N-Q 1 d425656dnq.htm AB CAP FUND, INC. - AB ALL MARKET ALTERNATIVE RETURN PORTFOLIO AB Cap Fund, Inc. - AB All Market Alternative Return Portfolio

 

 

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: 811-01716

AB CAP FUND, INC.

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

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

Date of fiscal year end: October 31, 2017

Date of reporting period: July 31, 2017

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AB Cap Fund, Inc.

AB All Market Alternative Return Portfolio

Portfolio of Investments

July 31, 2017 (unaudited)

 

Company

    Shares        U.S. $ Value  

COMMON STOCKS - 38.0%

        

Information Technology - 6.8%

        

Communications Equipment - 0.5%

        

Cisco Systems, Inc.

      10,548        $ 331,735  

Motorola Solutions, Inc.

      6,227          564,664  

Telefonaktiebolaget LM Ericsson-Class B

      38,248          247,557  
       

 

 

  
          1,143,956  
       

 

 

  

Electronic Equipment, Instruments & Components - 0.3%

        

Corning, Inc.

      19,240          560,654  
       

 

 

  

Internet Software & Services - 1.4%

        

Alphabet, Inc.-Class A (a)

      323          305,396  

Alphabet, Inc.-Class C (a)

      346          321,953  

eBay, Inc. (a)

      17,130          612,055  

Facebook, Inc.-Class A (a)

      3,150          533,137  

MercadoLibre, Inc.

      1,910          550,882  

Mixi, Inc.

      9,500          522,117  

Moneysupermarket.com Group PLC

      55,140          241,421  

VeriSign, Inc. (a)

      2,060          208,410  
       

 

 

  
          3,295,371  
       

 

 

  

IT Services - 0.4%

        

DXC Technology Co.

      3,834          300,509  

Otsuka Corp.

      3,800          248,927  

Visa, Inc.-Class A

      720          71,683  

Western Union Co. (The)-Class W

      14,600          288,350  
       

 

 

  
          909,469  
       

 

 

  

Semiconductors & Semiconductor Equipment - 1.1%

        

Applied Materials, Inc.

      14,025          621,448  

ASM Pacific Technology Ltd.

      10,600          136,991  

Broadcom Ltd.

      2,780          685,715  

Intel Corp.

      1,827          64,804  

Lam Research Corp.

      3,530          562,894  

STMicroelectronics NV

      22,220          376,455  
       

 

 

  
          2,448,307  
       

 

 

  

Software - 2.1%

        

Adobe Systems, Inc. (a)

      3,671          537,765  

ANSYS, Inc. (a)

      2,430          314,806  

Electronic Arts, Inc. (a)

      5,000          583,700  

GungHo Online Entertainment, Inc.

      45,000          121,584  

Intuit, Inc.

      4,100          562,561  

Microsoft Corp.

      12,972          943,064  

Oracle Corp.

      5,587          278,959  

salesforce.com, Inc. (a)

      4,646          421,857  

Symantec Corp.

      18,230          564,948  

Trend Micro, Inc./Japan

      10,100          505,124  
       

 

 

  
          4,834,368  
       

 

 

  

Technology Hardware, Storage & Peripherals - 1.0%

        

Apple, Inc.

      9,710          1,444,168  

Western Digital Corp.

      3,690          314,093  

Company

    Shares        U.S. $ Value  

Xerox Corp.

      18,614        $ 570,891  
       

 

 

  
          2,329,152  
       

 

 

  
          15,521,277  
       

 

 

  

Consumer Discretionary - 5.9%

        

Auto Components - 0.2%

        

Magna International, Inc. (Toronto)-Class A

      11,944          569,633  
       

 

 

  

Automobiles - 0.3%

        

Ferrari NV

      5,887          619,486  

Mazda Motor Corp.

      4,900          73,661  
       

 

 

  
          693,147  
       

 

 

  

Diversified Consumer Services - 0.3%

        

Benesse Holdings, Inc.

      14,400          551,115  

H&R Block, Inc.

      8,190          249,795  
       

 

 

  
          800,910  
       

 

 

  

Hotels, Restaurants & Leisure - 1.1%

        

888 Holdings PLC

      71,270          242,137  

Aristocrat Leisure Ltd.

      34,313          556,434  

Genting Singapore PLC

      326,300          280,355  

Hilton Worldwide Holdings, Inc.

      8,000          500,240  

InterContinental Hotels Group PLC

      3,048          172,469  

Thomas Cook Group PLC

      216,070          313,043  

Yum! Brands, Inc.

      4,509          340,339  
       

 

 

  
          2,405,017  
       

 

 

  

Household Durables - 0.3%

        

Casio Computer Co., Ltd.

      21,100          345,627  

Electrolux AB-Class B

      12,560          429,495  
       

 

 

  
          775,122  
       

 

 

  

Internet & Direct Marketing Retail - 1.1%

        

Amazon.com, Inc. (a)

      591          583,778  

Liberty Interactive Corp. QVC Group-Class A (a)

      21,940          525,244  

Netflix, Inc. (a)

      4,440          806,570  

Rakuten, Inc.

      46,000          561,898  
       

 

 

  
          2,477,490  
       

 

 

  

Leisure Products - 0.2%

        

Sankyo Co., Ltd.

      14,600          479,207  
       

 

 

  

Media - 1.0%

        

CBS Corp.-Class B

      9,231          607,677  

Comcast Corp.-Class A

      2,660          107,597  

Discovery Communications, Inc.-Class A (a)

      19,977          491,434  

Discovery Communications, Inc.-Class C (a)

      20,612          476,756  

GEDI Gruppo Editoriale SpA (a)

      1,177          1,092  

ITV PLC

      226,600          518,190  

News Corp.-Class A

      969          13,866  
       

 

 

  
          2,216,612  
       

 

 

  

Company

    Shares        U.S. $ Value  

Multiline Retail - 0.5%

        

Dollarama, Inc.

      5,710        $ 558,153  

Next PLC

      9,200          479,554  
       

 

 

  
          1,037,707  
       

 

 

  

Specialty Retail - 0.5%

        

Best Buy Co., Inc.

