annualreport axa/abinvestments - alliancebernstein · mar 03.31.18 annualreport axa/abinvestments...

MAR 03.31.18

ANNUAL REPORT

AXA/AB INVESTMENTS

+AB GLOBAL STRATEGY 30/70+AB GLOBAL STRATEGY 40/60+AB GLOBAL STRATEGY 50/50+AB GLOBAL STRATEGY 60/40+AB GLOBAL STRATEGY 80/20+AB GLOBAL STRATEGY 90/10+AB GLOBAL STRATEGY 40/60 GBP+AB GLOBAL STRATEGY 50/50 GBP+AB GLOBAL STRATEGY 60/40 GBP+AB EUROZONE BOND PORTFOLIO+AB GLOBAL STRATEGY 30/70 GBP+AB GLOBAL STRATEGY 70/30 GBP

AXA/AB Investments (the “Fund”) is an investment company with variable capital (société d’investissement à capital variable) incorporated with limited liability under the laws of theGrand Duchy of Luxembourg.RCS: B169 345

No subscriptions can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the Key InvestorInformation Document (“KIID”) and the current offering document accompanied by the annual report or the most recent semi-annualreport, if published thereafter.

No notification pursuant to Sec. 310 of the German Capital Investment Code (Kapitalanlagegesetzbuch) has been filed for thefollowing portfolios and the shares in these portfolios may not be marketed to investors in the Federal Republic of Germany:

• AB Global Strategy 30/70;• AB Global Strategy 40/60;• AB Global Strategy 50/50;• AB Global Strategy 80/20;• AB Global Strategy 40/60 GBP;• AB Global Strategy 50/50 GBP;• AB Global Strategy 60/40 GBP;• AB Eurozone Bond Portfolio; and• AB Global Strategy 30/70 GBP.

ODDO BHF Aktiengesellschaft, Bockenheimer Landstrasse 10, 60323 Frankfurt am Main, Germany, acts as Paying and InformationAgent (the “German Paying and Information Agent”) of the Fund in the Federal Republic of Germany.

The latest prospectus as well as the Key Investor Information Documents of the Fund, the articles of incorporation and the most recentannual and semi-annual reports—each in paper form—may be obtained free of charge at the office of the German Paying andInformation Agent. The net asset value per share, the issue and redemption prices and any conversion prices as well as any notices to theShareholders are available free of charge at the office of the German Paying and Information Agent.

The [A/B] logo is a service mark of AllianceBernstein and AllianceBernstein® is a registered trademark used by permission from theowner, AllianceBernstein L.P.

LETTER TO SHAREHOLDERS AXA/AB Investments

April 25, 2018

Dear Shareholder,

This report provides management’s discussion of fund perform-ance for AXA/AB Investments (the “Fund”) for the annualreporting period ended March 31, 2018.

Global stocks gained during the 12-month period ended March 31,2018, but experienced increased volatility and declines toward theend of the period. Emerging-market equities gained the most, fol-lowed by non-US stocks. Large-cap stocks outperformed small-capstocks, and growth outperformed value, in terms of style.

Strong corporate earnings and accelerating growth buoyed stocksglobally, despite some geopolitical tensions. Tax reform in theUS added to equity performance, propelling global stocks to all-time highs. However, volatility returned to the market as invest-ors began to fear accelerating inflation and tighter monetarypolicy on the horizon. Additionally, President Trump’s early-March announcement of import tariffs on Chinese steel andaluminum weighed on capital markets worldwide, as investorsfeared the possible onset of a global trade war. Increased politicaland regulatory scrutiny of US mega-cap technology stocks alsonegatively affected market sentiment.

Fixed-income markets gained over the period. Emerging-marketdebt rallied, helped by increasing oil prices and an improvingglobal growth story. Global high yield also performed well, fol-lowed by emerging-market local-currency government bonds,developed-market treasuries and investment-grade corporates.Outside of the eurozone, developed-market treasury yields gen-erally flattened, with shorter maturities rising as long maturitiesfell. Eurozone treasury yields moved in different directions (bondyields move inversely to price).

The US Federal Reserve raised interest rates three times duringthe period and began to formally reduce its balance sheet. TheEuropean Central Bank confirmed that its newly reduced pace ofasset purchases would continue through September 2018 andfurther, if necessary. Elsewhere, the Bank of England said that ittoo could increase rates faster than previously expected, depend-ing on the strength of the UK’s economy.

