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: 811-01716
AB CAP FUND, INC.
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York 10105
(Address of principal executive offices) (Zip code)
Joseph J. Mantineo
AllianceBernstein L.P.
1345 Avenue of the Americas
New York, New York 10105
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 221-5672
Date of fiscal year end: October 31, 2018
Date of reporting period: April 30, 2018
ITEM 1. | REPORTS TO STOCKHOLDERS. |
APR 04.30.18
SEMI-ANNUAL REPORT
AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO
A discussion of the Fund’s investment performance is not included in this report. AllianceBernstein L.P. would like to thank you for your interest in the Fund.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may 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 in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 962.60 | $ | 6.08 | 1.25 | % | $ | 6.18 | 1.27 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.60 | $ | 6.26 | 1.25 | % | $ | 6.36 | 1.27 | % |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 1 |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 958.50 | $ | 9.66 | 1.99 | % | $ | 9.76 | 2.01 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,014.93 | $ | 9.94 | 1.99 | % | $ | 10.04 | 2.01 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 963.90 | $ | 4.77 | 0.98 | % | $ | 4.97 | 1.02 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.93 | $ | 4.91 | 0.98 | % | $ | 5.11 | 1.02 | % |
* | 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), respectively. |
** | 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). |
2 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
PORTFOLIO SUMMARY
April 30, 2018 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $163.9
TEN LARGEST HOLDINGS2
Company | U.S. $ Value | Percent of Net Assets | ||||||
Apple, Inc. | $ | 1,151,862 | 0.7 | % | ||||
JPMorgan Chase & Co. | 1,000,450 | 0.6 | ||||||
Royal Dutch Shell PLC – Class B | 971,063 | 0.6 | ||||||
Microsoft Corp. | 854,960 | 0.5 | ||||||
Amazon.com, Inc. | 768,970 | 0.5 | ||||||
Verizon Communications, Inc. | 739,361 | 0.5 | ||||||
Alphabet, Inc. – Class C | 719,546 | 0.5 | ||||||
Boeing Co. (The) | 713,485 | 0.4 | ||||||
AT&T, Inc. | 687,158 | 0.4 | ||||||
AbbVie, Inc. | 677,105 | 0.4 | ||||||
$ | 8,283,960 | 5.1 | % |
1 | All data are as of April 30, 2018. The Fund’s asset class breakdown includes derivatives exposure and is expressed as approximate percentages of the Fund’s total net assets, based on the Adviser’s internal classification. |
2 | Long-term investments. |
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 ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 3 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS
April 30, 2018 (unaudited)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
COMMON STOCKS – 40.6% | ||||||||||||
Information Technology – 6.8% | ||||||||||||
Communications Equipment – 0.3% | ||||||||||||
Cisco Systems, Inc. | 2,147 | $ | 95,091 | |||||||||
Juniper Networks, Inc. | 16,740 | 411,636 | ||||||||||
|
| |||||||||||
506,727 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||||||
Avnet, Inc. | 9,876 | 387,436 | ||||||||||
Hitachi Ltd. | 58,000 | 423,316 | ||||||||||
|
| |||||||||||
810,752 | ||||||||||||
|
| |||||||||||
Internet Software & Services – 1.3% | ||||||||||||
Alphabet, Inc. – Class A(a) | 235 | 239,366 | ||||||||||
Alphabet, Inc. – Class C(a) | 472 | 480,180 | ||||||||||
eBay, Inc.(a) | 11,116 | 421,074 | ||||||||||
Facebook, Inc. – Class A(a) | 2,371 | 407,812 | ||||||||||
Mixi, Inc. | 11,100 | 364,822 | ||||||||||
Twitter, Inc.(a) | 6,741 | 204,320 | ||||||||||
|
| |||||||||||
2,117,574 | ||||||||||||
|
| |||||||||||
IT Services – 0.4% | ||||||||||||
Amadeus IT Group SA – Class A | 2,220 | 161,971 | ||||||||||
Leidos Holdings, Inc. | 830 | 53,311 | ||||||||||
Mastercard, Inc. – Class A | 1,820 | 324,451 | ||||||||||
Obic Co., Ltd. | 500 | 41,880 | ||||||||||
Visa, Inc. – Class A | 827 | 104,930 | ||||||||||
|
| |||||||||||
686,543 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment – 0.9% | ||||||||||||
Intel Corp. | 6,221 | 321,128 | ||||||||||
KLA-Tencor Corp. | 3,824 | 389,054 | ||||||||||
Marvell Technology Group Ltd. | 20,530 | 411,832 | ||||||||||
STMicroelectronics NV | 17,678 | 386,004 | ||||||||||
|
| |||||||||||
1,508,018 | ||||||||||||
|
| |||||||||||
Software – 2.0% | ||||||||||||
CA, Inc. | 12,169 | 423,481 | ||||||||||
Dell Technologies, Inc. – Class V(a) | 5,875 | 421,649 | ||||||||||
Electronic Arts, Inc.(a) | 3,767 | 444,430 | ||||||||||
Fortinet, Inc.(a) | 5,661 | 313,393 | ||||||||||
Intuit, Inc. | 830 | 153,376 | ||||||||||
Microsoft Corp. | 9,142 | 854,960 | ||||||||||
Nexon Co., Ltd.(a) | 28,800 | 419,080 | ||||||||||
Oracle Corp. | 1,306 | 59,645 | ||||||||||
Ubisoft Entertainment SA(a) | 2,000 | 191,096 | ||||||||||
|
| |||||||||||
3,281,110 | ||||||||||||
|
|
4 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Technology Hardware, Storage & Peripherals – 1.4% | ||||||||||||
Apple, Inc. | 6,970 | $ | 1,151,862 | |||||||||
Hewlett Packard Enterprise Co. | 25,900 | 441,595 | ||||||||||
HP, Inc. | 21,720 | 466,763 | ||||||||||
Western Digital Corp. | 2,280 | 179,641 | ||||||||||
|
| |||||||||||
2,239,861 | ||||||||||||
|
| |||||||||||
11,150,585 | ||||||||||||
|
| |||||||||||
Financials – 6.6% | ||||||||||||
Banks – 3.1% | ||||||||||||
Bank Leumi Le-Israel BM | 71,560 | 422,179 | ||||||||||
Bank of America Corp. | 13,534 | 404,937 | ||||||||||
CIT Group, Inc. | �� | 7,833 | 414,757 | |||||||||
Citigroup, Inc. | 9,679 | 660,785 | ||||||||||
Citizens Financial Group, Inc. | 9,320 | 386,687 | ||||||||||
Commerzbank AG(a) | 27,636 | 356,052 | ||||||||||
Fifth Third Bancorp | 660 | 21,892 | ||||||||||
HSBC Holdings PLC | 6,147 | 61,199 | ||||||||||
JPMorgan Chase & Co. | 9,197 | 1,000,450 | ||||||||||
KeyCorp | 22,170 | 441,626 | ||||||||||
Nordea Bank AB | 9,417 | 95,777 | ||||||||||
Regions Financial Corp. | 23,400 | 437,580 | ||||||||||
Resona Holdings, Inc. | 41,700 | 236,943 | ||||||||||
Wells Fargo & Co. | 2,710 | 140,812 | ||||||||||
|
| |||||||||||
5,081,676 | ||||||||||||
|
| |||||||||||
Capital Markets – 1.0% | ||||||||||||
Ameriprise Financial, Inc. | 2,763 | 387,400 | ||||||||||
Daiwa Securities Group, Inc. | 12,000 | 73,615 | ||||||||||
E*TRADE Financial Corp.(a) | 7,160 | 434,469 | ||||||||||
Get Nice Financial Group Ltd. | 146,610 | 23,729 | ||||||||||
S&P Global, Inc. | 1,179 | 222,359 | ||||||||||
State Street Corp. | 4,580 | 456,993 | ||||||||||
|
| |||||||||||
1,598,565 | ||||||||||||
|
| |||||||||||
Diversified Financial Services – 0.7% | ||||||||||||
Berkshire Hathaway, Inc. – Class B(a) | 771 | 149,366 | ||||||||||
Investor AB – Class B | 7,530 | 327,811 | ||||||||||
Kinnevik AB | 11,386 | 410,321 | ||||||||||
Plus500 Ltd. | 11,720 | 227,744 | ||||||||||
|
| |||||||||||
1,115,242 | ||||||||||||
|
| |||||||||||
Insurance – 1.7% | ||||||||||||
Aflac, Inc. | 10,554 | 480,946 | ||||||||||
Ageas | 7,867 | 420,826 | ||||||||||
Japan Post Holdings Co., Ltd. | 36,200 | 439,878 | ||||||||||
Lincoln National Corp. | 1,898 | 134,075 | ||||||||||
Mapfre SA | 116,690 | 404,795 | ||||||||||
Progressive Corp. (The) | 1,450 | 87,420 |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 5 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Prudential Financial, Inc. | 4,098 | $ | 435,699 | |||||||||
Unum Group | 8,292 | 401,167 | ||||||||||
|
| |||||||||||
2,804,806 | ||||||||||||
|
| |||||||||||
Thrifts & Mortgage Finance – 0.1% | ||||||||||||
Paragon Banking Group PLC | 22,730 | 162,957 | ||||||||||
|
| |||||||||||
10,763,246 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 5.9% | ||||||||||||
Auto Components – 0.2% | ||||||||||||
Sumitomo Rubber Industries Ltd. | 22,600 | 403,584 | ||||||||||
|
| |||||||||||
Automobiles – 0.7% | ||||||||||||
Fiat Chrysler Automobiles NV(a) | 18,631 | 413,958 | ||||||||||
Ford Motor Co. | 26,699 | 300,097 | ||||||||||
General Motors Co. | 12,196 | 448,081 | ||||||||||
|
| |||||||||||
1,162,136 | ||||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure – 0.9% | ||||||||||||
Flight Centre Travel Group Ltd. | 9,754 | 408,611 | ||||||||||
InterContinental Hotels Group PLC | 6,498 | 409,968 | ||||||||||
Starbucks Corp. | 5,210 | 299,939 | ||||||||||
Wynn Macau Ltd. | 77,200 | 285,282 | ||||||||||
|
| |||||||||||
1,403,800 | ||||||||||||
|
| |||||||||||
Household Durables – 0.7% | ||||||||||||
Electrolux AB – Class B | 12,878 | 338,906 | ||||||||||
Sony Corp. | 10,200 | 476,402 | ||||||||||
Toll Brothers, Inc. | 9,309 | 392,468 | ||||||||||
|
| |||||||||||
1,207,776 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail – 0.5% | ||||||||||||
Amazon.com, Inc.(a) | 491 | 768,970 | ||||||||||
Qurate Retail Group, Inc. QVC Group(a) | 1,289 | 30,175 | ||||||||||
|
| |||||||||||
799,145 | ||||||||||||
|
| |||||||||||
Leisure Products – 0.1% | ||||||||||||
Sankyo Co., Ltd. | 6,800 | 238,389 | ||||||||||
|
| |||||||||||
Media – 0.8% | ||||||||||||
Comcast Corp. – Class A | 915 | 28,722 | ||||||||||
Eutelsat Communications SA | 18,171 | 393,529 | ||||||||||
LIFULL Co., Ltd. | 14,100 | 114,537 | ||||||||||
News Corp. – Class A | 25,896 | 413,818 | ||||||||||
Pearson PLC | 36,060 | 413,414 | ||||||||||
|
| |||||||||||
1,364,020 | ||||||||||||
|
| |||||||||||
Multiline Retail – 0.6% | ||||||||||||
Kohl’s Corp. | 1,280 | 79,514 | ||||||||||