      9,148          533,694  

Home Depot, Inc. (The)

      2,274          340,191  

Ross Stores, Inc.

      4,949          273,779  
       

 

 

  
          1,147,664  
       

 

 

  

Textiles, Apparel & Luxury Goods - 0.4%

        

Coats Group PLC

      261,560          273,666  

HUGO BOSS AG

      7,297          550,400  
       

 

 

  
          824,066  
       

 

 

  
          13,426,575  
       

 

 

  

Financials - 5.8%

        

Banks - 2.5%

        

Banco Bilbao Vizcaya Argentaria SA

      43,330          392,036  

Banco Santander SA

      89,750          611,033  

Bank of America Corp.

      17,210          415,105  

Bank of Ireland Group PLC (a)

      63,255          527,913  

BNP Paribas SA

      3,968          307,503  

BOC Hong Kong Holdings Ltd.

      61,500          302,363  

Citigroup, Inc.

      1,430          97,883  

East West Bancorp, Inc.

      1,880          107,122  

HSBC Holdings PLC

      9,635          96,494  

JPMorgan Chase & Co.

      11,017          1,011,361  

Nordea Bank AB

      17,630          222,453  

PNC Financial Services Group, Inc. (The)

      4,948          637,302  

Raiffeisen Bank International AG (a)

      10,130          298,528  

Swedbank AB-Class A

      21,750          567,183  

Wells Fargo & Co.

      4,290          231,403  
       

 

 

  
          5,825,682  
       

 

 

  

Capital Markets - 0.6%

        

3i Group PLC

      29,530          364,552  

Ameriprise Financial, Inc.

      4,488          650,221  

Polar Capital Holdings PLC

      44,500          249,238  
       

 

 

  
          1,264,011  
       

 

 

  

Consumer Finance - 0.7%

        

American Express Co.

      7,702          656,442  

Discover Financial Services

      9,210          561,257  

Navient Corp.

      31,360          462,560  
       

 

 

  
          1,680,259  
       

 

 

  

Diversified Financial Services - 0.1%

        

Berkshire Hathaway, Inc.-Class B (a)

      790          138,226  
       

 

 

  

Insurance - 1.9%

        

Aflac, Inc.

      7,545          601,714  

Ageas

      12,720          572,638  

American International Group, Inc.

      10,419          681,924  

Assurant, Inc.

      5,234          550,983  

Company

    Shares        U.S. $ Value  

Everest Re Group Ltd.

      1,470        $ 385,713  

Lincoln National Corp.

      5,701          416,515  

Mapfre SA

      60,390          224,942  

Marsh & McLennan Cos., Inc.

      4,774          372,229  

Prudential Financial, Inc.

      5,805          657,300  
       

 

 

  
          4,463,958  
       

 

 

  
          13,372,136  
       

 

 

  

Industrials - 5.5%

        

Aerospace & Defense - 0.4%

        

Boeing Co. (The)

      3,511          851,277  

Safran SA

      1,371          129,711  
       

 

 

  
          980,988  
       

 

 

  

Airlines - 0.7%

        

Air Canada (a)

      19,180          305,065  

International Consolidated Airlines Group SA

      27,980          213,389  

Qantas Airways Ltd.

      118,290          502,741  

Ryanair Holdings PLC (Sponsored ADR) (a)

      4,420          500,918  

United Continental Holdings, Inc. (a)

      1,515          102,535  
       

 

 

  
          1,624,648  
       

 

 

  

Commercial Services & Supplies - 0.4%

        

Derichebourg SA

      32,160          281,750  

Prosegur Cash SA (a)(b)

      96,100          261,655  

Toppan Printing Co., Ltd.

      46,000          486,115  
       

 

 

  
          1,029,520  
       

 

 

  

Construction & Engineering - 0.4%

        

ACS Actividades de Construccion y Servicios SA

      13,710          525,045  

HOCHTIEF AG

      2,860          510,492  
       

 

 

  
          1,035,537  
       

 

 

  

Electrical Equipment - 0.2%

        

Melrose Industries PLC

      29,390          90,118  

OSRAM Licht AG

      3,750          312,504  
       

 

 

  
          402,622  
       

 

 

  

Industrial Conglomerates - 0.9%

        

3M Co.

      1,761          354,260  

CITIC Ltd.

      159,000          241,582  

General Electric Co.

      7,730          197,965  

Honeywell International, Inc.

      4,115          560,134  

Roper Technologies, Inc.

      2,610          606,721  
       

 

 

  
          1,960,662  
       

 

 

  

Machinery - 0.7%

        

Cummins, Inc.

      1,828          306,921  

Fortive Corp.

      9,370          606,614  

Illinois Tool Works, Inc.

      4,238          596,329  
       

 

 

  
          1,509,864  
       

 

 

  

Company

    Shares        U.S. $ Value  

Marine - 0.1%

        

Mitsui OSK Lines Ltd.

      81,000        $ 252,094  
       

 

 

  

Professional Services - 0.6%

        

Adecco Group AG (REG)

      6,090          464,624  

Nielsen Holdings PLC

      13,940          599,559  

RELX NV

      13,320          279,779  
       

 

 

  
          1,343,962  
       

 

 

  

Road & Rail - 1.1%

        

ALD SA (a)(b)

      6,950          122,259  

Aurizon Holdings Ltd.

      137,583          552,225  

Central Japan Railway Co.

      3,600          579,337  

CSX Corp.

      4,580          225,977  

Nippon Express Co., Ltd.

      85,000          542,794  

Union Pacific Corp.

      4,896          504,092  
       

 

 

  
          2,526,684  
       

 

 

  
          12,666,581  
       

 

 

  

Health Care - 5.2%

        

Biotechnology - 1.3%

        

AbbVie, Inc.

      11,112          776,840  

Actelion Ltd. (REG) (a)

      180          50,167  

Amgen, Inc.

      4,829          842,709  

Biogen, Inc. (a)

      131          37,936  

Celgene Corp. (a)

      2,583          349,764  

Gilead Sciences, Inc.

