SEMI-ANNUAL REPORT AB SICAV II - Fondsvermittlung24.de€¦ · SEMI-ANNUAL REPORT AB SICAV II +...

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

1

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

Letter to SharehoLderS

AB SICAV II

2

6 months Since inception date

Diversified Equity Alpha PortfolioClass

A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -3.07% -5.27%(1)I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.65% -4.53%(1)S1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.65% -4.47%(1)Z. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -2.16% -3.53%(1)

Multi-Strategy Alpha PortfolioClass

A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.14% -4.13%(1)A EUR H . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.14% -2.00%(2)I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.39% -2.60%(1)S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.97% -2.60%(1)S1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.55% -3.33%(1)SQD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.83% -2.80%(1)

China Equity PortfolioClass

S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -12.09% -5.79%(3)

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

AB SICAV II

3

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

ARRIS International PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,469 $ 72,710 0.3%Radware Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,832 31,889 0.1 104,599 0.4

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTSCorning, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,116 330,056 1.4TE Connectivity Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,964 283,494 1.2 613,550 2.6

INTERNET SOFTWARE & SERVICESFacebook, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,047 119,651 0.5Rackspace Hosting, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,962 40,927 0.2 160,578 0.7

IT SERVICESCSRA, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,490 34,911 0.1PayPal Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 991 36,181 0.2Western Union Co. (The) - Class W . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,894 228,127 0.9 299,219 1.2

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENTAdvanced Micro Devices, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,498 28,260 0.1Broadcom Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,279 354,157 1.5Microsemi Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,341 76,504 0.3NVIDIA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539 25,338 0.1 484,259 2.0

SOFTWAREActivision Blizzard, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,357 133,038 0.6CommVault Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 936 40,426 0.2Oracle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,585 146,734 0.6PTC, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,930 72,529 0.3Symantec Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,305 273,285 1.1Take-Two Interactive Software, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,178 234,270 1.0Verint Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,173 71,991 0.3VMware, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,469 84,056 0.3 1,056,329 4.4

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALSNCR Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,883 107,831 0.4NetApp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,651 138,958 0.6Western Digital Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,231 341,737 1.4 588,526 2.4 3,307,060 13.7

CONSUMER DISCRETIONARYAUTO COMPONENTS

Goodyear Tire & Rubber Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,239 160,093 0.6Johnson Controls, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,670 295,214 1.2Tenneco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,410 65,720 0.3Visteon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,773 116,681 0.5 637,708 2.6

AUTOMOBILESPeugeot SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,464 65,492 0.3

HOTELS, RESTAURANTS & LEISUREBuffalo Wild Wings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372 51,689 0.2Carnival Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,134 50,123 0.2McDonald’s Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 971 116,850 0.5 218,662 0.9

HOUSEHOLD DURABLESCalAtlantic Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,882 215,928 0.9Mohawk Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 681 129,227 0.5 345,155 1.4

INTERNET & CATALOG RETAILLiberty Interactive Corp. QVC Group - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,670 270,698 1.1

MEDIAComcast Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,886 318,518 1.3Discovery Communications, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,955 74,555 0.3DISH Network Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,147 164,903 0.7JCDecaux SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,761 227,960 1.0Time Warner, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,908 287,394 1.2 1,073,330 4.5

AB SICAV II

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PortfoLio of inveStmentS (continued) Diversified Equity Alpha Portfolio


SPECIALTY RETAILHome Depot, Inc. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,186 $ 151,440 0.6%Industria de Diseno Textil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,649 122,584 0.5MarineMax, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,287 38,811 0.2 312,835 1.3

TEXTILES, APPAREL & LUXURY GOODSCoach, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,389 138,068 0.6Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,721 42,957 0.2 181,025 0.8 3,104,905 12.9

FINANCIALSBANKS

Bank of America Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,400 257,438 1.1Bank of the Ozarks, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,536 132,671 0.5Signature Bank/New York NY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 424 52,966 0.2Western Alliance Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,811 124,429 0.5 567,504 2.3

CAPITAL MARKETSAffiliated Managers Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,015 142,882 0.6Ameriprise Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,491 223,816 0.9Invesco Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,131 79,966 0.3OM Asset Management PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,006 40,130 0.2 486,794 2.0

DIVERSIFIED CONSUMER SERVICESIntercontinental Exchange, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 194 49,656 0.2

INSURANCEAflac, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,915 354,666 1.5AmTrust Financial Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,483 85,334 0.4Assurant, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,563 134,903 0.6Lincoln National Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,173 200,557 0.8Willis Towers Watson PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,630 202,625 0.8 978,085 4.1 2,082,039 8.6

MATERIALSCHEMICALS

Celanese Corp. - Series A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,529 230,973 0.9Eastman Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 895 60,770 0.2LyondellBasell Industries NV - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 871 64,820 0.3Sherwin-Williams Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 968 284,273 1.2 640,836 2.6

CONSTRUCTION MATERIALSBuzzi Unicem SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,218 38,868 0.2

CONTAINERS & PACKAGINGOwens-Illinois, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,731 67,195 0.3

METALS & MININGBoliden AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,390 66,255 0.3Impala Platinum Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,502 33,837 0.1Newmont Mining Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,985 195,013 0.8Teck Resources Ltd. - Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,325 333,530 1.4United States Steel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,371 157,995 0.6 786,630 3.2

PAPER & FOREST PRODUCTSCanfor Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,005 141,465 0.6West Fraser Timber Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,570 75,133 0.3 216,598 0.9 1,750,127 7.2

HEALTH CAREBIOTECHNOLOGY

Gilead Sciences, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,346 112,283 0.4HEALTH CARE EQUIPMENT & SUPPLIES

Becton Dickinson and Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 457 77,503 0.3HEALTH CARE PROVIDERS & SERVICES

Acadia Healthcare Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,747 96,784 0.4Aetna, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,725 332,804 1.4Anthem, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,986 260,841 1.1HCA Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,057 81,400 0.3Universal Health Services, Inc. - Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,397 187,338 0.8 959,167 4.0

AB SICAV II

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Diversified Equity Alpha Portfolio


PHARMACEUTICALSAllergan PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,832 $ 423,357 1.8%Bristol-Myers Squibb Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,400 176,520 0.7 599,877 2.5 1,748,830 7.2

INDUSTRIALSAEROSPACE & DEFENSE

Airbus Group SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,087 62,307 0.3AIR FREIGHT & LOGISTICS

FedEx Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,313 199,287 0.8AIRLINES

Delta Air Lines, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,381 159,600 0.7BUILDING PRODUCTS

AO Smith Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303 26,697 0.1CONSTRUCTION & ENGINEERING

AECOM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,483 110,655 0.5ELECTRICAL EQUIPMENT

Eaton Corp. PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,870 290,885 1.2MARINE

Kirby Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,276 79,610 0.3ROAD & RAIL

Avis Budget Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,428 78,254 0.3Hertz Global Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,580 117,121 0.5Kansas City Southern . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,579 232,342 1.0Swift Transportation Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,460 130,369 0.5 558,086 2.3

TRADING COMPANIES & DISTRIBUTORSAerCap Holdings NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,565 153,338 0.6MRC Global, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,362 33,564 0.2 186,902 0.8

TRANSPORTATION SERVICESEuropcar Groupe SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,615 31,093 0.1 1,705,122 7.1

ENERGYENERGY EQUIPMENT & SERVICES

National Oilwell Varco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,284 245,107 1.0OIL, GAS & CONSUMABLE FUELS

Apache Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 591 32,901 0.1Continental Resources, Inc./OK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,547 251,113 1.1EOG Resources, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,992 333,013 1.4Newfield Exploration Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,429 151,493 0.6Occidental Petroleum Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,963 148,324 0.6Suncor Energy, Inc. (New York) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,784 326,770 1.4 1,243,614 5.2 1,488,721 6.2

CONSUMER STAPLESBEVERAGES

Constellation Brands, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,688 279,195 1.2Monster Beverage Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,488 239,137 1.0 518,332 2.2

CONSUMER PRODUCTSAlphabet, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 352 247,642 1.0

FOOD PRODUCTSJM Smucker Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243 37,036 0.1WhiteWave Foods Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,443 114,674 0.5 151,710 0.6 917,684 3.8

TELECOMMUNICATION SERVICESDIVERSIFIED TELECOMMUNICATION SERVICES

Cellnex Telecom SAU . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,993 46,968 0.2Sunrise Communications Group AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,104 70,587 0.3 117,555 0.5 16,222,043 67.2

AB SICAV II

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Shares/Contracts Value Net Assets (USD) %

DEPOSITORY RECEIPTSMATERIALSMETALS & MINING

Rio Tinto PLC (Sponsored ADR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,044 $ 126,577 0.5%INDUSTRIALSAIRLINES

Latam Airlines Group SA (Sponsored ADR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 971 6,409 0.0 132,986 0.5

OPTIONS PURCHASED - PUTSAlibaba Group Holding Ltd.

Expiration: Aug 2016, Exercise Price: $75.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 537 0.0Bank of the Ozarks, Inc.

Expiration: Aug 2016, Exercise Price: $35.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 778 0.0BofI Holding, Inc.

Expiration: Jul 2016, Exercise Price: $17.50(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 457 0.0BofI Holding, Inc.

Expiration: Jul 2016, Exercise Price: $20.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1,359 0.0CarMax, Inc.

Expiration: Jul 2016, Exercise Price: $50.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1,003 0.0Cheniere Energy, Inc.

Expiration: Sep 2016, Exercise Price: $30.00(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 1,304 0.0Five Below, Inc.

Expiration: Aug 2016, Exercise Price: $46.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 860 0.0Five Below, Inc.

Expiration: Nov 2016, Exercise Price: $40.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1,119 0.0Fortescue Metals Group Ltd.

Expiration: Jul 2016, Exercise Price: AUD 3.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 236 0.0Fortescue Metals Group Ltd.

Expiration: Jul 2016, Exercise Price: AUD 3.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97 477 0.0Fortescue Metals Group Ltd.

Expiration: Aug 2016, Exercise Price: AUD 2.80(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162 1,087 0.0Fortescue Metals Group Ltd.

Expiration: Sep 2016, Exercise Price: AUD 3.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66 1,044 0.0Freeport-McMoRan, Inc.

