SEMI-ANNUAL REPORT AB SICAV II + Diversified Equity Alpha Portfolio + Multi-Strategy Alpha Portfolio + China Equity Portfolio AB SICAV II is an open-ended investment company with variable capital (société d’investissement à capital variable) incorporated under the laws of the Grand Duchy of Luxembourg RCS: B193397 JUN 06.30.16
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SEMI-ANNUAL REPORT
AB SICAV II
+ Diversified Equity Alpha Portfolio
+ Multi-Strategy Alpha Portfolio
+ China Equity Portfolio
AB SICAV II is an open-ended investment company with variable capital (société d’investissement à capital variable) incorporated under the laws of the Grand Duchy of Luxembourg
RCS: B193397
JUN 06.30.16
No subscriptions can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the Key Investor Information Document (“KIID”) and the current prospectus accompanied by the annual report or the most recent semi-annual report, if published thereafter.
No notification pursuant to Sec. 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for the following Portfolios and the shares in these Portfolios may not be marketed to investors in the Federal Republic of Germany:
-China Bond Portfolio*;-China Income Portfolio*; -China Equity Portfolio.
*These Portfolios were not launched as of June 30, 2016.
BHF Bank Aktiengesellschaft, Bockenheimer Landstrasse 10, 60323 Frankfurt am Main, Germany, acts as Paying and Information Agent (the “German Paying and Information Agent”) of the Fund in the Federal Republic of Germany.
The latest prospectus as well as the Key Investor Information Documents of the Fund, the articles of incorporation and the most recent annual and semi-annual reports - each in paper form - may be obtained free of charge at the office of the Germany Paying and Information Agent. The net asset value per share, the issue and redemption prices and any conversion prices as well as any notices to the Shareholders are available free of charge at the office of the Germany Paying and Information Agent.
AB SICAV II
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July 15, 2016
Dear Shareholder,
This report for AB SICAV II (the “Fund”) provides an update for the Diversified Equity Alpha Portfolio, Multi-Strategy Alpha Portfolio and China Equity Portfolio (the “Portfolios”) for the semi-annual reporting period ended June 30, 2016.
Global stocks endured a rough ride before finishing the first half essentially flat for the six-month period. Emerging-market equities outperformed developed-market peers, all in US dollar terms.
Fixed-income markets were also volatile, with global bonds finishing up in absolute terms as economic growth trends and monetary policies in the world’s largest economies continued to diverge and—after initially dropping—commodity prices rebounded due to decreased global supply (helping to spark a rally in emerging-market debt sectors). Developed-market treasuries generally outperformed emerging-market local-currency government bonds and investment-grade credit, but trailed the global high-yield market rally.
For global stocks, the turmoil at the end of the second quarter was reminiscent of how 2016 began. In the first six weeks of the year, worldwide equity markets dropped precipitously, driven
by worries over slowing global growth, China and oversupply in oil.
By the time June closed, markets were similarly roiled—this time by the UK’s surprise decision to leave the European Union. In each case, dramatic recoveries followed the sharp pullbacks, aided by improving global sentiment and conciliatory stances by central banks around the world.
In bond markets, investors initially responded to the UK vote by ditching risk-sensitive assets and taking shelter in safe-haven government debt, though most markets outside of Europe stabilized a few days after the results. Also in June, slower-than-expected US economic data pushed out expectations for a US Federal Reserve rate hike for the rest of 2016 and the Bank of Japan’s inaction disappointed markets that had hoped for additional easing measures.
We appreciate your investment in the Portfolios.
Sincerely,
AllianceBernstein (Luxembourg) S.à r.l., the Management Company of the Fund
The share class performance of each portfolio is based on the net asset value incorporating the impact of expenses reimbursed or waived by the Management Company as of June 30, 2016. No adjustment has been made for sales charges that may apply when shares are purchased or redeemed. Performance for distributing share classes includes the reinvestment of distributions paid during the period. Past performance is no guarantee of future results. Investment return and principal value may fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Return calculated from inception date on:(1) July 23, 2015(2) October 15, 2015(3) October 13, 2015
Share PerformanceJune 30, 2016
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PortfoLio of inveStmentSJune 30, 2016 (unaudited) Diversified Equity Alpha Portfolio
Shares Value Net Assets (USD) %
TRANSFERABLE SECURITIES QUOTED ON A STOCK EXCHANGE OR DEALT IN ON ANOTHER REGULATED MARKETCOMMON STOCKSINFORMATION TECHNOLOGYCOMMUNICATIONS EQUIPMENT
FORWARD FOREIGN CURRENCY CONTRACTS Contracts to In Exchange Unrealized Deliver For Settlement Appreciation/ Counterparty (000) (000) Date (Depreciation)
TOTAL RETURN SWAPS Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
Receive Total Return on Reference ObligationMorgan Stanley & Co., Inc.
Air France-KLM 6,237 EONIA Plus 0.50% EUR 46 7/24/17 $ (12,148)Alaska Air Group, Inc. 598 FedFundEffective Plus 0.35% USD 39 7/24/17 (4,285)Anglo American PLC 9,488 BBA 1 Month LIBOR Plus 0.50% GBP 66 7/24/17 5,062
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PortfoLio of inveStmentS (continued) Diversified Equity Alpha Portfolio
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
Antofagasta PLC 18,139 BBA 1 Month LIBOR Plus 0.50% GBP 85 7/24/17 $ 64Brunswick Corp. 3,883 FedFundEffective Plus 0.35% USD 181 7/24/17 (5,093)Constellation Brands, Inc. 1,142 FedFundEffective Plus 0.50% 167 7/24/17 22,302Louisiana-Pacific Corp. 5,069 FedFundEffective Plus 0.50% 87 7/24/17 612Moncler SPA 501 EURIBOR 1 Month Plus 0.50% EUR 7 7/24/17 435NVR, Inc. 247 BBA 1 Month LIBOR Plus 0.50% USD 374 5/22/17 65,541Peugeot SA 3,153 EURIBOR 1 Month Plus 0.50% EUR 43 7/24/17 (10,036)Plastic Omnium SA 2,073 EURIBOR 1 Month Plus 0.50% 60 7/24/47 (8,740)Rio Tinto PLC 5,994 BBA 1 Month LIBOR Plus 0.50% GBP 115 7/24/17 33,529Wizz Air Holdings PLC 1,925 EURIBOR 1 Month Plus 0.50% 37 1/16/17 (8,325)Wizz Air Holdings PLC 1,795 EURIBOR 1 Month Plus 0.50% 31 3/03/17 (2,865)
Pay Total Return on Reference ObligationCredit Suisse Securities (Europe) Ltd.
AMEX Health Care Select Sector Index 74 BBA 1 Month LIBOR Minus 0.50% USD 53 8/29/16 (135)AMEX Industrial Select Sector Index 238 BBA 1 Month LIBOR Minus 0.45% 134 8/29/16 119AMEX Technology Select Sector Index 521 BBA 1 Month LIBOR Minus 0.45% 227 8/29/16 (172)AT&T, Inc. 480 BBA 1 Month LIBOR Minus 0.35% 18 7/28/16 (2,400)Boeing Co. (The) 550 BBA 1 Month LIBOR Minus 0.35% 72 7/28/16 484Caterpillar, Inc. 436 BBA 1 Month LIBOR Minus 0.35% 34 7/28/16 692Consumer Discretionary Select Sector Index 146 BBA 1 Month LIBOR Minus 0.45% 117 8/29/16 2,116Deere & Co. 201 BBA 1 Month LIBOR Minus 0.35% 17 7/28/16 275Materials Select Sector Index 138 BBA 1 Month LIBOR Minus 0.50% 69 8/29/16 814S&P 500 Index 96 BBA 1 Month LIBOR Minus 0.45% 200 8/29/16 (1,063)S&P Regional Bank Select Industry Index 83 BBA 1 Month LIBOR Minus 0.45% 105 8/29/16 5,377United Parcel Service, Inc. 192 BBA 1 Month LIBOR Minus 0.35% 20 7/28/16 (509)Wal-Mart Stores, Inc. 621 BBA 1 Month LIBOR Minus 0.35% 43 7/28/16 (2,281)