      7,099          540,163  

Grifols SA

      9,760          273,865  
       

 

 

  
          2,871,444  
       

 

 

  

Health Care Equipment & Supplies - 1.2%

        

Ansell Ltd.

      13,880          243,874  

Baxter International, Inc.

      10,306          623,307  

Cochlear Ltd.

      4,644          530,501  

CRH Medical Corp. (a)

      31,040          101,828  

Hoya Corp.

      5,300          298,851  

Straumann Holding AG

      940          530,835  

Varian Medical Systems, Inc. (a)

      5,180          503,081  
       

 

 

  
          2,832,277  
       

 

 

  

Health Care Providers & Services - 1.1%

        

Centene Corp. (a)

      405          32,165  

Express Scripts Holding Co. (a)

      9,438          591,196  

Humana, Inc.

      2,510          580,312  

McKesson Corp.

      1,721          278,578  

Quest Diagnostics, Inc.

      4,942          535,268  

UnitedHealth Group, Inc.

      1,485          284,838  

WellCare Health Plans, Inc. (a)

      1,456          257,698  
       

 

 

  
          2,560,055  
       

 

 

  

Life Sciences Tools & Services - 0.0%

        

Mettler-Toledo International, Inc. (a)

      101          57,881  
       

 

 

  

Pharmaceuticals - 1.6%

        

Allergan PLC

      2,872          724,692  

GlaxoSmithKline PLC

      12,207          243,004  

Company

    Shares        U.S. $ Value  

Johnson & Johnson

      3,685        $ 489,073  

Merck & Co., Inc.

      10,345          660,839  

Novartis AG (REG)

      967          82,367  

Novo Nordisk A/S-Class B

      16,570          704,713  

Orion Oyj-Class B

      4,773          241,231  

Pfizer, Inc.

      13,720          454,955  

Roche Holding AG

      360          91,141  
       

 

 

  
          3,692,015  
       

 

 

  
          12,013,672  
       

 

 

  

Energy - 2.7%

        

Energy Equipment & Services - 0.5%

        

Petrofac Ltd.

      48,690          287,698  

TechnipFMC PLC (a)

      17,390          496,310  

Trican Well Service Ltd. (a)

      96,730          283,188  
       

 

 

  
          1,067,196  
       

 

 

  

Oil, Gas & Consumable Fuels - 2.2%

        

BP PLC

      35,357          207,678  

Chevron Corp.

      3,675          401,273  

China Aviation Oil Singapore Corp., Ltd.

      210,700          254,946  

Enerplus Corp.

      5,880          53,058  

Exxon Mobil Corp.

      5,190          415,408  

Inpex Corp.

      48,600          472,953  

Marathon Petroleum Corp.

      11,530          645,565  

ONEOK, Inc.

      9,650          545,900  

Paramount Resources Ltd.-Class A (a)

      16,850          270,032  

Saras SpA

      107,940          248,359  

Valero Energy Corp.

      9,138          630,248  

Veresen, Inc.

      37,280          544,511  

Whitehaven Coal Ltd. (a)

      130,390          309,856  
       

 

 

  
          4,999,787  
       

 

 

  
          6,066,983  
       

 

 

  

Consumer Staples - 2.6%

        

Beverages - 0.1%

        

Coca-Cola Co. (The)

      1,920          88,013  

PepsiCo, Inc.

      344          40,114  
       

 

 

  
          128,127  
       

 

 

  

Food & Staples Retailing - 1.2%

        

Distribuidora Internacional de Alimentacion SA

      83,732          563,978  

Empire Co., Ltd.-Class A

      15,120          245,704  

J Sainsbury PLC

      147,808          477,562  

Jeronimo Martins SGPS SA

      26,110          513,540  

Wal-Mart Stores, Inc.

      10,352          828,056  
       

 

 

  
          2,628,840  
       

 

 

  

Food Products - 1.1%

        

a2 Milk Co., Ltd. (a)

      77,230          256,109  

Campbell Soup Co.

      6,715          354,753  

Conagra Brands, Inc.

      13,710          469,430  

Kraft Heinz Co. (The)

      7,520          657,699  

Nestle SA (REG)

      3,130          264,202  

Company

    Shares        U.S. $ Value  

Tyson Foods, Inc.-Class A

      8,974        $ 568,593  
       

 

 

  
          2,570,786  
       

 

 

  

Household Products - 0.1%

        

Procter & Gamble Co. (The)

      2,826          256,657  
       

 

 

  

Personal Products - 0.1%

        

Best World International Ltd.

      241,500          274,162  
       

 

 

  

Tobacco - 0.0%

        

Philip Morris International, Inc.

      750          87,533  
       

 

 

  
          5,946,105  
       

 

 

  

Materials - 1.8%

        

Chemicals - 0.9%

        

Agrium, Inc. (Toronto)

      5,954          595,806  

Covestro AG (b)

      6,886          533,997  

Orica Ltd.

      33,240          528,436  

Platform Specialty Products Corp. (a)

      20,230          283,422  
       

 

 

  
          1,941,661  
       

 

 

  

Construction Materials - 0.0%

        

CRH PLC

      2,812          98,704  
       

 

 

  

Containers & Packaging - 0.2%

        

CCL Industries, Inc.-Class B

      10,930          523,991  
       

 

 

  

Metals & Mining - 0.7%

        

Ausdrill Ltd.

      180,070          280,269  

Ivanhoe Mines Ltd. (a)

      58,100          229,278  

KAZ Minerals PLC (a)

      31,320          296,652  

Silvercorp Metals, Inc.

      59,100          173,970  

South32 Ltd.

      256,970          599,345  
       

 

 

  
          1,579,514  
       

 

 

  
          4,143,870  
       

 

 

  

Utilities - 1.2%

        

Electric Utilities - 0.7%

        

Chugoku Electric Power Co., Inc. (The)

      47,600          521,836  

Power Assets Holdings Ltd.

      60,000          594,286  

Tokyo Electric Power Co. Holdings, Inc. (a)

      92,900          394,053  
       

 

 

  
          1,510,175  
       

 

 

  

Multi-Utilities - 0.5%

        

CenterPoint Energy, Inc.

