UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05088

THE AB PORTFOLIOS

(Exact name of registrant as specified in charter)

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: August 31, 2017

Date of reporting period: May 31, 2017

ITEM 1. SCHEDULE OF INVESTMENTS.

AB All Market Total Return Portfolio

Portfolio of Investments

May 31, 2017 (unaudited)

Company	Shares		U.S. $ Value
COMMON STOCKS - 47.8%
Information Technology - 10.5%
Communications Equipment - 0.3%
Cisco Systems, Inc.		72,424	$	2,283,529
Telefonaktiebolaget LM Ericsson-Class B		105,793		771,123
				3,054,652
Electronic Equipment, Instruments & Components - 0.7%
Amphenol Corp.-Class A		89,450		6,672,970
Internet Software & Services - 1.6%
Alphabet, Inc.-Class C (a)		13,987		13,495,497
Facebook, Inc.-Class A (a)		4,455		674,754
Mixi, Inc.		13,200		827,734
Yahoo!, Inc. (a)		2,804		141,097
				15,139,082
IT Services - 3.6%
Accenture PLC-Class A		1,132		140,900
Amadeus IT Group SA-Class A		31,650		1,848,220
Amdocs Ltd.		27,437		1,777,369
Automatic Data Processing, Inc.		46,580		4,768,395
Booz Allen Hamilton Holding Corp.		55,076		2,172,197
CGI Group, Inc.-Class A (a)		17,190		852,215
Fidelity National Information Services, Inc.		11,410		979,777
Gartner, Inc. (a)		54,590		6,528,964
Mastercard, Inc.-Class A		75,460		9,272,525
Total System Services, Inc.		34,280		2,041,374
Vantiv, Inc.-Class A (a)		11,529		723,099
Visa, Inc.-Class A		35,850		3,413,995
				34,519,030
Semiconductors & Semiconductor Equipment - 0.7%
Applied Materials, Inc.		3,339		153,193
ASM Pacific Technology Ltd.		33,900		485,543
Intel Corp.		48,420		1,748,446
Lam Research Corp.		7,408		1,149,500
STMicroelectronics NV		10,172		167,311
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)		29,950		1,059,032
Texas Instruments, Inc.		25,363		2,092,194
				6,855,219
Software - 2.3%
Adobe Systems, Inc. (a)		7,638		1,083,527
Check Point Software Technologies Ltd. (a)		12,200		1,367,010
Microsoft Corp.		129,741		9,061,111
Nice Ltd.		26,470		2,059,986
Oracle Corp.		93,265		4,233,299
Oracle Corp./Japan		30,400		1,790,689
Sage Group PLC (The)		77,220		717,486
salesforce.com, Inc. (a)		1,609		144,231
SAP SE		16,800		1,805,272
VMware, Inc.-Class A (a)		3,083		299,513
				22,562,124

Company	Shares		U.S. $ Value
Technology Hardware, Storage & Peripherals - 1.3%
Apple, Inc.		66,878	$	10,216,283
HP, Inc.		42,310		793,736
Logitech International SA		28,540		1,042,875
NEC Corp.		55,000		142,420
Travelport Worldwide Ltd.		6,741		91,003
				12,286,317
				101,089,394
Consumer Discretionary - 7.7%
Auto Components - 0.8%
Autoliv, Inc.		12,820		1,421,994
Delphi Automotive PLC		75,110		6,607,427
Exide Technologies (a)(b)(c)		2,460		9,686
				8,039,107
Automobiles - 0.0%
Ford Motor Co.		26,030		289,454
Mazda Motor Corp.		9,500		129,613
				419,067
Distributors - 0.0%
PALTAC Corp.		13,300		468,155
Diversified Consumer Services - 0.9%
Service Corp. International/US		217,620		6,937,726
Sotheby’s (a)		24,958		1,312,541
				8,250,267
Hotels, Restaurants & Leisure - 1.4%
Aristocrat Leisure Ltd.		151,801		2,457,873
Chipotle Mexican Grill, Inc.-Class A (a)		5,290		2,525,181
eDreams ODIGEO SA (a)		29,487		102,791
Eldorado Resorts, Inc. (a)		2,346		48,680
Flight Centre Travel Group Ltd.		14,553		386,720
InterContinental Hotels Group PLC		2,543		143,558
Sodexo SA		1,064		145,215
Starbucks Corp.		106,500		6,774,465
TUI AG		55,808		862,077
				13,446,560
Household Durables - 0.1%
Electrolux AB-Class B		6,877		220,662
Helen of Troy Ltd. (a)		10,960		997,360
Hovnanian Enterprises, Inc.-Class A (a)		7,965		19,355
Nikon Corp.		9,400		144,869
				1,382,246
Internet & Direct Marketing Retail - 0.9%
Amazon.com, Inc. (a)		765		760,884
Priceline Group, Inc. (The) (a)		4,189		7,863,130
				8,624,014

Company	Shares		U.S. $ Value
Leisure Products - 0.3%
Bandai Namco Holdings, Inc.		42,800	$	1,528,068
Sankyo Co., Ltd.		29,300		982,580
Sega Sammy Holdings, Inc.		10,100		128,125
				2,638,773
Media - 1.1%
Charter Communications, Inc.-Class A (a)		193		66,691
Clear Channel Outdoor Holdings, Inc.-Class A		7,440		28,644
Comcast Corp.-Class A		45,238		1,885,972
DISH Network Corp.-Class A (a)		609		38,836
Gray Television, Inc. (a)		4,456		53,695
Informa PLC		72,100		623,141
Nexstar Media Group, Inc.-Class A		1,370		78,364
Omnicom Group, Inc.		42,830		3,585,728
REA Group Ltd.		2,887		137,765
Regal Entertainment Group-Class A		79,088		1,645,030
Scripps Networks Interactive, Inc.-Class A		14,560		964,163
Sinclair Broadcast Group, Inc.-Class A		1,582		51,257
Townsquare Media, Inc.-Class A (a)		5,903		59,384
WPP PLC		44,250		995,738
				10,214,408
Multiline Retail - 0.1%
Dollarama, Inc.		1,547		143,300
Next PLC		10,503		590,909
				734,209
Specialty Retail - 1.3%
AutoZone, Inc. (a)		910		551,387
Best Buy Co., Inc.		15,388		913,893
Home Depot, Inc. (The)		10,681		1,639,640
Lowe’s Cos., Inc.		6,774		533,588
Ross Stores, Inc.		24,807		1,585,664
TJX Cos., Inc./(The)		32,610		2,452,598
Ulta Salon Cosmetics & Fragrance, Inc. (a)		16,398		4,998,767
				12,675,537
Textiles, Apparel & Luxury Goods - 0.8%
adidas AG		1,322		253,437
HUGO BOSS AG		17,726		1,336,237
NIKE, Inc.-Class B		58,867		3,119,362
Ralph Lauren Corp.		2,550		172,890
Samsonite International SA		633,300		2,542,645
				7,424,571
				74,316,914
Health Care - 7.6%
Biotechnology - 1.5%
Actelion Ltd. (REG) (a)		2,375		674,521
Amgen, Inc.		5,882		913,122
Biogen, Inc. (a)		6,400		1,585,728
Celgene Corp. (a)		53,742		6,148,622
CSL Ltd.		6,965		669,660
Gilead Sciences, Inc.		60,991		3,957,706

Company	Shares		U.S. $ Value
Grifols SA		5,123	$	145,044
				14,094,403
Health Care Equipment & Supplies - 1.1%
Abbott Laboratories		214,380		9,788,591
Baxter International, Inc.		8,598		509,947
Cochlear Ltd.		3,855		419,831
Hoya Corp.		3,600		177,180
Medtronic PLC		1,674		141,085
				11,036,634
Health Care Providers & Services - 2.0%
Aetna, Inc.		17,451		2,527,952
Anthem, Inc.		44,890		8,185,691
Centene Corp. (a)		4,063		295,096
Community Health Systems, Inc. (a)		10,484		92,783
Humana, Inc.		4,014		932,292
LifePoint Health, Inc. (a)		1,006		61,165
Quorum Health Corp. (a)		458		1,727
Tenet Healthcare Corp. (a)		2,448		40,490
UnitedHealth Group, Inc.		42,690		7,478,434
				19,615,630
Life Sciences Tools & Services - 0.8%
Quintiles IMS Holdings, Inc. (a)		86,670		7,491,755
Pharmaceuticals - 2.2%
Allergan PLC		2,389		534,539
Eli Lilly & Co.		1,619		128,824
Endo International PLC (a)		5,804		76,497
Horizon Pharma PLC (a)		2,889		28,890
Merck & Co., Inc.		33,395		2,174,348
Orion Oyj-Class B		3,915		253,072
Pfizer, Inc.		53,731		1,754,317
Roche Holding AG		7,685		2,109,908
Sanofi		16,469		1,631,314
Sumitomo Dainippon Pharma Co., Ltd.		8,300		126,694
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)		134,984		3,760,654
Valeant Pharmaceuticals International, Inc. (a)		1,358		16,364
Zoetis, Inc.		129,595		8,071,177
				20,666,598
				72,905,020
Financials - 7.1%
Banks - 2.9%
Banco Bilbao Vizcaya Argentaria SA		16,228		132,818
Banco Santander SA		20,593		134,081
Bank of America Corp.		5,935		133,003
Bank of Queensland Ltd.		2,348		19,460
Citigroup, Inc.		49,253		2,981,777
DBS Group Holdings Ltd.		308,800		4,562,328
DNB ASA		77,857		1,320,347
JPMorgan Chase & Co.		18,235		1,498,005
Jyske Bank A/S		73,220		3,911,725
Mediobanca SpA		14,469		137,293

Company	Shares		U.S. $ Value
Mitsubishi UFJ Financial Group, Inc.		304,000	$	1,886,411
National Australia Bank Ltd.		42,710		953,146
Nordea Bank AB		86,040		1,102,460
Oversea-Chinese Banking Corp., Ltd.		140,700		1,065,955
PNC Financial Services Group, Inc. (The)		6,957		825,796
Raiffeisen Bank International AG (a)		26,784		706,994
Royal Bank of Canada		26,660		1,842,724
Swedbank AB-Class A		23,560		566,984
Toronto-Dominion Bank (The)		34,949		1,666,148
Wells Fargo & Co.		40,695		2,081,142
				27,528,597
Capital Markets - 2.7%
BlackRock, Inc.-Class A		3,120		1,276,829
Charles Schwab Corp. (The)		210,645		8,162,494
CME Group, Inc.-Class A		1,128		132,303
Euronext NV (d)		3,600		188,119
IG Group Holdings PLC		72,660		546,666
Julius Baer Group Ltd. (a)		44,050		2,284,113
London Stock Exchange Group PLC		21,420		944,877
Moody’s Corp.		39,777		4,711,585
Morgan Stanley		25,856		1,079,229
Raymond James Financial, Inc.		1,799		130,014
S&P Global, Inc.		28,340		4,047,235
Singapore Exchange Ltd.		187,000		981,932
Thomson Reuters Corp.		28,290		1,233,924
				25,719,320
Consumer Finance - 0.4%
American Express Co.		46,541		3,580,864
Capital One Financial Corp.		3,548		272,912
Discover Financial Services		2,018		118,457
Enova International, Inc. (a)		1,817		24,166
				3,996,399
Diversified Financial Services - 0.2%
Cielo SA		194,600		1,371,723
Holdco, Inc. (b)(e)		145,780		93,299
Industrivarden AB-Class C		5,891		139,102
				1,604,124
Insurance - 0.9%
Aflac, Inc.		1,809		136,362
Aon PLC		5,080		665,023
Direct Line Insurance Group PLC		204,250		918,373
Euler Hermes Group		4,610		484,660
FNF Group		48,208		2,054,143
Japan Post Holdings Co., Ltd.		82,400		1,005,554
Marsh & McLennan Cos., Inc.		28,860		2,238,382
Prudential Financial, Inc.		2,837		297,459
Travelers Cos., Inc. (The)		2,661		332,226
Tryg A/S		54,490		1,119,916
				9,252,098
				68,100,538

Company	Shares		U.S. $ Value
Industrials - 4.7%
Aerospace & Defense - 0.4%
Boeing Co. (The)		3,030	$	568,519
Raytheon Co.		14,480		2,374,865
Saab AB-Class B		20,320		1,056,822
Safran SA		1,630		144,132
				4,144,338
Air Freight & Logistics - 0.1%
CH Robinson Worldwide, Inc.		19,480		1,305,355
Airlines - 0.2%
Japan Airlines Co., Ltd.		66,400		1,946,482
Commercial Services & Supplies - 0.5%
G4S PLC		207,200		867,847
Republic Services, Inc.-Class A		10,700		680,627
Stericycle, Inc. (a)		28,530		2,332,898
Toppan Printing Co., Ltd.		102,000		1,123,518
				5,004,890
Construction & Engineering - 0.0%
Modular Space Corp. (b)(f)		5,852		76,076
Skanska AB-Class B		5,564		132,243
				208,319
Consumer Cyclical - Automotive - 0.0%
Exide Corp. (b)(c)		1,244		4,898
Electrical Equipment - 0.1%
Emerson Electric Co.		7,461		441,094
Energy Equipment & Services - 0.0%
Sanchez Energy Corp. (a)		131		785
Energy Other - 0.1%
Tervita Corp. (b)(e)		60,772		393,645
Industrial Conglomerates - 0.0%
3M Co.		696		142,311
Honeywell International, Inc.		1,041		138,443
				280,754
Machinery - 0.9%
Atlas Copco AB-Class B		4,092		135,060
Dover Corp.		53,230		4,394,137
Kone Oyj-Class B		87,140		4,312,204
SKF AB-Class B		6,516		133,163
				8,974,564
Marine - 0.0%
Mitsui OSK Lines Ltd.		105,000		301,168
Professional Services - 1.7%
Equifax, Inc.		8,880		1,214,784
Experian PLC		56,870		1,188,865
Nielsen Holdings PLC		20,060		771,909
RELX NV		274,015		5,685,841
Verisk Analytics, Inc.-Class A (a)		85,970		6,954,113

Company	Shares		U.S. $ Value
Wolters Kluwer NV		20,750	$	910,786
				16,726,298
Road & Rail - 0.3%
Aurizon Holdings Ltd.		263,508		1,075,828
CSX Corp.		21,962		1,189,682
Nippon Express Co., Ltd.		25,000		154,068
				2,419,578
Trading Companies & Distributors - 0.3%
Emeco Holdings Ltd. (a)		38,973		2,404
MSC Industrial Direct Co., Inc.-Class A		12,650		1,061,841
Sumitomo Corp.		19,300		246,048
Wolseley PLC		16,493		1,088,441
				2,398,734
Transportation Infrastructure - 0.1%
Aena SA (d)		5,170		1,044,687
				45,595,589
Consumer Staples - 3.6%
Beverages - 0.1%
Constellation Brands, Inc.-Class A		783		143,093
Diageo PLC		22,280		669,707
				812,800
Food & Staples Retailing - 0.4%
CVS Health Corp.		18,756		1,441,024
Distribuidora Internacional de Alimentacion SA		173,420		1,068,243
J Sainsbury PLC		38,785		140,501
Jeronimo Martins SGPS SA		34,418		685,520
Wal-Mart Stores, Inc.		7,130		560,418
				3,895,706
Food Products - 1.4%
Archer-Daniels-Midland Co.		6,227		258,919
Bunge Ltd.		1,723		137,788
Conagra Brands, Inc.		19,200		739,968
Danone SA		29,670		2,205,346
Hershey Co. (The)		54,700		6,305,269
Salmar ASA		57,640		1,559,827
Sanderson Farms, Inc.		5,680		674,216
Tyson Foods, Inc.-Class A		25,854		1,482,468
				13,363,801
Household Products - 0.4%
Kimberly-Clark Corp.		1,036		134,400
Procter & Gamble Co. (The)		27,828		2,451,368
Reckitt Benckiser Group PLC		16,909		1,734,260
				4,320,028
Personal Products - 0.3%
Estee Lauder Cos., Inc. (The)-Class A		21,360		2,010,830
L’Oreal SA		5,780		1,236,405
				3,247,235

Company	Shares		U.S. $ Value
Tobacco - 1.0%
Altria Group, Inc.		29,433	$	2,220,426
British American Tobacco PLC		38,144		2,728,920
Imperial Brands PLC		10,720		501,612
Philip Morris International, Inc.		23,988		2,873,762
Reynolds American, Inc.		15,275		1,027,244
				9,351,964
				34,991,534
Materials - 2.3%
Chemicals - 1.7%
Agrium, Inc. (Toronto)		1,483		137,031
BASF SE		27,630		2,611,817
Covestro AG (d)		32,678		2,449,088
Ecolab, Inc.		50,700		6,734,988
Johnson Matthey PLC		30,638		1,231,021
Monsanto Co.		9,560		1,122,535
Nippon Shokubai Co., Ltd.		9,200		562,329
Sherwin-Williams Co. (The)		3,600		1,194,372
				16,043,181
Construction Materials - 0.1%
CRH PLC		28,981		1,046,895
Containers & Packaging - 0.3%
Amcor Ltd./Australia		146,250		1,665,841
Bemis Co., Inc.		13,490		602,194
Sealed Air Corp.		15,080		669,853
WestRock Co.		2,500		136,050
				3,073,938
Metals & Mining - 0.2%
Anglo American PLC (a)		30,113		401,672
ArcelorMittal (a)		2,445		53,399
Barrick Gold Corp. (Toronto)		9,485		156,861
Boliden AB		4,255		116,327
Constellium NV-Class A (a)		8,996		60,723
Fortescue Metals Group Ltd.		134,920		485,187
Kobe Steel Ltd. (a)		15,100		138,062
Neenah Enterprises, Inc. (a)(b)(e)		10,896		4,685
Rio Tinto PLC		6,545		261,367
Turquoise Hill Resources Ltd. (a)		49,630		129,324
				1,807,607
				21,971,621
Energy - 1.6%
Energy Equipment & Services - 0.4%
Halliburton Co.		23,338		1,054,644
National Oilwell Varco, Inc.		3,811		124,505
Petrofac Ltd.		12,713		62,421
Schlumberger Ltd.		29,744		2,069,885
				3,311,455
Oil, Gas & Consumable Fuels - 1.2%
Berry Petroleum Co. LLC (e)		5,356		58,916

Company	Shares		U.S. $ Value
BP PLC		41,546	$	251,003
CHC Group LLC (a)(c)		2,966		26,694
Chesapeake Energy Corp. (a)		9,840		49,790
ConocoPhillips		24,510		1,095,352
Edcon Ltd. A Shares (b)(e)		465,862		0
Edcon Ltd. B Shares (b)(e)		73,623		0
EP Energy Corp.-Class A (a)		6,082		25,605
Exxon Mobil Corp.		14,265		1,148,332
Halcon Resources Corp. (a)		670		4,074
Inpex Corp.		36,200		333,745
Linn Energy, Inc.		233		7,153
Linn Energy, Inc. (a)		4,124		126,607
LUKOIL PJSC (Sponsored ADR)		32,075		1,547,619
Peabody Energy Corp. (a)		3,526		85,647
Peabody Energy Corp. (e)		157		3,814
Royal Dutch Shell PLC-Class B		147,243		4,076,039
SandRidge Energy, Inc. (a)		1,407		27,844
TOTAL SA		25,100		1,325,983
Triangle Petroleum Corp. (a)		7,408		299
Valero Energy Corp.		15,981		982,352
Vantage Drilling International (a)(e)		200		35,000
Veresen, Inc.		21,823		296,606
Whiting Petroleum Corp. (a)		6,251		44,132
Woodside Petroleum Ltd.		5,532		132,184
				11,684,790
				14,996,245
Telecommunication Services - 1.2%
Diversified Telecommunication Services - 0.1%
AT&T, Inc.		27,667		1,066,010
Wireless Telecommunication Services - 1.1%
KDDI Corp.		229,300		6,364,014
MTN Group Ltd.		340,970		3,054,289
Rogers Communications, Inc.-Class B		16,827		784,766
				10,203,069
				11,269,079
Utilities - 1.1%
Electric Utilities - 0.6%
Duke Energy Corp.		1,635		140,087
Edison International		1,672		136,385
EDP - Energias de Portugal SA		204,229		751,422
Endesa SA		34,661		866,127
Enel Americas SA (Sponsored ADR)		100,730		945,855
Enel Chile SA (ADR)		223,170		1,218,508
Kyushu Electric Power Co., Inc.		42,400		525,417
NextEra Energy, Inc.		3,749		530,259
Power Assets Holdings Ltd.		18,500		165,615
Tokyo Electric Power Co. Holdings, Inc. (a)		135,800		556,571
				5,836,246
Multi-Utilities - 0.1%
Atco Ltd./Canada-Class I		3,655		137,856

Company	Shares		U.S. $ Value
Centrica PLC		404,705	$	1,060,873
				1,198,729
Water Utilities - 0.4%
Guangdong Investment Ltd.		2,740,000		3,951,272
				10,986,247
Real Estate - 0.4%
Equity Real Estate Investment Trusts (REITs) - 0.1%
Equity Residential		16,471		1,072,098
HCP, Inc.		4,218		132,192
Weyerhaeuser Co.		3,870		127,555
				1,331,845
Real Estate Management & Development - 0.3%
CBRE Group, Inc.-Class A (a)		38,930		1,357,878
Wharf Holdings Ltd. (The)		15,838		134,548
Wheelock & Co., Ltd.		129,000		964,627
				2,457,053
				3,788,898
Total Common Stocks (cost $450,094,210)				460,011,079
INVESTMENT COMPANIES - 29.1%
Funds and Investment Trusts - 29.1% (g)
AB Cap Fund, Inc. - AB All Market Alternative Return Portfolio-Class ADV		22,722,699		194,279,077
iShares Russell 2000 ETF		591		80,565
Vanguard FTSE Emerging Markets ETF		478,048		19,475,676
Vanguard Global ex-U.S. Real Estate ETF		598,125		33,755,184
Vanguard REIT ETF		388,983		31,970,513
Total Investment Companies (cost $278,184,056)				279,561,015
	Principal Amount (000)
CORPORATES - NON-INVESTMENT GRADE - 4.3%
Industrial - 3.7%
Basic - 0.4%
AK Steel Corp.
7.625%, 10/01/21	$	71		73,628
Aleris International, Inc.
7.875%, 11/01/20		43		41,842
Anglo American Capital PLC
3.25%, 4/03/23 (d)	EUR	57		68,809
3.75%, 4/10/22 (d)	$	157		157,700
ArcelorMittal
6.125%, 6/01/18		89		92,081
7.25%, 3/01/41		99		109,773
7.50%, 10/15/39		200		223,763

	Principal Amount (000)		U.S. $ Value
Axalta Coating Systems LLC
4.875%, 8/15/24 (d)	$	106	$	109,051
CF Industries, Inc.
3.45%, 6/01/23		81		76,083
5.375%, 3/15/44		53		47,936
ERP Iron Ore, LLC
9.15%, 12/31/19 (b)(e)(h)		26		26,209
First Quantum Minerals Ltd.
7.00%, 2/15/21 (d)		33		34,121
7.25%, 5/15/22-4/01/23 (d)		342		350,037
Freeport-McMoRan, Inc.
2.375%, 3/15/18		74		73,576
3.55%, 3/01/22		204		191,566
3.875%, 3/15/23		186		172,677
6.75%, 2/01/22 (d)		79		81,452
Grinding Media, Inc./MC Grinding Media Canada, Inc.
7.375%, 12/15/23 (d)		62		66,694
INEOS Group Holdings SA
5.375%, 8/01/24 (d)	EUR	1		749
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (d)	$	318		361,367
Lecta SA
6.50%, 8/01/23 (d)	EUR	84		103,494
Lundin Mining Corp.
7.875%, 11/01/22 (d)	$	25		27,217
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (a)(f)(i)		146		2
Momentive Performance Materials, Inc.
3.88%, 10/24/21		114		115,532
8.875%, 10/15/20 (a)(b)(c)		114		0
Novelis Corp.
6.25%, 8/15/24 (d)		95		100,122
Pactiv LLC
7.95%, 12/15/25		100		110,239
Peabody Energy Corp.
6.00%, 11/15/18		227		0
6.00%, 3/31/22 (d)		13		12,816
Sealed Air Corp.
6.875%, 7/15/33 (d)		170		186,771
SPCM SA
4.875%, 9/15/25 (d)		142		145,180
Steel Dynamics, Inc.
5.125%, 10/01/21		11		10,960
Teck Resources Ltd.
5.20%, 3/01/42		88		81,748
5.40%, 2/01/43		79		73,748
6.25%, 7/15/41		16		16,330
8.50%, 6/01/24 (d)		10		11,458
United States Steel Corp.
8.375%, 7/01/21 (d)		51		56,018
Valvoline, Inc.
5.50%, 7/15/24 (d)		17		17,911

	Principal Amount (000)		U.S. $ Value
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (d)	$	23	$	24,478
				3,453,138
Capital Goods - 0.2%
Apex Tool Group LLC
7.00%, 2/01/21 (d)		84		77,496
ARD Finance SA
6.625% (6.625% Cash or 7.375% PIK), 9/15/23 (h)	EUR	137		164,672
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
4.25%, 9/15/22 (d)	$	191		195,389
4.625%, 5/15/23 (d)		43		43,519
7.25%, 5/15/24 (d)		7		7,727
B456 Systems, Inc.
3.75%, 4/15/16 (a)(e)		50		3,773
Ball Corp.
4.375%, 12/15/20		88		92,353
5.00%, 3/15/22		142		152,077
Bombardier, Inc.
8.75%, 12/01/21 (d)		32		35,494
BWAY Holding Co.
5.50%, 4/15/24 (d)		157		160,474
Clean Harbors, Inc.
5.125%, 6/01/21		120		123,264
5.25%, 8/01/20		13		12,969
CNH Industrial Capital LLC
3.375%, 7/15/19		62		63,480
3.625%, 4/15/18		43		42,976
3.875%, 7/16/18		70		71,443
4.375%, 4/05/22		93		95,908
Energizer Holdings, Inc.
5.50%, 6/15/25 (d)		30		32,164
EnPro Industries, Inc.
5.875%, 9/15/22		61		63,615
Exide Technologies
11.00%, 4/30/22 (c)		80		65,169
Gates Global LLC/Gates Global Co.
6.00%, 7/15/22 (d)		155		158,340
GFL Environmental, Inc.
5.625%, 5/01/22 (d)		65		65,538
9.875%, 2/01/21 (d)		69		75,079
Jefferson Smurfit Corp./US
8.25%, 10/01/49 (b)(e)		118		0
KLX, Inc.
5.875%, 12/01/22 (d)		60		63,526
Owens-Brockway Glass Container, Inc.
5.00%, 1/15/22 (d)		47		49,485
Smurfit-Stone Container Enterprises, Inc.
8.00%, 3/15/17 (b)(e)		122		0
TA MFG. Ltd.
3.625%, 4/15/23 (d)	EUR	71		82,292

	Principal Amount (000)		U.S. $ Value
TransDigm, Inc.
6.375%, 6/15/26	$	177	$	181,580
				2,179,802
Communications - Media - 0.5%
Altice Financing SA
6.625%, 2/15/23 (d)		162		172,860
Altice Luxembourg SA
7.25%, 5/15/22 (d)	EUR	57		68,380
Altice US Finance I Corp.
5.50%, 5/15/26 (d)	$	142		148,267
CCO Holdings LLC/CCO Holdings Capital Corp.
5.125%, 2/15/23		125		130,721
5.125%, 5/01/27 (d)		98		100,184
5.25%, 9/30/22		15		15,397
5.375%, 5/01/25 (d)		30		31,493
5.875%, 5/01/27 (d)		48		51,311
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22		98		100,663
Series B
6.50%, 11/15/22		122		126,130
CSC Holdings LLC
6.625%, 10/15/25 (d)		6		7,014
7.625%, 7/15/18		122		128,777
10.125%, 1/15/23 (d)		236		274,472
DISH DBS Corp.
4.625%, 7/15/17		92		92,317
5.00%, 3/15/23		28		29,139
5.125%, 5/01/20		29		30,704
6.75%, 6/01/21		49		54,118
7.875%, 9/01/19		44		48,796
iHeartCommunications, Inc.
6.875%, 6/15/18		121		69,067
9.00%, 12/15/19-9/15/22		212		162,005
11.25%, 3/01/21 (d)		25		18,417
Lamar Media Corp.
5.875%, 2/01/22		14		14,607
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (d)		97		94,903
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23		115		120,259
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp.
5.00%, 8/01/18 (d)		18		17,781
Netflix, Inc.
4.375%, 11/15/26 (d)		82		82,406
Radiate Holdco LLC/Radiate Finance, Inc.
6.625%, 2/15/25 (d)		43		43,508
RR Donnelley & Sons Co.
7.875%, 3/15/21		70		76,051

	Principal Amount (000)		U.S. $ Value
SFR Group SA
6.00%, 5/15/22 (d)	$	165	$	172,957
7.375%, 5/01/26 (d)		450		487,346
Sinclair Television Group, Inc.
6.125%, 10/01/22		41		42,751
TEGNA, Inc.
4.875%, 9/15/21 (d)		111		113,761
5.125%, 7/15/20		62		63,304
5.50%, 9/15/24 (d)		12		12,461
Time, Inc.
5.75%, 4/15/22 (d)		71		73,268
Townsquare Media, Inc.
6.50%, 4/01/23 (d)		16		16,451
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.50%, 1/15/23 (d)		76		78,987
Univision Communications, Inc.
5.125%, 2/15/25 (d)		232		229,549
Urban One, Inc.
7.375%, 4/15/22 (d)		89		92,238
9.25%, 2/15/20 (d)		114		109,106
Videotron Ltd.
5.00%, 7/15/22		45		48,379
Virgin Media Finance PLC
4.875%, 2/15/22		6		5,082
Virgin Media Secured Finance PLC
4.875%, 1/15/27 (d)	GBP	165		221,435
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00 % PIK), 7/15/19 (d)(h)	$	32		32,256
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (d)		7		7,366
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19		122		126,137
Ziggo Bond Finance BV
5.875%, 1/15/25 (d)		44		44,668
Ziggo Secured Finance BV
5.50%, 1/15/27 (d)		268		271,101
				4,558,350
Communications - Telecommunications - 0.5%
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (d)	GBP	53		73,484
CenturyLink, Inc.
Series S
6.45%, 6/15/21	$	72		77,385
Series T
5.80%, 3/15/22		123		128,102
Series U
7.65%, 3/15/42		39		36,831
Series W
6.75%, 12/01/23		82		87,972

	Principal Amount (000)		U.S. $ Value
Cincinnati Bell, Inc.
7.00%, 7/15/24 (d)	$	62	$	64,422
Embarq Corp.
7.995%, 6/01/36		140		142,817
Frontier Communications Corp.
7.125%, 1/15/23		103		88,937
7.625%, 4/15/24		133		111,938
7.875%, 1/15/27		31		23,730
8.75%, 4/15/22		64		59,823
9.00%, 8/15/31		74		61,104
10.50%, 9/15/22		137		135,197
11.00%, 9/15/25		160		149,506
Hughes Satellite Systems Corp.
6.50%, 6/15/19		71		76,794
7.625%, 6/15/21		47		53,140
Intelsat Jackson Holdings SA
5.50%, 8/01/23		268		220,978
7.25%, 4/01/19-10/15/20		102		94,291
7.50%, 4/01/21		32		28,532
8.00%, 2/15/24 (d)		25		26,783
9.50%, 9/30/22 (d)		107		127,871
Level 3 Communications, Inc.
5.75%, 12/01/22		18		19,177
Level 3 Financing, Inc.
5.25%, 3/15/26		164		171,457
Sable International Finance Ltd.
6.875%, 8/01/22 (d)		102		110,643
SoftBank Group Corp.
4.50%, 4/15/20, TBA (d)		182		189,679
Sprint Capital Corp.
8.75%, 3/15/32		162		204,840
Sprint Communications, Inc.
7.00%, 3/01/20 (d)		149		164,351
9.00%, 11/15/18 (d)		120		131,351
Sprint Corp.
7.125%, 6/15/24		14		15,921
7.25%, 9/15/21		119		135,145
7.625%, 2/15/25		232		267,160
7.875%, 9/15/23		60		69,591
T-Mobile USA, Inc.
6.50%, 1/15/24-1/15/26		152		164,517
Telecom Italia Capital SA
6.375%, 11/15/33		136		146,619
7.20%, 7/18/36		79		91,519
7.721%, 6/04/38		68		81,705
Uniti Group, Inc./CSL Capital LLC
8.25%, 10/15/23		145		153,200
Wind Acquisition Finance SA
4.75%, 7/15/20 (d)		128		129,234
6.50%, 4/30/20 (d)		78		80,619
Windstream Services LLC
6.375%, 8/01/23		170		144,470
7.50%, 4/01/23		85		77,505
7.75%, 10/01/21		29		28,116

	Principal Amount (000)		U.S. $ Value
Zayo Group LLC/Zayo Capital, Inc.
5.75%, 1/15/27 (d)	$	92	$	97,075
				4,543,531
Consumer Cyclical - Automotive - 0.1%
Adient Global Holdings Ltd.
4.875%, 8/15/26 (d)		142		142,017
BCD Acquisition, Inc.
9.625%, 9/15/23 (d)		91		97,169
Dana Financing Luxembourg SARL
6.50%, 6/01/26 (d)		60		64,430
Dana, Inc.
5.375%, 9/15/21		29		30,087
Exide Technologies
7.00%, 4/30/25 (b)(f)(h)		9		5,113
Series AI
7.00%, 4/30/25 (e)(h)		204		122,567
IHO Verwaltungs GmbH
4.125% (4.125% Cash or 4.875% PIK), 9/15/21 (d)(h)		142		144,908
				606,291
Consumer Cyclical - Entertainment - 0.0%
AMC Entertainment Holdings, Inc.
5.75%, 6/15/25		30		31,691
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (d)		29		31,808
National CineMedia LLC
5.75%, 8/15/26		33		32,487
Silversea Cruise Finance Ltd.
7.25%, 2/01/25 (d)		83		88,531
				184,517
Consumer Cyclical - Other - 0.3%
Beazer Homes USA, Inc.
5.75%, 6/15/19		35		37,355
6.75%, 3/15/25 (d)		64		66,120
8.75%, 3/15/22		23		26,089
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (a)(i)		154		134,738
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20		79		82,473
CalAtlantic Group, Inc.
6.25%, 12/15/21		55		61,454
8.375%, 5/15/18		150		158,790
Diamond Resorts International, Inc.
7.75%, 9/01/23 (d)		60		63,578
Eldorado Resorts, Inc.
6.00%, 4/01/25 (d)		40		41,707
GLP Capital LP/GLP Financing II, Inc.
4.375%, 4/15/21		14		14,937

	Principal Amount (000)		U.S. $ Value
4.875%, 11/01/20	$	18	$	19,578
5.375%, 11/01/23-4/15/26		35		38,448
International Game Technology
7.50%, 6/15/19		50		55,027
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21		103		86,903
7.25%, 10/15/20 (d)		30		30,253
KB Home
4.75%, 5/15/19		140		144,291
7.00%, 12/15/21		54		60,551
7.50%, 9/15/22		25		28,147
8.00%, 3/15/20		14		15,916
Lennar Corp.
4.125%, 12/01/18		71		72,712
4.50%, 11/15/19		148		154,109
4.75%, 11/15/22		20		20,692
MDC Holdings, Inc.
5.50%, 1/15/24		14		15,064
5.625%, 2/01/20		57		60,937
6.00%, 1/15/43		312		288,147
Meritage Homes Corp.
6.00%, 6/01/25		52		55,098
7.00%, 4/01/22		11		12,082
MGM Resorts International
8.625%, 2/01/19		110		121,368
Pinnacle Entertainment, Inc.
5.625%, 5/01/24 (d)		30		31,568
PulteGroup, Inc.
5.00%, 1/15/27		21		21,578
6.00%, 2/15/35		130		129,267
7.875%, 6/15/32		26		29,389
RSI Home Products, Inc.
6.50%, 3/15/23 (d)		214		226,078
Scientific Games International, Inc.
7.00%, 1/01/22 (d)		81		86,458
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (d)		18		18,145
6.125%, 4/01/25 (d)		146		150,085
Standard Industries, Inc./NJ
5.125%, 2/15/21 (d)		50		52,401
6.00%, 10/15/25 (d)		74		80,315
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 (d)		32		31,578
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
5.625%, 3/01/24 (d)		43		44,431
Toll Brothers Finance Corp.
4.00%, 12/31/18		36		37,077
4.875%, 3/15/27		27		27,697
5.875%, 2/15/22		86		94,556
				3,027,187

	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Restaurants - 0.0%
Pizzaexpress Financing 1 PLC
8.625%, 8/01/22 (d)	GBP	2	$	2,780
Stonegate Pub Co. Financing PLC
4.875%, 3/15/22 (d)		71		92,832
				95,612
Consumer Cyclical - Retailers - 0.1%
CST Brands, Inc.
5.00%, 5/01/23	$	20		20,535
FirstCash, Inc.
5.375%, 6/01/24 (d)		36		36,758
Group 1 Automotive, Inc.
5.00%, 6/01/22		98		99,223
Hanesbrands, Inc.
4.875%, 5/15/26 (d)		51		51,093
JC Penney Corp., Inc.
6.375%, 10/15/36		37		26,901
L Brands, Inc.
5.625%, 2/15/22		60		64,139
6.875%, 11/01/35		226		219,526
7.00%, 5/01/20		106		117,811
Neiman Marcus Group Ltd. LLC
8.00%, 10/15/21 (d)		259		133,613
Penske Automotive Group, Inc.
5.50%, 5/15/26		62		62,081
PetSmart, Inc.
7.125%, 3/15/23 (d)		154		143,822
Rite Aid Corp.
6.125%, 4/01/23 (d)		44		43,693
Sonic Automotive, Inc.
5.00%, 5/15/23		11		10,197
6.125%, 3/15/27 (d)		47		47,681
				1,077,073
Consumer Non-Cyclical - 0.6%
Air Medical Group Holdings, Inc.
6.375%, 5/15/23 (d)		140		133,389
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
5.75%, 3/15/25 (d)		60		59,260
6.625%, 6/15/24 (d)		61		63,049
Alere, Inc.
6.375%, 7/01/23 (d)		19		20,699
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (d)(h)		96		48,548
9.25%, 2/15/19 (d)		159		135,194
Boparan Finance PLC
5.50%, 7/15/21 (d)	GBP	18		23,020
Catalent Pharma Solutions, Inc.
4.75%, 12/15/24 (d)	EUR	107		129,269
CHS/Community Health Systems, Inc.
6.875%, 2/01/22	$	400		355,500

	Principal Amount (000)		U.S. $ Value
7.125%, 7/15/20	$	385	$	379,314
8.00%, 11/15/19		23		23,583
Concordia International Corp.
7.00%, 4/15/23 (d)		13		2,583
9.50%, 10/21/22 (d)		145		33,774
Endo Finance LLC
5.75%, 1/15/22 (d)		116		110,747
Endo Finance LLC/Endo Finco, Inc.
5.375%, 1/15/23 (d)		200		181,470
7.25%, 1/15/22 (d)		18		17,651
First Quality Finance Co., Inc.
4.625%, 5/15/21 (d)		233		231,793
HCA, Inc.
3.75%, 3/15/19		242		247,918
4.25%, 10/15/19		451		469,461
4.50%, 2/15/27		33		34,274
5.25%, 6/15/26		60		64,468
6.50%, 2/15/20		370		406,551
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (d)		18		18,698
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (d)		118		126,037
Lamb Weston Holdings, Inc.
4.625%, 11/01/24 (d)		16		16,688
LifePoint Health, Inc.
5.375%, 5/01/24 (d)		21		21,489
Mallinckrodt International Finance SA
3.50%, 4/15/18		69		69,540
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (d)		60		54,296
5.625%, 10/15/23 (d)		78		74,763
5.75%, 8/01/22 (d)		174		171,497
MEDNAX, Inc.
5.25%, 12/01/23 (d)		24		24,453
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (d)		83		88,715
Nature’s Bounty Co. (The)
7.625%, 5/15/21 (d)		280		292,250
Post Holdings, Inc.
5.00%, 8/15/26 (d)		80		80,540
5.50%, 3/01/25 (d)		6		5,925
6.00%, 12/15/22 (d)		13		14,343
Spectrum Brands, Inc.
6.625%, 11/15/22		26		27,636
Synlab Bondco PLC
6.25%, 7/01/22 (d)	EUR	116		141,874
Tenet Healthcare Corp.
4.50%, 4/01/21	$	47		48,651
5.50%, 3/01/19		84		85,730
7.50%, 1/01/22 (d)		13		14,639
8.00%, 8/01/20		259		263,145
8.125%, 4/01/22		209		219,989