Morgan Stanley & Co., Inc. Acadia Healthcare Co, Inc. 530 FedFundEffective Minus 0.35% USD 30 7/24/17 924Accor SA 2,133 EONIA Minus 0.40% EUR 78 7/24/17 5,268Adobe Systems, Inc. 240 FedFundEffective Minus 0.35% USD 23 7/24/17 68Agile Property Holdings Ltd. 17,800 HONIX Minus 1.50% HKD 85 7/24/17 1,561Air Canada 3,527 CABROVER Minus 0.35% CAD 33 6/13/18 1,015Akorn, Inc. 1,009 FedFundEffective Minus 0.35% USD 30 7/24/17 808Alibaba Group Holding Ltd. 501 FedFundEffective Minus 0.44% 37 7/24/17 (2,685)Ally Financial, Inc. 1,627 FedFundEffective Minus 0.35% 26 7/24/17 (1,814)Altice SA 3,376 EONIA Minus 0.35% EUR 48 11/13/17 2,750American Airlines Group, Inc. 2,177 FedFundEffective Minus 0.35% USD 67 7/24/16 5,232AmTrust Financial Services, Inc. 1,323 FedFundEffective Minus 0.35% 32 7/24/17 (654)Anglo American PLC 2,383 SONIA Overnight Deposit Rate Minus 0.30% GBP 14 7/24/17 (5,124)Anheuser-Busch InBev SA/NV 293 FedFundEffective Minus 0.35% USD 36 7/24/17 (2,736)Antofagasta PLC 3,759 SONIA Overnight Deposit Rate Minus 1.50% GBP 18 7/24/17 106AP Moeller - Maersk A/S 40 1 Week CIBOR Minus 0.40% DKK 377 7/24/17 4,033Ashmore Group PLC 6,667 SONIA Overnight Deposit Rate Minus 3.50% GBP 19 7/24/17 (1,077)ASOS PLC 608 SONIA Overnight Deposit Rate Minus 0.30% 18 7/24/17 (8,666)Asustek Computer, Inc. 2,670 FedFundEffective Minus 0.40% USD 25 7/24/17 2,548AutoNation, Inc. 788 FedFundEffective Minus 0.35% 36 7/24/17 (575)Baidu, Inc. 199 FedFundEffective Minus 0.35% 32 7/24/17 (953)Banco Bradesco SA 5,726 FedFundEffective Minus 0.35% 30 7/24/17 (721)Banco do Brasil SA 9,597 FedFundEffective Minus 1.50% 43 7/24/17 (8,545)Bank of East Asia Ltd. (The) 6,020 HONIX Minus 2.50% HKD 192 7/24/17 1,467Bank of the Ozarks, Inc. 1,056 FedFundEffective Minus 0.35% USD 41 7/24/17 1,476BankUnited, Inc. 574 FedFundEffective Minus 0.35% 19 7/24/17 1,171BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 6,063 FedFundEffective Minus 1.00% 27 7/24/17 (6,968)Boeing Co. (The) 200 FedFundEffective Minus 0.35% 26 7/24/17 (279)BofI Holding, Inc. 949 FedFundEffective Minus 2.49% 22 7/24/17 5,020Boston Scientific Corp. 1,338 FedFundEffective Minus 0.35% 24 7/24/17 (7,259)Brookfield Asset Management, Inc. 1,048 FedFundEffective Minus 0.35% 32 7/24/17 (3,032)Buffalo Wild Wings, Inc. 171 FedFundEffective Minus 0.35% 25 7/24/17 877Burberry Group PLC 694 SONIA Overnight Deposit Rate Minus 0.35% GBP 8 7/24/17 (133)Byd Co., Ltd. 6,780 HONIX Minus 5.00% HKD 249 7/24/17 (8,816)Cabot Oil & Gas Corp. 940 FedFundEffective Minus 0.35% USD 20 7/24/17 (3,952)Canon, Inc. 770 MUTSCALM Minus 0.40% JPY 3,013 7/24/17 7,198Capitec Bank Holdings Ltd. 1,316 South Africa Benchmark Overnight Rate Minus 1.66% ZAR 735 7/24/17 (3,460)Carnival Corp. 717 FedFundEffective Minus 0.35% USD 31 7/24/17 (220)Carrizo Oil & Gas, Inc. 863 FedFundEffective Minus 0.35% 27 7/24/17 (3,466)Caterpillar, Inc. 308 FedFundEffective Minus 0.35% 23 7/24/17 (506)Caterpillar, Inc. 302 FedFundEffective Minus 0.35% 21 7/24/17 (1,456)CH Robinson Worldwide, Inc. 1,011 FedFundEffective Minus 0.35% 73 7/24/17 (1,594)Cheniere Energy, Inc. 697 FedFundEffective Minus 0.35% 43 7/24/17 16,925China Cinda Asset Management Co., Ltd. 33,500 HONIX Minus 0.40% HKD 124 7/24/17 4,636China CITIC Bank Corp. Ltd. 62,900 HONIX Minus 0.40% 327 7/24/17 3,715China Everbright Bank Co., Ltd. 69,100 HONIX Minus 0.40% 271 7/24/17 3,155
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Diversified Equity Alpha Portfolio
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
China Huarong Asset Management Co., Ltd. 84,500 HONIX Minus 12.41% HKD 251 7/24/17 $ (1,133)China Merchants Bank Co., Ltd. 21,300 HONIX Minus 0.40% 426 7/24/17 6,911China Minsheng Banking Corp. Ltd. 51,800 HONIX Minus 0.40% 404 7/24/17 1,724China Pacific Insurance Group Co., Ltd. 3,700 HONIX Minus 0.40% 129 7/24/17 4,030Chipotle Mexican Grill, Inc. 63 FedFundEffective Minus 0.35% USD 25 7/24/17 (560)Cielo SA 2,495 FedFundEffective Minus 1.00% 24 7/24/17 (2,150)CIT Group, Inc. 876 FedFundEffective Minus 0.35% 25 7/24/17 (2,974)CNP Assurances 11,872 EONIA Minus 0.40% EUR 148 7/26/17 (10,854)Coca-Cola Co. (The) 711 FedFundEffective Minus 0.35% USD 32 7/24/17 (669)Consumer Discretionary Select Sector SPDR Fund 913 FedFundEffective Minus 0.77% 72 7/24/17 966Cooper Cos., Inc. (The) 237 FedFundEffective Minus 0.35% 37 7/24/17 (3,748)CoStar Group, Inc. 165 FedFundEffective Minus 0.35% 34 7/24/17 (2,394)Country Garden Holdings Co., Ltd. 36,700 HONIX Minus 0.40% HKD 114 7/24/17 (807)Credit Acceptance Corp. 139 FedFundEffective Minus 15.34% USD 26 7/24/17 115Deutsche Lufthansa AG 2,376 EONIA Minus 0.35% EUR 30 7/24/17 5,616Devon Energy Corp. 754 FedFundEffective Minus 0.35% USD 22 7/24/17 (5,282)DeVry Education Group, Inc. 1,057 FedFundEffective Minus 0.58% 18 7/24/17 (403)Diamond Resorts International, Inc. 1,553 FedFundEffective Minus 0.84% 36 7/24/17 (10,072)Dr Reddy’s Laboratories Ltd. 685 FedFundEffective Minus 1.04% 32 7/24/17 (3,517)East West Bancorp, Inc. 510 FedFundEffective Minus 0.35% 19 7/24/17 1,401EQT Corp. 179 FedFundEffective Minus 0.35% 12 7/24/17 (1,914)Evergrande Real Estate Group Ltd. 37,800 HONIX Minus 3.00% HKD 227 7/24/17 5,881Express Scripts Holding Co. 218 FedFundEffective Minus 0.35% USD 20 7/24/17 3,400Fast Retailing Co., Ltd. 56 MUTSCALM Minus 0.40% JPY 3,156 7/24/17 15,526First Solar, Inc. 432 FedFundEffective Minus 0.35% USD 27 7/24/17 5,815Five Below, Inc. 686 FedFundEffective Minus 0.48% 27 7/24/17 (4,920)Flowserve Corp. 820 FedFundEffective Minus 0.35% 37 7/24/17 (500)Ford Motor Co. 1,892 FedFundEffective Minus 0.35% 25 7/24/17 1,419Fortescue Metals Group Ltd. 11,600 RBA Daily Cash Rate Target Minus 4.18% AUD 33 7/24/17 (6,414)Fossil Group, Inc. 1,105 FedFundEffective Minus 0.77% USD 31 7/24/17 (605)Fosun International Ltd. 18,200 HONIX Minus 0.40% HKD 269 7/24/17 10,961Franklin Resources, Inc. 314 FedFundEffective Minus 0.35% USD 15 7/24/17 4,290Freeport-McMoRan, Inc. 2,806 FedFundEffective Minus 0.68% 34 7/24/17 2,444General Motors Co. 839 FedFundEffective Minus 0.35% 28 7/24/17 3,851Glencore PLC 19,152 SONIA Overnight Deposit Rate Minus 0.30% GBP 29 7/24/17 (355)GNC Holdings, Inc. 466 FedFundEffective Minus 0.35% USD 12 7/24/17 231Goodyear Tire & Rubber Co. (The) 429 FedFundEffective Minus 0.35% 14 7/24/17 2,671Grand Canyon Education, Inc. 757 FedFundEffective Minus 0.35% 32 7/24/17 2,233GrubHub, Inc. 1,152 FedFundEffective Minus 0.88% 38 7/24/17 2,148Grupo Financiero Banorte, SAB de CV 4,734 1 Month MEXIBOR Minus 0.50% MXN 433 7/24/17 (2,761)Grupo Financiero Inbursa, SAB de CV 13,042 1 Month MEXIBOR Minus 1.00% 381 7/24/17 (1,318)Grupo Mexico, SAB de CV 14,446 1 Month MEXIBOR Minus 0.80% 539 7/24/17 (4,351)Hilton Worldwide Holdings, Inc. 6,758 FedFundEffective Minus 0.35% USD 145 7/24/17 (7,103)Home BancShares, Inc./AR 882 FedFundEffective Minus 0.35% 19 7/24/17 1,388HP, Inc. 1,787 FedFundEffective Minus 0.35% 21 7/24/17 (1,788)Hyundai Heavy Industries Co., Ltd. 107 FedFundEffective Minus 1.68% 9 7/24/17 (760)Hyundai Heavy Industries Co., Ltd. 150 FedFundEffective Minus 1.68% 11 7/24/17 (2,646)ICAP PLC 6,185 SONIA Overnight Deposit Rate Minus 0.30% GBP 31 7/24/17 6,737Imerys SA 319 EONIA Minus 0.35% EUR 22 7/24/17 3,677International Business Machines Corp. 108 FedFundEffective Minus 0.35% USD 16 7/24/17 (93)Intuitive Surgical, Inc. 47 FedFundEffective Minus 0.35% 27 7/24/17 (4,556)Investec Ltd. 3,582 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 377 7/24/17 3,655Jiangxi Copper Co., Ltd. 17,000 HONIX Minus 0.40% HKD 157 7/24/17 1,216JM Smucker Co. (The) 282 FedFundEffective Minus 0.35% USD 36 7/24/17 (7,231)Just Eat PLC 9,711 SONIA Overnight Deposit Rate Minus 0.30% GBP 40 7/24/17 (1,801)Kingsoft Corp., Ltd. 19,600 HONIX Minus 2.00% HKD 307 7/24/17 1,466Kroton Educacional SA 3,691 FedFundEffective Minus 1.17% USD 13 7/24/17 (2,954)Kroton Educacional SA 6,525 FedFundEffective Minus 1.17% 17 7/24/17 (10,937)LafargeHolcim Ltd. 734 TOIS Minus 0.40% CHF 34 12/29/17 4,590Lenovo Group Ltd. 24,200 HONIX Minus 0.40% HKD 212 7/24/17 12,563Li & Fung Ltd. 39,100 HONIX Minus 0.40% 233 7/24/17 11,120LifeLock, Inc. 2,124 FedFundEffective Minus 3.00% USD 30 7/24/17 (3,564)London Stock Exchange Group PLC 560 SONIA Overnight Deposit Rate Minus 0.30% GBP 16 7/24/17 1,845Longfor Properties Co., Ltd. 10,600 HONIX Minus 0.40% HKD 119 7/24/17 1,515lululemon athletica, Inc. 601 FedFundEffective Minus 0.45% USD 38 7/24/17 (6,659)Mallinckrodt PLC 265 FedFundEffective Minus 0.35% 15 7/24/17 (751)Marriott International, Inc./MD 1,416 FedFundEffective Minus 0.35% 95 7/24/17 981MercadoLibre, Inc. 315 FedFundEffective Minus 0.82% 37 7/24/17 (7,516)Michael Kors Holdings Ltd. 481 FedFundEffective Minus 0.35% 24 7/24/17 313Mitsui & Co., Ltd. 1,080 MUTSCALM Minus 0.40% JPY 1,703 7/24/17 3,599Mitsui OSK Lines Ltd. 10,700 MUTSCALM Minus 0.40% 3,252 7/24/17 8,742Monster Beverage Corp. 214 FedFundEffective Minus 0.35% USD 32 7/24/17 (2,747)Mosaic Co. (The) 3,653 FedFundEffective Minus 0.35% 96 7/24/17 154
AB SICAV II
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PortfoLio of inveStmentS (continued) Diversified Equity Alpha Portfolio
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