      18,657          525,941  

Centrica PLC

      173,853          455,437  

RWE AG (a)

      7,210          151,919  
       

 

 

  
          1,133,297  
       

 

 

  
          2,643,472  
       

 

 

  

Real Estate - 0.4%

        

Equity Real Estate Investment Trusts (REITs) - 0.1%

        

Iron Mountain, Inc.

      9,150          333,335  
       

 

 

  

Real Estate Management & Development - 0.3%

        

Hang Lung Group Ltd.

      6,000          22,791  

Company

    Shares        U.S. $ Value  

Kerry Properties Ltd.

      119,000        $ 417,007  

Yanlord Land Group Ltd.

      183,700          245,319  
       

 

 

  
          685,117  
       

 

 

  
          1,018,452  
       

 

 

  

Telecommunication Services - 0.1%

        

Diversified Telecommunication Services - 0.1%

        

AT&T, Inc.

      5,254          204,906  

Verizon Communications, Inc.

      1,971          95,396  
       

 

 

  
          300,302  
       

 

 

  

Total Common Stocks
(cost $83,894,698)

           87,119,425  
       

 

 

  

SHORT-TERM INVESTMENTS - 52.9%

        

Investment Companies - 31.9%

        

AB Fixed Income Shares, Inc.-Government Money Market Portfolio-Class AB, 0.86% (c)(d)
(cost $73,060,387)

      73,060,387          73,060,387  
       

 

 

  
     Principal
Amount
(000)		           

Governments - Treasuries - 18.8%

        

Japan - 18.8%

        

Japan Treasury Discount Bill Series 686
Zero Coupon, 9/04/17
(cost $42,675,880)

    JPY 4,750,350          43,093,923  
       

 

 

  

U.S. Treasury Bills - 2.2%

        

U.S. Treasury Bill

        

Zero Coupon, 8/24/17-9/28/17 (e)

    U.S.$ 4,000          3,994,222  

Zero Coupon, 10/26/17

      1,000          997,408  
       

 

 

  

(cost $4,991,630)

           4,991,630  
       

 

 

  

Total Short-Term Investments
(cost $120,727,897)

           121,145,940  
       

 

 

  

Total Investments - 90.9%
(cost $204,622,595) (f)

           208,265,365  

Other assets less liabilities - 9.1% (g)

           20,817,990  
       

 

 

  

Net Assets - 100.0%

         $ 229,083,355  
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
July 31,
2017		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

               

10 Yr Canadian Bond Futures

      706        September 2017      $ 78,967,797      $ 77,743,525      $ (1,224,272 ) 

10 Yr Japan Bond (OSE) Futures

      68        September 2017        92,650,142        92,619,892        (30,250 ) 

Amsterdam Index Futures

      9        August 2017        1,100,495        1,112,086        11,591  

Brent Crude Futures

      18        September 2017        851,913        951,660        99,747  

CAC 40 10 Euro Futures

      48        August 2017        2,956,259        2,892,261        (63,998 ) 

Coffee ‘C’ Futures

      61        September 2017        2,921,427        3,185,344        263,917  

Cotton No.2 Futures

      14        December 2017        478,486        482,020        3,534  

DAX Index Futures

      6        September 2017        2,241,310        2,150,285        (91,025 ) 

Euro-Bund Futures

      282        September 2017        54,644,966        54,064,046        (580,920 ) 

FTSE 100 Index Futures

      329        September 2017        32,007,079        31,731,449        (275,630 ) 

FTSE/MIB Index Futures

      4        September 2017        505,948        508,561        2,613  

Gasoline RBOB Futures

      65        August 2017        4,103,621        4,577,118        473,497  

IBEX 35 Index Futures

      5        August 2017        630,005        621,448        (8,557 ) 

Lean Hogs Futures

      100        October 2017        2,834,036        2,641,000        (193,036 ) 

Live Cattle Futures

      110        October 2017        5,003,055        4,925,800        (77,255 ) 

LME Lead Futures

      80        September 2017        4,181,244        4,651,000        469,756  

LME Nickel Futures

      124        September 2017        6,703,769        7,583,220        879,451  

LME Primary Aluminum Futures

      50        September 2017        2,384,195        2,385,625        1,430  

LME Tin Futures

      60        September 2017        5,865,183        6,213,000        347,817  

LME Zinc Futures

      99        September 2017        6,894,994        6,904,631        9,637  

Low SU Gasoil Futures

      211        September 2017        9,239,759        10,286,250        1,046,491  

MSCI Singapore IX ETS Futures

      1,280        August 2017        34,794,436        34,801,756        7,320  

Silver Futures

      86        September 2017        6,817,566        7,217,980        400,414  

Soybean Meal Futures

      22        December 2017        728,375        715,880        (12,495 ) 

Soybean Oil Futures

      99        December 2017        1,900,107        2,086,722        186,615  

TOPIX Index Futures

      240        September 2017        35,176,079        35,256,021        79,942  

Sold Contracts

               

10 Yr Australian Bond Futures

      794        September 2017        82,764,626        81,911,937        852,689  

Cattle Feeder Futures

      6        October 2017        431,232        438,675        (7,443 ) 

Cocoa Futures

      147        September 2017        2,768,191        3,028,200        (260,009 ) 

Corn Futures

      208        September 2017        4,018,322        3,855,800        162,522  

Gold 100 OZ Futures

      16        December 2017        1,966,140        2,037,440        (71,300 ) 

Hang Seng Index Futures

      22        August 2017        3,809,784        3,834,537        (24,753 ) 

KC HRW Wheat Futures

      44        September 2017        1,001,878        1,044,450        (42,572 ) 

LME Copper Futures

      35        September 2017        5,040,185        5,561,937        (521,752 ) 

LME Lead Futures

      171        September 2017        9,755,097        9,941,513        (186,416 ) 

LME Nickel Futures

      108        September 2017        5,776,861        6,604,740        (827,879 ) 

LME Primary Aluminum Futures

      69        September 2017        3,336,830        3,292,163        44,667  

LME Tin Futures

      6        September 2017        596,384        621,300        (24,916 ) 

LME Zinc Futures

      32        September 2017        1,959,715        2,231,800        (272,085 ) 

Long Gilt Futures

      445        September 2017        74,680,951        73,990,527        690,424  

Mini MSCI EAFE Futures

      335        September 2017        31,558,820        32,476,575        (917,755 ) 

NY Harbor ULSD Futures

      164        August 2017        10,182,013        11,485,051        (1,303,038 ) 

OMXS 30 Index Futures

      498        August 2017        9,687,714        9,529,713        158,001  

Platinum Futures

      161        October 2017        7,330,707        7,572,635        (241,928 ) 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
July 31,
2017		      Unrealized
Appreciation/
(Depreciation)		  