Next PLC | 5,810 | 419,692 | ||||||||||
Ryohin Keikaku Co., Ltd. | 1,200 | 410,476 | ||||||||||
|
| |||||||||||
909,682 | ||||||||||||
|
|
6 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Specialty Retail – 0.9% | ||||||||||||
AutoNation, Inc.(a) | 1,853 | $ | 85,590 | |||||||||
Best Buy Co., Inc. | 5,955 | 455,736 | ||||||||||
Bic Camera, Inc. | 12,800 | 209,765 | ||||||||||
CECONOMY AG | 17,750 | 198,904 | ||||||||||
Gap, Inc. (The) | 14,450 | 422,518 | ||||||||||
Home Depot, Inc. (The) | 531 | 98,129 | ||||||||||
|
| |||||||||||
1,470,642 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||||||
HUGO BOSS AG | 990 | 92,808 | ||||||||||
Pandora A/S | 3,728 | 414,140 | ||||||||||
Ralph Lauren Corp. | 2,623 | 288,137 | ||||||||||
|
| |||||||||||
795,085 | ||||||||||||
|
| |||||||||||
9,754,259 | ||||||||||||
|
| |||||||||||
Health Care – 5.6% | ||||||||||||
Biotechnology – 1.5% | ||||||||||||
AbbVie, Inc. | 7,013 | 677,105 | ||||||||||
Amgen, Inc. | 3,256 | 568,107 | ||||||||||
Biogen, Inc.(a) | 1,047 | 286,459 | ||||||||||
Celgene Corp.(a) | 4,248 | 370,001 | ||||||||||
Gilead Sciences, Inc. | 3,013 | 217,629 | ||||||||||
Vertex Pharmaceuticals, Inc.(a) | 1,990 | 304,788 | ||||||||||
|
| |||||||||||
2,424,089 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies – 0.6% | ||||||||||||
Cochlear Ltd. | 1,410 | 205,197 | ||||||||||
Hoya Corp. | 8,300 | 443,426 | ||||||||||
Intuitive Surgical, Inc.(a) | 250 | 110,195 | ||||||||||
Jeol Ltd. | 24,000 | 205,679 | ||||||||||
|
| |||||||||||
964,497 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services – 1.1% | ||||||||||||
AmerisourceBergen Corp. – Class A | 414 | 37,500 | ||||||||||
Centene Corp.(a) | 3,948 | 428,674 | ||||||||||
Humana, Inc. | 1,610 | 473,630 | ||||||||||
McKesson Corp. | 2,825 | 441,293 | ||||||||||
UnitedHealth Group, Inc. | 1,212 | 286,517 | ||||||||||
WellCare Health Plans, Inc.(a) | 895 | 183,618 | ||||||||||
|
| |||||||||||
1,851,232 | ||||||||||||
|
| |||||||||||
Pharmaceuticals – 2.4% | ||||||||||||
Astellas Pharma, Inc. | 31,300 | 457,801 | ||||||||||
AstraZeneca PLC | 7,902 | 553,158 | ||||||||||
Bristol-Myers Squibb Co. | 10,690 | 557,270 | ||||||||||
Eli Lilly & Co. | 6,883 | 558,005 | ||||||||||
Ipsen SA | 1,751 | 283,428 | ||||||||||
Johnson & Johnson | 2,649 | 335,072 | ||||||||||
Merck & Co., Inc. | 1,618 | 95,252 |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 7 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Novo Nordisk A/S – Class B | 11,174 | $ | 525,490 | |||||||||
Ono Pharmaceutical Co., Ltd. | 18,300 | 423,009 | ||||||||||
Pfizer, Inc. | 6,620 | 242,358 | ||||||||||
|
| |||||||||||
4,030,843 | ||||||||||||
|
| |||||||||||
9,270,661 | ||||||||||||
|
| |||||||||||
Industrials – 4.7% | ||||||||||||
Aerospace & Defense – 0.8% | ||||||||||||
Boeing Co. (The) | 2,139 | 713,485 | ||||||||||
QinetiQ Group PLC | 30,690 | 97,018 | ||||||||||
Safran SA | 4,205 | 493,205 | ||||||||||
|
| |||||||||||
1,303,708 | ||||||||||||
|
| |||||||||||
Airlines – 0.9% | ||||||||||||
Air Canada(a) | 10,370 | 203,854 | ||||||||||
American Airlines Group, Inc. | 8,870 | 380,789 | ||||||||||
International Consolidated Airlines Group SA | 47,980 | 414,034 | ||||||||||
Japan Airlines Co., Ltd. | 10,500 | 414,377 | ||||||||||
|
| |||||||||||
1,413,054 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies – 0.2% | ||||||||||||
Pitney Bowes, Inc. | 17,237 | 176,162 | ||||||||||
Prosegur Cash SA(b) | 49,622 | 145,015 | ||||||||||
|
| |||||||||||
321,177 | ||||||||||||
|
| |||||||||||
Construction & Engineering – 0.6% | ||||||||||||
ACS Actividades de Construccion y Servicios SA | 9,570 | 403,325 | ||||||||||
Galliford Try PLC | 15,890 | 200,189 | ||||||||||
Maire Tecnimont SpA | 37,918 | 192,719 | ||||||||||
Sumitomo Mitsui Construction Co., Ltd. | 34,300 | 210,107 | ||||||||||
|
| |||||||||||
1,006,340 | ||||||||||||
|
| |||||||||||
Machinery – 0.9% | ||||||||||||
AGCO Corp. | 6,143 | 385,043 | ||||||||||
Caterpillar, Inc. | 3,590 | 518,252 | ||||||||||
Terex Corp. | 5,120 | 186,982 | ||||||||||
THK Co., Ltd. | 9,600 | 334,591 | ||||||||||
|
| |||||||||||
1,424,868 | ||||||||||||
|
| |||||||||||
Professional Services – 0.6% | ||||||||||||
Adecco Group AG (REG) | 2,040 | 135,099 | ||||||||||
ManpowerGroup, Inc. | 4,166 | 398,770 | ||||||||||
Robert Half International, Inc. | 7,397 | 449,368 | ||||||||||
|
| |||||||||||
983,237 | ||||||||||||
|
| |||||||||||
Road & Rail – 0.2% | ||||||||||||
DSV A/S | 5,239 | 414,906 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors – 0.3% | ||||||||||||
HD Supply Holdings, Inc.(a) | 11,053 | 427,861 | ||||||||||
|
|
8 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Transportation Infrastructure – 0.2% | ||||||||||||
Aeroports de Paris | 1,860 | $ | 409,429 | |||||||||
|
| |||||||||||
7,704,580 | ||||||||||||
|
| |||||||||||
Energy – 3.5% | ||||||||||||
Energy Equipment & Services – 0.4% | ||||||||||||
Petrofac Ltd. | 23,420 | 194,355 | ||||||||||
TechnipFMC PLC | 12,819 | 422,514 | ||||||||||
|
| |||||||||||
616,869 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels – 3.1% | ||||||||||||
Andeavor | 948 | 131,127 | ||||||||||
BP PLC | 37,669 | 279,804 | ||||||||||
Caltex Australia Ltd. | 14,478 | 336,683 | ||||||||||
Chevron Corp. | 983 | 122,983 | ||||||||||
Exxon Mobil Corp. | 3,518 | 273,525 | ||||||||||
HollyFrontier Corp. | 7,128 | 432,598 | ||||||||||
Husky Energy, Inc. | 27,787 | 388,687 | ||||||||||
Marathon Petroleum Corp. | 5,887 | 440,995 | ||||||||||
New Hope Corp., Ltd. | 18,807 | 30,583 | ||||||||||
PBF Energy, Inc. – Class A | 5,340 | 204,682 | ||||||||||
Phillips 66 | 4,364 | 485,757 | ||||||||||
Royal Dutch Shell PLC – Class A | 19,487 | 677,976 | ||||||||||
Royal Dutch Shell PLC – Class B | 8,210 | 293,087 | ||||||||||
Suncor Energy, Inc. (Toronto) | 8,802 | 336,601 | ||||||||||
Valero Energy Corp. | 4,439 | 492,418 | ||||||||||
Whitehaven Coal Ltd. | 45,501 | 156,899 | ||||||||||
|
| |||||||||||
5,084,405 | ||||||||||||
|
| |||||||||||
5,701,274 | ||||||||||||
|
| |||||||||||
Consumer Staples – 2.8% | ||||||||||||
Beverages – 0.3% | ||||||||||||
Coca-Cola Co. (The) | 642 | 27,741 | ||||||||||
Kirin Holdings Co., Ltd. | 15,700 | 440,683 | ||||||||||
|
| |||||||||||
468,424 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing – 0.6% | ||||||||||||
J Sainsbury PLC | 111,521 | 473,202 | ||||||||||
Kroger Co. (The) | 13,474 | 339,410 | ||||||||||
Total Produce PLC | 71,591 | 204,030 | ||||||||||
|
| |||||||||||
1,016,642 | ||||||||||||
|
| |||||||||||
Food Products – 1.0% | ||||||||||||
a2 Milk Co., Ltd.(a) | 23,498 | 198,145 | ||||||||||
a2 Milk Co., Ltd. /New Zealand(a) | 18,982 | 161,320 | ||||||||||
Archer-Daniels-Midland Co. | 9,831 | 446,131 | ||||||||||
Barry Callebaut AG (REG) | 130 | 233,386 | ||||||||||
Conagra Brands, Inc. | 10,608 | 393,239 | ||||||||||
Nestle SA (REG) | 1,868 | 144,714 | ||||||||||
Tyson Foods, Inc. – Class A | 1,774 | 124,358 | ||||||||||
|
| |||||||||||
1,701,293 | ||||||||||||
|
|
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 9 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Household Products – 0.0% | ||||||||||||
Procter & Gamble Co. (The) | 556 | $ | 40,221 | |||||||||
|
| |||||||||||
Personal Products – 0.3% | ||||||||||||
Best World International Ltd. | 108,400 | 121,675 | ||||||||||
Unilever PLC | 3,280 | 183,982 | ||||||||||
YA-MAN Ltd. | 9,000 | 195,780 | ||||||||||
|
| |||||||||||
501,437 | ||||||||||||
|
| |||||||||||
Tobacco – 0.6% | ||||||||||||
Altria Group, Inc. | 8,599 | 482,490 | ||||||||||
Swedish Match AB | 9,510 | 426,620 | ||||||||||
|
| |||||||||||
909,110 | ||||||||||||
|
| |||||||||||
4,637,127 | ||||||||||||
|
| |||||||||||
Materials – 2.4% | ||||||||||||
Chemicals – 0.9% | ||||||||||||
BASF SE | 626 | 65,131 | ||||||||||
Chemours Co. (The) | 6,883 | 333,206 | ||||||||||
Covestro AG(b) | 4,376 | 397,625 | ||||||||||
LyondellBasell Industries NV – Class A | 4,254 | 449,775 | ||||||||||
Sumitomo Chemical Co., Ltd. | 10,000 | 57,217 | ||||||||||
Westlake Chemical Corp. | 1,820 | 194,685 | ||||||||||
|
| |||||||||||
1,497,639 | ||||||||||||
|
| |||||||||||
Metals & Mining – 1.5% | ||||||||||||
Anglo American PLC | 130 | 3,059 | ||||||||||
BlueScope Steel Ltd. | 5,606 | 68,895 | ||||||||||
Centamin PLC | 94,610 | 204,436 | ||||||||||
KAZ Minerals PLC(a) | 4,669 | 58,993 | ||||||||||
Kinross Gold Corp.(a) | 94,124 | 364,342 | ||||||||||
Kirkland Lake Gold Ltd. | 10,907 | 190,285 | ||||||||||
Lundin Mining Corp. | 52,718 | 349,003 | ||||||||||
Rio Tinto PLC | 9,380 | 511,265 | ||||||||||
Steel Dynamics, Inc. | 8,280 | 371,027 | ||||||||||
Teck Resources Ltd. – Class B | 14,350 | 360,217 | ||||||||||
|
| |||||||||||
2,481,522 | ||||||||||||
|
| |||||||||||
3,979,161 | ||||||||||||
|
| |||||||||||
Telecommunication Services – 1.1% | ||||||||||||
Diversified Telecommunication Services – 1.1% | ||||||||||||
AT&T, Inc. | 21,014 | 687,158 | ||||||||||
Telenor ASA | 19,005 | 420,655 | ||||||||||
Verizon Communications, Inc. | 14,982 | 739,361 | ||||||||||
|
| |||||||||||
1,847,174 | ||||||||||||
|
| |||||||||||
Utilities – 0.7% | ||||||||||||
Electric Utilities – 0.1% | ||||||||||||
Chugoku Electric Power Co., Inc. (The) | 13,100 | 163,887 | ||||||||||
|
|
10 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Multi-Utilities – 0.6% | ||||||||||||
CenterPoint Energy, Inc. | 14,436 | $ | 365,664 | |||||||||