MTN Group Ltd. 7,785 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 1,055 7/24/17 $ (4,010)NetApp, Inc. 918 FedFundEffective Minus 0.35% USD 20 7/24/17 (2,293)Noble Corp. PLC 3,249 FedFundEffective Minus 0.89% 28 7/24/17 1,655Noble Group Ltd. 130,400 SORF Minus 6.00% SGD 82 7/24/17 40,767Norwegian Air Shuttle ASA 857 BBA 1 Month NIBOR Minus 5.25% NOK 248 6/08/18 (83)Ocado Group PLC 4,001 SONIA Overnight Deposit Rate Minus 8.00% GBP 16 7/24/17 9,030Old Mutual PLC 22,481 SONIA Overnight Deposit Rate Minus 0.30% 39 7/24/17 (8,275)PACCAR, Inc. 1,354 FedFundEffective Minus 0.35% USD 73 7/24/17 2,657PACCAR, Inc. 362 FedFundEffective Minus 0.35% 20 7/24/17 865Pandora A/S 224 1 Week CIBOR Minus 0.40% DKK 172 7/24/17 (4,897)Panera Bread Co. 166 FedFundEffective Minus 0.35% USD 35 7/24/17 118PerkinElmer, Inc. 467 FedFundEffective Minus 0.35% 23 7/24/17 (1,019)PICC Property & Casualty Co., Ltd. 15,272 HONIX Minus 0.40% HKD 196 7/24/17 1,138Ping An Insurance Group Co. of China Ltd. 11,100 HONIX Minus 0.40% 411 7/24/17 3,835Restaurant Brands International, Inc. 1,116 FedFundEffective Minus 0.35% USD 46 7/24/17 (505)Royal Caribbean Cruises Ltd. 468 FedFundEffective Minus 0.35% 32 7/24/17 244Royal Dutch Shell PLC 944 FedFundEffective Minus 0.35% 50 7/24/17 (2,578)Saia, Inc. 936 FedFundEffective Minus 0.35% 26 7/24/17 2,695Sasol Ltd. 731 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 292 7/24/17 77Shoprite Holdings Ltd. 2,490 South Africa Benchmark Overnight Rate Minus 0.95% 338 7/24/17 (5,243)Signet Jewelers Ltd. 193 FedFundEffective Minus 0.35% USD 21 7/24/17 5,041Singapore Airlines Ltd. 3,252 SORF Minus 0.50% SGD 34 6/25/18 (615)Sino Land Co., Ltd. 11,800 HONIX Minus 0.40% HKD 142 7/24/17 (1,172)Sonic Corp. 804 FedFundEffective Minus 0.35% USD 24 7/24/17 1,793Sotheby’s 587 FedFundEffective Minus 0.35% 17 7/24/17 900Southern Copper Corp. 893 FedFundEffective Minus 2.12% 26 7/24/17 2,076SPDR S&P500 ETF Trust 809 FedFundEffective Minus 0.35% 165 7/24/17 (4,101)St Jude Medical, Inc. 314 FedFundEffective Minus 0.35% 18 7/24/17 (6,963)Standard Chartered PLC 7,992 SONIA Overnight Deposit Rate Minus 0.30% GBP 48 7/24/17 3,081Sunrun, Inc. 1,769 FedFundEffective Minus 3.42% USD 11 7/24/17 773Swatch Group AG (The) 79 TOIS Minus 0.50% CHF 31 7/24/17 8,468Swire Pacific Ltd. 6,979 HONIX Minus 0.49% HKD 583 7/24/17 (3,675)Tech Data Corp. 527 FedFundEffective Minus 0.35% USD 40 7/24/17 1,670Tesla Motors, Inc. 214 FedFundEffective Minus 20.61% 54 7/24/17 8,452Teva Pharmaceutical Industries Ltd. 738 FedFundEffective Minus 0.35% 38 7/24/17 816Thomas Cook Group PLC 14,925 SONIA Overnight Deposit Rate Minus 0.63% GBP 9 7/24/17 71TripAdvisor, Inc. 598 FedFundEffective Minus 0.35% USD 36 7/24/17 (1,983)UniCredit SpA 9,234 EONIA Minus 0.40% EUR 30 7/24/17 12,626United Continental Holdings, Inc. 737 FedFundEffective Minus 0.35% USD 33 7/24/17 3,043Utilities Select Sector SPDR Fund 3,694 FedFundEffective Minus 0.63% 168 7/24/17 (25,349)Valeant Pharmaceuticals International, Inc. 520 FedFundEffective Minus 0.35% 58 7/24/17 47,720Vestas Wind Systems A/S 362 1 Week CIBOR Minus 0.40% DKK 164 7/24/17 (204)Waddell & Reed Financial, Inc. 910 FedFundEffective Minus 0.35% USD 28 7/24/17 12,639Wal-Mart Stores, Inc. 1,234 FedFundEffective Minus 0.35% 84 7/24/17 (6,068)WestJet Airlines Ltd. 2,111 CABROVER Minus 0.35% CAD 45 7/24/17 104Whole Foods Market, Inc. 1,250 FedFundEffective Minus 0.35% USD 39 7/24/17 (719)Whole Foods Market, Inc. 1,492 FedFundEffective Minus 0.35% 46 7/24/17 (1,922)Woodside Petroleum Ltd. 1,545 RBA Daily Cash Rate Target Minus 0.40% AUD 52 7/24/17 7,375Woolworth Holdings Ltd. 5,368 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 469 7/24/17 1,074World Wrestling Entertainment, Inc. 2,633 FedFundEffective Minus 8.37% USD 51 7/24/17 2,535Yelp, Inc. 1,106 FedFundEffective Minus 0.35% 30 7/24/17 (3,164)YY, Inc. 934 FedFundEffective Minus 1.88% 31 7/24/17 (327)Zalando SE 448 EONIA Minus 0.35% EUR 14 7/24/17 3,882Zhuzhou CRRC Times Electric Co., Ltd. 5,500 HONIX Minus 0.40% HKD 253 7/24/17 2,022Zijin Mining Group Co Ltd. 65,700 HONIX Minus 0.40% 159 7/24/17 (1,523)Zillow Group, Inc.- Class C 1,118 FedFundEffective Minus 5.23% USD 30 7/24/17 (10,133)Zoomlion Heavy Industry Science and Technology Co., Ltd. 30,600 HONIX Minus 6.00% HKD 128 7/24/17 5,924
Total $ 189,364
Appreciation $ 547,735 Depreciation $ (358,371)(a) One contract relates to 100 shares.(b) One contract relates to 1 share.
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Diversified Equity Alpha Portfolio
Currency Abbreviations:AUD – Australian DollarCAD – Canadian DollarCHF – Swiss FrancDKK – Danish KroneEUR – EuroGBP – Great British PoundHKD – Hong Kong DollarJPY – Japanese YenMXN – Mexican PesoNOK – Norwegian KroneSGD – Singapore DollarSEK – Swedish KronaUSD – United States DollarZAR – South African Rand
Glossary:ADR – American Depositary ReceiptAMEX – American Stock ExchangeBBA – British Bankers AssociationCABROVER – Bank of Canada Overnight Lending RateCIBOR – Copenhagen Interbank Offered RateEONIA – Euro OverNight Index AverageETF – Exchange Traded FundEURIBOR – Euro Interbank Offered RateFedFundEffective – Federal Funds Effective RateHONIX – Hong Kong Overnight Index RateLIBOR – London Interbank Offered RatesMEXIBOR – Mexico Interbank Offered RateMUTSCALM – Bank of Japan Estimated Unsecured Overnight Call RateNIBOR – Norwegian Interbank Offered RateRBA – Reserve Bank of AustraliaSONIA – Sterling Overnight Index AverageSORF – Association of Banks in Singapore Swap Offer Rate FixingSPDR – Standard & Poor’s Depository ReceiptTOIS – Tom/next Indexed Swaps
See notes to financial statements.
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PortfoLio of inveStmentSJune 30, 2016 (unaudited) Multi-Strategy Alpha Portfolio
Shares Value Net Assets (USD) %
TRANSFERABLE SECURITIES QUOTED ON A STOCK EXCHANGE OR DEALT IN ON ANOTHER REGULATED MARKETCOMMON STOCKSINFORMATION TECHNOLOGYCOMMUNICATIONS EQUIPMENT
FORWARD FOREIGN CURRENCY CONTRACTS Contracts to In Exchange Unrealized Deliver For Settlement Appreciation/ Counterparty (000) (000) Date (Depreciation)
Notional Unrealized Amount Termination Payments Made Payments Received Appreciation/ Clearing Broker/(Exchange) (000) Date By the Fund By the Fund (Depreciation)
CREDIT DEFAULT SWAPS Upfront Notional Premiums Unrealized Termination Amount Market Paid/ Appreciation/ Counterparty Referenced Obligation Date (000) Value (Received) (Depreciation)
Buy ContractsBank of America, NA Macy’s Retail Holdings, Inc. 6/20/21 USD 170 10,323 11,622 $ (1,299)Barclays PLC BHP Billiton Finance USA Ltd. 12/20/20 110 1,627 4,879 (3,252)Barclays PLC BHP Billiton Finance USA Ltd. 6/20/21 70 1,560 2,707 (1,147)Barclays PLC Macy’s Retail Holdings, Inc. 6/20/21 95 5,769 6,593 (824)Barclays PLC Nordstrom, Inc. 12/20/20 78 2,780 1,134 1,646Barclays PLC Nordstrom, Inc. 12/20/20 57 2,032 1,491 541Barclays PLC Rio Tinto Finance USA Ltd. 6/20/21 210 5,542 9,948 (4,406)Citibank, NA Norwegian Government Bond 12/20/19 7,800 (10,303) (32,149) 21,846Goldman Sachs & Co. BHP Billiton Finance USA Ltd. 6/20/21 80 1,783 2,560 (777)Goldman Sachs & Co. Nordstrom, Inc. 6/20/21 40 2,051 1,807 244Goldman Sachs & Co. Nordstrom, Inc. 12/20/20 75 2,672 782 1,890Goldman Sachs & Co. Rio Tinto Finance USA Ltd. 6/20/21 50 1,320 1,996 (676)Morgan Stanley & Co., Inc. Nordstrom, Inc. 12/20/20 60 2,138 1,304 834Morgan Stanley & Co., Inc. Nordstrom, Inc. 12/20/20 75 2,673 906 1,767Total $ 31,967 $ 15,580 $ 16,387
Appreciation $ 28,768 Depreciation $ (12,381)
TOTAL RETURN SWAPS Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
Receive Total Return on Reference ObligationCitibank, NA
SPDR Euro STOXX 50 ETF 30,160 BBA 1 Month LIBOR Plus 0.40% USD 899 3/23/17 $ 40,996Merrill Lynch Capital Services, Inc.
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
Morgan Stanley & Co., Inc.Air France-KLM 12,695 EONIA Plus 0.50% EUR 94 7/24/17 $ (24,726)Alaska Air Group, Inc. 1,213 FedFundEffective Plus 0.35% USD 79 7/24/17 (8,790)Anglo American PLC 19,310 BBA 1 Month LIBOR Plus 0.50% GBP 134 7/24/17 10,302Antofagasta PLC 36,917 BBA 1 Month LIBOR Plus 0.50% 173 7/24/17 129Brunswick Corp. 7,904 FedFundEffective Plus 0.35% USD 368 7/24/17 (10,267)Constellation Brands, Inc. 2,325 FedFundEffective Plus 0.50% 338 7/24/17 46,221Louisiana-Pacific Corp. 10,316 FedFundEffective Plus 0.50% 178 7/24/17 1,224Moncler SPA 1,119 EURIBOR 1 Month Plus 0.50% EUR 15 7/24/17 971NVR, Inc. 503 BBA 1 Month LIBOR Plus 0.50% USD 762 5/22/17 133,735Peugeot SA 6,514 EURIBOR 1 Month Plus 0.50% EUR 89 7/24/17 (20,691)Plastic Omnium SA 4,217 EURIBOR 1 Month Plus 0.50% 122 7/24/47 (17,780)Rexam PLC 62,821 BBA 1 Month LIBOR Plus 0.35% GBP 397 1/01/50 20,102Rio Tinto PLC 12,198 BBA 1 Month LIBOR Plus 0.50% 233 7/24/17 68,270SabMiller PLC 37,545 BBA 1 Month LIBOR Plus 0.35% 1,603 1/01/50 55,869Wizz Air Holdings PLC 3,983 EURIBOR 1 Month Plus 0.50% 77 1/16/17 (17,095)Wizz Air Holdings PLC 3,590 EURIBOR 1 Month Plus 0.50% 62 3/3/17 (5,729)
Pay Total Return on Reference ObligationCredit Suisse Securities (Europe) Ltd.
