector was the largest detractor as oil prices rose sharply on supply shortages caused by the horrific events of Russia’s invasion of Ukraine and increased demand as the global economy continued to reopen. Weaker stock selection in financials and consumer staples was offset by continued positive stock selection in industrials.
During the 12-month period, all share classes except Class C outperformed the benchmark, before sales charges. For the period, stock selection was the primary driver of relative returns. Country and currency selection were also positive contributors, while negative sector selection
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offset some of the outperformance. The Fund’s overweight to smaller-cap stocks was a headwind as larger-cap stocks outperformed in the period, although positive stock selection across all regions and market-capitalization categories added. Positive stock selection came from the more cyclically sensitive parts of the market, as the global economy continued to recover from the prior year’s pandemic shutdowns. Strong stock selection within communication services, industrials and consumer discretionary more than offset some modestly weaker selection in utilities and materials. An underweight to the energy sector and an overweight to consumer discretionary detracted from returns.
The Fund did not use derivatives during either period.
MARKET REVIEW AND INVESTMENT STRATEGY
US, international and emerging-market equities lost ground during the six-month period ended February 28, 2022. Accommodative monetary policy continued to support an accelerating economic recovery, but—despite generally strong corporate earnings and economic data—equity markets experienced a dramatic increase in volatility later in the period. Persistent high inflation and tightening monetary policy, especially in the US, dampened investor sentiment. The situation was exacerbated by Russia’s invasion of Ukraine in late February, which triggered both the imposition of severe economic sanctions on Russia and a general flight to safe haven assets, including the US dollar and US government bonds. Equity markets recovered some ground late in the month, on speculation that the Russia/Ukraine war might prompt the US Federal Reserve to slow the normalization of monetary policy, but the fear of stalling economic growth weighed on equity prices. Against a backdrop of rising interest rates, value-oriented stocks outperformed growth-oriented stocks, which ended in negative territory. Both large- and small-cap stocks declined, but large-cap stocks outperformed small-cap stocks by a wide margin.
Throughout the reporting period, the Fund maintained a balanced approach with exposure across many parts of the world. The Fund continues to feature US and non-US large-cap stocks designed to provide stable participation in global equity markets as well as exposure to emerging markets and global smaller-cap stocks to provide higher returns. The Fund also remains style balanced, with equal exposures to growth, value and core styles of investing, which is intended to help the Fund seek to generate active returns across the full economic cycle.
The Fund’s Senior Investment Management Team (the “Team”) seeks improved equity risk control by utilizing the Adviser’s Strategic Equities services as the core equity allocation to US and international markets. This diversified exposure across equity markets and emphasis on a broad set of stocks, which includes companies with historical and projected stable earnings and higher profitability, eliminates the need for diversifiers to limit volatility. The Team believes this allocation offers the potential to achieve
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 3 |
higher returns, with similar levels of volatility, increasing risk-adjusted returns in an all-equity service to meet the long-term growth goal—growth of capital.
INVESTMENT POLICIES
The Fund invests primarily in equity securities, either directly or through underlying investment companies advised by the Adviser (“Underlying Portfolios”). A majority of the Fund’s assets are expected to be invested directly in US large-cap equity securities, primarily common stocks, in accordance with the Adviser’s US Strategic Equities investment strategy (“US Strategic Equities”), as described below. In addition, the Fund seeks to achieve exposure to international large-cap equity securities through investments in other registered investment companies advised by the Adviser, which may include International Strategic Equities Portfolio of Bernstein Fund, Inc. (“Bernstein International Strategic Equities Portfolio”). The Fund also invests in other Underlying Portfolios to efficiently gain exposure to certain other types of equity securities, including small- and mid-cap and emerging-market equity securities. An Underlying Portfolio is selected based on the segment of the equity market to which the Underlying Portfolio provides exposure, its investment philosophy, and how it complements and diversifies the Fund’s overall portfolio.
Under US Strategic Equities, portfolio managers of the Adviser that specialize in various investment disciplines identify high-conviction large-cap equity securities based on their fundamental investment research for potential investment by the Fund. These securities are then assessed in terms of both this fundamental research and quantitative analysis in creating the Fund’s portfolio. In applying the quantitative analysis, the Adviser considers a number of metrics that historically have provided some indication of favorable future returns, including metrics related to valuation, quality, investor behavior and corporate behavior.
Bernstein International Strategic Equities Portfolio focuses on investing in non-US large-cap and mid-cap equity securities. Bernstein International Strategic Equities Portfolio follows a strategy similar to US Strategic Equities, but in the international context.
Fluctuations in currency exchange rates can have a dramatic impact on the returns of foreign equity securities. The Adviser may employ currency hedging strategies in the Fund or the Underlying Portfolios, including the use of currency-related derivatives, to seek to reduce currency risk in the Fund or the Underlying Portfolios, but it is not required to do so. The Fund is managed without regard to tax considerations.
4 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
DISCLOSURES AND RISKS
Benchmark Disclosure
The MSCI ACWI is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI ACWI (net, free float-adjusted, market capitalization weighted) represents the equity market performance of developed and emerging markets. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Emerging-Market 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.
Capitalization Risk: Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies are subject to
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 5 |
DISCLOSURES AND RISKS (continued)
market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies in which the Fund invests (to the extent these expenses are not waived or reimbursed by the Adviser).
Sector Risk: The Fund may have more risk because it may invest to a significant extent in one or more particular market sectors, such as the information-technology sector. To the extent it does so, market or economic factors affecting the relevant sector(s) could have a major effect on 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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate as the prices of the individual securities in which it invests fluctuate, so that your 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. The performance shown for periods prior to July 14, 2017, is based on the Fund’s prior principal strategies and may not be representative of the Fund’s performance under its current principal strategies.