	Principal Amount (000)		U.S. $ Value
Valeant Pharmaceuticals International
6.375%, 10/15/20 (d)	$	470	$	442,857
Valeant Pharmaceuticals International, Inc.
5.375%, 3/15/20 (d)		145		134,576
5.50%, 3/01/23 (d)		152		122,803
5.625%, 12/01/21 (d)		180		154,516
6.50%, 3/15/22 (d)		33		34,978
Vizient, Inc.
10.375%, 3/01/24 (d)		21		24,449
Voyage Care Bondco PLC
5.875%, 5/01/23 (d)	GBP	78		104,589
				6,051,181
Energy - 0.4%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
7.875%, 12/15/24 (d)	$	56		58,558
Antero Resources Corp.
5.125%, 12/01/22		151		152,865
Berry Petroleum Co. LLC
6.375%, 9/15/22 (a)(b)(e)		135		0
Bill Barrett Corp.
8.75%, 6/15/25 (d)		45		43,859
California Resources Corp.
5.50%, 9/15/21		45		32,345
6.00%, 11/15/24		12		7,969
8.00%, 12/15/22 (d)		109		81,699
Cheniere Corpus Christi Holdings LLC
5.875%, 3/31/25		81		87,574
Chesapeake Energy Corp.
6.125%, 2/15/21		5		5,019
6.625%, 8/15/20		244		253,497
6.875%, 11/15/20		1		1,462
8.00%, 12/15/22 (d)		4		3,824
Continental Resources, Inc./OK
4.50%, 4/15/23		29		28,558
4.90%, 6/01/44		62		53,133
DCP Midstream Operating LP
3.875%, 3/15/23		53		51,833
5.60%, 4/01/44		64		61,243
Denbury Resources, Inc.
4.625%, 7/15/23		38		25,714
5.50%, 5/01/22		47		34,527
Diamond Offshore Drilling, Inc.
4.875%, 11/01/43		167		119,846
Energy Transfer Equity LP
7.50%, 10/15/20		152		170,582
Ensco PLC
4.50%, 10/01/24		16		13,369
5.20%, 3/15/25		113		96,189
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23		18		13,195
7.75%, 9/01/22		64		52,321
8.00%, 2/15/25 (d)		57		49,138
9.375%, 5/01/20		190		172,408

	Principal Amount (000)		U.S. $ Value
Gulfport Energy Corp.
6.375%, 5/15/25 (d)	$	43	$	42,885
Hilcorp Energy I LP/Hilcorp Finance Co.
5.75%, 10/01/25 (d)		162		159,014
Murphy Oil Corp.
6.125%, 12/01/42		51		48,551
6.875%, 8/15/24		9		9,686
Murphy Oil USA, Inc.
5.625%, 5/01/27		6		5,897
Noble Holding International Ltd.
6.20%, 8/01/40		23		16,427
7.70%, 4/01/25 (j)		48		41,848
8.70%, 4/01/45		40		33,925
Oasis Petroleum, Inc.
6.875%, 3/15/22		24		24,366
Pacific Drilling SA
5.375%, 6/01/20 (d)		100		49,957
Paragon Offshore PLC
6.75%, 7/15/22 (a)(d)(i)		50		11,036
7.25%, 8/15/24 (a)(d)(i)		206		45,880
PHI, Inc.
5.25%, 3/15/19		203		187,100
QEP Resources, Inc.
5.25%, 5/01/23		5		4,860
5.375%, 10/01/22		81		80,339
6.875%, 3/01/21		1		1,500
Range Resources Corp.
4.875%, 5/15/25		62		59,275
Rowan Cos., Inc.
5.85%, 1/15/44		86		67,144
7.375%, 6/15/25		51		50,051
SandRidge Energy, Inc.
7.50%, 2/15/23 (a)(b)(e)		69		0
8.125%, 10/15/22 (b)(e)		113		0
SM Energy Co.
6.50%, 11/15/21		113		113,582
Southern Star Central Corp.
5.125%, 7/15/22 (d)		85		86,222
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
4.25%, 11/15/23		45		44,870
Tesoro Logistics LP/Tesoro Logistics Finance Corp.
5.875%, 10/01/20		122		124,949
Transocean Phoenix 2 Ltd.
7.75%, 10/15/24 (d)		143		154,425
Transocean, Inc.
5.80%, 10/15/22		169		159,218
6.80%, 3/15/38		217		168,490
9.00%, 7/15/23 (d)		60		62,244
Vantage Drilling International
7.50%, 11/01/19 (a)(b)(e)		111		0
10.00%, 12/31/20 (e)		3		2,721
10.00%, 12/31/20 (f)		2		2,041

	Principal Amount (000)		U.S. $ Value
Weatherford International Ltd.
7.75%, 6/15/21	$	335	$	352,815
Whiting Petroleum Corp.
1.25%, 4/01/20		67		59,014
5.00%, 3/15/19		43		42,550
Williams Cos., Inc. (The)
4.55%, 6/24/24		62		64,273
WPX Energy, Inc.
6.00%, 1/15/22		34		34,676
7.50%, 8/01/20		68		71,991
				4,154,549
Other Industrial - 0.1%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (d)		231		215,678
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (d)		32		33,853
American Tire Distributors, Inc.
10.25%, 3/01/22 (d)		277		289,610
Belden, Inc.
5.50%, 9/01/22 (d)		91		94,136
5.50%, 4/15/23 (d)	EUR	15		17,729
General Cable Corp.
4.50%, 11/15/29	$	72		52,738
5.75%, 10/01/22		47		46,180
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		205		207,381
7.00%, 6/15/23		28		28,382
HRG Group, Inc.
7.875%, 7/15/19		111		115,061
Laureate Education, Inc.
8.25%, 5/01/25 (d)		64		67,085
9.25%, 9/01/19		89		90,094
Travis Perkins PLC
4.50%, 9/07/23 (d)	GBP	71		93,597
				1,351,524
Services - 0.2%
ADT Corp. (The)
3.50%, 7/15/22	$	57		55,533
APX Group, Inc.
7.875%, 12/01/22		87		95,309
8.75%, 12/01/20		320		331,224
Aramark Services, Inc.
5.125%, 1/15/24		16		17,168
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (d)		135		142,432
Gartner, Inc.
5.125%, 4/01/25 (d)		29		30,349
GEO Group, Inc. (The)
5.125%, 4/01/23		9		9,256
5.875%, 1/15/22-10/15/24		39		40,397
IHS Markit Ltd.
5.00%, 11/01/22 (d)		66		70,161

	Principal Amount (000)		U.S. $ Value
KAR Auction Services, Inc.
5.125%, 6/01/25 (d)	$	62	$	63,157
Nielsen Co. Luxembourg SARL (The)
5.50%, 10/01/21 (d)		68		70,407
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (d)		347		379,096
Ritchie Bros Auctioneers, Inc.
5.375%, 1/15/25 (d)		21		22,038
Team Health Holdings, Inc.
6.375%, 2/01/25 (d)		50		48,841
				1,375,368
Technology - 0.2%
Avaya, Inc.
10.50%, 3/01/21 (a)(d)(i)		313		39,542
BMC Software Finance, Inc.
8.125%, 7/15/21 (d)		184		188,673
BMC Software, Inc.
7.25%, 6/01/18		1		1,457
CommScope, Inc.
5.00%, 6/15/21 (d)		52		53,761
Conduent Finance, Inc./Xerox Business Services LLC
10.50%, 12/15/24 (d)		181		212,762
CURO Financial Technologies Corp.
12.00%, 3/01/22 (d)		39		41,181
Dell International LLC/EMC Corp.
5.875%, 6/15/21 (d)		78		82,365
Dell, Inc.
6.50%, 4/15/38		127		126,489
EMC Corp.
1.875%, 6/01/18		222		220,624
First Data Corp.
7.00%, 12/01/23 (d)		75		81,013
Goodman Networks, Inc.
12.125%, 7/01/18		145		53,748
Infor US, Inc.
6.50%, 5/15/22		70		73,295
Iron Mountain Europe PLC
6.125%, 9/15/22 (d)	GBP	53		72,355
Iron Mountain, Inc.
4.375%, 6/01/21 (d)	$	50		51,644
6.00%, 10/01/20 (d)		18		18,446
Micron Technology, Inc.
5.25%, 8/01/23 (d)		21		21,875
5.50%, 2/01/25		26		27,373
5.875%, 2/15/22		120		125,162
Nokia Oyj
5.375%, 5/15/19		11		11,259
6.625%, 5/15/39		34		38,385
Quintiles IMS, Inc.
3.25%, 3/15/25 (d)	EUR	92		106,590

	Principal Amount (000)		U.S. $ Value
Sanmina Corp.
4.375%, 6/01/19 (d)	$	89	$	90,754
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (d)		23		25,995
Symantec Corp.
5.00%, 4/15/25 (d)		64		66,313
Western Digital Corp.
10.50%, 4/01/24		45		53,189
				1,884,250
Transportation - Services - 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25 (d)		66		60,994
5.50%, 4/01/23		20		19,428
CEVA Group PLC
9.00%, 9/01/21 (d)		53		43,191
Europcar Groupe SA
5.75%, 6/15/22 (d)	EUR	17		20,162
Herc Rentals, Inc.
7.75%, 6/01/24 (d)	$	58		61,729
Hertz Corp. (The)
5.875%, 10/15/20		260		245,098
Hertz Corp/the
7.625%, 6/01/22 (d)		165		165,000
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20		123		69,722
Loxam SAS
3.50%, 5/03/23 (d)	EUR	71		83,259
4.25%, 4/15/24 (d)		71		85,147
United Rentals North America, Inc.
5.75%, 11/15/24	$	36		38,203
XPO CNW, Inc.
6.70%, 5/01/34		86		81,086
7.25%, 1/15/18		30		31,249
XPO Logistics, Inc.
6.125%, 9/01/23 (d)		30		31,239
				1,035,507
				35,577,880
Financial Institutions - 0.5%
Banking - 0.3%
Ally Financial, Inc.
3.25%, 2/13/18		72		72,165
4.125%, 3/30/20		295		304,713
4.75%, 9/10/18		136		140,061
8.00%, 12/31/18-11/01/31		257		291,800
Banco Bilbao Vizcaya Argentaria SA
8.875%, 4/14/21 (d)(k)	EUR	142		179,168
Banco Santander SA
6.25%, 3/12/19 (d)(k)		142		159,325
Barclays Bank PLC
6.86%, 6/15/32 (d)(k)	$	35		41,073

	Principal Amount (000)		U.S. $ Value
Barclays PLC
8.00%, 12/15/20 (k)	EUR	142	$	177,891
Citigroup, Inc.
5.95%, 1/30/23 (k)	$	126		133,657
Countrywide Capital III
Series B
8.05%, 6/15/27		113		143,117
Credit Agricole SA
7.589%, 1/30/20 (k)	GBP	106		153,251
Lloyds Banking Group PLC
6.413%, 10/01/35 (d)(k)	$	71		78,473
6.657%, 5/21/37 (d)(k)		53		59,296
Royal Bank of Scotland Group PLC
3.625%, 3/25/24 (d)	EUR	126		146,253
8.625%, 8/15/21 (k)	$	283		310,572
Societe Generale SA
8.00%, 9/29/25 (d)(k)		77		86,749
Standard Chartered PLC
7.50%, 4/02/22 (d)(k)		163		172,961
Zions Bancorporation
5.65%, 11/15/23		34		35,066
				2,685,591
Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
5.625%, 1/24/13 (a)(l)		1,030		55,341
LPL Holdings, Inc.
5.75%, 9/15/25 (d)		59		60,859
				116,200
Finance - 0.2%
Artsonig Pty Ltd.
11.50%, 4/01/19 (f)(h)		174		1,741
CIT Group, Inc.
3.875%, 2/19/19		14		14,557
5.50%, 2/15/19 (d)		147		155,337
Enova International, Inc.
9.75%, 6/01/21		94		96,531
Lincoln Finance Ltd.
6.875%, 4/15/21 (d)	EUR	62		75,288
Navient Corp.
4.625%, 9/25/17	$	102		102,728
4.875%, 6/17/19		250		258,789
5.00%, 10/26/20		115		117,111
5.875%, 3/25/21		1		1,474
6.50%, 6/15/22		79		81,699
7.25%, 1/25/22		31		33,456
8.00%, 3/25/20		237		262,924
SLM Corp.
5.125%, 4/05/22		30		31,194
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (d)		172		164,726
				1,397,555

	Principal Amount (000)		U.S. $ Value
Insurance - 0.0%
American Equity Investment Life Holding Co.
6.625%, 7/15/21	$	21	$	22,038
Galaxy Bidco Ltd.
6.375%, 11/15/20 (d)	GBP	11		14,084
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (d)	$	168		203,470
				239,592
Other Finance - 0.0%
Creditcorp
12.00%, 7/15/18 (f)		81		69,472
REITS - 0.0%
MPT Operating Partnership LP/MPT Finance Corp.
5.25%, 8/01/26		96		101,125
5.50%, 5/01/24		5		5,235
				106,360
				4,614,770
Utility - 0.1%
Electric - 0.1%
AES Corp./VA
4.875%, 5/15/23		78		79,040
7.375%, 7/01/21		123		141,006
Calpine Corp.
5.50%, 2/01/24		11		10,256
5.75%, 1/15/25		201		190,982
DPL, Inc.
6.75%, 10/01/19		61		63,657
Dynegy, Inc.
5.875%, 6/01/23		18		17,337
6.75%, 11/01/19		79		80,861
7.375%, 11/01/22		125		123,283
7.625%, 11/01/24		16		15,801
Emera, Inc.
Series 2016-A
6.75%, 6/15/76		61		67,689
NRG Energy, Inc.
6.25%, 7/15/22-5/01/24		180		181,160
7.875%, 5/15/21		23		24,087
Talen Energy Supply LLC
4.60%, 12/15/21		81		62,903
6.50%, 5/01/18-6/01/25		74		65,803
Texas Competitive/TCEH
11.50%, 10/01/20 (a)(b)(d)(e)		142		0
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (d)	EUR	81		95,443
				1,219,308
Total Corporates - Non-Investment Grade (cost $41,156,201)				41,411,958

	Principal Amount (000)		U.S. $ Value
CORPORATES - INVESTMENT GRADE - 1.0%
Industrial - 0.6%
Basic - 0.1%
FMG Resources (August 2006) Pty Ltd.
9.75%, 3/01/22 (d)	$	28	$	32,583
Fresnillo PLC
5.50%, 11/13/23 (d)		200		218,500
Gerdau Trade, Inc.
4.75%, 4/15/23 (d)		290		285,650
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (d)		11		12,453
Glencore Funding LLC
4.00%, 4/16/25 (d)		12		12,082
Rio Tinto Finance USA Ltd.
3.50%, 11/02/20		94		99,049
Southern Copper Corp.
3.875%, 4/23/25		99		100,569
				760,886
Capital Goods - 0.0%
Embraer Netherlands Finance BV
5.40%, 2/01/27		97		100,562
General Electric Co.
Series D
5.00%, 1/21/21 (k)		122		129,340
Masco Corp.
5.95%, 3/15/22		43		48,272
7.125%, 3/15/20		21		23,913
				302,087
Communications - Media - 0.1%
21st Century Fox America, Inc.
4.00%, 10/01/23		78		82,733
Charter Communications Operating LLC/Charter Communications Operating Capital
4.908%, 7/23/25		153		166,173
Time Warner, Inc.
4.05%, 12/15/23		57		60,127
Viacom, Inc.
4.375%, 3/15/43		145		128,418
				437,451
Communications - Telecommunications - 0.0%
AT&T, Inc.
5.45%, 3/01/47		94		99,698
Qwest Corp.
6.75%, 12/01/21		123		136,925
6.875%, 9/15/33		27		26,901
				263,524
Consumer Cyclical - Automotive - 0.0%
General Motors Co.
6.25%, 10/02/43		185		202,549

	Principal Amount (000)		U.S. $ Value
General Motors Financial Co., Inc.
3.10%, 1/15/19	$	64	$	64,670
				267,219
Consumer Cyclical - Entertainment - 0.0%
Royal Caribbean Cruises Ltd.
7.25%, 3/15/18		11		11,069
Consumer Cyclical - Other - 0.0%
DR Horton, Inc.
4.00%, 2/15/20		108		112,187
Seminole Tribe of Florida, Inc.
6.535%, 10/01/20 (d)		65		66,232
				178,419
Consumer Cyclical - Retailers - 0.0%
AutoNation, Inc.
4.50%, 10/01/25		128		133,074
Consumer Non-Cyclical - 0.1%
AbbVie, Inc.
2.30%, 5/14/21		309		308,404
Anheuser-Busch InBev Finance, Inc.
2.65%, 2/01/21		91		92,913
BRF SA
4.75%, 5/22/24 (d)		200		196,750
Constellation Brands, Inc.
3.75%, 5/01/21		51		53,445
Teva Pharmaceutical Finance Netherlands III BV
1.70%, 7/19/19		94		92,760
Universal Health Services, Inc.
4.75%, 8/01/22 (d)		155		159,805
				904,077
Energy - 0.2%
Anadarko Petroleum Corp.
5.55%, 3/15/26		85		95,387
Cenovus Energy, Inc.
3.00%, 8/15/22		13		12,585
3.80%, 9/15/23		6		5,721
4.45%, 9/15/42		75		65,209
5.70%, 10/15/19		23		25,041
6.75%, 11/15/39		4		3,955
Devon Energy Corp.
3.25%, 5/15/22		62		62,313
Ecopetrol SA
5.375%, 6/26/26		140		144,277
5.875%, 5/28/45		37		34,047
Enable Midstream Partners LP
3.90%, 5/15/24		130		129,448
EnLink Midstream Partners LP
4.15%, 6/01/25		63		63,495
Hess Corp.
4.30%, 4/01/27		190		190,635

	Principal Amount (000)		U.S. $ Value
Kinder Morgan, Inc./DE
Series G
7.75%, 1/15/32	$	28	$	35,423
Marathon Oil Corp.
3.85%, 6/01/25		129		128,823
5.20%, 6/01/45		24		24,160
MPLX LP
4.125%, 3/01/27		38		38,176
4.50%, 7/15/23		19		20,402
Nabors Industries, Inc.
5.50%, 1/15/23 (d)		58		57,747
Plains All American Pipeline LP/PAA Finance Corp.
3.85%, 10/15/23		222		227,045
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23		98		102,487
5.00%, 10/01/22		38		40,700
5.50%, 4/15/23		76		78,833
Sabine Pass Liquefaction LLC
5.00%, 3/15/27		99		106,077
Shell International Finance BV
2.25%, 11/10/20		276		278,723
Williams Partners LP
3.35%, 8/15/22		95		96,330
5.10%, 9/15/45		54		55,753
				2,122,792
Technology - 0.1%
Dell International LLC/EMC Corp.
4.42%, 6/15/21 (d)		92		97,112
Hewlett Packard Enterprise Co.
6.35%, 10/15/45 (j)		9		9,144
Micron Technology, Inc.
7.50%, 9/15/23		43		48,316
Seagate HDD Cayman
4.75%, 1/01/25		68		67,994
4.875%, 6/01/27		18		18,019
Western Digital Corp.
7.375%, 4/01/23 (d)		87		95,453
				336,038
				5,716,636
Financial Institutions - 0.4%
Banking - 0.3%
BNP Paribas SA
7.625%, 3/30/21 (d)(k)		142		155,094
BPCE SA
5.70%, 10/22/23 (d)		200		221,873
Credit Suisse Group Funding Guernsey Ltd.
3.80%, 6/09/23		223		229,665
Deutsche Bank AG
Series G
3.375%, 5/12/21		123		124,141

	Principal Amount (000)		U.S. $ Value
HSBC Capital Funding Dollar 1 LP
10.176%, 6/30/30 (d)(k)	$	45	$	70,064
HSBC Holdings PLC
6.00%, 9/29/23 (d)(k)	EUR	142		177,697
6.00%, 5/22/27 (k)	$	220		225,082
ING Groep NV
3.95%, 3/29/27		142		147,081
JPMorgan Chase & Co.
2.295%, 8/15/21		118		117,088
Series V
5.00%, 7/01/19 (k)		11		11,509
Morgan Stanley
5.00%, 11/24/25		211		231,260
Nationwide Building Society
4.00%, 9/14/26 (d)		177		177,767
Royal Bank of Scotland Group PLC
3.875%, 9/12/23		142		143,629
Santander UK Group Holdings PLC
2.875%, 8/05/21		142		142,393
Standard Chartered PLC
3.95%, 1/11/23 (d)		142		143,222
US Bancorp
Series J
5.30%, 4/15/27 (k)		43		44,484
Wells Fargo & Co.
4.125%, 8/15/23		214		227,187
				2,589,236
Brokerage - 0.0%
E*TRADE Financial Corp.
5.375%, 11/15/22		11		11,197
GFI Group, Inc.
8.375%, 7/19/18		83		87,921
UBS Group Funding Switzerland AG
2.65%, 2/01/22 (d)		156		154,869
				253,987
Finance - 0.0%
International Lease Finance Corp.
8.875%, 9/01/17		157		159,263
Insurance - 0.1%
Allstate Corp. (The)
6.50%, 5/15/57		26		29,337
Chubb Corp. (The)
3.408% (LIBOR 3 Month + 2.25%), 4/15/37 (m)		70		69,729
Nationwide Mutual Insurance Co.
9.375%, 8/15/39 (d)		75		124,023
Progressive Corp. (The)
6.70%, 6/15/37		54		53,975
Prudential Financial, Inc.
5.625%, 6/15/43		170		185,432
				462,496

	Principal Amount (000)		U.S. $ Value
REITS - 0.0%
DDR Corp.
7.875%, 9/01/20	$	28	$	32,574
EPR Properties
7.75%, 7/15/20		118		134,080
HCP, Inc.
4.25%, 11/15/23		120		126,068
Senior Housing Properties Trust
6.75%, 12/15/21		21		23,748
VEREIT Operating Partnership LP
4.875%, 6/01/26		19		20,258
Welltower, Inc.
4.95%, 1/15/21		80		86,348
				423,076
				3,888,058
Utility - 0.0%
Electric - 0.0%
Duke Energy Corp.
3.95%, 10/15/23		212		224,803
Empresa de Energia de Bogota SA ESP
6.125%, 11/10/21 (d)		106		109,613
FirstEnergy Corp.
Series A
2.75%, 3/15/18		14		14,238
Series B
4.25%, 3/15/23		21		21,487
PPL Capital Funding, Inc.
Series A
3.817% (LIBOR 3 Month + 2.67%), 3/30/67 (m)		84		81,698
				451,839
Total Corporates - Investment Grade (cost $9,950,797)				10,056,533
GOVERNMENTS - TREASURIES - 1.0%
Malaysia - 0.1%
Malaysia Government Bond
Series 0511
3.58%, 9/28/18	MYR	2,185		512,542
Mexico - 0.5%
Mexican Bonos
Series M
5.75%, 3/05/26	MXN	2,923		140,771
6.50%, 6/10/21		71,481		3,730,703
8.00%, 6/11/20		20,178		1,102,187
				4,973,661
Russia - 0.2%
Russian Federal Bond - OFZ
Series 6212
7.05%, 1/19/28	RUB	21,257		359,773
Series 6217
7.50%, 8/18/21	$	81,638		1,425,858
				1,785,631

	Principal Amount (000)		U.S. $ Value
South Africa - 0.1%
Republic of South Africa Government Bond
Series R186
10.50%, 12/21/26	ZAR	16,706		1,429,903
United States - 0.1%
U.S. Treasury Bonds
3.125%, 11/15/41 (n)	$	329		347,268
U.S. Treasury Notes
1.875%, 8/31/22		184		184,899
				532,167
Total Governments - Treasuries (cost $9,200,625)				9,233,904
EMERGING MARKETS - TREASURIES - 0.7%
Argentina - 0.2%
Argentine Bonos del Tesoro
15.50%, 10/17/26	ARS	5,984		408,616
16.00%, 10/17/23		10,432		690,248
18.20%, 10/03/21		12,100		807,547
21.20%, 9/19/18		4,293		268,119
				2,174,530
Brazil - 0.3%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/21	BRL	10,938		3,359,864
Dominican Republic - 0.1%
Dominican Republic International Bond
16.00%, 7/10/20 (f)	DOP	21,600		532,061
Turkey - 0.1%
Turkey Government Bond
11.00%, 2/24/27	TRY	2,410		715,640
Total Emerging Markets - Treasuries (cost $6,836,831)				6,782,095
EMERGING MARKETS - SOVEREIGNS - 0.5%
Angola - 0.0%
Angolan Government International Bond
9.50%, 11/12/25 (d)	$	335		358,450
Argentina - 0.0%
Argentine Republic Government International Bond
5.625%, 1/26/22		64		66,453
Cameroon - 0.0%
Republic of Cameroon International Bond
9.50%, 11/19/25 (d)		200		237,750

	Principal Amount (000)		U.S. $ Value
Dominican Republic - 0.1%
Dominican Republic International Bond
5.95%, 1/25/27 (d)	$	220	$	230,725
8.625%, 4/20/27 (d)		425		506,812
				737,537
Ecuador - 0.0%
Ecuador Government International Bond
10.75%, 3/28/22 (d)		270		289,237
Egypt - 0.1%
Egypt Government International Bond
6.125%, 1/31/22 (d)		407		418,396
Gabon - 0.0%
Gabon Government International Bond
6.375%, 12/12/24 (d)		360		357,750
Honduras - 0.0%
Honduras Government International Bond
6.25%, 1/19/27 (d)		180		186,750
Ivory Coast - 0.0%
Ivory Coast Government International Bond
6.375%, 3/03/28 (d)		360		362,700
Jamaica - 0.0%
Jamaica Government International Bond
7.875%, 7/28/45		200		236,500
Mongolia - 0.0%
Mongolia Government International Bond
5.125%, 12/05/22 (d)		270		258,188
Senegal - 0.1%
Senegal Government International Bond
6.25%, 5/23/33 (d)		365		369,256
Sri Lanka - 0.0%
Sri Lanka Government International Bond
6.20%, 5/11/27 (d)		220		223,300
Turkey - 0.1%
Turkey Government International Bond
6.00%, 3/25/27		340		365,075
Venezuela - 0.1%
Venezuela Government International Bond
9.25%, 9/15/27		815		427,875
Zambia - 0.0%
Zambia Government International Bond
8.50%, 4/14/24 (d)		200		213,250
Total Emerging Markets - Sovereigns (cost $5,109,928)				5,108,467

	Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - CORPORATE BONDS - 0.4%
Industrial - 0.4%
Basic - 0.1%
Consolidated Energy Finance SA
6.75%, 10/15/19 (d)	$	205	$	211,491
6.875%, 6/15/25 (d)		200		201,838
				413,329
Capital Goods - 0.0%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (d)		200		168,000
Odebrecht Finance Ltd.
5.25%, 6/27/29 (d)		200		77,000
7.125%, 6/26/42 (d)		230		95,573
				340,573
Communications - Telecommunications - 0.1%
Columbus Cable Barbados Ltd.
7.375%, 3/30/21 (d)		362		385,365
Digicel Group Ltd.
8.25%, 9/30/20 (d)		315		298,896
Digicel Ltd.
6.75%, 3/01/23 (d)		89		84,810
				769,071
Consumer Cyclical - Retailers - 0.0%
K2016470219 South Africa Ltd.
3.00%, 12/31/22 (d)(h)		34		2,577
K2016470260 South Africa Ltd.
25.00%, 12/31/22 (d)(h)		8		10,168
				12,745
Consumer Non-Cyclical - 0.1%
Arcelik AS
5.00%, 4/03/23 (d)		69		70,137
Marfrig Holdings Europe BV
6.875%, 6/24/19 (d)		200		205,560
Minerva Luxembourg SA
6.50%, 9/20/26 (d)		362		358,556
Tonon Luxembourg SA
7.25%, 1/24/20 (a)(f)(h)(i)		14		1,534
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (a)(f)(i)		434		34,165
				669,952
Energy - 0.1%
CHC Group LLC/CHC Finance Ltd.
Series AI
Zero Coupon, 10/01/20 (c)		158		253,562
Petrobras Global Finance BV
6.125%, 1/17/22		185		192,830
8.375%, 5/23/21		57		63,490
8.75%, 5/23/26		300		348,729
				858,611

	Principal Amount (000)		U.S. $ Value
Other Industrial - 0.0%
Noble Group Ltd.
6.75%, 1/29/20 (d)	$	145	$	55,463
Transportation - Airlines - 0.0%
Latam Finance Ltd.
6.875%, 4/11/24 (d)		285		285,712
Transportation - Services - 0.0%
Rumo Luxembourg SARL
7.375%, 2/09/24 (d)		200		206,000
				3,611,456
Financial Institutions - 0.0%
Finance - 0.0%
Unifin Financiera SAB de CV SOFOM ENR
7.00%, 1/15/25 (d)		200		198,014
Insurance - 0.0%
XLIT Ltd.
Series E
3.616% (LIBOR 3 Month + 2.46%), 7/04/17 (k)(m)		9		7,501
Other Finance - 0.0%
Guanay Finance Ltd.
6.00%, 12/15/20 (d)		18		18,282
				223,797
Total Emerging Markets - Corporate Bonds (cost $3,848,392)				3,835,253
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4%
Risk Share Floating Rate - 0.4%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
8.174% (LIBOR 1 Month + 7.15%), 7/25/23 (m)		35		43,772
Series 2013-DN2, Class M2
5.274% (LIBOR 1 Month + 4.25%), 11/25/23 (m)		128		141,752
Series 2014-DN1, Class M3
5.524% (LIBOR 1 Month + 4.50%), 2/25/24 (m)		89		102,246
Series 2014-HQ2, Class M3
4.774% (LIBOR 1 Month + 3.75%), 9/25/24 (m)		131		144,729
Series 2014-HQ3, Class M3
5.774% (LIBOR 1 Month + 4.75%), 10/25/24 (m)		460		511,296

	Principal Amount (000)		U.S. $ Value
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
6.274% (LIBOR 1 Month + 5.25%), 10/25/23 (m)	$	35	$	41,122
Series 2014-C01, Class M2
5.424% (LIBOR 1 Month + 4.40%), 1/25/24 (m)		66		74,119
Series 2015-C01, Class 2M2
5.574% (LIBOR 1 Month + 4.55%), 2/25/25 (m)		168		181,382
Series 2015-C02, Class 1M2
5.024% (LIBOR 1 Month + 4.00%), 5/25/25 (m)		329		355,589
Series 2015-C02, Class 2M2
5.024% (LIBOR 1 Month + 4.00%), 5/25/25 (m)		340		362,669
Series 2015-C03, Class 1M2
6.024% (LIBOR 1 Month + 5.00%), 7/25/25 (m)		17		19,323
Series 2015-C03, Class 2M2
6.024% (LIBOR 1 Month + 5.00%), 7/25/25 (m)		429		476,102
Series 2016-C05, Class 2M2
5.474% (LIBOR 1 Month + 4.45%), 1/25/29 (m)		465		511,791
Series 2016-C07, Class 2M2
5.374% (LIBOR 1 Month + 4.35%), 4/25/29 (m)		475		519,091
				3,484,983
Agency Fixed Rate - 0.0%
Federal National Mortgage Association Grantor Trust
Series 2004-T5, Class AB4
1.531%, 5/28/35		96		85,438
Non-Agency Fixed Rate - 0.0%
Alternative Loan Trust
Series 2006-28CB, Class A14
6.25%, 10/25/36		16		13,654
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		25		21,128
				34,782
Total Collateralized Mortgage Obligations (cost $3,597,170)				3,605,203
BANK LOANS - 0.2%
Industrial - 0.2%
Basic - 0.0%
Foresight Energy LLC
6.795% (LIBOR 1 Month + 5.75%), 3/28/22 (o)		32		30,273

	Principal Amount (000)		U.S. $ Value
Magnetation LLC
12.00%, 3/07/17 (a)(b)(e)(h)(l)	$	158	$	0
Unifrax I LLC
4/04/24 (p)		27		27,469
				57,742
Capital Goods - 0.0%
Gardner Denver, Inc.
7/30/20 (p)		46		46,099
Consumer Cyclical - Automotive - 0.0%
Navistar, Inc.
5.00% (LIBOR 3 Month + 4.00%), 8/07/20 (o)		77		78,678
Consumer Cyclical - Entertainment - 0.0%
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.)
4.15%, (LIBOR 1 Month + 3.00%), 4/01/24 (o)		122		121,858
Consumer Cyclical - Retailers - 0.0%
Serta Simmons Bedding, LLC
11/08/24 (p)		125		125,806
Consumer Non-Cyclical - 0.1%
Air Medical Group Holdings, Inc.
(LIBOR 1 Month + 3.25%) 4/28/22 (o)(p)		303		298,652
DJO Finance LLC
4.295% (LIBOR 1 Month + 3.25%), 6/08/20 (o)		30		29,714
4.301% (LIBOR 1 Month + 3.25%), 6/08/20 (o)		31		30,718
Vizient, Inc.
4.50%, 2/11/23 - 2/13/23		9		9,461
				368,545
Energy - 0.0%
California Resources Corporation
11.375% (LIBOR 3 Month + 10.38%), 12/31/21 (o)		113		124,455
Other Industrial - 0.0%
Travelport Finance (Luxembourg) SARL
4.432% (LIBOR 3 Month + 3.25%), 9/02/21 (o)		91		91,615
Technology - 0.1%
Avaya Inc.
6.412% (LIBOR 1 Month + 5.25%), 5/29/20 (a)(i)(o)(p)		294		240,183
8.53% (LIBOR 3 Month + 7.50%), 1/24/18 (a)(i)(o)		17		17,396

	Principal Amount (000)		U.S. $ Value
Conduent Incorporated
4.993% (LIBOR 1 Month + 4.00%), 12/07/23 (o)	$	12	$	12,199
MTS Systems Corporation
5.25% (LIBOR 3 Month + 4.25%), 7/05/23 (o)		65		66,166
Smart Modular Technologies (Global), Inc.
9.25% (LIBOR 3 Month + 8.00%), 8/26/17 (e)(o)		51		50,432
Solera, LLC (Solera Finance, Inc.)
3/03/23 (p)		147		147,628
Veritas US Inc.
6.772% (LIBOR 1 Month + 5.63%), 1/27/23 (o)		102		102,549
				636,553
Total Bank Loans (cost $1,659,683)				1,651,351
INFLATION-LINKED SECURITIES - 0.1%
Brazil - 0.1%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 8/15/50	BRL	1,100		1,068,397
Mexico - 0.0%
Mexican Udibonos
Series S
4.00%, 11/30/28	MXN	1,463		82,799
4.50%, 12/04/25		3,813		222,594
				305,393
Total Inflation-Linked Securities (cost $1,454,879)				1,373,790
COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.1%
Non-Agency Fixed Rate CMBS - 0.1%
Bear Stearns Commercial Mortgage Securities Trust
Series 2006-PW13, Class AJ
5.611%, 9/11/41	$	2		2,280
Citigroup Commercial Mortgage Trust
Series 2014-GC23, Class D
4.516%, 7/10/47 (d)		35		31,340
GS Mortgage Securities Trust
Series 2014-GC18, Class D
4.945%, 1/10/47 (d)		71		61,308
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2012-CBX, Class E
5.214%, 6/15/45 (d)		298		300,604
JPMBB Commercial Mortgage Securities Trust
Series 2013-C17, Class D
4.886%, 1/15/47 (d)		71		66,948

	Principal Amount (000)		U.S. $ Value
Morgan Stanley Capital I Trust
Series 2005-IQ9, Class D
5.00%, 7/15/56	$	105	$	105,082
				567,562
Non-Agency Floating Rate CMBS - 0.0%
CLNS Trust
Series 2017-IKPR, Class F
5.50% (LIBOR 1 Month + 4.50%), 6/11/32 (d)(m)		110		110,138
H/2 Asset Funding NRE
Series 2015-1A
2.679% (LIBOR 1 Month + 1.65%), 6/24/49 (f)(m)		108		108,230
Resource Capital Corp., Ltd.
Series 2014-CRE2, Class A
2.051% (LIBOR 1 Month + 1.05%), 4/15/32 (d)(m)		72		71,602
				289,970
Total Commercial Mortgage-Backed Securities (cost $847,954)				857,532
ASSET-BACKED SECURITIES - 0.1%
Home Equity Loans - Floating Rate - 0.1%
Asset Backed Funding Certificates Trust
Series 2003-WF1, Class A2
2.149% (LIBOR 1 Month + 1.13%), 12/25/32 (m)		52		51,189
GSAA Home Equity Trust
Series 2006-6, Class AF5
6.241%, 3/25/36 (m)		197		101,606
Lehman XS Trust
Series 2007-6, Class 3A5
4.896%, 5/25/37 (m)		92		138,912
				291,707
Home Equity Loans - Fixed Rate - 0.0%
CWABS Asset-Backed Certificates Trust
Series 2005-7, Class AF5W
5.054%, 10/25/35		140		138,819
Other ABS - Fixed Rate - 0.0%
Taco Bell Funding LLC
Series 2016-1A, Class A23
4.97%, 5/25/46 (d)		39		40,682
Series 2016-1A, Class A2I
3.832%, 5/25/46 (d)		70		71,824
				112,506
Total Asset-Backed Securities (cost $530,487)				543,032

Company	Shares		U.S. $ Value
PREFERRED STOCKS - 0.1%
Financial Institutions - 0.1%
Banking - 0.1%
GMAC Capital Trust I
6.967%		868	$	22,151
Morgan Stanley
5.85%		4,411		117,681
US Bancorp
Series F
6.50%		2,569		77,533
				217,365
Services - 0.0%
Holdco, Inc.
0.00% (b)(e)		877		87,700
				305,065
Industrial - 0.0%
Basic - 0.0%
Peabody Energy Corp.
0.00% (e)		1,125		54,000
Consumer Cyclical - Other - 0.0%
Hovnanian Enterprises, Inc.
7.625%		1,190		8,330
Energy - 0.0%
Berry Petroleum Co. LLC
0.00% (b)(e)		4,429		59,238
Sanchez Energy Corp.
4.875%		2,338		55,761
Tervita Corp.
0.00% (b)(e)		1,456		9,431
				124,430
				186,760
Utility - 0.0%
Electric - 0.0%
SCE Trust III
5.75%		1,027		29,588
Total Preferred Stocks (cost $536,453)				521,413
	Principal Amount (000)
LOCAL GOVERNMENTS - REGIONAL BONDS - 0.1%
Argentina - 0.1%
Provincia de Buenos Aires/Argentina 9.125%, 3/16/24 (d) (cost $506,715)	$	445		506,188

	Principal Amount (000)		U.S. $ Value
COLLATERALIZED LOAN OBLIGATIONS - 0.0%
CLO - Floating Rate - 0.0%
CIFC Funding Ltd.
Series 2015-4A, Class D
6.656% (LIBOR 3 Month + 5.50%), 10/20/27 (d)(m)	$	177	$	172,106
Dryden Senior Loan Fund
Series 2017-49A, Class E
7.65% (LIBOR 3 Month + 6.30%), 7/18/30 (d)(m)		250		247,453
Total Collateralized Loan Obligations (cost $419,589)				419,559
LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.0%
United States - 0.0%
State of California
Series 2010
7.60%, 11/01/40		60		92,504
7.95%, 3/01/36		130		149,137
Total Local Governments - US Municipal Bonds (cost $239,435)				241,641
QUASI-SOVEREIGNS - 0.0%
Quasi-Sovereign Bonds - 0.0%
Mexico - 0.0%
Petroleos Mexicanos
5.375%, 3/13/22 (d) (cost $223,428)		213		226,186
	Notional Amount (000)
OPTIONS PURCHASED - CALLS - 0.0%
Swaptions - 0.0%
OTC - 1 Year Interest Rate Swap
Expiration: Aug 2017,		860		7,689
OTC - 1 Year Interest Rate Swap
Expiration: Aug 2017,		2,160		19,311
OTC - 1 Year Interest Rate Swap
Expiration: Aug 2017,		1,790		16,003
Total Options Purchased - Calls (premiums paid $38,308)				43,003
	Shares
WARRANTS - 0.0%
Energy - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
Midstates Petroleum Co., Inc., expiring 4/21/20 (a)(b)(e)		2,090		4,702
Peabody Energy Corp., expiring 7/03/17 (a)(b)(e)		9		218
SandRidge Energy, Inc., A-CW22, expiring 10/04/22 (a)		4,803		4,323

Company	Shares			U.S. $ Value
SandRidge Energy, Inc., B-CW22, expiring 10/04/22 (a)		2,019		$	2,524
					11,767
Financials - 0.0%
Diversified Financial Services - 0.0%
iPayment Holdings, Inc., expiring 12/29/22 (a)(b)(e)		52,132			1,256
Information Technology - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Smart Modular Technologies, expiring 11/05/21 (a)		1,108			0
Smart Modular Technologies, expiring 11/05/22 (a)		1,385			0
					0
Materials - 0.0%
Communications Equipment - 0.0%
FairPoint Communications, Inc., , expiring 1/24/18 (a)(e)		2,367			36
Total Warrants (cost $39,417)					13,059
	Principal Amount (000)
MORTGAGE PASS-THROUGHS - 0.0%
Agency Fixed Rate 30-Year - 0.0%
Federal National Mortgage Association
Series 2006
5.00%, 1/01/36 (cost $278)	$	0	**		280
	Shares
SHORT-TERM INVESTMENTS - 13.2%
Investment Companies - 12.7%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.64% (g)(q) (cost $121,742,549)		121,742,549			121,742,549
	Principal Amount (000)
U.S. Treasury Bills - 0.5%
U.S. Treasury Bill Zero Coupon, 8/10/17 (n) (cost $4,991,444)	$	5,000			4,991,444
Total Short-Term Investments (cost $126,733,993)					126,733,993
Total Investments - 99.1% (cost $941,208,829) (r)				$	952,736,534
Other assets less liabilities - 0.9% (s)					8,629,177
Net Assets - 100.0%				$	961,365,711