Expiration: Jul 2016, Exercise Price: $10.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 460 0.0Freeport-McMoRan, Inc.

Expiration: Jul 2016, Exercise Price: $11.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 874 0.0GlenCore PLC

Expiration: Jul 2016, Exercise Price: GBP 1.30(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,566 98 0.0GNC Holdings, Inc.

Expiration: Sep 2016, Exercise Price: $25.00(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 1,712 0.0GrubHub, Inc.

Expiration: Jul 2016, Exercise Price: $25.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 95 0.0GrubHub, Inc.

Expiration: Sep 2016, Exercise Price: $30.00(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 795 0.0Horizon Pharma PLC

Expiration: Aug 2016, Exercise Price: $14.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 233 0.0HP, Inc.

Expiration: Aug 2016, Exercise Price: $12.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 1,449 0.0Kingsoft Corp., Ltd.

Expiration: Jun 2016, Exercise Price: HKD 14.00(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,000 2 0.0Lenovo Group Ltd.

Expiration: Jul 2016, Exercise Price: HKD 5.00(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,000 3,440 0.1LifeLock, Inc.

Expiration: Jul 2016, Exercise Price: $15.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 182 0.0LifeLock, Inc.

Expiration: Aug 2016, Exercise Price: $14.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 364 0.0lululemon athletica, Inc.

Expiration: Jul 2016, Exercise Price: $70.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 113 0.0lululemon athletica, Inc.

Expiration: Sep 2016, Exercise Price: $70.00(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 613 0.0Mallinckrodt PLC

Expiration: Jul 2016, Exercise Price: $55.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 553 0.0Mobileye NV

Expiration: Jul 2016, Exercise Price: $35.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 11 0.0Netflix, Inc.

Expiration: Jul 2016, Exercise Price: $90.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 1,139 0.0Netflix, Inc.

Expiration: Jul 2016, Exercise Price: $95.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 1,500 0.0Santander Consumer USA Holdings, Inc.

Expiration: Sep 2016, Exercise Price: $13.00(a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 2,975 0.0Signet Jewelers Ltd.

Expiration: Jul 2016, Exercise Price: $85.00(a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 1,762 0.0

AB SICAV II

7


Rate Date Contracts/Principal Value Net Assets (-)/(000) (USD) %

Signet Jewelers Ltd. Expiration: Jul 2016, Exercise Price: $90.00(a) . . . . . . . . . . . . . . . 3 $ 2,436 0.0%

SolarCity Corp. Expiration: Jul 2016, Exercise Price: $22.00(a) . . . . . . . . . . . . . . . 3 216 0.0

Sotheby’s Expiration: Jul 2016, Exercise Price: $27.00(a) . . . . . . . . . . . . . . . 9 662 0.0

Sotheby’s Expiration: Jul 2016, Exercise Price: $29.00(a) . . . . . . . . . . . . . . . 7 1,366 0.0

Sotheby’s Expiration: Jul 2016, Exercise Price: $30.00(a) . . . . . . . . . . . . . . . 7 1,956 0.0

Southwestern Energy Co. Expiration: Jul 2016, Exercise Price: $15.00(a) . . . . . . . . . . . . . . . 19 4,737 0.1

Tesla Motors, Inc. Expiration: Jul 2016, Exercise Price: $215.00(a) . . . . . . . . . . . . . . 1 1,066 0.0

Tesla Motors, Inc. Expiration: Jul 2016, Exercise Price: $230.00(a) . . . . . . . . . . . . . . 1 2,190 0.0

Zillow Group, Inc. Expiration: Jul 2016, Exercise Price: $30.00(a) . . . . . . . . . . . . . . . 12 173 0.0

Zillow Group, Inc. Expiration: Aug 2016, Exercise Price: $30.00(a) . . . . . . . . . . . . . . 7 711 0.0

44,144 0.2MONEY MARKET INSTRUMENTSGOVERNMENT ISSUES

U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01% 9/15/16 USD 5,234 5,231,122 21.7U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/21/16 1,050,000 1,049,893 4.3 6,281,016 26.0

Total Investments(cost $23,254,856) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 22,680,189 93.9%

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,463,074 6.1Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 24,143,263 100.0%

FORWARD FOREIGN CURRENCY CONTRACTS Contracts to In Exchange Unrealized Deliver For Settlement Appreciation/ Counterparty (000) (000) Date (Depreciation)

Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 71 USD 74 7/15/16 $ 1,903Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 332 USD 378 7/15/16 9,602Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 28 USD 31 7/15/16 (165)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 4 CHF 4 7/15/16 (87)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 62 EUR 55 7/15/16 (1,437)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 221 USD 173 8/31/16 1,540Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 33 USD 25 8/31/16 (250)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 5 USD 5 8/31/16 95Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 302 USD 342 8/31/16 5,503Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 8 USD 8 8/31/16 (43)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 32 USD 43 8/31/16 1,807Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 63 USD 7 8/31/16 (183)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 429 USD 52 8/31/16 1,266Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 108 USD 13 8/31/16 (45)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 44 CAD 58 8/31/16 309Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 10 EUR 9 8/31/16 49Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 64 EUR 58 8/31/16 (510)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 11 GBP 8 8/31/16 79Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 30 GBP 22 8/31/16 (931)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 NOK 60 8/31/16 105Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 493 USD 33 8/31/16 (200) $ 18,407

Appreciation $ 22,258 Depreciation $ (3,851)

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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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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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

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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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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


TRANSFERABLE SECURITIES QUOTED ON A STOCK EXCHANGE OR DEALT IN ON ANOTHER REGULATED MARKETCOMMON STOCKSINFORMATION TECHNOLOGYCOMMUNICATIONS EQUIPMENT

ARRIS International PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,423 $ 134,626 0.1%Polycom, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78,656 884,880 0.6Radware Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,506 61,998 0.1 1,081,504 0.8

ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTSCorning, Inc. (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,089 616,223 0.4TE Connectivity Ltd. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,300 531,123 0.4 1,147,346 0.8

INTERNET SOFTWARE & SERVICESFacebook, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,130 243,416 0.2LinkedIn Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,276 1,187,733 0.8Rackspace Hosting, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,771 78,663 0.1 1,509,812 1.1

IT SERVICESCSRA, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,863 67,080 0.0PayPal Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,018 73,677 0.1Western Union Co. (The) - Class W (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,244 426,640 0.3 567,397 0.4

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENTAdvanced Micro Devices, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,189 57,512 0.1Broadcom Ltd. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,296 667,598 0.5Microsemi Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,274 139,674 0.1NVIDIA Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,098 51,617 0.0 916,401 0.7

SOFTWAREActivision Blizzard, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,832 270,752 0.2CommVault Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,799 77,699 0.1Oracle Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,888 281,926 0.2PTC, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,709 139,384 0.1Symantec Corp. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,611 505,510 0.4Take-Two Interactive Software, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,575 476,844 0.3Verint Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,176 138,351 0.1VMware, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,822 161,475 0.1 2,051,941 1.5

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALSLexmark International, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,642 892,486 0.6NCR Corp. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,208 200,166 0.1NetApp, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,859 267,023 0.2Western Digital Corp. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,578 641,696 0.5 2,001,371 1.4 9,275,772 6.7


Goodyear Tire & Rubber Co. (The) (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,642 298,734 0.2Johnson Controls, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,379 547,895 0.4Tenneco, Inc. (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,638 122,957 0.1Visteon Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,609 237,508 0.2 1,207,094 0.9

AUTOMOBILESPeugeot SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,025 132,147 0.1

HOTELS, RESTAURANTS & LEISUREBuffalo Wild Wings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 758 105,324 0.1Carnival Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,308 102,014 0.1McDonald’s Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,865 224,434 0.2Starwood Hotels & Resorts Worldwide, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,703 1,457,037 1.0 1,888,809 1.4

HOUSEHOLD DURABLESCalAtlantic Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,972 439,492 0.3Mohawk Industries, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,385 262,818 0.2 702,310 0.5

INTERNET & CATALOG RETAILLiberty Interactive Corp. QVC Group - Class A (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,811 502,605 0.3

MEDIAComcast Corp. - Class A (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,096 592,968 0.5Discovery Communications, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,677 143,231 0.1

AB SICAV II

13

Multi-Strategy Alpha Portfolio


DISH Network Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,046 $ 316,810 0.2%JCDecaux SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,991 438,015 0.3Time Warner, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,509 552,212 0.4 2,043,236 1.5

SPECIALTY RETAILHome Depot, Inc. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,414 308,243 0.2Industria de Diseno Textil SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,426 249,469 0.1MarineMax, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,657 79,029 0.1 636,741 0.4

TEXTILES, APPAREL & LUXURY GOODSCoach, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,897 280,984 0.2Moncler SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,443 85,930 0.1 366,914 0.3 7,479,856 5.4

HEALTH CAREBIOTECHNOLOGY

Gilead Sciences, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,586 215,724 0.2Medivation, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,335 1,165,901 0.8 1,381,625 1.0

HEALTH CARE EQUIPMENT & SUPPLIESAlere, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,344 139,378 0.1Becton Dickinson and Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 878 148,900 0.1St Jude Medical, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,271 723,138 0.6 1,011,416 0.8

HEALTH CARE PROVIDERS & SERVICESAcadia Healthcare Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,357 185,978 0.1Aetna, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,074 619,688 0.4Anthem, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,695 485,301 0.4HCA Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,031 156,407 0.1Humana, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,018 1,082,518 0.8Universal Health Services, Inc. - Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,684 359,924 0.3 2,889,816 2.1

PHARMACEUTICALSAllergan PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,520 813,437 0.6Bristol-Myers Squibb Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,611 339,139 0.2Meda AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,355 260,303 0.2 1,412,879 1.0 6,695,736 4.9

MATERIALSCHEMICALS

Axiall Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,492 929,124 0.7Celanese Corp. - Series A (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,601 432,035 0.3Eastman Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,821 123,646 0.1LyondellBasell Industries NV - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,773 131,947 0.1Monsanto Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,263 337,427 0.2Sherwin-Williams Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,859 545,932 0.4Valspar Corp. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,895 1,609,107 1.2 4,109,218 3.0

CONSTRUCTION MATERIALSBuzzi Unicem SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,513 79,086 0.1

CONTAINERS & PACKAGINGOwens-Illinois, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,962 125,386 0.1