All fees and expenses related to the operation of the Fund have been deducted. Net asset value (“NAV”) returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
6 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF FEBRUARY 28, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 8.50% | 3.87% | ||||||
5 Years | 10.47% | 9.52% | ||||||
10 Years | 8.88% | 8.41% | ||||||
CLASS C SHARES | ||||||||
1 Year | 7.69% | 6.69% | ||||||
5 Years | 9.65% | 9.65% | ||||||
10 Years1 | 8.07% | 8.07% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 8.75% | 8.75% | ||||||
5 Years | 10.74% | 10.74% | ||||||
10 Years | 9.16% | 9.16% | ||||||
CLASS R SHARES2 | ||||||||
1 Year | 7.98% | 7.98% | ||||||
5 Years | 9.96% | 9.96% | ||||||
10 Years | 8.41% | 8.41% | ||||||
CLASS K SHARES2 | ||||||||
1 Year | 8.29% | 8.29% | ||||||
5 Years | 10.31% | 10.31% | ||||||
10 Years | 8.75% | 8.75% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.37%, 2.13%, 1.12%, 1.84% and 1.53% for Class A, Class C, Advisor Class, Class R and Class K shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursement agreements reduced the Fund’s annual operating expense ratios to 1.02%, 1.77%, 0.77%, 1.49% and 1.18% for Class A, Class C, Advisor Class, Class R and Class K shares, respectively. These waivers/reimbursement agreements may not be terminated before December 31, 2022. Absent reimbursements or waivers, performance would have been lower. The net and gross expenses shown include the total operating expenses of the Fund and the indirect expenses of the Fund’s Underlying Portfolios, as based upon the allocation of the Fund’s assets among the Underlying Portfolios. 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 C shares into Class A shares after eight years. |
2 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 7 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 1.78 | % | ||
5 Years | 9.57 | % | ||
10 Years | 8.42 | % | ||
CLASS C SHARES | ||||
1 Year | 4.46 | % | ||
5 Years | 9.69 | % | ||
10 Years1 | 8.08 | % | ||
ADVISOR CLASS SHARES2 | ||||
1 Year | 6.56 | % | ||
5 Years | 10.80 | % | ||
10 Years | 9.17 | % | ||
CLASS R SHARES2 | ||||
1 Year | 5.80 | % | ||
5 Years | 10.02 | % | ||
10 Years | 8.42 | % | ||
CLASS K SHARES2 | ||||
1 Year | 6.11 | % | ||
5 Years | 10.36 | % | ||
10 Years | 8.75 | % |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
8 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
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.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 9 |
EXPENSE EXAMPLE (continued)
Beginning Account Value September 1, 2021 | Ending Account Value February 28, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 944.60 | $ | 3.09 | 0.64 | % | $ | 4.87 | 1.01 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.62 | $ | 3.21 | 0.64 | % | $ | 5.06 | 1.01 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 941.30 | $ | 6.74 | 1.40 | % | $ | 8.52 | 1.77 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.85 | $ | 7.00 | 1.40 | % | $ | 8.85 | 1.77 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 945.90 | $ | 1.88 | 0.39 | % | $ | 3.67 | 0.76 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.86 | $ | 1.96 | 0.39 | % | $ | 3.81 | 0.76 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 942.50 | $ | 5.30 | 1.10 | % | $ | 7.08 | 1.47 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.34 | $ | 5.51 | 1.10 | % | $ | 7.35 | 1.47 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 943.80 | $ | 3.81 | 0.79 | % | $ | 5.59 | 1.16 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.88 | $ | 3.96 | 0.79 | % | $ | 5.81 | 1.16 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (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 181/365 (to reflect the one-half year period). |
10 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO SUMMARY
February 28, 2022 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,264.9
1 | All data are as of February 28, 2022. The Fund’s security type and sector breakdowns are expressed as a percentage of total investments and may vary over time. Sectors shown include investments of Underlying Portfolios. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Portfolio of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Fund’s prospectus.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 11 |
PORTFOLIO OF INVESTMENTS
February 28, 2022 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 55.1% | ||||||||
Information Technology – 15.6% | ||||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
CDW Corp./DE | 27,316 | $ | 4,710,917 | |||||
|
| |||||||
IT Services – 2.7% | ||||||||
FleetCor Technologies, Inc.(a) | 14,746 | 3,453,513 | ||||||
Genpact Ltd. | 136,585 | 5,714,717 | ||||||
PayPal Holdings, Inc.(a) | 33,450 | 3,744,059 | ||||||
Visa, Inc. – Class A | 99,036 | 21,403,660 | ||||||
|
| |||||||
34,315,949 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.0% | ||||||||
Analog Devices, Inc. | 34,912 | 5,596,045 | ||||||
KLA Corp. | 12,642 | 4,405,737 | ||||||
NVIDIA Corp. | 45,741 | 11,153,943 | ||||||
NXP Semiconductors NV | 33,336 | 6,337,840 | ||||||
QUALCOMM, Inc. | 59,507 | 10,234,609 | ||||||
|
| |||||||
37,728,174 | ||||||||
|
| |||||||
Software – 6.5% | ||||||||
Adobe, Inc.(a) | 18,665 | 8,729,247 | ||||||
Microsoft Corp. | 181,849 | 54,334,663 | ||||||
NortonLifeLock, Inc. | 298,673 | 8,655,544 | ||||||
Oracle Corp. | 102,656 | 7,798,776 | ||||||
ServiceNow, Inc.(a) | 6,019 | 3,490,538 | ||||||
|
| |||||||
83,008,768 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.0% | ||||||||
Apple, Inc. | 200,566 | 33,117,458 | ||||||