We appreciate your investment in the Fund.

Sincerely,

AllianceBernstein (Luxembourg) S.à r.l., the ManagementCompany of the Fund

1

SHARE PERFORMANCE AXA/AB Investments

6 Months* 12 Months

AB Global Strategy 30/70Class

V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.06% 0.26%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.84% 0.70%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.55% 1.31%


V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.18% 0.60%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.96% 1.06%


V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.20% 1.06%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.98% 1.52%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.67% 2.16%


V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.29% 1.33%V3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.96% 2.02%V4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.32% 1.26%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1.07% 1.79%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.75% 2.46%


V4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -0.44% 3.37%


V3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.15% 4.83%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% 5.29%

AB Global Strategy 40/60 GBPClass

V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.06% 1.98%


V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.11% 2.49%


V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.34% 3.14%

AB Eurozone Bond PortfolioClass

V4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.67% 1.48%

2

AXA/AB Investments

6 Months* 12 Months


V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.05% 1.62%

The share class performance of each Portfolio is based on the net asset value incorporating the impact of expenses reimbursed or waivedby the Management Company as of March 31, 2018. No adjustment has been made for sales charges that may apply when shares arepurchased or redeemed. Performance for distributing share classes includes the reinvestment of distributions paid during the year. Pastperformance is no guarantee of future results. Investment return and principal value may fluctuate so that an investor’s shares, whenredeemed, may be worth more or less than their original cost.

* 6 month period ending March 31, 2018.

3

PORTFOLIO OF INVESTMENTSMarch 31, 2018

AXA/AB InvestmentsAB Global Strategy 30/70

Rate Date Shares/Principal(-)/(000)

Value(EUR)

Net Assets%

TRANSFERABLE SECURITIES QUOTED ON A STOCK EXCHANGE OR DEALT IN ON ANOTHER REGULATED MARKET

MONEY MARKET INSTRUMENTS

TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 14,530 € 14,582,130 12.9%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 14,625 14,686,786 13.0

29,268,916 25.9

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 4/25/18 14,509 14,514,229 12.8France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/18/18 13,593 13,618,162 12.1

28,132,391 24.9

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/29/18 14,344 14,367,740 12.7Netherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/31/18 13,690 13,720,168 12.1

28,087,908 24.8

85,489,215 75.6

INVESTMENT COMPANIES

FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF. . . . . . . . . . . . . . . . . . 20,174 3,463,478 3.1iShares Euro Government Bond 3-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 25,760 3,451,389 3.0iShares Euro Government Bond 5-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 22,088 3,458,325 3.1iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,523 1,132,145 1.0

11,505,337 10.2

Total Investments(cost €96,941,910) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 96,994,552 85.8%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 448 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 5,022,314 4.4HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 2,893,505 2.6HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 30,583 0.0JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 31,347 0.0Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 26,477 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 4,804,822 4.3

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,809,496 11.3

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,256,884 2.9

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €113,060,932 100.0%

FUTURES

Description Expiration DateNumber ofContracts Original Value Market Value

UnrealizedAppreciation/(Depreciation)

LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 238 €7,989,052 € 7,822,731 €(166,321)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 34 4,371,277 4,409,272 37,995Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 29 4,365,830 4,445,982 80,152Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 1 119,825 119,830 5FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 10 788,218 773,784 (14,434)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 1 112,034 112,045 11Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 8 1,125,949 1,142,505 16,556MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 29 1,402,068 1,386,572 (15,496)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 4 84,604 85,549 945S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 69 7,702,304 7,460,797 (241,507)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 4 378,791 364,443 (14,348)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 8 1,101,087 1,103,490 2,403U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 24 4,188,574 4,188,277 (297)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 45 4,170,253 4,188,985 18,732U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 79 7,700,160 7,761,266 61,106

€(234,498)

Appreciation € 217,905Depreciation €(452,403)

4


FORWARD FOREIGN CURRENCY CONTRACTS

Counterparty

Contracts toDeliver(000)

In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 90 GBP 78 4/13/18 € (349)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 59 EUR 66 4/13/18 (523)Royal Bank of Scotland PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1,106 EUR 1,247 4/13/18 (12,845)

€(13,717)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Clearing Broker/(Exchange) Referenced ObligationTermination

Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 3,166 € 47,742 €(2,378)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 28, 5 Year Index 12/20/22 EUR 2,535 58,234 (234)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 28, 5 Year Index 12/20/22 1,821 198,354 7,960

Total € 304,330 € 5,348


TOTAL RETURN SWAPS

Counterparty &Referenced Obligation

# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date


Receive Total Return on Reference Obligation

AXA Bank EuropeAB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 394,840 0.01% EUR 49,411 4/06/18 €226,664

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €232,012

(a) Overnight deposit.