AMEX Health Care Select Sector Index 142 BBA 1 Month LIBOR Minus 0.50% USD 102 8/29/16 (260)AMEX Industrial Select Sector Index 457 BBA 1 Month LIBOR Minus 0.45% 257 8/29/16 228AMEX Technology Select Sector Index 1,002 BBA 1 Month LIBOR Minus 0.45% 436 8/29/16 (331)AT&T, Inc. 923 BBA 1 Month LIBOR Minus 0.35% 35 7/28/16 (4,615)Boeing Co. (The) 1,058 BBA 1 Month LIBOR Minus 0.35% 138 7/28/16 931Caterpillar, Inc. 837 BBA 1 Month LIBOR Minus 0.35% 65 7/28/16 1,328Consumer Discretionary Select Sector Index 281 BBA 1 Month LIBOR Minus 0.45% 225 8/29/16 4,072Deere & Co. 386 BBA 1 Month LIBOR Minus 0.35% 32 7/28/16 529Materials Select Sector Index 264 BBA 1 Month LIBOR Minus 0.50% 131 8/29/16 1,558S&P 500 Index 184 BBA 1 Month LIBOR Minus 0.45% 384 8/29/16 (2,037)S&P Regional Bank Select Industry Index 160 BBA 1 Month LIBOR Minus 0.45% 203 8/29/16 10,365United Parcel Service, Inc. 369 BBA 1 Month LIBOR Minus 0.35% 39 7/28/16 (978)Wal-Mart Stores, Inc. 1,193 BBA 1 Month LIBOR Minus 0.35% 83 7/28/16 (4,383)
Goldman Sachs & Co.IBOXX USD Liquid High Yield Index 774 BBA 3 Month LIBOR Minus 0.65% 180 9/20/16 (3,299)IBOXX USD Liquid High Yield Index 774 BBA 3 Month LIBOR Minus 0.65% 180 9/20/16 (3,299)IBOXX USD Liquid High Yield Index 4,040 BBA 3 Month LIBOR Minus 0.65% 940 9/20/16 (16,184)
Morgan Stanley & Co., Inc.Abbott Laboratories 8,073 FedFundEffective Minus 0.30% 308 1/01/50 (9,417)Acadia Healthcare Co, Inc. 1,185 FedFundEffective Minus 0.35% 68 7/24/17 2,063Accor SA 4,340 EONIA Minus 0.40% EUR 160 7/24/17 10,728Adobe Systems, Inc. 533 FedFundEffective Minus 0.35% USD 51 7/24/17 150Aetna, Inc. 5,040 FedFundEffective Minus 0.30% 608 1/01/50 (8,008)Agile Property Holdings Ltd. 38,900 HONIX Minus 1.50% HKD 187 7/24/17 3,411Air Canada 7,177 CABROVER Minus 0.35% CAD 66 6/13/18 2,066Akorn, Inc. 2,258 FedFundEffective Minus 0.35% USD 66 7/24/17 1,799Alibaba Group Holding Ltd. 1,119 FedFundEffective Minus 0.44% 83 7/24/17 (5,975)Ally Financial, Inc. 3,632 FedFundEffective Minus 0.35% 58 7/24/17 (4,050)Altice SA 7,538 EONIA Minus 0.35% EUR 107 11/13/17 5,730American Airlines Group, Inc. 4,430 FedFundEffective Minus 0.35% USD 136 7/24/16 10,645AmTrust Financial Services, Inc. 2,955 FedFundEffective Minus 0.35% 71 7/24/17 (1,459)Anglo American PLC 5,323 SONIA Overnight Deposit Rate Minus 0.30% GBP 31 7/24/17 (11,410)Anheuser-Busch InBev SA/NV 597 FedFundEffective Minus 0.35% USD 73 7/24/17 (5,565)Antofagasta PLC 8,394 SONIA Overnight Deposit Rate Minus 1.50% GBP 40 7/24/17 237AP Moeller - Maersk A/S 90 1 Week CIBOR Minus 0.40% DKK 846 7/24/17 8,606Ashmore Group PLC 14,818 SONIA Overnight Deposit Rate Minus 3.50% GBP 43 7/24/17 (2,393)ASOS PLC 1,357 SONIA Overnight Deposit Rate Minus 0.30% 40 7/24/17 (19,585)Asustek Computer, Inc. 5,910 FedFundEffective Minus 0.40% USD 54 7/24/17 5,640AutoNation, Inc. 1,760 FedFundEffective Minus 0.35% 81 7/24/17 (1,284)Baidu, Inc. 445 FedFundEffective Minus 0.35% 71 7/24/17 (2,139)Ball Corp. 2,870 FedFundEffective Minus 0.30% 207 1/01/50 (804)Banco Bradesco SA 12,787 FedFundEffective Minus 0.35% 68 7/24/17 (1,494)Banco do Brasil SA 21,304 FedFundEffective Minus 1.50% 95 7/24/17 (19,648)Bank of East Asia Ltd. (The) 13,166 HONIX Minus 2.50% HKD 420 7/24/17 3,210Bank of the Ozarks, Inc. 2,359 FedFundEffective Minus 0.35% USD 92 7/24/17 3,269BankUnited, Inc. 1,282 FedFundEffective Minus 0.35% 42 7/24/17 2,615BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros 13,477 FedFundEffective Minus 1.00% 60 7/24/17 (15,488)Boeing Co. (The) 406 FedFundEffective Minus 0.35% 52 7/24/17 (566)BofI Holding, Inc. 2,108 FedFundEffective Minus 2.49% 48 7/24/17 11,036Boston Scientific Corp. 2,989 FedFundEffective Minus 0.35% 54 7/24/17 (16,215)Brookfield Asset Management, Inc. 2,330 FedFundEffective Minus 0.35% 70 7/24/17 (7,012)Buffalo Wild Wings, Inc. 382 FedFundEffective Minus 0.35% 55 7/24/17 1,959Burberry Group PLC 1,412 SONIA Overnight Deposit Rate Minus 0.35% GBP 16 7/24/17 (265)
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PortfoLio of inveStmentS (continued) Multi-Strategy Alpha Portfolio
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
Byd Co., Ltd. 15,200 HONIX Minus 5.00% HKD 554 7/24/17 $ (20,384)Cabot Oil & Gas Corp. 2,095 FedFundEffective Minus 0.35% USD 45 7/24/17 (8,808)Canon, Inc. 1,710 MUTSCALM Minus 0.40% JPY 6,692 7/24/17 15,988Capitec Bank Holdings Ltd. 2,939 South Africa Benchmark Overnight Rate Minus 1.66% ZAR 1,642 7/24/17 (7,739)Carnival Corp. 1,601 FedFundEffective Minus 0.35% USD 70 7/24/17 (493)Carrizo Oil & Gas, Inc. 1,918 FedFundEffective Minus 0.35% 61 7/24/17 (7,703)Caterpillar, Inc. 688 FedFundEffective Minus 0.35% 51 7/24/17 (1,137)Caterpillar, Inc. 615 FedFundEffective Minus 0.35% 44 7/24/17 (3,001)CH Robinson Worldwide, Inc. 2,058 FedFundEffective Minus 0.35% 150 7/24/17 (3,234)Cheniere Energy, Inc. 1,556 FedFundEffective Minus 0.35% 96 7/24/17 37,304China Cinda Asset Management Co., Ltd. 73,200 HONIX Minus 0.40% HKD 271 7/24/17 10,129China CITIC Bank Corp. Ltd. 142,600 HONIX Minus 0.40% 738 7/24/17 7,928China Everbright Bank Co., Ltd. 152,600 HONIX Minus 0.40% 596 7/24/17 6,765China Huarong Asset Management Co., Ltd. 186,900 HONIX Minus 12.41% 556 7/24/17 (2,487)China Merchants Bank Co., Ltd. 48,200 HONIX Minus 0.40% 958 7/24/17 14,743China Minsheng Banking Corp. Ltd. 115,600 HONIX Minus 0.40% 897 7/24/17 3,298China Pacific Insurance Group Co., Ltd. 8,100 HONIX Minus 0.40% 281 7/24/17 8,822Chipotle Mexican Grill, Inc. 140 FedFundEffective Minus 0.35% USD 55 7/24/17 (1,242)Cielo SA 5,544 FedFundEffective Minus 1.00% 54 7/24/17 (4,778)CIT Group, Inc. 1,783 FedFundEffective Minus 0.35% 51 7/24/17 (6,053)CNP Assurances 24,162 EONIA Minus 0.40% EUR 301 7/26/17 (22,126)Coca-Cola Co. (The) 1,587 FedFundEffective Minus 0.35% USD 70 7/24/17 (1,494)Consumer Discretionary Select Sector SPDR Fund 4,021 FedFundEffective Minus 0.78% 318 7/23/17 4,302Consumer Discretionary Select Sector SPDR Fund 1,858 FedFundEffective Minus 0.77% 147 7/24/17 1,970Cooper Cos., Inc. (The) 529 FedFundEffective Minus 0.35% 82 7/24/17 (8,362)CoStar Group, Inc. 366 FedFundEffective Minus 0.35% 75 7/24/17 (5,321)Country Garden Holdings Co., Ltd. 80,100 HONIX Minus 0.40% HKD 249 7/24/17 (1,761)Credit Acceptance Corp. 311 FedFundEffective Minus 15.34% USD 58 7/24/17 163Deutsche Lufthansa AG 5,306 EONIA Minus 0.35% EUR 68 7/24/17 12,541Devon Energy Corp. 1,675 FedFundEffective Minus 0.35% USD 49 7/24/17 (11,733)DeVry Education Group, Inc. 2,364 FedFundEffective Minus 0.58% 41 7/24/17 (901)Diamond Resorts International, Inc. 3,469 FedFundEffective Minus 0.84% 81 7/24/17 (22,521)Dr Reddy’s Laboratories Ltd. 1,531 FedFundEffective Minus 1.04% 71 7/24/17 (7,851)East West Bancorp, Inc. 1,140 FedFundEffective Minus 0.35% 42 7/24/17 3,131Energy Select Sector SPDR Fund 6,025 FedFundEffective Minus 0.63% 416 7/23/17 4,639EQT Corp. 401 FedFundEffective Minus 0.35% 27 7/24/17 (4,289)Evergrande Real Estate Group Ltd. 84,100 HONIX Minus 3.00% HKD 503 7/24/17 12,981Express Scripts Holding Co. 487 FedFundEffective Minus 0.35% USD 44 7/24/17 7,543Fast Retailing Co., Ltd. 128 MUTSCALM Minus 0.40% JPY 7,174 7/24/17 35,102Financial Select Sector SPDR Fund 21,636 FedFundEffective Minus 0.45% USD 505 7/23/17 10,818First Solar, Inc. 964 FedFundEffective Minus 0.35% 59 7/24/17 12,749Five Below, Inc. 1,533 FedFundEffective Minus 0.48% 60 7/24/17 (10,939)Flowserve Corp. 1,669 FedFundEffective Minus 0.35% 74 7/24/17 (1,006)Ford Motor Co. 3,850 FedFundEffective Minus 0.35% 51 7/24/17 2,888Fortescue Metals Group Ltd. 26,000 RBA Daily Cash Rate Target Minus 4.18% AUD 74 7/24/17 (14,341)Fortis, Inc./Canada 28,274 FedFundEffective Minus 0.63% USD 913 1/1/50 (42,671)Fossil Group, Inc. 2,467 FedFundEffective Minus 0.77% 69 7/24/17 (1,357)Fosun International Ltd. 41,500 HONIX Minus 0.40% HKD 609 7/24/17 24,465Franklin Resources, Inc. 702 FedFundEffective Minus 0.35% USD 33 7/24/17 9,590Freeport-McMoRan, Inc. 6,275 FedFundEffective Minus 0.68% 75 7/24/17 5,431General Motors Co. 1,865 FedFundEffective Minus 0.35% 61 7/24/17 8,515Glencore PLC 42,751 SONIA Overnight Deposit Rate Minus 0.30% GBP 65 7/24/17 (1,173)GNC Holdings, Inc. 1,036 FedFundEffective Minus 0.35% USD 26 7/24/17 513Goodyear Tire & Rubber Co. (The) 953 FedFundEffective Minus 0.35% 30 7/24/17 5,933Grand Canyon Education, Inc. 1,690 FedFundEffective Minus 0.35% 72 7/24/17 4,983GrubHub, Inc. 2,572 FedFundEffective Minus 0.88% 85 7/24/17 4,853Grupo Financiero Banorte, SAB de CV 10,523 1 Month MEXIBOR Minus 0.50% MXN 963 7/24/17 (6,138)Grupo Financiero Inbursa, SAB de CV 28,988 1 Month MEXIBOR Minus 1.00% 848 7/24/17 (2,935)Grupo Mexico, SAB de CV 32,244 1 Month MEXIBOR Minus 0.80% 1,203 7/24/17 (9,773)Health Care Select Sector SPDR Fund 3,483 FedFundEffective Minus 0.78% USD 249 7/23/17 (1,149)Hilton Worldwide Holdings, Inc. 13,755 FedFundEffective Minus 0.35% 295 7/24/17 (14,443)Home BancShares, Inc./AR 1,969 FedFundEffective Minus 0.35% 42 7/24/17 3,099HP, Inc. 3,970 FedFundEffective Minus 0.35% 46 7/24/17 (3,974)Hyundai Heavy Industries Co., Ltd. 236 FedFundEffective Minus 1.68% 20 7/24/17 (1,677)Hyundai Heavy Industries Co., Ltd. 323 FedFundEffective Minus 1.68% 24 7/24/17 (5,687)ICAP PLC 13,805 SONIA Overnight Deposit Rate Minus 0.30% GBP 69 7/24/17 14,544Imerys SA 695 EONIA Minus 0.35% EUR 47 7/24/17 8,002Industrial Select Sector SPDR Fund 14,618 FedFundEffective Minus 0.63% USD 829 7/23/17 10,671International Business Machines Corp. 241 FedFundEffective Minus 0.35% 36 7/24/17 (208)Intuitive Surgical, Inc. 106 FedFundEffective Minus 0.35% 60 7/24/17 (10,160)Investec Ltd. 7,961 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 838 7/24/17 8,123Jiangxi Copper Co., Ltd. 37,800 HONIX Minus 0.40% HKD 350 7/24/17 2,704