Western Digital Corp.(a) | 93,263 | 4,750,817 | ||||||
|
| |||||||
37,868,275 | ||||||||
|
| |||||||
197,632,083 | ||||||||
|
| |||||||
Health Care – 7.8% | ||||||||
Biotechnology – 1.0% | ||||||||
Regeneron Pharmaceuticals, Inc.(a) | 7,169 | 4,433,023 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 33,456 | 7,695,549 | ||||||
|
| |||||||
12,128,572 | ||||||||
|
| |||||||
Health Care Equipment & | ||||||||
Align Technology, Inc.(a) | 8,841 | 4,521,818 | ||||||
Edwards Lifesciences Corp.(a) | 54,612 | 6,136,750 | ||||||
Medtronic PLC | 103,612 | 10,878,224 | ||||||
Zimmer Biomet Holdings, Inc. | 44,668 | 5,681,323 | ||||||
|
| |||||||
27,218,115 | ||||||||
|
| |||||||
Health Care Providers & Services – 2.7% | ||||||||
Anthem, Inc. | 21,214 | 9,585,546 |
12 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
UnitedHealth Group, Inc. | 52,490 | $ | 24,978,416 | |||||
|
| |||||||
34,563,962 | ||||||||
|
| |||||||
Pharmaceuticals – 2.0% | ||||||||
Johnson & Johnson | 28,836 | 4,745,540 | ||||||
Roche Holding AG (Sponsored ADR) | 260,433 | 12,300,251 | ||||||
Zoetis, Inc. | 41,178 | 7,974,120 | ||||||
|
| |||||||
25,019,911 | ||||||||
|
| |||||||
98,930,560 | ||||||||
|
| |||||||
Consumer Discretionary – 6.5% | ||||||||
Auto Components – 0.3% | ||||||||
Goodyear Tire & Rubber Co. (The)(a) | 252,773 | 3,915,454 | ||||||
|
| |||||||
Automobiles – 0.5% | ||||||||
Stellantis NV | 340,173 | 6,218,362 | ||||||
|
| |||||||
Internet & Direct Marketing | ||||||||
Amazon.com, Inc.(a) | 8,258 | 25,362,465 | ||||||
eBay, Inc. | 80,591 | 4,399,463 | ||||||
Etsy, Inc.(a) | 19,021 | 2,946,163 | ||||||
|
| |||||||
32,708,091 | ||||||||
|
| |||||||
Specialty Retail – 2.1% | ||||||||
AutoZone, Inc.(a) | 3,982 | 7,420,019 | ||||||
Home Depot, Inc. (The) | 48,459 | 15,304,806 | ||||||
TJX Cos., Inc. (The) | 63,492 | 4,196,821 | ||||||
|
| |||||||
26,921,646 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 1.0% | ||||||||
Deckers Outdoor Corp.(a) | 8,852 | 2,555,041 | ||||||
NIKE, Inc. – Class B | 71,458 | 9,757,590 | ||||||
|
| |||||||
12,312,631 | ||||||||
|
| |||||||
82,076,184 | ||||||||
|
| |||||||
Communication Services – 6.3% | ||||||||
Diversified Telecommunication | ||||||||
Comcast Corp. – Class A | 233,898 | 10,937,071 | ||||||
|
| |||||||
Entertainment – 0.4% | ||||||||
Take-Two Interactive Software, Inc.(a) | 34,674 | 5,617,188 | ||||||
|
| |||||||
Interactive Media & Services – 4.5% | ||||||||
Alphabet, Inc. – Class C(a) | 15,118 | 40,785,643 | ||||||
Meta Platforms, Inc. – Class A(a) | 74,555 | 15,733,341 | ||||||
|
| |||||||
56,518,984 | ||||||||
|
| |||||||
Wireless Telecommunication | ||||||||
T-Mobile US, Inc.(a) | 57,043 | 7,028,268 | ||||||
|
| |||||||
80,101,511 | ||||||||
|
|
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 13 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Financials – 5.7% | ||||||||
Banks – 2.9% | ||||||||
Bank of America Corp. | 343,047 | $ | 15,162,678 | |||||
PNC Financial Services Group, Inc. (The) | 29,673 | 5,912,345 | ||||||
Wells Fargo & Co. | 282,591 | 15,081,882 | ||||||
|
| |||||||
36,156,905 | ||||||||
|
| |||||||
Capital Markets – 2.0% | ||||||||
CME Group, Inc. – Class A | 11,340 | 2,682,250 | ||||||
Goldman Sachs Group, Inc. (The) | 44,493 | 15,185,016 | ||||||
LPL Financial Holdings, Inc. | 41,458 | 7,501,825 | ||||||
|
| |||||||
25,369,091 | ||||||||
|
| |||||||
Insurance – 0.8% | ||||||||
Progressive Corp. (The) | 54,283 | 5,750,198 | ||||||
Willis Towers Watson PLC | 22,733 | 5,053,546 | ||||||
|
| |||||||
10,803,744 | ||||||||
|
| |||||||
72,329,740 | ||||||||
|
| |||||||
Industrials – 5.4% | ||||||||
Aerospace & Defense – 0.9% | ||||||||
Raytheon Technologies Corp. | 115,427 | 11,854,353 | ||||||
|
| |||||||
Construction & Engineering – 0.6% | ||||||||
AECOM | 102,801 | 7,469,521 | ||||||
|
| |||||||
Electrical Equipment – 1.3% | ||||||||
Eaton Corp. PLC | 57,380 | 8,853,160 | ||||||
Regal Rexnord Corp. | 47,256 | 7,577,500 | ||||||
|
| |||||||
16,430,660 | ||||||||
|
| |||||||
Machinery – 0.5% | ||||||||
Oshkosh Corp. | 50,083 | 5,561,216 | ||||||
|
| |||||||
Professional Services – 0.8% | ||||||||
Booz Allen Hamilton Holding Corp. | 62,074 | 5,008,751 | ||||||
Robert Half International, Inc. | 43,526 | 5,235,742 | ||||||
|
| |||||||
10,244,493 | ||||||||
|
| |||||||
Road & Rail – 1.3% | ||||||||
CSX Corp. | 320,934 | 10,882,872 | ||||||
Knight-Swift Transportation Holdings, Inc. | 108,256 | 5,897,787 | ||||||
|
| |||||||
16,780,659 | ||||||||
|
| |||||||
68,340,902 | ||||||||
|
| |||||||
Consumer Staples – 3.2% | ||||||||
Beverages – 1.1% | ||||||||
Coca-Cola Co. (The) | 170,629 | 10,619,949 | ||||||
Constellation Brands, Inc. – Class A | 18,406 | 3,968,702 | ||||||
|
| |||||||
14,588,651 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.4% | ||||||||
Costco Wholesale Corp. | 9,856 | 5,117,728 | ||||||
Walmart, Inc. | 91,578 | 12,377,682 | ||||||
|
| |||||||
17,495,410 | ||||||||
|
|
14 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Household Products – 0.7% | ||||||||
Procter & Gamble Co. (The) | 56,092 | $ | 8,744,182 | |||||
|
| |||||||
40,828,243 | ||||||||
|
| |||||||
Real Estate – 1.6% | ||||||||
Equity Real Estate Investment Trusts (REITs) – 1.6% | ||||||||
American Campus Communities, Inc. | 89,019 | 4,790,112 | ||||||
American Tower Corp. | 19,463 | 4,415,571 | ||||||
Mid-America Apartment Communities, Inc. | 22,001 | 4,501,625 | ||||||
Prologis, Inc. | 40,085 | 5,846,397 | ||||||
|
| |||||||
19,553,705 | ||||||||
|
| |||||||
Energy – 1.5% | ||||||||
Oil, Gas & Consumable Fuels – 1.5% | ||||||||
Chevron Corp. | 63,612 | 9,160,128 | ||||||
EOG Resources, Inc. | 79,470 | 9,132,692 | ||||||