Engie SA | 26,430 | 463,621 | ||||||||||
National Grid PLC | 8,051 | 93,150 | ||||||||||
|
| |||||||||||
922,435 | ||||||||||||
|
| |||||||||||
1,086,322 | ||||||||||||
|
| |||||||||||
Real Estate – 0.5% | ||||||||||||
Equity Real Estate Investment Trusts (REITs) – 0.3% | ||||||||||||
Hansteen Holdings PLC | 111,910 | 204,267 | ||||||||||
HCP, Inc. | 4,858 | 113,483 | ||||||||||
Weyerhaeuser Co. | 5,811 | 213,729 | ||||||||||
|
| |||||||||||
531,479 | ||||||||||||
|
| |||||||||||
Real Estate Management & Development – 0.2% | ||||||||||||
Jones Lang LaSalle, Inc. | 477 | 80,856 | ||||||||||
Leopalace21 Corp. | 8,800 | 76,322 | ||||||||||
Tateru, Inc. | 4,700 | 79,421 | ||||||||||
|
| |||||||||||
236,599 | ||||||||||||
|
| |||||||||||
768,078 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 66,662,467 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED – PUTS – 0.1% |
| |||||||||||
Swaptions – 0.1% |
| |||||||||||
IRS Swaption | EUR | 40,660,000 | 119,266 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
SHORT-TERM INVESTMENTS – 44.3% |
| |||||||||||
Governments – Treasuries – 18.9% |
| |||||||||||
Japan – 18.9% |
| |||||||||||
Japan Treasury Discount Bill | JPY | 3,387,600 | 30,995,191 | |||||||||
|
|
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 11 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Investment Companies – 16.9% |
| |||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 1.51%(c)(d)(e) | 27,657,114 | $ | 27,657,114 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
U.S. Treasury Bills – 8.5% |
| |||||||||||
U.S. Treasury Bill | ||||||||||||
Zero Coupon, 5/10/18-6/28/18(f) | $ | 12,900 | 12,882,856 | |||||||||
Zero Coupon, 7/26/18 | 1,000 | 995,710 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Bills | 13,878,566 | |||||||||||
|
| |||||||||||
Total Short-Term Investments | 72,530,871 | |||||||||||
|
| |||||||||||
Total Investments – 85.0% | 139,312,604 | |||||||||||
Other assets less liabilities – 15.0% | 24,631,058 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 163,943,662 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at April 30, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||||
10 Yr Canadian Bond Futures | 62 | June 2018 | CAD | 6,200 | $ | 6,411,163 | $ | 6,347,521 | $ | (63,642 | ) | |||||||||||
Amsterdam Index Futures | 2 | May 2018 | EUR | 0 | ** | 261,595 | 267,097 | 5,502 | ||||||||||||||
CAC 40 10 Euro Futures | 14 | May 2018 | EUR | 0 | ** | 892,848 | 925,287 | 32,439 | ||||||||||||||
Cocoa Futures | 46 | May 2018 | GBP | 0 | ** | 1,153,846 | 1,175,371 | 21,525 | ||||||||||||||
Cocoa Futures | 63 | July 2018 | GBP | 1 | 1,620,773 | 1,652,246 | 31,473 | |||||||||||||||
DAX Index Futures | 2 | June 2018 | EUR | 0 | ** | 751,675 | 761,452 | 9,777 | ||||||||||||||
FTSE/MIB Index Futures | 1 | June 2018 | EUR | 0 | ** | 134,863 | 142,485 | 7,622 |
12 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Notional (000) | Original Value | Value at April 30, 2018 | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
IBEX 35 Index Futures | 2 | May 2018 | EUR | 0 | ** | $ | 235,005 | $ | 240,878 | $ | 5,873 | |||||||||||
OMXS 30 Index Futures | 643 | May 2018 | SEK | 64 | 11,178,808 | 11,491,781 | 312,973 | |||||||||||||||
TOPIX Index Futures | 88 | June 2018 | JPY | 880 | 13,772,396 | 14,324,552 | 552,156 | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 187 | June 2018 | USD | 18,700 | 22,593,914 | 22,369,875 | (224,039 | ) | ||||||||||||||
Sold Contracts |
| |||||||||||||||||||||
10 Yr Australian Bond Futures | 229 | June 2018 | AUD | 22,900 | 21,956,812 | 22,049,140 | (92,328 | ) | ||||||||||||||
10 Yr Japan Bond (OSE) Futures | 15 | June 2018 | JPY | 1,500,000 | 20,683,414 | 20,669,594 | 13,820 | |||||||||||||||
Cocoa Futures | 58 | July 2018 | USD | 1 | 1,621,599 | 1,638,500 | (16,901 | ) | ||||||||||||||
Cocoa Futures | 40 | September 2018 | USD | 0 | ** | 1,118,859 | 1,132,000 | (13,141 | ) | |||||||||||||
Euro-Bund Futures | 23 | June 2018 | EUR | 2,300 | 4,427,191 | 4,408,971 | 18,220 | |||||||||||||||
FTSE 100 Index Futures | 11 | June 2018 | GBP | 0 | ** | 1,079,352 | 1,129,720 | (50,368 | ) | |||||||||||||
Hang Seng Index Futures | 43 | May 2018 | HKD | 2 | 8,260,333 | 8,400,139 | (139,806 | ) | ||||||||||||||
Long Gilt Futures | 55 | June 2018 | GBP | 5,500 | 9,204,426 | 9,257,340 | (52,914 | ) | ||||||||||||||
Mini MSCI EAFE Futures | 246 | June 2018 | USD | 12 | 24,776,061 | 24,925,950 | (149,889 | ) | ||||||||||||||
MSCI Singapore IX ETS Futures | 74 | May 2018 | SGD | 7 | 2,256,846 | 2,295,618 | (38,772 | ) | ||||||||||||||
S&P 500 E-Mini Futures | 391 | June 2018 | USD | 20 | 52,986,575 | 51,748,850 | 1,237,725 | |||||||||||||||
S&P/TSX 60 Index Futures | 43 | June 2018 | CAD | 9 | 6,094,805 | 6,161,564 | (66,759 | ) | ||||||||||||||
SPI 200 Futures | 7 | June 2018 | AUD | 0 | ** | 787,184 | 786,013 | 1,171 | ||||||||||||||
|
| |||||||||||||||||||||
$ | 1,341,717 | |||||||||||||||||||||
|
|
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 13 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Australia and New Zealand Banking Group Ltd. | JPY | 3,373,664 | USD | 31,819 | 7/13/18 | $ | 803,862 | |||||||||||||
Bank of America, NA | KRW | 8,364,425 | USD | 7,842 | 7/26/18 | 12,185 | ||||||||||||||
Bank of America, NA | TWD | 838,106 | USD | 28,907 | 6/07/18 | 533,229 | ||||||||||||||
Bank of America, NA | JPY | 69,710 | USD | 657 | 6/19/18 | 16,772 | ||||||||||||||
Bank of America, NA | BRL | 2,647 | USD | 778 | 6/04/18 | 25,096 | ||||||||||||||
Bank of America, NA | BRL | 2,200 | USD | 652 | 5/03/18 | 23,661 | ||||||||||||||
Bank of America, NA | EUR | 523 | USD | 647 | 6/19/18 | 13,178 | ||||||||||||||
Bank of America, NA | USD | 583 | CHF | 556 | 6/19/18 | (20,124 | ) | |||||||||||||
Bank of America, NA | USD | 632 | BRL | 2,200 | 5/03/18 | (3,987 | ) | |||||||||||||
Bank of America, NA | USD | 11,744 | TRY | 46,082 | 6/19/18 | (565,649 | ) | |||||||||||||
Barclays Bank PLC | CLP | 7,169,344 | USD | 12,019 | 6/21/18 | 331,637 | ||||||||||||||
Barclays Bank PLC | CAD | 3,923 | USD | 3,052 | 6/19/18 | (6,953 | ) | |||||||||||||
Barclays Bank PLC | CHF | 165 | USD | 167 | 6/19/18 | 163 | ||||||||||||||
Barclays Bank PLC | USD | 9,055 | TWD | 263,495 | 6/07/18 | (134,226 | ) | |||||||||||||
Barclays Bank PLC | USD | 21,660 | MXN | 408,069 | 6/19/18 | (1,039 | ) | |||||||||||||
Barclays Bank PLC | USD | 10,238 | RUB | 634,752 | 5/17/18 | (175,494 | ) | |||||||||||||
BNP Paribas SA | HUF | 578,152 | USD | 2,288 | 6/19/18 | 55,788 | ||||||||||||||
BNP Paribas SA | USD | 3,144 | ARS | 66,745 | 6/04/18 | 9,655 | ||||||||||||||
BNP Paribas SA | USD | 10,921 | JPY | 1,191,227 | 6/19/18 | 11,316 | ||||||||||||||
Credit Suisse International | JPY | 1,408,735 | USD | 13,213 | 6/19/18 | 285,023 | ||||||||||||||
Credit Suisse International | INR | 517,371 | USD | 7,931 | 5/17/18 | 161,008 | ||||||||||||||
Credit Suisse International | MXN | 188,332 | USD | 10,162 | 6/19/18 | 165,871 | ||||||||||||||
Credit Suisse International | NOK | 169,439 | USD | 21,791 | 6/19/18 | 634,356 | ||||||||||||||
Credit Suisse International | SEK | 167,492 | USD | 19,593 | 6/19/18 | 396,095 | ||||||||||||||
Credit Suisse International | PEN | 102,881 | USD | 31,805 | 6/21/18 | 224,422 | ||||||||||||||
Credit Suisse International | TWD | 84,031 | USD | 2,887 | 6/07/18 | 42,310 | ||||||||||||||
Credit Suisse International | ZAR | 74,853 | USD | 6,183 | 6/19/18 | 214,755 | ||||||||||||||
Credit Suisse International | CZK | 55,948 | USD | 2,724 | 6/19/18 | 77,086 | ||||||||||||||
Credit Suisse International | PLN | 18,913 | USD | 5,507 | 6/19/18 | 115,212 | ||||||||||||||
Credit Suisse International | CHF | 20,661 | USD | 21,976 | 6/19/18 | 1,041,163 | ||||||||||||||
Credit Suisse International | CAD | 24,746 | USD | 19,271 | 6/19/18 | (24,469 | ) | |||||||||||||
Credit Suisse International | NZD | 12,967 | USD | 9,344 | 6/19/18 | 221,360 | ||||||||||||||
Credit Suisse International | USD | 4,346 | AUD | 5,703 | 6/19/18 | (51,586 | ) | |||||||||||||
Credit Suisse International | USD | 15,093 | EUR | 12,206 | 6/19/18 | (300,655 | ) | |||||||||||||
Credit Suisse International | USD | 6,753 | NZD | 9,354 | 6/19/18 | (171,669 | ) | |||||||||||||
Credit Suisse International | USD | 34,916 | NOK | 277,218 | 6/19/18 | (302,347 | ) | |||||||||||||
Credit Suisse International | USD | 4,599 | JPY | 489,480 | 6/19/18 | (106,873 | ) | |||||||||||||
Credit Suisse International | USD | 18,931 | SEK | 157,475 | 6/19/18 | (882,869 | ) | |||||||||||||
Credit Suisse International | USD | 28,938 | INR | 1,894,161 | 5/17/18 | (489,654 | ) | |||||||||||||
Deutsche Bank AG | COP | 33,125,657 | USD | 12,210 | 6/21/18 | 424,298 | ||||||||||||||
Deutsche Bank AG | HUF | 1,753,821 | USD | 6,981 | 6/19/18 | 209,744 | ||||||||||||||
Deutsche Bank AG | PLN | 18,006 | USD | 5,275 | 6/19/18 | 140,961 | ||||||||||||||
Goldman Sachs Bank USA | ZAR | 78,067 | USD | 6,376 | 6/19/18 | 151,849 | ||||||||||||||
Goldman Sachs Bank USA | GBP | 13,176 | USD | 18,363 | 6/19/18 | 182,240 | ||||||||||||||
Goldman Sachs Bank USA | EUR | 16,172 | USD | 19,687 | 6/19/18 | 88,272 | ||||||||||||||
Goldman Sachs Bank USA | NOK | 4,125 | USD | 532 | 6/19/18 | 17,186 | ||||||||||||||
Goldman Sachs Bank USA | AUD | 732 | USD | 571 | 6/19/18 | 19,619 | ||||||||||||||
Goldman Sachs Bank USA | USD | 20,225 | GBP | 14,666 | 6/19/18 | 11,582 | ||||||||||||||