FUTURES

Type	Number of Contracts		Expiration Month		Original Value		Value at May 31, 2017		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Australian Bond Futures		78		June 2017	$	7,500,713	$	7,631,942	$	131,229
10 Yr Japan Bond (OSE) Futures		177		June 2017		241,295,351		240,799,910		(495,441	)
Canadian 10 Yr Bond Futures		30		September 2017		3,208,204		3,230,410		22,206
Euro Buxl 30 Yr Bond Futures		135		June 2017		25,606,264		25,523,059		(83,205	)
Euro STOXX 50 Index Futures		122		June 2017		4,826,638		4,869,338		42,700
EURO-BOBL Futures		219		June 2017		32,368,231		32,520,526		152,295
EURO-Bund Futures		264		June 2017		47,827,196		48,138,307		311,111
Euro-Schatz Futures		294		June 2017		37,046,107		37,078,820		32,713
FTSE 100 Index Futures		19		June 2017		1,759,944		1,838,000		78,056
Bcom Commodity Index Futures		10,328		June 2017		86,945,681		85,515,840		(1,429,841	)
Long Gilt Futures		334		September 2017		54,877,418		55,058,019		180,601
Mini MSCI Emerging Market Futures		339		June 2017		16,687,228		17,014,410		327,182
Russell 2000 Mini Futures		14		June 2017		979,964		958,370		(21,594	)
S&P Mid 400 E-Mini Futures		75		June 2017		13,094,422		12,900,000		(194,422	)
S&P TSX 60 Index Futures		7		June 2017		952,022		938,032		(13,990	)
SPI 200 Futures		11		June 2017		1,211,548		1,172,905		(38,643	)
TOPIX Index Futures		17		June 2017		2,383,837		2,409,932		26,095
U.S. Ultra Bond (CBT) Futures		254		September 2017		41,269,484		41,941,750		672,266
US T-Note 5 Yr (CBT) Futures		713		September 2017		84,204,677		84,356,812		152,135
U.S. T-Note 10 Yr (CBT) Futures		336		September 2017		42,255,170		42,435,750		180,580
Sold Contracts
10 Yr Mini Japan Government Bond Futures		11		June 2017		1,495,558		1,496,099		(541	)
Euro-Bund Futures		5		June 2017		905,470		911,710		(6,240	)
Long Gilt Futures		2		September 2017		328,514		329,689		(1,175	)
S&P 500 E-Mini Futures		28		June 2017		3,336,596		3,375,540		(38,944	)
U.S. Ultra Bond (CBT) Futures		3		September 2017		487,425		495,375		(7,950	)
US T-Note 5 Yr (CBT) Futures		6		September 2017		708,374		709,875		(1,501	)
US T-Note 10 Yr (CBT) Futures		5		September 2017		628,742		631,484		(2,742	)
									$	(27,060	)

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Australia and New Zealand Banking Group Ltd.	AUD	8,492	USD	6,412		7/10/17	$	106,235
Australia and New Zealand Banking Group Ltd.	USD	2,155	NZD	3,156		7/10/17		78,812
Bank of America, NA	RUB	32,236	USD	569		6/22/17		2,783
Bank of America, NA	USD	560	RUB	32,236		6/22/17		5,859
Bank of America, NA	USD	730	JPY	81,114		7/14/17		4,193
Bank of America, NA	USD	167	MYR	714		8/18/17		(529	)
Bank of America, NA	USD	728	TWD	21,868		9/20/17		649
Barclays Bank PLC	KRW	803,398	USD	722		6/15/17		4,567
Barclays Bank PLC	USD	3,776	AUD	5,016		6/15/17		(49,349	)
Barclays Bank PLC	USD	710	KRW	803,398		6/15/17		8,014
BNP Paribas SA	BRL	4,379	USD	1,350		6/02/17		(3,233	)
BNP Paribas SA	USD	1,324	BRL	4,379		6/02/17		29,475
BNP Paribas SA	TWD	21,810	USD	722		6/13/17		(1,628	)
BNP Paribas SA	USD	361	PEN	1,177		6/14/17		(1,542	)
BNP Paribas SA	KRW	1,076,617	USD	935		6/15/17		(27,232	)
BNP Paribas SA	USD	2,877	INR	185,905		6/15/17		2,842
BNP Paribas SA	USD	951	KRW	1,076,617		6/15/17		10,773
BNP Paribas SA	USD	1,080	NOK	9,306		7/14/17		22,522
BNP Paribas SA	GBP	1,139	USD	1,461		7/21/17		(8,394	)
BNP Paribas SA	SGD	4,088	USD	2,929		8/17/17		(28,224	)
Citibank, NA	BRL	14,954	USD	4,666		6/02/17		44,407
Citibank, NA	BRL	5,756	USD	1,775		6/02/17		(4,250	)
Citibank, NA	USD	4,610	BRL	14,954		6/02/17		11,041
Citibank, NA	USD	1,797	BRL	5,756		6/02/17		(18,018	)
Citibank, NA	TRY	2,569	USD	716		6/08/17		(10,897	)
Citibank, NA	TWD	7,742	USD	253		6/13/17		(3,640	)
Citibank, NA	USD	721	CLP	481,665		6/14/17		(6,832	)
Citibank, NA	INR	185,905	USD	2,893		6/15/17		13,280
Citibank, NA	SEK	13,090	USD	1,494		6/15/17		(13,661	)
Citibank, NA	USD	2,383	CAD	3,205		6/15/17		(9,783	)
Citibank, NA	USD	2,248	CHF	2,230		6/15/17		56,528
Citibank, NA	USD	3,279	EUR	3,011		6/15/17		105,861
Citibank, NA	USD	3,121	INR	204,509		6/15/17		47,723
Citibank, NA	NZD	4,619	USD	3,214		7/10/17		(56,111	)
Citibank, NA	ZAR	19,316	USD	1,453		7/11/17		(9,943	)
Citibank, NA	KRW	815,698	USD	724		7/27/17		(5,422	)
Citibank, NA	USD	2,873	INR	185,905		8/21/17		(12,577	)
Credit Suisse International	USD	1,462	SEK	13,090		6/15/17		44,760
Credit Suisse International	MXN	30,484	USD	1,646		6/16/17		15,205
Credit Suisse International	USD	1,462	NOK	12,517		7/14/17		20,364
Goldman Sachs Bank USA	CAD	10,470	USD	7,828		6/22/17		74,823
Goldman Sachs Bank USA	USD	223	MYR	955		6/22/17		(1,053	)
Goldman Sachs Bank USA	USD	33,571	EUR	30,723		7/13/17		1,016,884
Goldman Sachs Bank USA	JPY	80,914	USD	711		7/14/17		(20,549	)
Goldman Sachs Bank USA	GBP	661	USD	854		7/21/17		1,473
Goldman Sachs Bank USA	USD	141	MYR	605		8/18/17		(729	)
HSBC Bank USA	CAD	3,205	USD	2,365		6/15/17		(8,354	)
HSBC Bank USA	CHF	2,230	USD	2,220		6/15/17		(84,774	)
HSBC Bank USA	MXN	44,805	USD	2,352		6/16/17		(44,870	)
HSBC Bank USA	CNY	20,564	USD	2,977		7/18/17		(32,247	)
JPMorgan Chase Bank, NA	JPY	311,660	USD	2,796		6/15/17		(19,354	)
JPMorgan Chase Bank, NA	USD	5,612	AUD	7,532		7/10/17		(18,687	)
JPMorgan Chase Bank, NA	GBP	1,152	USD	1,482		7/21/17		(4,634	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
JPMorgan Chase Bank, NA	EUR	1,300	USD	1,390		8/16/17	$	(76,294	)
Morgan Stanley & Co.	USD	711	TRY	2,552		6/08/17		10,901
Morgan Stanley & Co.	GBP	5,118	USD	6,241		6/15/17		(356,068	)
Morgan Stanley & Co.	USD	3,296	JPY	377,351		6/15/17		113,008
Morgan Stanley & Co.	USD	7,700	CAD	10,470		6/22/17		52,769
Morgan Stanley & Co.	NOK	15,572	USD	1,798		7/14/17		(45,958	)
Royal Bank of Scotland PLC	USD	676	GBP	543		6/15/17		23,879
Royal Bank of Scotland PLC	EUR	30,878	USD	32,864		7/13/17		(1,898,597	)
Standard Chartered Bank	BRL	4,819	USD	1,486		6/02/17		(3,558	)
Standard Chartered Bank	USD	1,461	BRL	4,819		6/02/17		28,459
Standard Chartered Bank	USD	257	TWD	7,742		6/13/17		(359	)
Standard Chartered Bank	INR	204,509	USD	3,173		6/15/17		4,732
Standard Chartered Bank	BRL	4,819	USD	1,450		7/05/17		(27,983	)
Standard Chartered Bank	USD	2,151	IDR	28,894,875		8/16/17		7,471
State Street Bank & Trust Co.	TRY	664	USD	183		6/08/17		(4,489	)
State Street Bank & Trust Co.	USD	2,341	TRY	8,442		6/08/17		46,970
State Street Bank & Trust Co.	CHF	1,818	USD	1,826		6/14/17		(52,784	)
State Street Bank & Trust Co.	AUD	5,016	USD	3,744		6/15/17		17,442
State Street Bank & Trust Co.	EUR	3,011	USD	3,226		6/15/17		(158,900	)
State Street Bank & Trust Co.	GBP	336	USD	420		6/15/17		(13,318	)
State Street Bank & Trust Co.	HKD	13,598	USD	1,753		6/15/17		7,830
State Street Bank & Trust Co.	JPY	65,691	USD	594		6/15/17		72
State Street Bank & Trust Co.	NOK	2,785	USD	324		6/15/17		(5,562	)
State Street Bank & Trust Co.	USD	357	GBP	287		6/15/17		13,089
State Street Bank & Trust Co.	USD	1,750	HKD	13,598		6/15/17		(4,026	)
State Street Bank & Trust Co.	USD	324	NOK	2,785		6/15/17		5,809
State Street Bank & Trust Co.	MXN	41,526	USD	2,238		6/16/17		16,199
State Street Bank & Trust Co.	MXN	12,835	USD	672		6/16/17		(14,720	)
State Street Bank & Trust Co.	USD	2,885	MXN	55,146		6/16/17		65,266
State Street Bank & Trust Co.	CAD	511	USD	382		6/22/17		3,019
State Street Bank & Trust Co.	CAD	2,590	USD	1,895		6/22/17		(22,415	)
State Street Bank & Trust Co.	USD	376	CAD	511		6/22/17		2,846
State Street Bank & Trust Co.	AUD	2,911	USD	2,174		7/10/17		12,557
State Street Bank & Trust Co.	NZD	3,525	USD	2,420		7/10/17		(75,947	)
State Street Bank & Trust Co.	USD	715	AUD	960		7/10/17		(2,062	)
State Street Bank & Trust Co.	USD	251	NZD	365		7/10/17		7,245
State Street Bank & Trust Co.	EUR	3,757	USD	4,107		7/13/17		(123,134	)
State Street Bank & Trust Co.	USD	288	EUR	264		7/13/17		9,947
State Street Bank & Trust Co.	GBP	389	USD	489		8/16/17		(13,500	)
State Street Bank & Trust Co.	USD	1,422	EUR	1,300		8/16/17		44,309

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.	USD	502	GBP	389		8/16/17	$	726
UBS AG	USD	5,936	GBP	4,624		6/15/17		23,792
UBS AG	USD	3,172	NZD	4,619		7/10/17		98,217
							$	(1,060,563	)

INTEREST RATE SWAPTIONS WRITTEN

Description	Index		Counterparty		Strike Rate			Expiration Date		Notional Amount (000)		Premiums		Market Value
OTC - 1 Year Interest Rate Swap		3 Month LIBOR		Goldman Sachs & Co.		1.76	%		8/30/17	$	1,790	$	2,864	$	(4,241	)
OTC - 1 Year Interest Rate Swap		3 Month LIBOR		Goldman Sachs & Co.		1.76			8/30/17		860		1,247		(2,037	)
OTC - 1 Year Interest Rate Swap		3 Month LIBOR		Morgan Stanley & Co., Inc.		1.76			8/30/17		2,160		3,478		(5,117	)
												$	7,589	$	(11,395	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at May 31, 2017			Notional Amount (000)		Market Value		Unrealized Appreciation/ (Depreciation)
Buy Contracts
Citigroup Global Markets, Inc./(INTRCONX)
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		(5.00	)%		3.30	%	$	15,410	$	15,410,000	$	(121,278	)
iTraxxx Xover Series 26, 5 Year Index, 12/20/21*		(5.00	)		2.27		EUR	3,530		3,530,000		(66,041	)
Sale Contracts
Morgan Stanley & Co. LLC/(INTRCONX)
CDX-NAIG Series 28, 5 Year Index, 6/20/22*		1.00			0.62		$	115,760		115,760,000		288,899
iTraxxx Europe Series 27, 5 Year Index, 6/20/22*		1.00			0.62			53,210		53,210,000		285,615
									$	187,910,000	$	387,195

* Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

					Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date		Payments made by the Fund		Payments received by the Fund		Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co. LLC/(CME Group)	NOK	35,531		5/12/18		0.954%		6 Month NIBOR	$	(2,249	)
Morgan Stanley & Co. LLC/(CME Group)		35,531		5/12/18		6 Month NIBOR		0.954%		2,941
Morgan Stanley & Co. LLC/(CME Group)	$	1,090		7/02/24		2.632%		3 Month LIBOR		(21,377	)
Morgan Stanley & Co. LLC/(CME Group)		1,090		7/02/24		3 Month LIBOR		2.632%		17,773
Morgan Stanley & Co. LLC/(CME Group)		691		10/04/26		3 Month LIBOR		1.1487%		11,050
Morgan Stanley & Co. LLC/(CME Group)		691		10/04/26		1.487%		3 Month LIBOR		(14,386	)
Morgan Stanley & Co. LLC/(LCH Group)	NOK	35,112		9/06/18		6 Month NIBOR		1.143%		2,280
Morgan Stanley & Co. LLC/(LCH Group)		35,112		9/06/18		1.143%		6 Month NIBOR		(2,759	)
									$	(6,727	)

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at May 31, 2017			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citigroup Global Markets, Inc.
CMBX.NA.BB Series 6, 5/11/63*		5.00	%		9.80	%	$	2,500	$	(469,319	)	$	(464,635	)	$	(4,684	)
Credit Suisse International
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.54			5,800		(637,517	)		(607,389	)		(30,128	)
Deutsche Bank AG
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.80			2,500		(469,319	)		(474,541	)		5,222
									$	(1,576,155	)	$	(1,546,565	)	$	(29,590	)

* Termination date

INFLATION (CPI) SWAPS

Rate Type

Swap Counterparty

Notional Amount (000)

Termination Date

Payments made by the Fund

Payments received by the Fund

Unrealized Appreciation/ (Depreciation)

Citibank, NA

$

34,720

7/15/22

2.163

%

CPI

#

$

(324,558

)

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)			Maturity Date		Unrealized Appreciation/ (Depreciation)
Receive Total Return on Reference Obligation
Barclays Bank PLC
Barclays Capital US Inflation Linked Bonds 1 to 10 Year		139,500,000		LIBOR Plus 0.0014%		USD	139,500		10/31/17	$	(97,268	)
Citibank, NA
Russell 2000 Total Return Index		34,156		LIBOR Plus 0.29%		USD	48,000		6/15/18		0
Goldman Sachs International
Russell 2000 Total Return Index		1,744		LIBOR Minus 0.15%		USD	12,065		5/15/18		(199,640	)
Morgan Stanley & Co. International PLC iBoxx $ Liquid High Yield Index		4,400,000		LIBOR Plus 0.00%		USD	4,400		9/20/17		(7,183	)
Pay Total Return on Reference Obligation
Citibank, NA
Russell 2000 Total Return Index		41,977		LIBOR Plus 0.21%		USD	48,000		6/15/18		0
Goldman Sachs International
S&P 500 Total Return Index		22,412		LIBOR Plus 0.27%		USD	102,884		5/15/18		(459,340	)
										$	(763,431	)

VARIANCE SWAPS

Swap Counterparty & Referenced Obligation	Volatility Strike Price		Notional Amount (000)			Market Value		Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citibank, NA
iShares Russell 2000 ETF, 6/02/17*	$	13.70	$	0	***	$	1,202	$	(9,726	)	$	1,202
Powershares QQQ Trust Series 1, 6/02/17*		10.40		0	***		4,973		(10,868	)		4,973
Deutsche Bank AG
SPDR S&P 500 ETF Trust, 6/02/17*		8.60		0	***		11,137		(20,812	)		11,137
						$	17,312	$	0		$	17,312

* Termination date

*** Notional amount less than $500.

** Principal amount less than 500.

(a) Non-income producing security.

(b) Fair valued by the Adviser.

(c) Restricted and illiquid security.

Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
CHC Group LLC		4/26/17	$	34,109	$	26,694		0.00	%
CHC Group LLC/CHC Finance Ltd. Series AI 10/01/20		4/26/17		242,728		253,562		0.03	%
Exide Corp.		4/26/17		1,095		4,898		0.00	%
Exide Technologies
11.00%, 04/30/22		5/23/17		65,701		65,169		0.01	%
Exide Technologies		4/26/17		2,165		9,686		0.00	%
Momentive Performance Materials, Inc.
8.875%, 10/15/20		4/26/17		0		0		0.00	%

(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2017, the aggregate market value of these securities amounted to $33,616,978 or 3.5% of net assets.

(e) Illiquid security.

(f) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.09% of net assets as of May 31, 2017, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Artsonig Pty Ltd.
11.50%, 4/01/19		4/26/17	$	5,819	$	1,741		0.00	%
Creditcorp
12.00%, 7/15/18		4/26/17		71,038		69,472		0.01	%
Dominican Republic International Bond
16.00%, 7/10/20		5/08/17		535,718		532,061		0.06	%
Exide Technologies
7.00%, 4/30/25		4/26/17		4,539		5,113		0.00	%
H/2 Asset Funding NRE Series 2015-1A
2.679%, 6/24/49		3/29/17		107,475		108,230		0.01	%
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18		4/26/17		15		2		0.00	%
Modular Space Corp.		4/26/17		76,076		76,076		0.01	%
Tonon Luxembourg SA
7.25%, 1/24/20		4/26/17		1,534		1,534		0.00	%
Vantage Drilling International
10.00%, 12/31/20		4/26/17		2,064		2,041		0.00	%
Virgolino de Oliveira Finance SA
10.50%, 1/28/18		4/26/17		33,435		34,165		0.00	%

(g) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(h) 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 May 31, 2017.

(i) Defaulted.

(j) Variable rate coupon, rate shown as of May 31, 2017.

(k) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

(l) Defaulted matured security.

(m) Floating Rate Security. Stated interest/floor rate was in effect at May 31, 2017.

(n) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(o) The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at May 31, 2017.

(p) This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase.

(q) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

(r) As of May 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $20,594,981 and gross unrealized depreciation of investments was $(9,067,276), resulting in net unrealized appreciation of $11,527,705.

(s) An amount of U.S. $10,951,619 has been segregated to collateralize margin requirements for the open futures contracts at May 31, 2017.

Currency Abbreviations:

ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CLP	-	Chilean Peso
CNY	-	Chinese Yuan Renminbi
DOP	-	Dominican Peso
EUR	-	Euro
GBP	-	Great British Pound
HKD	-	Hong Kong Dollar
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PEN	-	Peruvian Sol
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
ZAR	-	South African Rand
Glossary:
ABS	-	Asset-Backed Securities
ADR	-	American Depositary Receipt
BOBL	-	Bundesobligationen
CBT	-	Chicago Board of Trade
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CDX-NAIG	-	North American Investment Grade Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
CMBX.NA	-	North American Commercial Mortgage-Backed Index
CME	-	Chicago Mercantile Exchange
ETF	-	Exchange Traded Fund
FTSE	-	Financial Times Stock Exchange
INTRCONX	-	Inter-Continental Exchange
LCH	-	London Clearing House
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
NIBOR	-	Norwegian Interbank Offered Rate
OSE	-	Osaka Securities Exchange
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares
REIT	-	Real Estate Investment Trust
SPDR	-	Standard & Poor’s Depository Receipt
SPI	-	Share Price Index
TBA	-	To Be Announced
TOPIX	-	Tokyo Price Index
TSX	-	Toronto Stock Exchange

AB All Market Total Return Portfolio

May 31, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Strategy. Unobservable inputs reflect the Strategy’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3—significant unobservable inputs (including the Strategy’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2017:

Investments in Securities:

Level 1

Level 2

Level 3

Total

Assets:

Common Stocks

$

332,556,691

$

127,221,412

$

232,976

(a)

$

460,011,079

Investment Companies

279,561,015

– 0

–

– 0

–

279,561,015

Corporates - Non-Investment Grade

– 0

–

40,844,078

567,880

(a)

41,411,958

Corporates - Investment Grade

– 0

–

10,056,533

– 0

–

10,056,533

Governments - Treasuries

– 0

–

9,233,904

– 0

–

9,233,904

Emerging Markets - Treasuries

– 0

–

6,782,095

– 0

–

6,782,095

Emerging Markets - Sovereigns

– 0

–

5,108,467

– 0

–

5,108,467

Emerging Markets - Corporate Bonds

– 0

–

3,820,974

14,279

3,835,253

Collateralized Mortgage Obligations

– 0

–

3,605,203

– 0

–

3,605,203

Bank Loans

– 0

–

1,381,478

269,873

(a)

1,651,351

Inflation-Linked Securities

– 0

–

1,373,790

– 0

–

1,373,790

Commercial Mortgage-Backed Securities

– 0

–

71,602

785,930

857,532

Asset-Backed Securities

– 0

–

– 0

–

543,032

543,032

Preferred Stocks

255,283

55,761

210,369

521,413

Local Governments - Regional Bonds

– 0

–

506,188

– 0

–

506,188

Collateralized Loan Obligations

– 0

–

– 0

–

419,559

419,559

Local Governments - US Municipal Bonds

– 0

–

241,641

– 0

–

241,641

Quasi-Sovereigns

– 0

–

226,186

– 0

–

226,186

Options Purchased - Calls

– 0

–

43,003

– 0

–

43,003

Warrants

11,585

– 0

–

1,474

(a)

13,059

Mortgage Pass-Throughs

– 0

–

280

– 0

–

280

Short-Term Investments:

Investment Companies

121,742,549

– 0

–

– 0

–

121,742,549

U.S. Treasury Bills

– 0

–

4,991,444

– 0

–

4,991,444

Total Investments in Securities

734,127,123

215,564,039

3,045,372

952,736,534

Other Financial Instruments(b):

Assets:

Futures

2,162,318

146,851

– 0

–

2,309,169

Forward Currency Exchange Contracts

– 0

–

2,345,627

– 0

–

2,345,627

Centrally Cleared Credit Default Swaps

– 0

–

574,514

– 0

–

574,514

Centrally Cleared Interest Rate Swaps

– 0

–

34,044

– 0

–

34,044

Credit Default Swaps

– 0

–

5,222

– 0

–

5,222

Variance Swaps

– 0

–

17,312

– 0

–

17,312

Liabilities:

Futures

(2,297,586

)

(38,643

)

– 0

–

(2,336,229

)

Forward Currency Exchange Contracts

– 0

–

(3,406,190

)

– 0

–

(3,406,190

)

Interest Rate Swaptions Written

– 0

–

(11,395

)

– 0

–

(11,395

)

Centrally Cleared Credit Default Swaps

– 0

–

(187,319

)

– 0

–

(187,319

)

Centrally Cleared Interest Rate Swaps

– 0

–

(40,771

)

– 0

–

(40,771

)

Credit Default Swaps

– 0

–

(34,812

)

– 0

–

(34,812

)

Inflation (CPI) Swaps

– 0

–

(324,558

)

– 0

–

(324,558

)

Total Return Swaps

– 0

–

(763,431

)

– 0

–

(763,431

)

Total

$

733,991,855

$

213,880,490

$

3,045,372

$

950,917,717

(a) The Strategy held securities with zero market value at period end.

(b) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include options written which are valued at market value.

(c) There were no transfers between any levels during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Common Stocks(a)			Corporates - Non- Investment Grade(a)			Emerging Markets - Corporate Bonds
Balance as of 8/31/16	$	– 0	–	$	– 0	–	$	– 0	–
Accrued discounts/(premiums)		– 0	–		613			69
Realized gain (loss)		– 0	–		– 0	–		– 0	–
Change in unrealized appreciation/depreciation		(17,824	)		28,719			(1,530	)
Purchases/Payups		250,800			538,548			15,740
Sales/Paydowns		– 0	–		– 0	–		– 0	–
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/17	$	232,976		$	567,880		$	14,279
Net change in unrealized appreciation/depreciation from investments held as of 5/31/17	$	(17,824	)	$	28,719		$	(1,530	)
	Bank Loans(a)			Commercial Mortgage-Backed Securities			Asset-Backed Securities
Balance as of 8/31/16	$	– 0	–	$	– 0	–	$	– 0	–
Accrued discounts/(premiums)		4,526			97			(38	)
Realized gain (loss)		21			423			260
Change in unrealized appreciation/depreciation		(3,792	)		9,490			12,543
Purchases/Payups		270,046			846,882			536,393
Sales/Paydowns		(928	)		(70,962	)		(6,126	)
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/17	$	269,873		$	785,930		$	543,032
Net change in unrealized appreciation/depreciation from investments held as of 5/31/17	$	318		$	9,490		$	12,543
	Preferred Stocks			Collateralized Loan Obligations			Warrants(a)
Balance as of 8/31/16	$	– 0	–	$	– 0	–	$	– 0	–
Accrued discounts/(premiums)		– 0	–		31			– 0	–
Realized gain (loss)		– 0	–		– 0	–		– 0	–
Change in unrealized appreciation/depreciation		(8,718	)		(30	)		(26,395	)
Purchases/Payups		219,087			419,558			27,869
Sales/Paydowns		– 0	–		– 0	–		– 0	–
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/17	$	210,369		$	419,559		$	1,474
Net change in unrealized appreciation/depreciation from investments held as of 5/31/17	$	(8,718	)	$	(30	)	$	(26,395	)
	Total
Balance as of 8/31/16	$	– 0	–
Accrued discounts/(premiums)		5,298
Realized gain (loss)		704
Change in unrealized appreciation/depreciation		(7,537	)
Purchases/Payups		3,124,923
Sales/Paydowns		(78,016	)
Transfers in to Level 3		– 0	–
Transfers out of Level 3		– 0	–
Balance as of 5/31/17	$	3,045,372
Net change in unrealized appreciation/depreciation from investments held as of 5/31/17	$	(3,427	)

(a) The Strategy held securities with zero market value at period end.

As of May 31, 2017, securities were priced i) by third party vendors, or ii) at cost.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) Strategy managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Strategy’s transactions of investments in affiliated issuers for the quarter ended May 31, 2017 is as follows:

																	Distributions
Affiliated Issuer	Market Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/17 (000)			Income (000)			Realized Gains (000)
AB All Market Real Return Portfolio	$	– 0	–	$	43,561	$	43,565	$	4		$	– 0	–	$	– 0	–	$	– 0	–	$	– 0	–
AB Multi-Manager Alternative Strategies Fund		83,191			783		86,239		1,512			753			– 0	–		772			– 0	–
AB Pooling Portfolio - AB Bond Inflation Protection Portfolio		77,836			4,443		79,078		(8,787	)		5,586			– 0	–		4,198			– 0	–
AB Pooling Portfolio - AB Global Core Bond Portfolio		192,074			8,607		191,999		3,675			(12,357	)		– 0	–		3,533			2,339
AB Pooling Portfolio - AB International Growth Portfolio		78,069			5,071		80,354		(2,309	)		(477	)		– 0	–		3,077			– 0	–
AB Pooling Portfolio - AB International Value Portfolio		78,384			1,296		84,432		11,244			(6,492	)		– 0	–		1,296			– 0	–
AB Pooling Portfolio - AB Multi-Asset Real Return Portfolio		45,901			1,156		48,688		(1,875	)		3,506			– 0	–		1,156			– 0	–
AB Pooling Portfolio - AB Small-Mid Cap Growth Portfolio		23,414			2,581		25,850		(2,135	)		1,990			– 0	–		224			2,357
AB Pooling Portfolio - AB Small-Mid Cap Value Portfolio		23,476			3,083		26,802		7,848			(7,605	)		– 0	–		246			2,836
AB Pooling Portfolio - AB U.S. Large Cap Growth Portfolio		98,257			16,777		106,497		(7,188	)		(1,349	)		– 0	–		365			16,412
AB Pooling Portfolio - AB U.S. Value Portfolio		98,808			1,232		110,011		47,051			(37,080	)		– 0	–		1,127			– 0	–
AB Pooling Portfolio - AB Volatility Management Portfolio		171,104			33,949		184,884		(9,830	)		(10,339	)		– 0	–		12,910			21,028

A summary of the Strategy’s transactions of investments in affiliated issuers for the quarter ended May 31, 2017 is as follows:

Affiliated Issuer	Market Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Market Value 5/31/17 (000)
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB	$	– 0	–	$	226,812	$	146,576	$	121,743

AB Conservative Wealth Strategy

Portfolio of Investments

May 31, 2017 (unaudited)

Company	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - TREASURIES - 22.1%
Australia - 0.3%
Australia Government Bond
Series 128
5.75%, 7/15/22 (a)		AUD          296		$       260,736
Series 142
4.25%, 4/21/26 (a)		530		453,732
				714,468
Belgium - 0.6%
Kingdom of Belgium Government Bond
Series 31
5.50%, 3/28/28		EUR          299		508,250
Series 72
2.60%, 6/22/24 (a)		262		345,389
Series 75
1.00%, 6/22/31 (a)		146		162,975
Series 81
0.80%, 6/22/27 (a)		357		406,326
				1,422,940
Canada - 0.0%
Canadian Government Bond
2.75%, 12/01/48		CAD          140		120,428
France - 0.7%
French Republic Government Bond OAT
2.50%, 5/25/30 (a)		EUR          511		677,864
3.25%, 5/25/45 (a)		211		316,683
3.50%, 4/25/26 (a)		545		771,618
				1,766,165
Germany - 0.3%
Bundesrepublik Deutschland
Zero Coupon, 8/15/26 (a)		55		60,387
2.50%, 7/04/44-8/15/46 (a)		406		606,507
				666,894
Italy - 1.2%
Italy Buoni Poliennali Del Tesoro 1.35%, 4/15/22		1,514		1,737,930
3.75%, 5/01/21		247		311,970
4.50%, 5/01/23		158		210,488
5.50%, 11/01/22		498		689,120
				2,949,508
Japan - 1.4%
Japan Government Twenty Year Bond
Series 112
2.10%, 6/20/29		JPY   148,000		1,647,364
Series 143
1.60%, 3/20/33		77,550		834,172
Series 150
1.40%, 9/20/34		105,450		1,103,840
				3,585,376

Company	Principal Amount (000)		U.S. $ Value
Malaysia - 0.1%
Malaysia Government Bond
Series 0511
3.58%, 9/28/18		MYR       1,290		302,599
Mexico - 0.7%
Mexican Bonos
Series M
6.50%, 6/10/21		MXN       4,948		258,239
7.75%, 11/13/42		5,032		274,236
8.00%, 6/11/20		16,080		878,347
Series M 20
10.00%, 12/05/24		4,104		254,256
				1,665,078
Netherlands - 0.0%
Netherlands Government Bond
0.50%, 7/15/26 (a)		EUR            86		98,223
New Zealand - 0.3%
New Zealand Government Bond
Series 423
5.50%, 4/15/23 (a)		NZD          782		644,999
Poland - 0.4%
Republic of Poland Government Bond
Series 725
3.25%, 7/25/25		PLN       1,236		337,224
Series 727
2.50%, 7/25/27		2,805		706,866
				1,044,090
Russia - 0.1%
Russian Federal Bond - OFZ
Series 6214
6.40%, 5/27/20		RUB     11,236		190,002
Singapore - 0.0%
Singapore Government Bond
3.375%, 9/01/33		SGD            73		60,262
South Africa - 0.3%
Republic of South Africa Government Bond
Series 2048
8.75%, 2/28/48		ZAR       4,377		303,138
Series R186
10.50%, 12/21/26		4,058		347,325
Series R213
7.00%, 2/28/31		1,745		111,054
				761,517
Spain - 0.3%
Spain Government Bond
1.30%, 10/31/26 (a)		EUR          503		558,818

Company	Principal Amount (000)		U.S. $ Value
2.90%, 10/31/46 (a)		EUR           36		40,667
4.70%, 7/30/41 (a)		84		128,367
				727,852
Sweden - 0.6%
Sweden Government Bond
Series 1054
3.50%, 6/01/22		SEK     11,460		1,561,012
United Kingdom - 1.3%
United Kingdom Gilt
1.50%, 7/22/26 (a)		GBP          547		736,428
2.00%, 9/07/25 (a)		538		756,824
2.50%, 7/22/65 (a)		47		80,139
3.50%, 7/22/68 (a)		37		79,609
4.25%, 12/07/40 (a)		83		160,077
4.50%, 12/07/42 (a)		389		788,548
4.75%, 12/07/30 (a)		277		509,605
				3,111,230
United States - 13.5%
U.S. Treasury Bonds
3.00%, 11/15/45		$          750		770,053
3.625%, 8/15/43		55		63,130
4.625%, 2/15/40		683		901,723
5.375%, 2/15/31		438		594,585
6.25%, 5/15/30		49		71,074
U.S. Treasury Notes
0.625%, 6/30/18		4,760		4,730,994
0.875%, 3/31/18-5/15/19		8,597		8,560,635
1.125%, 1/31/19-7/31/21		6,039		5,981,041
1.25%, 3/31/21		1,619		1,596,949
1.375%, 6/30/18-2/15/20		6,783		6,791,530
1.625%, 6/30/20-5/15/26		1,133		1,122,669
2.00%, 11/15/26		1,226		1,205,798
2.125%, 6/30/21		864		880,032
2.25%, 2/15/27		270		271,012
				33,541,225
Total Governments - Treasuries (cost $54,100,109)				54,933,868
	Shares
COMMON STOCKS - 19.3%
Information Technology - 4.5%
Communications Equipment - 0.2%
Arista Networks, Inc. (b)		755		111,272
Cisco Systems, Inc.		3,832		120,823
Infinera Corp. (b)		1,172		11,392
Lumentum Holdings, Inc. (b)		369		21,051
NETGEAR, Inc. (b)		262		10,991
Nokia Oyj		24,588		155,668
Nokia Oyj (Sponsored ADR) - Class A		24,680		155,977

Company	Shares		U.S. $ Value
Palo Alto Networks, Inc. (b)		427		50,638
				637,812
Electronic Equipment, Instruments & Components - 0.2%
Amphenol Corp. - Class A		1,099		81,985
Anixter International, Inc. (b)		328		24,764
Avnet, Inc.		563		20,651
CDW Corp./DE		383		23,049
Coherent, Inc. (b)		86		21,341
Corning, Inc.		1,180		34,338
Keyence Corp.		400		181,509
VeriFone Systems, Inc. (b)		1,148		20,997
Vishay Intertechnology, Inc.		1,047		17,118
				425,752
Internet Software & Services - 1.2%
2U, Inc. (b)		558		23,855
Alibaba Group Holding Ltd. (ADR) (b)		2,372		290,475
Alphabet, Inc. - Class A (b)		118		116,477
Alphabet, Inc. - Class C (b)		972		937,844
CoStar Group, Inc. (b)		127		33,219
Criteo SA (Sponsored ADR) (b)		1,967		103,130
Facebook, Inc. - Class A (b)		5,778		875,136
GrubHub, Inc.(b)		575		24,995
LogMeIn, Inc.		270		29,970
NetEase, Inc. (ADR)		180		51,261
Pandora Media, Inc. (b)		1,298		11,552
Tencent Holdings Ltd.		8,200		281,812
Trade Desk, Inc. (The) - Class A(b)		483		26,565
Wix.com Ltd. (b)		212		15,624
Yahoo Japan Corp.		31,700		142,290
				2,964,205
IT Services - 0.6%
Amdocs Ltd.		457		29,604
Automatic Data Processing, Inc.		1,200		122,844
Booz Allen Hamilton Holding Corp.		3,951		155,828
Cognizant Technology Solutions Corp. - Class A		1,996		133,552
Convergys Corp.		559		13,589
Fiserv, Inc. (b)		1,988		249,057
Genpact Ltd.		961		26,255
Vantiv, Inc. - Class A (b)		2,132		133,719
Visa, Inc. - Class A		7,195		685,180
				1,549,628
Semiconductors & Semiconductor Equipment - 0.8%
Applied Materials, Inc.		372		17,067
ASML Holding NV		1,022		134,933
Cypress Semiconductor Corp.		1,929		26,987
Infineon Technologies AG		3,017		66,810
Integrated Device Technology, Inc. (b)		748		19,134
Intel Corp.		8,785		317,226
Mellanox Technologies Ltd. (b)		278		13,205
Microsemi Corp. (b)		305		14,979

Company	Shares		U.S. $ Value
NVIDIA Corp.		1,129		162,971
ON Semiconductor Corp. (b)		739		11,440
Qorvo, Inc. (b)		271		21,124
SCREEN Holdings Co., Ltd.		1,000		72,701
SK Hynix, Inc. (GDR)		3,418		173,805
Sumco Corp.		7,000		115,372
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)		7,012		247,944
Texas Instruments, Inc.		1,452		119,776
Tokyo Electron Ltd.		500		71,566
Xilinx, Inc.		6,530		435,616
				2,042,656
Software - 0.8%
8x8, Inc. (b)		494		6,743
Adobe Systems, Inc. (b)		2,878		408,273
Aspen Technology, Inc. (b)		369		22,568
Constellation Software, Inc./Canada		651		336,664
CyberArk Software Ltd. (b)		384		18,820
Dassault Systemes SE		1,269		117,014
Electronic Arts, Inc. (b)		2,326		263,606
Ellie Mae, Inc. (b)		223		24,432
Guidewire Software, Inc. (b)		278		18,465
HubSpot, Inc. (b)		294		21,197
Nintendo Co., Ltd.		400		121,266
Oracle Corp.		7,635		346,553
ServiceNow, Inc. (b)		875		91,569
Splunk, Inc. (b)		396		24,251
Take-Two Interactive Software, Inc. (b)		369		28,317
Tyler Technologies, Inc. (b)		198		33,834
Ultimate Software Group, Inc. (The) (b)		95		20,970
Verint Systems, Inc. (b)		642		26,386
				1,930,928
Technology Hardware, Storage & Peripherals - 0.7%
Apple, Inc.		3,870		591,181
Hewlett Packard Enterprise Co.		6,483		121,945
HP, Inc.		9,436		177,019
NCR Corp. (b)		1,345		51,823
Samsung Electronics Co., Ltd. (GDR) (a)		619		616,521
Samsung Electronics Co., Ltd. (Preference Shares)		10		15,580
Xerox Corp.		16,260		114,958
				1,689,027
				11,240,008
Financials - 3.2%
Banks - 1.7%
Associated Banc-Corp.		878		20,940
Australia & New Zealand Banking Group Ltd.		6,361		132,200
Bank of America Corp.		20,443		458,128
Bank of Montreal		684		45,911
Bank of Queensland Ltd.		9,929		82,289
Barclays PLC		34,537		93,483

Company	Shares		U.S. $ Value
BB&T Corp.		706		29,405
BNP Paribas SA		4,653		328,503
BOC Hong Kong Holdings Ltd.		26,500		119,557
Citigroup, Inc.		2,985		180,712
Citizens Financial Group, Inc.		366		12,481
Comerica, Inc.		2,161		148,158
Danske Bank A/S		2,845		106,534
DNB ASA		5,935		100,649
Erste Group Bank AG (b)		2,860		103,871
Fifth Third Bancorp		1,180		28,013
First Republic Bank/CA		275		25,328
Fulton Financial Corp.		1,133		19,828
Hana Financial Group, Inc.		1,870		68,397
HDFC Bank Ltd. (ADR)		1,477		129,681
HSBC Holdings PLC		9,778		85,141
Huntington Bancshares, Inc./OH		2,348		29,444
ING Groep NV		8,274		138,869
Intesa Sanpaolo SpA		20,831		59,738
Itau Unibanco Holding SA (Preference Shares)		5,700		62,620
JPMorgan Chase & Co.		4,201		345,112
KB Financial Group, Inc. (ADR)		1,690		80,207
Mitsubishi UFJ Financial Group, Inc.		22,100		137,137
PNC Financial Services Group, Inc. (The)		670		79,529
Royal Bank of Canada		720		49,766
Sberbank of Russia PJSC (Sponsored ADR)		10,977		122,833
Shinhan Financial Group Co., Ltd. (ADR)		1,190		52,634
Signature Bank/New York NY (b)		190		27,174
SunTrust Banks, Inc.		752		40,134
SVB Financial Group (b)		186		31,713
Synovus Financial Corp.		546		22,320
Texas Capital Bancshares, Inc. (b)		250		18,350
Toronto-Dominion Bank (The)		1,838		87,624
US Bancorp		1,389		70,686
Webster Financial Corp.		499		24,311
Wells Fargo & Co.		7,681		392,806
Zions Bancorporation		677		27,127
				4,219,343
Capital Markets - 0.4%
Affiliated Managers Group, Inc.		150		23,078
Amundi SA (a)		751		51,310
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		10,700		60,908
Credit Suisse Group AG (REG) (b)		9,762		133,314
Franklin Resources, Inc.		430		17,970
Goldman Sachs Group, Inc. (The)		491		103,729
Lazard Ltd. - Class A		581		25,855
MarketAxess Holdings, Inc.		299		56,983
Morgan Stanley		1,654		69,038
Partners Group Holding AG		364		223,175
S&P Global, Inc.		450		64,264
Stifel Financial Corp. (b)		402		17,137
Thomson Reuters Corp.		434		18,948
UBS Group AG (b)		15,781		251,526
				1,117,235
Consumer Finance - 0.2%
American Express Co.		331		25,467