|
| |||||||
18,292,820 | ||||||||
|
| |||||||
Utilities – 0.9% | ||||||||
Electric Utilities – 0.9% | ||||||||
American Electric Power Co., Inc. | 84,421 | 7,652,764 | ||||||
NextEra Energy, Inc. | 47,930 | 3,751,481 | ||||||
|
| |||||||
11,404,245 | ||||||||
|
| |||||||
Materials – 0.6% |
| |||||||
Chemicals – 0.6% |
| |||||||
Linde PLC(a) | 26,975 | 7,910,149 | ||||||
|
| |||||||
Total Common Stocks | 697,400,142 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 43.8% | ||||||||
Funds and Investment | ||||||||
AB Discovery Growth Fund, Inc. – Class Z(a) | 2,723,095 | 33,140,060 | ||||||
AB Trust – AB Discovery Value Fund – Class Z | 1,662,682 | 39,771,350 | ||||||
Bernstein Fund, Inc. – International Small Cap Portfolio – Class Z | 5,724,104 | 68,918,209 | ||||||
Bernstein Fund, Inc. – International Strategic Equities Portfolio – Class Z | 28,158,349 | 352,260,949 | ||||||
Bernstein Fund, Inc. – Small Cap Core Portfolio – Class Z | 1,977,047 | 27,836,816 | ||||||
Sanford C Bernstein Fund, Inc. – Emerging Markets Portfolio – Class Z | 1,095,313 | 31,775,040 | ||||||
|
| |||||||
Total Investment Companies | 553,702,424 | |||||||
|
|
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SHORT-TERM INVESTMENTS – 0.4% | ||||||||
Investment Companies – 0.4% | ||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(b)(c)(d) | 5,025,368 | $ | 5,025,368 | |||||
|
| |||||||
Total Investments – 99.3% | 1,256,127,934 | |||||||
Other assets less liabilities – 0.7% | 8,738,895 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,264,866,829 | ||||||
|
|
(a) | Non-income producing security. |
(b) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(c) | Affiliated investments. |
(d) | The rate shown represents the 7-day yield as of period end. |
Glossary:
ADR – American Depositary Receipt
REIT – Real Estate Investment trust
See notes to financial statements.
16 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
February 28, 2022 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $453,501,258) | $ | 697,400,142 | ||
Affiliated issuers (cost $536,572,427) | 558,727,792 | |||
Foreign currencies, at value (cost $242,736) | 257,639 | |||
Receivable for investment securities sold | 58,802,000 | |||
Unaffiliated dividends receivable | 811,122 | |||
Receivable for shares of beneficial interest sold | 93,270 | |||
Affiliated dividends receivable | 39 | |||
Other assets | 18,691 | |||
|
| |||
Total assets | 1,316,110,695 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased | 49,841,190 | |||
Payable for shares of beneficial interest redeemed | 651,620 | |||
Advisory fee payable | 295,492 | |||
Distribution fee payable | 83,136 | |||
Transfer Agent fee payable | 43,425 | |||
Administrative fee payable | 15,621 | |||
Trustees’ fees payable | 8,871 | |||
Accrued expenses | 304,511 | |||
|
| |||
Total liabilities | 51,243,866 | |||
|
| |||
Net Assets | $ | 1,264,866,829 | ||
|
| |||
Composition of Net Assets | ||||
Shares of beneficial interest, at par | $ | 659 | ||
Additional paid-in capital | 956,555,128 | |||
Distributable earnings | 308,311,042 | |||
|
| |||
Net Assets | $ | 1,264,866,829 | ||
|
|
Net Asset Value Per Share—unlimited shares authorized, $.00001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 382,596,967 | 19,885,277 | $ | 19.24 | * | ||||||
| ||||||||||||
C | $ | 6,736,940 | 346,074 | $ | 19.47 | |||||||
| ||||||||||||
Advisor | $ | 863,999,689 | 45,066,743 | $ | 19.17 | |||||||
| ||||||||||||
R | $ | 2,215,584 | 115,739 | $ | 19.14 | |||||||
| ||||||||||||
K | $ | 9,317,649 | 487,749 | $ | 19.10 | |||||||
|
* | The maximum offering price per share for Class A shares was $20.09 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 17 |
STATEMENT OF OPERATIONS
Six Months Ended February 28, 2022 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Affiliated issuers | $ | 17,581,974 | ||||||
Unaffiliated issuers (net of foreign taxes withheld of $6,409) | 4,123,373 | |||||||
Securities lending income | 2,958 | $ | 21,708,305 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 4,406,189 | |||||||
Distribution fee—Class A | 511,294 | |||||||
Distribution fee—Class C | 36,708 | |||||||
Distribution fee—Class R | 5,832 | |||||||
Distribution fee—Class K | 12,720 | |||||||
Transfer agency—Class A | 92,179 | |||||||
Transfer agency—Class C | 1,978 | |||||||
Transfer agency—Advisor Class | 208,872 | |||||||
Transfer agency—Class R | 3,033 | |||||||
Transfer agency—Class K | 10,176 | |||||||
Custody and accounting | 79,571 | |||||||
Administrative | 43,964 | |||||||
Registration fees | 36,900 | |||||||
Printing | 32,062 | |||||||
Audit and tax | 28,807 | |||||||
Legal | 21,434 | |||||||
Trustees’ fees | 17,663 | |||||||
Miscellaneous | 28,884 | |||||||
|
| |||||||
Total expenses | 5,578,266 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (2,361,045 | ) | ||||||
|
| |||||||
Net expenses | 3,217,221 | |||||||
|
| |||||||
Net investment income | 18,491,084 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain on: | ||||||||
Affiliated Underlying Portfolios | 2,539,840 | |||||||
Investment transactions | 32,552,564 | |||||||
Foreign currency transactions | 125 | |||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 24,655,365 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Affiliated Underlying Portfolios | (92,310,189 | ) | ||||||
Investments | (59,576,751 | ) | ||||||
Foreign currency denominated assets and liabilities | (2,934 | ) | ||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (92,141,980 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (73,650,896 | ) | |||||
|
|
See notes to financial statements.