Goldman Sachs Bank USA | USD | 1,501 | AUD | 1,939 | 6/19/18 | (41,330 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 3,075 | PLN | 10,468 | 6/19/18 | (90,712 | ) |
14 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Goldman Sachs Bank USA | USD | 3,308 | TRY | 13,015 | 6/19/18 | $ | (150,714 | ) | ||||||||||||
Goldman Sachs Bank USA | USD | 10,528 | CAD | 13,438 | 6/19/18 | (49,962 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 37,131 | PHP | 1,947,982 | 5/30/18 | 528,588 | ||||||||||||||
Goldman Sachs Bank USA | USD | 16,928 | TRY | 70,277 | 6/19/18 | 120,108 | ||||||||||||||
Goldman Sachs Bank USA | USD | 6,439 | MXN | 123,707 | 6/19/18 | 126,801 | ||||||||||||||
Goldman Sachs Bank USA | USD | 6,550 | IDR | 90,899,788 | 7/26/18 | (82,312 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 2,771 | GBP | 1,987 | 6/19/18 | (29,299 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | SEK | 193,664 | USD | 23,597 | 6/19/18 | 1,401,025 | ||||||||||||||
Morgan Stanley & Co., Inc. | HKD | 13,533 | USD | 1,731 | 6/19/18 | 5,283 | ||||||||||||||
Morgan Stanley & Co., Inc. | USD | 1,241 | SEK | 10,183 | 6/19/18 | (73,667 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 17,483 | JPY | 1,856,257 | 6/19/18 | (448,327 | ) | |||||||||||||
Nomura Global Financial Products, Inc. | THB | 65,748 | USD | 2,107 | 6/19/18 | 20,985 | ||||||||||||||
Standard Chartered Bank | BRL | 2,200 | USD | 632 | 5/03/18 | 3,987 | ||||||||||||||
Standard Chartered Bank | USD | 665 | BRL | 2,200 | 5/03/18 | (37,418 | ) | |||||||||||||
Standard Chartered Bank | USD | 6,200 | CNY | 39,221 | 7/19/18 | (23,905 | ) | |||||||||||||
State Street Bank & Trust Co. | THB | 335,017 | USD | 10,644 | 6/19/18 | 14,890 | ||||||||||||||
State Street Bank & Trust Co. | JPY | 60,587 | USD | 574 | 6/19/18 | 18,020 | ||||||||||||||
State Street Bank & Trust Co. | MYR | 10,872 | USD | 2,812 | 7/12/18 | 63,555 | ||||||||||||||
State Street Bank & Trust Co. | SEK | 15,073 | USD | 1,856 | 6/19/18 | 128,477 | ||||||||||||||
State Street Bank & Trust Co. | CZK | 5,981 | USD | 291 | 6/19/18 | 8,582 | ||||||||||||||
State Street Bank & Trust Co. | HKD | 2,523 | USD | 324 | 6/19/18 | 1,882 | ||||||||||||||
State Street Bank & Trust Co. | JPY | 1,100 | USD | 10 | 7/13/18 | 262 | ||||||||||||||
State Street Bank & Trust Co. | AUD | 738 | USD | 578 | 6/19/18 | 22,104 | ||||||||||||||
State Street Bank & Trust Co. | SGD | 360 | USD | 275 | 6/19/18 | 3,631 | ||||||||||||||
State Street Bank & Trust Co. | CHF | 565 | USD | 613 | 6/19/18 | 40,724 | ||||||||||||||
State Street Bank & Trust Co. | NZD | 286 | USD | 210 | 6/19/18 | 8,321 | ||||||||||||||
State Street Bank & Trust Co. | CAD | 370 | USD | 289 | 6/19/18 | (137 | ) | |||||||||||||
State Street Bank & Trust Co. | GBP | 262 | USD | 368 | 6/19/18 | 6,548 | ||||||||||||||
State Street Bank & Trust Co. | CAD | 248 | USD | 195 | 6/19/18 | 2,087 | ||||||||||||||
State Street Bank & Trust Co. | EUR | 45 | USD | 56 | 6/19/18 | 1,281 | ||||||||||||||
State Street Bank & Trust Co. | USD | 402 | NZD | 552 | 6/19/18 | (13,546 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 618 | CHF | 585 | 6/19/18 | (25,435 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 931 | GBP | 655 | 6/19/18 | (26,860 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 362 | CAD | 459 | 6/19/18 | (3,612 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 572 | EUR | 459 | 6/19/18 | (16,133 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 420 | AUD | 539 | 6/19/18 | (13,679 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 906 | SEK | 7,315 | 6/19/18 | (67,515 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 11,094 | NOK | 86,099 | 6/19/18 | (343,997 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 288 | CZK | 5,981 | 6/19/18 | (5,505 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 4,081 | MYR | 16,054 | 7/12/18 | (22,055 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | 4,384,381 | |||||||||||||||||||
|
|
INTEREST RATE SWAPTIONS WRITTEN (see Note D)
Description | Index | Counter- Party | Strike Rate | Expiration Date | Notional Amount (000) | Premiums | Market Value | |||||||||||||||||
Put |
| |||||||||||||||||||||||
OTC -1 Year Interest Rate Swap | 6 Month EURIBOR | Goldman Sachs International | 1.20 | % | 1/21/19 | USD | 40,660 | $ | 49,192 | $ | (46,090 | ) |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 15 |
CONSOLIDATED 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) | |||||||||||||||||||||
SEK | 149,410 | 12/06/27 | 3 Month STIBOR | 1.083% | | Quarterly/ Semi-Annual | $ | (107,097 | ) | $ | (94 | ) | $ | (107,003 | ) | |||||||||||||
NOK | 126,050 | 12/06/27 | 6 Month NIBOR | 1.795% | | Quarterly/ Semi-Annual | (547,367 | ) | – 0 | – | (547,367 | ) | ||||||||||||||||
CHF | 160 | 1/11/28 | 0.270% | 6 Month LIBOR | | Quarterly/ Semi-Annual | 2,510 | 36 | 2,474 | |||||||||||||||||||
NZD | 9,350 | 3/05/28 | 3 Month BKBM | 3.195% | | Quarterly/ Semi-Annual | 20,011 | – 0 | – | 20,011 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (631,943 | ) | $ | (58 | ) | $ | (631,885 | ) | ||||||||||||||||||||
|
|
|
|
|
|
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||||||
Barclays Bank PLC |
| |||||||||||||||||||||||||
Barclays Commodity Hedging Insights 2 | 2,999 | 0.02 | % | Maturity | USD | 580 | 9/17/18 | $ | (9,980 | ) | ||||||||||||||||
Barclays Commodity Hedging Insights 2 | 54,695 | 0.02 | % | Quarterly | USD | 10,589 | 10/15/18 | (192,811 | ) | |||||||||||||||||
Barclays Commodity Hedging Insights 2 | 61,596 | 0.02 | % | Maturity | USD | 12,200 | 2/15/19 | (492,306 | ) | |||||||||||||||||
Barclays Commodity Strategy 1673 Index | 5,702 | 0.30 | % | Maturity | USD | 3,310 | 9/17/18 | (23,244 | ) | |||||||||||||||||
Barclays Commodity Strategy 1673 Index | 8,599 | 0.30 | % | Quarterly | USD | 4,939 | 10/15/18 | 17,771 | ||||||||||||||||||
Barclays Commodity Strategy 1673 Index | 7,505 | 0.30 | % | Maturity | USD | 4,400 | 2/15/19 | (74,420 | ) |
16 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty & Referenced Obligation | # of Shares or Units | Rate Paid/ Received | Payment Frequency | Notional Amount (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||
Goldman Sachs Commodity Trend 10% Volatility Target Excess Return Strategy | 7,527 | 0.00 | % | Maturity | USD | 760 | 9/17/18 | $ | 845 | |||||||||||||||||||
Goldman Sachs Commodity Trend 10% Volatility Target Excess Return Strategy | 30,935 | 0.00 | % | Quarterly | USD | 3,100 | 10/15/18 | 25,117 | ||||||||||||||||||||
Goldman Sachs Commodity Trend 10% Volatility Target Excess Return Strategy | 29,645 | 0.00 | % | Maturity | USD | 3,100 | 2/15/19 | (105,224 | ) | |||||||||||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||||||||||||
JPMorgan Cross Sectional Momentum R | 3,601 | 0.48 | % | Maturity | USD | 810 | 9/17/18 | (11,249 | ) | |||||||||||||||||||
JPMorgan Cross Sectional Momentum R | 22,592 | 0.48 | % | Quarterly | USD | 5,017 | 10/15/18 | (6,000 | ) | |||||||||||||||||||
JPMorgan Cross Sectional Momentum R | 22,984 | 0.48 | % | Maturity | USD | 5,100 | 2/15/19 | (1,946 | ) | |||||||||||||||||||
JPMorgan JMABRF34 Index | 574 | 0.60 | % | Maturity | USD | 1,009 | 9/17/18 | (7,659 | ) | |||||||||||||||||||
JPMorgan JMABRF34 Index | 6,445 | 0.60 | % | Quarterly | USD | 11,364 | 10/15/18 | (115,951 | ) | |||||||||||||||||||
JPMorgan JMABRF34 Index | 6,912 | 0.60 | % | Maturity | USD | 11,800 | 2/15/19 | 262,878 | ||||||||||||||||||||
JPMorgan RCI��– 24 Alpha | 8,718 | 0.50 | % | Maturity | USD | 2,450 | 9/17/18 | (23,014 | ) | |||||||||||||||||||
JPMorgan RCI – 24 Alpha | 15,775 | 0.50 | % | Quarterly | USD | 4,394 | 10/15/18 | (2,680 | ) | |||||||||||||||||||
JPMorgan RCI – 24 Alpha | 14,624 | 0.50 | % | Maturity | USD | 4,200 | 2/15/19 | (128,691 | ) | |||||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||||||
MS Bespoke Equity Factors Gross Index | 245,794 | 0.30 | % | Annual | USD | 42,250 | 7/16/18 | (1,093,379 | ) | |||||||||||||||||||
MS Bespoke Equity Factors Gross Index | 242,985 | 0.30 | % | Annual | USD | 42,200 | 8/15/18 | (1,505,492 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (3,487,435 | ) | ||||||||||||||||||||||||||
|
|
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 17 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
VARIANCE SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Volatility Strike Price | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||||||
Nasdaq 100 Stock Index 7/20/18* | 24.15 | % | Maturity | USD | 2 | $ | (113,878 | ) | $ | – 0 | – | $ | (113,878 | ) | ||||||||||||||
Nikkei 225 Index 6/8/18* | 23.40 | Maturity | JPY | 132 | (380,243 | ) | – 0 | – | (380,243 | ) | ||||||||||||||||||
S&P 500 Index 7/20/18* | 18.15 | Maturity | USD | 3 | 39,856 | – 0 | – | 39,856 | ||||||||||||||||||||
Goldman Sachs Bank USA |
| |||||||||||||||||||||||||||
S&P/ASX 200 Index 7/19/18* | 13.00 | Maturity | AUD | 2 | 5,586 | – 0 | – | 5,586 | ||||||||||||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||||||||||||
S&P/ASX 200 Index 5/17/18* | 17.20 | Maturity | AUD | 2 | (242,247 | ) | – 0 | – | (242,247 | ) | ||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||
S&P/ASX 200 Index 6/21/18* | 16.70 | Maturity | AUD | 3 | (286,539 | ) | – 0 | – | (286,539 | ) | ||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Bank of America, NA | ||||||||||||||||||||||||||||