S&P 500 E-Mini Futures

      693        September 2017      $ 84,178,192      $ 85,516,200      $ (1,338,008 ) 

S&P/TSX 60 Index Futures

      205        September 2017        29,646,280        29,248,366        397,914  

Soybean Futures

      13        November 2017        609,174        654,712        (45,538 ) 

SPI 200 Futures

      308        September 2017        34,687,230        34,871,760        (184,530 ) 

Sugar 11 (World) Futures

      52        September 2017        838,073        868,358        (30,285 ) 

U.S. T-Note 10 Yr (CBT) Futures

      402        September 2017        50,594,340        50,608,031        (13,691 ) 

Wheat (CBT) Futures

      38        September 2017        854,013        901,550        (47,537 ) 

WTI Crude Futures

      89        August 2017        3,949,197        4,465,130        (515,933 ) 
              

 

 

  
               $ (2,844,817 ) 
              

 

 

  

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        4,861        USD        3,660        9/15/17      $ (226,930 ) 

Australia and New Zealand Banking Group Ltd.

      NZD        46,164        USD        33,295        9/15/17        (1,347,480 ) 

Australia and New Zealand Banking Group Ltd.

      USD        1,215        AUD        1,597        9/15/17        61,552  

Bank of America, NA

      BRL        17,473        USD        5,502        9/05/17        (65,468 ) 

Bank of America, NA

      CAD        2,889        USD        2,166        9/15/17        (152,848 ) 

Bank of America, NA

      CNY        34,008        USD        5,041        9/15/17        (5,333 ) 

Bank of America, NA

      CZK        566,677        USD        24,414        9/15/17        (1,388,023 ) 

Bank of America, NA

      GBP        863        USD        1,126        9/15/17        (13,643 ) 

Bank of America, NA

      INR        777,517        USD        11,974        9/15/17        (96,772 ) 

Bank of America, NA

      NOK        12,886        USD        1,599        9/15/17        (41,395 ) 

Bank of America, NA

      RUB        159,543        USD        2,751        9/15/17        106,667  

Bank of America, NA

      SEK        11,711        USD        1,417        9/15/17        (37,229 ) 

Bank of America, NA

      USD        1,155        CAD        1,455        9/15/17        12,683  

Bank of America, NA

      USD        7,003        COP        21,113,812        9/15/17        32,327  

Bank of America, NA

      USD        3,484        EUR        3,012        9/15/17        89,378  

Bank of America, NA

      USD        30,698        INR        1,993,551        9/15/17        251,230  

Bank of America, NA

      USD        2,307        JPY        257,489        9/15/17        33,127  

Bank of America, NA

      USD        2,016        PEN        6,608        9/15/17        14,602  

Bank of America, NA

      USD        40,725        PHP        2,062,715        9/15/17        47,703  

Bank of America, NA

      USD        13,992        RUB        841,198        9/15/17        (49,950 ) 

Barclays Bank PLC

      HUF        1,888,816        USD        6,916        9/15/17        (451,462 ) 

Barclays Bank PLC

      IDR        102,417,483        USD        7,653        9/15/17        (5,341 ) 

Barclays Bank PLC

      SEK        8,690        USD        1,005        9/15/17        (74,389 ) 

Barclays Bank PLC

      TWD        98,026        USD        3,258        9/15/17        7,062  

Barclays Bank PLC

      USD        1,046        CAD        1,394        9/15/17        72,532  

Barclays Bank PLC

      USD        1,409        CNY        9,611        9/15/17        17,380  

Barclays Bank PLC

      USD        31,747        PLN        118,806        9/15/17        1,292,216  

Barclays Bank PLC

      USD        5,347        SEK        46,256        9/15/17        395,966  

BNP Paribas SA

      AUD        2,699        USD        2,043        9/15/17        (115,460 ) 

BNP Paribas SA

      CAD        32,662        USD        24,299        9/15/17        (1,915,744 ) 

BNP Paribas SA

      GBP        8,221        USD        10,682        9/15/17        (180,740 ) 

BNP Paribas SA

      JPY        606,146        USD        5,366        9/15/17        (142,994 ) 

BNP Paribas SA

      KRW        5,492,195        USD        4,944        9/15/17        38,945  

BNP Paribas SA

      PEN        3,724        USD        1,142        9/15/17        (2,130 ) 

BNP Paribas SA

      SEK        70,019        USD        8,562        9/15/17        (132,039 ) 

BNP Paribas SA

      TRY        51,601        USD        14,333        9/15/17        (127,303 ) 

BNP Paribas SA

      USD        18,110        AUD        23,534        9/15/17        706,684  

BNP Paribas SA

      USD        26,292        CAD        33,516        9/15/17        608,080  

BNP Paribas SA

      USD        2,538        MXN        44,984        9/15/17        (28,537 ) 

BNP Paribas SA

      USD        16,599        NZD        22,087        9/15/17        (24,511 ) 

Credit Suisse International

      AUD        35,100        USD        25,913        9/15/17        (2,151,967 ) 

Counterparty

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

Credit Suisse International

      CLP        1,168,668        USD        1,734        9/15/17      $ (62,889 ) 

Credit Suisse International

      COP        21,853,902        USD        7,386        9/15/17        104,592  

Credit Suisse International

      CZK        20,643        USD        903        9/15/17        (37,281 ) 