18 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 18,491,084 | $ | 9,595,310 | ||||
Net realized gain on investment and foreign currency transactions | 35,092,529 | 83,861,379 | ||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 24,655,365 | 5,021,276 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (151,889,874 | ) | 257,114,648 | |||||
Contributions from Affiliates (see Note B) | – 0 | – | 8,544 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (73,650,896 | ) | 355,601,157 | |||||
Distributions to Shareholders | ||||||||
Class A | (33,948,474 | ) | (10,399,971 | ) | ||||
Class C | (515,872 | ) | (287,019 | ) | ||||
Advisor Class | (79,324,605 | ) | (27,251,883 | ) | ||||
Class R | (189,307 | ) | (49,181 | ) | ||||
Class K | (871,487 | ) | (244,459 | ) | ||||
Transactions in Shares of Beneficial Interest | ||||||||
Net increase (decrease) | 38,676,950 | (149,863,806 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | (149,823,691 | ) | 167,504,838 | |||||
Net Assets | ||||||||
Beginning of period | 1,414,690,520 | 1,247,185,682 | ||||||
|
|
|
| |||||
End of period | $ | 1,264,866,829 | $ | 1,414,690,520 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 19 |
NOTES TO FINANCIAL STATEMENTS
February 28, 2022 (unaudited)
NOTE A
Significant Accounting Policies
The AB Portfolios (the “Company”) is registered under the Investment Company Act of 1940 as a diversified, open end management investment company. The Company, which is a Massachusetts Business Trust, operates as a series company currently comprised of six series. Each series is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Wealth Appreciation Strategy (the “Fund”). The Fund offers Class A, Class C, Advisor Class, Class R and Class K shares. Class B, Class I and 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 C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Effective May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares ten years after the end of the calendar month of purchase. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class and Class I shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All 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 financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Trustees (the “Board”).
20 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 21 |
NOTES TO FINANCIAL STATEMENTS (continued)
determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
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,
22 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of February 28, 2022:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks(a) | $ | 697,400,142 | $ | – 0 | – | $ | – 0 | – | $ | 697,400,142 | ||||||
Investment Companies | 553,702,424 | – 0 | – | – 0 | – | 553,702,424 | ||||||||||
Short-Term Investments | 5,025,368 | – 0 | – | – 0 | – | 5,025,368 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 1,256,127,934 | – 0 | – | – 0 | – | 1,256,127,934 | ||||||||||
Other Financial Instruments(b) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,256,127,934 | $ | – 0 | – | $ | – 0 | – | $ | 1,256,127,934 | ||||||
|
|
|
|
|
|
|
|
(a) | See Portfolio of Investments for sector classifications. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
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
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 23 |
NOTES TO FINANCIAL STATEMENTS (continued)
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. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each series or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from
24 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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 “Advisory Agreement”), the Fund pays the Adviser an advisory fee at an annual rate of .65% of the first $2.5 billion, .55% of the next $2.5 billion and .50% in excess of $5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly.
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 February 28, 2022, the reimbursement for such services amounted to $43,964.
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 $122,011 for the six months ended February 28, 2022.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $2,392 from the sale of Class A shares and received $382 and $295 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended February 28, 2022.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until December 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended February 28, 2022, such waiver amounted to $973.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 25 |
NOTES TO FINANCIAL STATEMENTS (continued)
In connection with the Fund’s investments in other AB mutual funds, the Adviser has contractually agreed to waive fees and/or reimburse the expenses payable to the Adviser by the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fees of AB mutual funds, as paid by the Fund as an acquired fund fee and expense. These fee waivers and/or expense reimbursements will remain in effect until December 31, 2022. For the six months ended February 28, 2022, such waivers and/or reimbursements amounted to $2,360,072.