Currency Abbreviations:

EUR - Euro

GBP - Great British Pound

USD - United States Dollar

Glossary:

BOBL - Bundesobligationen

CBT - Chicago Board of Trade

CDX-NAIG - North American Investment Grade Credit Default Swap Index

ETF - Exchange Traded Fund

ETS - Emission Trading Scheme

FTSE - Financial Times Stock Exchange

INTRCONX - Inter-Continental Exchange

MSCI - Morgan Stanley Capital International

OAT - Obligations Assimilables du Tresor

SPI - Share Price Index

TOPIX - Tokyo Price Index

UCITS - Undertaking for Collective Investment in Transferable Securities

See notes to financial statements.

5




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 6,425 € 6,448,095 12.8%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 6,523 6,550,293 13.1

12,998,388 25.9

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 4/25/18 6,596 6,598,276 13.1France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/18/18 6,491 6,502,911 13.0

13,101,187 26.1

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/29/18 6,518 6,528,801 13.0Netherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/31/18 6,549 6,563,607 13.1

13,092,408 26.1

39,191,983 78.1


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . 6,482 1,112,769 2.2iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 8,276 1,108,886 2.2iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 7,097 1,111,114 2.2iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,435 366,446 0.8

3,699,215 7.4

Total Investments(cost €42,875,637) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €42,891,198 85.5%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 146 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 2,016,952 4.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 994,511 2.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 9,901 0.0JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 15,668 0.0Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 8,507 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 1,922,281 3.9

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,967,966 9.9

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,314,022 4.6

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €50,173,186 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 119 €3,993,116 € 3,909,985 € (83,131)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 11 1,404,434 1,416,641 12,207Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 9 1,402,684 1,428,436 25,752Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 23 2,621,085 2,621,202 117FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 5 422,907 415,163 (7,744)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 0* 56,058 56,064 6Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 3 364,440 369,799 5,359MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 14 689,415 681,795 (7,620)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 2 42,333 42,806 473S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 35 3,850,470 3,729,738 (120,732)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 2 189,535 182,355 (7,180)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 4 535,283 536,451 1,168U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 8 1,350,452 1,350,356 (96)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 15 1,344,545 1,350,585 6,040U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 25 2,482,633 2,502,334 19,701

€(155,680)


6



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 29 GBP 25 4/13/18 € (113)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 19 EUR 21 4/13/18 (169)Royal Bank of Scotland PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 358 EUR 404 4/13/18 (4,158)

€(4,440)



Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 1,017 € 15,338 € (764)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 28, 5 Year Index 12/20/22 EUR 814 18,709 (75)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 28, 5 Year Index 12/20/22 585 63,725 2,557

Total € 97,772 €1,718

Appreciation €2,557Depreciation € (839)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187,401 0.01% EUR 23,693 4/06/18 €123,194

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €124,912

* Contract amount less than 0.50



EUR - Euro



Glossary:









OAT - Obligations Assimilables du Trésor





7




Value(EUR)

Net Assets%


MONEY MARKETS INSTRUMENTS

TREASURY BILLS


60,942,396 26.2


61,542,932 26.4


61,614,890 26.4

184,100,218 79.0



13,470,167 5.8

Total Investments(cost €197,520,413) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €197,570,385 84.8%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 410,877 0.2BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 533 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 8,752,199 3.8HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 6,954,118 3.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 36,236 0.0JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 85,355 0.0Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 30,778 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 8,282,067 3.5