Credit Suisse International

      PEN        17,783        USD        5,392        9/15/17        (73,023 ) 

Credit Suisse International

      USD        8,458        GBP        6,560        9/15/17        209,721  

Credit Suisse International

      USD        4,554        NOK        38,390        9/15/17        333,112  

Deutsche Bank AG

      USD        10,778        BRL        36,523        9/05/17        858,467  

Deutsche Bank AG

      CHF        24,362        USD        25,425        9/15/17        161,944  

Deutsche Bank AG

      CLP        2,129,275        USD        3,288        9/15/17        14,712  

Deutsche Bank AG

      CLP        7,325,557        USD        10,999        9/15/17        (263,982 ) 

Deutsche Bank AG

      GBP        6,750        USD        8,750        9/15/17        (167,955 ) 

Deutsche Bank AG

      NOK        274,878        USD        33,275        9/15/17        (1,717,244 ) 

Deutsche Bank AG

      NZD        772        USD        561        9/15/17        (18,630 ) 

Deutsche Bank AG

      USD        7,974        CHF        7,669        9/15/17        (21,284 ) 

Deutsche Bank AG

      USD        22,686        GBP        17,232        9/15/17        83,955  

Deutsche Bank AG

      USD        1,612        HUF        435,778        9/15/17        87,422  

Deutsche Bank AG

      USD        2,251        PLN        8,190        9/15/17        26,600  

Deutsche Bank AG

      USD        3,216        TRY        11,516        9/15/17        11,570  

Goldman Sachs Bank USA

      CHF        5,352        USD        5,565        9/15/17        15,220  

Goldman Sachs Bank USA

      USD        755        COP        2,313,585        9/15/17        15,568  

JPMorgan Chase Bank, NA

      USD        3,453        BRL        11,511        9/05/17        214,826  

JPMorgan Chase Bank, NA

      GBP        405        USD        517        9/15/17        (18,055 ) 

JPMorgan Chase Bank, NA

      PEN        3,076        USD        931        9/15/17        (14,747 ) 

JPMorgan Chase Bank, NA

      PHP        1,266,450        USD        24,879        9/15/17        (154,541 ) 

JPMorgan Chase Bank, NA

      USD        876        GBP        686        9/15/17        30,582  

JPMorgan Chase Bank, NA

      USD        9,235        IDR        123,820,256        9/15/17        23,708  

JPMorgan Chase Bank, NA

      USD        9,764        INR        634,566        9/15/17        87,486  

JPMorgan Chase Bank, NA

      USD        4,543        KRW        5,175,286        9/15/17        79,032  

JPMorgan Chase Bank, NA

      USD        802        SGD        1,107        9/15/17        15,442  

JPMorgan Chase Bank, NA

      USD        230        TWD        7,002        9/15/17        2,345  

Morgan Stanley & Co., Inc.

      AUD        19,502        USD        15,598        9/15/17        4,960  

Morgan Stanley & Co., Inc.

      CAD        20,396        USD        16,110        9/15/17        (260,232 ) 

Morgan Stanley & Co., Inc.

      CHF        7,617        USD        7,976        9/15/17        77,135  

Morgan Stanley & Co., Inc.

      EUR        26,569        USD        30,935        9/15/17        (590,584 ) 

Morgan Stanley & Co., Inc.

      GBP        2,075        USD        2,682        9/15/17        (59,292 ) 

Morgan Stanley & Co., Inc.

      HUF        781,829        USD        2,953        9/15/17        (97,266 ) 

Morgan Stanley & Co., Inc.

      MXN        115,344        USD        6,326        9/15/17        (107,142 ) 

Morgan Stanley & Co., Inc.

      NOK        4,797        USD        565        9/15/17        (45,207 ) 

Morgan Stanley & Co., Inc.

      PLN        814        USD        219        9/15/17        (7,554 ) 

Morgan Stanley & Co., Inc.

      SEK        170,712        USD        20,266        9/15/17        (929,575 ) 

Morgan Stanley & Co., Inc.

      USD        7,660        CAD        9,967        9/15/17        339,442  

Morgan Stanley & Co., Inc.

      USD        6,012        EUR        5,317        9/15/17        297,117  

Morgan Stanley & Co., Inc.

      USD        14,706        JPY        1,632,975        9/15/17        135,477  

Morgan Stanley & Co., Inc.

      USD        15,647        MXN        287,160        9/15/17        369,679  

Morgan Stanley & Co., Inc.

      USD        13,397        NOK        110,814        9/15/17        709,653  

Morgan Stanley & Co., Inc.

      USD        21,171        NZD        29,013        9/15/17        600,004  

Morgan Stanley & Co., Inc.

      USD        848        SEK        7,170        9/15/17        42,495  

Morgan Stanley & Co., Inc.

      USD        935        ZAR        12,313        9/15/17        (7,819 ) 

Morgan Stanley & Co., Inc.

      ZAR        43,623        USD        3,345        9/15/17        59,011  

Nomura Global Financial Products, Inc.

      JPY        4,750,328        USD        42,986        9/06/17        (166,343 ) 

Nomura Global Financial Products, Inc.

      JPY        347,341        USD        3,088        9/15/17        (68,379 ) 

Nomura Global Financial Products, Inc.

      USD        14,466        JPY        1,608,804        9/15/17        155,097  

Standard Chartered Bank

      CLP        81,700        USD        123        9/15/17        (2,571 ) 

Standard Chartered Bank

      KRW        22,189,476        USD        19,759        9/15/17        (57,874 ) 

Standard Chartered Bank

      TWD        955,505        USD        31,771        9/15/17        84,676  

Standard Chartered Bank

      USD        4,120        CNY        28,171        9/15/17        60,904  

Standard Chartered Bank

      USD        22,335        IDR        299,739,458        9/15/17        77,381  

Standard Chartered Bank

      USD        17,464        PHP        868,650        9/15/17        (293,616 ) 

Standard Chartered Bank

      USD        21,929        TRY        79,320        9/15/17        299,871  

Standard Chartered Bank

      ZAR        257,156        USD        19,824        9/15/17        451,010  

State Street Bank & Trust Co.