Company	Shares		U.S. $ Value
Capital One Financial Corp.		1,819		139,917
Discover Financial Services		355		20,839
Hitachi Capital Corp.		2,500		58,012
OneMain Holdings, Inc. (b)		3,017		68,064
Synchrony Financial		6,770		181,774
				494,073
Diversified Financial Services - 0.1%
Berkshire Hathaway, Inc. - Class B (b)		926		153,049
GRENKE AG		309		66,642
Haci Omer Sabanci Holding AS		15,340		46,498
				266,189
Insurance - 0.8%
Admiral Group PLC		3,339		87,712
AIA Group Ltd.		50,200		355,192
Allstate Corp. (The)		1,956		168,881
American Financial Group, Inc./OH		315		31,453
American International Group, Inc.		4,324		275,136
First American Financial Corp.		3,171		138,002
FNF Group		3,772		160,725
Hanover Insurance Group, Inc. (The)		139		11,591
Hartford Financial Services Group, Inc. (The)		684		33,783
Lincoln National Corp.		1,211		78,691
Loews Corp.		377		17,779
Principal Financial Group, Inc.		319		20,068
Prudential Financial, Inc.		591		61,966
Prudential PLC		14,230		319,270
Reinsurance Group of America, Inc. - Class A		220		27,392
Selective Insurance Group, Inc.		326		16,659
Suncorp Group Ltd.		5,737		59,025
Validus Holdings Ltd.		387		20,666
				1,883,991
Thrifts & Mortgage Finance - 0.0%
Essent Group Ltd. (b)		2,533		91,872
				8,072,703
Health Care - 2.4%
Biotechnology - 0.2%
Alder Biopharmaceuticals, Inc. (b)		329		5,067
Avexis, Inc. (b)		100		7,075
BeiGene Ltd. (ADR) (b)		6		221
Biogen, Inc. (b)		1,318		326,561
Biohaven Pharmaceutical Holding Co., Ltd. (b)		37		933
Blueprint Medicines Corp. (b)		231		8,288
China Biologic Products, Inc. (b)		230		26,174
Clovis Oncology, Inc. (b)		203		10,487
DBV Technologies SA (Sponsored ADR) (b)		252		8,366
Gilead Sciences, Inc.		1,824		118,359
Grifols SA (ADR)		3,342		71,719
Loxo Oncology, Inc. (b)		210		9,586
Neurocrine Biosciences, Inc. (b)		263		11,433
Prothena Corp. PLC (b)		186		9,488
Sage Therapeutics, Inc. (b)		136		8,991

Company	Shares		U.S. $ Value
TESARO, Inc. (b)		79		11,795
Ultragenyx Pharmaceutical, Inc. (b)		133		7,162
				641,705
Health Care Equipment & Supplies - 0.7%
Align Technology, Inc. (b)		1,001		145,345
Baxter International, Inc.		529		31,375
Danaher Corp.		2,498		212,180
DENTSPLY SIRONA, Inc.		219		13,911
DexCom, Inc. (b)		326		21,790
Edwards Lifesciences Corp. (b)		4,038		464,653
Essilor International SA		1,777		236,232
Glaukos Corp. (b)		370		15,063
Intuitive Surgical, Inc. (b)		479		438,132
Nevro Corp. (b)		259		17,827
Penumbra, Inc. (b)		251		20,795
Sartorius AG (Preference Shares)		817		83,380
				1,700,683
Health Care Providers & Services - 0.5%
Aetna, Inc.		951		137,762
Cigna Corp.		1,126		181,545
LifePoint Health, Inc. (b)		425		25,840
McKesson Corp.		918		149,717
Molina Healthcare, Inc. (b)		356		22,987
Quest Diagnostics, Inc.		866		94,195
Teladoc, Inc. (b)		721		22,062
UnitedHealth Group, Inc.		2,913		510,299
VCA, Inc. (b)		729		67,163
WellCare Health Plans, Inc. (b)		148		25,426
				1,236,996
Health Care Technology - 0.1%
Cerner Corp. (b)		2,800		182,980
Life Sciences Tools & Services - 0.2%
Eurofins Scientific SE		665		352,672
ICON PLC (b)		568		53,449
Mettler-Toledo International, Inc. (b)		160		93,250
				499,371
Pharmaceuticals - 0.7%
Akorn, Inc. (b)		370		12,310
GW Pharmaceuticals PLC (ADR) (b)		83		8,185
Johnson & Johnson		2,597		333,065
Mallinckrodt PLC (b)		3,257		140,474
Medicines Co. (The) (b)		262		10,420
Merck & Co., Inc.		1,648		107,301
Novartis AG (REG)		730		59,740
Pfizer, Inc.		2,524		82,408
Roche Holding AG		895		245,721
Sanofi		1,858		184,042
Shire PLC		3,913		225,359
Teva Pharmaceutical Industries Ltd.		460		13,214

Company	Shares		U.S. $ Value
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)		7,630		212,572
Zoetis, Inc.		3,129		194,874
				1,829,685
				6,091,420
Consumer Discretionary - 2.4%
Auto Components - 0.3%
Cooper-Standard Holdings, Inc. (b)		114		12,313
Dana, Inc.		1,211		25,576
Faurecia		1,730		91,173
Hankook Tire Co., Ltd.		1,280		69,636
Lear Corp.		904		134,733
Magna International, Inc. - Class A		5,331		238,775
Sumitomo Electric Industries Ltd.		4,200		66,552
Tenneco, Inc.		273		15,520
Valeo SA		1,261		87,996
				742,274
Automobiles - 0.2%
General Motors Co.		1,765		59,886
Honda Motor Co., Ltd.		4,200		117,664
Peugeot SA		6,129		121,200
Tata Motors Ltd. (Sponsored ADR)		1,990		73,292
Toyota Motor Corp.		900		48,298
				420,340
Diversified Consumer Services - 0.1%
Bright Horizons Family Solutions, Inc. (b)		393		30,151
Grand Canyon Education, Inc. (b)		420		32,928
Kroton Educacional SA		10,000		44,809
Sotheby’s (b)		506		26,611
Tarena International, Inc. (ADR) (b)		2,199		37,669
				172,168
Hotels, Restaurants & Leisure - 0.2%
Bloomin’ Brands, Inc.		1,166		23,355
Brinker International, Inc.		534		20,949
Buffalo Wild Wings, Inc. (b)		136		19,543
Dave & Buster’s Entertainment, Inc. (b)		362		24,145
IMAX China Holding, Inc. (a)(b)		11,400		49,659
Panera Bread Co. - Class A (b)		19		5,975
Planet Fitness, Inc.		1,598		34,916
Sodexo SA		426		58,141
Starbucks Corp.		4,560		290,062
Vail Resorts, Inc.		175		37,433
				564,178
Household Durables - 0.1%
CalAtlantic Group, Inc.		668		24,075
Panasonic Corp.		8,700		111,563
PulteGroup, Inc.		649		14,713
				150,351

Company	Shares		U.S. $ Value
Internet & Direct Marketing Retail - 0.1%
Ctrip.com International Ltd. (ADR) (b)		1,152		62,957
Expedia, Inc.		111		15,959
Priceline Group, Inc. (The) (b)		100		187,709
				266,625
Media - 0.5%
CBS Corp. - Class B		1,095		66,915
Comcast Corp. - Class A		12,048		502,281
CTS Eventim AG & Co. KGaA		3,825		166,514
IMAX Corp. (b)		831		20,817
Naspers Ltd. - Class N		569		117,908
Regal Entertainment Group - Class A		2,858		59,447
Scholastic Corp.		366		15,566
Scripps Networks Interactive, Inc. - Class A		887		58,737
Walt Disney Co. (The)		2,180		235,309
				1,243,494
Multiline Retail - 0.1%
Dollar Tree, Inc. (b)		2,550		198,135
Ollie’s Bargain Outlet Holdings, Inc. (b)		662		27,241
Target Corp.		703		38,771
				264,147
Specialty Retail - 0.6%
ABC-Mart, Inc.		2,300		134,387
Burlington Stores, Inc. (b)		1,191		116,539
Caleres, Inc.		678		18,537
Children’s Place, Inc. (The)		125		13,525
Five Below, Inc. (b)		621		31,857
Floor & Decor Holdings, Inc. - Class A (b)		330		12,774
Foot Locker, Inc.		818		48,597
Home Depot, Inc. (The)		3,369		517,175
Lithia Motors, Inc. - Class A		297		26,983
Michaels Cos., Inc. (The) (b)		5,975		115,497
O’Reilly Automotive, Inc. (b)		321		77,708
TJX Cos., Inc. (The)		3,456		259,926
Ulta Salon Cosmetics & Fragrance, Inc. (b)		386		117,668
				1,491,173
Textiles, Apparel & Luxury Goods - 0.2%
Crocs, Inc. (b)		1,569		10,716
HUGO BOSS AG		1,054		79,454
Kering		183		60,552
NIKE, Inc. - Class B		7,326		388,205
Samsonite International SA		21,600		86,722
				625,649
				5,940,399
Consumer Staples - 1.8%
Beverages - 0.3%
Asahi Group Holdings Ltd.		900		35,908
Constellation Brands, Inc. - Class A		1,029		188,050
Cott Corp.		440		5,804

Company	Shares		U.S. $ Value
Monster Beverage Corp. (b)		6,181		312,511
PepsiCo, Inc.		1,394		162,917
				705,190
Food & Staples Retailing - 0.4%
Costco Wholesale Corp.		1,435		258,917
Koninklijke Ahold Delhaize NV		9,732		214,797
Kroger Co. (The)		6,010		178,978
Lenta Ltd. (GDR)(a) (b)		14,675		90,251
Loblaw Cos., Ltd.		778		43,973
Sugi Holdings Co., Ltd.		500		26,636
Tesco PLC (b)		25,477		60,395
Wal-Mart Stores, Inc.		1,637		128,668
X5 Retail Group NV (GDR) (a) (b)		1,273		46,083
				1,048,698
Food Products - 0.2%
Archer-Daniels-Midland Co.		910		37,838
BRF SA		4,300		57,564
Gruma SAB de CV - Class B		4,956		64,487
Ingredion, Inc.		96		10,953
Orkla ASA		8,315		83,197
Tyson Foods, Inc. - Class A		1,152		66,056
WH Group Ltd. (a)		76,500		71,667
				391,762
Household Products - 0.2%
Henkel AG & Co. KGaA (Preference Shares)		770		108,145
Procter & Gamble Co. (The)		2,698		237,667
Reckitt Benckiser Group PLC		1,095		112,308
				458,120
Personal Products - 0.1%
Amorepacific Corp.		120		36,758
LG Household & Health Care Ltd.		120		105,237
Unilever PLC		2,333		130,062
				272,057
Tobacco - 0.6%
Altria Group, Inc.		1,882		141,978
British American Tobacco PLC		8,541		611,045
Imperial Brands PLC		1,451		67,896
Japan Tobacco, Inc.		11,700		439,696
Philip Morris International, Inc.		2,431		291,234
				1,551,849
				4,427,676
Industrials - 1.7%
Aerospace & Defense - 0.3%
Airbus SE		1,854		152,474
BAE Systems PLC		8,347		71,847
Esterline Technologies Corp. (b)		205		19,977
Hexcel Corp.		1,996		102,655
L3 Technologies, Inc.		1,244		209,726
TransDigm Group, Inc.		100		26,808

Company	Shares		U.S. $ Value
United Technologies Corp.		908		110,122
				693,609
Air Freight & Logistics - 0.0%
Atlas Air Worldwide Holdings, Inc. (b)		338		16,461
Expeditors International of Washington, Inc.		435		23,220
				39,681
Airlines - 0.2%
Air Canada (b)		4,908		64,672
International Consolidated Airlines Group SA		14,023		109,365
Japan Airlines Co., Ltd.		4,400		128,984
JetBlue Airways Corp. (b)		5,072		113,714
Qantas Airways Ltd.		35,473		132,141
SkyWest, Inc.		626		21,472
United Continental Holdings, Inc. (b)		448		35,692
				606,040
Building Products - 0.1%
Allegion PLC		792		62,275
AO Smith Corp.		2,687		147,435
Lennox International, Inc.		189		33,472
				243,182
Commercial Services & Supplies - 0.1%
ABM Industries, Inc.		335		14,418
Advanced Disposal Services, Inc. (b)		727		16,954
Babcock International Group PLC		5,320		64,014
Copart, Inc. (b)		902		28,133
IWG PLC		16,110		68,956
Steelcase, Inc. - Class A		840		14,070
				206,545
Construction & Engineering - 0.1%
AECOM (b)		687		22,060
Dycom Industries, Inc. (b)		218		18,354
Quanta Services, Inc. (b)		1,704		52,244
Tutor Perini Corp. (b)		681		17,672
				110,330
Electrical Equipment - 0.1%
AMETEK, Inc.		405		24,713
Eaton Corp. PLC		2,453		189,813
Emerson Electric Co.		641		37,896
EnerSys		264		19,552
Regal Beloit Corp.		324		25,661
				297,635
Industrial Conglomerates - 0.1%
Carlisle Cos., Inc.		248		25,130
General Electric Co.		2,580		70,640
Roper Technologies, Inc.		984		223,565
				319,335

Company	Shares		U.S. $ Value
Machinery - 0.4%
Cummins, Inc.		397		62,607
Deere & Co.		316		38,697
FANUC Corp.		300		59,053
Gardner Denver Holdings, Inc. (b)		1,062		24,352
IDEX Corp.		1,062		115,195
IHI Corp. (b)		31,000		116,534
Ingersoll-Rand PLC		1,033		92,557
Kennametal, Inc.		348		13,388
Lincoln Electric Holdings, Inc.		329		29,406
Middleby Corp. (The) (b)		208		26,699
Nordson Corp.		275		31,867
Oshkosh Corp.		1,973		124,536
Snap-on, Inc.		452		73,070
SPX FLOW, Inc. (b)		660		24,638
Terex Corp.		752		24,650
WABCO Holdings, Inc. (b)		452		55,063
				912,312
Professional Services - 0.1%
Teleperformance		1,515		198,155
Road & Rail - 0.1%
Canadian National Railway Co. (Toronto)		529		41,013
CSX Corp.		1,139		61,700
Genesee & Wyoming, Inc. - Class A (b)		315		20,632
Ryder System, Inc.		229		15,210
Union Pacific Corp.		1,065		117,469
Werner Enterprises, Inc.		715		19,484
				275,508
Trading Companies & Distributors - 0.1%
BOC Aviation Ltd. (a)		9,400		48,356
Brenntag AG		1,147		66,549
MSC Industrial Direct Co., Inc. - Class A		260		21,825
SiteOne Landscape Supply, Inc. (b)		280		14,890
United Rentals, Inc. (b)		737		80,134
Watsco, Inc.		136		19,192
				250,946
				4,153,278
Energy - 1.3%
Energy Equipment & Services - 0.1%
Helmerich & Payne, Inc.		278		14,639
RPC, Inc.		1,305		24,521
Schlumberger Ltd.		3,411		237,371
Superior Energy Services, Inc. (b)		1,330		13,792
Petrofac Ltd.		3,347		16,434
Helix Energy Solutions Group, Inc. (b)		820		4,084
Oil States International, Inc. (b)		478		13,982
				324,823
Oil, Gas & Consumable Fuels - 1.2%
Canadian Natural Resources Ltd.		4,487		129,495
Canadian Natural Resources Ltd. (Toronto)		2,591		74,689

Company	Shares		U.S. $ Value
Chevron Corp.		502		51,947
Hess Corp.		3,060		140,424
HollyFrontier Corp.		630		15,057
Marathon Petroleum Corp.		3,371		175,427
EOG Resources, Inc.		2,645		238,870
Exxon Mobil Corp.		3,124		251,482
Devon Energy Corp.		3,734		126,881
PetroChina Co., Ltd. - Class H		100,000		66,499
QEP Resources, Inc. (b)		8,179		81,790
SRC Energy, Inc. (b)		2,749		18,913
Valero Energy Corp.		628		38,603
YPF SA (Sponsored ADR)		4,129		101,821
CNOOC Ltd.		40,000		45,415
Royal Dutch Shell PLC - Class A		21,890		595,170
Novatek PJSC (Sponsored GDR) (a)		1,063		119,916
TOTAL SA		5,086		268,683
JXTG Holdings, Inc.		26,400		115,155
Oasis Petroleum, Inc. (b)		1,470		14,347
PDC Energy, Inc. (b)		279		13,855
LUKOIL PJSC (Sponsored ADR)		2,893		139,587
Parsley Energy, Inc. - Class A (b)		529		15,685
SM Energy Co.		963		16,342
				3,180,876
Materials - 0.8%
Chemicals - 0.3%
Air Water, Inc.		3,800		68,437
Arkema SA		987		103,208
CF Industries Holdings, Inc.		4,154		111,743
Ecolab, Inc.		974		129,386
Huntsman Corp.		629		15,033
Incitec Pivot Ltd.		22,753		57,868
Ingevity Corp. (b)		256		15,122
Johnson Matthey PLC		1,527		61,354
LG Chem Ltd.		190		51,227
LyondellBasell Industries NV - Class A		993		79,956
Mosaic Co. (The)		425		9,618
Nippon Shokubai Co., Ltd.		1,100		67,235
PolyOne Corp.		684		25,541
Trinseo SA		344		22,171
				817,899
Construction Materials - 0.1%
Anhui Conch Cement Co., Ltd. - Class H		18,500		61,287
Buzzi Unicem SpA		2,264		58,783
Martin Marietta Materials, Inc.		115		25,772
				145,842
Containers & Packaging - 0.0%
Graphic Packaging Holding Co.		2,026		27,371
WestRock Co.		298		16,217
				43,588
Metals & Mining - 0.4%
BHP Billiton PLC		8,743		132,115
BlueScope Steel Ltd.		3,259		27,828
Boliden AB		2,535		69,304

Company	Shares		U.S. $ Value
Gerdau SA (Preference Shares)		30,800		90,802
Glencore PLC (b)		81,257		299,309
Goldcorp, Inc.		2,561		34,827
MMC Norilsk Nickel PJSC (ADR) (London)		5,467		76,079
Newmont Mining Corp.		715		24,417
POSCO (ADR)		920		57,850
Vedanta Ltd. (ADR)		3,200		47,424
				859,955
Paper & Forest Products - 0.0%
Mondi PLC		2,988		78,111
				1,945,395
Telecommunication Services - 0.6%
Diversified Telecommunication Services - 0.4%
AT&T, Inc.		4,930		189,953
BT Group PLC		55,045		218,719
China Unicom Hong Kong Ltd. (b)		112,000		160,820
Nippon Telegraph & Telephone Corp.		5,500		264,504
TDC A/S		12,073		72,016
Tower Bersama Infrastructure Tbk PT		61,500		26,595
Vonage Holdings Corp. (b)		2,378		16,432
				949,039
Wireless Telecommunication Services - 0.2%
SoftBank Group Corp.		2,400		194,858
T-Mobile US, Inc. (b)		2,101		141,649
Vodafone Group PLC		63,767		190,432
				526,939
				1,475,978
Utilities - 0.4%
Electric Utilities - 0.3%
American Electric Power Co., Inc.		2,435		174,784
Edison International		1,589		129,615
EDP - Energias de Portugal SA		16,777		61,728
Enel SpA		13,564		72,613
PG&E Corp.		675		46,156
PNM Resources, Inc.		675		25,988
Portland General Electric Co.		2,646		125,262
				636,146
Gas Utilities - 0.0%
Southwest Gas Holdings, Inc.		147		11,697
Multi-Utilities - 0.1%
DTE Energy Co.		239		26,175
NiSource, Inc.		5,572		145,262
NorthWestern Corp.		286		17,720
Public Service Enterprise Group, Inc.		793		35,614
WEC Energy Group, Inc.		422		26,485
				251,256
Water Utilities - 0.0%
Pennon Group PLC		4,277		50,771

Company	Shares		U.S. $ Value
				949,870
Real Estate - 0.2%
Equity Real Estate Investment Trusts (REITs) - 0.1%
Education Realty Trust, Inc.		639		24,480
Empire State Realty Trust, Inc. - Class A		783		16,287
Gramercy Property Trust		1,055		31,175
Mid-America Apartment Communities, Inc.		1,120		114,173
				186,115
Real Estate Management & Development - 0.1%
Ayala Land, Inc.		107,100		84,753
Daito Trust Construction Co., Ltd.		1,100		173,491
Global Logistic Properties Ltd.		16,200		33,955
LendLease Group		7,560		91,640
Wharf Holdings Ltd. (The)		8,000		67,962
				451,801
				637,916
Total Common Stocks (cost $46,258,109)				48,115,519
INVESTMENT COMPANIES - 19.2%
Funds and Investment Trusts - 19.2% (c)
AB All Market Real Return Portfolio - Class Z		449,728		3,732,744
AB Multi-Manager Alternative Strategies Fund - Class Z		1,530,855		14,956,449
AB Pooling Portfolio - AB Volatility Management Portfolio		2,958,605		28,728,057
iShares MSCI India ETF		14,493		471,747
Total Investment Companies (cost $48,890,799)				47,888,997
	Principal Amount (000)
INFLATION-LINKED SECURITIES - 12.2%
Japan - 0.6%
Japanese Government CPI Linked Bond
Series 21
0.10%, 3/10/26		JPY   168,400		1,602,651
New Zealand - 0.1%
New Zealand Government Bond
Series 0925
2.00%, 9/20/25 (a)		NZD          195		143,544
United States - 11.5%
U.S. Treasury Inflation Index
0.125%, 4/15/19-7/15/24 (TIPS)	$	12,368		12,434,198
0.25%, 1/15/25 (TIPS)		2,610		2,598,169
0.375%, 7/15/23-7/15/25 (TIPS)		4,198		4,243,590
0.625%, 7/15/21-1/15/24 (TIPS)		3,614		3,727,152
1.125%, 1/15/21 (TIPS)		1,133		1,187,795
1.375%, 1/15/20 (TIPS)		1,453		1,518,600
2.00%, 1/15/26 (TIPS)		720		818,992
2.375%, 1/15/25-1/15/27 (TIPS)		1,603		1,891,561

Company	Principal Amount (000)		U.S. $ Value
U.S. Treasury Notes
0.125%, 7/15/26 (TIPS)		$          239		234,459
				28,654,516
Total Inflation-Linked Securities (cost $30,372,252)				30,400,711
CORPORATES - INVESTMENT GRADE - 10.4%
Financial Institutions - 6.0%
Banking - 5.2%
ABN AMRO Bank NV
2.50%, 10/30/18 (a)		384		387,226
American Express Credit Corp.
0.625%, 11/22/21		EUR          112		127,153
1.80%, 7/31/18		$          217		217,291
2.125%, 3/18/19		200		201,158
Bank of America Corp.
3.824%, 1/20/28		156		158,719
4.20%, 8/26/24		111		115,491
Bank of America NA
1.65%, 3/26/18		250		250,253
Bank of Montreal
1.35%, 8/28/18		315		313,847
Barclays Bank PLC
Series E
6.625%, 3/30/22 (a)		EUR            83		117,403
Barclays PLC
2.00%, 3/16/18		$          217		217,232
3.684%, 1/10/23		200		205,516
BB&T Corp.
2.25%, 2/01/19		240		241,898
BNP Paribas SA
2.375%, 9/14/17-5/21/20		631		633,541
Citigroup, Inc.
1.892% (LIBOR 3 Month + 0.70%), 11/24/17 (d)		223		223,535
Compass Bank
5.50%, 4/01/20		207		218,985
Cooperatieve Rabobank UA
4.375%, 8/04/25		250		262,850
Credit Agricole SA/London
3.00%, 10/01/17 (a)		352		353,383
Credit Suisse Group Funding Guernsey Ltd.
Series E
1.25%, 4/14/22 (a)		EUR          150		172,612
Fifth Third Bancorp
2.30%, 3/01/19		$            94		94,573
Goldman Sachs Group, Inc. (The)
2.313% (LIBOR 3 Month + 1.16%), 4/23/20 (d)		216		219,553
2.75%, 9/15/20		207		209,662
Series E
1.625%, 7/27/26 (a)		EUR          157		175,849
Series G
7.50%, 2/15/19		$          237		258,444

Company	Principal Amount (000)		U.S. $ Value
HSBC USA, Inc.
1.70%, 3/05/18		$          219		219,201
ING Bank NV
2.50%, 10/01/19 (a)		250		252,095
JPMorgan Chase & Co.
1.712% (LIBOR 3 Month + 0.51%), 3/01/18 (d)		219		219,421
3.782%, 2/01/28		204		209,163
KeyBank NA/Cleveland OH
1.70%, 6/01/18		346		346,419
Lloyds Banking Group PLC
4.582%, 12/10/25		262		274,463
Mizuho Bank Ltd.
1.603% (LIBOR 3 Month + 0.45%), 9/25/17 (a) (d)		449		449,395
Morgan Stanley
1.875%, 1/05/18		223		223,310
5.95%, 12/28/17		261		267,233
Series F
3.875%, 4/29/24		106		110,811
Series G
1.375%, 10/27/26		EUR          261		286,128
Nationwide Building Society
4.00%, 9/14/26 (a)		$          250		250,870
6.25%, 2/25/20 (a)		283		313,188
Nordea Bank AB
2.375%, 4/04/19 (a)		230		231,985
Rabobank Capital Funding Trust IV
5.556%, 12/31/19 (a) (e)		GBP            51		70,196
Royal Bank of Canada
Series G
1.80%, 7/30/18		$          235		235,345
Santander Issuances SAU
3.25%, 4/04/26 (a)		EUR          100		119,306
5.179%, 11/19/25		$          200		211,480
Societe Generale SA
2.75%, 10/12/17		327		328,426
Sumitomo Mitsui Banking Corp.
1.966%, 1/11/19		365		365,310
Svenska Handelsbanken AB
1.50%, 9/06/19		315		312,033
UBS AG/Stamford CT
1.80%, 3/26/18		351		351,769
UniCredit SpA
3.75%, 4/12/22 (a)		200		201,912
Us Bancorp
Series E
0.85%, 6/07/24		EUR          103		115,666
US Bancorp
Series J
5.30%, 4/15/27 (e)		$            66		69,056
US Bank NA/Cincinnati OH
1.45%, 1/29/18		281		281,076
1.652% (LIBOR 3 Month + 0.48%), 10/28/19 (d)		250		251,748
Wells Fargo & Co.

Company	Principal Amount (000)		U.S. $ Value
2.125%, 4/22/19		$          366		368,134
3.069%, 1/24/23		142		144,283
Westpac Banking Corp.
1.60%, 8/19/19		300		297,486
				12,753,082
Brokerage - 0.2%
SUAM Finance BV
4.875%, 4/17/24 (a)		107		113,687
UBS Group Funding Switzerland AG
1.50%, 11/30/24 (a)		EUR          200		230,963
4.125%, 9/24/25 (a)		$          200		209,184
				553,834
Insurance - 0.4%
Humana, Inc.
6.30%, 8/01/18		31		32,582
7.20%, 6/15/18		50		52,650
Lincoln National Corp.
8.75%, 7/01/19		20		22,624
Massachusetts Mutual Life Insurance Co.
8.875%, 6/01/39 (a)		21		34,092
MetLife, Inc.
1.756%, 12/15/17		319		319,552
Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen
Series E
6.25%, 5/26/42 (a)		EUR          100		139,750
Nationwide Mutual Insurance Co.
9.375%, 8/15/39 (a)		$            61		100,721
Prudential Financial, Inc.
5.625%, 6/15/43		138		150,470
Swiss Re America Holding Corp.
7.00%, 2/15/26		107		133,163
				985,604
REITS - 0.2%
American Tower Corp.
5.05%, 9/01/20		228		246,596
Healthcare Trust of America Holdings LP
3.375%, 7/15/21		47		47,976
Welltower, Inc.
4.00%, 6/01/25		241		249,948
				544,520
				14,837,040
Industrial - 4.3%
Basic - 0.3%
Dow Chemical Co. (The)
8.55%, 5/15/19		150		168,706
Glencore Finance Europe SA
Series E
1.75%, 3/17/25 (a)		EUR          100		110,676

Company	Principal Amount (000)		U.S. $ Value
Glencore Funding LLC
4.125%, 5/30/23 (a)		$            46		47,270
Lubrizol Corp. (The)
8.875%, 2/01/19		170		189,407
Mosaic Co. (The)
5.625%, 11/15/43		59		60,571
Yamana Gold, Inc.
4.95%, 7/15/24		83		83,266
				659,896
Capital Goods - 0.2%
Caterpillar Financial Services Corp.
1.931%, 10/01/21		76		74,945
2.10%, 1/10/20		180		181,022
Holcim Finance Luxembourg SA
Series E
2.25%, 5/26/28 (a)		EUR          145		171,988
				427,955
Communications - Media - 0.4%
21st Century Fox America, Inc.
6.55%, 3/15/33		$            22		27,454
Charter Communications Operating LLC/Charter
Communications Operating Capital
3.579%, 7/23/20		81		84,105
4.908%, 7/23/25		148		160,682
Cox Communications, Inc.
2.95%, 6/30/23 (a)		55		53,492
Discovery Communications LLC
3.45%, 3/15/25		83		80,079
NBCUniversal Media LLC
5.15%, 4/30/20		200		218,934
RELX Capital, Inc.
8.625%, 1/15/19		175		192,593
Time Warner, Inc.
3.55%, 6/01/24		115		116,564
3.60%, 7/15/25		82		81,995
				1,015,898
Communications - Telecommunications - 0.4%
America Movil SAB de CV
5.00%, 3/30/20		190		204,896
AT&T, Inc.
3.40%, 5/15/25		214		210,473
3.95%, 1/15/25		71		72,334
4.125%, 2/17/26		107		109,581
Bell Canada, Inc.
3.25%, 6/17/20		CAD            77		59,636
3.35%, 6/18/19		38		29,195
4.70%, 9/11/23		52		43,612
Rogers Communications, Inc.
4.00%, 6/06/22		91		73,569
Verizon Communications, Inc.
2.625%, 8/15/26		$          166		153,882
3.50%, 11/01/24		153		155,306
				1,112,484

Company	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Automotive - 0.6%
Daimler Finance North America LLC
1.50%, 7/05/19 (a)		$         280		277,099
1.65%, 3/02/18 (a)		210		210,023
Ford Motor Credit Co. LLC
2.597%, 11/04/19		200		201,248
General Motors Financial Co., Inc.
3.15%, 1/15/20		175		177,891
Harley-Davidson Financial Services, Inc.
2.25%, 1/15/19 (a)		322		323,179
Hyundai Capital Services, Inc.
1.625%, 8/30/19 (a)		200		196,053
				1,385,493
Consumer Cyclical - Entertainment - 0.1%
Carnival Corp.
1.625%, 2/22/21		EUR          142		167,091
Consumer Cyclical - Retailers - 0.0%
Kohl’s Corp.
4.25%, 7/17/25		$            24		23,811
Consumer Non-Cyclical - 0.6%
AbbVie, Inc.
2.50%, 5/14/20		60		60,701
3.60%, 5/14/25		161		164,693
Ahold Finance USA LLC
6.875%, 5/01/29		255		322,902
Anheuser-Busch InBev Finance, Inc.
1.90%, 2/01/19		200		200,578
Kroger Co. (The)
6.15%, 1/15/20		160		176,346
Molson Coors Brewing Co.
2.25%, 3/15/20 (a)		70		70,212
Mylan NV
3.15%, 6/15/21		124		126,352
3.95%, 6/15/26		23		23,105
Reynolds American, Inc.
4.45%, 6/12/25		162		174,565
5.85%, 8/15/45		65		78,688
Teva Pharmaceutical Finance Netherlands II BV
1.875%, 3/31/27 (a)		EUR          148		159,649
Tyson Foods, Inc.
2.65%, 8/15/19		$            41		41,585
				1,599,376
Energy - 0.9%
Ecopetrol SA
5.875%, 5/28/45		61		56,364
7.375%, 9/18/43		61		65,538
Energy Transfer LP
6.70%, 7/01/18		81		84,891
7.50%, 7/01/38		88		108,634
EnLink Midstream Partners LP
4.15%, 6/01/25		204		205,387

Company	Principal Amount (000)		U.S. $ Value
Enterprise Products Operating LLC
4.90%, 5/15/46		$         82		87,670
Series N
6.50%, 1/31/19		150		160,998
Hess Corp.
4.30%, 4/01/27		113		113,434
Kinder Morgan Energy Partners LP
2.65%, 2/01/19		15		15,165
3.95%, 9/01/22		41		42,771
Kinder Morgan, Inc./DE
5.00%, 2/15/21 (a)		69		74,268
ONEOK Partners LP
3.20%, 9/15/18		58		58,810
Plains All American Pipeline LP/PAA Finance Corp.
3.60%, 11/01/24		143		140,864
Sabine Pass Liquefaction LLC
5.00%, 3/15/27		33		35,359
Schlumberger Holdings Corp.
2.35%, 12/21/18 (a)		409		411,646
Williams Partners LP
3.90%, 1/15/25		78		79,884
4.125%, 11/15/20		360		379,209
4.50%, 11/15/23		35		37,322
				2,158,214
Services - 0.2%
S&P Global, Inc.
4.40%, 2/15/26		139		149,639
Total System Services, Inc.
3.75%, 6/01/23		108		111,701
Visa, Inc.
2.20%, 12/14/20		328		331,129
				592,469
Technology - 0.5%
Agilent Technologies, Inc.
5.00%, 7/15/20		42		45,281
Broadcom Corp./Broadcom Cayman Finance Ltd.
3.625%, 1/15/24 (a)		31		31,588
3.875%, 1/15/27 (a)		68		69,085
Dell International LLC/EMC Corp.
4.42%, 6/15/21 (a)		164		172,890
Hewlett Packard Enterprise Co.
3.60%, 10/15/20 (f)		64		66,530
HP, Inc.
3.75%, 12/01/20		18		18,847
4.375%, 9/15/21		15		16,061
4.65%, 12/09/21		38		41,165
KLA-Tencor Corp.
4.65%, 11/01/24		131		141,851
QUALCOMM, Inc.
1.40%, 5/18/18		221		221,015
Seagate HDD Cayman
4.75%, 1/01/25		102		101,952

Company	Principal Amount (000)		U.S. $ Value
Tencent Holdings Ltd.
3.375%, 5/02/19 (a)		$       200		204,412
				1,130,677
Transportation - Services - 0.1%
Asciano Finance Ltd.
5.00%, 4/07/18 (a)		139		141,837
Penske Truck Leasing Co. LP/PTL Finance Corp.
3.375%, 2/01/22 (a)		206		212,067
				353,904
				10,627,268
Utility - 0.1%
Electric - 0.1%
Dominion Energy, Inc.
Series B
1.60%, 8/15/19		198		195,965
Exelon Corp.
5.15%, 12/01/20		42		45,526
TECO Finance, Inc.
5.15%, 3/15/20		76		81,055
Union Electric Co.
6.70%, 2/01/19		26		27,940
				350,486
Total Corporates - Investment Grade (cost $25,496,215)				25,814,794
ASSET-BACKED SECURITIES - 4.1%
Autos - Fixed Rate - 1.9%
Ally Auto Receivables Trust
Series 2015-2, Class A3
1.49%, 11/15/19		171		170,763
Ally Master Owner Trust
Series 2015-3, Class A
1.63%, 5/15/20		319		319,099
Americredit Automobile Receivables Trust
Series 2016-4, Class A2A
1.34%, 4/08/20		139		139,231
Avis Budget Rental Car Funding AESOP LLC
Series 2012-3A, Class A
2.10%, 3/20/19 (a)		162		162,363
Series 2013-2A, Class A
2.97%, 2/20/20 (a)		384		388,780
Bank of The West Auto Trust
Series 2015-1, Class A3
1.31%, 10/15/19 (a)		214		213,811
California Republic Auto Receivables Trust
Series 2015-2, Class A3
1.31%, 8/15/19		61		61,219
CarMax Auto Owner Trust
Series 2015-4, Class A3
1.56%, 11/16/20		209		209,023

Company	Principal Amount (000)		U.S. $ Value
Chrysler Capital Auto Receivables Trust
Series 2015-BA, Class A3
1.91%, 3/16/20 (a)		$         192		192,361
CPS Auto Trust
Series 2017-A, Class A
1.68%, 8/17/20 (a)		92		91,859
Enterprise Fleet Financing LLC
Series 2014-2, Class A2
1.05%, 3/20/20 (a)		36		35,674
Series 2015-1, Class A2
1.30%, 9/20/20 (a)		98		97,607
Exeter Automobile Receivables Trust
Series 2016-3A, Class A
1.84%, 11/16/20 (a)		52		51,536
Fifth Third Auto Trust
Series 2014-3, Class A4
1.47%, 5/17/21		278		278,041
Flagship Credit Auto Trust
Series 2016-3, Class A1
1.61%, 12/15/19 (a)		122		121,672
Ford Credit Auto Owner Trust
Series 2014-2, Class A
2.31%, 4/15/26 (a)		325		329,065
GM Financial Automobile Leasing Trust
Series 2015-2, Class A3
1.68%, 12/20/18		274		273,998
GMF Floorplan Owner Revolving Trust
Series 2015-1, Class A1
1.65%, 5/15/20 (a)		128		128,023
Harley-Davidson Motorcycle Trust
Series 2014-1, Class A3
1.10%, 9/15/19		116		116,059
Series 2015-1, Class A3
1.41%, 6/15/20		112		111,558
Hertz Vehicle Financing II LP
Series 2015-2A, Class A
2.02%, 9/25/19 (a)		112		111,574
Hertz Vehicle Financing LLC
Series 2013-1A, Class A2
1.83%, 8/25/19 (a)		400		399,108
Series 2016-1A, Class A
2.32%, 3/25/20 (a)		166		165,650
Honda Auto Receivables Owner Trust
Series 2015-4, Class A3
1.23%, 9/23/19		220		219,604
Hyundai Auto Lease Securitization Trust
Series 2015-B, Class A3
1.40%, 11/15/18 (a)		105		104,915
Mercedes Benz Auto Lease Trust
Series 2015-B, Class A3
1.34%, 7/16/18		140		140,347
Nissan Auto Lease Trust
Series 2015-A, Class A3
1.40%, 6/15/18		82		81,934

Company	Principal Amount (000)		U.S. $ Value
Volkswagen Auto Loan Enhanced Trust
Series 2014-1, Class A3
0.91%, 10/22/18	$	28		27,524
Volkswagen Credit Auto Master Trust
Series 2014-1A, Class A2
1.40%, 7/22/19 (a)		127		126,982
Westlake Automobile Receivables Trust
Series 2015-3A, Class A2A
1.42%, 5/17/21 (a)		14		13,546
				4,882,926
Credit Cards - Fixed Rate - 0.7%
American Express Credit Account Master Trust
Series 2014-2, Class A
1.26%, 1/15/20		183		183,004
Barclays Dryrock Issuance Trust
Series 2014-3, Class A
2.41%, 7/15/22		194		196,913
Series 2015-4, Class A
1.72%, 8/16/21		158		158,309
Capital One Multi-Asset Execution Trust
Series 2015-A5, Class A5
1.60%, 5/17/21		196		196,361
Discover Card Execution Note Trust
Series 2015-A2, Class A
1.90%, 10/17/22		266		267,092
Synchrony Credit Card Master Note Trust
Series 2012-2, Class A
2.22%, 1/15/22		309		311,851
Series 2015-3, Class A
1.74%, 9/15/21		209		209,274
World Financial Network Credit Card Master Trust
Series 2013-A, Class A
1.61%, 12/15/21		100		100,064
Series 2016-B, Class A
1.44%, 6/15/22		230		229,459
				1,852,327
Credit Cards - Floating Rate - 0.6%
Cabela’s Credit Card Master Note Trust
Series 2013-2A, Class A2
1.639% (LIBOR 1 Month + 0.65%), 8/16/21 (a)(d)		315		316,581
Chase Issuance Trust
Series 2013-A6, Class A6
1.409% (LIBOR 1 Month + 0.42%), 7/15/20 (d)		434		435,458
Discover Card Execution Note Trust
Series 2014-A1, Class A1
1.419% (LIBOR 1 Month + 0.43%), 7/15/21 (d)		200		201,004
Series 2015-A1, Class A1
1.339% (LIBOR 1 Month + 0.35%), 8/17/20 (d)		273		273,534

Company	Principal Amount (000)		U.S. $ Value
World Financial Network Credit Card Master Trust
Series 2015-A, Class A
1.469% (LIBOR 1 Month + 0.48%), 2/15/22 (d)		$       174		174,367
				1,400,944
Other ABS - Fixed Rate - 0.5%
CNH Equipment Trust
Series 2013-D, Class A4
1.37%, 10/15/20		466		466,369
Series 2014-B, Class A4
1.61%, 5/17/21		170		169,967
Series 2015-A, Class A4
1.85%, 4/15/21		162		162,445
Dell Equipment Finance Trust
Series 2015-1, Class A3
1.30%, 3/23/20 (a)		17		16,748
SBA Tower Trust
Series 2014-1A, Class C
2.898%, 10/15/44 (a)		104		104,784
Series 2014-2A, Class C
3.869%, 10/15/49 (a)		85		86,982
Sofi Consumer Loan Program LLC
Series 2017-2, Class A
3.28%, 2/25/26 (a)		139		139,604
TAGUS-Sociedade de Titularizacao de
Creditos SA/Volta II Electricity
Receivables
Series 2, Class SNR
2.98%, 2/16/18 (a)		EUR            20		23,243
				1,170,142
Autos - Floating Rate - 0.4%
BMW Floorplan Master Owner Trust
Series 2015-1A, Class A
1.489% (LIBOR 1 Month + 0.50%), 7/15/20 (a) (d)		$        261		261,381
Ford Credit Floorplan Master Owner Trust
Series 2015-2, Class A2
1.559% (LIBOR 1 Month + 0.57%), 1/15/22 (d)		247		249,380
Hertz Fleet Lease Funding LP
Series 2014-1, Class A
1.394% (LIBOR 1 Month + 0.40%), 4/10/28 (a) (d)		45		45,174
Wells Fargo Dealer Floorplan Master Note Trust
Series 2014-1, Class A
1.39% (LIBOR 1 Month + 0.38%), 7/20/19 (d)		137		137,040
Series 2015-1, Class A