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €233,044,633 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 647 €21,679,031 € 21,227,704 € (451,327)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 39 5,111,167 5,155,593 44,426Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 162 18,143,537 18,144,347 810FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 28 2,253,732 2,212,463 (41,269)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 34 5,104,798 5,198,516 93,718MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 79 3,848,911 3,806,371 (42,540)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 11 1,019,463 980,845 (38,618)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 2 301,524 301,554 30Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 10 1,333,852 1,353,465 19,613MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 10 227,700 230,243 2,543S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 189 20,971,041 20,313,489 (657,552)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 23 2,988,537 2,995,059 6,522U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 28 4,891,335 4,890,989 (346)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 53 4,869,941 4,891,816 21,875U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 92 8,992,098 9,063,456 71,358

€ (970,757)

Appreciation € 260,895Depreciation €(1,231,652)

8



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106 GBP 93 4/13/18 € (413)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 69 EUR 79 4/13/18 (619)Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1,310 EUR 1,478 4/13/18 (15,217)

€(16,249)



Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 3,681 € 55,498 €(2,765)



Total € 353,772 € 6,217


TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 850,117 0.01% EUR 110,557 4/06/18 €655,311

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €661,528



EUR - Euro



Glossary:














9




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 133,505 €133,985,217 13.6%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 133,762 134,329,685 13.7

268,314,902 27.3


266,665,530 27.2


269,575,376 27.4

804,555,808 81.9



21,727,410 2.2





Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €982,297,819 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 1,585 €53,113,588 €52,007,835 €(1,105,753)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 63 8,232,520 8,304,077 71,557Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 54 8,222,261 8,373,213 150,952Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 329 36,886,067 36,887,714 1,647FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 68 5,510,983 5,410,070 (100,913)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 5 750,343 750,418 75Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 16 2,179,363 2,211,409 32,046MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 189 9,231,030 9,129,003 (102,027)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 24 566,632 572,960 6,328S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 459 50,884,487 49,288,993 (1,595,494)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 27 2,536,935 2,440,835 (96,100)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 55 7,148,253 7,163,852 15,599U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 46 7,959,550 7,958,987 (563)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 86 7,924,736 7,960,332 35,596U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 150 14,632,621 14,748,740 116,119

€(2,570,931)


10



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 173 GBP 152 4/13/18 € (675)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 113 EUR 128 4/13/18 (1,012)Royal Bank of Scotland PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2,140 EUR 2,415 4/13/18 (24,863)

€(26,550)



Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 6,077 € 91,639 € (4,565)



Total € 584,151 €10,266

Appreciation €15,280Depreciation € (5,014)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,559,414 0.01% EUR 730,207 4/06/18 €5,066,734

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €5,077,000



EUR - Euro



Glossary:














11




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 1,023 €1,026,984 13.4%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 1,023 1,027,004 13.4

2,053,988 26.8

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 4/25/18 1,029 1,028,962 13.4France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/18/18 1,023 1,024,770 13.4

2,053,732 26.8

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/29/18 1,026 1,027,887 13.4Netherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/31/18 991 993,381 13.0

2,021,268 26.4

6,128,988 80.0


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . 706 121,210 1.6iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . . 902 120,787 1.5iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . . 773 121,029 1.6iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 200 30,090 0.4

393,116 5.1

Total Investments(cost €6,521,082) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €6,522,104 85.1%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 37,007 0.5BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 12 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 163,718 2.1HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 68,906 0.9HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 811 0.0JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 9,805 0.1Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 700 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 118,144 1.6

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399,103 5.2

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 744,976 9.7

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €7,666,183 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 56 €1,891,200 € 1,851,828 € (39,372)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 1 152,980 154,310 1,330Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 1 152,789 155,594 2,805Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 0* 8,156 8,156 0^FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 3 256,523 251,826 (4,697)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 0* 34,122 34,126 4Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 0* 29,925 30,365 440MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 9 438,082 433,240 (4,842)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 1 25,768 26,056 288S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 22 2,407,867 2,332,367 (75,500)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 1 115,369 110,999 (4,370)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 3 335,530 336,262 732U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 1 111,107 111,099 (8)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 1 110,621 111,118 497U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 2 204,257 205,878 1,621

€(121,072)


12



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2 GBP 2 4/13/18 € (9)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2 EUR 2 4/13/18 (15)Royal Bank of Scotland PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 29 EUR 33 4/13/18 (341)

€(365)



Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 84 € 1,262 € (64)


Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 28, 5 Year Index 12/20/22 48 5,246 211

Total € 8,048 €141

Appreciation €211Depreciation € (70)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,344 0.01% EUR 964 4/06/18 €10,089

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €10,230

* Contract amount less than 0.50.