METALS & MININGBoliden AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,900 134,854 0.1Impala Platinum Holdings Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,373 68,862 0.0Newmont Mining Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,147 396,951 0.3Teck Resources Ltd. - Class B . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,543 678,821 0.5United States Steel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,070 321,520 0.2 1,601,008 1.1

PAPER & FOREST PRODUCTSCanfor Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,504 287,919 0.2West Fraser Timber Co., Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,231 152,928 0.1 440,847 0.3 6,355,545 4.6

INDUSTRIALSAEROSPACE & DEFENSE

Airbus Group SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,089 119,741 0.1

AB SICAV II

14

PortfoLio of inveStmentS (continued) Multi-Strategy Alpha Portfolio


AIR FREIGHT & LOGISTICSFedEx Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,523 $ 382,941 0.3%

AIRLINESDelta Air Lines, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,917 324,846 0.2

BUILDING PRODUCTSAO Smith Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 618 54,452 0.0

COMMERCIAL SERVICES & SUPPLIESGategroup Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,496 237,248 0.1Tyco International PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,928 380,333 0.3 617,581 0.4

CONSTRUCTION & ENGINEERINGAECOM (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,497 206,410 0.2

ELECTRICAL EQUIPMENTEaton Corp. PLC (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,019 538,705 0.4

MACHINERYKUKA AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,037 241,611 0.2

MARINEKirby Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,598 162,089 0.1

ROAD & RAILAvis Budget Group, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,550 146,647 0.1Hertz Global Holdings, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,773 218,887 0.2Kansas City Southern . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,249 472,882 0.3Swift Transportation Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,218 265,329 0.2 1,103,745 0.8

TRADING COMPANIES & DISTRIBUTORSAerCap Holdings NV (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,498 285,448 0.2MRC Global, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,409 62,652 0.1 348,100 0.3

TRANSPORTATION SERVICESEuropcar Groupe SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,358 63,288 0.0 4,163,509 3.0

FINANCIALSBANKS

Bank of America Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,275 494,639 0.3Bank of the Ozarks, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,794 254,911 0.2Signature Bank/New York NY . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 813 101,560 0.1Western Alliance Bancorp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,322 239,063 0.2 1,090,173 0.8

CAPITAL MARKETSAffiliated Managers Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,950 274,502 0.1Ameriprise Financial, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,617 414,837 0.3Invesco Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,015 153,623 0.1OM Asset Management PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,776 77,110 0.1 920,072 0.6

DIVERSIFIED CONSUMER SERVICESIntercontinental Exchange, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373 95,473 0.1

INSURANCEAflac, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,176 662,140 0.5AmTrust Financial Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,478 158,711 0.1Assurant, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,922 252,198 0.2Lincoln National Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,667 374,789 0.2National Interstate Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 484 0.0Willis Towers Watson PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,038 377,654 0.3 1,825,976 1.3 3,931,694 2.8

ENERGYENERGY EQUIPMENT & SERVICES

National Oilwell Varco, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,446 452,458 0.3OIL, GAS & CONSUMABLE FUELS

Apache Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,134 63,130 0.1Continental Resources, Inc./OK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,289 511,053 0.4EOG Resources, Inc. (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,422 619,143 0.5Newfield Exploration Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,980 308,377 0.2Occidental Petroleum Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,995 301,862 0.2Suncor Energy, Inc. (New York) (a). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,026 610,781 0.4 2,414,346 1.8 2,866,804 2.1

AB SICAV II

15


Rate Date Shares/Principal Value Net Assets (-)/(000) (USD) %


Constellation Brands, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . 3,243 $ 536,392 0.4%Monster Beverage Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,028 486,630 0.3 1,023,022 0.7

CONSUMER PRODUCTSAlphabet, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 706 496,692 0.4

FOOD & STAPLES RETAILINGRite Aid Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,868 223,711 0.2

FOOD PRODUCTSJM Smucker Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 468 71,328 0.1WhiteWave Foods Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,971 233,339 0.1 304,667 0.2 2,048,092 1.5

UTILITIESELECTRIC UTILITIES

ITC Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37,599 1,760,385 1.3TELECOMMUNICATION SERVICESDIVERSIFIED TELECOMMUNICATION SERVICES

Cellnex Telecom SAU . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,752 90,264 0.1Sunrise Communications Group AG . . . . . . . . . . . . . . . . . . . . . . . . . 2,122 135,676 0.1 225,940 0.2 44,803,333 32.5

INVESTMENT COMPANIESAB SICAV II - Diversified Equity Alpha Portfolio . . . . . . . . . . . . . . 1,666,667 24,116,667 17.5

CORPORATE BONDSCORPORATE - HIGH YIELDAEROSPACE & DEFENSE

StandardAero Aviation Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . 10.00% 7/15/23 USD 250 249,375 0.2AUTOMOBILES

Omega US Sub LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.75% 7/15/23 125 122,500 0.1BANKS

Ally Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.13% 9/30/24 235 239,406 0.2Citigroup, Inc., Series T(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25% 8/15/26 55 56,513 0.0Lloyds Banking Group PLC(b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50% 6/27/24 100 97,750 0.1 393,669 0.3

CHEMICALSAruba Investments, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.75% 2/15/23 185 178,988 0.1Blue Cube Spinco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.75% 10/15/23 305 353,037 0.3Cornerstone Chemical Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.38% 3/15/18 340 333,200 0.2Hexion, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.00% 4/15/20 285 266,475 0.2 1,131,700 0.8

CONSUMER CYCLICAL SERVICESAPX Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.75% 12/01/20 415 380,762 0.3Monitronics International, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.13% 4/01/20 400 332,000 0.2Prime Security Services Borrower LLC/Prime Finance, Inc. . . . . . . . 9.25% 5/15/23 230 243,800 0.2 956,562 0.7

DIVERSIFIED MANUFACTURINGManitowoc Co., Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12.75% 8/15/21 70 75,075 0.0Optimas OE Solutions Holding LLC/Optimas OE Solutions, Inc. . . . 8.63% 6/01/21 140 98,000 0.1 173,075 0.1

ELECTRICDynegy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.63% 11/01/24 20 19,200 0.0GenOn Americas Generation LLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.50% 10/01/21 265 210,675 0.1Illinois Power Generating Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.30% 4/01/20 220 84,700 0.1 314,575 0.2

ELECTRIC UTILITIESTexas Competitive Electric Holdings Co. LLC/TCEH Finance,

Inc.(c). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.50% 10/01/20 525 178,500 0.1ENVIRONMENTAL

Advanced Disposal Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25% 10/01/20 120 121,200 0.1FINANCIAL OTHER

Credit Acceptance Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.13% 2/15/21 175 166,688 0.1HEALTH CARE

Aurora Diagnostics Holdings/Aurora Diagnostics Financing, Inc. . . . 10.75% 1/15/18 230 195,500 0.1Crimson Merger Sub, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.63% 5/15/22 320 264,000 0.2HCA, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.88% 5/01/23 230 244,950 0.2

AB SICAV II

16


Rate Date Principal Value Net Assets (000) (USD) %

Kindred Healthcare, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.38% 4/15/22 USD 335 $ 298,987 0.2%Select Medical Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.38% 6/01/21 130 124,800 0.1Tenet Healthcare Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 6/15/23 190 181,925 0.1 1,310,162 0.9

HOME CONSTRUCTIONCentury Communities, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.88% 5/15/22 130 124,800 0.1

HOTELS RESTAURANTS & LEISUREAffinity Gaming/Affinity Gaming Finance Corp. . . . . . . . . . . . . . . . . 9.00% 5/15/18 120 122,700 0.1Chester Downs & Marina LLC/Chester Downs Finance Corp. . . . . . 9.25% 2/01/20 325 286,812 0.2Codere Finance 2 Luxembourg SA(d) . . . . . . . . . . . . . . . . . . . . . . . . . 9.00% 6/30/21 130 125,150 0.1Inn of the Mountain Gods Resort & Casino . . . . . . . . . . . . . . . . . . . . 9.25% 11/30/20 270 243,000 0.1MGM Growth Properties Operating Partnership LP/MGP Escrow

Co-Issuer, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.63% 5/01/24 240 253,800 0.2MGM Resorts International . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75% 3/15/22 75 84,750 0.1Mohegan Tribal Gaming Authority . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.75% 9/01/21 360 383,400 0.3Scientific Games International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00% 1/01/22 55 55,275 0.0Scientific Games International, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . 10.00% 12/01/22 90 73,125 0.1Shingle Springs Tribal Gaming Authority . . . . . . . . . . . . . . . . . . . . . . 9.75% 9/01/21 15 16,350 0.0Yum! Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.35% 11/01/43 5 4,025 0.0Yum! Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.88% 11/15/37 130 128,700 0.1 1,777,087 1.3

INDEPENDENTJupiter Resources, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.50% 10/01/22 310 222,425 0.2MEG Energy Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00% 3/31/24 235 180,950 0.1Memorial Production Partners LP/Memorial Production Finance

Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.88% 8/01/22 210 105,000 0.1Rice Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.25% 5/01/23 60 60,900 0.0Southwestern Energy Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.95% 1/23/25 80 76,600 0.1WPX Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00% 1/15/22 70 65,100 0.0 710,975 0.5

INDUSTRIAL OTHERAlgeco Scotsman Global Finance PLC . . . . . . . . . . . . . . . . . . . . . . . . 8.50% 10/15/18 245 198,450 0.2Harland Clarke Holdings Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.25% 3/01/21 225 188,134 0.1 386,584 0.3

INSURANCEGenworth Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.63% 9/24/21 120 102,150 0.1Radian Group, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00% 3/15/21 140 149,713 0.1 251,863 0.2

LIFE SCIENCES TOOLS & SERVICESIronwood Pharmaceuticals, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.00% 6/15/24 167 169,829 0.1