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Multi-Strategy Alpha Portfolio
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
JM Smucker Co. (The) 572 FedFundEffective Minus 0.35% USD 73 7/24/17 $ (14,672)Johnson Controls, Inc. 10,283 FedFundEffective Minus 0.30% 454 1/01/50 (1,234)Just Eat PLC 21,674 SONIA Overnight Deposit Rate Minus 0.30% GBP 89 7/24/17 (4,682)Kingsoft Corp., Ltd. 43,900 HONIX Minus 2.00% HKD 687 7/24/17 3,279Kroton Educacional SA 8,248 FedFundEffective Minus 1.17% USD 28 7/24/17 (6,600)Kroton Educacional SA 14,564 FedFundEffective Minus 1.17% 37 7/24/17 (24,456)LafargeHolcim Ltd. 1,494 TOIS Minus 0.40% CHF 70 12/29/17 9,343Lenovo Group Ltd. 54,100 HONIX Minus 0.40% HKD 471 7/24/17 27,878Li & Fung Ltd. 87,400 HONIX Minus 0.40% 525 7/24/17 25,286LifeLock, Inc. 4,741 FedFundEffective Minus 3.00% USD 67 7/24/17 (7,961)London Stock Exchange Group PLC 1,245 SONIA Overnight Deposit Rate Minus 0.30% GBP 35 7/24/17 4,101Longfor Properties Co., Ltd. 23,600 HONIX Minus 0.40% HKD 265 7/24/17 3,374lululemon athletica, Inc. 1,334 FedFundEffective Minus 0.45% USD 84 7/24/17 (14,831)Mallinckrodt PLC 593 FedFundEffective Minus 0.35% 34 7/24/17 (1,688)Marriott International, Inc./MD 2,881 FedFundEffective Minus 0.35% 193 7/24/17 1,781Marriott International, Inc./MD 15,762 FedFundEffective Minus 2.27% 1,045 1/01/50 (2,158)Materials Select Sector SPDR Fund 2,400 FedFundEffective Minus 0.48% 115 7/23/17 4,272MercadoLibre, Inc. 700 FedFundEffective Minus 0.82% 82 7/24/17 (16,703)Michael Kors Holdings Ltd. 1,075 FedFundEffective Minus 0.35% 54 7/24/17 700Mitel Networks Corp. 67,547 FedFundEffective Minus 2.67% 432 1/01/50 6,755Mitsui & Co., Ltd. 2,400 MUTSCALM Minus 0.40% JPY 3,784 7/24/17 7,998Mitsui OSK Lines Ltd. 23,814 MUTSCALM Minus 0.40% 7,232 7/24/17 19,391Monster Beverage Corp. 489 FedFundEffective Minus 0.35% USD 72 7/24/17 (6,325)Mosaic Co. (The) 7,436 FedFundEffective Minus 0.35% 195 7/24/17 299MTN Group Ltd. 17,226 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 2,326 7/24/17 (9,454)Mylan NV 1,542 STIBOR 1 Month Minus 0.30% SEK 572 1/01/50 759NetApp, Inc. 2,040 FedFundEffective Minus 0.35% USD 45 7/24/17 (5,104)Noble Corp. PLC 7,255 FedFundEffective Minus 0.89% 63 7/24/17 3,697Noble Group Ltd. 291,200 SORF Minus 6.00% SGD 181 7/24/17 90,097Norwegian Air Shuttle ASA 1,745 BBA 1 Month NIBOR Minus 5.25% NOK 505 6/8/18 (166)Ocado Group PLC 8,931 SONIA Overnight Deposit Rate Minus 8.00% GBP 35 7/24/17 19,555Old Mutual PLC 49,965 SONIA Overnight Deposit Rate Minus 0.30% 87 7/24/17 (18,652)PACCAR, Inc. 743 FedFundEffective Minus 0.35% USD 40 7/24/17 1,381PACCAR, Inc. 2,749 FedFundEffective Minus 0.35% 148 7/24/17 5,794Pandora A/S 501 1 Week CIBOR Minus 0.40% DKK 384 7/24/17 (10,986)Panera Bread Co. 371 FedFundEffective Minus 0.35% USD 79 7/24/17 267PerkinElmer, Inc. 1,039 FedFundEffective Minus 0.35% 52 7/24/17 (2,267)PICC Property & Casualty Co., Ltd. 34,200 HONIX Minus 0.40% HKD 438 7/24/17 2,548Ping An Insurance Group Co. of China Ltd. 24,900 HONIX Minus 0.40% 925 7/24/17 8,868Restaurant Brands International, Inc. 2,492 FedFundEffective Minus 0.35% USD 103 7/24/17 (1,127)Royal Caribbean Cruises Ltd. 1,046 FedFundEffective Minus 0.35% 71 7/24/17 531Royal Dutch Shell PLC 2,109 FedFundEffective Minus 0.35% 111 7/24/17 (5,796)Saia, Inc. 1,905 FedFundEffective Minus 0.35% 53 7/24/17 5,489Sasol Ltd. 1,633 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 653 7/24/17 171Shoprite Holdings Ltd. 5,134 South Africa Benchmark Overnight Rate Minus 0.95% 697 7/24/17 (10,854)Signet Jewelers Ltd. 431 FedFundEffective Minus 0.35% USD 47 7/24/17 11,272Singapore Airlines Ltd. 6,618 SORF Minus 0.50% SGD 69 6/25/18 (1,253)Sino Land Co., Ltd. 26,200 HONIX Minus 0.40% HKD 314 7/24/17 (2,602)Sonic Corp. 1,799 FedFundEffective Minus 0.35% USD 53 7/24/17 4,004Sotheby’s 1,314 FedFundEffective Minus 0.35% 38 7/24/17 2,005Southern Copper Corp. 1,983 FedFundEffective Minus 2.12% 58 7/24/17 4,611SPDR S&P500 ETF Trust 1,649 FedFundEffective Minus 0.35% 337 7/24/17 (8,394)St Jude Medical, Inc. 698 FedFundEffective Minus 0.35% 39 7/24/17 (15,478)Standard Chartered PLC 17,754 SONIA Overnight Deposit Rate Minus 0.30% GBP 106 7/24/17 6,177Sunrun, Inc. 3,931 FedFundEffective Minus 3.42% USD 25 7/24/17 1,718Swatch Group AG (The) 176 TOIS Minus 0.50% CHF 68 7/24/17 18,901Swire Pacific Ltd. 14,203 HONIX Minus 0.49% HKD 1,187 7/24/17 (7,478)Tech Data Corp. 1,176 FedFundEffective Minus 0.35% USD 88 7/24/17 3,748Technology Select Sector SPDR Fund 13,176 FedFundEffective Minus 0.45% 579 7/23/17 8,037Tesla Motors, Inc. 474 FedFundEffective Minus 20.61% 119 7/24/17 18,569Teva Pharmaceutical Industries Ltd. 1,649 FedFundEffective Minus 0.35% 85 7/24/17 1,815Thomas Cook Group PLC 30,375 SONIA Overnight Deposit Rate Minus 0.63% GBP 19 7/24/17 144TripAdvisor, Inc. 1,336 FedFundEffective Minus 0.35% USD 81 7/24/17 (4,417)UniCredit SpA 20,524 EONIA Minus 0.40% EUR 66 7/24/17 28,064United Continental Holdings, Inc. 1,646 FedFundEffective Minus 0.35% USD 74 7/24/17 6,796Utilities Select Sector SPDR Fund 7,519 FedFundEffective Minus 0.63% 343 7/24/17 (51,508)Valeant Pharmaceuticals International, Inc. 1,156 FedFundEffective Minus 0.35% 128 7/24/17 105,216Vestas Wind Systems A/S 804 1 Week CIBOR Minus 0.40% DKK 363 7/24/17 (454)Waddell & Reed Financial, Inc. 2,035 FedFundEffective Minus 0.35% USD 63 7/24/17 27,922Wal-Mart Stores, Inc. 2,511 FedFundEffective Minus 0.35% 171 7/24/17 (12,369)WestJet Airlines Ltd. 4,299 CABROVER Minus 0.35% CAD 91 7/24/17 213
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PortfoLio of inveStmentS (continued) Multi-Strategy Alpha Portfolio
Notional Unrealized # of Shares Amount Maturity Appreciation/ Counterparty & Referenced Obligation or Units Rate Paid/Received (000) Date (Depreciation)
Whole Foods Market, Inc. 2,791 FedFundEffective Minus 0.35% USD 88 7/24/17 $ (1,605)Whole Foods Market, Inc. 3,035 FedFundEffective Minus 0.35% 93 7/24/17 (3,892)Woodside Petroleum Ltd. 3,451 RBA Daily Cash Rate Target Minus 0.40% AUD 116 7/24/17 16,473Woolworth Holdings Ltd. 11,929 South Africa Benchmark Overnight Rate Minus 0.95% ZAR 1,037 7/24/17 2,120World Wrestling Entertainment, Inc. 5,880 FedFundEffective Minus 8.37% USD 114 7/24/17 5,480Yelp, Inc. 2,470 FedFundEffective Minus 0.35% 68 7/24/17 (7,064)YY, Inc. 2,085 FedFundEffective Minus 1.88% 70 7/24/17 (727)Zalando SE 972 EONIA Minus 0.35% EUR 31 7/24/17 8,422Zhuzhou CRRC Times Electric Co., Ltd. 12,200 HONIX Minus 0.40% HKD 558 7/24/17 4,216Zijin Mining Group Co Ltd. 145,900 HONIX Minus 0.40% 354 7/24/17 (3,383)Zillow Group, Inc.- Class C 2,495 FedFundEffective Minus 5.23% USD 68 7/24/17 (22,520)Zoomlion Heavy Industry Science and Technology Co., Ltd. 66,600 HONIX Minus 6.00% HKD 279 7/24/17 12,893
Total $ 496,851
Appreciation $ 1,360,001 Depreciation $ (863,150)Total for Swaps $ (392,657)
(a) Position, or a position thereof, has been segregated to collateralize derivatives.(b) Variable rate coupon, rate shown as of June 30, 2016.(c) Defaulted.(d) Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect
at June 30, 2016.(e) Floating Rate Security. Stated interest rate was in effect at June 30, 2016.(f) One contract relates to 100 shares.(g) One contract relates to 1 share.(h) One contract relates to 500,000 shares.(i) One contract relates to 50 shares.