^ Less than €0.50.



EUR - Euro



Glossary:














13




Value(EUR)

Net Assets%



TREASURY BILLS


154,842,091 28.1


154,817,772 28.1


146,912,640 26.6

456,572,503 82.8


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF. . . . . . . . . . . . . . . . . . 18,724 3,214,607 0.6iShares Euro Government Bond 3-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 23,909 3,203,387 0.5iShares Euro Government Bond 5-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 20,501 3,209,825 0.6iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,730 410,934 0.1

10,038,753 1.8





Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €551,808,261 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 2,437 € 81,669,931 € 79,969,675 €(1,700,256)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 31 4,057,176 4,092,441 35,265Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 27 4,052,121 4,126,513 74,392Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 5 566,168 566,193 25FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 152 12,307,229 12,081,869 (225,360)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 11 1,680,465 1,680,633 168Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 3 408,685 414,694 6,009MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 432 21,087,765 20,854,689 (233,076)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 53 1,269,026 1,283,200 14,174S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 1,039 115,242,798 111,629,333 (3,613,465)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 61 5,681,711 5,466,486 (215,225)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 124 16,074,901 16,109,979 35,078U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 10 1,645,232 1,645,116 (116)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 18 1,638,036 1,645,394 7,358U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 31 3,024,550 3,048,552 24,002

€(5,791,027)


14



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 33 GBP 28 4/13/18 € (126)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 21 EUR 24 4/13/18 (190)Royal Bank of Scotland PLC. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 401 EUR 453 4/13/18 (4,663)

€(4,979)



Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 1,193 € 17,994 € (896)


Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 28, 5 Year Index 12/20/22 686 74,759 3,000

Total € 114,701 €2,016

Appreciation €3,000Depreciation € (984)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,703,570 0.01% EUR 271,501 4/06/18 €3,147,276

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €3,149,292



EUR - Euro



Glossary:














15


AXA/AB InvestmentsAB Global Strategy 40/60 GBP


Value(GBP)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 6,912 £ 6,083,484 7.5%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 6,907 6,083,175 7.4

12,166,659 14.9


12,167,172 14.9


12,166,603 14.9

UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/08/18 GBP 4,557 4,554,923 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/14/18 3,749 3,747,382 4.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/11/18 3,751 3,748,161 4.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/16/18 4,562 4,555,979 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/18 4,200 4,190,117 5.1United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/24/18 4,200 4,189,105 5.1

24,985,667 30.6

61,486,101 75.3


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . 8,351 1,257,433 1.6iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 10,664 1,253,045 1.5iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 9,144 1,255,563 1.5iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28,247 3,728,356 4.6

7,494,397 9.2

Total Investments(cost £69,057,637) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £68,980,498 84.5%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 523 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 1,785,428 2.2HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 311,019 0.4HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 4,896,045 6.0JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 32,901 0.1Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 17,796 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 1,580,330 1.9Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 1,617,208 2.0



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £81,615,560 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 70 £2,125,422 £2,081,174 £ (44,248)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 14 1,587,015 1,600,809 13,794Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 12 1,585,037 1,614,137 29,100Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 1 81,535 81,539 4FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 97 7,067,199 6,937,789 (129,410)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 1 117,361 117,373 12Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 30 3,707,952 3,762,473 54,521MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 34 1,451,706 1,435,661 (16,045)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 4 88,627 89,617 990S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 83 8,083,733 7,830,266 (253,467)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 5 396,802 381,771 (15,031)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 9 1,117,664 1,120,103 2,439U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 18 2,825,069 2,824,869 (200)

16




U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 34 £2,812,712 £ 2,825,346 £ 12,634U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 60 5,193,530 5,234,744 41,214

£(303,693)

Appreciation £ 154,708Depreciation £(458,401)


Counterparty


In ExchangeFor

(000)Settlement

Date


Barclays Bank PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1,191 GBP 1,057 4/13/18 £ 12,477Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 32,225 GBP 28,563 4/13/18 293,411Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 72,444 GBP 63,297 4/13/18 (255,392)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 60,166 EUR 68,864 4/13/18 245,185Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 220 EUR 249 4/13/18 (1,723)Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1,133 GBP 991 4/13/18 (3,055)Morgan Stanley Capital Services LLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1,410 EUR 1,616 4/13/18 7,159Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 4,152 EUR 4,684 4/13/18 (42,314)Royal Bank of Scotland PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 58,975 GBP 52,314 4/13/18 577,324UBS AG+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2,662 EUR 3,042 4/13/18 6,768

£ 839,840

Appreciation £1,142,324Depreciation £ (302,484)

+ Used for share class hedging purposes.