MEDIAAltice Financing SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50% 5/15/26 200 196,000 0.1CCO Holdings LLC/CCO Holdings Capital Corp. . . . . . . . . . . . . . . . 5.25% 9/30/22 175 179,594 0.1Cenveo Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00% 8/01/19 160 132,800 0.1Cenveo Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.50% 9/15/22 225 157,500 0.1Cequel Communications Holdings I LLC/Cequel Capital Corp. . . . . 7.75% 7/15/25 120 125,100 0.1Clear Channel Worldwide Holdings, Inc., Series B. . . . . . . . . . . . . . . 7.63% 3/15/20 80 76,120 0.1Cumulus Media Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75% 5/01/19 295 120,950 0.1DISH DBS Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.00% 3/15/23 55 50,050 0.0DISH DBS Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.88% 11/15/24 135 125,550 0.1iHeartCommunications, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.00% 12/15/19 135 101,250 0.1iHeartCommunications, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.00% 3/01/21 475 334,875 0.2iHeartCommunications, Inc.(d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14.00% 2/01/21 247 88,463 0.1Intelsat Jackson Holdings SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.25% 10/15/20 145 103,313 0.1Intelsat Jackson Holdings SA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50% 4/01/21 55 37,950 0.0Intelsat Luxembourg SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75% 6/01/21 200 49,000 0.0McClatchy Co. (The) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.00% 12/15/22 210 204,750 0.1Neptune Finco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.13% 1/15/23 235 262,612 0.2Neptune Finco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.88% 10/15/25 200 227,000 0.2Radio One, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.38% 4/15/22 130 124,150 0.1Radio One, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.25% 2/15/20 250 221,250 0.2 2,918,277 2.1

METALS & MININGAllegheny Technologies, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.88% 8/15/23 40 33,400 0.0Allegheny Technologies, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.38% 6/01/19 80 81,600 0.1CONSOL Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.88% 4/15/22 145 126,512 0.1First Quantum Minerals Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 2/15/20 160 133,600 0.1Freeport-McMoRan, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.45% 3/15/43 260 208,650 0.2IAMGOLD Corp.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 10/01/20 275 246,125 0.2Joseph T Ryerson & Son, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.00% 5/15/22 55 56,925 0.0Rain CII Carbon LLC/CII Carbon Corp. . . . . . . . . . . . . . . . . . . . . . . . 8.00% 12/01/18 95 82,175 0.1Rain CII Carbon LLC/CII Carbon Corp. . . . . . . . . . . . . . . . . . . . . . . . 8.25% 1/15/21 398 321,975 0.2

AB SICAV II

17



Teck Resources Ltd.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.00% 6/01/21 USD 10 $ 10,300 0.0%Teck Resources Ltd.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.50% 6/01/24 10 10,375 0.0 1,311,637 1.0

MIDSTREAMEnergy Transfer Equity LP. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.88% 1/15/24 105 102,113 0.1Rose Rock Midstream LP/Rose Rock Finance Corp. . . . . . . . . . . . . . 5.63% 7/15/22 270 237,600 0.1Sabine Pass Liquefaction LLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.75% 5/15/24 140 138,950 0.1Sabine Pass Liquefaction LLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.25% 3/15/22 105 107,887 0.1 586,550 0.4

OIL FIELD SERVICESBasic Energy Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75% 10/15/22 220 83,600 0.1Drill Rigs Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.50% 10/01/17 320 151,200 0.1Parker Drilling Co.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 7/15/22 250 188,125 0.1Weatherford International Ltd./Bermuda. . . . . . . . . . . . . . . . . . . . . . . 5.95% 4/15/42 70 49,700 0.0Weatherford International Ltd./Bermuda. . . . . . . . . . . . . . . . . . . . . . . 7.75% 6/15/21 70 68,162 0.1 540,787 0.4

OWNED NO GUARANTEECitgo Holding, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.75% 2/15/20 70 70,350 0.1

PACKAGINGSignode Industrial Group Lux SA/Signode Industrial Group US,

Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.38% 5/01/22 270 258,188 0.2PHARMACEUTICALS

Valeant Pharmaceuticals International, Inc.. . . . . . . . . . . . . . . . . . . . . 5.50% 3/01/23 295 236,922 0.2Valeant Pharmaceuticals International, Inc.. . . . . . . . . . . . . . . . . . . . . 7.50% 7/15/21 10 8,819 0.0 245,741 0.2

RETAILERSBon-Ton Department Stores, Inc. (The). . . . . . . . . . . . . . . . . . . . . . . . 8.00% 6/15/21 440 180,400 0.1Claire’s Stores, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.00% 3/15/19 300 178,500 0.1Guitar Center, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.50% 4/15/19 95 81,700 0.1Guitar Center, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.63% 4/15/20 420 291,900 0.2Hema Bondco I BV(e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.25% 6/15/19 EUR 100 79,902 0.1Hot Topic, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.25% 6/15/21 USD 105 106,313 0.1Nine West Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25% 3/15/19 415 66,400 0.0Rite Aid Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.70% 2/15/27 215 256,387 0.2Toys R Us, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.38% 10/15/18 165 140,250 0.1Toys R Us, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.38% 8/15/17 700 686,000 0.5 2,067,752 1.5

SUPERMARKETSNew Albertsons, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.00% 5/01/31 615 608,850 0.4SUPERVALU, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 6/01/21 170 142,797 0.1SUPERVALU, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75% 11/15/22 110 91,828 0.1 843,475 0.6

TECHNOLOGYAdvanced Micro Devices, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.00% 7/01/24 110 92,950 0.1Advanced Micro Devices, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50% 8/15/22 65 57,850 0.0Advanced Micro Devices, Inc.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.75% 8/01/20 435 404,550 0.3Aegis Merger Sub, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.25% 2/15/23 120 122,700 0.1BMC Software Finance, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.13% 7/15/21 480 360,000 0.2Boxer Parent Co., Inc.(d) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.00% 10/15/19 315 266,175 0.2Cengage Learning, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9.50% 6/15/24 100 101,750 0.1Diamond 1 Finance Corp./Diamond 2 Finance Corp. . . . . . . . . . . . . . 7.13% 6/15/24 75 78,332 0.1Global A&T Electronics Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.00% 2/01/19 215 150,500 0.1 1,634,807 1.2

TEXTILES APPAREL & LUXURY GOODSHT Intermediate Holdings Corp.(d). . . . . . . . . . . . . . . . . . . . . . . . . . . 12.00% 5/15/19 50 47,125 0.0

TRANSPORTATION INFRASTRUCTUREDeck Chassis Acquisition, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.00% 6/15/23 120 124,200 0.1

WIRELESS TELECOMMUNICATION SERVICESDigicel Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00% 4/15/21 100 85,720 0.1Digicel Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 3/01/23 95 80,750 0.1Sprint Capital Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.88% 11/15/28 135 105,975 0.1Sprint Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.13% 6/15/24 115 91,713 0.1Sprint Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.63% 2/15/25 140 110,775 0.1Sprint Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.88% 9/15/23 320 261,600 0.1T-Mobile USA, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.63% 4/01/23 225 238,360 0.1 974,893 0.7

WIRELINESFrontier Communications Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.63% 4/15/24 140 123,900 0.1Frontier Communications Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.88% 9/15/20 285 304,238 0.2Frontier Communications Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10.50% 9/15/22 40 42,325 0.0

AB SICAV II

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Shares/Contracts/ Rate Date Principal Value Net Assets (-)/(000) (USD) %

Frontier Communications Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.00% 9/15/25 USD 50 $ 51,750 0.1% 522,213 0.4 20,685,139 15.0

CORPORATE - INVESTMENT GRADEBANKS

JPMorgan Chase & Co., Series Q(b) . . . . . . . . . . . . . . . . . . . . . . . . . . 5.15% 5/01/23 250 243,150 0.2JPMorgan Chase & Co., Series R(b) . . . . . . . . . . . . . . . . . . . . . . . . . . 6.00% 8/01/23 120 122,550 0.1 365,700 0.3

MEDIATime Warner Cable, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.75% 6/15/39 115 135,113 0.1

MIDSTREAMEnergy Transfer Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.15% 2/01/43 10 8,938 0.0Energy Transfer Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.05% 6/01/41 10 9,749 0.0Energy Transfer Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.50% 2/01/42 5 5,250 0.0Energy Transfer Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.63% 10/15/36 50 52,373 0.1Williams Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.60% 3/15/22 15 14,210 0.0Williams Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.90% 1/15/25 10 9,089 0.0Williams Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.00% 9/15/25 25 22,931 0.0Williams Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.40% 3/04/44 20 17,793 0.0Williams Partners LP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6.30% 4/15/40 55 52,171 0.0Williams Partners LP/ACMP Finance Corp. . . . . . . . . . . . . . . . . . . . . 4.88% 5/15/23 5 4,833 0.0Williams Partners LP/ACMP Finance Corp. . . . . . . . . . . . . . . . . . . . . 4.88% 3/15/24 15 14,387 0.0 211,724 0.1

TECHNOLOGYDiamond 1 Finance Corp./Diamond 2 Finance Corp. . . . . . . . . . . . . . 5.45% 6/15/23 20 20,751 0.0Diamond 1 Finance Corp./Diamond 2 Finance Corp. . . . . . . . . . . . . . 6.02% 6/15/26 35 36,487 0.0Diamond 1 Finance Corp./Diamond 2 Finance Corp. . . . . . . . . . . . . . 8.10% 7/15/36 105 113,195 0.1Diamond 1 Finance Corp./Diamond 2 Finance Corp. . . . . . . . . . . . . . 8.35% 7/15/46 80 86,009 0.1Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.50% 9/15/23 125 132,813 0.1 389,255 0.3 1,101,792 0.8 21,786,931 15.8

GOVERNMENT ISSUESARGENTINA

Argentine Republic Government International Bond . . . . . . . . . . . . . 6.25% 4/22/19 165 171,848 0.1Argentine Republic Government International Bond . . . . . . . . . . . . . 7.50% 4/22/26 85 91,885 0.1Provincia de Buenos Aires/Argentina . . . . . . . . . . . . . . . . . . . . . . . . . 9.13% 3/16/24 150 165,000 0.1 428,733 0.3

UNITED STATESU.S. Treasury Bills. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 8/04/16 2,000 1,999,594 1.5 2,428,327 1.8

DEPOSITORY RECEIPTSMATERIALSCHEMICALS

Syngenta AG (ADR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,338 1,101,015 0.8METALS & MINING

Rio Tinto PLC (Sponsored ADR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,231 257,630 0.2 1,358,645 1.0

INFORMATION TECHNOLOGYINTERNET SOFTWARE & SERVICES

Qihoo 360 Technology Co., Ltd. (ADR) . . . . . . . . . . . . . . . . . . . . . . 9,782 714,575 0.5INDUSTRIALSAIRLINES