Nasdaq 100 Stock Index 5/18/18* | 21.00 | Maturity | USD | 1 | (22,777 | ) | �� 0 | – | (22,777 | ) | ||||||||||||||||||
Citibank, NA | ||||||||||||||||||||||||||||
Nasdaq 100 Stock Index 5/18/18* | 19.20 | Maturity | USD | 1 | (120,457 | ) | – 0 | – | (120,457 | ) | ||||||||||||||||||
Nikkei 225 Index 5/11/18* | 19.90 | Maturity | JPY | 124 | 282,874 | – 0 | – | 282,874 | ||||||||||||||||||||
Nikkei 225 Index 5/11/18* | 16.90 | Maturity | JPY | 41 | 50,897 | – 0 | – | 50,897 | ||||||||||||||||||||
S&P/ASX 200 Index 5/17/18* | 14.35 | Maturity | AUD | 2 | 129,085 | – 0 | – | 129,085 | ||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||
Euro STOXX 50 Index 5/18/18* | 13.30 | Maturity | EUR | 0 | ** | 30,123 | – 0 | – | 30,123 | |||||||||||||||||||
Goldman Sachs Bank USA |
| |||||||||||||||||||||||||||
S&P/ASX 200 Index 6/21/18* | 11.60 | Maturity | AUD | 3 | (39,226 | ) | – 0 | – | (39,226 | ) | ||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||
Nikkei 225 Index 6/8/18* | 20.41 | Maturity | JPY | 132 | 222,364 | – 0 | – | 222,364 | ||||||||||||||||||||
JPMorgan Chase Bank, NA |
| |||||||||||||||||||||||||||
S&P/ASX 200 Index 5/17/18* | 13.41 | Maturity | AUD | 1 | 30,116 | – 0 | – | 30,116 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (414,466 | ) | $ | – 0 | – | $ | (414,466 | ) | ||||||||||||||||||||
|
|
|
|
|
|
18 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
* | Termination date |
** | Notional amount less than $500. |
(a) | Non-income producing security. |
(b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2018, the aggregate market value of these securities amounted to $542,640 or 0.3% of net assets. |
(c) | Affiliated investments. |
(d) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(e) | The rate shown represents the 7-day yield as of period end. |
(f) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
Currency Abbreviations:
ARS – Argentine Peso |
AUD – Australian Dollar |
BRL – Brazilian Real |
CAD – Canadian Dollar |
CHF – Swiss Franc |
CLP – Chilean Peso |
CNY – Chinese Yuan Renminbi |
COP – Colombian Peso |
CZK – Czech Koruna |
EUR – Euro |
GBP – Great British Pound |
HKD – Hong Kong Dollar |
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 |
SGD – Singapore Dollar |
THB – Thailand Baht |
TRY – Turkish Lira |
TWD – New Taiwan Dollar |
USD – United States Dollar |
ZAR – South African Rand |
Glossary:
ASX – Australian Stock Exchange |
BKBM – Bank Bill Benchmark (New Zealand) |
CAC – Cotation Assistée en Continu (Continuous Assisted Quotation) |
CBT – Chicago Board of Trade |
DAX – Deutscher Aktien Index (German Stock Index) |
EAFE – Europe, Australia, and Far East |
ETS – Emission Trading Scheme |
EURIBOR – Euro Interbank Offered Rate |
FTSE – Financial Times Stock Exchange |
IBEX – International Business Exchange |
IRS – Interest Rate Swaption |
LIBOR – London Interbank Offered Rates |
MIB – Milano Italia Borsa |
MSCI – Morgan Stanley Capital International |
NASDAQ – National Association of Securities Dealers Automated Quotations |
NIBOR – Norwegian Interbank Offered Rate |
OMXS – Stockholm Stock Exchange |
OSE – Osaka Securities Exchange |
REG – Registered Shares |
REIT – Real Estate Investment Trust |
SPI – Share Price Index |
STIBOR – Stockholm Interbank Offered Rate |
TOPIX – Tokyo Price Index |
TSX – Toronto Stock Exchange |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 19 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
The following table represents the 50 largest equity basket holdings underlying the total return swap with MS (Morgan Stanley) Bespoke Equity Factors Gross as of April 30, 2018.
Security Description | Shares | Market Value as of 4/30/18 | Percent of Basket’s Net Assets | |||||||||
MS Bespoke Equity Factors Gross | ||||||||||||
General Electric Co. | 78,284 | $ | 1,101,450 | 0.5 | % | |||||||
Valero Energy Corp. | 8,292 | 919,801 | 0.4 | % | ||||||||
Mattel, Inc. | 61,887 | 915,923 | 0.4 | % | ||||||||
Chipotle Mexican Grill, Inc. | 2,122 | 898,435 | 0.4 | % | ||||||||
RioCan Real Estate Investment Trust | 48,062 | 875,419 | 0.4 | % | ||||||||
Equinix, Inc. | 2,020 | 849,963 | 0.3 | % | ||||||||
H&R Real Estate Investment Trust | 52,516 | 844,709 | 0.3 | % | ||||||||
TESARO Inc | 16,134 | 821,380 | 0.3 | % | ||||||||
AGNC Investment Corp. | 42,921 | 812,073 | 0.3 | % | ||||||||
Schlumberger Ltd. | 11,773 | 807,154 | 0.3 | % | ||||||||
Halliburton Co. | 14,479 | 767,263 | 0.3 | % | ||||||||
Seagate Technology PLC | 13,237 | 766,287 | 0.3 | % | ||||||||
Crown Castle International Corp. | 7,502 | 756,679 | 0.3 | % | ||||||||
Coty, Inc. | 43,167 | 748,950 | 0.3 | % | ||||||||
AltaGas Ltd. | 38,654 | 746,277 | 0.3 | % | ||||||||
Liberty Global PLC – Class A | 24,718 | 745,007 | 0.3 | % | ||||||||
PG&E Corp. | 15,922 | 734,008 | 0.3 | % | ||||||||
Under Armour, Inc. – Class C | 47,285 | 725,823 | 0.3 | % | ||||||||
Incyte Corp. | 11,392 | 705,633 | 0.3 | % | ||||||||
Tesla, Inc. | 2,401 | 705,553 | 0.3 | % | ||||||||
Liberty Global PLC – Class C | 23,451 | 682,429 | 0.3 | % | ||||||||
Metro, Inc. | 21,206 | 673,926 | 0.3 | % | ||||||||
Under Armour, Inc. – Class A | 36,967 | 656,528 | 0.3 | % | ||||||||
CenterPoint Energy, Inc. | 25,474 | 645,254 | 0.3 | % | ||||||||
HollyFrontier Corp. | 10,546 | 640,054 | 0.3 | % | ||||||||
Eastman Chemical Co. | 6,240 | 636,955 | 0.3 | % | ||||||||
SVB Financial Group | 2,099 | 628,868 | 0.3 | % | ||||||||
Enagas SA | 21,470 | 626,195 | 0.3 | % | ||||||||
Ralph Lauren Corp. | 5,524 | 606,827 | 0.3 | % | ||||||||
Continental Resources, Inc./OK | 9,185 | 606,778 | 0.3 | % | ||||||||
Quest Diagnostics, Inc. | 5,973 | 604,421 | 0.3 | % | ||||||||
SmartCentres Real Estate Investment Trust | 26,723 | 600,363 | 0.2 | % | ||||||||
Intel Corp. | 11,578 | 597,659 | 0.2 | % | ||||||||
Twenty-First Century Fox, Inc. | 16,536 | 596,455 | 0.2 | % | ||||||||
Wells Fargo & Co. | 11,437 | 594,284 | 0.2 | % | ||||||||
Arthur J Gallagher & Co. | 8,460 | 592,124 | 0.2 | % | ||||||||
NIKE, Inc. | 8,646 | 591,284 | 0.2 | % | ||||||||
FLIR Systems, Inc. | 10,997 | 588,891 | 0.2 | % | ||||||||
Jack Henry & Associates, Inc. | 4,924 | 588,360 | 0.2 | % | ||||||||
Coca-Cola Co. (The) | 13,570 | 586,370 | 0.2 | % | ||||||||
Allergan PLC | 3,783 | 581,268 | 0.2 | % | ||||||||
Honeywell International, Inc. | 3,980 | 575,795 | 0.2 | % | ||||||||
Axalta Coating Systems Ltd. | 18,416 | 569,061 | 0.2 | % | ||||||||
T Rowe Price Group, Inc. | 4,990 | 567,978 | 0.2 | % | ||||||||
American Tower Corp. | 4,100 | 559,109 | 0.2 | % | ||||||||
Newfield Exploration Co. | 18,722 | 557,925 | 0.2 | % | ||||||||
National Grid PLC | 47,969 | 556,841 | 0.2 | % | ||||||||
Power Corp. of Canada | 23,146 | 550,860 | 0.2 | % |
20 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Shares | Market Value as of 4/30/18 | Percent of Basket’s Net Assets | |||||||||
First Capital Realty, Inc. | 34,984 | $ | 547,697 | 0.2 | % | |||||||
Xerox Corp. | 17,310 | 544,384 | 0.2 | % | ||||||||
Other | 10,020,381 | 216,160,789 | 86.3 | % | ||||||||
|
|
|
| |||||||||
Total | $ | 250,363,519 | 100.0 | % | ||||||||
|
|
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 21 |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
April 30, 2018 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $110,040,308) | $ | 111,655,490 | ||
Affiliated issuers (cost $27,657,114) | 27,657,114 | |||
Cash | 22,276 | |||
Cash collateral due from broker | 13,884,075 | |||
Foreign currencies, at value (cost $1,657,676) | 1,579,796 | |||
Receivable for variation margin on centrally cleared swaps | 10,674,005 | |||
Unrealized appreciation on forward currency exchange contracts | 9,188,095 | |||
Receivable for investment securities sold and foreign currency transactions | 4,661,283 | |||
Unrealized appreciation on variance swaps | 790,901 | |||
Receivable for variation margin on futures | 320,646 | |||
Unrealized appreciation on total return swaps | 306,611 | |||
Unaffiliated dividends and interest receivable | 143,939 | |||
Affiliated dividends receivable | 27,869 | |||
Receivable for terminated total return swaps | 5,920 | |||
|
| |||
Total assets | 180,918,020 | |||
|
| |||
Liabilities | ||||
Swaptions written, at value (premiums received $49,192) | 46,090 | |||
Payable for investment securities purchased and foreign currency transactions | 5,239,101 | |||
Unrealized depreciation on forward currency exchange contracts | 4,803,714 | |||
Unrealized depreciation on total return swaps | 3,794,046 | |||
Cash collateral due to broker | 1,700,000 | |||
Unrealized depreciation on variance swaps | 1,205,367 | |||
Advisory fee payable | 76,016 | |||
Administrative fee payable | 18,107 | |||
Transfer Agent fee payable | 3,938 | |||
Directors’ fees payable | 3,397 | |||
Payable for terminated total return swaps | 1,007 | |||
Distribution fee payable | 9 | |||
Accrued expenses | 83,566 | |||
|
| |||
Total liabilities | 16,974,358 | |||
|
| |||
Net Assets | $ | 163,943,662 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 2,043 | ||
Additional paid-in capital | 177,636,757 | |||
Distributions in excess of net investment income | (823,883 | ) | ||
Accumulated net realized loss on investment | (15,705,147 | ) | ||
Net unrealized appreciation on investments and | 2,833,892 | |||
|
| |||
$ | 163,943,662 | |||
|
|
See notes to consolidated financial statements.