A summary of the Fund’s transactions in AB mutual funds for the six months ended February 28, 2022 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 8/31/21 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change in Unrealized Appr./ (Depr.) (000) | Market Value 2/28/22 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 178 | $ | 57,363 | $ | 52,516 | $ | – 0 – | $ | – 0 – | $ | 5,025 | $ | 0 | * | $ | – 0 – | |||||||||||||||
AB Discovery Growth Fund, Inc. | 46,132 | 5,774 | 5,576 | 373 | (13,563 | ) | 33,140 | 733 | 5,041 | |||||||||||||||||||||||
AB Trust—AB Discovery Value Fund | 45,559 | 4,115 | 6,194 | 683 | (4,392 | ) | 39,771 | 3,205 | 910 | |||||||||||||||||||||||
Bernstein Fund, Inc.: | ||||||||||||||||||||||||||||||||
International Small Cap Portfolio | 84,230 | 3,070 | 7,381 | (67 | ) | (10,933 | ) | 68,919 | 1,648 | 1,422 | ||||||||||||||||||||||
International Strategic Equities Portfolio | 438,133 | 24,160 | 57,612 | 1,013 | (53,433 | ) | 352,261 | 11,087 | 13,073 | |||||||||||||||||||||||
Small Cap Core Portfolio | 33,157 | 1,855 | 3,925 | 714 | (3,964 | ) | 27,837 | 43 | 1,812 | |||||||||||||||||||||||
Sanford C. Bernstein Fund, Inc.— | ||||||||||||||||||||||||||||||||
Emerging Markets Portfolio | 37,313 | 3,263 | 2,600 | (176 | ) | (6,025 | ) | 31,775 | 866 | 2,397 | ||||||||||||||||||||||
Government Money Market Portfolio** | – 0 – | 16,899 | 16,899 | – 0 – | – 0 – | – 0 – | – 0 – | – 0 – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 2,540 | $ | (92,310 | ) | $ | 558,728 | $ | 17,582 | $ | 24,655 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | Amount is less than $500. |
** | Investments of cash collateral for securities lending transactions (see Note E). |
26 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
During the year ended August 31, 2021, the Adviser reimbursed the Fund $8,544 for trading losses incurred due to a trade entry error.
NOTE C
Distribution Plan
The Fund has adopted a Plan for each class of shares of the Fund pursuant to Rule 12b-1 under the Investment Company Act of 1940 (the “Plan”). Under the Plan, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to ..50% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and ..25% of the Fund’s average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class. The fees are accrued daily and paid monthly. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The Plan provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Fund is not obligated under the Plan to pay any distribution services fee in excess of the amounts set forth above. The purpose of the payments to the Distributor under the Plan is to compensate the Distributor for its distribution services with respect to the sale of the Fund’s shares. Since the Distributor’s compensation is not directly tied to its expenses, the amount of compensation received by it under the Plan during any year may be more or less than its actual expenses. For this reason, the Plan is characterized by the staff of the Securities and Exchange Commission as being of the “compensation” plan.
In the event that the Plan is terminated or not continued, no distribution services fees (other than current amounts accrued but not yet paid) would be owed by the Fund to the Distributor with respect to the relevant class. The Plan 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 February 28, 2022 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 154,544,777 | $ | 195,889,784 | ||||
U.S. government securities | – 0 | – | – 0 | – |
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 27 |
NOTES TO 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 | $ | 271,619,328 | ||
Gross unrealized depreciation | (5,565,079 | ) | ||
|
| |||
Net unrealized appreciation | $ | 266,054,249 | ||
|
|
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 Fund did not engage in derivatives transactions for the six months ended February 28, 2022.
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the
28 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of the loaned securities. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any dividend income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Fund in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 29 |
NOTES TO FINANCIAL STATEMENTS (continued)
A summary of the Fund’s transactions surrounding securities lending for the six months ended February 28, 2022 is as follows:
Market Value of Securities on Loan* | Cash Collateral* | Market Value of Non-Cash Collateral* | Income from Borrowers | Government Money Market Portfolio | ||||||||||||||||||
Income Earned | Advisory Fee Waived | |||||||||||||||||||||
$ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 2,922 | $ | 36 | $ | – 0 | – |
* | As of February 28, 2022. |
NOTE F
Shares of Beneficial Interest
Transactions in shares of beneficial interest for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | Six Months Ended (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 174,953 | 287,997 | $ | 3,703,732 | $ | 5,633,614 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 1,563,099 | 534,181 | 31,855,963 | 9,748,848 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 28,523 | 526,068 | 609,530 | 10,598,927 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,071,973 | ) | (2,477,281 | ) | (22,665,267 | ) | (48,189,697 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 694,602 | (1,129,035 | ) | $ | 13,503,958 | $ | (22,208,308 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 11,163 | 25,458 | $ | 232,324 | $ | 500,282 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 24,495 | 14,813 | 505,821 | 272,558 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (28,352 | ) | (524,010 | ) | (609,530 | ) | (10,598,927 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (21,961 | ) | (104,463 | ) | (467,152 | ) | (2,021,069 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (14,655 | ) | (588,202 | ) | $ | (338,537 | ) | $ | (11,847,156 | ) | ||||||||||||||
|
30 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended February 28, 2022 (unaudited) | Year Ended August 31, 2021 | Six Months Ended (unaudited) | Year Ended August 31, 2021 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 1,275,673 | 2,748,034 | $ | 26,921,550 | $ | 53,467,404 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,615,944 | 1,447,054 | 73,367,502 | 26,307,441 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,552,128 | ) | (9,975,132 | ) | (74,878,362 | ) | (195,227,016 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,339,489 | (5,780,044 | ) | $ | 25,410,690 | $ | (115,452,171 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 12,123 | 9,231 | $ | 250,341 | $ | 181,767 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 9,330 | 2,704 | 189,304 | 49,180 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (12,392 | ) | (12,506 | ) | (248,980 | ) | (240,323 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 9,061 | (571 | ) | $ | 190,665 | $ | (9,376 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 19,033 | 52,523 | $ | 384,373 | $ | 1,016,484 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 43,057 | 13,476 | 871,480 | 244,457 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (65,608 | ) | (85,282 | ) | (1,345,679 | ) | (1,607,736 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (3,518 | ) | (19,283 | ) | $ | (89,826 | ) | $ | (346,795 | ) | ||||||||||||||
|
NOTE G
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the stock, bond or commodities markets fluctuate. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness) and regional and global conflicts, that affect large portions of the market. It includes the risk that a particular style of investing, such as growth or value, may be underperforming the stock market generally.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 31 |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
Capitalization Risk—Investments in small- and mid-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small- and mid-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies are subject to market and selection risk. In addition, shareholders of the Fund bear both their proportionate share of expenses in the Fund (including management fees) and, indirectly, the expenses of the investment companies in which the Fund invests (to the extent these expenses are not waived or reimbursed by the Adviser).
Sector Risk—The Fund may have more risk because it may invest to a significant extent in one or more particular market sectors, such as the information technology sector. To the extent it does so, market or economic factors affecting the relevant sector(s) could have a major effect on the value of the Fund’s investments.