Latam Airlines Group SA (Sponsored ADR) . . . . . . . . . . . . . . . . . . . 1,976 13,042 0.0HEALTH CAREPHARMACEUTICALS

Shire PLC (ADR) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 135 0.0 2,086,397 1.5

OPTIONS PURCHASED - PUTSOPTIONS ON FORWARD CONTRACTS

CAD/MXN Expiration: Sep 2016, Exercise Price: MXN 13.30. . . . . . . . . . . . . 1,852,000 4,751 0.0

USD/CLP Expiration: Dec 2016, Exercise Price: CLP 722.00 . . . . . . . . . . . . 1,210,000 105,882 0.1

USD/SEK Expiration: Feb 2017, Exercise Price: SEK 8.25 . . . . . . . . . . . . . . 2,360,000 58,394 0.1

AB SICAV II

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Contracts Value Net Assets (USD) %

USD/TRY Expiration: Jun 2017, Exercise Price: TRY 3.08. . . . . . . . . . . . . . . 1,060,000 $ 50,843 0.0%

219,870 0.2OPTIONS ON EQUITIES

Alibaba Group Holding Ltd. Expiration: Aug 2016, Exercise Price: $75.00(f) . . . . . . . . . . . . . . 7 1,252 0.0

Bank of the Ozarks, Inc. Expiration: Aug 2016, Exercise Price: $35.00(f) . . . . . . . . . . . . . . 12 1,555 0.0

BofI Holding, Inc. Expiration: Jul 2016, Exercise Price: $17.50(f) . . . . . . . . . . . . . . . 14 1,065 0.0

BofI Holding, Inc. Expiration: Jul 2016, Exercise Price: $20.00(f) . . . . . . . . . . . . . . . 12 3,263 0.0

CarMax, Inc. Expiration: Jul 2016, Exercise Price: $50.00(f) . . . . . . . . . . . . . . . 14 2,341 0.0

Cheniere Energy, Inc. Expiration: Sep 2016, Exercise Price: $30.00(f) . . . . . . . . . . . . . . . 36 2,934 0.0

Five Below, Inc. Expiration: Aug 2016, Exercise Price: $46.00(f) . . . . . . . . . . . . . . 9 1,936 0.0

Five Below, Inc. Expiration: Nov 2016, Exercise Price: $40.00(f) . . . . . . . . . . . . . . 13 2,425 0.0

Fortescue Metals Group Ltd. Expiration: Jul 2016, Exercise Price: AUD 3.00(f). . . . . . . . . . . . . 107 527 0.0

Fortescue Metals Group Ltd. Expiration: Jul 2016, Exercise Price: AUD 3.00(f). . . . . . . . . . . . . 216 1,063 0.0

Fortescue Metals Group Ltd. Expiration: Aug 2016, Exercise Price: AUD 2.80(f). . . . . . . . . . . . 361 2,423 0.0

Fortescue Metals Group Ltd. Expiration: Sep 2016, Exercise Price: AUD 3.00(f) . . . . . . . . . . . . 147 2,324 0.0

Freeport-McMoRan, Inc. Expiration: Jul 2016, Exercise Price: $10.00(f) . . . . . . . . . . . . . . . 56 1,030 0.0

Freeport-McMoRan, Inc. Expiration: Jul 2016, Exercise Price: $11.00(f) . . . . . . . . . . . . . . . 37 1,902 0.0

GlenCore PLC Expiration: Jul 2016, Exercise Price: GBP 1.30(g) . . . . . . . . . . . . . 23,596 220 0.0

GNC Holdings, Inc. Expiration: Sep 2016, Exercise Price: $25.00(f) . . . . . . . . . . . . . . . 15 4,279 0.0

GrubHub, Inc. Expiration: Jul 2016, Exercise Price: $25.00(f) . . . . . . . . . . . . . . . 19 200 0.0

GrubHub, Inc. Expiration: Sep 2016, Exercise Price: $30.00(f) . . . . . . . . . . . . . . . 7 1,855 0.0

Horizon Pharma PLC Expiration: Aug 2016, Exercise Price: $14.00(f) . . . . . . . . . . . . . . 8 621 0.0

HP, Inc. Expiration: Aug 2016, Exercise Price: $12.00(f) . . . . . . . . . . . . . . 93 3,208 0.0

Kingsoft Corp., Ltd. Expiration: Jun 2016, Exercise Price: HKD 14.00(g) . . . . . . . . . . . 31,000 4 0.0

Lenovo Group Ltd. Expiration: Jul 2016, Exercise Price: HKD 5.00(g) . . . . . . . . . . . . 106,000 7,597 0.0

LifeLock, Inc. Expiration: Jul 2016, Exercise Price: $15.00(f) . . . . . . . . . . . . . . . 15 390 0.0

LifeLock, Inc. Expiration: Aug 2016, Exercise Price: $14.00(f) . . . . . . . . . . . . . . 18 819 0.0

lululemon athletica, Inc. Expiration: Jul 2016, Exercise Price: $70.00(f) . . . . . . . . . . . . . . . 7 264 0.0

lululemon athletica, Inc. Expiration: Sep 2016, Exercise Price: $70.00(f) . . . . . . . . . . . . . . . 3 919 0.0

Mallinckrodt PLC Expiration: Jul 2016, Exercise Price: $55.00(f) . . . . . . . . . . . . . . . 15 1,185 0.0

Mobileye NV Expiration: Jul 2016, Exercise Price: $35.00(f) . . . . . . . . . . . . . . . 13 23 0.0

Netflix, Inc. Expiration: Jul 2016, Exercise Price: $90.00(f) . . . . . . . . . . . . . . . 12 2,734 0.0

Netflix, Inc. Expiration: Jul 2016, Exercise Price: $95.00(f) . . . . . . . . . . . . . . . 6 2,999 0.0

Santander Consumer USA Holdings, Inc. Expiration: Sep 2016, Exercise Price: $13.00(f) . . . . . . . . . . . . . . . 24 6,492 0.0

Signet Jewelers Ltd. Expiration: Jul 2016, Exercise Price: $85.00(f) . . . . . . . . . . . . . . . 10 4,405 0.0

Signet Jewelers Ltd. Expiration: Jul 2016, Exercise Price: $90.00(f) . . . . . . . . . . . . . . . 6 4,873 0.0

SolarCity Corp. Expiration: Jul 2016, Exercise Price: $22.00(f) . . . . . . . . . . . . . . . 6 432 0.0

Sotheby’s Expiration: Jul 2016, Exercise Price: $27.00(f) . . . . . . . . . . . . . . . 20 1,472 0.0

AB SICAV II

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Contracts/Notional Value Net Assets (000) (USD) %

Sotheby’s Expiration: Jul 2016, Exercise Price: $29.00(f) . . . . . . . . . . . . . . . 15 $ 2,928 0.0%

Sotheby’s Expiration: Jul 2016, Exercise Price: $30.00(f) . . . . . . . . . . . . . . . 15 4,192 0.0

Southwestern Energy Co. Expiration: Jul 2016, Exercise Price: $15.00(f) . . . . . . . . . . . . . . . 42 10,471 0.0

SPDR Euro STOXX 50 ETF Expiration: Aug 2016, Exercise Price: $33.00(g) . . . . . . . . . . . . . . 42,500 95,200 0.1

Tesla Motors, Inc. Expiration: Jul 2016, Exercise Price: $215.00(f) . . . . . . . . . . . . . . 2 2,132 0.0

Tesla Motors, Inc. Expiration: Jul 2016, Exercise Price: $230.00(f) . . . . . . . . . . . . . . 2 4,379 0.0

Zillow Group, Inc. Expiration: Jul 2016, Exercise Price: $30.00(f) . . . . . . . . . . . . . . . 26 374 0.0

Zillow Group, Inc. Expiration: Aug 2016, Exercise Price: $30.00(f) . . . . . . . . . . . . . . 16 1,626 0.0

192,333 0.1SWAPTIONS

IRS RTP, Citigroup Global Market Expiration: Apr 2017, Exercise Rate: 1.50%. . . . . . . . . . . . . . . . . . EUR 1,730,000 56,130 0.1

IRS RTP, Deutsche Bank AG Expiration: Jan 2017, Exercise Rate: 1.50% . . . . . . . . . . . . . . . . . . JPY 520,000,000 43,592 0.0

99,722 0.1OPTIONS ON FUTURES CONTRACTS

S&P 500 E-Mini Index Futures Expiration: Dec 2016, Exercise Price: $1,975.00(i) . . . . . . . . . . . . 23 66,700 0.1


95,000 0.1OPTIONS ON EQUITY INDICES

Korea SE KOSPI 200 Index Expiration: Dec 2016, Exercise Price: KRW 210.00(h) . . . . . . . . . 14 11,097 0.0

S&P 500 Index Expiration: Jul 2016, Exercise Price: $1,950.00(f) . . . . . . . . . . . . . 3 458 0.0

Sao Paulo Se Bovespa Index Expiration: Feb 2017, Exercise Price: BRL 47,500.00(g). . . . . . . . 90 42,565 0.0

54,120 0.0 661,045 0.5

OPTIONS PURCHASED - CALLSOPTIONS ON FORWARD CONTRACTS

NZD/USD Expiration: Dec 2016, Exercise Price: USD 0.65 . . . . . . . . . . . . . . 2,770,000 33,259 0.0

USD/CLP Expiration: Dec 2016, Exercise Price: CLP 722.00 . . . . . . . . . . . . 1,210,000 14,615 0.0

USD/CNH Expiration: Mar 2017, Exercise Price: CNH 6.695. . . . . . . . . . . . . 1,472,600 40,710 0.0

USD/HUF Expiration: Sep 2016, Exercise Price: HUF 300.00 . . . . . . . . . . . . 2,770,000 16,531 0.0

USD/KRW Expiration: Oct 2016, Exercise Price: KRW 1,325.00 . . . . . . . . . . 4,230,000 6,882 0.0

USD/SEK Expiration: Feb 2017, Exercise Price: SEK 8.25 . . . . . . . . . . . . . . 2,360,000 94,270 0.1

USD/TRY Expiration: Jun 2017, Exercise Price: TRY 3.08. . . . . . . . . . . . . . . 1,060,000 59,453 0.1

265,720 0.2OPTIONS ON FUTURES CONTRACTS


OPTIONS ON EQUITIESDemandware, Inc.