22 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—11 billion shares of capital stock authorized, $.0001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 9,562 | 1,197 | $ | 7.99 | * | ||||||
| ||||||||||||
C | $ | 9,338 | 1,189 | $ | 7.85 | |||||||
| ||||||||||||
Advisor | $ | 163,924,762 | 20,427,085 | $ | 8.02 | |||||||
|
* | The maximum offering price per share for Class A shares was $8.34 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 23 |
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended April 30, 2018 (unaudited)
Investment Income | ||||||||
Dividends | ||||||||
Unaffiliated issuers (net of foreign taxes withheld of $29,640) | $ | 838,965 | ||||||
Affiliated issuers | 176,664 | |||||||
Interest | 56,776 | $ | 1,072,405 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 754,848 | |||||||
Distribution fee—Class A | 12 | |||||||
Distribution fee—Class C | 46 | |||||||
Transfer agency—Class C | 2 | |||||||
Transfer agency—Advisor Class | 16,032 | |||||||
Custodian | 113,008 | |||||||
Administrative | 60,770 | |||||||
Audit and tax | 48,450 | |||||||
Legal | 23,022 | |||||||
Recoupment of previously reimbursed expenses (see Note B) | 14,954 | |||||||
Directors’ fees | 14,217 | |||||||
Printing | 8,401 | |||||||
Registration fees | 6,312 | |||||||
Miscellaneous | 15,823 | |||||||
|
| |||||||
Total expenses before interest expense | 1,075,897 | |||||||
Interest expense | 10,208 | |||||||
|
| |||||||
Total expenses | 1,086,105 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (95,077 | ) | ||||||
|
| |||||||
Net expenses | 991,028 | |||||||
|
| |||||||
Net investment income | 81,377 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | 5,896,684 | |||||||
Forward currency exchange contracts | (5,858,079 | ) | ||||||
Futures | (11,435,560 | ) | ||||||
Swaps | (3,627,192 | ) | ||||||
Foreign currency transactions | 1,104,384 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | (1,260,020 | ) | ||||||
Forward currency exchange contracts | 3,867,098 | |||||||
Futures | 5,222,125 | |||||||
Swaps | (3,933,327 | ) | ||||||
Swaptions written | 3,102 | |||||||
Foreign currency denominated assets and liabilities | 6,138 | |||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (10,014,647 | ) | ||||||
|
| |||||||
Contributions from Affiliates (see Note B) | 254,983 | |||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (9,678,287 | ) | |||||
|
|
See notes to consolidated financial statements.
24 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2018 (unaudited) | Year Ended October 31, 2017 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 81,377 | $ | 295,216 | ||||
Net realized loss on investment and foreign currency transactions | (13,919,763 | ) | (4,454,468 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 3,905,116 | (1,707,198 | ) | |||||
Contributions from Affiliates (see Note B) | 254,983 | 78 | ||||||
|
|
|
| |||||
Net decrease in net assets from operations | (9,678,287 | ) | (5,866,372 | ) | ||||
Distributions to Shareholders from | ||||||||
Net investment income |
| |||||||
Class A | – 0 | – | (1,628 | ) | ||||
Class C | – 0 | – | (1,550 | ) | ||||
Advisor Class | – 0 | – | (2,971,914 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) | (55,696,928 | ) | 219,638,609 | |||||
|
|
|
| |||||
Total increase (decrease) | (65,375,215 | ) | 210,797,145 | |||||
Net Assets | ||||||||
Beginning of period | 229,318,877 | 18,521,732 | ||||||
|
|
|
| |||||
End of period (including distributions in excess of net investment income of ($823,883) and ($905,260), respectively) | $ | 163,943,662 | $ | 229,318,877 | ||||
|
|
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 25 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
April 30, 2018 (unaudited)
NOTE A
Significant Accounting Policies
AB Cap Fund, Inc. (the “Company”), which is a Maryland corporation, is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company operates as a series company currently comprised of 28 portfolios. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB All Market Alternative Return Portfolio (the “Fund”), a non-diversified portfolio. 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 Alternative Return (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 Strategy 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 April 30, 2018, net assets of the Fund were $163,943,662, of which $17,481,929, or 11%, represented the Fund’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements of AB All Market Alternative Return Portfolio and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. No classes are being publicly offered. Class B, Class R, Class K, Class I, Class Z, Class T, Class 1 or Class 2 shares have not been issued. As of April 30, 2018, AllianceBernstein L.P. (the “Adviser”), was the sole shareholder of Class A and Class C shares. 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 April 10, 2017, Class C shares will automatically convert 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 eleven 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
26 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
rights with respect to its distribution plan. The consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Such factors the Committee will
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 27 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on 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
28 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 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 April 30, 2018:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Information Technology | $ | 9,162,416 | $ | 1,988,169 | $ | – 0 | – | $ | 11,150,585 | |||||||
Financials | 7,099,420 | 3,663,826 | – 0 | – | 10,763,246 | |||||||||||
Consumer Discretionary | 4,111,894 | 5,642,365 | – 0 | – | 9,754,259 | |||||||||||
Health Care | 6,173,473 | 3,097,188 | – 0 | – | 9,270,661 | |||||||||||
Industrials | 3,985,581 | 3,718,999 | – 0 | – | 7,704,580 | |||||||||||
Energy | 3,762,470 | 1,938,804 | – 0 | – | 5,701,274 | |||||||||||
Consumer Staples | 2,057,620 | 2,579,507 | – 0 | – | 4,637,127 | |||||||||||
Materials | 2,612,540 | 1,366,621 | – 0 | – | 3,979,161 | |||||||||||
Telecommunication Services | 1,426,519 | 420,655 | – 0 | – | 1,847,174 | |||||||||||
Utilities | 365,664 | 720,658 | – 0 | – | 1,086,322 | |||||||||||
Real Estate | 408,068 | 360,010 | – 0 | – | 768,078 | |||||||||||
Options Purchased – Puts | – 0 | – | 119,266 | – 0 | – | 119,266 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Governments – Treasuries | – 0 | – | 30,995,191 | – 0 | – | 30,995,191 | ||||||||||
Investment Companies | 27,657,114 | – 0 | – | – 0 | – | 27,657,114 | ||||||||||
U.S. Treasury Bills | – 0 | – | 13,878,566 | – 0 | – | 13,878,566 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 68,822,779 | 70,489,825 | – 0 | – | 139,312,604 |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 29 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | $ | 1,322,763 | $ | 927,513 | $ | – 0 | – | $ | 2,250,276 | (b) | ||||||
Forward Currency Exchange Contracts | – 0 | – | 9,188,095 | – 0 | – | 9,188,095 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 22,521 | – 0 | – | 22,521 | (b) | |||||||||
Total Return Swaps | – 0 | – | 306,611 | – 0 | – | 306,611 | ||||||||||
Variance Swaps | – 0 | – | 790,901 | – 0 | – | 790,901 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (679,613 | ) | (228,946 | ) | – 0 | – | (908,559 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (4,803,714 | ) | – 0 | – | (4,803,714 | ) | ||||||||
Interest Rate Swaptions | – 0 | – | (46,090 | ) | – 0 | – | (46,090 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (654,464 | ) | – 0 | – | (654,464 | )(b) | ||||||||
Total Return Swaps | – 0 | – | (3,794,046 | ) | – 0 | – | (3,794,046 | ) | ||||||||
Variance Swaps | – 0 | – | (1,205,367 | ) | – 0 | – | (1,205,367 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total(c) | $ | 69,465,929 | $ | 70,992,839 | $ | – 0 | – | $ | 140,458,768 | |||||||
|
|
|
|
|
|
|
|
(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 and 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. Centrally cleared swaps with upfront premiums are presented here at market value. |
(c) | There were no transfers between any levels during the reporting period. |
The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.
The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.
30 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.
In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).
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
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 31 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 tax year and the prior tax years) and has concluded that no provision for income tax is required in the Fund’s consolidated financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .75% of the Fund’s average
32 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
daily net assets. Effective February 3, 2017, the advisory fee was reduced from 1.00% to .75% of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding expenses associated with securities sold short, acquired fund fees and expenses other than the advisory fees of any AB Mutual Funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the “Expense Caps”) to 1.24%, 1.99%, and .99% of daily average net assets for Class A, Class C, and Advisor Class shares, respectively. Effective February 3, 2017, the Expense Caps were reduced from 1.55% to 1.24%, 2.30% to 1.99%, and 1.30% to .99% of daily average net assets for Class A, Class C, and Advisor Class shares, respectively. For the six months ended April 30, 2018, such reimbursements/waivers amounted to $30,467. The Expense Caps may not be terminated by the Adviser before February 28, 2019. Any fees waived and expenses borne by the Adviser are subject to repayment by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne; such waivers that are subject to repayment amounted to $213,895 for the fiscal period ended October 31, 2015 and $372,690 for the year ended October 31, 2016. During the six months ended April 30, 2018, the fund made repayments to the Adviser in the amount of $14,954. In any case, no reimbursement payment will be made that would cause the Fund’s total annual operating expenses to exceed the net fee percentages set forth above.
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 April 30, 2018, the reimbursement for such services amounted to $60,770. For the six months ended April 30, 2018, the Adviser voluntarily waived such fees in the amount of $34,017.
During the six months ended April 30, 2018 and the year ended October 31, 2017, the Adviser reimbursed the Fund $254,983 and $78, respectively, for trading losses incurred due to a trade entry error.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,000 for the six months ended April 30, 2018.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 33 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The Distributor has advised the Fund that it has retained front-end sales charges of $0 from the sale of Class A shares and received $0 and $0 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2018.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. In connection with the investment by the Fund in the Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2018, such waiver amounted to $30,593.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2018 is as follows:
Fund | Market Value 10/31/17 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/18 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 39,743 | $ | 126,732 | $ | 138,818 | $ | 27,657 | $ | 177 |
Brokerage commissions paid on investment transactions for the six months ended April 30, 2018 amounted to $146,584, of which $0 and $0, respectively, was paid to Sanford C. Bernstein & Co. LLC and Sanford C. Bernstein Limited, affiliates of the Adviser.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% 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. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs
34 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
reimbursed by the Fund in the amount of $0 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2018 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding | $ | 75,213,248 | $ | 122,438,989 | ||||
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 | $ | 16,849,598 | ||
Gross unrealized depreciation | (14,039,002 | ) | ||
|
| |||
Net unrealized appreciation | $ | 2,810,596 | ||
|
|
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:
• | 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”.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 35 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 April 30, 2018, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
36 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the consolidated statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2018, the Fund held futures 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. 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
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 37 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties.