LIBOR Transition and Associated Risk—A Fund may be exposed to debt securities, derivatives or other financial instruments that are tied to the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative
32 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Funding Rate (referred to as SOFR), which is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates.
The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. The potential effects of a phase out of LIBOR on LIBOR-based investments are currently unknown.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
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. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”)
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 33 |
NOTES TO FINANCIAL STATEMENTS (continued)
intended to provide short-term financing related to redemptions and other short term liquidity requirements, subject to certain restrictions. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended February 28, 2022.
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending August 31, 2022 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended August 31, 2021 and August 31, 2020 were as follows:
2021 | 2020 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 17,132,564 | $ | 16,856,078 | ||||
Net long-term capital gains | 21,099,949 | 34,877,095 | ||||||
|
|
|
| |||||
Total taxable distributions | $ | 38,232,513 | $ | 51,733,173 | ||||
|
|
|
|
As of August 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 8,881,869 | ||
Undistributed capital gains | 72,824,481 | |||
Unrealized appreciation/(depreciation) | 415,105,333 | (a) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 496,811,683 | ||
|
|
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales. |
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 August 31, 2021, the Fund did not have any capital loss carryforwards.
NOTE J
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
34 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE K
Subsequent Events
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no material events that would require disclosure in the Fund’s financial statements through this date.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 35 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 22.18 | $ 17.50 | $ 16.11 | $ 16.99 | $ 16.27 | $ 15.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .27 | .11 | .19 | .21 | .17 | .48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.40 | ) | 5.10 | 1.86 | (.58 | ) | 1.77 | 1.58 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | (1.13 | ) | 5.21 | 2.05 | (.37 | ) | 1.94 | 2.06 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.22 | ) | (.20 | ) | (.16 | ) | (.43 | ) | (.48 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.55 | ) | (.31 | ) | (.46 | ) | (.35 | ) | (.79 | ) | (.37 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (1.81 | ) | (.53 | ) | (.66 | ) | (.51 | ) | (1.22 | ) | (.85 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 19.24 | $ 22.18 | $ 17.50 | $ 16.11 | $ 16.99 | $ 16.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.54 | )% | 30.41 | % | 12.85 | % | (1.78 | )% | 12.21 | % | 14.35 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $382,597 | $425,623 | $355,496 | $350,232 | $393,100 | $386,168 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .64 | %^ | .64 | % | .64 | % | .64 | % | .64 | % | .85 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | .99 | %^ | .99 | % | 1.01 | % | 1.01 | % | 1.01 | % | 1.01 | % | ||||||||||||
Net investment income(b) | 2.56 | %^ | .55 | % | 1.20 | % | 1.34 | % | 1.02 | % | 3.14 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 18 | % | 20 | % | 22 | % | 111 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .40 | % | .40 | % | .40 | % | .34 | % |
See footnote summary on page 41.
36 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 22.24 | $ 17.52 | $ 16.10 | $ 16.91 | $ 16.15 | $ 14.95 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a)(b) | .19 | (.02 | ) | .08 | .10 | .06 | .36 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.41 | ) | 5.10 | 1.84 | (.56 | ) | 1.73 | 1.57 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | (1.22 | ) | 5.08 | 1.92 | (.46 | ) | 1.79 | 1.93 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | – 0 | – | (.05 | ) | (.04 | ) | (.00 | )(c) | (.24 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.55 | ) | (.31 | ) | (.46 | ) | (.35 | ) | (.79 | ) | (.37 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (1.55 | ) | (.36 | ) | (.50 | ) | (.35 | ) | (1.03 | ) | (.73 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 19.47 | $ 22.24 | $ 17.52 | $ 16.10 | $ 16.91 | $ 16.15 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.87 | )% | 29.39 | % | 11.98 | % | (2.46 | )% | 11.31 | % | 13.45 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $6,737 | $8,023 | $16,621 | $23,546 | $38,133 | $55,532 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.40 | %^ | 1.39 | % | 1.39 | % | 1.40 | % | 1.39 | % | 1.62 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.75 | %^ | 1.75 | % | 1.76 | % | 1.76 | % | 1.77 | % | 1.76 | % | ||||||||||||
Net investment income (loss)(b) | 1.77 | %^ | (.10 | )% | .50 | % | .64 | % | .34 | % | 2.38 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 18 | % | 20 | % | 22 | % | 111 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .40 | % | .40 | % | .40 | % | .34 | % |
See footnote summary on page 41.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 37 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 22.13 | $ 17.46 | $ 16.08 | $ 16.96 | $ 16.25 | $ 15.04 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .30 | .16 | .23 | .25 | .21 | .52 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.40 | ) | 5.08 | 1.85 | (.57 | ) | 1.76 | 1.58 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | (1.10 | ) | 5.24 | 2.08 | (.32 | ) | 1.97 | 2.10 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.31 | ) | (.26 | ) | (.24 | ) | (.21 | ) | (.47 | ) | (.52 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.55 | ) | (.31 | ) | (.46 | ) | (.35 | ) | (.79 | ) | (.37 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (1.86 | ) | (.57 | ) | (.70 | ) | (.56 | ) | (1.26 | ) | (.89 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 19.17 | $ 22.13 | $ 17.46 | $ 16.08 | $ 16.96 | $ 16.25 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.41 | )% | 30.73 | % | 13.08 | % | (1.49 | )% | 12.44 | % | 14.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $863,999 | $967,876 | $864,334 | $869,353 | $931,834 | $857,397 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .39 | %^ | .39 | % | .39 | % | .39 | % | .39 | % | .60 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | .74 | %^ | .74 | % | .76 | % | .76 | % | .76 | % | .76 | % | ||||||||||||
Net investment income(b) | 2.81 | %^ | .81 | % | 1.44 | % | 1.58 | % | 1.26 | % | 3.39 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 18 | % | 20 | % | 22 | % | 111 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .40 | % | .40 | % | .40 | % | .34 | % |
See footnote summary on page 41.