Company	Principal Amount (000)			U.S. $ Value
1.51% (LIBOR 1 Month + 0.50%), 1/20/20 (d)		$         261			261,436
					954,411
Home Equity Loans - Fixed Rate - 0.0%
Credit-Based Asset Servicing & Securitization LLC
Series 2003-CB1, Class AF
3.95%, 1/25/33		40			39,816
Nationstar NIM Ltd.
Series 2007-A, Class A
9.79%, 3/25/37 (g)(h)		3			0
					39,816
Home Equity Loans - Floating Rate - 0.0%
Asset Backed Funding Certificates Trust
Series 2003-WF1, Class A2
2.149% (LIBOR 1 Month + 1.13%), 12/25/32 (d)		18			17,400
Total Asset-Backed Securities (cost $10,307,950)					10,317,966
COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.6%
Non-Agency Fixed Rate CMBS - 2.2%
BHMS Mortgage Trust
Series 2014-ATLS, Class AFX
3.601%, 7/05/33 (a)		213			216,798
Citigroup Commercial Mortgage Trust
Series 2015-GC29, Class A2
2.674%, 4/10/48		272			276,071
Commercial Mortgage Loan Trust
Series 2008-LS1, Class A1A
6.109%, 12/10/49		260			261,794
Commercial Mortgage Trust
Series 2013-CR6, Class A1
0.719%, 3/10/46		69			69,316
Series 2013-CR6, Class A2
2.122%, 3/10/46		450			451,054
Series 2013-LC6, Class A1
0.724%, 1/10/46		0	**		23
Series 2013-LC6, Class XA
1.665%, 1/10/46 (i)		510			25,402
Series 2014-CR16, Class A2
3.042%, 4/10/47		316			322,427
Series 2014-CR19, Class A2
2.965%, 8/10/47		396			403,165
Series 2015-DC1, Class A2
2.87%, 2/10/48		300			305,801
Series 2015-LC21, Class A2
2.976%, 7/10/48		228			233,774
Credit Suisse Commercial Mortgage Trust
Series 2007-C4, Class A4
5.936%, 9/15/39		57			57,436
GS Mortgage Securities Corp. II
Series 2015-GC30, Class A2
2.726%, 5/10/50		278			282,943

Company	Principal Amount (000)		U.S. $ Value
GS Mortgage Securities Trust
Series 2013-G1, Class A1
2.059%, 4/10/31 (a)		$          92		90,407
Series 2013-G1, Class A2
3.557%, 4/10/31 (a)		134		134,553
Series 2013-GC14, Class A1
1.217%, 8/10/46		16		16,181
JP Morgan Chase Commercial Mortgage
Securities Trust
Series 2004-LN2, Class A1A
4.838%, 7/15/41 (a)		61		60,631
Series 2013-C16, Class A2
3.07%, 12/15/46		303		307,235
JPMBB Commercial Mortgage Securities Trust
Series 2013-C15, Class A2
2.977%, 11/15/45		254		256,709
Series 2015-C28, Class A2
2.773%, 10/15/48		343		350,047
Series 2015-C29, Class A2
2.921%, 5/15/48		169		172,913
LSTAR Commercial Mortgage Trust
Series 2014-2, Class A2
2.767%, 1/20/41 (a)		83		82,753
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C17, Class A2
3.119%, 8/15/47		270		276,168
Series 2015-C23, Class A2
2.982%, 7/15/50		277		284,002
UBS-Barclays Commercial Mortgage Trust
Series 2013-C5, Class A1
0.779%, 3/10/46		36		35,967
Wachovia Bank Commercial Mortgage Trust
Series 2006-C26, Class A1A
6.009%, 6/15/45		6		5,802
Wells Fargo Commercial Mortgage Trust
Series 2015-NXS1, Class A2
2.632%, 5/15/48		153		155,511
WF-RBS Commercial Mortgage Trust
Series 2011-C2, Class C
5.392%, 2/15/44 (a)		136		146,026
Series 2012-C10, Class XA
1.648%, 12/15/45 (a) (i)		427		28,217
Series 2012-C6, Class XA
2.101%, 4/15/45 (a) (i)		238		18,483
Series 2014-C24, Class A2
2.863%, 11/15/47		202		205,929
				5,533,538
Non-Agency Floating Rate CMBS – 0.2%
H/2 Asset Funding NRE
Series 2015-1A
2.679% (LIBOR 1 Month + 1.45%), 6/24/49 (d) (h)		36		35,841

Company	Principal Amount (000)		U.S. $ Value
JP Morgan Chase Commercial Mortgage
Securities Trust
Series 2015-SGP, Class A
2.689% (LIBOR 1 Month + 1.70%), 7/15/36 (a) (d)		$          126		126,749
Resource Capital Corp., Ltd.
Series 2014-CRE2, Class A
2.051% (LIBOR 1 Month + 1.05%), 4/15/32 (a) (d)		14		14,392
Starwood Retail Property Trust
Series 2014-STAR, Class A
2.209% (LIBOR 1 Month + 1.22%), 11/15/27(a) (d)		295		292,171
				469,153
Agency CMBS - 0.2%
Federal Home Loan Mortgage Corp.
Multifamily Structured Pass-Through
Certificates
Series K008, Class A2
3.531%, 6/25/20		386		405,006
Total Commercial Mortgage-Backed Securities (cost $6,390,174)				6,407,697
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.3%
Risk Share Floating Rate - 1.2%
Federal Home Loan Mortgage Corp. Structured
Agency Credit Risk Debt Notes
Series 2014-DN1, Class M2
3.224% (LIBOR 1 Month + 2.20%), 2/25/24 (d)		250		256,854
Series 2014-HQ2, Class M1
2.474% (LIBOR 1 Month + 1.45%), 9/25/24 (d)		45		44,638
Series 2014-HQ3, Class M3
5.774% (LIBOR 1 Month + 4.75%), 10/25/24 (d)		250		277,878
Series 2015-DNA2, Class M2
3.624% (LIBOR 1 Month + 2.60%), 12/25/27 (d)		188		192,053
Series 2016-DNA2, Class M2
3.224% (LIBOR 1 Month + 2.20%), 10/25/28 (d)		250		255,498
Series 2017-DNA2, Class M1
2.224% (LIBOR 1 Month + 1.20%), 10/25/29 (d)		249		251,030
Federal National Mortgage Association
Connecticut Avenue Securities
Series 2013-C01, Class M1
3.024% (LIBOR 1 Month + 2.00%), 10/25/23 (d)		22		22,122
Series 2014-C01, Class M1
2.624% (LIBOR 1 Month + 1.60%), 1/25/24 (d)		73		73,409
Series 2014-C02, Class 1M1

Company	Principal Amount (000)		U.S. $ Value
1.974% (LIBOR 1 Month + 0.95%), 5/25/24 (d)	$	119		119,772
Series 2014-C04, Class 1M1
2.974% (LIBOR 1 Month + 1.95%), 11/25/24 (d)		7		7,182
Series 2014-C04, Class 2M2
6.024% (LIBOR 1 Month + 5.00%), 11/25/24 (d)		159		179,760
Series 2015-C03, Class 2M1
2.524% (LIBOR 1 Month + 1.50%), 7/25/25 (d)		30		29,689
Series 2016-C01, Class 1M1
2.974% (LIBOR 1 Month + 1.95%), 8/25/28 (d)		154		155,519
Series 2016-C01, Class 2M1
3.124% (LIBOR 1 Month + 2.10%), 8/25/28 (d)		54		54,475
Series 2016-C02, Class 1M1
3.174% (LIBOR 1 Month + 2.15%), 9/25/28 (d)		172		174,556
Series 2016-C03, Class 1M1
3.024% (LIBOR 1 Month + 2.00%), 10/25/28 (d)		73		74,248
Series 2016-C03, Class 2M1
3.224% (LIBOR 1 Month + 2.20%), 10/25/28 (d)		145		147,117
Series 2016-C04, Class 1M1
2.474% (LIBOR 1 Month + 1.45%), 1/25/29 (d)		99		99,832
Series 2016-C05, Class 2M1
2.374% (LIBOR 1 Month + 1.35%), 1/25/29 (d)		90		90,328
Series 2016-C06, Class 1M1
2.324% (LIBOR 1 Month + 1.30%), 4/25/29 (d)		280		283,159
Series 2016-C07, Class 2M1
2.324% (LIBOR 1 Month + 1.30%), 4/25/29 (d)		82		82,515
Series 2017-C02, Class 2M1
2.174% (LIBOR 1 Month + 1.15%), 9/25/29 (d)		201		201,633
				3,073,267
Agency Floating Rate – 0.6%
Federal Home Loan Mortgage Corp. REMICs
Series 4248, Class QF
1.489% (LIBOR 1 Month + 0.50%), 6/15/39 (d)		194		194,584
Series 4286, Class VF
1.439% (LIBOR 1 Month + 0.45%), 12/15/43 (d)		204		204,464
Federal National Mortgage Association REMICs
Series 2013-57, Class FN

Company	Principal Amount (000)		U.S. $ Value
1.374% (LIBOR 1 Month + 0.35%), 6/25/43 (d)	$	195		194,459
Series 2014-49, Class AF
1.303% (LIBOR 1 Month + 0.32%), 8/25/44 (d)		377		376,239
NCUA Guaranteed Notes Trust
Series 2010-R3, Class 1A
1.553% (LIBOR 1 Month + 0.56%), 12/08/20 (d)		562		563,970
				1,533,716
Agency Fixed Rate - 0.4%
Federal Home Loan Mortgage Corp. REMICs
Series 3948, Class DA
3.00%, 12/15/24		182		184,671
Series 4461, Class EA
2.00%, 7/15/37		114		112,708
Federal National Mortgage Association
Grantor Trust
Series 2004-T5, Class AB4
1.531%, 5/28/35		33		29,043
Federal National Mortgage Association REMICs
Series 2010-9, Class EA
3.50%, 1/25/24		52		52,190
Series 2014-54, Class LA
3.00%, 2/25/44		146		148,078
Series 2015-72, Class PC
3.00%, 10/25/43		433		441,301
				967,991
Non-Agency Floating Rate - 0.1%
Mortgage Equity Conversion Asset Trust
Series 2007-FF2, Class A
1.29% (H15T 1 Year + 0.47%), 2/25/42 (a)(d)		189		162,978
Non-Agency Fixed Rate - 0.0%
Citigroup Mortgage Loan Trust, Inc.
Series 2005-2, Class 1A4
3.231%, 5/25/35		47		46,426
Total Collateralized Mortgage Obligations (cost $5,764,509)				5,784,378
MORTGAGE PASS-THROUGHS - 1.3%
Agency ARMs - 0.1%
Federal Home Loan Mortgage Corp.
3.214%, 5/01/38 (f)		61		64,282
Federal National Mortgage Association
Series 2003
3.435%, 12/01/33 (f)		38		40,040
Series 2007
2.671%, 1/01/37 (d)		49		51,151
				155,473

Company	Principal Amount (000)		U.S. $ Value
Agency Fixed Rate 15-Year - 0.0%
Federal Home Loan Mortgage Corp. Gold
5.00%, 7/01/25		$            59		62,202
Federal National Mortgage Association
Series 2005
6.00%, 6/01/19-6/01/20		1		722
Series 2006
6.00%, 5/01/21-11/01/21		40		42,663
Series 2007
6.00%, 2/01/22		12		12,965
				118,552
Agency Fixed Rate 30-Year - 1.1%
Federal Home Loan Mortgage Corp. Gold
Series 2007
5.50%, 7/01/35		43		47,826
Federal National Mortgage Association
Series 2003
5.50%, 4/01/33		35		39,502
Series 2004
5.50%, 4/01/34-5/01/34		34		38,029
Series 2005
5.50%, 2/01/35		26		28,774
Series 2010
5.00%, 2/01/40		489		546,958
4.00%, 6/01/47, TBA		1,665		1,759,047
Government National Mortgage Association
5.00%, 10/15/39		212		237,420
				2,697,556
Other Agency Fixed Rate Programs - 0.1%
Canadian Mortgage Pools
6.125%, 12/01/24		CAD          329		298,290
Total Mortgage Pass-Throughs (cost $3,244,381)				3,269,871
COVERED BONDS - 1.2%
AIB Mortgage Bank
Series E
4.875%, 6/29/17		EUR            55		62,025
Banco de Sabadell SA
0.875%, 11/12/21 (a)		100		115,936
Bank of Scotland PLC
Series E
4.75%, 6/08/22 (a)		264		363,863
Credit Suisse AG/Guernsey
Series E
1.75%, 1/15/21 (a)		166		198,418
Danske Bank A/S
Series E
1.25%, 6/11/21 (a)		100		118,248
DNB Boligkreditt AS
1.45%, 3/21/18 (a)		313		312,919
Series E
3.875%, 6/16/21		EUR          147		191,319

Company	Principal Amount (000)		U.S. $ Value
Nationwide Building Society
Series E
4.375%, 2/28/22		EUR           150		202,306
Nordea Hypotek AB
Series 5531
1.00%, 4/08/22		SEK        2,000		236,013
Santander UK PLC
Series E
1.625%, 11/26/20 (a)		EUR           156		185,461
Skandinaviska Enskilda Banken AB
Series 574
1.50%, 12/15/21 (a)		SEK        2,000		241,588
Stadshypotek AB
Series 1584
1.50%, 3/17/21 (a)		2,000		241,478
Swedbank Hypotek AB
Series 190
1.00%, 9/15/21 (a)		2,000		236,894
UBS AG/London
Series E
1.375%, 4/16/21 (a)		EUR           169		199,912
Total Covered Bonds (cost $2,786,017)				2,906,380
GOVERNMENTS - SOVEREIGN AGENCIES - 0.8%
Canada - 0.8%
Canada Housing Trust No. 1
3.80%, 6/15/21 (a)		CAD        1,775		1,446,306
1.90%, 9/15/26 (a)		765		569,674
Total Governments - Sovereign Agencies (cost $2,017,926)				2,015,980
AGENCIES - 0.8%
Agency Debentures - 0.7%
Residual Funding Corp. Principal Strip
Zero Coupon, 7/15/20		1,826		1,731,413
Agency Subordinated - 0.1%
Federal National Mortgage Association
Zero Coupon, 10/09/19		180		172,590
Total Agencies (cost $1,890,255)				1,904,003
QUASI-SOVEREIGNS - 0.2%
Quasi-Sovereign Bonds - 0.2%
Chile - 0.1%
Empresa de Transporte de Pasajeros
Metro SA
4.75%, 2/04/24 (a)		215		233,275
China - 0.1%
State Grid Overseas Investment 2016 Ltd.
2.25%, 5/04/20 (a)		200		199,412

Company	Principal Amount (000)		U.S. $ Value
Mexico - 0.0%
Petroleos Mexicanos 4.50%, 1/23/26	$	122		119,743
Total Quasi-Sovereigns (cost $548,654)				552,430
LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.1%
United States - 0.1%
State of California Series 2010 7.625%, 3/01/40 (cost $240,659)		165		248,487
	Shares
WARRANTS - 0.1%
Information Technology - 0.1%
Semiconductors & Semiconductor Equipment - 0.0%
Realtek Semiconductor Corp., Citigroup Global
Markets LLC, expiring 2/08/18 (a)(b)		19,980		66,642
Technology Hardware, Storage & Peripherals - 0.0%
Pegatron Corp., Macquarie Bank Ltd., expiring 2/07/19 (b)		24,930		76,782
Electronic Equipment, Instruments & Components - 0.1%
Largan Precision Co., Ltd., UBS AG, expiring 1/22/18 (b)		650		102,469
Total Warrants (cost $241,683)				245,893
	Principal Amount (000)
SUPRANATIONALS - 0.1%
International Bank for Reconstruction & Development 9.25%, 7/15/17 (cost $195,777)	$	194		195,699
CORPORATES - NON-INVESTMENT GRADE - 0.0%
Industrial - 0.0%
Basic - 0.0%
CF Industries, Inc. 4.95%, 6/01/43 (cost $45,787)		54		47,395
	Shares
RIGHTS - 0.0%
Financials - 0.0%
Capital Markets - 0.0%
Credit Suisse Group AG, expiring 6/07/17 (b) (cost $0)		9,762		4,535

Company	Shares		U.S. $ Value
SHORT-TERM INVESTMENTS - 2.8%
Investment Companies - 1.9%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.64% (c)(j) (cost $4,644,425)		4,644,425		4,644,425
	Principal Amount (000)
Governments - Treasuries - 0.9%
Japan - 0.9%
Japan Treasury Discount Bill Series 669 Zero Coupon, 6/12/17		JPY   250,000		2,257,568
Total Short-Term Investments (cost $6,894,375)				6,901,993
Total Investments - 99.6% (cost $245,685,631) (k)				247,956,596
Other assets less liabilities - 0.4% (l)				955,729
Net Assets - 100.0%			$	248,912,325

FUTURES

Type	Number of Contracts		Expiration Month		Original Value		Value at May 31, 2017		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Mini Japan Government Bond Futures		7		June 2017	$	951,052	$	952,063	$	1,011
U.S. T-Note 2 Yr (CBT) Futures		92		September 2017		19,913,785		19,916,563		2,778
U.S. T-Note 10 Yr (CBT) Futures		7		September 2017		880,316		884,078		3,762
U.S. Ultra Bond (CBT) Futures		5		September 2017		812,391		825,625		13,234
Sold Contracts
Euro-BOBL Futures		9		June 2017		1,328,823		1,336,460		(7,637	)
U.S. T-Note 5 Yr (CBT) Futures		24		September 2017		2,833,487		2,839,500		(6,013	)
U.S. T-Note 10 Yr (CBT) Futures		15		September 2017		2,022,632		2,036,016		(13,384	)
U.S. Long Bond (CBT) Futures		1		September 2017		152,014		153,812		(1,798	)
									$	(8,047	)

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Australia and New Zealand Banking Group Ltd.		AUD	2,561		USD	1,934		7/10/17	$	32,035

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA	BRL	237	USD	73		6/02/17	$	(175	)
Bank of America, NA	USD	26	BRL	87		6/02/17		417
Bank of America, NA	USD	47	BRL	150		6/02/17		(932	)
Bank of America, NA	RUB	10,958	USD	193		6/22/17		946
Bank of America, NA	USD	86	TWD	2,579		9/20/17		76
Barclays Banks PLC	CHF	67	USD	68		6/15/17		(1,710	)
Barclays Banks PLC	USD	533	AUD	708		6/15/17		(6,966	)
Barclays Banks PLC	USD	272	INR	17,550		6/15/17		(406	)
Barclays Banks PLC	USD	99	CNY	694		8/16/17		1,946
BNP Paribas SA	GBP	724	USD	883		6/15/17		(50,311	)
BNP Paribas SA	KRW	290,395	USD	255		6/15/17		(4,430	)
BNP Paribas SA	USD	112	KRW	124,459		8/16/17		(243	)
Citibank, NA	BRL	182	USD	57		6/02/17		481
Citibank, NA	BRL	635	USD	193		6/02/17		(3,186	)
Citibank, NA	USD	212	BRL	688		6/02/17		507
Citibank, NA	USD	40	BRL	129		6/02/17		(404	)
Citibank, NA	TWD	2,572	USD	84		6/13/17		(1,209	)
Citibank, NA	INR	86,851	USD	1,352		6/15/17		6,205
Citibank, NA	USD	1,057	INR	69,301		6/15/17		16,172
Citibank, NA	NZD	1,571	USD	1,093		7/10/17		(19,082	)
Citibank, NA	ZAR	8,144	USD	612		7/11/17		(4,192	)
Citibank, NA	KRW	773,501	USD	686		7/27/17		(5,141	)
Citibank, NA	KRW	401,048	USD	353		8/16/17		(5,432	)
Citibank, NA	USD	33	TWD	988		8/16/17		125
Citibank, NA	USD	1,342	INR	86,851		8/21/17		(5,876	)
Credit Suisse International	BRL	398	USD	123		6/02/17		(294	)
Credit Suisse International	USD	124	BRL	398		6/02/17		(1,248	)
Credit Suisse International	MXN	11,337	USD	612		6/16/17		5,655
Credit Suisse International	CAD	861	USD	628		6/22/17		(9,522	)
Credit Suisse International	USD	271	INR	17,712		8/16/17		1,563
Goldman Sachs Bank USA	CAD	3,561	USD	2,662		6/22/17		25,446
Goldman Sachs Bank USA	JPY	572,485	USD	5,034		7/14/17		(145,387	)
Goldman Sachs Bank USA	PLN	3,860	USD	993		7/20/17		(44,204	)
Goldman Sachs Bank USA	GBP	2,709	USD	3,502		7/21/17		6,041
HSBC Bank USA	SEK	13,500	USD	1,525		7/14/17		(31,835	)
JPMorgan Chase Bank, NA	JPY	600,000	USD	5,261		6/08/17		(158,171	)
JPMorgan Chase Bank, NA	MXN	15,003	USD	799		6/16/17		(3,658	)
Morgan Stanley Capital Services, Inc.	SEK	11,377	USD	1,285		7/14/17		(26,832	)
Royal Bank of Scotland PLC	EUR	10,215	USD	10,872		7/13/17		(628,077	)
Royal Bank of Scotland PLC	USD	605	EUR	552		7/13/17		15,444
Standard Chartered Bank	BRL	830	USD	254		6/02/17		(2,956	)
Standard Chartered Bank	USD	254	BRL	830		6/02/17		2,561
Standard Chartered Bank	BRL	377	USD	113		7/05/17		(2,189	)
Standard Chartered Bank	USD	136	BRL	453		7/05/17		2,632
Standard Chartered Bank	INR	5,953	USD	91		8/16/17		(196	)
State Street Bank & Trust Co.	USD	58	TRY	221		6/08/17		4,306
State Street Bank & Trust Co.	CHF	316	USD	314		6/15/17		(12,033	)
State Street Bank & Trust Co.	EUR	424	USD	454		6/15/17		(22,428	)
State Street Bank & Trust Co.	GBP	162	USD	204		6/15/17		(4,322	)
State Street Bank & Trust Co.	HKD	1,920	USD	248		6/15/17		1,106
State Street Bank & Trust Co.	JPY	6,521	USD	59		6/15/17		120
State Street Bank & Trust Co.	JPY	10,500	USD	95		6/15/17		(166	)
State Street Bank & Trust Co.	USD	336	CAD	452		6/15/17		(1,385	)
State Street Bank & Trust Co.	USD	157	EUR	145		6/15/17		5,621
State Street Bank & Trust Co.	USD	366	GBP	290		6/15/17		8,015

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.		USD	470		JPY	53,852		6/15/17	$	16,129
State Street Bank & Trust Co.		USD	206		SEK	1,848		6/15/17		6,316
State Street Bank & Trust Co.		USD	321		MXN	6,088		6/16/17		4,670
State Street Bank & Trust Co.		CAD	170		USD	127		6/22/17		1,001
State Street Bank & Trust Co.		CAD	82		USD	60		6/22/17		(911	)
State Street Bank & Trust Co.		USD	5		CAD	7		6/22/17		38
State Street Bank & Trust Co.		AUD	319		USD	241		7/10/17		3,938
State Street Bank & Trust Co.		CAD	397		NZD	421		7/10/17		4,481
State Street Bank & Trust Co.		NZD	121		USD	84		7/10/17		(1,478	)
State Street Bank & Trust Co.		USD	28		NZD	41		7/10/17		984
State Street Bank & Trust Co.		EUR	322		SEK	3,127		7/13/17		(1,376	)
State Street Bank & Trust Co.		EUR	98		USD	108		7/13/17		(2,381	)
State Street Bank & Trust Co.		USD	207		EUR	192		7/13/17		8,469
State Street Bank & Trust Co.		SEK	1,069		USD	121		7/14/17		(2,525	)
State Street Bank & Trust Co.		USD	65		SEK	559		7/14/17		(40	)
State Street Bank & Trust Co.		GBP	49		USD	63		7/21/17		140
State Street Bank & Trust Co.		AUD	408		USD	299		8/16/17		(3,856	)
State Street Bank & Trust Co.		EUR	185		USD	198		8/16/17		(10,846	)
State Street Bank & Trust Co.		GBP	54		USD	70		8/16/17		164
State Street Bank & Trust Co.		GBP	40		USD	50		8/16/17		(1,388	)
State Street Bank & Trust Co.		HKD	1,721		USD	222		8/16/17		282
State Street Bank & Trust Co.		ILS	261		USD	73		8/16/17		(1,332	)
State Street Bank & Trust Co.		JPY	40,962		USD	366		8/16/17		(5,042	)
State Street Bank & Trust Co.		NOK	1,214		USD	140		8/16/17		(3,679	)
State Street Bank & Trust Co.		USD	152		CAD	209		8/16/17		2,435
State Street Bank & Trust Co.		USD	295		CHF	294		8/16/17		9,515
State Street Bank & Trust Co.		USD	170		EUR	154		8/16/17		3,433
State Street Bank & Trust Co.		USD	50		GBP	39		8/16/17		49
State Street Bank & Trust Co.		USD	131		JPY	14,452		8/16/17		243
State Street Bank & Trust Co.		USD	73		NOK	618		8/16/17		(61	)
State Street Bank & Trust Co.		USD	224		SEK	1,962		8/16/17		2,739
State Street Bank & Trust Co.		USD	101		TRY	370		8/16/17		1,741
State Street Bank & Trust Co.		USD	222		ZAR	3,042		8/16/17		6,678
									$	(1,028,648	)

CENTRALLY CLEARED INTEREST RATE SWAPS

				Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date	Payments made by the Fund	Payments received by  the Fund	Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co. LLC/(CME Group)		NOK11,767	5/12/18	6 Month NIBOR	0.954%	$	(44	)
Morgan Stanley & Co. LLC/(CME Group)		11,767	5/12/18	0.954%	6 Month NIBOR		(745	)
Morgan Stanley & Co. LLC/(CME Group)		GBP  1,510	2/23/19	0.606%	6 Month LIBOR		(4,386	)
Morgan Stanley & Co. LLC/(CME Group)		$     588	2/27/19	3 Month LIBOR	1.544%		1,465
Morgan Stanley & Co. LLC/(CME Group)		594	5/18/20	3 Month LIBOR	1.663%		3,217
Morgan Stanley & Co. LLC/(CME Group)		492	8/11/20	3 Month LIBOR	1.712%		4,016
Morgan Stanley & Co. LLC/(CME Group)		297	4/27/21	3 Month LIBOR	1.341%		2,370
Morgan Stanley & Co. LLC/(CME Group)		537	8/31/21	1.256%	3 Month LIBOR		(4,938	)
Morgan Stanley & Co. LLC/(CME Group)		200	1/14/24	2.980%	3 Month LIBOR		(3,920	)
Morgan Stanley & Co. LLC/(CME Group)		176	2/14/24	2.889%	3 Month LIBOR		(3,610	)
Morgan Stanley & Co. LLC/(CME Group)		250	4/28/24	2.817%	3 Month LIBOR		(4,501	)
Morgan Stanley & Co. LLC/(CME Group)		361	7/02/24	2.632%	3 Month LIBOR		(7,080	)
Morgan Stanley & Co. LLC/(CME Group)		181	7/10/24	2.674%	3 Month LIBOR		(3,592	)
Morgan Stanley & Co. LLC/(CME Group)		173	4/21/25	1.991%	3 Month LIBOR		(3,288	)
Morgan Stanley & Co. LLC/(CME Group)		102	6/09/25	2.488%	3 Month LIBOR		(2,143	)
Morgan Stanley & Co. LLC/(CME Group)		185	8/04/25	2.293%	3 Month LIBOR		(4,023	)
Morgan Stanley & Co. LLC/(CME Group)		NZD     363	7/28/26	3 Month BKBM	2.473%		5,598
Morgan Stanley & Co. LLC/(CME Group)		$     229	10/04/26	1.487%	3 Month LIBOR		(4,767	)
Morgan Stanley & Co. LLC/(CME Group)		85	12/21/26	3 Month LIBOR	2.497%		1,947
Morgan Stanley & Co. LLC/(CME Group)		270	4/26/27	2.287%	3 Month LIBOR		(3,373	)

					Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date		Payments made  by the Fund		Payments received by  the Fund		Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co. LLC/(CME Group)		$     141		11/10/35		2.631%		3 Month LIBOR	$	(5,057	)
Morgan Stanley & Co. LLC/(CME Group)		223		2/21/42		2.813%		3 Month LIBOR		(10,635	)
Morgan Stanley & Co. LLC/(CME Group)		163		3/06/42		2.804%		3 Month LIBOR		(7,505	)
Morgan Stanley & Co. LLC/(CME Group)		43		8/06/45		2.692%		3 Month LIBOR		(2,199	)
Morgan Stanley & Co. LLC/(LCH Group)		NOK  5,544		9/06/18		6 Month NIBOR		1.143%		(129	)
Morgan Stanley & Co. LLC/(LCH Group)		5,544		9/06/18		1.143		6 Month NIBOR		(436	)
Morgan Stanley & Co. LLC/(LCH Group)		NZD     689		12/21/21		3 Month BKBM		3.059%		5,795
Morgan Stanley & Co. LLC/(LCH Group)		$     112		11/07/26		1.675%		3 Month LIBOR		(2,280	)
Morgan Stanley & Co. LLC/(LCH Group)		82		11/08/26		1.657%		3 Month LIBOR		(1,684	)
Morgan Stanley & Co. LLC/(LCH Group)		82		11/09/26		1.672%		3 Month LIBOR		(1,683	)
									$	(57,610	)

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at May 31, 2017			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Credit Suisse International
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00	%		5.54	%	$	390	$	(33,854	)	$	(43,261	)	$	9,407
Deutsche Bank AG
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.54			390		(42,868	)		(54,060	)		11,192
CDX-CMBX.NA.A, Series 6, 5/11/63*		2.00			2.66			170		(5,510	)		(10,576	)		5,066
									$	(82,232	)	$	(107,897	)	$	25,665

* Termination date

INFLATION (CPI) SWAPS

					Rate Type
Swap Counterparty	Notional Amount (000)		Termination Date		Payments made by the Fund			Payments received by the Fund			Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	$	1,717		7/15/20		1.527	%		CPI	#	$	(16,790	)
Barclays Bank PLC		575		1/15/21		1.490	%		CPI	#		(5,714	)
											$	(22,504	)

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

** Principal amount less than 500.

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2017, the aggregate market value of these securities amounted to $26,576,286 or 10.7% of net assets.

(b) Non-income producing security.

(c) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(d) Floating Rate Security. Stated interest/floor rate was in effect at May 31, 2017.

(e) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

(f) Variable rate coupon, rate shown as of May 31, 2017.

(g) Fair valued by the Adviser.

(h) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.01% of net assets as of May 31, 2017, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date		Cost			Market Value			Percentage of Net Assets
H/2 Asset Funding NRE Series
2015-1A
2.679%, 6/24/49		3/29/17	$	35,591		$	35,841			0.01	%
Nationstar NIM Ltd. Series
2007-A, Class A
9.79%, 3/25/37		4/04/07		– 0	–		– 0	–		0.00	%

(i) IO - Interest Only.

(j) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

(k) As of May 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $4,873,137 and gross unrealized depreciation of investments was $(2,602,172), resulting in net unrealized appreciation of $2,270,965.

(l) An amount of U.S. $75,040 has been segregated to collateralize margin requirements for the open futures contracts at May 31, 2017.

Currency Abbreviations:

AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CNY	-	Chinese Yuan Renminbi
EUR	-	Euro
GBP	-	Great British Pound
HKD	-	Hong Kong Dollar

ILS	-	Israeli Shekel
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PLN	-	Polish Zloty
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
ZAR	-	South African Rand

Glossary:

ABS	-	Asset-Backed Securities
ADR	-	American Depositary Receipt
ARMs	-	Adjustable Rate Mortgages
BKBM	-	Bank Bill Benchmark (New Zealand)
BOBL	-	Bundesobligationen
CBT	-	Chicago Board of Trade
CDX-CMBX.NA	-	North American Commercial Mortgage-Backed Index
CMBS	-	Commercial Mortgage-Backed Securities
CME	-	Chicago Mercantile Exchange
ETF	-	Exchange Traded Fund
GDR	-	Global Depositary Receipt
H15T	-	U.S. Treasury Yield Curve Rate T Note Constant Maturity
LCH	-	London Clearing House
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
NCUA	-	National Credit Union Administration
NIBOR	-	Norwegian Interbank Offered Rate
OAT	-	Obligations Assimilables du Trésor
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares
REIT	-	Real Estate Investment Trust
REMICs	-	Real Estate Mortgage Investment Conduits
TBA	-	To Be Announced
TIPS	-	Treasury Inflation Protected Security

AB Conservative Wealth Strategy

May 31, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Strategy. Unobservable inputs reflect the Strategy’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3—significant unobservable inputs (including the Strategy’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2017:

Investments in Securities:	Level 1			Level 2		Level 3			Total
Assets:
Governments - Treasuries	$	– 0	–		$    54,933,868		$            – 0	–		$    54,933,868
Common Stocks:
Information Technology		9,146,966			2,093,042		– 0	–		11,240,008
Financials		4,864,659			3,208,044		– 0	–		8,072,703
Health Care		4,691,060			1,400,360		– 0	–		6,091,420
Consumer Discretionary		4,472,980			1,467,419		– 0	–		5,940,399
Consumer Staples		2,323,929			2,103,747		– 0	–		4,427,676
Industrials		2,936,850			1,216,428		– 0	–		4,153,278

Investments in Securities:

Level 1

Level 2

Level 3

Total

Energy

1,953,604

1,227,272

– 0

–

3,180,876

Materials

733,250

1,212,145

– 0

–

1,945,395

Telecommunication Services

348,034

1,127,944

– 0

–

1,475,978

Utilities

764,758

185,112

– 0

–

949,870

Real Estate

186,115

451,801

– 0

–

637,916

Investment Companies

47,888,997

– 0

–

– 0

–

47,888,997

Inflation-Linked Securities

– 0

–

30,400,711

– 0

–

30,400,711

Corporates - Investment Grade

– 0

–

25,814,794

– 0

–

25,814,794

Asset-Backed Securities

– 0

–

9,906,137

411,829

(a)

10,317,966

Commercial Mortgage-Backed Securities

– 0

–

5,964,036

443,661

6,407,697

Collateralized Mortgage Obligations

– 0

–

5,784,378

– 0

–

5,784,378

Mortgage Pass-Throughs

– 0

–

3,269,871

– 0

–

3,269,871

Covered Bonds

– 0

–

2,906,380

– 0

–

2,906,380

Governments - Sovereign Agencies

– 0

–

2,015,980

– 0

–

2,015,980

Agencies

– 0

–

1,904,003

– 0

–

1,904,003

Quasi-Sovereigns

– 0

–

552,430

– 0

–

552,430

Local Governments - US Municipal Bonds

– 0

–

248,487

– 0

–

248,487

Warrants

– 0

–

245,893

– 0

–

245,893

Supranationals

– 0

–

195,699

– 0

–

195,699

Corporates - Non-Investment Grade

– 0

–

47,395

– 0

–

47,395

Rights

4,535

– 0

–

– 0

–

4,535

Short-Term Investments:

Investment Companies

4,644,425

– 0

–

– 0

–

4,644,425

Governments - Treasuries

– 0

–

2,257,568

– 0

–

2,257,568

Total Investments in Securities

84,960,162

162,140,944

855,490

247,956,596

Other Financial Instruments (b):

Assets:

Futures

20,785

– 0

–

– 0

–

20,785

Forward Currency Exchange Contracts

– 0

–

210,865

– 0

–

210,865

Centrally Cleared Interest Rate Swaps

– 0

–

24,408

– 0

–

24,408

Credit Default Swaps

– 0

–

25,665

– 0

–

25,665

Liabilities:

Futures

(28,832

)

– 0

–

– 0

–

(28,832

)

Forward Currency Exchange Contracts

– 0

–

(1,239,513

)

– 0

–

(1,239,513

)

Centrally Cleared Interest Rate Swaps

– 0

–

(82,018

)

– 0

–

(82,018

)

Inflation (CPI) Swaps

– 0

–

(22,504

)

– 0

–

(22,504

)

Total (c)

$

84,952,115

$

161,057,847

$

855,490

$

246,865,452

^(a)  The Strategy held a security with zero market value at period end.

^(b)  Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument.