Expiration: Jul 2016, Exercise Price: $75.00(f) . . . . . . . . . . . . . . . 14 140 0.0LinkedIn Corp.

Expiration: Nov 2016, Exercise Price: $190.00(f) . . . . . . . . . . . . . 5 2,400 0.0QIhoo 360 Technology Co., Ltd.

Expiration: Jul 2016, Exercise Price: $72.50(f) . . . . . . . . . . . . . . . 84 14,700 0.0SPDR Euro STOXX 50 ETF

Expiration: Aug 2016, Exercise Price: $34.00(g) . . . . . . . . . . . . . . 42,500 8,075 0.0 25,315 0.0

OPTIONS ON EQUITY INDICESCBOE Volatility Index

Expiration: Aug 2016, Exercise Price: $20.00(g) . . . . . . . . . . . . . . 7,600 11,119 0.0 540,654 0.4

AB SICAV II

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CONVERTIBLE BONDSCONVERTIBLE

Liberty Interactive LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.75% 2/15/30 USD 205 $ 118,533 0.1%Liberty Interactive LLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.00% 11/15/29 598 345,573 0.2 464,106 0.3

MUNICIPALSMUNICIPALLOCAL AUTHORITIES

Texas Public Finance Authority . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8.25% 7/01/24 250 258,748 0.2 97,146,208 70.5

MONEY MARKET INSTRUMENTSGOVERNMENT ISSUES

U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.01% 9/15/16 10,866 10,860,340 7.8U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/07/16 3,000 2,999,970 2.2U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/28/16 3,000 2,999,604 2.2U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/01/16 2,000 1,999,200 1.5U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/21/16 4,260 4,259,565 3.1U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/14/16 2,000 1,999,910 1.4U.S. Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/08/16 1,000 999,611 0.7 26,118,200 18.9 123,264,408 89.4

OTHER TRANSFERABLE SECURITIESOTHER ASSET BACKED SECURITIESCAPITAL MARKETS

OHA Loan Funding Ltd.(e) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.24% 7/23/25 265 251,700 0.2THRIFTS & MORTGAGE FINANCE

Battalion CLO IX Ltd.(e). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.53% 7/15/28 500 434,538 0.3 686,238 0.5

CORPORATE BONDCORPORATE - HIGH YIELDINDEPENDENT

Kosmos Energy Ltd. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7.88% 8/01/21 250 241,250 0.2MUNICIPALSMUNICIPALLOCAL AUTHORITIES

Commonwealth of Puerto Rico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.00% 7/01/33 20 12,950 0.0Commonwealth of Puerto Rico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.00% 7/01/41 10 6,475 0.0Commonwealth of Puerto Rico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.13% 7/01/37 140 90,650 0.1Commonwealth of Puerto Rico . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5.25% 7/01/37 130 84,175 0.0 194,250 0.1

COLLATERALIZED MORTGAGE OBLIGATIONSSECURITIZED

Commercial Mortgage Trust, Series 2006-C8, Class AJ . . . . . . . . . . . 5.38% 12/10/46 85 81,849 0.1 1,203,587 0.9

Total Investments(cost $127,685,424) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 124,467,995 90.3%

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,442,891 9.7Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 137,910,886 100.0%

FINANCIAL FUTURES Unrealized Number of Appreciation/ Type Expiration Date Contracts Original Value Market Value (Depreciation)

Long10 Yr Australian Bond Futures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/15/16 5 $ 501,771 $ 507,888 $ 6,1173 Yr Australian Bond Futures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/15/16 30 2,527,147 2,532,381 5,234Euro-Bund Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/08/16 8 1,451,401 1,483,691 32,290Japan 10Y Bond (OSE) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/12/16 2 2,944,670 2,961,701 17,031Japanese Yen Currency Future . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/19/16 5 584,016 606,688 22,672KOSPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/08/16 7 766,663 746,852 (19,811)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/28/16 7 1,144,982 1,197,366 52,384NASDAQ 100 EMINI Futures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/16/16 4 360,923 352,560 (8,363)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/21/16 10 1,294,318 1,329,844 35,526

AB SICAV II

22


Unrealized Number of Appreciation/ Type Expiration Date Contracts Original Value Market Value (Depreciation)

ShortCBOE VIX Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8/17/16 2 $ 40,592 $ 36,650 $ 3,942DAX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/16/16 1 268,322 269,884 (1,562)Euro Currency Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/19/16 5 713,360 694,219 19,141Euro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/16/16 8 253,277 254,296 (1,019)FTSE 100 Index Futures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/16/16 4 319,653 344,065 (24,412)Great British Pound Currency Futures . . . . . . . . . . . . . . . . . . . . . . . . . 9/19/16 7 632,997 579,600 53,397Mexican Peso Currency Futures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/19/16 15 398,353 406,275 (7,922)Nikkei 225 Index (CME) Futures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/08/16 2 166,543 158,200 8,343S&P 500 E Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/16/16 32 3,335,170 3,344,320 (9,150)U.S. Ultra Bond (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9/21/16 5 873,622 931,875 (58,253)

$ 125,585


FORWARD FOREIGN CURRENCY CONTRACTS Contracts to In Exchange Unrealized Deliver For Settlement Appreciation/ Counterparty (000) (000) Date (Depreciation)

Bank of America, NA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 7,215 USD 204 9/21/16 $ (1,335)Bank of America, NA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 19 ZAR 293 9/21/16 1,038Bank of America, NA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 872 TRY 2,633 9/21/16 26,550Bank of America, NA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 11,619 USD 612 10/27/16 (16,277)Bank of America, NA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 742 MXN 13,961 10/27/16 12,928Bank of America, NA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 4,194 USD 513 2/07/17 12,526Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 195 USD 284 9/21/16 23,835Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 401 SEK 3284 2/07/17 (9,226)Barclays Bank PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 354 SEK 2,999 2/07/17 3,853BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 9,575,600 USD 647 8/19/16 (75,499)BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 1,755 USD 1,823 9/21/16 17,620BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 975 USD 1,110 9/21/16 24,742BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 52,455 USD 490 9/21/16 (19,243)BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 28,080 USD 24 9/21/16 (50)BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 293 USD 15 9/21/16 (658)BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1,085 AUD 1,463 9/21/16 2,501BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 5,715 USD 303 10/27/16 (6,000)BNP Paribas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 339 MXN 6,507 10/27/16 12,444Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 195 USD 50 9/21/16 (282)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ILS 8385 USD 2,193 9/21/16 16,418Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 27,593 USD 857 9/21/16 (2,004)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 710 BRL 2,535 9/21/16 60,785Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 695 NOK 5,655 9/21/16 (19,702)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 709 RUB 47,288 9/21/16 15,307Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 153 CAD 195 9/21/16 (1,695)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 541 MXN 10,140 9/21/16 9,526Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 130 HUF 36,953 9/21/16 (503)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 466 INR 31,883 9/21/16 134Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 27,009 USD 1,409 10/27/16 (51,445)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 15,054 USD 816 10/27/16 1,892Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CLP 272,685 USD 392 12/20/16 (13,741)Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3,625 USD 444 2/07/17 11,533Citibank, NA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 323 SEK 2,664 2/07/17 (5,199)Deutsche Bank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 3,250,640 USD 227 8/19/16 (18,268)Deutsche Bank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 98 USD 25 9/21/16 732Deutsche Bank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CLP 341,761 USD 486 12/20/16 (22,521)Deutsche Bank AG. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 377 SEK 3,146 2/07/17 (1,683)Goldman Sachs International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 120 RUB 8,093 9/21/16 4,365Goldman Sachs International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 638 MXN 11,504 10/27/16 (15,961)Goldman Sachs International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 1,337 USD 160 2/07/17 438Goldman Sachs International. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 573 SEK 4,846 2/07/17 5,494HSBC Bank USA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 293 USD 304 9/21/16 2,654HSBC Bank USA. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 98 USD 137 9/21/16 7,104Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 136 USD 144 7/15/16 3,646Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 54 USD 60 7/15/16 (318)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 637 USD 726 7/15/16 18,431Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 7 CHF 7 7/15/16 (152)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 119 EUR 105 7/15/16 (2,742)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 67 USD 51 8/31/16 (509)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 451 USD 352 8/31/16 3,134Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 10 USD 10 8/31/16 194Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 15 USD 17 8/31/16 (88)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 613 USD 693 8/31/16 11,152

AB SICAV II

23


Contracts to In Exchange Unrealized Deliver For Settlement Appreciation/ Counterparty (000) (000) Date (Depreciation)

Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 63 USD 88 8/31/16 $ 3,679Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 128 USD 15 8/31/16 (372)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 220 USD 26 8/31/16 (92)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 872 USD 106 8/31/16 2,577Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 131 EUR 117 8/31/16 (1,037)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 21 EUR 19 8/31/16 99Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 61 GBP 44 8/31/16 (1,896)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 22 GBP 17 8/31/16 160Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 91 CAD 118 8/31/16 629Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 14 NOK 123 8/31/16 213Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ZAR 1,003 USD 67 8/31/16 (407)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 61,062 USD 221 9/13/16 6,418Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 211 HUF 61,062 9/13/16 3,578Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 1,343 USD 1,050 9/21/16 10,272Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 25,155 USD 1,060 9/21/16 25,806Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HUF 84,240 USD 308 9/21/16 11,676Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 13,943 USD 135 9/21/16 (703)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 255,645 USD 216 9/21/16 (5,104)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . PLN 98 USD 24 9/21/16 (325)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 480 ZAR 7,313 9/21/16 8,349Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 81 BRL 293 9/21/16 7,445Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 23 NOK 195 9/21/16 265Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 731 SEK 6,143 9/21/16 (2,321)Morgan Stanley & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3,484 USD 438 2/07/17 22,374Nomura Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1,455 IDR 20,157,570 8/19/16 65,932Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 810 USD 601 9/21/16 (1,860)Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 195 USD 218 9/21/16 836Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 51,480 USD 4 9/21/16 (86)Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 71 AUD 98 9/21/16 1,613Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1,421 NZD 2,048 9/21/16 35,907Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 75 CAD 98 9/21/16 891Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 175 CLP 123,331 12/20/16 8,510Standard Chartered Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 2,273 USD 276 2/07/17 4,785State Street Bank & Trust Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3 USD 3 7/15/16 50State Street Bank & Trust Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1,174 EUR 1,038 7/15/16 (21,106)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 14 GBP 10 8/01/16 (381)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 624 USD 73 8/04/16 (905)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 912 USD 112 8/04/16 3,619State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 27 SEK 222 8/04/16 (636)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . IDR 8,622,040 USD 581 8/19/16 (69,551)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 93 IDR 1,290,710 8/19/16 4,497State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 75 USD 85 9/15/16 1,987State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 86 USD 95 9/20/16 (454)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 130 USD 146 9/20/16 1,275State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 219 USD 312 9/20/16 19,702State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 428 GBP 303 9/20/16 (24,335)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 5 GBP 4 9/20/16 47State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 1,378,532 USD 1,190 9/21/16 (4,781)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NZD 1,410 USD 976 9/21/16 (26,763)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . THB 47,483 USD 1,346 9/21/16 (3,071)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1,447 IDR 19,390,313 9/21/16 8,403State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 288 MYR 1,170 9/21/16 4,821State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 3,350 INR 226,883 9/21/16 (32,829)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 98 USD 100 10/13/16 (491)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 140 USD 146 10/13/16 2,054State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 1,500 MXN 27,425 10/27/16 (17,074)State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 3,751 USD 467 2/07/17 19,461State Street Bank & Trust Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 384 SEK 3,109 2/07/17 (13,055)Toronto Dominion Bank, The/New York. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CZK 2,925 USD 121 9/21/16 430Toronto Dominion Bank, The/New York. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MYR 390 USD 94 9/21/16 (3,357)Toronto Dominion Bank, The/New York. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 12,675 USD 1,563 9/21/16 59,843Toronto Dominion Bank, The/New York. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 881 USD 650 9/21/16 (3,627)Toronto Dominion Bank, The/New York. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 33,540 USD 1,035 9/21/16 (8,382) $ 129,077


+ Used for share class hedging purposes.

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CALL OPTIONS WRITTEN Exercise Expiration Premiums Market Description Price Date Contracts Received Value

CBOE Market Volatility Index(g) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 20 8/17/16 3,800 $ 14,173 $ (5,559)

PUT OPTIONS WRITTEN Exercise Expiration Premiums Market Description Price Date Contracts Received Value

S&P 500 E-Mini Index Futures(i) . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,800 12/16/16 8 $ 20,386 $ (11,300)S&P 500 E-Mini Index Futures(i) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,825 12/16/16 8 17,285 (12,500) $ 37,671 $ (23,800)

CURRENCY OPTIONS WRITTEN Exercise Expiration Market Description Price Date Contracts Premiums Value

CAD/MXN . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 12.50 Sep 2016 1,852 $ 9,689 $ (387)

CENTRALLY CLEARED INTEREST RATE SWAPS Rate Type

Notional Unrealized Amount Termination Payments Made Payments Received Appreciation/ Clearing Broker/(Exchange) (000) Date By the Fund By the Fund (Depreciation)

Citigroup Global Markets/(CME) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,420 4/10/47 3 Month LIBOR 2.548% $ (270,458)Citigroup Global Markets/(CME) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,940 4/13/45 6 Month LIBOR 1.346% (153,864)Citigroup Global Markets/(CME) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,100 4/07/18 2.165% 3 Month NDBB 7,501Citigroup Global Markets/(CME) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225,150 4/13/20 0.248% 6 Month LIBOR 34,406Citigroup Global Markets/(CME) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,000 4/10/19 1.860 3 Month LIBOR 261,834Total $ (120,581) Appreciation $ 303,741 Depreciation $ (424,322)

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


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.

Darty PLC 248,532 EURIBOR 1 Month Plus 1.50% GBP 419 1/01/50 331Media Analytics Corp. 29,725 STIBOR 1 Month Plus 0.60% SEK 4,459 1/01/50 12,016

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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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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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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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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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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


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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

Bank of Nanjing Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,340 ¥ 378,947 1.5%Bank of Ningbo Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,500 377,026 1.5China Construction Bank Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40,500 192,411 0.8China Everbright Bank Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,000 191,788 0.8Industrial Bank Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33,400 509,155 2.0Shanghai Pudong Development Bank Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,920 715,149 2.8 2,364,476 9.4

CAPITAL MARKETSAnxin Trust Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,500 244,689 1.0China Merchants Securities Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,600 208,000 0.8CITIC Securities Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,200 360,571 1.4GF Securities Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,900 400,784 1.6 1,214,044 4.8

INSURANCEChina Pacific Insurance Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,000 270,501 1.1Ping An Insurance Group Co. of China Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,600 499,966 2.0 770,467 3.1

REAL ESTATE MANAGEMENT & DEVELOPMENTBeijing Homyear Capital Holdings Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,000 210,586 0.8Financial Street Holdings Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,600 248,887 1.0Huafa Industrial Co., Ltd. Zhuhai - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,660 206,660 0.8Poly Real Estate Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43,000 371,282 1.5Shanghai Shimao Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,340 185,700 0.8Zhongtian Urban Development Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,100 299,716 1.2 1,522,831 6.1 5,871,818 23.4


Fuyao Glass Industry Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,601 190,444 0.8Huayu Automotive Systems Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,900 250,908 1.0 441,352 1.8

AUTOMOBILESByd Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,600 219,765 0.9Chongqing Changan Automobile Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,700 187,356 0.7Lifan Industry Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,400 216,710 0.9Loncin Motor Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,841 239,609 0.9SAIC Motor Corp. Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,800 198,890 0.8 1,062,330 4.2

HOUSEHOLD DURABLESHangzhou Robam Appliances Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,925 217,928 0.9Hisense Electric Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,600 240,535 0.9Midea Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,793 754,369 3.0Yihua Lifestyle Technology Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,200 191,461 0.8Zhejiang Supor Cookware Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,100 210,205 0.8 1,614,498 6.4

MEDIABeijing Gehua CATV Network Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,400 203,940 0.8China South Publishing & Media Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,700 175,716 0.7 379,656 1.5

TEXTILES, APPAREL & LUXURY GOODSLuthai Textile Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,000 255,607 1.0Youngor Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,400 184,862 0.8Zhejiang Weixing Industrial Development Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,200 253,241 1.0 693,710 2.8 4,191,546 16.7

INDUSTRIALSAIRLINES

Hainan Airlines Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60,100 190,562 0.8CONSTRUCTION & ENGINEERING

China Communications Construction Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,200 328,603 1.3China Railway Construction Corp. Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27,900 278,000 1.1China Railway Group Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,900 257,277 1.0 863,880 3.4

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China Equity Portfolio


ELECTRICAL EQUIPMENTJiangsu Zhongtian Technology Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,250 ¥ 414,011 1.7%Luxshare Precision Industry Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,500 206,392 0.8 620,403 2.5

MACHINERYZhengzhou Yutong Bus Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,000 257,490 1.0

MARINEChina Shipping Development Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56,700 334,553 1.3

TRADING COMPANIES & DISTRIBUTORSShanghai Lansheng Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,460 195,427 0.8

TRANSPORTATION INFRASTRUCTUREGuangzhou Baiyun International Airport Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,200 198,683 0.8Jiangsu Expressway Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57,500 479,641 1.9Shanghai International Airport Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,500 325,739 1.3Shenzhen Airport Co. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,400 224,462 0.9Shenzhen Expressway Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30,100 234,706 0.9 1,463,231 5.8 3,925,546 15.6


Kweichow Moutai Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,863 835,923 3.3Wuliangye Yibin Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,400 826,597 3.3 1,662,520 6.6

FOOD PRODUCTSAngel Yeast Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,700 280,141 1.1Chuying Agro-pastora Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,800 189,824 0.8Henan Shuanghui Investment & Development Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,805 434,568 1.7New Hope Liuhe Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,400 194,654 0.8Royal Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,761 206,336 0.8Shanghai Maling Aquarius Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,800 215,324 0.9 1,520,847 6.1 3,183,367 12.7

INFORMATION TECHNOLOGYCOMMUNICATIONS EQUIPMENT

Hengtong Optic-electric Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,400 206,383 0.8ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS

Dongxu Optoelectronic Technology Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,000 214,927 0.9Hangzhou Hikvision Digital Technology Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,700 379,897 1.5 594,824 2.4

INTERNET SOFTWARE & SERVICESHithink RoyalFlush Information Network Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,100 334,223 1.3Wangsu Science & Technology Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,100 275,711 1.1 609,934 2.4

IT SERVICESBeijing Ultrapower Software Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,300 248,072 1.0

SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENTHangzhou First Pv Material Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,260 274,622 1.1Xi’an LONGi Silicon Materials Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,300 212,798 0.8 487,420 1.9

SOFTWAREAisino Corp. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,900 212,083 0.9

TECHNOLOGY HARDWARE, STORAGE & PERIPHERALSTsinghua Tongfang Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,200 227,557 0.9 2,586,273 10.3

MATERIALSCHEMICALS

Luxi Chemical Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,610 174,594 0.7Shandong Hualu Hengsheng Chemical Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,570 198,970 0.8Sinopec Shanghai Petrochemical Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,500 222,810 0.9Xinjiang Zhongtai Chemical Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25,900 219,113 0.8Zhejiang Longsheng Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,500 176,814 0.7 992,301 3.9

CONSTRUCTION MATERIALSChina Jushi Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38,560 369,183 1.5

PAPER & FOREST PRODUCTSShandong Chenming Paper Holdings Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85,210 676,570 2.7 2,038,054 8.1

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PortfoLio of inveStmentS (continued) China Equity Portfolio


HEALTH CAREHEALTH CARE PROVIDERS & SERVICES

Shanghai Pharmaceuticals Holding Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,900 ¥ 395,463 1.6%PHARMACEUTICALS

China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . 8,900 215,652 0.8Jiangsu Hengrui Medicine Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,760 190,936 0.8Livzon Pharmaceutical Group, Inc. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,700 216,780 0.9Shanghai Fosun Pharmaceutical Group Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,800 357,710 1.4Zhejiang Huahai Pharmaceutical Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,220 224,304 0.9 1,205,382 4.8 1,600,845 6.4