38 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 22.03 | $ 17.40 | $ 15.99 | $ 16.84 | $ 16.14 | $ 14.94 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .22 | .02 | .11 | .15 | .10 | .41 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.39 | ) | 5.07 | 1.84 | (.57 | ) | 1.73 | 1.57 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | (1.17 | ) | 5.09 | 1.95 | (.42 | ) | 1.83 | 1.98 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.15 | ) | (.08 | ) | (.08 | ) | (.34 | ) | (.41 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.55 | ) | (.31 | ) | (.46 | ) | (.35 | ) | (.79 | ) | (.37 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (1.72 | ) | (.46 | ) | (.54 | ) | (.43 | ) | (1.13 | ) | (.78 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 19.14 | $ 22.03 | $ 17.40 | $ 15.99 | $ 16.84 | $ 16.14 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.75 | )% | 29.78 | % | 12.31 | % | (2.17 | )% | 11.62 | % | 13.88 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,216 | $2,351 | $1,866 | $2,248 | $2,898 | $3,308 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | 1.10 | %^ | 1.11 | % | 1.09 | % | 1.10 | % | 1.09 | % | 1.30 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.45 | %^ | 1.46 | % | 1.46 | % | 1.46 | % | 1.47 | % | 1.46 | % | ||||||||||||
Net investment income(b) | 2.15 | %^ | .09 | % | .69 | % | .93 | % | .59 | % | 2.67 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 18 | % | 20 | % | 22 | % | 111 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .40 | % | .40 | % | .40 | % | .34 | % |
See footnote summary on page 41.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 39 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended August 31, | |||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, beginning of period | $ 22.02 | $ 17.37 | $ 16.00 | $ 16.87 | $ 16.17 | $ 14.97 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .26 | .08 | .17 | .19 | .15 | .48 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.40 | ) | 5.07 | 1.83 | (.57 | ) | 1.75 | 1.55 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net asset value from operations | (1.14 | ) | 5.15 | 2.00 | (.38 | ) | 1.90 | 2.03 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.23 | ) | (.19 | ) | (.17 | ) | (.14 | ) | (.41 | ) | (.46 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (1.55 | ) | (.31 | ) | (.46 | ) | (.35 | ) | (.79 | ) | (.37 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (1.78 | ) | (.50 | ) | (.63 | ) | (.49 | ) | (1.20 | ) | (.83 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ 19.10 | $ 22.02 | $ 17.37 | $ 16.00 | $ 16.87 | $ 16.17 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | (5.62 | )% | 30.24 | % | 12.63 | % | (1.90 | )% | 12.01 | % | 14.22 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $9,318 | $10,818 | $8,869 | $10,672 | $11,729 | $12,527 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)‡ | .79 | %^ | .80 | % | .78 | % | .79 | % | .78 | % | .99 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)‡ | 1.14 | %^ | 1.15 | % | 1.15 | % | 1.15 | % | 1.16 | % | 1.14 | % | ||||||||||||
Net investment income(b) | 2.52 | %^ | .39 | % | 1.08 | % | 1.19 | % | .92 | % | 3.18 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 18 | % | 20 | % | 22 | % | 111 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .37 | %^ | .38 | % | .40 | % | .40 | % | .40 | % | .34 | % |
See footnote summary on page 41.
40 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Beneficial Interest Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of 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) | In connection with the Fund’s investments in affiliated 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 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 February 28, 2022 and the years ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017, such waiver amounted to .35% (annualized), .35%, .37%, .36%, .37% and .16%, respectively. |
* | 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 August 31, 2018 and August 31, 2017 by .05% and .05%, respectively. |
^ | Annualized. |
See notes to financial statements.
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 41 |
TRUSTEES
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) | |
OFFICERS | ||
Ding Liu(2), Vice President Nelson Yu(2), Vice President Emilie D. Wrapp, Clerk Michael B. Reyes, Senior Vice President of the Funds Joseph J. Mantineo, Treasurer and Chief Financial Officer | Phyllis J. Clarke, Controller and Chief Accounting Officer 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. 501 Commerce Street Nashville, TN 37203
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 Toll-Free (800) 221-5672
Independent Registered Public Accounting Firm Ernst & Young LLP One Manhattan West New York, NY 10001 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Multi-Asset Solutions Team. Messrs. Liu and Yu are the investment professionals primarily responsible for the day-to-day management of the Fund’s portfolio. |
42 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
Operation and Effectiveness of the Funds’ Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Trustees (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Funds’ LRMP is adequately designed, has been implemented as intended,
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 43 |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID 19 impacts. As such, the Program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
44 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested trustees (the “directors”) of The AB Portfolios (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Wealth Appreciation Strategy (the “Fund”) at a meeting held by video conference on May 3-5, 2021 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the underlying funds advised by the Adviser in which the Fund invests.
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
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 45 |
investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2019 and 2020 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the underlying funds advised by
46 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended February 28, 2021 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule, on the other. The directors
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 47 |
noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In this regard, the Adviser noted, among other things, that, compared to institutional accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to the Fund and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund 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, and rules adopted, by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year. 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
48 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedules for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would 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 WEALTH APPRECIATION STRATEGY | 49 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
Select US Equity Portfolio
Sustainable US Thematic Portfolio1
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
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 August 23, 2021, Sustainable US Thematic Portfolio was named FlexFee™ US Thematic Portfolio. Prior to April 30, 2021, High Yield Portfolio was named FlexFee™ High Yield Portfolio. Prior to December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
50 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
NOTES
abfunds.com | AB WEALTH APPRECIATION STRATEGY | 51 |
NOTES
52 | AB WEALTH APPRECIATION STRATEGY | abfunds.com |
AB WEALTH APPRECIATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
WA-0152-0222
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 13. | EXHIBITS. |
The following exhibits are attached to this Form N-CSR:
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): The AB Portfolios
By: | /s/ Onur Erzan | |
Onur Erzan | ||
President |
Date: April 26, 2022
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/ Onur Erzan | |
Onur Erzan | ||
President |
Date: April 26, 2022
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: April 26, 2022