^(c)  There were no transfers between any levels during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Asset-Backed Securities (a)			Commercial Mortgage-Backed Securities			Total
Balance as of 8/31/16	$	– 0	–	$	– 0	–	$	– 0	–
Accrued discounts/(premiums)		(58	)		(78	)		(136	)
Realized gain (loss)		(14	)		(106	)		(120	)
Change in unrealized appreciation/depreciation		4,855			(180	)		4,675
Purchases/Payups		427,457			481,214			908,671

	Asset-Backed Securities (a)			Commercial Mortgage-Backed Securities			Total
Sales/Paydowns		(20,411	)		(37,189	)		(57,600	)
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–
Balance as of 5/31/17	$	411,829		$	443,661		$	855,490
Net change in unrealized appreciation/depreciation from investments held as of 5/31/17	$	4,855		$	(180	)	$	4,675

^(a)  The Strategy held a security with zero market value at period end.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Strategy’s transactions in shares of the AB Fixed Income Shares, Inc.—Government Money Market Portfolio for the nine months ended May 31, 2017 is as follows:

Market Value 8/31/16 (000)	Purchases at Cost (000)		Sales Proceeds (000)		Market Value 5/31/17 (000)		Dividend Income (000)
$0	$	30,145	$	25,501	$	4,644	$	6

A summary of the Strategy’s transactions of investments in affiliated issuers for the quarter ended May 31, 2017 is as follows:

																	Distributions
Affiliated Issuer	Market Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./ (Depr.) (000)			Market Value 5/31/17 (000)			Income (000)			Realized Gains (000)
AB All Market Real Return Portfolio - Class Z	$	– 0	–	$	3,900	$	121	$	(1	)	$	(45	)	$	3,733		$	– 0	–	$	– 0	–
AB Multi-Manager Alternative Strategies Fund - Class Z		17,079			1,029		2,999		23			(176	)		14,956			154			873
AB Pooling Portfolio - AB Bond Inflation Protection Portfolio		27,096			1,463		27,432		34			(1,161	)		– 0	–		1,463			– 0	–
AB Pooling Portfolio - AB Global Core Bond Portfolio		68,256			2,203		67,352		1,188			(4,295	)		– 0	–		1,253			833
AB Pooling Portfolio - AB International Growth Portfolio		11,352			804		11,758		1,542			(1,940	)		– 0	–		442			– 0	–
AB Pooling Portfolio - AB International Value Portfolio		11,392			188		12,257		2,660			(1,983	)		– 0	–		188			– 0	–

																Distributions
Affiliated Issuer	Market Value 8/31/16 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./ (Depr.) (000)			Market Value 5/31/17 (000)			Income (000)		Realized Gains (000)
AB Pooling Portfolio - AB Multi-Asset Real Return Portfolio		4,170		103		4,422		263			(114	)		– 0	–		103		– 0	–
AB Pooling Portfolio - AB Short Duration Bond Portfolio		78,279		993		78,814		(828	)		370			– 0	–		973		– 0	–
AB Pooling Portfolio - AB Small-Mid Cap Growth Portfolio		2,137		227		2,355		(52	)		43			– 0	–		20		208
AB Pooling Portfolio - AB Small-Mid Cap Value Portfolio		2,157		269		2,456		844			(814	)		– 0	–		22		248
AB Pooling Portfolio - AB U.S. Large Cap Growth Portfolio		14,818		2,527		16,056		68			(1,357	)		– 0	–		55		2,444
AB Pooling Portfolio - AB U.S. Value Portfolio		14,963		198		16,647		9,501			(8,015	)		– 0	–		168		– 0	–
AB Pooling Portfolio - AB Volatility Management Portfolio		32,499		6,824		7,293		(680	)		(2,622	)		28,728			2,407		3,921

AB Tax-Managed All Market Income Portfolio

Portfolio of Investments

May 31, 2017 (unaudited)

Company	Principal Amount (000)		U.S. $ Value
MUNICIPAL OBLIGATIONS - 55.0%
Long-Term Municipal Bonds - 55.0%
Alabama - 3.4%
Water Works Board of the City of Birmingham (The)
Series 2010A
5.00%, 1/01/25	$	3,980		$    4,464,167
Arizona - 2.2%
Arizona Department of Transportation State Highway Fund Revenue
Series 2011A
5.00%, 7/01/25		2,100		2,410,800
City of Glendale AZ (City of Glendale AZ Excise Tax)
Series 2015A
5.00%, 7/01/26		410		497,178
				2,907,978
California - 3.9%
Alameda Corridor Transportation Authority
Series 2016B
5.00%, 10/01/37		400		449,388
California Health Facilities Financing Authority (Children’s Hospital Los Angeles)
Series 2017A
5.00%, 8/15/37 (a)		510		579,763
City of Los Angeles Department of Airports (Los Angeles Intl Airport)
Series 2010D
5.00%, 5/15/23		365		407,030
State of California
Series 2016
5.00%, 8/01/25		730		908,945
Series 2017
5.00%, 8/01/26		440		551,175
State of California Department of Water Resources Power Supply Revenue
Series 2010L
5.00%, 5/01/20		1,905		2,126,151
				5,022,452
Colorado - 2.5%
City & County of Denver CO Airport System Revenue (Denver Intl Airport)
Series 2012A
5.00%, 11/15/27		1,220		1,403,817
PV Water & Sanitation Metropolitan District
Series 2006
Zero Coupon, 12/15/17 (b)(c)(d)		710		149,100
Regional Transportation District COP
Series 2014A
5.00%, 6/01/29		1,475		1,724,482
				3,277,399

Company	Principal Amount (000)		U.S. $ Value
Connecticut - 2.6%
State of Connecticut
Series 2016G
5.00%, 11/01/20		510		568,502
State of Connecticut Special Tax Revenue
Series 2012
5.00%, 1/01/27		2,390		2,782,701
				3,351,203
District of Columbia - 0.2%
District of Columbia
Series 2016E
5.00%, 6/01/20		275		307,139
Florida - 4.5%
County of Miami-Dade FL (County of Miami-Dade FL Non-Ad Valorem)
Series 2015A
5.00%, 6/01/22		1,000		1,162,930
County of Miami-Dade FL Aviation Revenue
Series 2014B
5.00%, 10/01/25		665		797,235
Series 2015A
5.00%, 10/01/27		200		238,510
County of Miami-Dade FL Spl Tax
Series 2012A
5.00%, 10/01/25		560		646,240
Overoaks Community Development District
Series 2004B
5.125%, 5/01/09 (b)(d)(e)		25		7,750
Series 2010A-1
6.125%, 5/01/35		15		15,018
Series 2010A-2
6.125%, 5/01/35		35		35,043
Parkway Center Community Development District
Series 2004B
7.00%, 5/01/23		35		35,739
Sarasota County School Board COP
Series 2010B
5.00%, 7/01/22 (Pre-refunded/ETM)		1,165		1,303,378
Tampa Bay Water
Series 2011A
5.00%, 10/01/23		1,380		1,592,645
				5,834,488
Georgia - 2.0%
City of Atlanta Department of Aviation (Hartsfield Jackson Atlanta Intl Airport)
Series 2014A
5.00%, 1/01/28		1,980		2,338,736
Private Colleges & Universities Authority (Savannah College of Art & Design, Inc.)
Series 2014
5.00%, 4/01/44		210		227,107
				2,565,843

Company	Principal Amount (000)		U.S. $ Value
Illinois - 2.8%
Chicago Board of Education
Series 2012A
5.00%, 12/01/42		550		447,931
Illinois Finance Authority (OSF Healthcare System Obligated Group)
Series 2015A
5.00%, 11/15/26		150		177,010
Illinois Finance Authority (Mercy Health System Obligated Group)
Series 2016
5.00%, 12/01/46		430		465,234
Illinois State Toll Highway Authority
Series 2015B
5.00%, 1/01/36		555		634,282
State of Illinois
Series 2013
5.00%, 7/01/22		315		334,521
Series 2014
5.00%, 4/01/20		75		78,923
Series 2016
5.00%, 2/01/23-2/01/28		1,305		1,379,617
State of Illinois (State of Illinois Sales Tax)
Series 2016D
5.00%, 6/15/23		130		152,607
				3,670,125
Indiana - 1.7%
Indiana Bond Bank (JPMorgan Chase & Co.)
Series 2007A
5.25%, 10/15/19		1,945		2,108,808
Indiana Finance Authority (I-69 Development Partners LLC)
Series 2014
5.25%, 9/01/29		145		157,996
				2,266,804
Kentucky - 0.5%
Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group)
Series 2017A
5.00%, 6/01/37		215		237,407
Kentucky Economic Development Finance Authority (Baptist Healthcare System Obligated Group)
Series 2017B
5.00%, 8/15/37		410		451,972
				689,379
Louisiana - 0.3%
New Orleans Aviation Board
Series 2017B
5.00%, 1/01/48		400		449,820

Company	Principal Amount (000)		U.S. $ Value
Maryland - 0.5%
City of Baltimore MD (Baltimore Hotel Corp.)
5.00%, 9/01/34 (a)		400		449,216
City of Baltimore MD (East Baltimore Research Park Project)
5.00%, 9/01/38 (a)		215		227,885
				677,101
Massachusetts - 0.1%
Commonwealth of Massachusetts
NATL Series 2000E
1.23%, 12/01/30 (f)		100		91,340
Michigan - 1.4%
Michigan Finance Authority (Great Lakes Water Authority Sewage Disposal System)
AGM Series 2014C
5.00%, 7/01/28		325		379,658
Michigan Finance Authority (Great Lakes Water Authority Water Supply System)
AGM Series 2014D2
5.00%, 7/01/28		1,000		1,168,180
Michigan Tobacco Settlement Finance Authority
Series 2007A
6.00%, 6/01/48		250		247,223
				1,795,061
Minnesota - 1.5%
Elk River Independent School District No 728
Series 2016A
5.00%, 2/01/23		1,600		1,911,152
Mississippi - 0.3%
State of Mississippi Gaming
Series 2015E
5.00%, 10/15/28		370		430,891
Nebraska - 0.6%
Douglas County Hospital Authority No 2 (Madonna Rehabilitation Hospital)
Series 2014
5.00%, 5/15/21		155		172,489
Lancaster County School District 001
Series 2016
5.00%, 1/15/20		535		590,014
				762,503
New Jersey - 5.6%
New Jersey Economic Development Authority (New Jersey Economic Development Authority State Lease)
Series 2013
5.00%, 3/01/30		685		705,598

Company	Principal Amount (000)		U.S. $ Value
New Jersey Economic Development Authority (NYNJ Link Borrower LLC)
Series 2013
5.25%, 1/01/25		1,195		1,393,800
New Jersey Transit Corp.
Series 2014A
5.00%, 9/15/20		300		324,141
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease)
Series 2013A
5.00%, 6/15/18-6/15/20		1,840		1,940,266
New Jersey Turnpike Authority
NATL Series 2000B
1.365%, 1/01/30 (f)		100		91,838
Series 2014A
5.00%, 1/01/29		1,870		2,208,489
Tobacco Settlement Financing Corp./NJ
Series 2007-1A
5.00%, 6/01/41		660		656,344
				7,320,476
New York - 6.3%
Dutchess County Local Development Corp. (Health QuestSystems Obligated Group)
Series 2016B
5.00%, 7/01/46		800		897,192
Metropolitan Transportation Authority
Series 2012C
5.00%, 11/15/23		460		542,547
New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2012B
5.00%, 11/01/26		2,275		2,686,911
New York State Dormitory Authority (State University of New York Dormitory Fees)
Series 2013A
5.00%, 7/01/26		205		240,639
New York State Energy Research & Development Authority (Consolidated Edison Co. of New York, Inc.)
AMBAC Series 2001B
1.383%, 10/01/36 (f)		375		339,289
XLCA Series 2004A
1.365%, 1/01/39 (f)		400		361,684
New York Transportation Development Corp. (Laguardia Gateway Partners LLC)
Series 2016A
5.00%, 7/01/41		460		501,984
Triborough Bridge & Tunnel Authority
Series 2012B
5.00%, 11/15/26		1,000		1,181,170
Series 2013B
5.00%, 11/15/20		1,215		1,376,486
Westchester County Local Development Corp. (Westchester County Healthcare Corp./NY)
Series 2016
5.00%, 11/01/46		105		113,597
				8,241,499

Company	Principal Amount (000)		U.S. $ Value
Ohio - 1.3%
Buckeye Tobacco Settlement Financing Authority
Series 2007A-2
5.875%, 6/01/47		780		766,506
County of Cuyahoga OH (MetroHealth System (The))
5.00%, 2/15/42		550		587,422
Ohio Air Quality Development Authority (FirstEnergy Generation LLC)
Series 2009D
4.25%, 8/01/29		250		234,040
Ohio Water Development Authority Water Pollution Control Loan Fund (FirstEnergy Nuclear Generation LLC)
Series 2016A
4.375%, 6/01/33		45		42,129
				1,630,097
Pennsylvania - 1.7%
Commonwealth of Pennsylvania
Series 2016
5.00%, 9/15/23		600		713,472
Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP)
Series 2015
5.00%, 12/31/34		220		246,539
Pennsylvania Turnpike Commission
Series 2014C
5.00%, 12/01/26		1,000		1,184,770
Philadelphia Authority for Industrial Development
(LLPCS Foundation)
Series 2005A
4.60%, 7/01/15 (b)(d)(e)		55		550
				2,145,331
Tennessee - 0.2%
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax)
Series 2016A
5.125%, 12/01/42 (g)		280		272,045
Texas - 4.4%
City of Houston TX Airport System Revenue
Series 2009A
5.00%, 7/01/21-7/01/22		2,540		2,644,567
City of San Antonio TX Electric & Gas Systems Revenue
Series 2012
5.25%, 2/01/24		855		1,052,479
Harris County-Houston Sports Authority
AGM Series 2014A
5.00%, 11/15/25		615		734,507

Company	Principal Amount (000)		U.S. $ Value
Tarrant County Cultural Education Facilities Finance Corp. (Buckner Senior Living, Inc.)
6.75%, 11/15/47 (a)		225		230,380
Texas Transportation Commission State Highway Fund
Series 2016A
5.00%, 10/01/25		850		1,059,330
				5,721,263
Utah - 0.4%
Washington County School District Board of Education/St George
Series 2016B
5.00%, 3/01/21		405		462,056
Virginia - 1.5%
Tobacco Settlement Financing Corp./VA
Series 2007B-1
5.00%, 6/01/47		510		499,137
Virginia College Building Authority (Virginia College Building Authority State Lease)
Series 2015A
5.00%, 2/01/23		1,190		1,424,287
				1,923,424
Washington - 2.4%
Chelan County Public Utility District No 1
Series 2011B 5.50%, 7/01/24		1,815		2,088,321
State of Washington (State of Washington Fed Hwy Grant)
Series 2012F-1
5.00%, 9/01/22		535		629,289
Washington State Housing Finance Commission (Mirabella)
Series 2012A
6.75%, 10/01/47 (g)		340		372,286
				3,089,896
Wisconsin - 0.2%
Wisconsin Public Finance Authority (Celanese US Holdings LLC)
Series 2016A
5.00%, 1/01/24		265		293,395
Total Municipal Obligations (cost $68,459,880)				71,574,327
	Shares
COMMON STOCKS - 30.5%
Consumer Staples - 5.2%
Beverages - 0.9%
Anheuser-Busch InBev SA/NV		2,729		318,903
Coca-Cola Co. (The)		14,670		667,045

Company	Shares		U.S. $ Value
Constellation Brands, Inc. - Class A		550		100,512
Monster Beverage Corp. (b)		668		33,774
				1,120,234
Food & Staples Retailing - 0.4%
Costco Wholesale Corp.		460		82,998
Distribuidora Internacional de Alimentacion SA		1,990		12,258
ICA Gruppen AB		314		11,307
Koninklijke Ahold Delhaize NV		7,147		157,743
Lawson, Inc.		180		12,271
Lenta Ltd. (GDR) (b)(g)		1		6
Loblaw Cos., Ltd.		640		36,173
Tesco PLC (b)		19,250		45,634
Wesfarmers Ltd.		4,049		128,448
				486,838
Food Products - 0.9%
General Mills, Inc.		2,118		120,175
Nestle SA (REG)		11,143		951,407
Orkla ASA		3,042		30,437
Tate & Lyle PLC		1,546		14,695
WH Group Ltd. (g)		56,000		52,462
				1,169,176
Household Products - 0.9%
Henkel AG & Co. KGaA (Preference Shares)		590		82,865
Kimberly-Clark Corp.		1,283		166,444
Procter & Gamble Co. (The)		9,155		806,464
Reckitt Benckiser Group PLC		580		59,487
				1,115,260
Personal Products - 0.4%
Unilever NV		5,833		332,274
Unilever PLC		4,596		256,221
				588,495
Tobacco - 1.7%
Altria Group, Inc.		6,983		526,798
British American Tobacco PLC		6,676		477,618
Imperial Brands PLC		3,433		160,638
Japan Tobacco, Inc.		4,831		181,553
Philip Morris International, Inc.		5,555		665,489
Reynolds American, Inc.		3,063		205,987
Swedish Match AB		704		23,743
				2,241,826
				6,721,829
Health Care - 4.5%
Biotechnology - 0.4%
AbbVie, Inc.		5,819		384,170
Alexion Pharmaceuticals, Inc. (b)		1,272		124,694
Grifols SA (ADR)		2,940		63,093
				571,957

Company	Shares		U.S. $ Value
Health Care Equipment & Supplies - 0.6%
Danaher Corp.		1,500		127,410
Edwards Lifesciences Corp. (b)		3,170		364,772
Essilor International SA		1,865		247,931
				740,113
Health Care Providers & Services - 0.1%
Sonic Healthcare Ltd.		1,414		24,310
UnitedHealth Group, Inc.		10		1,752
VCA, Inc. (b)		610		56,199
				82,261
Health Care Technology - 0.1%
Cerner Corp. (b)		2,200		143,770
Pharmaceuticals - 3.3%
AstraZeneca PLC		4,530		306,081
GlaxoSmithKline PLC		17,459		382,163
Merck & Co., Inc.		9,872		642,766
Novartis AG (REG)		7,996		654,354
Orion Oyj - Class B		384		24,822
Pfizer, Inc.		21,728		709,419
Roche Holding AG		2,516		690,765
Sanofi		4,155		411,568
Shire PLC		3,180		183,144
STADA Arzneimittel AG		1,000		72,379
Takeda Pharmaceutical Co., Ltd.		2,547		131,272
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)		6,046		168,441
				4,377,174
				5,915,275
Information Technology - 4.0%
Communications Equipment - 0.6%
Arista Networks, Inc. (b)		150		22,107
Cisco Systems, Inc.		17,973		566,689
Nokia Oyj		19,460		123,202
Palo Alto Networks, Inc. (b)		597		70,798
				782,796
Electronic Equipment, Instruments & Components - 0.1%
Largan Precision Co., Ltd.		1,000		157,771
Internet Software & Services - 0.2%
Criteo SA (Sponsored ADR) (b)		2,171		113,826
Mixi, Inc.		161		10,096
Tencent Holdings Ltd.		4,000		137,469
				261,391
IT Services - 0.7%
Cognizant Technology Solutions Corp. - Class A		1,470		98,358
Fiserv, Inc. (b)		1,540		192,931
International Business Machines Corp.		3,235		493,758
Paychex, Inc.		1,166		69,062
Vantiv, Inc. - Class A (b)		170		10,662
Visa, Inc. - Class A		360		34,283
Western Union Co. (The) - Class W		1,704		32,410
				931,464

Company	Shares		U.S. $ Value
Semiconductors & Semiconductor Equipment - 1.2%
ASML Holding NV		880		116,185
Intel Corp.		16,968		612,714
KLA-Tencor Corp.		560		58,240
Maxim Integrated Products, Inc.		1,014		48,469
QUALCOMM, Inc.		5,288		302,844
SCREEN Holdings Co., Ltd.		800		58,161
SK Hynix, Inc.		2,540		128,734
Texas Instruments, Inc.		1,880		155,081
Xilinx, Inc.		1,661		110,805
				1,591,233
Software - 0.6%
Adobe Systems, Inc. (b)		930		131,930
CA, Inc.		1,106		35,138
Constellation Software, Inc./Canada		536		277,191
Electronic Arts, Inc. (b)		2,310		261,792
salesforce.com, Inc. (b)		495		44,372
				750,423
Technology Hardware, Storage & Peripherals - 0.6%
Canon, Inc.		3,820		131,298
HP, Inc.		6,125		114,905
Samsung Electronics Co., Ltd.		198		394,357
Samsung Electronics Co., Ltd. (Preference Shares)		50		77,897
				718,457
				5,193,535
Financials - 3.5%
Banks - 1.7%
Bank of Montreal		2,312		155,183
Bank of Nova Scotia (The)		4,325		244,033
Barclays PLC		26,400		71,458
Bendigo & Adelaide Bank Ltd.		1,651		13,818
BNP Paribas SA		3,450		243,571
BOC Hong Kong Holdings Ltd.		24,339		109,807
Canadian Imperial Bank of Commerce/Canada		1,422		111,183
DBS Group Holdings Ltd.		6,388		94,379
DNB ASA		4,470		75,805
Erste Group Bank AG (b)		2,490		90,433
Fifth Third Bancorp		1,030		24,452
Hang Seng Bank Ltd.		2,738		57,765
HSBC Holdings PLC		7,530		65,567
ING Groep NV		6,664		111,847
Mitsubishi UFJ Financial Group, Inc.		14,900		92,459
Oversea-Chinese Banking Corp., Ltd.		11,261		85,314
Royal Bank of Canada		5,319		367,646
Sberbank of Russia PJSC (Sponsored ADR)		8,130		90,975
United Overseas Bank Ltd.		4,717		78,300
				2,183,995

Company	Shares		U.S. $ Value
Capital Markets - 0.3%
3i Group PLC		3,446		39,781
Aberdeen Asset Management PLC		2,915		10,861
Amundi SA (g)		906		61,901
ASX Ltd.		693		26,335
CI Financial Corp.		799		15,881
Credit Suisse Group AG (REG) (b)		7,040		96,141
IGM Financial, Inc.		349		10,174
Invesco Ltd.		1,461		46,314
Investec PLC		2,197		17,210
MarketAxess Holdings, Inc.		225		42,880
Singapore Exchange Ltd.		2,618		13,747
				381,225
Consumer Finance - 0.0%
Provident Financial PLC		551		21,667
Diversified Financial Services - 0.1%
GRENKE AG		280		60,387
Haci Omer Sabanci Holding AS		12,250		37,132
				97,519
Insurance - 1.4%
Admiral Group PLC		3,369		88,500
Allianz SE (REG)		1,637		314,877
Arthur J Gallagher & Co.		629		35,683
AXA SA		6,945		185,447
Cincinnati Financial Corp.		555		38,894
CNP Assurances		545		11,990
Direct Line Insurance Group PLC		4,688		21,079
Gjensidige Forsikring ASA		633		10,208
Great-West Lifeco, Inc.		1,024		25,455
Hannover Rueck SE (REG)		225		26,823
Insurance Australia Group Ltd.		8,476		40,069
Legal & General Group PLC		21,318		69,266
Medibank Pvt Ltd.		9,804		20,028
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (REG)		577		113,935
Old Mutual PLC		18,397		44,652
Power Corp. of Canada		1,299		27,714
Power Financial Corp.		847		20,215
Principal Financial Group, Inc.		1,030		64,797
Prudential PLC		10,480		235,133
Sampo Oyj - Class A		1,601		81,225
SCOR SE		609		23,960
Sony Financial Holdings, Inc.		583		8,976
Standard Life PLC		6,973		34,471
Swiss Life Holding AG (b)		119		39,750
Swiss Re AG		1,161		105,861
Tryg A/S		381		7,831
UnipolSai Assicurazioni SpA		3,629		8,223
Zurich Insurance Group AG		539		158,598
				1,863,660
				4,548,066

Company	Shares		U.S. $ Value
Energy - 3.4%
Energy Equipment & Services - 0.0%
Petrofac Ltd.		1,090		5,352
Oil, Gas & Consumable Fuels - 3.4%
BP PLC (Sponsored ADR)		7,550		272,932
Enagas SA		777		23,109
Enbridge, Inc. (Toronto)		2,470		95,081
Exxon Mobil Corp.		14,847		1,195,183
Galp Energia SGPS SA		1,746		26,945
Keyera Corp.		690		20,534
LUKOIL PJSC (Sponsored ADR)		12,500		602,909
Marathon Petroleum Corp.		1,890		98,356
ONEOK, Inc.		746		37,061
Peyto Exploration & Development Corp.		526		9,536
Repsol SA		40,780		685,460
Royal Dutch Shell PLC (Sponsored ADR)		4,750		266,998
Snam SpA		8,716		39,967
Statoil ASA		15,570		271,509
TOTAL SA		8,148		430,443
TransCanada Corp.		3,092		143,539
Valero Energy Corp.		1,621		99,643
Woodside Petroleum Ltd.		2,715		64,873
				4,384,078
				4,389,430
Industrials - 2.8%
Aerospace & Defense - 0.4%
BAE Systems PLC		11,370		97,868
Hexcel Corp.		1,153		59,299
Lockheed Martin Corp.		945		265,668
Meggitt PLC		2,575		16,668
Singapore Technologies Engineering Ltd.		5,066		13,611
				453,114
Air Freight & Logistics - 0.0%
Kuehne & Nagel International AG (REG)		201		32,459
Airlines - 0.2%
International Consolidated Airlines Group SA		11,300		88,129
Japan Airlines Co., Ltd.		516		15,126
Qantas Airways Ltd.		28,382		105,726
Singapore Airlines Ltd.		1,731		12,520
				221,501
Building Products - 0.1%
Allegion PLC		570		44,819
AO Smith Corp.		320		17,558
Cie de Saint-Gobain		1,789		99,993
				162,370
Commercial Services & Supplies - 0.1%
Babcock International Group PLC		6,920		83,266
Edenred		707		18,652
G4S PLC		5,314		22,257
				124,175

Company	Shares		U.S. $ Value
Construction & Engineering - 0.2%
Boskalis Westminster		340		11,720
Bouygues SA		729		31,235
Skanska AB - Class B		1,184		28,141
Vinci SA		1,818		159,015
				230,111
Electrical Equipment - 0.5%
ABB Ltd. (REG)		6,740		169,602
Eaton Corp. PLC		1,618		125,201
Emerson Electric Co.		2,302		136,094
Schneider Electric SE (Paris) (b)		2,013		155,095
				585,992
Industrial Conglomerates - 0.6%
CK Hutchison Holdings Ltd.		9,673		125,978
Koninklijke Philips NV		3,396		120,002
NWS Holdings Ltd.		4,474		8,653
Roper Technologies, Inc.		607		137,910
Siemens AG (REG)		2,739		391,728
Smiths Group PLC		1,378		28,503
				812,774
Machinery - 0.3%
Cummins, Inc.		573		90,362
IDEX Corp.		480		52,066
IMI PLC		890		14,395
Kone Oyj - Class B		1,208		59,779
Metso Oyj		421		14,315
SKF AB - Class B		1,387		28,345
Snap-on, Inc.		490		79,213
WABCO Holdings, Inc. (b)		370		45,073
Wartsila Oyj Abp		552		32,771
				416,319
Professional Services - 0.1%
Adecco Group AG (REG)		606		45,238
Randstad Holding NV		444		25,737
RELX NV		3,560		73,870
SGS SA (REG)		20		47,679
				192,524
Road & Rail - 0.2%
Aurizon Holdings Ltd.		7,346		29,992
ComfortDelGro Corp., Ltd.		6,897		11,952
Union Pacific Corp.		1,690		186,407
				228,351
Trading Companies & Distributors - 0.1%
BOC Aviation Ltd. (g)		12,800		65,847
ITOCHU Corp.		5,358		76,048
				141,895
				3,601,585

Company	Shares		U.S. $ Value
Consumer Discretionary - 2.1%
Auto Components - 0.3%
Bridgestone Corp.		2,329		97,855
Cie Generale des Etablissements Michelin - Class B		656		82,901
Nokian Renkaat Oyj		431		17,602
Sumitomo Rubber Industries Ltd.		612		10,433
Valeo SA		1,738		121,282
				330,073
Automobiles - 0.5%
Daimler AG (REG)		3,448		250,735
General Motors Co.		4,920		166,936
Nissan Motor Co., Ltd.		8,433		80,839
Subaru Corp.		2,203		74,492
Toyota Motor Corp.		600		32,199
				605,201
Diversified Consumer Services - 0.0%
H&R Block, Inc.		739		19,613
Kroton Educacional SA		8,400		37,640
				57,253
Hotels, Restaurants & Leisure - 0.6%
Crown Resorts Ltd.		1,253		12,056
Darden Restaurants, Inc.		436		38,774
Flight Centre Travel Group Ltd.		183		4,863
Las Vegas Sands Corp.		1,565		92,538
McDonald’s Corp.		2,974		448,747
Sands China Ltd.		8,581		39,564
Sodexo SA		358		48,860
Starbucks Corp.		380		24,172
Tabcorp Holdings Ltd.		2,886		9,826
Tatts Group Ltd.		5,165		16,117
William Hill PLC		2,709		10,028
				745,545
Household Durables - 0.1%
Barratt Developments PLC		3,505		27,695
Berkeley Group Holdings PLC		494		20,734
Electrolux AB - Class B		832		26,696
Garmin Ltd.		442		23,002
Persimmon PLC		1,088		34,477
Sekisui House Ltd.		2,159		37,037
				169,641
Leisure Products - 0.0%
Mattel, Inc.		1,184		27,125
Media - 0.3%
Axel Springer SE		174		10,943
CTS Eventim AG & Co. KGaA		3,238		140,960
Eutelsat Communications SA		573		14,749
ITV PLC		12,742		32,144
Pearson PLC		2,848		25,940
ProSiebenSat.1 Media SE		821		34,886
SES SA		1,275		31,569
Shaw Communications, Inc. - Class B		1,467		31,341

Company	Shares		U.S. $ Value
Singapore Press Holdings Ltd.		5,130		11,756
Sky PLC		3,692		47,199
				381,487
Multiline Retail - 0.1%
Dollar Tree, Inc. (b)		404		31,391
Harvey Norman Holdings Ltd.		1,719		4,818
Kohl’s Corp.		670		25,748
Macy’s, Inc.		1,054		24,769
Marks & Spencer Group PLC		5,674		28,014
				114,740
Specialty Retail - 0.1%
Gap, Inc. (The)		802		18,045
Hennes & Mauritz AB - Class B		3,399		84,546
Kingfisher PLC		7,937		33,198
L Brands, Inc.		867		44,737
				180,526
Textiles, Apparel & Luxury Goods - 0.1%
Coach, Inc.		1,002		46,302
HUGO BOSS AG		840		63,322
NIKE, Inc. - Class B		310		16,427
Yue Yuen Industrial Holdings Ltd.		2,335		9,302
				135,353
				2,746,944
Utilities - 1.9%
Electric Utilities - 1.3%
Alliant Energy Corp.		799		33,135
American Electric Power Co., Inc.		1,761		126,405
Cheung Kong Infrastructure Holdings Ltd.		2,372		20,428
CLP Holdings Ltd.		5,879		64,288
Contact Energy Ltd.		2,316		8,464
Duke Energy Corp.		2,467		211,373
EDP - Energias de Portugal SA		8,304		30,553
Emera, Inc.		181		6,456
Endesa SA		1,101		27,512
Entergy Corp.		642		50,757
Eversource Energy		1,136		70,511
Fortis, Inc./Canada		1,430		47,076
Fortum Oyj		1,531		24,362
NextEra Energy, Inc.		1,673		236,629
OGE Energy Corp.		687		24,478
PG&E Corp.		1,811		123,836
Pinnacle West Capital Corp.		415		36,665
Power Assets Holdings Ltd.		4,951		44,322
PPL Corp.		2,433		97,101
Red Electrica Corp. SA		1,522		34,174
Southern Co. (The)		3,512		177,742
SSE PLC		3,632		70,544
Terna Rete Elettrica Nazionale SpA		5,275		29,824
Xcel Energy, Inc.		1,819		87,148
				1,683,783

Company	Shares		U.S. $ Value
Gas Utilities - 0.0%
Gas Natural SDG SA		1,224		30,871
Multi-Utilities - 0.6%
Ameren Corp.		869		49,316
Canadian Utilities Ltd.-Class A		470		14,223
CMS Energy Corp.		1,000		47,410
Consolidated Edison, Inc.		1,091		90,324
DTE Energy Co.		643		70,421
National Grid PLC		12,353		173,474
Public Service Enterprise Group, Inc.		1,811		81,332
SCANA Corp.		507		34,577
Sempra Energy		851		99,133
WEC Energy Group, Inc.		1,130		70,919
				731,129
				2,445,783
Telecommunication Services - 1.5%
Diversified Telecommunication Services - 1.0%
AT&T, Inc.		21,988		847,198
BCE, Inc.		570		25,828
BT Group PLC		30,305		120,416
Elisa Oyj		531		20,663
HKT Trust & HKT Ltd.-Class SS		12,583		16,470
Inmarsat PLC		1,495		15,434
Singapore Telecommunications Ltd.		29,233		79,406
Spark New Zealand Ltd.		6,070		16,172
Swisscom AG (REG)		96		46,080
TDC A/S		9,530		56,847
Telia Co. AB		9,250		42,299
Telstra Corp., Ltd.		14,967		48,909
TELUS Corp.		668		22,718
				1,358,440
Wireless Telecommunication Services - 0.5%
NTT DOCOMO, Inc.		4,960		121,892
Rogers Communications, Inc.-Class B		1,297		60,489
SoftBank Group Corp.		1,700		138,024
StarHub Ltd.		1,464		2,856
Vodafone Group PLC		95,295		284,586
				607,847
				1,966,287
Materials - 1.3%
Chemicals - 0.9%
Agrium, Inc. (Toronto)		468		43,244
BASF SE		3,289		310,904
Dow Chemical Co. (The)		4,015		248,769
Ecolab, Inc.		780		103,615
Evonik Industries AG		608		20,970
Givaudan SA (REG)		34		69,843
Incitec Pivot Ltd.		6,297		16,015
Johnson Matthey PLC		1,230		49,421
LyondellBasell Industries NV-Class A		1,241		99,925
Mosaic Co. (The)		1,154		26,115
Syngenta AG (REG)		332		151,182
Yara International ASA		663		24,700
				1,164,703

Company	Shares		U.S. $ Value
Construction Materials - 0.0%
Buzzi Unicem SpA		1,770		45,957
Fletcher Building Ltd.		2,235		11,975
				57,932
Containers & Packaging - 0.1%
Amcor Ltd./Australia		4,146		47,225
International Paper Co.		1,399		73,979
Packaging Corp. of America		352		35,960
				157,164
Metals & Mining - 0.2%
BlueScope Steel Ltd.		2,841		24,259
Rio Tinto Ltd.		1,519		70,723
Rio Tinto PLC		4,430		176,907
voestalpine AG		401		18,195
				290,084
Paper & Forest Products - 0.1%
Stora Enso Oyj-Class R		1,895		23,964
UPM-Kymmene Oyj		1,911		53,848
				77,812
				1,747,695
Real Estate - 0.3%
Real Estate Management & Development - 0.3%
Daito Trust Construction Co., Ltd.		302		47,631
First Capital Realty, Inc.		362		5,394
Hang Lung Properties Ltd.		7,593		19,629
Henderson Land Development Co., Ltd.		3,755		24,241
Hysan Development Co., Ltd.		1,961		9,259
LendLease Group		1,983		24,037
New World Development Co., Ltd.		19,422		24,136
Sino Land Co., Ltd.		10,334		17,966
Sun Hung Kai Properties Ltd.		5,183		76,646
Swire Pacific Ltd.-Class A		1,820		17,883
Swire Properties Ltd.		3,762		12,546
Swiss Prime Site AG (REG) (b)		266		24,505
Wharf Holdings Ltd. (The)		4,856		41,253
				345,126
Total Common Stocks (cost $37,255,665)				39,621,555
INVESTMENT COMPANIES - 7.4%
Funds and Investment Trusts - 7.4% (h)
iShares Mortgage Real Estate Capped ETF		44,730		2,067,868
JPMorgan Alerian MLP Index ETN		151,060		4,518,205
PowerShares KBW High Dividend Yield Financial Portfolio		79,460		1,873,667
PowerShares KBW Premium Yield Equity REIT Portfolio		33,590		1,218,645
Total Investment Companies (cost $10,206,160)				9,678,385

Company	Shares		U.S. $ Value
PREFERRED STOCKS - 6.2%
Real Estate - 6.2%
Diversified REITs - 0.9%
Colony NorthStar, Inc.		22,000		553,350
Gramercy Property Trust
7.125%		300		7,996
PS Business Parks, Inc.
6.00%		2,500		63,425
VEREIT, Inc.
6.70%		20,000		520,400
Vornado Realty Trust
Series K
5.70%		1,600		40,976
				1,186,147
Health Care REITs - 0.3%
Sabra Health Care REIT, Inc.
Series A
7.125%		9,400		242,896
Ventas Realty LP/Ventas Capital Corp.
5.45%		6,600		165,330
				408,226
Hotel & Resort REITs - 0.8%
Ashford Hospitality Trust, Inc.
7.375%		9,000		225,000
Hersha Hospitality Trust		13,600		340,486
LaSalle Hotel Properties
6.30%		5,600		143,976
Pebblebrook Hotel Trust
6.50%		9,900		249,282
Summit Hotel Properties, Inc.
7.875%		1,600		41,312
				1,000,056
Industrial REITs - 0.2%
Monmouth Real Estate Investment Corp.
6.125%		5,500		137,940
STAG Industrial, Inc.
6.625%		1,000		25,560
Terreno Realty Corp.
7.75%		800		20,568
				184,068
Office REITs - 0.6%
Corporate Office Properties Trust
7.375%		12,900		326,628
Digital Realty Trust, Inc.
7.375%		7,200		201,456
Kilroy Realty Corp.
6.375%		5,100		128,928
SL Green Realty Corp.
6.50%		5,100		129,999
				787,011

Company	Shares		U.S. $ Value
Residential REITs - 0.7%
American Homes 4 Rent		18,800		467,168
Apartment Investment & Management Co.
6.875%		9,400		254,834
Equity LifeStyle Properties, Inc.
6.75%		8,000		204,880
Sun Communities, Inc.
7.125%		700		17,913
				944,795
Retail REITs - 1.7%
CBL & Associates Properties, Inc.		8,800		200,374
Cedar Realty Trust, Inc.
Series B
7.25%		8,000		200,720
DDR Corp.
6.37%		15,800		395,442
GGP, Inc.
6.375%		10,000		252,600
National Retail Properties, Inc.
Series E
5.70%		20,000		507,000
Pennsylvania Real Estate Investment Trust
7.375%		6,700		168,405
Taubman Centers, Inc.
6.50%		4,000		101,600
Urstadt Biddle Properties, Inc.
7.125%		9,800		252,938
Washington Prime Group, Inc.
7.50%		5,000		125,000
				2,204,079
Specialized REITs - 1.0%
CoreSite Realty Corp.
7.25%		1,900		48,830
Digital Realty Trust, Inc.
5.875%		10,800		275,292
DuPont Fabros Technology, Inc.
6.625%		9,100		244,699
Public Storage		28,800		776,352
				1,345,173
Total Preferred Stocks (cost $8,080,919)				8,059,555
SHORT-TERM INVESTMENTS - 0.1%
Investment Companies - 0.1%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.64% (h) (i) (cost $106,415)		106,415		106,415

Company	Shares	U.S. $ Value
Total Investments - 99.2% (cost $124,109,039) (j)			129,040,237
Other assets less liabilities - 0.8% (k)			990,334
Net Assets - 100.0%		$	130,030,571

FUTURES

Type	Number of Contracts		Expiration Month		Original Value		Value at May 31, 2017		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Australian Bond Futures		28		June 2017	$	2,695,733	$	2,739,671	$	43,938
Euro STOXX 50 Index Futures		91		June 2017		3,600,920		3,632,047		31,127
FTSE 100 Index Futures		19		June 2017		1,768,315		1,838,001		69,686
Mini MSCI Emerging Market Futures		51		June 2017		2,503,859		2,559,690		55,831
TOPIX Index Futures		27		June 2017		3,787,935		3,827,539		39,604
U.S. T-Note 10 Yr (CBT) Futures		132		September 2017		16,604,621		16,671,188		66,567
Sold Contracts
10 Yr Japan Bond (OSE) Futures		3		June 2017		4,090,275		4,081,354		8,921
Canadian 10 Yr Bond Futures		11		September 2017		1,176,020		1,184,484		(8,464	)
Euro-Bund Futures		15		June 2017		2,711,352		2,735,131		(23,779	)
Long Gilt Futures		19		September 2017		3,120,899		3,132,043		(11,144	)
Mini MSCI EAFE Futures		139		June 2017		12,706,676		13,107,005		(400,329	)
Mini S&P TSX 60 Futures		29		June 2017		995,449		971,533		23,916
S&P 500 E-Mini Futures		162		June 2017		19,324,810		19,529,910		(205,100	)
SPI 200 Futures		28		June 2017		3,066,428		2,985,576		80,852
									$	(228,374	)

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA		INR	270,118		USD	4,201		6/15/17	$	16,027
Bank of America, NA		USD	1,847		MXN	35,321		6/15/17		43,379
Bank of America, NA		USD	4,160		INR	270,118		9/15/17		(13,620	)
Barclays Bank PLC		CHF	3,318		USD	3,344		6/15/17		(84,660	)
Barclays Bank PLC		SEK	14,584		USD	1,657		6/15/17		(22,550	)
Barclays Bank PLC		TWD	85,927		USD	2,858		6/15/17		5,726
Barclays Bank PLC		USD	4,192		IDR	55,835,411		6/15/17		1,810
Barclays Bank PLC		USD	1,172		MYR	5,097		6/15/17		16,557
BNP Paribas SA		PEN	759		USD	233		6/15/17		874
BNP Paribas SA		PHP	69,942		USD	1,402		6/15/17		(1,689	)
Citibank, NA		CLP	2,645,501		USD	4,001		6/15/17		76,293
Citibank, NA		KRW	2,793,140		USD	2,473		6/15/17		(22,704	)
Citibank, NA		USD	2,225		COP	6,484,697		6/15/17		(5,265	)
Credit Suisse International		CNY	23,847		USD	3,452		6/15/17		(44,030	)
Deutsche Bank AG		USD	2,518		JPY	278,084		6/15/17		(5,535	)

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
JPMorgan Chase Bank, NA		USD	4,177		INR	270,118		6/15/17	$	8,008
Standard Chartered Bank		NOK	21,455		USD	2,505		6/15/17		(34,845	)
State Street Bank & Trust Co.		USD	459		EUR	421		6/15/17		14,085
State Street Bank & Trust Co.		USD	832		NZD	1,198		6/15/17		16,261
State Street Bank & Trust Co.		USD	636		THB	21,875		6/15/17		6,681
UBS AG		USD	1,371		CAD	1,863		6/15/17		8,715
UBS AG		USD	923		GBP	719		6/15/17		4,009
									$	(16,473	)

CENTRALLY CLEARED INTEREST RATE SWAPS

						Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)			Termination Date		Payments made by the Fund			Payments received by the Fund			Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co., LLC/(CME Group)		NOK	35,830		4/27/27		6 Month NIBOR			1.935	%	$	46,942
Morgan Stanley & Co., LLC/(CME Group)		SEK	18,360		4/27/27		3 Month STIBOR			1.108	%		22,359
Morgan Stanley & Co., LLC/(CME Group)		NZD	4,600		4/27/27		3 Month BKBM			3.370	%		55,778
Morgan Stanley & Co., LLC/(CME Group)		CHF	4,300		4/27/27		0.150	%		6 Month LIBOR			(16,526	)
												$	108,553

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation

# of Shares or Units

Rate Paid/ Received

Notional Amount (000)

Maturity Date

Unrealized Appreciation/ (Depreciation)

Receive Total Return on Reference Obligation

Morgan Stanley Capital Services LLC MS Global Equity Long Index

439,416

FedFundEffective Plus 0.55

%

USD 44,100

7/05/17

$

– 0

–

(a) When-Issued or delayed delivery security.

(b) Non-income producing security.

(c) Defaulted.

(d) Illiquid security.

(e) Defaulted matured security.

(f) An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of May 31, 2017 and the aggregate market value of these securities amounted to $884,151 or 0.68% of net assets.

(g) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2017, the aggregate market value of these securities amounted to $824,547 or 0.6% of net assets.

(h) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

(i) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(j) As of May 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $6,505,798 and gross unrealized depreciation of investments was $(1,574,600), resulting in net unrealized appreciation of $4,931,198.

(k) An amount of U.S. $2,240,961 has been segregated to collateralize margin requirements for the open futures contracts at May 31, 2017.

As of May 31, 2017, the Strategy’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.4% and 0.0%, respectively.

Currency Abbreviations:

CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CLP	-	Chilean Peso
CNY	-	Chinese Yuan Renminbi
COP	-	Colombian Peso
EUR	-	Euro
GBP	-	Great British Pound
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PEN	-	Peruvian Sol
PHP	-	Philippine Peso
SEK	-	Swedish Krona
THB	-	Thailand Baht
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
Glossary:
ADR	-	American Depositary Receipt
AGM	-	Assured Guaranty Municipal
AMBAC	-	Ambac Assurance Corporation
BKBM	-	Bank Bill Benchmark (New Zealand)
CBT	-	Chicago Board of Trade
CME	-	Chicago Mercantile Exchange
COP	-	Certificate of Participation
EAFE	-	Europe, Australia, and Far East
ETF	-	Exchange Traded Fund
ETM	-	Escrowed to Maturity
ETN	-	Exchange Traded Note
FedFundEffective	-	Federal Funds Effective Rate
FTSE	-	Financial Times Stock Exchange
GDR	-	Global Depositary Receipt
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
NATL	-	National Interstate Corporation
NIBOR	-	Norwegian Interbank Offered Rate
OSE	-	Osaka Securities Exchange
OSF	-	Order of St. Francis
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares

REIT	-	Real Estate Investment Trust
SPI	-	Share Price Index
STIBOR	-	Stockholm Interbank Offered Rate
TOPIX	-	Tokyo Price Index
TSX	-	Toronto Stock Exchange
XLCA	-	XL Capital Assurance Inc.

The following table represents the equity basket holdings underlying the total return swap with MS (Morgan Stanley) Global Equity Long Index as of May 31, 2017.