UTILITIESINDEPENDENT POWER AND RENEWABLE ELECTRICITY PRODUCERS

China Yangtze Power Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,500 206,087 0.8Guangdong Electric Power Development Co., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45,700 229,476 0.9Huadian Power International Corp., Ltd. - Class A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114,600 567,385 2.3 1,002,948 4.0 24,400,397 97.2

OTHER TRANSFERABLE SECURITIESCOMMON STOCKSFINANCIALS

China Vanke Co., Ltd. - Class A (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,700 737,209 2.9Total Investments

(cost ¥25,282,758) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ¥ 25,137,606 100.1%Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (22,014) (0.1)Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ¥ 25,115,592 100.0%

(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)


AB SICAV II

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Statement Of aSSetS and LiabiLitieSJune 30, 2016

Diversified Equity Alpha Multi-Strategy China Equity Portfolio AlphaPortfolio Portfolio Combined (USD) (USD) (CNH) (USD)

ASSETSInvestments in securities at value . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 22,680,189 $ 124,467,995 ¥ 25,137,606 $ 150,916,856Receivable for investment securities sold . . . . . . . . . . . . . . . . . . . . . 221,651 3,015,846 -0- 3,237,497Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,605,904 13,462,304 309,552 15,114,617Receivable for capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- 37,893 -0- 37,893Dividends and interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,437 646,491 19,392 664,835Unrealized appreciation on forward foreign currency exchange

contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,258 659,179 -0- 681,437Unrealized appreciation on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . 547,735 1,692,510 -0- 2,240,245Upfront premiums paid on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- 15,580 -0- 15,580Unrealized appreciation on financial futures contracts . . . . . . . . . . . -0- 256,077 -0- 256,077Deferred organization expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,403 24,403 186,158 76,714Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71,607 53,545 120,015 143,145 25,189,184 144,331,823 25,772,723 173,384,896

LIABILITIESInterest expenses payable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,843 64,482 -0- 94,325Payable for investment securities purchased . . . . . . . . . . . . . . . . . . . 178,359 3,837,860 -0- 4,016,219Unrealized depreciation on forward foreign currency exchange

contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,851 530,102 -0- 533,953Market Value of Written Options . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- 28,972 -0- -0-Unrealized depreciation on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . 358,371 1,299,853 -0- 1,658,224Unrealized depreciation on financial futures contracts . . . . . . . . . . . -0- 130,492 -0- 130,492Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . 475,497 529,176 657,131 1,103,191 1,045,921 6,420,937 657,131 7,565,376

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 24,143,263 $ 137,910,886 ¥ 25,115,592 $ 165,819,520


AB SICAV II

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Statement Of OperatiOnS and ChangeS in net aSSetSFor the period ended June 30, 2016


Diversified Equity Alpha Multi-Strategy China Equity Portfolio AlphaPortfolio Portfolio Combined (USD) (USD) (CNH) (USD)

INVESTMENT INCOMEInterest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 6,258 $ 1,270,632 ¥ 1,462 $ 1,277,113Dividends, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 83,836 157,030 516,790 319,755Swap income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,202 98,421 -0- 115,623Other income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,145 -0- -0- 1,145 108,441 1,526,083 518,252 1,713,636

EXPENSESExpense on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34,298 132,328 -0- 166,626Management fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152 117,109 -0- 117,261Transfer agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,227 7,162 2,333 8,745Taxes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,225 7,016 1,616 8,488Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50,572 250,295 95,712 315,478Management company fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 6,767 1,790 7,045Accounting and administration fee . . . . . . . . . . . . . . . . . . . . . . . . . . 312,119 431,889 366,429 799,944Organizational expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,950 2,950 20,634 9,050Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,895 14,888 33,983 32,971 415,443 970,404 522,497 1,465,607Expenses waived and reimbursed by the adviser . . . . . . . . . . . . . . . . (259,830) -0- (432,439) (325,843)Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155,613 970,404 90,058 1,139,765Net investment income/(loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (47,172) 555,679 428,194 573,872

REALIZED GAINS AND (LOSSES)On investments, forward foreign currency contracts, swaps,

financial futures contracts, options and currency . . . . . . . . . . . . . . (312,626) (513,000) (3,921,126) (1,424,194)

CHANGES IN UNREALIZED GAINS AND (LOSSES)On investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167,142 1,603,401 (1,228,177) 1,583,059On forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . 12,899 127,259 -0- 140,158On swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (355,140) (714,195) -0- (1,069,335)On financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- 125,585 -0- 125,585On options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- 31,787 -0- 31,787On foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,480 2,790 -0- 7,270Result of operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (530,417) 1,219,306 (4,721,109) (31,798)

CAPITAL STOCK TRANSACTIONSNet increase/(decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- 16,202,237 (9,909,314) 14,689,561

NET ASSETSBeginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,673,680 120,489,343 39,746,015 151,213,842Currency translation adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0- -0- -0- (52,085)End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 24,143,263 $ 137,910,886 ¥ 25,115,592 $ 165,819,520

AB SICAV II

35

ShareS OutStandingJune 30, 2016

Diversified China Equity Alpha Multi-Strategy Equity Portfolio Alpha Portfolio Portfolio

CLASS

A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667 684 –A EUR H . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – 70,676 –I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667 3,167 –S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – 1,370,834 266,602S1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 667 667 –SQD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – 8,000,000 –Z . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,666,667 – –


StatiStiCaL infOrmatiOnJune 30, 2016

DiversifiedEquityAlphaPortfolio June 30, 2016 December 31, 2015

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $24,143,263 $24 673 680

ClassA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .21 $14 .66I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .32 $14 .71S1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .33 $14 .72Z . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .47 $14 .79

Multi-Strategy Alpha Portfolio June 30, 2016 December 31, 2015

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $137,910,886 $120 489 343

ClassA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .38 $14 .36A EUR H . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .70 $15 .99I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .61 $14 .41S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .61 $14 .47S1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .50 $14 .42SQD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $14 .58 $14 .46

China Equity Portfolio June 30, 2016 December 31, 2015

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 25,115,592 CNH 39 746 015

ClassS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CNH 94 .21 CNH 107 .17


36

AB SICAV II

AB SICAV II

37

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

Diversified Equity Alpha Portfolio Impala Asset Management LLC Kynikos Associates LP Sirios Capital Management, LP Lyrical Asset Management LP

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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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) %

Multi-Strategy Alpha Portfolio . . . . . . . . . . . . . . . Class A 2.90%

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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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

Multi-Strategy Alpha Portfolio . . . . . . . . . $ –Diversified Equity Alpha Portfolio . . . . . . $ –China Equity Portfolio . . . . . . . . . . . . . . . . ¥ 150,308

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

Aecom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 28,593Aercap Holdings NV . . . . . . . . . . . . . . . . . . . . $ 40,308Aetna, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 85,491Aflac, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 93,808Ameriprise Financial, Inc. . . . . . . . . . . . . . . . . $ 53,910

AB SICAV II - Multi-Strategy Alpha Portfolio Market Value

Anthem, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 65,670Assurant, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . $ 34,524Avis Budget group, Inc. . . . . . . . . . . . . . . . . . $ 19,338Broadcom Ltd. . . . . . . . . . . . . . . . . . . . . . . . . $ 93,240Celanese Corp-Series A . . . . . . . . . . . . . . . . . . $ 58,905Comcast Corp-Class A . . . . . . . . . . . . . . . . . . $ 84,747Corning, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 86,016Eaton Corp. Plc . . . . . . . . . . . . . . . . . . . . . . . . $ 77,649EOG Resources, Inc. . . . . . . . . . . . . . . . . . . . . $ 83,420Goodyear Tire & Rubber co . . . . . . . . . . . . . . $ 41,056Hertz Global Holding . . . . . . . . . . . . . . . . . . . $ 30,996Johnson Controls, Inc.. . . . . . . . . . . . . . . . . . . $ 75,242Liberty Interactive Corp. . . . . . . . . . . . . . . . . . $ 71,036MRC Global, Inc. . . . . . . . . . . . . . . . . . . . . . . $ 8,526National-Oilwell Varco, Inc. . . . . . . . . . . . . . . $ 63,935NCR Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 27,770Owens Illinois, Inc. . . . . . . . . . . . . . . . . . . . . . $ 18,010Suncor Energy, Inc. . . . . . . . . . . . . . . . . . . . . . $ 85,963Symantec Corp. . . . . . . . . . . . . . . . . . . . . . . . . $ 69,836TE Connectivity Ltd. . . . . . . . . . . . . . . . . . . . $ 74,243Tenneco, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . $ 18,644Western Digital Corp. . . . . . . . . . . . . . . . . . . . $ 47,260Western Union Co. . . . . . . . . . . . . . . . . . . . . . $ 59,458 $ 1,597,594

AB SICAV II

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Management Sub-Investment Total Management Company Manager Distribution Expense Ratio*

Multi-Strategy Alpha PortfolioClass

A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.60% 0.05% up to 1.50% N/A 2.90%(1)A EUR H . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.60% 0.05% up to 1.50% N/A 2.90%(1)I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.80% 0.05% up to 1.50% N/A 2.10%(1)S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N/A 0.01%(2) up to 1.50% N/A 1.25%(1)S1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.80% 0.01%(2) up to 1.50% N/A 2.05%(1)SQD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.20% 0.01%(2) up to 1.50% N/A 1.45%(1)

Diversified Equity Alpha PortfolioClass

A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.60% 0.05% up to 1.50% N/A 2.90%I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.80% 0.05% up to 1.50% N/A 2.10%S1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.80% 0.01%(2) up to 1.50% N/A 2.05%Z. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N/A(3) N/A(3) up to 1.50% N/A 1.01%

China Equity PortfolioClass

S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N/A 0.01%(2) N/A N/A 0.50%

* 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.

table 1Fee schedule

AB SICAV II

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table 2PortFolio turNover

Turnover (unaudited)

Multi-Strategy Alpha Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266.19 %Diversified Equity Alpha Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177.76 %China Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 178.38 %

AB SICAV II

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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

AllianceBernstein Limited50 Berkeley StreetLondonW1J 8HAUnited Kingdom

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)

AB SICAV II

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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.

AB SICAV II

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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

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