      AUD        433        USD        326        9/15/17        (20,089 ) 

State Street Bank & Trust Co.

      CAD        781        USD        589        9/15/17        (38,036 ) 

State Street Bank & Trust Co.

      CHF        466        USD        484        9/15/17        1,043  

Counterparty

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

State Street Bank & Trust Co.

      CHF        111        USD        114        9/15/17      $ (1,094 ) 

State Street Bank & Trust Co.

      EUR        3,550        USD        3,994        9/15/17        (218,092 ) 

State Street Bank & Trust Co.

      GBP        312        USD        405        9/15/17        (7,147 ) 

State Street Bank & Trust Co.

      JPY        34,748        USD        317        9/15/17        1,385  

State Street Bank & Trust Co.

      JPY        71,897        USD        638        9/15/17        (15,179 ) 

State Street Bank & Trust Co.

      NOK        3,506        USD        419        9/15/17        (27,092 ) 

State Street Bank & Trust Co.

      NZD        1,412        USD        982        9/15/17        (77,891 ) 

State Street Bank & Trust Co.

      SEK        10,363        USD        1,195        9/15/17        (91,894 ) 

State Street Bank & Trust Co.

      SGD        1,821        USD        1,299        9/15/17        (45,744 ) 

State Street Bank & Trust Co.

      THB        1,049,537        USD        31,064        9/15/17        (483,369 ) 

State Street Bank & Trust Co.

      USD        534        CHF        535        9/15/17        20,562  

State Street Bank & Trust Co.

      USD        44        CHF        42        9/15/17        (159 ) 

State Street Bank & Trust Co.

      USD        38,950        EUR        34,579        9/15/17        2,079,235  

State Street Bank & Trust Co.

      USD        254        GBP        196        9/15/17        4,779  

State Street Bank & Trust Co.

      USD        313        JPY        35,302        9/15/17        7,976  

State Street Bank & Trust Co.

      USD        16,483        JPY        1,808,259        9/15/17        (49,316 ) 

State Street Bank & Trust Co.

      USD        1,328        NOK        11,220        9/15/17        99,827  

State Street Bank & Trust Co.

      USD        501        NZD        713        9/15/17        33,726  

State Street Bank & Trust Co.

      USD        813        SEK        7,019        9/15/17        58,833  

State Street Bank & Trust Co.

      USD        198        SGD        274        9/15/17        4,661  
                 

 

 

  
                  $ (2,855,498 ) 
                 

 

 

  

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        14,470        4/03/27        6 Month NIBOR       1.909%     $ (10,727 ) 

Morgan Stanley & Co., LLC/(CME Group)

         540,090        5/02/27        6 Month NIBOR       1.901%       (530,875 ) 

Morgan Stanley & Co., LLC/(CME Group)

      CHF        27,850        5/02/27        6 Month LIBOR       0.135%       (452,480 ) 

Morgan Stanley & Co., LLC/(CME Group)

      NZD        28,580        6/07/27        3.225%       3 Month BKBM       58,738  

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        40,760        7/21/27        6 Month NIBOR       1.985%     $ (13,040 ) 

Morgan Stanley & Co., LLC/(CME Group)

      NZD        13,700        7/21/27        3.305%       3 Month BKBM       (20,861 ) 

Morgan Stanley & Co., LLC/(CME Group)

      CHF        37,810        7/31/27        6 Month LIBOR       0.300%       (132,895 ) 

Morgan Stanley & Co., LLC/(CME Group)

      SEK        34,950        7/31/27        1.215%       6 Month STIBOR       34,881  
               

 

 

  
                $ (1,067,259 ) 
               

 

 

  

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 & Co. International PLC MSCBGABG

    $ 245,794        0.30 %      USD        42,250        7/16/18      $ (298,911 ) 

Morgan Stanley Capital Services LLC MSCBGABG

      242,985        0.30 %      USD        42,200        8/15/18        (728,445 ) 
                

 

 

  
                 $ (1,027,356 ) 
                

 

 

  

VARIANCE SWAPS

 

Swap Counterparty & Referenced Obligation

    Volatility
Strike
Price		     Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
(Paid)
Received		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

              

Citibank, NA

              

Euro STOXX 50 Index 10/20/17*

      16.50 %      EUR        1     $ (16,782 )    $             – 0  –    $ (16,782 ) 

FTSE 100 Index 10/20/17*

      13.00       GBP        – 0  –**      (3,352 )      – 0  –      (3,352 ) 

S&P 500 Index 10/20/17*

      12.85       $        – 0  –**      2,605       – 0  –      2,605  

S&P/ASX 200 Index 10/19/17*

      13.70       AUD        – 0  –**      (2,454 )      – 0  –      (2,454 ) 

Deutsche Bank AG

              

iShares MSCI Emerging Market 10/20/17*

      17.75       $        – 0  –**      (38,329 )      – 0  –      (38,329 ) 

Nasdaq 100 Stock Index 10/20/17*

      17.50          1       12,727       – 0  –      12,727  

Russell 2000 Index 10/20/17*

      17.05          60       2,054       – 0  –      2,054  

UBS AG

              

Nikkei 225 Index 10/13/17*

      16.10       JPY        – 0  –**      (6,140 )      – 0  –      (6,140 ) 

Sale Contracts

              

Bank of America, NA

              

Euro STOXX 50 Index 8/18/17*

      12.40       EUR        – 0  –**      (9,571 )      – 0  –      (9,571 ) 

Swap Counterparty & Referenced Obligation

    Volatility
Strike
Price		      Notional
Amount
(000)		     Market
Value		     Upfront
Premiums
(Paid)
Received		     Unrealized
Appreciation/
(Depreciation)		  

FTSE 100 Index

               

8/18/17*

      9.90        GBP        1     $ (11,819 )    $             – 0  –    $ (11,819 ) 

S&P 500 Index 8/18/17*

      11.45        $        – 0  –**      24,540       – 0  –      24,540  

Citibank, NA

               

Euro STOXX 50 Index

               

8/18/17*

      14.40        EUR        1       14,143       – 0  –      14,143  

Deutsche Bank AG

               

iShares MSCI Emerging

               

Market 8/18/17*

      13.80        $        1       7,583       – 0  –      7,583  

Goldman Sachs International

               

S&P 500 Index 8/18/17*

      9.75           – 0  –**      21,349       – 0  –      21,349  

HSBC Bank USA, NA

               

Nikkei 225 Index

               

8/10/17*

      14.15        JPY        30       54,062       – 0  –      54,062  
          

 

 

    

 

 

    

 

 

  
           $ 50,616     $ – 0  –    $ 50,616  
          

 

 

    

 

 

    

 

 

  

 

* Termination date
** Notional amount less than $500.