During the six months ended April 30, 2018, the Fund held purchased swaptions for hedging and non-hedging purposes. During the six months ended April 30, 2018, the Fund held written 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 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
38 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the consolidated statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the consolidated statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received are recognized as cost or proceeds on the consolidated statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the consolidated statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the consolidated statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 39 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 April 30, 2018, the Fund held interest rate 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 April 30, 2018, 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
40 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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 April 30, 2018, 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, 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 tables below for additional details.
During the six months ended April 30, 2018, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 32,040 | * | Receivable/Payable for variation margin on futures | $ | 432,923 | * |
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 41 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 2,165,238 | * | Receivable/Payable for variation margin on futures | $ | 445,594 | * | ||||
Commodity contracts | Receivable/Payable for variation margin on futures | | 52,998 | * | Receivable/Payable for variation margin on futures | | 30,042 | * | ||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | | 22,485 | * | Receivable/Payable for variation margin on centrally cleared swaps | | 654,370 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | | 9,188,095 | Unrealized depreciation on forward currency exchange contracts | | 4,803,714 | ||||||
Interest rate contracts | Investments in securities, at value | | 119,266 | |||||||||
Interest rate contracts | Swaptions written, at value | | 46,090 | |||||||||
Commodity contracts | Unrealized appreciation on total return swaps |
| 43,733 |
| Unrealized depreciation on total return swaps |
| 897,985 |
| ||||
Equity contracts | Unrealized appreciation on total return swaps | | 262,878 | Unrealized depreciation on total return swaps | | 2,896,061 | ||||||
Equity contracts | Unrealized appreciation on variance swaps | | 790,901 | Unrealized depreciation on variance swaps | | 1,205,367 | ||||||
|
|
|
| |||||||||
Total | $ | 12,677,634 | $ | 11,412,146 | ||||||||
|
|
|
|
* | 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. |
42 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (816,295 | ) | $ | (299,554 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (10,358,613 | ) | 5,238,071 | ||||||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (260,652 | ) | 283,608 | ||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (5,858,079 | ) | 3,867,098 | ||||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | 5,552 | 1,214 | |||||||
Interest rate contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | – 0 | – | 3,102 | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,938,436 | ) | (102,401 | ) | |||||
Commodity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (280,225 | ) | (687,600 | ) | |||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,408,531 | ) | (3,143,326 | ) | |||||
|
|
|
| |||||||
Total | $ | (20,915,279 | ) | $ | 5,160,212 | |||||
|
|
|
|
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 43 |
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 April 30, 2018:
Futures: | ||||
Average original value of buy contracts | $ | 135,744,577 | ||
Average original value of sale contracts | $ | 262,658,196 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 428,701,156 | ||
Average principal amount of sale contracts | $ | 502,252,700 | ||
Purchased Swaptions: | ||||
Average notional amount | $ | 29,450,251 | (a) | |
Swaptions Written: | ||||
Average notional amount | $ | 49,101,002 | (b) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 160,855,815 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 157,481,952 | ||
Variance Swaps: | ||||
Average notional amount | $ | 4,746,835 |
(a) | Positions were open for three months during the period. |
(b) | Positions were open for one month during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the consolidated statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements and net of the related collateral received/pledged by the Fund as of April 30, 2018. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
All Market Alternative Return Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 803,862 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 803,862 | |||||||
Bank of America, NA | 624,121 | (612,537 | ) | (11,584 | ) | – 0 | – | – 0 | – | |||||||||||
Barclays Bank PLC | 331,800 | (317,712 | ) | – 0 | – | – 0 | – | 14,088 | ||||||||||||
BNP Paribas SA | 76,759 | – 0 | – | – 0 | – | – 0 | – | 76,759 | ||||||||||||
Citibank, NA | 502,712 | (502,712 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 3,578,661 | (2,330,122 | ) | – 0 | – | – 0 | – | 1,248,539 | ||||||||||||
Deutsche Bank AG | 805,126 | – 0 | – | (360,000 | ) | – 0 | – | 445,126 |
44 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | $ | 1,593,461 | $ | (500,346 | ) | $ | (670,000 | ) | $ | – 0 | – | $ | 423,115 | |||||||
JPMorgan Chase Bank, NA | 30,116 | (30,116 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co., Inc. | 1,406,308 | (1,406,308 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Nomura Global Financial Products, Inc. | 20,985 | – 0 | – | – 0 | – | – 0 | – | 20,985 | ||||||||||||
Standard Chartered Bank | 3,987 | (3,987 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 320,364 | (320,364 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 10,098,262 | $ | (6,024,204 | ) | $ | (1,041,584 | ) | $ | – 0 | – | $ | 3,032,474 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
Bank of America, NA | $ | 612,537 | $ | (612,537 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 317,712 | (317,712 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 614,578 | (502,712 | ) | – 0 | – | (111,866 | ) | – 0 | – | |||||||||||
Credit Suisse International | 2,330,122 | (2,330,122 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 500,346 | (500,346 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 271,546 | (30,116 | ) | – 0 | – | (241,430 | ) | – 0 | – | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 3,407,404 | (1,406,308 | ) | – 0 | – | (2,001,096 | ) | – 0 | – | |||||||||||
Standard Chartered Bank | 61,323 | (3,987 | ) | – 0 | – | – 0 | – | 57,336 | ||||||||||||
State Street Bank & Trust Co. | 538,474 | (320,364 | ) | – 0 | – | – 0 | – | 218,110 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 8,654,042 | $ | (6,024,204 | ) | $ | – 0 | – | $ | (2,354,392 | ) | $ | 275,446 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 45 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
AllianceBernstein All Market Alternative Return (Cayman) Ltd.
Counterparty | Derivative Assets Subject to a MA | Derivative Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivatives Assets | |||||||||||||||
Barclays Bank PLC | $ | 17,771 | $ | (17,771 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs International | 25,962 | (25,962 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 262,878 | (262,878 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 306,611 | $ | (306,611 | ) | $ | – 0 | – | $ | – 0 | – | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivative Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivatives Liabilities | |||||||||||||||
Barclays Bank PLC | $ | 792,761 | $ | (17,771 | ) | $ | (774,990 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs International | 105,224 | (25,962 | ) | (79,262 | ) | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 297,190 | (262,878 | ) | (34,312 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,195,175 | $ | (306,611 | ) | $ | (888,564 | ) | $ | – 0 | – | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
46 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 1,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2018 (unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (unaudited) | Year Ended 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares issued in reinvestment of distributions | – 0 | – | 197 | $ | – 0 | – | $ | 1,628 | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | – 0 | – | 197 | $ | – 0 | – | $ | 1,628 | ||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | – 0 | – | 189 | $ | – 0 | – | $ | 1,550 | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | – 0 | – | 189 | $ | – 0 | – | $ | 1,550 | ||||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | – 0 | – | 25,419,522 | $ | – 0 | – | $ | 216,663,517 | ||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of distributions | – 0 | – | 359,361 | – 0 | – | 2,971,914 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (7,149,798 | ) | – 0 | – | (55,696,928 | ) | – 0 | – | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (7,149,798 | ) | 25,778,883 | $ | (55,696,928 | ) | $ | 219,635,431 | ||||||||||||||||
|
At April 30, 2018, certain AB Mutual Funds owned approximately 89% of the Fund’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Fund’s performance.
NOTE F
Risks Involved in Investing in the Fund
Allocation Risk—The allocation of the Fund’s assets among different strategies and asset classes, such as equity securities, debt securities and currencies, may have a significant effect on the Fund’s net asset value, or NAV, when one of these asset classes is performing better or worse than others.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the consolidated statement of assets and liabilities.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 47 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
Short Sale Risk—Short sales involve the risk that the Fund 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 investment in the security, because the price of the security cannot fall below zero. The Fund may not always be able to close out a short position on favorable terms.
Interest Rate Risk and Credit Risk—Interest rate risk is the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income debt securities such as bonds or notes. Increases in interest rates may cause the value of the Fund’s investments to decline. Credit risk is the risk that the issuer or guarantor of a debt security, or the counterparty to a derivative contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The degree of risk for a particular security may be reflected in its credit rating. Credit risk is greater for medium quality and lower-rated securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative risks.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid, and because these investments may be subject to increased economic, political, regulatory, or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
48 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
Real Estate Risk—The Fund’s investments in the real estate market have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs, may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Non-Diversification Risk—The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Fund’s NAV.
Active Trading Risk—The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate is expected to greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 49 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $280 million revolving credit facility (the “Facility”) intended to provide short-term financing if necessary, subject to certain restrictions, in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2018.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2018 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2017 and October 31, 2016 were as follows:
2017 | 2016 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 2,975,092 | $ | 40,501 | ||||
|
|
|
| |||||
Total distributions paid | $ | 2,975,092 | $ | 40,501 | ||||
|
|
|
|
As of October 31, 2017, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (4,612,900 | )(a) | |
Unrealized appreciation/(depreciation) | (2,577,962 | )(b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | (7,190,862 | ) | |
|
|
(a) | As of October 31, 2017, the Fund had a net capital loss carryforward of $4,612,900. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps, the tax treatment of passive foreign investment companies (PFICs), and the recognition for tax purposes of unrealized gains/losses on certain derivative instruments. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses incurred for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of
50 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
October 31, 2017, the Fund had a net long-term capital loss carryforward of $4,612,900 which may be carried forward for an indefinite period.
NOTE I
Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the consolidated financial statements.
NOTE J
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.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 51 |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | March 9, 2015(a) to October 31, 2015 | ||||||||||||||
2017 | 2016 | |||||||||||||||
|
| |||||||||||||||
Net asset value, beginning of period | $ 8.29 | $ 10.25 | $ 9.81 | $ 10.00 | ||||||||||||
|
| |||||||||||||||
Income From Investment Operations | ||||||||||||||||
Net investment income (loss)(b)(c) | .00 | (d) | .00 | (d) | (.05 | ) | (.10 | ) | ||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.31 | ) | (.33 | ) | .24 | (.09 | ) | |||||||||
Contributions from Affiliates | .01 | .00 | (d) | .27 | – 0 | – | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net asset value from operations | (.30 | ) | (.33 | ) | .46 | (.19 | ) | |||||||||
|
| |||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||
Dividends from net investment income | – 0 | – | (1.63 | ) | – 0 | – | – 0 | – | ||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | (.02 | ) | – 0 | – | ||||||||
|
| |||||||||||||||
Total dividends and distributions | – 0 | – | (1.63 | ) | (.02 | ) | – 0 | – | ||||||||
|
| |||||||||||||||
Net asset value, end of period | $ 7.99 | $ 8.29 | $ 10.25 | $ 9.81 | ||||||||||||
|
| |||||||||||||||
Total Return | ||||||||||||||||
Total investment return based on net asset value(e) | (3.74 | )% | (3.22 | )% | 4.73 | %*(f) | (1.90 | )%(f) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $10 | $10 | $10 | $10 | ||||||||||||
Ratio to average net assets of: | ||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h)† | 1.25 | %^ | 1.18 | % | 1.53 | % | 1.55 | %^ | ||||||||
Expenses, before waivers/reimbursements(g)(h)† | 1.33 | %^ | 2.27 | % | 4.01 | % | 3.84 | %^ | ||||||||
Net investment income (loss)(b) | (.11 | )%^ | .03 | % | (.49 | )% | (1.47 | )%^ | ||||||||
Portfolio turnover rate | 84 | % | 224 | % | 429 | % | 2078 | % | ||||||||
† Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying |
| |||||||||||||||
portfolios | .03 | % | .06 | % | | . .03 | % | .00 | % |
See footnote summary on page 55.