Currency Abbreviations:AUD – Australian DollarBRL – Brazilian RealCAD – Canadian DollarCHF – Swiss FrancCLP – Chilean PesoCNH – Chinese Yuan Renminbi (Offshore)CZK – Czech KorunaDKK – Danish KroneEUR – EuroGBP – Great British PoundHKD – Hong Kong DollarHUF – Hungarian ForintIDR – Indonesian RupiahILS – Israeli ShekelINR – Indian RupeeJPY – Japanese YenKRW – South Korean WonMXN – Mexican PesoMYR – Malaysian RinggitNOK – Norwegian KroneNZD – New Zealand DollarPLN – Polish ZlotyRUB – Russian RubleSEK – Swedish KronaSGD – Singapore DollarTHB – Thailand BahtTRY – Turkish LiraTWD – New Taiwan DollarUSD – United States DollarZAR – South African Rand
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Multi-Strategy Alpha Portfolio
Glossary:ADR – American Depositary ReceiptAMEX – American Stock ExchangeBBA – British Bankers AssociationCABROVER – Bank of Canada Overnight Lending RateCBOE – Chicago Board Options ExchangeCBT – Chicago Board of TradeCME – Chicago Mercantile ExchangeDAX – Deutscher Aktien Index (German Stock Index)EONIA – Euro OverNight Index AverageETF – Exchange Traded FundEURIBOR – Euro Interbank Offered RateFedFundEffective – Federal Funds Effective RateFTSE – Financial Times Stock ExchangeHONIX – Hong Kong Overnight Index RateIRS – Interest Rate SwaptionKOSPI – Korea Composite Stock Price IndexLIBOR – London Interbank Offered RatesNASDAQ – National Association of Securities Dealers Automated QuotationsNDBB – New Zealand Dollar Bank BillsOSE – Osaka Securities ExchangeRTP – Right to PaySONIA – Sterling Overnight Index AverageSPDR – Standard & Poor’s Depository ReceiptTOIS – Tom/next Indexed Swaps
See notes to financial statements.
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PortfoLio of inveStmentSJune 30, 2016 (unaudited) China Equity Portfolio
Shares Value Net Assets (CNH) %
TRANSFERABLE SECURITIES QUOTED ON A STOCK EXCHANGE OR DEALT IN ON ANOTHER REGULATED MARKETCOMMON STOCKSFINANCIALSBANKS
(a) Fair valued as determined in accordance with procedures established by and under the general supervision of the Management Company’s Board of Managers and the Board of Directors.
Currency Abbreviations:CNH – Chinese Yuan Renminbi (Offshore)
NOTE A: General InformationAB SICAV II (the “Fund”) is an open-ended investment company with variable capital (société d’investissement à capital variable) incorporated with limited liability on December 17, 2014 under the laws of the Grand Duchy of Luxembourg and registered under Part I of the law of December 17, 2010 (as amended) on undertakings for collective investment (the “Law of 2010”). The Fund qualifies as an Undertaking for Collective Investments in Transferable Securities (“UCITS”) within the meaning of Article 1(2) of the EC Directive 2009/65 of July 13, 2009 (as amended). The Fund is managed in the interest of its Shareholders in accordance with the Fund’s articles of
incorporation (the “Articles”) and the prospectus of the Fund (the “Prospectus”), as amended from time to time. The Fund is structured as an “umbrella fund” comprising separate Portfolios (each a “Portfolio”). Each Portfolio is answerable only for its own obligations and expenses, and not for the liabilities of any other Portfolio. The Fund offers various classes of shares (the “Shares”) in each of its Portfolios. All Shares of the same class have the same rights as to dividends and redemptions.
The following table lists each Portfolio’s commencement of operations as well as Share Classes seeded as of June 30, 2016:
China Equity PortfolioAllianceBernstein Hong Kong Limited (“ABHK”), an affiliate of the Investment Manager, has been appointed as a Sub-Investment Manager for the Portfolio. ABHK has been granted a Renminbi Qualified Foreign Institutional Investor (“RQFII”) quota which enables the Portfolio to make direct investments in Chinese equity securities. A Portfolio is not a RQFII but it may obtain access to Renminbi denominated securities or other permissible investments directly using RQFII quotas of a RQFII.
In addition, the Portfolio may invest its assets in China A shares through the Shanghai-Hong Kong Stock Connect scheme (“Stock Connect”). Securities purchased through Stock Connect are not counted towards the RQFII quota.
Under Hong Kong law, Hong Kong Securities Clearing Company Limited (“HKSCC”) will be regarded as the legal owner of such eligible China A shares (the “China Connect Securities”) and will be regarded as holding its beneficial entitlement to the China Connect Securities on behalf of the relevant clearing participant as mentioned in the next paragraph. Depending on the custody arrangements between such clearing participant and its Hong
Kong or overseas clients, such clearing participant will in turn generally be regarded as holding its beneficial entitlement for such Hong Kong or overseas clients.
Under current People’s Republic of China (“PRC”) regulations, China Connect Securities will be recorded in a nominee account opened by HKSCC with China Securities Depository and Clearing Corporation Limited (“ChinaClear”) and Northbound investors have rights and interests in China Connect Securities acquired through Stock Connect according to the applicable laws. The Securities Registration and Settlement Measures of the Chinese Securities Regulatory Commission (“CSRC”), ChinaClear’s Securities Registration Rules and Administrative Rules on Securities Accounts, the relevant rules of ChinaClear and Shanghai Stock Exchange (“SSE”) in relation to Stock Connect generally provide for the concept of a “nominee holder” and recognise the Northbound investors as the “ultimate owners” of the China Connect Securities.
Although the Portfolio’s ownership may be ultimately recognised, it may suffer difficulties or delays in enforcing its rights in China Connect Securities in the event any of the providers along the chain choose not to take any legal action
The following table lists each Portfolio’s Sub-Investment Managers:
AB SICAV II– Commencement of Operations Share Classes Seeded
Multi-Strategy Alpha Portfolio . . . . . . . . . . July 23, 2015 A, I, S, SQD, S1, A EUR HDiversified Equity Alpha Portfolio . . . . . . . July 23, 2015 A, I, S1, ZChina Equity Portfolio . . . . . . . . . . . . . . . . . October 13, 2015 S
Portfolio Sub-Investment Managers
Multi-Strategy Alpha Portfolio Impala Asset Management LLC Halcyon Arbitrage UCITS Management LP (formerly Halcyon Liquid Strategies UCITS Management LP) Kynikos Associates LP Sirios Capital Management, LP Brigade Capital Management, LP Lyrical Asset Management LP One River Asset Management LLC
China Equity Portfolio AllianceBernstein Hong Kong Limited
Notes to FiNaNcial statemeNtsFor the period ended June 30, 2016
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Notes to FiNaNcial statemeNts (continued)
or court proceeding to enforce any rights on behalf of the investor. To the extent that HKSCC is deemed to be performing safekeeping functions with respect to assets held through it, it should be noted that State Street Bank Luxembourg S.C.A. (the “Depositary”) and the Portfolio will have no legal relationship with HKSCC and no direct legal recourse against HKSCC in the event that the Portfolio suffers losses resulting from the performance or insolvency of HKSCC.
The base currency of the Portfolio is CNH (offshore Renminbi).
Under normal market conditions, it is expected that all or substantially all of the Portfolio’s exposure will be to CNY (onshore Renminbi). Therefore, the investment manager expects that the Portfolio’s return may be affected by exchange rate fluctuations between CNH (the Portfolio’s base currency) and CNY.
While both CNY and CNH are the same currency, they are traded in different and separated markets. Since the two Renminbi markets operate independently where the flow between them is highly restricted, CNY and CNH are traded at different rates and their movement may not be in the same direction.
NOTE B: Significant Accounting PoliciesThe Financial Statements have been prepared in accordance with Luxembourg legal and regulatory requirements. The following is a summary of significant accounting policies followed by the Portfolios.
1. Valuation1.1 Investments in SecuritiesSecurities listed on a stock exchange or traded on any other regulated market are valued at the last sale price on such exchange or market or, if there has been no sale on such day, at the mean of the closing bid and asked price quoted on such day. If a security is listed on several stock exchanges or markets, the last sale price on the stock exchange or market which constitutes the principal market for such security is used.
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 Management Company’s Board of Managers and the Board of Directors of the Fund.
Fair valuation procedures are designed to adjust closing market prices of securities to reflect what is believed to be the fair value of those securities at the respective Portfolio’s Valuation Point. When fair valuation procedures are employed with respect to a particular security, various objective and subjective factors may be considered, including, among other things, developments affecting the security or involving an entire market since the security’s latest reported price, current valuations of relevant stock indices or pronouncements of certain governmental authorities. Fair value prices based on third party vendor modeling tools may be utilized to the extent available. Therefore, when fair valuation procedures are employed, the prices of individual securities utilized to calculate the Portfolio’s Net Asset Value (“NAV”) may differ from quoted or published prices for the same securities. Currently, fair value adjustments are only applicable to certain equity securities and futures contracts.
Accordingly, as may also be the case with a previously reported stock exchange price, the price of any Portfolio security determined utilizing fair value pricing procedures may be materially different from the price to be realized upon the sale of such security.
For portfolio securities primarily traded on U.S. exchanges, it is expected that fair value pricing procedures are employed only under very limited circumstances such as, for example, the early closing of an exchange on which a particular security is traded or the suspension of trading in particular security. However, it
is anticipated that fair value pricing procedures will be utilized frequently for securities traded on non-U.S. exchanges or other markets, particularly European and Asian markets, because, among other reasons, these markets close well before the Portfolio’s Valuation Point. Between the close of these markets and the relevant Portfolio’s Valuation Point, significant events including broad market moves may occur. In particular, events in the U.S. market on a trading day after the close of these other markets may affect the value of the Portfolio’s securities.
Fixed income securities (i), securities not listed on any stock exchange, or traded on any regulated market (ii), and securities, trading of which on a stock exchange or a regulated market is thin (iii), are valued at the most recent bid price provided by the principal market makers. If there is no such market price, or if such market price is not representative of a security’s fair market value, then the security is valued in a manner determined to reflect its fair value in accordance with procedures established by the Board of Directors of the Fund, and under the general supervision of, the Management Company’s Board of Managers.
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 consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates.
Over-the-counter (“OTC”) 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.
Mortgage-backed and asset-backed securities may be valued at prices that reflect the market value of such securities and that are obtained from a bond pricing service or at a price that reflects the market value of such securities and that is obtained from one or more of the major broker-dealers in such securities when such prices are believed to reflect the fair market value of such securities. In cases where broker-dealer quotes are obtained, the Investment Manager may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted bid price on a security.
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Units or shares in open-ended undertakings for collective investments shall be valued on the basis of their last net asset value, as reported by such undertakings.
1.2 Forward Foreign Currency ContractsInitial margin deposits are made upon entering into futures contracts. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by “marking-to-market” on a daily basis to reflect the market value of the contract at the end of each day’s trading. Variation margin payments are made or received, depending upon whether unrealized losses or gains are incurred. When the contract is closed, a realized gain or loss is recorded. This realized gain or loss is equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract.
Open futures contracts 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.
1.3 Forward Foreign Currency ContractsThe unrealized appreciation or depreciation on open forward foreign currency contracts is calculated as the difference between the contracted rate and the rate to close out the contract. Realized profit or loss includes net gains or losses on forward foreign currency contracts which have been settled or offset by other contracts with the same counterparty.
1.4 Options Purchased and Options WrittenWhen an option is purchased, an amount equal to the premium paid is recorded as an investment and is subsequently adjusted to the current market value of the option purchased. Premiums paid for the purchase of options which expire unexercised are treated on the expiration date as realized losses. If a purchased put option is exercised, the premium is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining whether the relevant Portfolio has realized a gain or loss. If a purchased call option is exercised, the premium increases the cost basis of the security or foreign currency purchased by the relevant Portfolio. When an option is written, an amount equal to the premium received by the relevant Portfolio 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 treated by the relevant Portfolio on the expiration date as realized gains. If a written call option is exercised, the premium is added to the proceeds from the sale of the underlying security or foreign currency in determining whether the relevant Portfolio has realized a gain or a loss. If a written put option is exercised, the premium reduces the cost basis of the security or foreign currency purchased by the relevant Portfolio. Listed put or call options purchased by a Portfolio are valued at the last sale price. If there has been no sale on that day, such securities are valued at the closing bid prices on that day.