Security Description	Shares
MS Global Equity Long Index
Aena SA		390
Aetna, Inc.		1,264
Alphabet, Inc.		117
Altria Group, Inc.		2,099
Amadeus IT Group SA		2,349
Amcor Ltd./Australia		11,379
Amdocs Ltd.		2,179
Anthem, Inc.		1,007
Aon PLC		398
Apple, Inc.		1,461
Aristocrat Leisure Ltd.		8,096
AutoZone, Inc.		73
Bandai Namco Holdings, Inc.		3,265
Bemis Co., Inc.		1,048
Booz Allen Hamilton Holding Corp.		4,213
British American Tobacco PLC		2,938
CGI Group, Inc.		1,337
Check Point Software Technologies Ltd.		943
Comcast Corp.		3,446
Covestro AG		1,513
DBS Group Holdings Ltd.		7,595
Diageo PLC		1,779
Direct Line Insurance Group PLC		15,809
DNB ASA		6,281
EDP - Energias de Portugal SA		15,899
Endesa SA		2,241
Equifax, Inc.		710
Euler Hermes Group		369
Experian PLC		4,473

Security Description	Shares
Fidelity National Information Services, Inc.		892
FNF Group		3,748
G4S PLC		12,409
Gilead Sciences, Inc.		1,506
Helen of Troy Ltd.		835
Home Depot, Inc. (The)		806
HUGO BOSS AG		1,364
IG Group Holdings PLC		5,894
Imperial Brands PLC		792
Informa PLC		5,815
Kone OYJ		1,055
Logitech International SA		2,206
Marsh & McLennan Cos., Inc.		2,185
Mastercard, Inc.		634
Merck & Co., Inc.		2,405
Microsoft Corp.		3,604
Mitsubishi UFJ Financial Group, Inc.		23,221
MSC Industrial Direct Co., Inc.		997
National Australia Bank Ltd.		3,244
Nice Ltd.		2,020
Nielsen Holdings PLC		1,515
Nippon Shokubai Co., Ltd.		706
Nordea Bank AB		6,710
Omnicom Group, Inc.		1,858
Oracle Corp.		4,939
Oracle Corp. Japan		2,364
Oversea-Chinese Banking Corp., Ltd.		11,173
PALTAC Corp.		1,641
Pfizer, Inc.		3,829
Philip Morris International, Inc.		1,743
PNC Financial Services Group, Inc. (The)		388
Procter & Gamble Co. (The)		881
Raytheon Co.		1,119
Reckitt Benckiser Group PLC		1,304
Regal Entertainment Group		6,099
RELX NV		9,035
Republic Services, Inc.		827

Security Description	Shares
Roche Holding AG		318
Ross Stores, Inc.		1,904
Royal Bank of Canada		2,085
Royal Dutch Shell PLC		6,172
Saab AB		1,533
Sage Group PLC (The)		6,076
Salmar ASA		4,387
Sanderson Farms, Inc.		443
Sanofi		1,256
Schlumberger Ltd.		782
Scripps Networks Interactive, Inc.		1,092
Sealed Air Corp.		1,160
Sherwin-Williams Co. (The)		275
SPDR S&P500 ETF Trust		344
Swedbank AB		1,826
Texas Instruments, Inc.		1,928
Thomson Reuters Corp.		2,192
TJX Cos., Inc. (The)		2,258
Toronto-Dominion Bank (The)		2,763
TOTAL SA		1,936
Total System Services, Inc.		2,672
Tryg A/S		4,278
Tyson Foods, Inc.		1,833
UnitedHealth Group, Inc.		1,020
Vantiv, Inc.		923
Wolters Kluwer NV		1,626
WPP PLC		3,376

AB Tax-Managed All Market Income Portfolio

May 31, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Strategy. Unobservable inputs reflect the Strategy’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3—significant unobservable inputs (including the Strategy’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2017:

Investments in Securities:	Level 1			Level 2			Level 3			Total
Assets:
Long-Term Municipal Bonds	$	– 0	–	$	69,779,315		$	1,795,012		$	71,574,327
Common Stocks:
Consumer Staples		3,411,865			3,309,964			– 0	–		6,721,829
Health Care		2,786,486			3,128,789			– 0	–		5,915,275
Information Technology		3,858,365			1,335,170			– 0	–		5,193,535
Financials		1,321,479			3,226,587			– 0	–		4,548,066
Energy		2,849,627			1,539,803			– 0	–		4,389,430
Industrials		1,239,670			2,361,915			– 0	–		3,601,585
Consumer Discretionary		1,127,335			1,619,609			– 0	–		2,746,944
Utilities		1,886,967			558,816			– 0	–		2,445,783
Telecommunication Services		972,703			993,584			– 0	–		1,966,287
Materials		631,607			1,116,088			– 0	–		1,747,695
Real Estate		5,394			339,732			– 0	–		345,126
Investment Companies		9,678,385			– 0	–		– 0	–		9,678,385
Preferred Stocks		7,488,763			570,792			– 0	–		8,059,555
Short-Term Investments		106,415			– 0	–		– 0	–		106,415

Investments in Securities:	Level 1			Level 2			Level 3			Total
Total Investments in Securities		37,365,061			89,880,164			1,795,012			129,040,237
Other Financial Instruments (a):
Assets:
Futures		199,173			221,269			– 0	–		420,442
Forward Currency Exchange Contracts		– 0	–		218,425			– 0	–		218,425
Centrally Cleared Interest Rate Swaps		– 0	–		125,079			– 0	–		125,079
Liabilities:
Futures		(648,816	)		– 0	–		– 0	–		(648,816	)
Forward Currency Exchange Contracts		– 0	–		(234,898	)		– 0	–		(234,898	)
Centrally Cleared Interest Rate Swaps		– 0	–		(16,526	)		– 0	–		(16,526	)
Total (b)	$	36,915,418		$	90,193,513		$	1,795,012		$	128,903,943

(a) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument.

(b) There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

	Long-Term Municipal Bonds			Total
Balance as of 8/31/16	$	298,956		$	298,956
Accrued discounts/(premiums)		906			906
Realized gain (loss)		109			109
Change in unrealized appreciation/depreciation		17,454			17,454
Purchases		1,532,587			1,532,587
Sales		(55,000	)		(55,000	)
Transfers in to Level 3		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–
Balance as of 5/31/17	$	1,795,012		$	1,795,012
Net change in unrealized appreciation/depreciation from investments held as of 5/31/17	$	18,392		$	18,392

As of May 31, 2017, all Level 3 securities were priced by third party vendors.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Strategy’s transactions in shares of the AB Fixed Income Shares, Inc. - Government Money Market Portfolio for the nine months ended May 31, 2017 is as follows:

Market Value 8/31/16 (000)	Purchases at Cost (000)		Sales Proceeds (000)		Market  Value 5/31/17 (000)		Dividend Income (000)
$656	$	43,041	$	43,591	$	106	$	5

A summary of the Strategy’s transactions of investments in affiliated issuers for the nine months ended May 31, 2017 is as follows:

																	Distributions
Affiliated Issuer	Market Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/17 (000)			Income (000)			Realized Gains (000)
AB All Market Real Return Portfolio - Class Z	$	– 0	–	$	3,684	$	3,667	$	(18	)	$	1		$	– 0	–	$	– 0	–	$	– 0	–
AB Multi-Manager Alternative Strategies Fund - Class Z		7,816			420		8,439		136			67			– 0	–		73			– 0	–
AB Pooling Portfolio - AB Multi-Asset Real Return Portfolio		3,804			270		4,211		(1,020	)		1,157			– 0	–		98			– 0	–
AB Pooling Portfolio - AB Volatility Management Portfolio		14,306			3,882		16,437		(1,182	)		(569	)		– 0	–		1,096			1,786

The Strategy may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment advisor, common officers, or common directors. For the six months ended May 31, 2017, the purchase and sale transactions with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were $699,188 and $0, respectively

AB Tax-Managed Wealth Appreciation Strategy

Portfolio of Investments

May 31, 2017 (unaudited)

Company	Shares		U.S. $ Value
COMMON STOCKS - 70.4%
Information Technology - 17.1%
Communications Equipment - 0.9%
Arista Networks, Inc. (a)		6,950	$	1,024,291
Cisco Systems, Inc.		34,600		1,090,938
Nokia Oyj		260,030		1,646,262
Nokia Oyj (Sponsored ADR) - Class A		304,768		1,926,134
Palo Alto Networks, Inc. (a)		4,885		579,312
				6,266,937
Electronic Equipment, Instruments & Components - 0.7%
Amphenol Corp. - Class A		12,001		895,275
Corning, Inc.		17,025		495,427
Keyence Corp.		5,200		2,359,615
Largan Precision Co., Ltd.		7,000		1,104,398
				4,854,715
Internet Software & Services - 4.7%
Alibaba Group Holding Ltd. (ADR) (a)		26,910		3,295,398
Alphabet, Inc. - Class A (a)		1,345		1,327,636
Alphabet, Inc. - Class C (a)		10,905		10,521,798
Criteo SA (Sponsored ADR) (a)		29,130		1,527,286
Facebook, Inc. - Class A (a)		65,241		9,881,402
NetEase, Inc. (ADR)		1,750		498,365
Tencent Holdings Ltd.		117,100		4,024,417
Yahoo Japan Corp.		294,100		1,320,113
				32,396,415
IT Services - 2.4%
Automatic Data Processing, Inc.		13,660		1,398,374
Booz Allen Hamilton Holding Corp.		37,289		1,470,678
Cognizant Technology Solutions Corp. - Class A		22,281		1,490,822
Fiserv, Inc. (a)		22,440		2,811,283
HCL Technologies Ltd.		36,230		483,086
Vantiv, Inc. - Class A (a)		21,630		1,356,634
Visa, Inc. - Class A		80,914		7,705,440
				16,716,317
Semiconductors & Semiconductor Equipment - 3.1%
Applied Materials, Inc.		4,450		204,166
ASML Holding NV		10,690		1,411,378
Infineon Technologies AG		30,110		666,771
Intel Corp.		99,159		3,580,631
NVIDIA Corp.		12,986		1,874,529
Realtek Semiconductor Corp.		195,000		651,597
SCREEN Holdings Co., Ltd.		10,500		763,358
SK Hynix, Inc.		32,840		1,664,417
Sumco Corp.		72,300		1,191,628
Taiwan Semiconductor Manufacturing Co., Ltd.		345,000		2,338,814
Texas Instruments, Inc.		16,190		1,335,513
Tokyo Electron Ltd.		4,700		672,719
Xilinx, Inc.		71,562		4,773,901
				21,129,422

Company	Shares		U.S. $ Value
Software - 2.6%
Adobe Systems, Inc. (a)		32,570		4,620,380
Constellation Software, Inc./Canada		6,662		3,445,243
Dassault Systemes SE		11,105		1,023,986
Electronic Arts, Inc. (a)		26,670		3,022,511
Nintendo Co., Ltd.		3,800		1,152,032
Oracle Corp.		87,933		3,991,279
ServiceNow, Inc. (a)		10,068		1,053,616
				18,309,047
Technology Hardware, Storage & Peripherals - 2.7%
Apple, Inc.		40,434		6,176,698
Hewlett Packard Enterprise Co.		69,443		1,306,223
HP, Inc.		109,806		2,059,960
NCR Corp. (a)		8,848		340,913
Pegatron Corp.		240,000		738,775
Samsung Electronics Co., Ltd.		2,964		5,903,408
Samsung Electronics Co., Ltd. (Preference Shares)		650		1,012,662
Xerox Corp.		162,380		1,148,027
				18,686,666
				118,359,519
Financials - 11.9%
Banks - 6.0%
Australia & New Zealand Banking Group Ltd.		65,050		1,351,932
Axis Bank Ltd.		86,700		690,877
Bank of America Corp.		228,924		5,130,187
Bank of Montreal		6,610		443,668
Bank of Queensland Ltd.		100,521		833,092
Barclays PLC		348,340		942,872
BNP Paribas SA		44,550		3,145,245
BOC Hong Kong Holdings Ltd.		264,500		1,193,309
Citigroup, Inc.		30,338		1,836,663
Citizens Financial Group, Inc.		4,183		142,640
Comerica, Inc.		18,653		1,278,850
Danske Bank A/S		28,940		1,083,686
DNB ASA		59,160		1,003,272
Erste Group Bank AG (a)		31,390		1,140,036
Fifth Third Bancorp		12,631		299,860
Hana Financial Group, Inc.		19,056		696,987
HDFC Bank Ltd.		24,056		611,467
HSBC Holdings PLC		82,750		720,541
IndusInd Bank Ltd.		22,380		513,568
ING Groep NV		83,133		1,395,284
Intesa Sanpaolo SpA		212,030		608,046
Itau Unibanco Holding SA (Preference Shares)		59,280		651,247
JPMorgan Chase & Co.		51,202		4,206,244
KB Financial Group, Inc.		16,492		788,316
Mitsubishi UFJ Financial Group, Inc.		199,500		1,237,957
PNC Financial Services Group, Inc. (The)		6,584		781,521
Royal Bank of Canada		6,910		477,615
Sberbank of Russia PJSC (Sponsored ADR)		102,434		1,146,236
Shinhan Financial Group Co., Ltd.		11,400		502,735
SunTrust Banks, Inc.		8,050		429,628
Toronto-Dominion Bank (The)		18,030		859,557
US Bancorp		17,777		904,672
Wells Fargo & Co.		87,162		4,457,465
				41,505,275

Company	Shares		U.S. $ Value
Capital Markets - 1.6%
Amundi SA (b)		8,090		552,732
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		107,400		611,353
Credit Suisse Group AG (REG) (a)		98,711		1,348,038
Franklin Resources, Inc.		4,771		199,380
Goldman Sachs Group, Inc. (The)		4,902		1,035,597
MarketAxess Holdings, Inc.		3,598		685,707
Morgan Stanley		18,903		789,011
Partners Group Holding AG		3,573		2,190,675
S&P Global, Inc.		5,210		744,040
Thomson Reuters Corp.		5,543		242,007
UBS Group AG (a)		153,929		2,453,398
				10,851,938
Consumer Finance - 0.8%
American Express Co.		10,596		815,256
Capital One Financial Corp.		19,599		1,507,555
Discover Financial Services		3,650		214,255
Hitachi Capital Corp.		25,400		589,404
OneMain Holdings, Inc. (a)		32,450		732,072
Shriram Transport Finance Co., Ltd.		13,938		219,940
Synchrony Financial		70,665		1,897,355
				5,975,837
Diversified Financial Services - 0.4%
Berkshire Hathaway, Inc. - Class B (a)		9,400		1,553,632
GRENKE AG		3,610		778,568
Haci Omer Sabanci Holding AS		141,730		429,607
				2,761,807
Insurance - 2.6%
Admiral Group PLC		37,442		983,562
AIA Group Ltd.		482,000		3,410,415
Allstate Corp. (The)		22,332		1,928,145
American International Group, Inc.		47,199		3,003,272
Dongbu Insurance Co., Ltd.		800		48,351
First American Financial Corp.		29,186		1,270,175
FNF Group		39,024		1,662,812
Hartford Financial Services Group, Inc. (The)		6,610		326,468
Lincoln National Corp.		13,331		866,248
Loews Corp.		3,979		187,650
Prudential Financial, Inc.		5,852		613,582
Prudential PLC		131,050		2,940,289
Suncorp Group Ltd.		57,873		595,421
				17,836,390
Thrifts & Mortgage Finance - 0.5%
Housing Development Finance Corp., Ltd.		137,860		3,369,381
				82,300,628

Company	Shares		U.S. $ Value
Health Care - 9.1%
Biotechnology - 0.9%
Biogen, Inc. (a)		15,175		3,759,910
China Biologic Products, Inc. (a)		3,790		431,302
Gilead Sciences, Inc.		19,807		1,285,276
Grifols SA (ADR)		36,110		774,921
				6,251,409
Health Care Equipment & Supplies - 2.5%
Align Technology, Inc. (a)		8,457		1,227,956
Baxter International, Inc.		5,823		345,362
Danaher Corp.		28,234		2,398,196
Edwards Lifesciences Corp. (a)		45,897		5,281,368
Essilor International SA		17,630		2,343,709
Intuitive Surgical, Inc. (a)		5,376		4,917,320
Sartorius AG (Preference Shares)		9,384		957,700
				17,471,611
Health Care Providers & Services - 1.9%
Aetna, Inc.		11,574		1,676,610
Cigna Corp.		13,028		2,100,504
Express Scripts Holding Co. (a)		3,900		233,025
McKesson Corp.		10,128		1,651,776
Quest Diagnostics, Inc.		8,643		940,099
UnitedHealth Group, Inc.		33,489		5,866,603
VCA, Inc. (a)		7,780		716,771
				13,185,388
Health Care Technology - 0.3%
Cerner Corp. (a)		32,220		2,105,577
Life Sciences Tools & Services - 0.6%
Eurofins Scientific SE		6,398		3,393,079
Mettler-Toledo International, Inc. (a)		1,859		1,083,444
				4,476,523
Pharmaceuticals - 2.9%
Johnson & Johnson		29,489		3,781,964
Mallinckrodt PLC (a)		37,391		1,612,674
Merck & Co., Inc.		18,621		1,212,413
Novartis AG (REG)		7,110		581,848
Pfizer, Inc.		29,546		964,677
Roche Holding AG		9,620		2,641,160
Sanofi		20,850		2,065,268
Shire PLC		40,500		2,332,489
Teva Pharmaceutical Industries Ltd.		10,915		313,544
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)		71,456		1,990,764
Zoetis, Inc.		35,909		2,236,413
				19,733,214
				63,223,722
Consumer Discretionary - 8.6%
Auto Components - 1.1%
Faurecia		20,000		1,054,024

Company	Shares		U.S. $ Value
Hankook Tire Co., Ltd.		12,490		679,490
Lear Corp.		9,913		1,477,433
Magna International, Inc. - Class A		61,292		2,745,269
Sumitomo Electric Industries Ltd.		40,900		648,093
Valeo SA		17,410		1,214,916
				7,819,225
Automobiles - 0.6%
General Motors Co.		21,027		713,446
Honda Motor Co., Ltd.		43,000		1,204,654
Peugeot SA		61,890		1,223,867
Tata Motors Ltd. - Class A		165,246		735,166
Toyota Motor Corp.		7,600		407,850
				4,284,983
Diversified Consumer Services - 0.1%
Kroton Educacional SA		96,700		433,304
Tarena International, Inc. (ADR) (a)		20,700		354,591
				787,895
Hotels, Restaurants & Leisure - 0.6%
IMAX China Holding, Inc. (a)(b)		96,500		420,360
Sodexo SA		4,374		596,964
Starbucks Corp.		51,480		3,274,643
				4,291,967
Household Durables - 0.2%
Panasonic Corp.		92,300		1,183,598
Internet & Direct Marketing Retail - 0.4%
Ctrip.com International Ltd. (ADR) (a)		10,200		557,430
Priceline Group, Inc. (The) (a)		1,148		2,154,899
				2,712,329
Media - 1.9%
CBS Corp. - Class B		14,054		858,840
Comcast Corp. - Class A		139,700		5,824,093
CTS Eventim AG & Co. KGaA		39,955		1,739,368
Naspers Ltd. - Class N		5,314		1,101,167
Regal Entertainment Group - Class A		17,299		359,819
Scripps Networks Interactive, Inc. - Class A		9,765		646,638
Walt Disney Co. (The)		24,978		2,696,125
				13,226,050
Multiline Retail - 0.4%
Dollar Tree, Inc. (a)		28,754		2,234,186
Target Corp.		7,505		413,900
				2,648,086
Specialty Retail - 2.3%
ABC-Mart, Inc.		24,100		1,408,142
Burlington Stores, Inc. (a)		10,235		1,001,495
Foot Locker, Inc.		10,507		624,221
Home Depot, Inc. (The)		37,938		5,823,862
Industria de Diseno Textil SA		911		37,332
Michaels Cos., Inc. (The) (a)		53,477		1,033,710

Company	Shares		U.S. $ Value
O’Reilly Automotive, Inc. (a)		3,650		883,592
TJX Cos., Inc./(The)		49,673		3,735,907
Ulta Salon Cosmetics & Fragrance, Inc. (a)		3,427		1,044,687
				15,592,948
Textiles, Apparel & Luxury Goods - 1.0%
HUGO BOSS AG		10,840		817,151
Kering		1,930		638,614
NIKE, Inc. - Class B		84,200		4,461,758
Samsonite International SA		234,600		941,899
				6,859,422
				59,406,503
Consumer Staples - 6.6%
Beverages - 1.1%
Asahi Group Holdings Ltd.		8,100		323,177
Constellation Brands, Inc. - Class A		11,640		2,127,210
Monster Beverage Corp. (a)		69,661		3,522,060
PepsiCo, Inc.		15,347		1,793,604
				7,766,051
Food & Staples Retailing - 1.6%
Costco Wholesale Corp.		15,820		2,854,402
Koninklijke Ahold Delhaize NV		98,352		2,170,752
Kroger Co. (The)		65,505		1,950,739
Lenta Ltd. (GDR) (a)(b)		127,112		781,739
Loblaw Cos., Ltd.		8,170		461,768
Sugi Holdings Co., Ltd.		5,000		266,363
Tesco PLC (a)		248,970		590,200
Wal-Mart Stores, Inc.		19,166		1,506,448
X5 Retail Group NV (GDR) (a)(b)		12,464		451,197
				11,033,608
Food Products - 0.6%
Archer-Daniels-Midland Co.		9,579		398,295
BRF SA		43,200		578,323
Gruma SAB de CV - Class B		49,610		645,521
Orkla ASA		86,260		863,090
Tyson Foods, Inc. - Class A		14,954		857,462
WH Group Ltd. (b)		780,500		731,187
				4,073,878
Household Products - 0.6%
Henkel AG & Co. KGaA (Preference Shares)		7,600		1,067,411
Procter & Gamble Co. (The)		30,393		2,677,319
Reckitt Benckiser Group PLC		4,400		451,283
				4,196,013
Personal Products - 0.4%
Amorepacific Corp.		1,090		333,890
LG Household & Health Care Ltd.		1,060		929,589
Unilever PLC		20,770		1,157,900
				2,421,379

Company	Shares		U.S. $ Value
Tobacco - 2.3%
Altria Group, Inc.		20,939		1,579,638
British American Tobacco PLC		88,671		6,343,754
Imperial Brands PLC		14,811		693,039
Japan Tobacco, Inc.		103,400		3,885,866
Philip Morris International, Inc.		28,306		3,391,059
				15,893,356
				45,384,285
Industrials - 5.4%
Aerospace & Defense - 0.9%
Airbus SE		18,790		1,545,303
BAE Systems PLC		86,840		747,480
Hexcel Corp.		15,828		814,034
L3 Technologies, Inc.		14,111		2,378,974
United Technologies Corp.		8,026		973,393
				6,459,184
Airlines - 0.9%
Air Canada (a)		51,170		674,262
Delta Air Lines, Inc.		10,090		495,722
International Consolidated Airlines Group SA		141,230		1,101,449
Japan Airlines Co., Ltd.		45,200		1,325,015
JetBlue Airways Corp. (a)		54,746		1,227,405
Qantas Airways Ltd.		354,711		1,321,334
United Continental Holdings, Inc. (a)		4,778		380,663
				6,525,850
Building Products - 0.3%
Allegion PLC		9,159		720,172
AO Smith Corp.		24,350		1,336,085
				2,056,257
Commercial Services & Supplies - 0.3%
Babcock International Group PLC		86,584		1,041,837
IWG PLC		150,665		644,892
Republic Services, Inc. - Class A		3,709		235,930
				1,922,659
Construction & Engineering - 0.1%
IRB Infrastructure Developers Ltd.		69,916		245,376
Quanta Services, Inc. (a)		13,748		421,513
				666,889
Electrical Equipment - 0.3%
Eaton Corp. PLC		26,098		2,019,463
Emerson Electric Co.		3,417		202,013
				2,221,476
Industrial Conglomerates - 0.5%
General Electric Co.		27,634		756,619
Roper Technologies, Inc.		11,300		2,567,360
				3,323,979

Company	Shares		U.S. $ Value
Machinery - 1.1%
Cummins, Inc.		4,468		704,604
Deere & Co.		3,187		390,280
FANUC Corp.		2,600		511,791
IDEX Corp.		8,400		911,148
IHI Corp. (a)		315,000		1,184,139
Ingersoll-Rand PLC		12,416		1,112,474
Oshkosh Corp.		21,876		1,380,813
Parker-Hannifin Corp.		1,898		298,878
Snap-on, Inc.		5,220		843,865
WABCO Holdings, Inc. (a)		4,984		607,151
				7,945,143
Professional Services - 0.3%
Teleperformance		14,659		1,917,335
Road & Rail - 0.4%
Canadian National Railway Co. (Toronto)		5,850		453,544
CSX Corp.		12,539		679,238
Union Pacific Corp.		12,210		1,346,763
				2,479,545
Trading Companies & Distributors - 0.3%
BOC Aviation Ltd. (b)		157,800		811,768
Brenntag AG		9,610		557,569
United Rentals, Inc. (a)		5,999		652,271
				2,021,608
				37,539,925
Energy - 4.6%
Energy Equipment & Services - 0.6%
Helmerich & Payne, Inc.		23,169		1,220,080
Petrofac Ltd.		26,545		130,335
Schlumberger Ltd.		38,019		2,645,742
				3,996,157
Oil, Gas & Consumable Fuels - 4.0%
Canadian Natural Resources Ltd.		45,329		1,308,195
Canadian Natural Resources Ltd. (Toronto)		26,240		756,402
Chevron Corp.		8,865		917,350
CNOOC Ltd.		378,000		429,166
Devon Energy Corp.		41,106		1,396,782
EOG Resources, Inc.		27,209		2,457,245
Exxon Mobil Corp.		27,136		2,184,448
Hess Corp.		30,216		1,386,612
JXTG Holdings, Inc.		256,700		1,119,710
LUKOIL PJSC (Sponsored ADR)		27,160		1,306,302
Marathon Petroleum Corp.		36,434		1,896,025
Novatek PJSC (Sponsored GDR) (b)		5,460		615,937
PetroChina Co., Ltd. - Class H		988,000		657,012
QEP Resources, Inc. (a)		69,373		693,730
Royal Dutch Shell PLC - Class A		226,650		6,162,419
TOTAL SA		50,763		2,681,708
Valero Energy Corp.		12,600		774,522
YPF SA (Sponsored ADR)		42,601		1,050,541
				27,794,106
				31,790,263

Company	Shares		U.S. $ Value
Materials - 2.6%
Chemicals - 1.1%
Air Water, Inc.		35,700		642,947
Arkema SA		9,715		1,015,872
CF Industries Holdings, Inc.		44,133		1,187,178
Ecolab, Inc.		10,780		1,432,015
Incitec Pivot Ltd.		221,260		562,734
Johnson Matthey PLC		15,870		637,649
LG Chem Ltd.		1,850		498,790
LyondellBasell Industries NV - Class A		10,928		879,923
Mosaic Co. (The)		4,700		106,361
Nippon Shokubai Co., Ltd.		9,400		574,554
				7,538,023
Construction Materials - 0.2%
Anhui Conch Cement Co., Ltd. - Class H		191,000		632,745
Buzzi Unicem SpA		22,110		574,070
				1,206,815
Containers & Packaging - 0.0%
WestRock Co.		3,285		178,770
Metals & Mining - 1.2%
BHP Billiton PLC		96,660		1,460,625
BlueScope Steel Ltd.		36,427		311,042
Boliden AB		26,920		735,962
Gerdau SA (Preference Shares)		329,700		971,998
Glencore PLC (a)		667,730		2,459,576
Goldcorp, Inc.		28,450		386,887
MMC Norilsk Nickel PJSC (ADR)		12,130		168,850
MMC Norilsk Nickel PJSC (ADR) (London)		42,569		592,389
Newmont Mining Corp.		6,873		234,713
POSCO		2,190		552,503
Vedanta Ltd.		111,520		412,327
				8,286,872
Paper & Forest Products - 0.1%
Mondi PLC		31,250		816,928
				18,027,408
Telecommunication Services - 2.2%
Diversified Telecommunication Services - 1.2%
AT&T, Inc.		36,079		1,390,124
BT Group PLC		539,620		2,144,155
China Unicom Hong Kong Ltd. (a)		1,070,000		1,536,407
Nippon Telegraph & Telephone Corp.		56,200		2,702,752
TDC A/S		124,540		742,884
Tower Bersama Infrastructure Tbk PT		594,900		257,257
				8,773,579
Wireless Telecommunication Services - 1.0%
SoftBank Group Corp.		21,900		1,778,079
T-Mobile US, Inc. (a)		43,877		2,958,187
Vodafone Group PLC		661,387		1,975,149
				6,711,415
				15,484,994

Company	Shares		U.S. $ Value
Utilities - 1.4%
Electric Utilities - 0.9%
American Electric Power Co., Inc.		28,079		2,015,511
Edison International		18,200		1,484,574
EDP - Energias de Portugal SA		173,900		639,832
Enel SpA		131,670		704,881
Exelon Corp.		6,578		238,847
PG&E Corp.		2,729		186,609
Portland General Electric Co.		25,818		1,222,224
				6,492,478
Multi-Utilities - 0.4%
DTE Energy Co.		2,669		292,309
NiSource, Inc.		59,671		1,555,623
Public Service Enterprise Group, Inc.		8,000		359,280
WEC Energy Group, Inc.		4,456		279,659
				2,486,871
Water Utilities - 0.1%
Pennon Group PLC		40,550		481,359
				9,460,708
Real Estate - 0.9%
Equity Real Estate Investment Trusts (REITs) - 0.2%
Mid-America Apartment Communities, Inc.		12,706		1,295,249
Real Estate Management & Development - 0.7%
Ayala Land, Inc.		914,800		723,927
Daito Trust Construction Co., Ltd.		12,400		1,955,714
Global Logistic Properties Ltd.		151,000		316,492
LendLease Group		72,910		883,789
Wharf Holdings Ltd. (The)		74,000		628,651
				4,508,573
				5,803,822
Total Common Stocks (cost $381,090,735)				486,781,777
INVESTMENT COMPANIES - 26.9%
Funds and Investment Trusts - 26.9% (c)
AB All Market Real Return Portfolio - Class Z		3,654,149		30,329,436
AB Multi-Manager Alternative Strategies Fund - Class Z		5,337,781		52,150,124
AB Pooling Portfolio - AB Volatility Management Portfolio		10,702,408		103,920,378
Total Investment Companies (cost $193,585,876)				186,399,938

Company	Shares		U.S. $ Value
RIGHTS - 0.0%
Financials - 0.0%
Capital Markets - 0.0%
Credit Suisse Group AG, expiring 6/07/17 (a) (cost $0)		98,711		45,862
SHORT-TERM INVESTMENTS - 2.2%
Investment Companies - 2.2%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.64% (c) (d) (cost $15,326,337)		15,326,337		15,326,337
Total Investments - 99.5% (cost $590,002,948) (e)				688,553,914
Other assets less liabilities - 0.5%				3,301,171
Net Assets - 100.0%			$	691,855,085

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date	Unrealized Appreciation/ (Depreciation)
Bank of America, NA	USD	301	RUB	17,054	6/22/17	$	(1,472	)
Bank of America, NA	JPY	192,542	USD	1,728	8/16/17		(16,226	)
Bank of America, NA	USD	945	ZAR	13,133	8/16/17		43,338
Barclays Bank PLC	ILS	2,177	USD	606	8/16/17		(10,320	)
Barclays Bank PLC	INR	27,404	USD	421	8/16/17		(839	)
Barclays Bank PLC	JPY	69,651	USD	625	8/16/17		(5,929	)
Barclays Bank PLC	NOK	10,760	USD	1,241	8/16/17		(33,822	)
Barclays Bank PLC	TWD	358	USD	12	8/16/17		(22	)
Barclays Bank PLC	USD	568	CNY	3,966	8/16/17		11,119
Barclays Bank PLC	USD	830	KRW	933,124	8/16/17		4,227
Barclays Bank PLC	USD	338	TWD	10,173	8/16/17		890
BNP Paribas SA	KRW	594,821	USD	526	8/16/17		(5,801	)
BNP Paribas SA	USD	982	SEK	8,540	8/16/17		4,838
Citibank, NA	BRL	6,320	USD	1,921	6/02/17		(31,784	)
Citibank, NA	USD	1,557	BRL	5,050	6/02/17		3,729
Citibank, NA	USD	396	BRL	1,270	6/02/17		(3,976	)
Citibank, NA	GBP	4,260	USD	5,516	8/16/17		14,824
Citibank, NA	KRW	6,150,996	USD	5,416	8/16/17		(83,319	)
Citibank, NA	USD	809	EUR	738	8/16/17		23,087
Citibank, NA	USD	2,040	SEK	18,006	8/16/17		40,020
Citibank, NA	USD	506	ZAR	6,909	8/16/17		14,060
Credit Suisse International	BRL	2,265	USD	698	6/02/17		(1,672	)
Credit Suisse International	USD	707	BRL	2,265	6/02/17		(7,101	)
Credit Suisse International	USD	2,489	INR	162,592	8/16/17		14,348
Credit Suisse International	USD	560	NOK	4,718	8/16/17		(1,070	)
Deutsche Bank AG	BRL	6,045	USD	1,854	6/02/17		(13,871	)
Deutsche Bank AG	USD	1,848	BRL	6,045	6/02/17		20,164
Deutsche Bank AG	BRL	3,780	USD	1,142	7/05/17		(18,128	)
Deutsche Bank AG	USD	684	BRL	2,265	7/05/17		10,863
Goldman Sachs Bank USA	AUD	3,999	USD	2,931	8/16/17		(36,888	)
Goldman Sachs Bank USA	USD	5,025	AUD	6,855	8/16/17		63,233
Goldman Sachs Bank USA	USD	4,393	CAD	6,018	8/16/17		68,003
JPMorgan Chase Bank, NA	EUR	1,392	USD	1,488	8/16/17		(81,693	)
JPMorgan Chase Bank, NA	USD	811	SEK	7,120	8/16/17		11,916
JPMorgan Chase Bank, NA	USD	743	TRY	2,729	8/16/17		13,375
Morgan Stanley & Co., Inc.	HKD	29,985	USD	3,860	8/16/17		5,016
Morgan Stanley & Co., Inc.	JPY	76,329	USD	671	8/16/17		(20,074	)
Morgan Stanley & Co., Inc.	USD	1,369	CHF	1,354	8/16/17		35,345
Morgan Stanley & Co., Inc.	USD	3,354	JPY	381,269	8/16/17		100,268

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date	Unrealized Appreciation/ (Depreciation)
Royal Bank of Scotland PLC	USD	848	EUR	753	8/16/17		1,355
Standard Chartered Bank	USD	840	ZAR	11,283	8/16/17		8,845
State Street Bank & Trust Co.	CAD	458	USD	341	8/16/17		1,006
State Street Bank & Trust Co.	CHF	2,962	USD	2,972	8/16/17		(100,964	)
State Street Bank & Trust Co.	EUR	3,882	USD	4,244	8/16/17		(134,413	)
State Street Bank & Trust Co.	GBP	342	USD	443	8/16/17		1,036
State Street Bank & Trust Co.	GBP	415	USD	521	8/16/17		(14,576	)
State Street Bank & Trust Co.	HKD	1,930	USD	249	8/16/17		493
State Street Bank & Trust Co.	SGD	495	USD	351	8/16/17		(7,163	)
State Street Bank & Trust Co.	USD	1,580	CHF	1,575	8/16/17		53,686
State Street Bank & Trust Co.	USD	260	EUR	232	8/16/17		1,201
State Street Bank & Trust Co.	USD	392	GBP	304	8/16/17		386
State Street Bank & Trust Co.	USD	929	JPY	103,380	8/16/17		7,393
State Street Bank & Trust Co.	USD	412	NOK	3,566	8/16/17		10,805
State Street Bank & Trust Co.	USD	426	SEK	3,770	8/16/17		9,943
State Street Bank & Trust Co.	USD	318	TRY	1,164	8/16/17		4,822
						$	(27,489	)

(a) Non-income producing security.

(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2017, the aggregate market value of these securities amounted to $4,364,920 or 0.6% of net assets.

(c) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.

(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

(e) As of May 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $116,507,345 and gross unrealized depreciation of investments was $(17,956,379), resulting in net unrealized appreciation of $98,550,966.

Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market.

Currency Abbreviations:

AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CNY	-	Chinese Yuan Renminbi
EUR	-	Euro
GBP	-	Great British Pound

HKD	-	Hong Kong Dollar
ILS	-	Israeli Shekel
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
NOK	-	Norwegian Krone
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
ZAR	-	South African Rand

Glossary:

ADR	-	American Depositary Receipt
GDR	-	Global Depositary Receipt
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares

AB Tax-Managed Wealth Appreciation Strategy

May 31, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Strategy. Unobservable inputs reflect the Strategy’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3—significant unobservable inputs (including the Strategy’s own assumptions in determining the fair value of investments)

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2017:

Investments in Securities:	Level 1			Level 2			Level 3			Total
Assets:
Common Stocks:
Information Technology	$	88,230,083		$	30,129,436		$	– 0	–	$	118,359,519
Financials		43,931,625			38,369,003			– 0	–		82,300,628
Health Care		48,594,925			14,628,797			– 0	–		63,223,722
Consumer Discretionary		43,353,848			16,052,655			– 0	–		59,406,503
Consumer Staples		25,576,784			19,807,501			– 0	–		45,384,285
Industrials		24,584,637			12,955,288			– 0	–		37,539,925
Energy		19,373,307			12,416,956			– 0	–		31,790,263
Materials		5,546,695			12,480,713			– 0	–		18,027,408
Telecommunication Services		4,348,311			11,136,683			– 0	–		15,484,994
Utilities		7,634,636			1,826,072			– 0	–		9,460,708
Real Estate		1,295,249			4,508,573			– 0	–		5,803,822
Investment Companies		186,399,938			– 0	–		– 0	–		186,399,938
Rights		45,862			– 0	–		– 0	–		45,862
Short-Term Investments		15,326,337			– 0	–		– 0	–		15,326,337
Total Investments in Securities		514,242,237			174,311,677			– 0	–		688,553,914
Other Financial Instruments (a):
Assets:
Forward Currency Exchange Contracts		– 0	–		603,634			– 0	–		603,634
Liabilities:
Forward Currency Exchange Contracts		– 0	–		(631,123	)		– 0	–		(631,123	)
Total (b)	$	514,242,237		$	174,284,188		$	– 0	–	$	688,526,425

(a) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument.