 

(a) Non-income producing security.
(b) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At July 31, 2017, the aggregate market value of these securities amounted to $917,911 or 0.4% 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) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(f) As of July 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $4,673,606 and gross unrealized depreciation of investments was $(1,030,836), resulting in net unrealized appreciation of $3,642,770.
(g) An amount of U.S. 23,181,066, has been segregated to collateralize margin requirements for the open futures contracts at July 31, 2017.

Currency Abbreviations:

 

AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
CLP    -    Chilean Peso
CNY    -    Chinese Yuan Renminbi
COP    -    Colombian Peso
CZK    -    Czech Koruna
EUR    -    Euro
GBP    -    Great British Pound
HUF    -    Hungarian Forint
IDR    -    Indonesian Rupiah
INR    -    Indian Rupee
JPY    -    Japanese Yen
KRW    -    South Korean Won
MXN    -    Mexican Peso
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar
PEN    -    Peruvian Sol
PHP    -    Philippine Peso

PLN    -    Polish Zloty
RUB    -    Russian Ruble
SEK    -    Swedish Krona
SGD    -    Singapore Dollar
THB    -    Thailand Baht
TRY    -    Turkish Lira
TWD    -    New Taiwan Dollar
USD    -    United States Dollar
ZAR    -    South African Rand

Glossary:

 

ADR    -    American Depositary Receipt
ASX    -    Australian Stock Exchange
BKBM    -    Bank Bill Benchmark (New Zealand)
CAC    -    Cotation Assistée en Continu (Continuous Assisted Quotation)
CBT    -    Chicago Board of Trade
CME    -    Chicago Mercantile Exchange
DAX    -    Deutscher Aktien Index (German Stock Index)
EAFE    -    Europe, Australia, and Far East
ETS    -    Emission Trading Scheme
FTSE    -    Financial Times Stock Exchange
IBEX    -    International Business Exchange
KC HRW    -    Kansas City Hard Red Winter
LIBOR    -    London Interbank Offered Rates
LME    -    London Metal Exchange
MIB    -    Milano Italia Borsa
MSCI    -    Morgan Stanley Capital International
NIBOR    -    Norwegian Interbank Offered Rate
OMXS    -    Stockholm Stock Exchange
OSE    -    Osaka Securities Exchange
RBOB    -    Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas)
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
ULSD    -    Ultra-Low Sulfur Diesel
WTI    -    West Texas Intermediate

AB Cap Fund, Inc.

All Market Alternative Return Portfolio

July 31, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 Portfolio. Unobservable inputs reflect the Portfolio’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 Portfolio’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 Portfolio’s investments by the above fair value hierarchy levels as of July 31, 2017:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Common Stocks:

         

Information Technology

    $ 13,121,101     $ 2,400,176     $             – 0  –   $ 15,521,277  

Consumer Discretionary

      7,494,549       5,932,026       – 0  –     13,426,575  

Financials

      9,412,411       3,959,725       – 0  –     13,372,136  

Industrials

      6,792,399       5,874,182       – 0  –     12,666,581  

Health Care

      8,723,123       3,290,549       – 0  –     12,013,672  

Energy

      4,285,493       1,781,490       – 0  –     6,066,983  

Consumer Staples

      3,596,552       2,349,553       – 0  –     5,946,105  

Materials

      1,806,467       2,337,403       – 0  –     4,143,870  

Utilities

      525,941       2,117,531       – 0  –     2,643,472  

Real Estate

      333,335       685,117       – 0  –     1,018,452  

Telecommunication Services

      300,302       – 0  –     – 0  –     300,302  

Short-Term Investments:

         

Investment Companies

      73,060,387       – 0  –     – 0  –     73,060,387  

Governments - Treasuries

      – 0  –     43,093,923       – 0  –     43,093,923  

U.S. Treasury Bills

      – 0  –     4,991,630       – 0  –     4,991,630  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      129,452,060       78,813,305       – 0  –     208,265,365  

Other Financial Instruments(a):

         

Assets:

         

Futures

      6,330,522       259,467       – 0  –     6,589,989  

Forward Currency Exchange Contracts

      – 0  –     12,240,377       – 0  –     12,240,377  

Centrally Cleared Interest Rate Swaps

      – 0  –     93,619       – 0  –     93,619  

Variance Swaps

      – 0  –     139,063       – 0  –     139,063  

Liabilities:

         

Futures

      (8,786,313 )      (648,493 )      – 0  –     (9,434,806 ) 

Forward Currency Exchange Contracts

      – 0  –     (15,095,875 )      – 0  –     (15,095,875 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –     (1,160,878 )      – 0  –     (1,160,878 ) 

Total Return Swaps

      – 0  –     (1,027,356 )      – 0  –     (1,027,356 ) 

Variance Swaps

      – 0  –     (88,447 )      – 0  –     (88,447 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total(b)

   $ 126,996,269     $ 73,524,782     $ – 0  –   $ 200,521,051  
  

 

 

    

 

 

    

 

 

    

 

 

  

(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 Portfolio 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 Portfolio. 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) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

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

 

Market Value
10/31/16
(000)

    Purchases
at Cost
(000)		      Sales
Proceeds
(000)		      Market
Value
7/31/17
(000)		      Dividend
Income
(000)		  

$6,171

    $ 311,031      $ 244,142      $ 73,060      $ 57  

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): AB Cap Fund, Inc.

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   September 22, 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:   September 22, 2017
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   September 22, 2017