1.5 Swap AgreementsThe Portfolios accrue for interim payments on swap contracts on a daily basis, within income and expenses. Swap contracts are marked to market on a daily basis with fluctuations in value recorded in “Unrealized appreciation (depreciation) on swaps” in the Statement of Assets and Liabilities and “Change in unrealized gains and losses on swaps” in the Statement of
Operations and Changes in Net Assets. Once a swap contract has matured or is sold, the net amount is recorded as a “Realized gain or (loss) on swaps” on the Statement of Operations and Changes in Net Assets. The upfront premiums paid or received are recognized as cost or proceeds on the Statement of Assets and Liabilities and are amortized on a straight line basis over the life of the contract. Accruals of amortized upfront premiums on credit default swaps are included in “Swap income” until the position is sold, thereafter the amortized upfront premiums are included within net realized gains and (losses) from swaps. On all other swap types the amortized upfront premiums are included within “Net realized gains and (losses) from swaps”. Fluctuations in the value of swap contracts are recorded as a component of “Changes in unrealized gains and (losses) on swaps” on the Statement of Operations and Changes in Net Assets.
“Upfront premiums paid (received) on swap contracts” disclosed in the Statements of Assets and Liabilities include premiums paid (received) on the OTC credit default swaps and a margin that is yet to be settled on the centrally cleared credit default swaps.
2. Organization ExpensesThe organization expenses for the following Portfolios are being amortized on a straight-line basis over a period of up five years through the below dates:
AB SICAV II– DatesMulti-Strategy Alpha Portfolio July 2020Diversified Equity Alpha Portfolio July 2020China Equity Portfolio October 2020
3. Allocation MethodFor all of the Portfolios, realized and unrealized gains and losses are allocated on a daily basis by each class’ value of their proportionate shares outstanding.
Class specific management, management company, distribution fees and realized and unrealized gains and losses on forward foreign currency contracts related to the Currency Hedged Share Classes are charged/allocated directly to the respective class.
Due to the distinct institutional nature of all types of Class S shares of the Portfolios, certain fund expenses, where applicable, are allocated to the Class S shares based upon minimum shareholder activity and account level requirements.
4. Currency TranslationValues expressed in a currency, other than the currency in which a Portfolio is denominated, are translated at the average of the last available buying and selling price. Transactions in foreign currencies are translated into the currency of each Portfolio at the exchange rate ruling at the date of the transactions.
The Combined Statement of Assets and Liabilities is presented in U.S. Dollars at the exchange rates ruling at the date of the Combined Statement of Assets and Liabilities, while the Combined Statement of Operations and Changes in Net Assets is presented in U.S. Dollars at the average exchange rates ruling during the period. Exchange rates applied in the financial statements are spot rate 6.6702 and average rate 6.5508 for USD to CNH.
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Notes to FiNaNcial statemeNts (continued)
NOTE C: TaxesAs a Luxembourg société d’investissement à capital variable (SICAV), the Fund is not subject, under present tax laws, to income, withholding or capital gains taxes in Luxembourg. The Fund is subject to the Luxembourg taxe d’abonnement at the rate of 0.05% per annum calculated and payable quarterly, on the aggregate total net assets on the last day of each calendar quarter. The rate is 0.01% for share classes reserved to institutional investors within the meaning of Article 174 of the Law of 2010. Dividends, interest and capital gains on portfolio securities issued in certain countries may be subject to withholding or capital gains taxes imposed by such countries.
People’s Republic of China (PRC)Corporate Income Tax (“CIT”)By investing in shares of PRC resident enterprises (including China A-, B- and H-Shares), RMB denominated corporate and government bonds, securities investment funds and warrants listed on the PRC stock exchanges or PRC inter-bank bond markets, a Portfolio may be subject to withholding income tax (“WIT”) and other taxes imposed in the PRC.
Lacking specific guidance, it is uncertain whether the RQFII or the relevant investing Portfolios would be considered the taxpayer with respect to the PRC-sourced income derived from the investment in bonds, shares and other securities in the PRC. In the event the RQFII were considered to be the taxpayer, any PRC taxes levied against the RQFII would be reimbursed and ultimately borne by the relevant Portfolios of the Fund.
If the relevant Portfolios are deemed to be the taxpayer, then such Portfolios will be subject to PRC CIT at 25% on its worldwide taxable income if it is considered to be a tax resident enterprise of the PRC. If the Portfolio is considered to be a non-tax resident enterprise with an establishment or place of business (“PE”) in the PRC, the PRC sourced profits attributable to that PE would be subject to CIT at 25%.
Under the PRC CIT Law effective from 1, January 2008, a foreign enterprise without a PE in the PRC will generally be subject to a WIT at the current rate of 10% on its PRC sourced income, including but not limited to passive income (e.g. dividends, interest, gains arising from transfer of assets, etc.), subject to the application of treaty relief.
The Investment Manager intends to manage and operate the Portfolios in such a manner that the Portfolios and the Fund not be treated as a tax resident enterprise of the PRC or a non-tax resident enterprise with a PE in the PRC for CIT purposes, although this cannot be guaranteed. As such, it is expected that the Portfolios should only be subject to WIT at 10% to the extent the Portfolio directly derives PRC sourced income in
respect of its investment in bonds, shares and other securities in the PRC.
Equity investmentsWith the approval from the PRC State Council, the PRC State Administration of Taxation, the PRC Ministry of Finance and the China Securities Regulatory Commission have jointly issued Caishui [2014] 79 (“Circular 79”) to clarify the WIT treatment with respect to gains derived by QFIIs and RQFIIs from the disposal of equity investments, including shares in PRC enterprises.
According to Circular 79, QFIIs and RQFIIs are temporarily exempt from WIT with respect to gains derived from the disposal of equity investments, including shares in PRC enterprises (e.g. A-Shares and B-Shares), via the QFII or RQFII investment quota, effective from November 17, 2014.
PRC tax disclosure regarding Stock ConnectIn addition to investing in A-Shares via the RQFII quota of the RQFII Holder, the Fund may gain exposure to A-Shares through Stock Connect, which has commenced trading as of November 17, 2014.
With the approval from the PRC State Council, the PRC State Administration of Taxation, the PRC Ministry of Finance and the CSRC have jointly issued Caishui [2014] 81 (“Circular 81”) to clarify the PRC tax treatment regarding China Connect Securities. Circular 81 is effective on November 17, 2014.
According to Circular 81, the Fund is subject to the following PRC income tax treatment with respect to the Northbound Trading under Stock Connect (i.e. trading of certain A-Shares on the SSE):
– Temporarily exempt from PRC WIT with respect to gains derived from the disposal of A-Shares.– Subject to PRC WIT at 10% with respect to dividends received from A-Shares.– Temporarily exempt from PRC BT with respect to gains derived from the disposal of A-Shares.– Subject to PRC SD at 0.1% with respect to the sale of A-Shares (i.e. the purchase of A-Shares is not subject to PRC SD).
Investors should note that Stock Connect has limited or no history, and, accordingly, the taxation rules applicable to China Connect Securities traded on Stock Connect are not long established and subject to change in the future. Investors should seek advice from their professional tax advisors with any questions regarding China Connect Securities.
5. Investment Income and Investment TransactionsDividend income is recorded on the ex-dividend date. Interest income is accrued daily. Investment gains and losses for the portfolios are determined on the average cost basis. The Fund accretes discount and amortizes premium as adjustment to interest income. Investment transactions are accounted for on a trade date plus one day basis.
6. EstimatesThe preparation of Financial Statements in conformity with accounting principles generally accepted in Luxembourg requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the Financial Statements and the reported amounts of income and expenses during the reporting period. Actual results may differ from those estimates.
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NOTE F: Soft Commission Arrangements and Transaction CostsDuring the period ended June 30, 2016 the Investment Manager received and entered into soft-dollar commissions/ arrangements with brokers relating to Portfolios of the Fund that invest in equity securities, in respect of which certain goods and services used to support the investment decision making process were received. The soft commission arrangements were entered into on the basis that the execution of transactions on behalf of the Fund will be consistent with best execution standards and brokerage rates will not be in excess of customary institutional full-service brokerage rates.
The goods and services received include specialist industry, company and consumer research, portfolio and market analysis and computer software used for the delivery of such services.
The nature of the goods and services received is such that the benefits provided under the arrangement must be those which assist in the provision of investment services to the Fund and may contribute to an improvement in the Fund’s performance. For the avoidance of doubt, such goods and services do not include travel, accommodations, entertainment, general administrative goods or services, general office equipment or premises, membership fees, employees’ salaries or direct money payments.
NOTE D: DistributionsCertain share classes may make periodic distributions, as described in the Prospectus for the relevant Portfolio. A Portfolio may offer either distributing or accumulation (non-distributing) versions of a particular share class, as set forth in the Portfolio
Details relating to such Portfolio. Portfolios that offer only accumulation share classes may offer distributing share classes in the future, as determined by the Board of Directors of the Fund in its discretion.
NOTE E: Management/Advisory Fees and Other Transactions with affiliatesThe Fund pays AllianceBernstein (Luxembourg) S.à r.l. (the “Management Company”) a management fee. Under the terms of the Investment Management Agreement, from the management/advisory fee earned, the Management Company pays an investment management fee to AllianceBernstein L.P. (the “Investment Manager”).
Expenses borne by the Management Company are included in the Statement of Operations and Changes in Net Assets under “Expense reimbursed or waived”. Reimbursement receivable is included in the Statement of Assets and Liabilities under “Other receivables” or in “Accrued expenses and other liabilities”.
The Fund also pays its Management Company, a management company fee.
Specific share classes of each Portfolio will pay the Distributor, a distribution fee, which is compensation for providing distribution related services to the Fund with respect to such shares.
All of the aforementioned fees are accrued at an annual rate on the average daily net assets of each Portfolio and paid monthly. The Management Company has voluntarily agreed to bear certain fees and expenses to the extent necessary to limit total operating expenses on an annual basis as noted within the total expense ratio table below.
Total Expense Ratio AB SICAV II– Share Class (Maximum) %
Class I 2.10%* Class S 1.25%* Class S1 2.05%* Class SQD 1.45%*Diversified Equity Alpha
Portfolio . . . . . . . . . . . . . . . Class A 2.90% Class I 2.10% Class S1 2.05% Class Z 1.01%
Total Expense Ratio AB SICAV II– Share Class (Maximum) %
China Equity Portfolio . . . . . . Class S 0.50%
*The Total Expense Ratio of each share class of Multi-Strategy Alpha Portfolio is calculated in accordance with the guidelines dated May 16, 2008, issued by the Swiss Funds & Asset Management Association (SFAMA).
The Fund compensates its legal adviser, Elvinger, Hoss & Prussen (of which Mr. Yves Prussen, a director of the Fund and on the Board of Managers of its Management Company, is a partner) for legal services rendered to the Fund. Payments of €109,540 were made for the period ended June 30, 2016 and are included in “Professional fees” in the Statement of Operations and Changes in Net Assets.
The Fund compensates its registrar and transfer agent, AllianceBernstein Investor Services, a unit of the Management Company, under a Management Fund Services Agreement for providing personnel and facilities to perform registrar and transfer agency services for the Fund. Such compensation amounted to $8,745 for the period ended June 30, 2016.
Cross-InvestmentThe combined financial statements show a total net asset value of $165,819,520. At the end of the period, Multi-Strategy Alpha Portfolio’s investment in Diversified Equity Alpha Portfolio had a value of $24,116,667. If those investments were excluded from the combined financial statements, the total net asset value for the Fund would have been $141,702,853. Management fees are applied only once at target fund level.
Sub-Investment Manager FeeEach Sub-Investment Manager is paid a fee by the Fund for its services provided to the Investment Manager and the Portfolios, as specified in the relevant Portfolio Details, as applicable. The Sub-Investment Manager Fee shall be borne only by the Portfolio to which such Sub-Investment Manager’s services relate. The aggregate fees paid to all Sub-Investment Managers for a particular Portfolio shall not exceed 1.50% of such Portfolio’s NAV.