(b) There were de minimis transfers under 1% of net assets between Level 1 and Level 2 during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) Strategy managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Strategy’s transactions in shares of the AB Fixed Income Shares, Inc.—Government Money Market Portfolio for the nine months ended May 31, 2017 is as follows:

Market Value 8/31/16 (000)	Purchases at Cost (000)	Sales Proceeds (000)	Market Value 5/31/17 (000)	Dividend Income (000)
$9,927	$99,967	$94,568	$15,326	$39

A summary of the Strategy’s transactions of investments in affiliated issuers for the nine months ended May 31, 2017 is as follows:

																	Distributions
Affiliated Issuer	Market  Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/17 (000)			Income (000)			Realized Gains (000)
AB All Market Real Return Portfolio - Class Z	$	– 0	–	$	32,298	$	1,617	$	6		$	(358	)	$	30,329		$	– 0	–	$	– 0	–
AB Multi-Manager Alternative Strategies Fund - Class Z		55,140			2,081		4,332		(3	)		(736	)		52,150			516			3,233
AB Pooling Portfolio - AB Multi-Asset Real Return Portfolio		30,284			3,094		34,472		(7,624	)		8,718			– 0	–		782			– 0	–
AB Pooling Portfolio - AB Volatility Management Portfolio		102,845			22,010		10,491		(926	)		(9,518	)		103,920			7,923			12,904

AB Wealth Appreciation Strategy

Portfolio of Investments

May 31, 2017 (unaudited)

Company	Shares		U.S. $ Value
COMMON STOCKS - 64.4%
Information Technology - 14.9%
Communications Equipment - 0.9%
Arista Networks, Inc. (a)		14,738	$	2,172,087
Cisco Systems, Inc.		60,161		1,896,876
Infinera Corp. (a)		40,342		392,124
Lumentum Holdings, Inc. (a)		12,960		739,368
NETGEAR, Inc. (a)		8,979		376,669
Nokia Oyj		464,074		2,938,074
Nokia Oyj (Sponsored ADR) - Class A		414,446		2,619,299
Palo Alto Networks, Inc. (a)		6,693		793,723
				11,928,220
Electronic Equipment, Instruments & Components - 0.7%
Amphenol Corp. - Class A		16,385		1,222,321
Anixter International, Inc. (a)		11,540		871,270
Avnet, Inc.		19,436		712,912
CDW Corp./DE		13,259		797,927
Coherent, Inc. (a)		3,046		755,865
Corning, Inc.		24,399		710,011
Keyence Corp.		6,900		3,131,028
VeriFone Systems, Inc. (a)		39,663		725,436
Vishay Intertechnology, Inc.		36,177		591,494
				9,518,264
Internet Software & Services - 3.9%
2U, Inc. (a)		19,431		830,675
Alibaba Group Holding Ltd. (ADR) (a)		40,217		4,924,974
Alphabet, Inc. - Class A (a)		1,833		1,809,336
Alphabet, Inc. - Class C (a)		14,839		14,317,558
CoStar Group, Inc. (a)		4,500		1,177,065
Criteo SA (Sponsored ADR) (a)		38,027		1,993,756
Facebook, Inc. - Class A (a)		89,515		13,557,942
GrubHub, Inc. (a)		20,272		881,224
LogMeIn, Inc.		9,484		1,052,724
NetEase, Inc. (ADR)		3,070		874,275
Pandora Media, Inc. (a)		44,898		399,592
Tencent Holdings Ltd.		192,400		6,612,277
Trade Desk, Inc. (The) - Class A (a)		17,079		939,345
Wix.com Ltd. (a)		7,455		549,433
Yahoo Japan Corp.		522,500		2,345,322
				52,265,498
IT Services - 1.9%
Amdocs Ltd.		15,998		1,036,350
Automatic Data Processing, Inc.		18,730		1,917,390
Booz Allen Hamilton Holding Corp.		80,434		3,172,317
Cognizant Technology Solutions Corp. - Class A		30,563		2,044,970
Convergys Corp.		19,256		468,113
Fiserv, Inc. (a)		30,784		3,856,620
Genpact Ltd.		33,343		910,931
Vantiv, Inc. - Class A (a)		38,349		2,405,250
Visa, Inc. - Class A		110,038		10,478,919
				26,290,860

Company	Shares		U.S. $ Value
Semiconductors & Semiconductor Equipment - 2.7%
Applied Materials, Inc.		5,565		255,322
ASML Holding NV		20,517		2,708,816
Cypress Semiconductor Corp.		67,600		945,724
Infineon Technologies AG		55,658		1,232,518
Integrated Device Technology, Inc. (a)		27,225		696,416
Intel Corp.		131,428		4,745,865
Mellanox Technologies Ltd. (a)		8,888		422,180
Microsemi Corp. (a)		10,738		527,343
NVIDIA Corp.		17,810		2,570,873
ON Semiconductor Corp. (a)		26,030		402,944
Qorvo, Inc. (a)		9,370		730,392
SCREEN Holdings Co., Ltd.		18,700		1,359,504
SK Hynix, Inc. (GDR)		57,847		2,941,520
Sumco Corp.		129,100		2,127,789
Taiwan Semiconductor Manufacturing Co., Ltd. (Sponsored ADR)		122,386		4,327,569
Texas Instruments, Inc.		22,135		1,825,916
Tokyo Electron Ltd.		9,400		1,345,439
Xilinx, Inc.		97,734		6,519,835
				35,685,965
Software - 2.7%
8x8, Inc. (a)		7,343		100,232
Adobe Systems, Inc. (a)		44,322		6,287,519
Aspen Technology, Inc. (a)		12,872		787,251
Constellation Software, Inc./Canada		11,928		6,168,547
CyberArk Software Ltd. (a)		13,037		638,943
Dassault Systemes SE		21,270		1,961,295
Electronic Arts, Inc. (a)		36,576		4,145,158
Ellie Mae, Inc. (a)		7,746		848,652
Guidewire Software, Inc. (a)		9,890		656,894
HubSpot, Inc. (a)		10,422		751,426
Nintendo Co., Ltd.		6,400		1,940,264
Oracle Corp.		119,801		5,437,767
ServiceNow, Inc. (a)		13,755		1,439,461
Splunk, Inc. (a)		14,054		860,667
Take-Two Interactive Software, Inc. (a)		12,993		997,083
Tyler Technologies, Inc. (a)		7,053		1,205,217
Ultimate Software Group, Inc. (The) (a)		3,186		703,278
Verint Systems, Inc. (a)		22,225		913,447
				35,843,101
Technology Hardware, Storage & Peripherals - 2.1%
Apple, Inc.		55,450		8,470,542
Hewlett Packard Enterprise Co.		97,076		1,826,000
HP, Inc.		141,282		2,650,450
NCR Corp. (a)		33,260		1,281,508
Samsung Electronics Co., Ltd. (GDR) (b)		12,360		12,310,496
Xerox Corp.		243,466		1,721,305
				28,260,301
				199,792,209

Company	Shares		U.S. $ Value
Financials - 10.6%
Banks - 5.6%
Associated Banc-Corp.		30,278		722,130
Australia & New Zealand Banking Group Ltd.		114,745		2,384,742
Axis Bank Ltd. (GDR) (b)		32,450		1,270,512
Bank of America Corp.		310,749		6,963,885
Bank of Montreal		12,857		862,971
Bank of Queensland Ltd.		179,146		1,484,715
Barclays PLC		604,528		1,636,311
BNP Paribas SA		77,735		5,488,118
BOC Hong Kong Holdings Ltd.		470,500		2,122,692
Citigroup, Inc.		44,698		2,706,017
Citizens Financial Group, Inc.		5,571		189,971
Comerica, Inc.		40,419		2,771,127
Danske Bank A/S		51,879		1,942,658
DNB ASA		106,218		1,801,311
Erste Group Bank AG (a)		52,711		1,914,381
Fifth Third Bancorp		17,661		419,272
First Republic Bank/CA		9,744		897,422
Fulton Financial Corp.		39,203		686,052
Hana Financial Group, Inc.		32,930		1,204,438
HDFC Bank Ltd. (ADR)		21,147		1,856,707
HSBC Holdings PLC		138,927		1,209,699
Huntington Bancshares, Inc./OH		81,311		1,019,640
ING Groep NV		150,450		2,525,117
Intesa Sanpaolo SpA		353,376		1,013,390
Itau Unibanco Holding SA (Preference Shares)		90,600		995,327
JPMorgan Chase & Co.		70,688		5,807,019
KB Financial Group, Inc. (ADR)		31,810		1,509,703
Mitsubishi UFJ Financial Group, Inc.		398,000		2,469,709
PNC Financial Services Group, Inc. (The)		10,026		1,190,086
Royal Bank of Canada		13,110		906,156
Sberbank of Russia PJSC (Sponsored ADR)		185,809		2,079,203
Shinhan Financial Group Co., Ltd. (ADR)		20,310		898,311
Signature Bank/New York NY (a)		6,837		977,828
SunTrust Banks, Inc.		11,256		600,733
SVB Financial Group (a)		6,401		1,091,370
Synovus Financial Corp.		18,914		773,204
Texas Capital Bancshares, Inc. (a)		8,627		633,222
Toronto-Dominion Bank (The)		33,573		1,600,549
US Bancorp		20,803		1,058,665
Webster Financial Corp.		17,253		840,566
Wells Fargo & Co.		118,748		6,072,773
Zions Bancorporation		24,502		981,795
				75,579,497
Capital Markets - 1.5%
Affiliated Managers Group, Inc.		5,249		807,559
Amundi SA (b)		14,321		978,452
BM&FBovespa SA - Bolsa de Valores Mercadorias e Futuros		191,300		1,088,937
Credit Suisse Group AG (REG) (a)		171,884		2,347,318
Franklin Resources, Inc.		6,436		268,960

Company	Shares		U.S. $ Value
Goldman Sachs Group, Inc. (The)		7,356		1,554,029
Lazard Ltd. - Class A		20,336		904,952
MarketAxess Holdings, Inc.		4,936		940,703
Morgan Stanley		24,768		1,033,816
Partners Group Holding AG		6,376		3,909,247
S&P Global, Inc.		7,150		1,021,092
Stifel Financial Corp. (a)		14,208		605,687
Thomson Reuters Corp.		6,493		283,484
UBS Group AG (a)		276,265		4,403,251
				20,147,487
Consumer Finance - 0.6%
American Express Co.		4,949		380,776
Capital One Financial Corp.		27,235		2,094,916
Discover Financial Services		5,317		312,108
Hitachi Capital Corp.		48,800		1,132,397
OneMain Holdings, Inc. (a)		57,571		1,298,802
Synchrony Financial		101,370		2,721,785
				7,940,784
Diversified Financial Services - 0.3%
Berkshire Hathaway, Inc. - Class B (a)		13,872		2,292,764
GRENKE AG		6,419		1,384,385
Haci Omer Sabanci Holding AS		279,260		846,482
				4,523,631
Insurance - 2.5%
Admiral Group PLC		72,092		1,893,780
AIA Group Ltd.		852,600		6,032,613
Allstate Corp. (The)		30,023		2,592,186
American Financial Group, Inc./OH		10,930		1,091,360
American International Group, Inc.		64,749		4,119,979
Dongbu Insurance Co., Ltd.		870		52,581
First American Financial Corp.		57,205		2,489,562
FNF Group		61,338		2,613,612
Hanover Insurance Group, Inc. (The)		4,400		366,916
Hartford Financial Services Group, Inc. (The)		10,248		506,149
Lincoln National Corp.		18,123		1,177,633
Loews Corp.		5,637		265,841
Prudential Financial, Inc.		8,845		927,398
Prudential PLC		238,195		5,344,237
Reinsurance Group of America, Inc. - Class A		7,727		962,089
Selective Insurance Group, Inc.		11,344		579,678
Suncorp Group Ltd.		105,903		1,089,574
Validus Holdings Ltd.		12,722		679,355
				32,784,543
Thrifts & Mortgage Finance - 0.1%
Essent Group Ltd. (a)		46,112		1,672,482
				142,648,424
Consumer Discretionary - 8.3%
Auto Components - 1.1%
Cooper-Standard Holdings, Inc. (a)		3,922		423,615
Dana, Inc.		41,945		885,878
Faurecia		35,280		1,859,299
Hankook Tire Co., Ltd.		23,570		1,282,272

Company	Shares		U.S. $ Value
Lear Corp.		15,809		2,356,173
Magna International, Inc. - Class A		93,547		4,189,970
Sumitomo Electric Industries Ltd.		72,100		1,142,482
Tenneco, Inc.		9,897		562,644
Valeo SA		21,349		1,489,790
				14,192,123
Automobiles - 0.6%
General Motors Co.		26,432		896,838
Honda Motor Co., Ltd.		76,400		2,140,362
Peugeot SA		110,159		2,178,380
Tata Motors Ltd. (Sponsored ADR)		35,430		1,304,887
Toyota Motor Corp.		14,800		794,234
				7,314,701
Diversified Consumer Services - 0.3%
Bright Horizons Family Solutions, Inc. (a)		13,710		1,051,831
Grand Canyon Education, Inc. (a)		14,741		1,155,695
Kroton Educacional SA		168,600		755,481
Sotheby’s (a)		17,458		918,116
Tarena International, Inc. (ADR) (a)		26,529		454,442
				4,335,565
Hotels, Restaurants & Leisure - 0.9%
Bloomin’ Brands, Inc.		42,324		847,750
Brinker International, Inc.		18,444		723,558
Buffalo Wild Wings, Inc. (a)		4,804		690,335
Dave & Buster’s Entertainment, Inc. (a)		12,735		849,425
IMAX China Holding, Inc. (a)(b)		192,300		837,672
Panera Bread Co. - Class A (a)		667		209,765
Planet Fitness, Inc.		56,345		1,231,138
Sodexo SA		7,215		984,704
Starbucks Corp.		70,614		4,491,757
Vail Resorts, Inc.		6,255		1,337,944
				12,204,048
Household Durables - 0.3%
CalAtlantic Group, Inc.		23,160		834,686
Panasonic Corp.		159,600		2,046,611
PulteGroup, Inc.		22,330		506,221
				3,387,518
Internet & Direct Marketing Retail - 0.3%
Ctrip.com International Ltd. (ADR) (a)		19,501		1,065,730
Expedia, Inc.		4,026		578,858
Priceline Group, Inc. (The) (a)		1,557		2,922,629
				4,567,217
Media - 1.6%
CBS Corp. - Class B		19,388		1,184,801
Comcast Corp. - Class A		190,827		7,955,577
CTS Eventim AG & Co. KGaA		75,740		3,297,201
IMAX Corp. (a)		29,310		734,215
Naspers Ltd. - Class N		9,806		2,031,998
Regal Entertainment Group - Class A		67,259		1,398,988

Company	Shares		U.S. $ Value
Scholastic Corp.		12,818		545,150
Scripps Networks Interactive, Inc. - Class A		13,155		871,124
Walt Disney Co. (The)		34,190		3,690,469
				21,709,523
Multiline Retail - 0.3%
Dollar Tree, Inc. (a)		39,456		3,065,731
Ollie’s Bargain Outlet Holdings, Inc. (a)		23,488		966,531
Target Corp.		10,523		580,344
				4,612,606
Specialty Retail - 2.1%
ABC-Mart, Inc.		46,000		2,687,741
Burlington Stores, Inc. (a)		27,048		2,646,647
Caleres, Inc.		23,467		641,588
Children’s Place, Inc. (The)		4,325		467,965
Five Below, Inc. (a)		21,882		1,122,547
Floor & Decor Holdings, Inc. - Class A (a)		11,450		443,229
Foot Locker, Inc.		12,244		727,416
Home Depot, Inc. (The)		51,772		7,947,520
Lithia Motors, Inc. - Class A		10,337		939,116
Michaels Cos., Inc. (The) (a)		112,925		2,182,840
O’Reilly Automotive, Inc. (a)		4,995		1,209,190
TJX Cos., Inc. (The)		54,241		4,079,466
Ulta Salon Cosmetics & Fragrance, Inc. (a)		7,733		2,357,327
				27,452,592
Textiles, Apparel & Luxury Goods - 0.8%
Crocs, Inc. (a)		53,989		368,745
HUGO BOSS AG		19,350		1,458,659
Kering		3,125		1,034,026
NIKE, Inc. - Class B		115,449		6,117,642
Samsonite International SA		440,000		1,766,562
				10,745,634
				110,521,527
Health Care - 8.0%
Biotechnology - 0.9%
Alder Biopharmaceuticals, Inc. (a)		11,668		179,687
Avexis, Inc. (a)		3,410		241,258
BeiGene Ltd. (ADR) (a)		200		7,350
Biogen, Inc. (a)		20,814		5,157,085
Biohaven Pharmaceutical Holding Co., Ltd. (a)		1,330		33,529
Blueprint Medicines Corp. (a)		8,121		291,381
China Biologic Products, Inc. (a)		3,899		443,706
Clovis Oncology, Inc. (a)		7,147		369,214
DBV Technologies SA (Sponsored ADR) (a)		8,904		295,613
Gilead Sciences, Inc.		27,306		1,771,886
Grifols SA (ADR)		64,525		1,384,706
Loxo Oncology, Inc. (a)		7,478		341,371
Neurocrine Biosciences, Inc. (a)		9,113		396,142
Prothena Corp. PLC (a)		6,556		334,422

Company	Shares		U.S. $ Value
Sage Therapeutics, Inc. (a)		4,850		320,634
TESARO, Inc. (a)		2,782		415,380
Ultragenyx Pharmaceutical, Inc. (a)		4,753		255,949
				12,239,313
Health Care Equipment & Supplies - 2.2%
Align Technology, Inc. (a)		20,421		2,965,129
Baxter International, Inc.		7,916		469,498
Danaher Corp.		38,677		3,285,224
DENTSPLY SIRONA, Inc.		7,743		491,835
DexCom, Inc. (a)		11,533		770,866
Edwards Lifesciences Corp. (a)		62,935		7,241,931
Essilor International SA		31,727		4,217,746
Glaukos Corp. (a)		13,150		535,337
Intuitive Surgical, Inc. (a)		7,371		6,742,106
Nevro Corp. (a)		9,210		633,924
Penumbra, Inc. (a)		9,166		759,403
Sartorius AG (Preference Shares)		18,052		1,842,328
				29,955,327
Health Care Providers & Services - 1.6%
Aetna, Inc.		14,469		2,095,979
Cigna Corp.		16,854		2,717,371
LifePoint Health, Inc. (a)		14,778		898,502
McKesson Corp.		13,738		2,240,531
Molina Healthcare, Inc. (a)		12,314		795,115
Quest Diagnostics, Inc.		12,969		1,410,638
Teladoc, Inc. (a)		25,404		777,362
UnitedHealth Group, Inc.		45,913		8,043,039
VCA, Inc. (a)		10,936		1,007,534
WellCare Health Plans, Inc. (a)		5,112		878,242
				20,864,313
Health Care Technology - 0.2%
Cerner Corp. (a)		44,074		2,880,236
Life Sciences Tools & Services - 0.7%
Eurofins Scientific SE		11,681		6,194,835
ICON PLC (a)		19,705		1,854,240
Mettler-Toledo International, Inc. (a)		2,547		1,484,417
				9,533,492
Pharmaceuticals - 2.4%
Akorn, Inc. (a)		13,137		437,068
GW Pharmaceuticals PLC (ADR) (a)		2,834		279,461
Johnson & Johnson		41,723		5,350,975
Mallinckrodt PLC (a)		49,013		2,113,931
Medicines Co. (The) (a)		9,087		361,390
Merck & Co., Inc.		22,719		1,479,234
Novartis AG (REG)		12,360		1,011,483
Pfizer, Inc.		45,811		1,495,729
Roche Holding AG		17,660		4,848,532
Sanofi		33,433		3,311,660

Company	Shares		U.S. $ Value
Shire PLC		71,269		4,104,548
Teva Pharmaceutical Industries Ltd.		7,922		227,567
Teva Pharmaceutical Industries Ltd. (Sponsored ADR)		120,007		3,343,395
Zoetis, Inc.		49,144		3,060,688
				31,425,661
				106,898,342
Industrials - 6.2%
Aerospace & Defense - 1.0%
Airbus SE		33,475		2,753,009
BAE Systems PLC		152,643		1,313,883
Esterline Technologies Corp. (a)		7,453		726,295
Hexcel Corp.		41,411		2,129,768
L3 Technologies, Inc.		18,613		3,137,966
TransDigm Group, Inc.		3,488		935,063
United Technologies Corp.		15,544		1,885,176
				12,881,160
Air Freight & Logistics - 0.1%
Atlas Air Worldwide Holdings, Inc. (a)		11,583		564,092
Expeditors International of Washington, Inc.		15,247		813,885
				1,377,977
Airlines - 0.8%
Air Canada (a)		91,756		1,209,058
International Consolidated Airlines Group SA		252,087		1,966,020
Japan Airlines Co., Ltd.		79,900		2,342,228
JetBlue Airways Corp. (a)		76,567		1,716,632
Qantas Airways Ltd.		622,772		2,319,889
SkyWest, Inc.		21,672		743,350
United Continental Holdings, Inc. (a)		6,707		534,347
				10,831,524
Building Products - 0.4%
Allegion PLC		12,513		983,897
AO Smith Corp.		53,408		2,930,497
Lennox International, Inc.		6,558		1,161,422
				5,075,816
Commercial Services & Supplies - 0.4%
ABM Industries, Inc.		11,628		500,469
Advanced Disposal Services, Inc. (a)		25,600		596,992
Babcock International Group PLC		160,586		1,932,279
Copart, Inc. (a)		31,922		995,647
IWG PLC		272,691		1,167,201
Steelcase, Inc. - Class A		29,130		487,928
				5,680,516
Construction & Engineering - 0.2%
AECOM (a)		23,762		762,998
Dycom Industries, Inc. (a)		7,713		649,358
Quanta Services, Inc. (a)		34,904		1,070,156
Tutor Perini Corp. (a)		24,781		643,067
				3,125,579

Company	Shares		U.S. $ Value
Electrical Equipment - 0.4%
AMETEK, Inc.		14,247		869,352
Eaton Corp. PLC		36,732		2,842,322
EnerSys		9,042		669,650
Regal Beloit Corp.		11,098		878,962
				5,260,286
Industrial Conglomerates - 0.4%
Carlisle Cos., Inc.		8,609		872,350
General Electric Co.		38,630		1,057,689
Roper Technologies, Inc.		15,503		3,522,282
				5,452,321
Machinery - 1.4%
Cummins, Inc.		6,040		952,508
Deere & Co.		4,735		579,848
Gardner Denver Holdings, Inc. (a)		37,420		858,040
IDEX Corp.		22,553		2,446,324
IHI Corp. (a)		564,000		2,120,173
Ingersoll-Rand PLC		15,464		1,385,574
Kennametal, Inc.		12,376		476,105
Lincoln Electric Holdings, Inc.		11,613		1,037,970
Middleby Corp. (The) (a)		7,288		935,488
Nordson Corp.		9,618		1,114,534
Oshkosh Corp.		37,206		2,348,443
Parker-Hannifin Corp.		2,689		423,437
Snap-on, Inc.		7,162		1,157,809
SPX FLOW, Inc. (a)		23,234		867,325
Terex Corp.		25,893		848,772
WABCO Holdings, Inc. (a)		6,782		826,183
				18,378,533
Professional Services - 0.3%
Teleperformance		26,677		3,489,237
Road & Rail - 0.4%
Canadian National Railway Co. (Toronto)		10,219		792,268
CSX Corp.		17,047		923,436
Genesee & Wyoming, Inc. - Class A (a)		11,181		732,356
Ryder System, Inc.		7,882		523,522
Union Pacific Corp.		16,741		1,846,532
Werner Enterprises, Inc.		23,271		634,135
				5,452,249
Trading Companies & Distributors - 0.4%
BOC Aviation Ltd. (b)		291,600		1,500,073
Brenntag AG		19,420		1,126,741
MSC Industrial Direct Co., Inc. - Class A		9,270		778,124
SiteOne Landscape Supply, Inc. (a)		9,950		529,141
United Rentals, Inc. (a)		11,036		1,199,944
Watsco, Inc.		4,779		674,413
				5,808,436
				82,813,634

Company	Shares		U.S. $ Value
Consumer Staples - 5.6%
Beverages - 0.8%
Asahi Group Holdings Ltd.		16,200		646,354
Constellation Brands, Inc. - Class A		16,006		2,925,097
Cott Corp.		6,000		79,140
Monster Beverage Corp. (a)		95,020		4,804,211
PepsiCo, Inc.		21,122		2,468,528
				10,923,330
Food & Staples Retailing - 1.3%
Costco Wholesale Corp.		21,833		3,939,328
Koninklijke Ahold Delhaize NV		174,260		3,846,138
Kroger Co. (The)		89,982		2,679,664
Lenta Ltd. (GDR) (Foreign Shares) (a)(b)		248,391		1,527,605
Lenta Ltd. (GDR) (a)(b)		1		6
Loblaw Cos., Ltd.		14,803		836,665
Sugi Holdings Co., Ltd.		9,000		479,453
Tesco PLC (a)		485,332		1,150,512
Wal-Mart Stores, Inc.		25,598		2,012,003
X5 Retail Group NV (GDR) (a)(b)		25,466		921,869
				17,393,243
Food Products - 0.5%
Archer-Daniels-Midland Co.		13,627		566,611
BRF SA		75,800		1,014,742
Gruma SAB de CV - Class B		84,717		1,102,330
Ingredion, Inc.		3,214		366,685
Orkla ASA		151,624		1,517,100
Tyson Foods, Inc. - Class A		17,244		988,771
WH Group Ltd. (b)		1,430,000		1,339,652
				6,895,891
Household Products - 0.6%
Henkel AG & Co. KGaA (Preference Shares)		13,987		1,964,458
Procter & Gamble Co. (The)		40,728		3,587,729
Reckitt Benckiser Group PLC		18,526		1,900,106
				7,452,293
Personal Products - 0.3%
Amorepacific Corp.		2,130		652,462
LG Household & Health Care Ltd.		1,970		1,727,633
Unilever PLC		39,497		2,201,906
				4,582,001
Tobacco - 2.1%
Altria Group, Inc.		28,456		2,146,721
British American Tobacco PLC		159,843		11,435,582
Imperial Brands PLC		28,169		1,318,089
Japan Tobacco, Inc.		211,000		7,929,573
Philip Morris International, Inc.		38,312		4,589,778
				27,419,743
				74,666,501

Company	Shares		U.S. $ Value
Energy - 4.2%
Energy Equipment & Services - 0.5%
Helix Energy Solutions Group, Inc. (a)		25,150		125,247
Helmerich & Payne, Inc.		9,527		501,692
Oil States International, Inc. (a)		16,219		474,406
Petrofac Ltd.		45,906		225,397
RPC, Inc.		45,083		847,110
Schlumberger Ltd.		51,065		3,553,613
Superior Energy Services, Inc. (a)		46,676		484,030
				6,211,495
Oil, Gas & Consumable Fuels - 3.7%
Canadian Natural Resources Ltd.		67,177		1,938,728
Canadian Natural Resources Ltd. (Toronto)		46,955		1,353,539
Chevron Corp.		7,518		777,963
CNOOC Ltd.		675,000		766,369
Devon Energy Corp.		55,912		1,899,890
EOG Resources, Inc.		39,608		3,576,998
Exxon Mobil Corp.		49,773		4,006,726
Hess Corp.		53,304		2,446,120
HollyFrontier Corp.		21,640		517,196
JXTG Holdings, Inc.		457,200		1,994,280
LUKOIL PJSC (Sponsored ADR)		49,087		2,368,448
Marathon Petroleum Corp.		50,479		2,626,927
Novatek PJSC (Sponsored GDR) (b)		10,711		1,208,297
Oasis Petroleum, Inc. (a)		51,543		503,060
Parsley Energy, Inc. - Class A (a)		18,724		555,167
PDC Energy, Inc. (a)		9,810		487,165
PetroChina Co., Ltd. - Class H		1,754,000		1,166,395
QEP Resources, Inc. (a)		160,919		1,609,190
Royal Dutch Shell PLC - Class A		413,340		11,238,359
SM Energy Co.		33,286		564,863
SRC Energy, Inc. (a)		94,917		653,029
TOTAL SA		96,232		5,083,744
Valero Energy Corp.		9,397		577,634
YPF SA (Sponsored ADR)		78,284		1,930,483
				49,850,570
				56,062,065
Materials - 2.6%
Chemicals - 1.1%
Air Water, Inc.		64,400		1,159,827
Arkema SA		17,541		1,834,215
CF Industries Holdings, Inc.		62,203		1,673,261
Ecolab, Inc.		14,621		1,942,254
Huntsman Corp.		21,544		514,902
Incitec Pivot Ltd.		419,074		1,065,838
Ingevity Corp. (a)		8,802		519,934
Johnson Matthey PLC		30,495		1,225,275
LG Chem Ltd.		3,500		943,657
LyondellBasell Industries NV - Class A		14,856		1,196,205

Company	Shares		U.S. $ Value
Mosaic Co. (The)		6,364		144,017
Nippon Shokubai Co., Ltd.		19,900		1,216,344
PolyOne Corp.		23,965		894,853
Trinseo SA		11,858		764,248
				15,094,830
Construction Materials - 0.2%
Anhui Conch Cement Co., Ltd. - Class H		360,500		1,194,265
Buzzi Unicem SpA		40,996		1,064,431
Martin Marietta Materials, Inc.		4,077		913,656
				3,172,352
Containers & Packaging - 0.1%
Graphic Packaging Holding Co.		69,888		944,187
WestRock Co.		4,465		242,985
				1,187,172
Metals & Mining - 1.1%
BHP Billiton PLC		178,883		2,703,093
BlueScope Steel Ltd.		65,795		561,808
Boliden AB		46,357		1,267,348
Gerdau SA (Preference Shares)		400,700		1,181,316
Glencore PLC (a)		1,098,376		4,045,855
Goldcorp, Inc.		49,672		675,482
MMC Norilsk Nickel PJSC (ADR) (London)		104,535		1,454,707
Newmont Mining Corp.		10,707		365,644
POSCO (ADR)		17,290		1,087,195
Vedanta Ltd. (ADR)		54,680		810,358
				14,152,806
Paper & Forest Products - 0.1%
Mondi PLC		55,151		1,441,740
				35,048,900
Telecommunication Services - 1.9%
Diversified Telecommunication Services - 1.2%
AT&T, Inc.		75,890		2,924,042
BT Group PLC		975,310		3,875,349
China Unicom Hong Kong Ltd. (a)		1,950,000		2,799,994
Nippon Telegraph & Telephone Corp.		100,700		4,842,832
TDC A/S		221,453		1,320,971
Tower Bersama Infrastructure Tbk PT		1,045,000		451,897
Vonage Holdings Corp. (a)		83,566		577,441
				16,792,526
Wireless Telecommunication Services - 0.7%
SoftBank Group Corp.		41,500		3,369,418
T-Mobile US, Inc. (a)		34,459		2,323,226
Vodafone Group PLC		1,151,079		3,437,553
				9,130,197
				25,922,723
Utilities - 1.2%
Electric Utilities - 0.8%
American Electric Power Co., Inc.		37,748		2,709,551

Company	Shares		U.S. $ Value
Edison International		24,723		2,016,655
EDP - Energias de Portugal SA		299,484		1,101,895
Enel SpA		252,238		1,350,328
PG&E Corp.		10,108		691,185
PNM Resources, Inc.		22,353		860,591
Portland General Electric Co.		52,926		2,505,517
				11,235,722
Gas Utilities - 0.0%
Southwest Gas Holdings, Inc.		4,870		387,506
Multi-Utilities - 0.3%
DTE Energy Co.		3,576		391,644
NiSource, Inc.		83,436		2,175,177
NorthWestern Corp.		9,690		600,392
Public Service Enterprise Group, Inc.		11,879		533,486
WEC Energy Group, Inc.		6,319		396,580
				4,097,279
Water Utilities - 0.1%
Pennon Group PLC		72,972		866,233
				16,586,740
Real Estate - 0.9%
Equity Real Estate Investment Trusts (REITs) - 0.3%
Education Realty Trust, Inc.		22,060		845,119
Empire State Realty Trust, Inc. - Class A		26,779		557,003
Gramercy Property Trust		36,964		1,092,286
Mid-America Apartment Communities, Inc.		17,026		1,735,631
				4,230,039
Real Estate Management & Development - 0.6%
Ayala Land, Inc.		1,812,800		1,434,559
Daito Trust Construction Co., Ltd.		22,900		3,611,762
Global Logistic Properties Ltd.		274,100		574,507
LendLease Group		128,308		1,555,304
Wharf Holdings Ltd. (The)		138,000		1,172,348
				8,348,480
				12,578,519
Total Common Stocks (cost $830,718,095)				863,539,584
INVESTMENT COMPANIES - 33.5%
Funds and Investment Trusts - 33.5% (c)
AB All Market Real Return Portfolio - Class Z		10,863,831		90,169,800
AB Multi-Manager Alternative Strategies Fund - Class Z		16,464,987		160,862,919
AB Pooling Portfolio - AB Volatility Management Portfolio		19,579,786		190,119,724
iShares MSCI India ETF		238,491		7,762,882
Total Investment Companies (cost $458,613,502)				448,915,325
WARRANTS - 0.3%
Largan Precision Co., Ltd., expiring 1/22/18 (a)		11,660		1,838,140

Company	Shares		U.S. $ Value
Pegatron Corp., expiring 2/07/19 (a)		457,000		1,407,508
Realtek Semiconductor Corp., expiring 2/08/18 (a)(b)		341,000		1,137,383
Total Warrants (cost $4,298,929)				4,383,031
RIGHTS - 0.0%
Financials - 0.0%
Capital Markets - 0.0%
Credit Suisse Group AG, expiring 6/07/17 (a) (cost $0)		171,884		79,859
SHORT-TERM INVESTMENTS - 1.7%
Investment Companies - 1.7%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.64% (c)(d) (cost $22,720,217)		22,720,217		22,720,217
Total Investments - 99.9% (cost $1,316,350,743)				1,339,638,016
Other assets less liabilities - 0.1%				882,180
Net Assets - 100.0%			$	1,340,520,196

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA		JPY	356,063		USD	3,196		8/16/17	$	(30,006	)
Bank of America, NA		USD	1,743		ZAR	24,218		8/16/17		79,918
Barclays Bank PLC		KRW	2,338,264		USD	2,103		6/15/17		13,292
Barclays Bank PLC		ILS	4,448		USD	1,238		8/16/17		(21,086	)
Barclays Bank PLC		INR	86,246		USD	1,325		8/16/17		(2,640	)
Barclays Bank PLC		NOK	20,703		USD	2,388		8/16/17		(65,076	)
Barclays Bank PLC		USD	1,760		CNY	12,282		8/16/17		34,432
Barclays Bank PLC		USD	1,072		KRW	1,204,921		8/16/17		5,458
BNP Paribas SA		AUD	674		USD	502		8/16/17		2,046
Citibank, NA		BRL	12,155		USD	3,698		6/02/17		(57,877	)
Citibank, NA		USD	2,808		BRL	9,107		6/02/17		6,724
Citibank, NA		USD	951		BRL	3,048		6/02/17		(9,541	)
Citibank, NA		EUR	6,350		USD	6,796		6/15/17		(342,202	)
Citibank, NA		USD	5,697		CAD	7,663		6/15/17		(23,391	)
Citibank, NA		USD	1,696		EUR	1,564		6/15/17		61,600
Citibank, NA		USD	774		NOK	6,657		6/15/17		13,975
Citibank, NA		GBP	692		USD	896		8/16/17		2,408
Citibank, NA		KRW	6,838,592		USD	6,022		8/16/17		(92,632	)
Citibank, NA		USD	2,350		EUR	2,143		8/16/17		67,039
Citibank, NA		USD	805		SEK	7,104		8/16/17		15,789
Citibank, NA		USD	655		TWD	19,769		8/16/17		2,491
Citibank, NA		USD	847		ZAR	11,573		8/16/17		23,552
Credit Suisse International		BRL	6,740		USD	2,078		6/02/17		(4,976	)
Credit Suisse International		USD	2,104		BRL	6,740		6/02/17		(21,131	)
Credit Suisse International		USD	7,913		JPY	906,033		6/15/17		271,933
Credit Suisse International		USD	3,496		SEK	31,292		6/15/17		106,999
Credit Suisse International		USD	4,623		INR	302,020		8/16/17		26,652
Credit Suisse International		USD	1,161		NOK	9,783		8/16/17		(2,218	)

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Goldman Sachs Bank USA		AUD	6,881		USD	5,044		8/16/17		(63,473	)
Goldman Sachs Bank USA		USD	2,599		CAD	3,561		8/16/17		40,239
JPMorgan Chase Bank, NA		EUR	3,101		USD	3,315		8/16/17		(181,990	)
JPMorgan Chase Bank, NA		USD	755		JPY	83,459		8/16/17		652
JPMorgan Chase Bank, NA		USD	3,214		SEK	28,068		8/16/17		28,739
JPMorgan Chase Bank, NA		USD	1,306		TRY	4,793		8/16/17		23,491
Morgan Stanley Capital Services, Inc.		CHF	5,330		USD	5,305		6/15/17		(202,559	)
Morgan Stanley Capital Services, Inc.		JPY	96,973		USD	878		6/15/17		1,906
Morgan Stanley Capital Services, Inc.		USD	1,313		GBP	1,023		6/15/17		5,835
Morgan Stanley Capital Services, Inc.		HKD	28,784		USD	3,705		8/16/17		4,815
Morgan Stanley Capital Services, Inc.		JPY	180,477		USD	1,588		8/16/17		(47,463	)
Morgan Stanley Capital Services, Inc.		USD	2,292		CHF	2,266		8/16/17		59,152
Morgan Stanley Capital Services, Inc.		USD	664		GBP	515		8/16/17		729
Royal Bank of Scotland PLC		CHF	1,056		USD	1,067		6/15/17		(24,648	)
Royal Bank of Scotland PLC		USD	1,810		GBP	1,454		6/15/17		63,940
Royal Bank of Scotland PLC		CAD	697		USD	518		8/16/17		1,790
Standard Chartered Bank		BRL	12,799		USD	3,911		6/02/17		(44,281	)
Standard Chartered Bank		USD	3,914		BRL	12,799		6/02/17		40,761
Standard Chartered Bank		BRL	6,059		USD	1,824		7/05/17		(35,185	)
Standard Chartered Bank		USD	2,029		BRL	6,740		7/05/17		39,140
Standard Chartered Bank		USD	1,320		ZAR	17,716		8/16/17		13,888
State Street Bank & Trust Co.		GBP	13,027		USD	15,908		6/15/17		(882,766	)
State Street Bank & Trust Co.		HKD	32,507		USD	4,192		6/15/17		18,718
State Street Bank & Trust Co.		JPY	124,144		USD	1,121		6/15/17		(44	)
State Street Bank & Trust Co.		USD	9,026		AUD	11,991		6/15/17		(117,863	)
State Street Bank & Trust Co.		USD	394		GBP	317		6/15/17		14,458
State Street Bank & Trust Co.		GBP	951		USD	1,195		8/16/17		(33,401	)
State Street Bank & Trust Co.		USD	2,968		CHF	2,958		8/16/17		100,828
UBS AG		EUR	1,299		USD	1,381		6/15/17		(79,254	)
UBS AG		KRW	2,573,704		USD	2,234		6/15/17		(65,489	)
									$	(1,257,803	)

(a) Non-income producing security.

(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2017, the aggregate market value of these securities amounted to $23,032,017 or 1.7% of net assets.

(c) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(d) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

Currency Abbreviations:

AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar

CHF	-	Swiss Franc
CNY	-	Chinese Yuan Renminbi
EUR	-	Euro
GBP	-	Great British Pound
HKD	-	Hong Kong Dollar
ILS	-	Israeli Shekel
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
NOK	-	Norwegian Krone
SEK	-	Swedish Krona
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
ZAR	-	South African Rand

Glossary:

ADR	-	American Depositary Receipt
ETF	-	Exchange Traded Fund
GDR	-	Global Depositary Receipt
MSCI	-	Morgan Stanley Capital International
PJSC	-	Public Joint Stock Company
REG	-	Registered Shares

AB Wealth Appreciation Strategy

May 31, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Strategy. Unobservable inputs reflect the Strategy’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3—significant unobservable inputs (including the Strategy’s own assumptions in determining the fair value of investments)

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2017:

Investments in Securities:	Level 1			Level 2			Level 3			Total
Assets:
Common Stocks:
Information Technology	$	159,779,387		$	40,012,822		$	– 0	–	$	199,792,209
Financials		84,766,314			57,882,110			– 0	–		142,648,424
Consumer Discretionary		83,489,534			27,031,993			– 0	–		110,521,527
Health Care		81,139,643			25,758,699			– 0	–		106,898,342
Industrials		60,782,901			22,030,733			– 0	–		82,813,634
Consumer Staples		36,557,477			38,109,024			– 0	–		74,666,501
Energy		34,379,224			21,682,841			– 0	–		56,062,065
Materials		13,870,497			21,178,403			– 0	–		35,048,900
Telecommunication Services		5,824,709			20,098,014			– 0	–		25,922,723
Utilities		13,268,284			3,318,456			– 0	–		16,586,740
Real Estate		4,230,039			8,348,480			– 0	–		12,578,519
Investment Companies		448,915,325			– 0	–		– 0	–		448,915,325
Warrants		– 0	–		4,383,031			– 0	–		4,383,031
Rights		79,859			– 0	–		– 0	–		79,859
Short-Term Investments		22,720,217			– 0	–		– 0	–		22,720,217
Total Investments in Securities		1,049,803,410			289,834,606			– 0	–		1,339,638,016
Other Financial Instruments (a):
Assets:
Forward Currency Exchange Contracts		– 0	–		1,193,389			– 0	–		1,193,389
Liabilities:
Forward Currency Exchange Contracts		– 0	–		(2,451,192	)		– 0	–		(2,451,192	)
Total (b)	$	1,049,803,410		$	288,576,803		$	– 0	–	$	1,338,380,213

(a) Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument.

(b) There were no transfers between any levels during the reporting period.

The Strategy recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The Adviser established the Valuation Committee (the “Committee”) to oversee the pricing and valuation of all securities held in the Strategy. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Strategy’s transactions in shares of the AB Fixed Income Shares, Inc. - Government Money Market Portfolio for the nine months ended May 31, 2017 is as follows:

Market  Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Market  Value 5/31/17 (000)		Dividend Income (000)
$	– 0	–	$	66,432	$	43,712	$	22,720	$	26

A summary of the Strategy’s transactions of investments in affiliated issuers for the nine months ended May 31, 2017 is as follows:

																	Distributions
Affiliated Issuer	Market Value 8/31/16 (000)			Purchases at Cost (000)		Sales Proceeds (000)		Realized Gain (Loss) (000)			Change in Unrealized Appr./(Depr.) (000)			Market Value 5/31/17 (000)			Dividend Income (000)			Realized Gains (000)
AB All Market Real Return Portfolio - Class Z		$            – 0	–	$	92,056	$	804	$	4		$	(1,086	)	$	90,170		$	– 0	–	$	– 0	–
AB Multi-Manager Alternative Strategies Fund - Class Z		158,459			11,237		6,696		(13	)		(2,124	)		160,863			1,510			9,394
AB Pooling Portfolio - AB International Growth Portfolio		179,748			7,716		181,063		(7,011	)		610			– 0	–		7,001			– 0	–
AB Pooling Portfolio - AB International Value Portfolio		180,473			2,982		194,680		1,144			10,081			– 0	–		2,982			– 0	–
AB Pooling Portfolio - AB Multi-Asset Real Return Portfolio		91,447			2,457		97,159		(16,136	)		19,391			– 0	–		2,385			– 0	–
AB Pooling Portfolio - AB Small-Mid Cap Growth Portfolio		68,055			7,650		75,297		(6,611	)		6,203			– 0	–		664			6,986
AB Pooling Portfolio - AB Small-Mid Cap Value Portfolio		68,234			9,114		77,978		13,829			(13,199	)		– 0	–		728			8,386
AB Pooling Portfolio - AB U.S. Large Cap Growth Portfolio		205,824			35,516		223,594		(10,114	)		(7,632	)		– 0	–		770			34,746
AB Pooling Portfolio - AB U.S. Value Portfolio		206,665			2,390		230,368		95,658			(74,345	)		– 0	–		2,390			– 0	–
AB Pooling Portfolio - AB Volatility Management Portfolio		189,349			37,968		18,091		(3,525	)		(15,581	)		190,120			14,443			23,525

ITEM 2. CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3. EXHIBITS.

The following exhibits are attached to this Form N-Q:

EXHIBIT NO.	DESCRIPTION OF EXHIBIT
3 (a) (1)	Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)	Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): The AB Portfolios

By:	/s/    Robert M. Keith
	Robert M. Keith
	President
Date:	July 24, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/    Robert M. Keith
	Robert M. Keith
	President
Date:	July 24, 2017
By:	/s/    Joseph J. Mantineo
	Joseph J. Mantineo
	Treasurer and Chief Financial Officer
Date:	July 24, 2017