52 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | March 9, 2015 | ||||||||||||||
2017 | 2016 | |||||||||||||||
|
| |||||||||||||||
Net asset value, beginning of period | $ 8.18 | $ 10.12 | $ 9.76 | $ 10.00 | ||||||||||||
|
| |||||||||||||||
Income From Investment Operations | ||||||||||||||||
Net investment loss(b)(c) | (.03 | ) | (.06 | ) | (.12 | ) | (.14 | ) | ||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.31 | ) | (.33 | ) | .24 | (.10 | ) | |||||||||
Contributions from Affiliates | .01 | .00 | (d) | .26 | – 0 | – | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net asset value from operations | (.33 | ) | (.39 | ) | .38 | (.24 | ) | |||||||||
|
| |||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||
Dividends from net investment income | – 0 | – | (1.55 | ) | – 0 | – | – 0 | – | ||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | (.02 | ) | – 0 | – | ||||||||
|
| |||||||||||||||
Total dividends and distributions | – 0 | – | (1.55 | ) | (.02 | ) | – 0 | – | ||||||||
|
| |||||||||||||||
Net asset value, end of period | $ 7.85 | $ 8.18 | $ 10.12 | $ 9.76 | ||||||||||||
|
| |||||||||||||||
Total Return | ||||||||||||||||
Total investment return based on net asset value(e) | (4.15 | )% | (3.95 | )%(f) | 3.94 | %*(f) | (2.40 | )%(f) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $9 | $10 | $10 | $10 | ||||||||||||
Ratio to average net assets of: | ||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h)† | 1.99 | % ^ | 1.93 | % | 2.28 | % | 2.30 | % ^ | ||||||||
Expenses, before waivers/reimbursements(g)(h)† | 2.12 | % ^ | 3.10 | % | 4.84 | % | 4.64 | % ^ | ||||||||
Net investment loss(b) | (.89 | )% ^ | (.72 | )% | (1.24 | )% | (2.20 | )% ^ | ||||||||
Portfolio turnover rate | 84 | % | 224 | % | 429 | % | 2078 | % | ||||||||
† Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying |
| |||||||||||||||
portfolios | .03 | % | .06 | % | .03 | % | .00 | % |
See footnote summary on page 55.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 53 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | March 9, 2015 | ||||||||||||||
2017 | 2016 | |||||||||||||||
|
| |||||||||||||||
Net asset value, beginning of period | $ 8.31 | $ 10.29 | $ 9.82 | $ 10.00 | ||||||||||||
|
| |||||||||||||||
Income From Investment Operations | ||||||||||||||||
Net investment income (loss)(b)(c) | .00 | (d) | .02 | (.02 | ) | (.08 | ) | |||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.30 | ) | (.35 | ) | .24 | (.10 | ) | |||||||||
Contributions from Affiliates | .01 | .00 | (d) | .27 | – 0 | – | ||||||||||
|
| |||||||||||||||
Net increase (decrease) in net asset value from operations | (.29 | ) | (.33 | ) | .49 | (.18 | ) | |||||||||
|
| |||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||
Dividends from net investment income | – 0 | – | (1.65 | ) | – 0 | – | – 0 | – | ||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | (.02 | ) | – 0 | – | ||||||||
|
| |||||||||||||||
Total dividends and distributions | – 0 | – | (1.65 | ) | (.02 | ) | – 0 | – | ||||||||
|
| |||||||||||||||
Net asset value, end of period | $ 8.02 | $ 8.31 | $ 10.29 | $ 9.82 | ||||||||||||
|
| |||||||||||||||
Total Return | ||||||||||||||||
Total investment return based on net asset value(e) | (3.61 | )% | (3.04 | )% | 5.03 | %*(f) | (1.80 | )%(f) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $163,925 | $229,299 | $18,502 | $17,657 | ||||||||||||
Ratio to average net assets of: | ||||||||||||||||
Expenses, net of waivers/reimbursements(g)(h)† | .98 | %^ | .94 | % | 1.27 | % | 1.30 | %^ | ||||||||
Expenses, before waivers/reimbursements(g)(h)† | 1.08 | %^ | 1.19 | % | 3.76 | % | 3.57 | %^ | ||||||||
Net investment income (loss)(b) | .08 | %^ | .24 | % | (.24 | )% | (1.21 | )%^ | ||||||||
Portfolio turnover rate | 84 | % | 224 | % | 429 | % | 2078 | % | ||||||||
† Expense ratios exclude the estimated acquired fund fees of affiliated/unaffiliated underlying |
| |||||||||||||||
portfolios | .03 | % | .06 | % | .03 | % | .00 | % |
See footnote summary on page 55.
54 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Commencement of operations. |
(b) | Net of fees and expenses waived/reimbursed by the Adviser. |
(c) | Based on average shares outstanding. |
(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) | 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. |
(g) | In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bear proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for the six months ended April 30, 2018 and year ended October 31, 2017, such waiver amounted to 0.03% and 0.06%, respectively. |
(h) | The expense ratios presented below exclude interest expense: |
Six Months Ended April 30, 2018 (unaudited) | Year Ended October 31, | March 9, 2015(a) to October 31, 2015 | ||||||||||||||
2017 | 2016 | |||||||||||||||
Class A | ||||||||||||||||
Net of waivers | 1.25 | %^ | N/A | 1.52 | % | N/A | ||||||||||
Before waivers | 1.33 | %^ | N/A | 4.00 | % | N/A | ||||||||||
Class C | ||||||||||||||||
Net of waivers | 1.99 | %^ | N/A | 2.27 | % | N/A | ||||||||||
Before waivers | 2.12 | %^ | N/A | 4.83 | % | N/A | ||||||||||
Advisor Class | ||||||||||||||||
Net of waivers | .97 | %^ | N/A | 1.27 | % | N/A | ||||||||||
Before waivers | 1.07 | %^ | N/A | 3.75 | % | N/A |
* | Includes the impact of a voluntary reimbursement from the Adviser for trading losses incurred due to a trade entry error; absent of such payment, the Fund’s performance would have been reduced by 2.71% for the year ended October 31, 2017. |
^ | Annualized. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 55 |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1) , Chairman Michael J. Downey(1) William H. Foulk, Jr.(1) Nancy P. Jacklin(1) | Robert M. Keith, President and Chief Executive Officer Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Brian T. Brugman(2), Vice President Daniel J. Loewy(2), Vice President Joseph J. Mantineo, Treasurer and Chief Financial Officer | Emilie D. Wrapp, Secretary Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Accounting Firm Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
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 are made by its senior investment management team. Messrs. Brugman and Loewy are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
56 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Cap Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB All Market Alternative Return Portfolio (the “Fund”) at a meeting held on August 1-2, 2017 (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 an independent evaluation prepared by the Company’s Senior Officer (who is also the Company’s Independent Compliance Officer), who acted as their independent fee consultant, of the reasonableness of the advisory fee, in which the Senior Officer concluded that the contractual fee for the Fund was reasonable. The directors also discussed the proposed continuance in private sessions with counsel and the Company’s Senior Officer.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 57 |
their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. 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. To date, the Adviser has not requested any reimbursements from the Fund. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Company’s Senior Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for the period ended December 31, 2015 and calendar year 2016 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Company’s Senior Officer. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of advisory contracts
for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
58 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute agency transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed information prepared by an analytical service that is not affiliated with the Adviser (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a peer group and a peer universe, 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-year period ended May 31, 2017 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 paid by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates paid by other funds in the same category as the Fund at a common asset level. 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 pro forma contractual advisory fee rate (reflecting a reduction in the advisory fee rate effective since February 3, 2017) with a peer group median.
The directors also considered the Adviser’s fee schedule for institutional clients pursuing a similar investment style. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and the evaluation from the Company’s Senior Officer and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 59 |
institutional fee schedule, 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.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to funds such as the Fund, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Adviser’s explanation of how it may use ETFs when they are the most cost-effective way to obtain desired exposures for a fund or to “equitize” cash inflows pending purchases of underlying securities, that the advisory fee for the Fund would be paid for services that would be in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
The directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the information included the pro forma expense ratio to reflect a reduction in the Fund’s expense ratio effective since February 3, 2017. The directors considered the effects of any fee waivers and/or expense reimbursements as a result of the Adviser’s expense cap, which had been set at a lower level since the advisory fee reduction that took effect on February 3, 2017. 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 pro forma expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund does not contain breakpoints and that they had discussed their strong preference for breakpoints in advisory contracts with the Adviser. The directors took
60 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and by the Adviser concerning certain of its views on economies of scale. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. The directors informed the Adviser that they would monitor the Fund’s assets (which were well below the level at which they would anticipate adding an initial breakpoint) and its profitability (currently unprofitable) to the Adviser and anticipated revisiting the question of breakpoints in the future if circumstances warranted doing so.
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 61 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
US CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
US GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
US VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
INTERNATIONAL/ GLOBAL CORE
Global Core Equity Portfolio
International Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed International Portfolio
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
INTERNATIONAL/ GLOBAL GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund1
INTERNATIONAL/ GLOBAL EQUITY (continued)
INTERNATIONAL/ GLOBAL VALUE
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 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
FlexFee™ High Yield Portfolio1
FlexFee™ International Bond Portfolio
Global Bond Fund
High Income Fund
Income Fund
Intermediate Bond Portfolio
Limited Duration High Income Portfolio
Short Duration Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
Unconstrained Bond Fund
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
TARGET-DATE
Multi-Manager Select Retirement Allocation Fund
Multi-Manager Select 2010 Fund
Multi-Manager Select 2015 Fund
Multi-Manager Select 2020 Fund
Multi-Manager Select 2025 Fund
Multi-Manager Select 2030 Fund
Multi-Manager Select 2035 Fund
Multi-Manager Select 2040 Fund
Multi-Manager Select 2045 Fund
Multi-Manager Select 2050 Fund
Multi-Manager Select 2055 Fund
CLOSED-END FUNDS
Alliance California Municipal Income Fund
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio1, which serves as the money market fund exchange vehicle for the AB mutual funds. An investment in Government Money Market Portfolio is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to November 10, 2017, Government Money Market Portfolio was named Government Exchange Reserves; prior to January 8, 2018, Sustainable International Thematic Fund was named International Growth Fund; prior to February 23, 2018, FlexFee High Yield Portfolio was named High Yield Portfolio. |
62 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 63 |
NOTES
64 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 65 |
NOTES
66 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
NOTES
abfunds.com | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | 67 |
NOTES
68 | AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO | abfunds.com |
AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
AMAR-0152-0418
ITEM 2. | CODE OF ETHICS. |
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable to the registrant.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. | EXHIBITS. |
The following exhibits are attached to this Form N-CSR:
EXHIBIT NO. | DESCRIPTION OF EXHIBIT | |
12 (b) (1) | Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (b) (2) | Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | |
12 (c) | Certification of Principal Executive Officer and Principal Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): AB Cap Fund, Inc. | ||
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President | ||
Date: | June 26, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Robert M. Keith | |
Robert M. Keith | ||
President | ||
Date: | June 26, 2018 | |
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer | ||
Date: | June 26, 2018 |