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Notes to FiNaNcial statemeNts (continued)
NOTE H: Futures Transactions The Fund may buy or sell financial futures contracts. The Fund bears the market risk that arises from changes in the value of these financial instruments. The Fund’s activities in financial futures contracts are conducted through regulated exchanges, which do not result in counterparty credit risk.
At the time the Fund enters into a financial futures contract, the Fund deposits and maintains with the broker as collateral an initial margin as required by the exchange on which the transaction is affected.
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 the variation margin and are recorded by the Fund as unrealized gains or losses. 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.
As of June 30, 2016, Multi-Strategy Alpha Portfolio had cash collateral amounting to $1,192,508 owed to Citigroup Global Markets Inc. for its futures and option contracts.
NOTE I: Swap Transactions A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset or otherwise determined notional amount. Realized gains and (losses) and changes in unrealized appreciation and (depreciation) on swaps are included in the Combined Statement of Operations and Changes in Net Assets respectively under “Realized gain and (losses) on investments, forward foreign currency contracts, swaps, financial futures contracts, options and currency” and “Changes in unrealized appreciation and (depreciation) on swaps”. Cash collateral held by/owed to broker in relation to swap contracts is recorded as part of “Cash” in the Statement of Assets and Liabilities.
Total Return SwapsA total return swap is a bilateral agreement in which each of the parties agree to exchange the total performance of an underlying asset for a series of interest payments based on a notional amount that serves as a computation basis.
As of June 30, 2016, Multi-Strategy Alpha Portfolio had cash collateral amounting to $4,260,000 owed to Morgan Stanley and cash collateral amounting to $350,000 owed to Bank of America Merrill Lynch for its total return swaps. Diversified Equity Alpha Portfolio had cash collateral amounting to $1,390,000 owed to Morgan Stanley for its total return swaps.
Credit Default SwapsThe buyer in a credit default swap agreement is obligated to pay the seller a periodic stream of payments over the term of the
Transaction costs are costs incurred in the acquisition, issue or disposal of transferable securities, money market instruments, derivatives or other eligible assets. They can include bid-ask spread, fees and commissions paid to agents, advisers, brokers and dealers, transaction related taxes and other market charges. They do not include debt premiums or discounts, financing costs or internal administrative or holding costs. Transaction costs are included within the cost of investments in the Portfolio of Investments as well as in the “Net realized gains and (losses) on investments and change in unrealized appreciation and (depreciation) on investments” in the Statement of Operations and Changes in Net Assets. Transaction costs are excluded
from the Total Expense Ratio and/or expense reimbursement calculation.
For the period ended June 30, 2016, the amount of transaction costs incurred by each Portfolio is detailed in the following table: Transaction AB SICAV II– Currency costs
NOTE G: Forward Foreign Currency ContractsA forward foreign currency contract is a commitment to purchase or sell 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 is included in “Net realized gains or losses on investments, forward foreign currency contracts, swaps, and foreign currency” in the Statement of Operations and Changes in Net Assets. Fluctuations in the value of open forward foreign currency contracts are reflected, for financial reporting purposes as a component of unrealized appreciation or depreciation on forward foreign currency contracts. One or more of a Portfolio’s share classes offered in a particular currency (each, an “Offered Currency”) may be hedged to such Offered Currency. Any such share class will constitute a “Currency Hedged Share Class”. Currency Hedged Share Classes aim to provide investors a return more closely correlated to the Portfolio’s base currency return by reducing the effect of exchange rate fluctuations between the Portfolio’s base currency and the relevant Offered Currency, taking into account practical considerations such as transaction costs.
The hedging strategy employed is designed to reduce, but may not eliminate, currency exposure between the Portfolio’s base currency and the Offered Currency. Risks may arise from the potential inability of counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the hedged currency.
Given that there is no segregation of liabilities between the various share classes within a Portfolio, there is a remote risk that, under certain circumstances, currency hedging transactions in relation to a Currency Hedged Share Class could result in liabilities which might affect the NAV of the other share classes of the same Portfolio, in which case assets of the other share classes of the Portfolio may be used to cover the liabilities incurred by such Currency Hedged Share Class. The securities in the Fund are used as collateral for forward foreign currency contracts including the ones used for share class hedging.
As of June 30 2016, there was no cash collateral held for forward foreign currency contracts.
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NOTE J: Option TransactionsThe Fund may purchase and write (sell) put and call options on securities. 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 a change in market value should the counterparty not perform under the contract. 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 the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written.
Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing
purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option.
Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
As of June 30, 2016, Multi-Strategy Alpha Portfolio had cash collateral amounting to $310,000 owed to Morgan Stanley for its options. Any cash held by/owed to broker is recorded as part of “Cash” in the Statement of Assets and Liabilities.
NOTE K: Broker AccountsAll derivative instruments, as listed in the Portfolio of Investments and Notes G, H, I and J within the Notes to Financial Statement, are transacted through third party brokers. These brokers hold the collateral described in those notes. The Fund is exposed to counterparty risk in respect of all amounts including
collateral due to it from such brokers. It should be noted that in accordance with the terms of the depositary agreement with the Depositary, the Depositary has no responsibility in the selection of brokers selected in the context of the Fund’s investment strategies and does not take responsibility for assets and cash kept at such brokers
NOTE L: Foreign Exchange Prime BrokerThe foreign exchange prime broker authorizes One River Asset Management LLC to act as its agent on behalf of the fund in executing FX and Options transactions, so the fund’s collateral requirements are netted across all deals handled by the foreign
exchange prime broker. The cash collateral is not segregated per instrument type.
As of June 30, 2016, Multi-Strategy Alpha Portfolio had cash collateral amounting to $851,287 owed to Deutsche Bank AG for its derivatives instruments.
contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation.
At June 30, 2016 there was no collateral posted in relation to credit default swaps.
Interest Rate SwapsAn interest rate swap is a negotiated contract in which two parties agree to exchange periodic fixed or floating interest payments for a defined period, calculated based upon a predetermined notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. The Portfolio of Investments reflects unrealized appreciation and (depreciation) on open swap positions as of June 30, 2016.
As of June 30, 2016, Multi-Strategy Alpha Portfolio had cash collateral amounting to $332,769 owed to Citigroup Global Markets Inc. for its interest rate swaps.
As of June 30 2016, Multi-Strategy Alpha Portfolio had the following securities pledged as collateral:
AB SICAV II - Multi-Strategy Alpha Portfolio Market Value
* Unaudited(1) Multi-Strategy Alpha Portfolio’s Total Expense Ratio includes the amount of expenses incurred through its investment in the Diversified
Equity Alpha Portfolio. The Total Expense Ratios excluding these amounts were: 2.72% for Class A, 2.72% for Class A EUR H, 1.91% for Class I, 1.07% for Class S, 1.87% for Class S1 and 1.27% for Class SQD.
(2) Annual fee equal to the lesser of $50,000 or 0.01% of average daily net asset value.(3) The Management and Management Company fees are waived with respect to Class Z shares to avoid duplication of fees as the
Management and Management Company fees are paid at the level of the Portfolio which invests in Class Z shares.
Financial Information on the FundThe prospectus and the Key Investor Information Documents (KIIDs) of the Fund, information concerning issue and repurchase prices, purchases and sales of securities, the financial situation of the Fund and copies of annual and semiannual reports can be requested free of charge from:
AllianceBernstein Investor Services, a unit of AllianceBernstein (Luxembourg) S.à r.l.2-4, rue Eugène Ruppert L-2453 Luxembourg
UniCredit Bank Austria AGSchottengasse 6-81010 ViennaAustria
Skandinaviska Enskilda Bauken AB (publ)Sergels Torg 2SE-106 40 StockholmSweden
Skandinaviska Enskilda Banken AB (publ)Kungsträdgårdsgatan 8SE-10640 StokholmSweden
BNP Paribas Securities Services3, rue d’Antin75002, ParisFrance
BHF-BANK AktiengesellschaftBockenheimer Landstraße 1060323 Frankfurt am MainGermany
AllianceBernstein Hong Kong LimitedSuite 3401, One International Finance Centre1 Harbour View Street, CentralHong Kong
BNP Paribas Securities Services SA, Milan BranchVia Ansperto 5MilanItalySociété Générale Securities Services S.p.ASanta Chiara 19TurinItaly
BNP Paribas Securities Services, Paris, Succursale de Zurich, was authorized by the Swiss Financial Market Supervisory Authority as Swiss representative of the Fund, and also acts as paying agent. The prospectus, the articles of incorporations of the Fund, the annual and semi-annual reports, as well as the list of the purchases and sales which the Fund has undertaken during the financial year, may be obtained, on simple request and free of charge, at the head office of the Swiss representative, BNP Paribas Securities Services, Paris, Succursale de Zurich, Selnaustrasse 16, CH-8022 Zürich, Switzerland.
The Fund’s publications in Switzerland are on www.fundinfo.com. The issue and redemption prices of the Shares of the Fund, respectively the Net Asset Value per Share (with the mention “excluding commissions”), are published jointly and on a daily basis on www.fundinfo.com.
The Net Asset Value of the Portfolios of the Fund are published on a daily basis at www.abglobal.com
The KIIDs of the Fund are made available at www.abglobal.com/go/kiid.
The accounts of each Portfolio will be established in the relevant currency of the Portfolio and consolidated accounts of the Fund are established in U.S. Dollars. Any other financial information to be published concerning any Portfolio of the Fund or the Management Company, including the daily Net Asset Value of the Shares of any class of any Portfolio and any suspension of such valuation, will be made available to the Shareholders at no cost to them at the offices of the Management Company.
Notice to ShareholdersThe expected level of leverage is calculated as the sum of If required by law and applicable regulations, notice to Shareholders will be published in the Recueil Electronique des Sociétés et Associations (RESA) (formerly the “Mémorial”) and in such other newspaper(s) in such countries as the Management Company may from time to time determine.
Important NoticeControversial Weapons PolicyThe Management Company arranges for the screening of companies globally for their corporate involvement in antipersonnel mines, cluster munitions and/or munitions made with depleted uranium. Where such corporate involvement has been verified, the Management Company’s policy is not to permit investment in securities issued by such companies by the Fund.
shareholder’s iNFormatioN (unaudited)
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maNagemeNt comPaNy: AllianceBernstein (Luxembourg) S.à r.l. 2-4 rue Eugène Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg RCS: B34405
board oF directors oF the FuNd: Bertrand Reimmel Silvio D. Cruz Louis T. Mangan Yves Prussen
board oF maNagers oF the Bertrand Reimmel maNagemeNt comPaNy: Silvio D. Cruz Louis T. Mangan Yves Prussen Simone Thelen Christopher Bricker
REGISTERED OFFICE: c/o AllianceBernstein (Luxembourg) S.à r.l. 2-4, rue Eugène Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg
INVESTMENT MANAGER*: AllianceBernstein L.P. 1345 Avenue of the Americas New York, New York 10105 United States of America
DISTRIBUTORS*: AllianceBernstein Investments a unit of AllianceBernstein (Luxembourg) S.à r.l. 2-4, rue Eugène Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg
ADMINISTRATIVE AGENT*, PRINCIPAL PAYING State Street Bank Luxembourg S.C.A.AGENT* AND DEPOSITARY: 49, Avenue J.F. Kennedy L-1855 Luxembourg Grand Duchy of Luxembourg
REGISTRAR AND TRANSFER AGENT*: AllianceBernstein Investor Services a unit of AllianceBernstein (Luxembourg) S.à r.l. 2-4, rue Eugène Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg
* Delegated by the Management Company.
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shareholder’s iNFormatioN (unaudited) (continued)
INDEPENDENT AUDITOR: Ernst & Young S.A. 35E, Avenue J.F. Kennedy, L-1855 Luxembourg Grand Duchy of Luxembourg
LEGAL ADVISERS: Elvinger Hoss Prussen 2, Place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg
Schulte Roth & Zabel LLP 919 Third Avenue New York, New York 10022 United States of America