Date

NotionalAmount

(000)MarketValue


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 29, 5 Year Index 12/20/22 USD 2,426 £ 32,087 £(2,197)



Total £ 204,540 £ 1,180


TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 279,382 0.64% GBP 31,003 4/06/18 £265,802

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £266,982

17

PORTFOLIO OF INVESTMENTS (continued) AXA/AB InvestmentsAB Global Strategy 40/60 GBP



EUR - Euro



Glossary:














18



Rate DateShares/Contracts

Principal(-)/(000)

Value(GBP)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 17,454 £ 15,362,405 8.2%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 17,442 15,361,481 8.2

30,723,886 16.4

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 4/25/18 17,510 15,362,503 8.2France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/18/18 17,485 15,362,820 8.3

30,725,323 16.5

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/29/18 17,487 15,361,877 8.2Netherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/31/18 17,477 15,361,809 8.2

30,723,686 16.4

UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/08/18 GBP 7,364 7,360,841 3.9United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/14/18 9,075 9,071,125 4.8United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/11/18 9,078 9,071,527 4.9United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/16/18 9,083 9,071,610 4.9United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/18 8,654 8,633,837 4.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/24/18 8,600 8,577,691 4.6

51,786,631 27.7

143,959,526 77.0


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . 15,300 2,303,681 1.2iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . 19,537 2,295,641 1.2iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . 16,752 2,300,255 1.2iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51,611 6,812,117 3.7

13,711,694 7.3

Total Investments(cost £157,816,560) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £157,671,220 84.3%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 1 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 958 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 3,396,840 1.8HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 1,011,820 0.5HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 10,257,879 5.5JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 89,966 0.1Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 32,413 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 2,883,634 1.5Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 4,022,488 2.2

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 21,695,999 11.6%


Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £187,087,838 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 198 £ 5,808,590 £ 5,687,663 £(120,927)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 25 2,907,491 2,932,763 25,272Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 22 2,903,868 2,957,180 53,312Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 122 12,002,535 12,003,071 536FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 270 19,242,033 18,889,688 (352,345)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 2 320,326 320,358 32Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 56 6,774,835 6,874,451 99,616MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 94 4,039,984 3,995,332 (44,652)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 12 241,899 244,600 2,701S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 227 22,103,588 21,410,525 (693,063)

19




SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 13 £1,083,033 £ 1,042,008 £ (41,025)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 27 3,132,693 3,139,529 6,836U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 34 5,139,907 5,139,544 (363)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 63 5,117,426 5,140,412 22,986U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 110 9,449,066 9,524,050 74,984

£ (966,100)

Appreciation £ 286,275Depreciation £(1,252,375)


Counterparty


In ExchangeFor

(000)Settlement

Date


Barclays Bank PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3,217 GBP 2,856 4/13/18 £ 33,702Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 64,661 GBP 57,313 4/13/18 588,742Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 151,104 GBP 132,029 4/13/18 (528,779)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 123,901 EUR 141,810 4/13/18 503,478Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 402 EUR 455 4/13/18 (3,148)Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 2,890 GBP 2,527 4/13/18 (7,793)Morgan Stanley & Co. LLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3,050 GBP 2,701 4/13/18 25,323Morgan Stanley & Co. LLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 5,817 EUR 6,664 4/13/18 29,521Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7,586 EUR 8,559 4/13/18 (77,312)UBS AG+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 144,341 GBP 128,020 4/13/18 1,395,388UBS AG+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 9,291 EUR 8,130 4/13/18 20,672

£1,979,794




Clearing Broker/(Exchange) Referenced Obligation Termination Date

NotionalAmount

(000)MarketValue


Sale Contracts


Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 28, 5 Year Index 12/20/22 EUR 3,538 71,288 (1,395)


Total £ 372,552 £ 2,150


TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 571,863 0.64% GBP 64,106 4/06/18 £574,869

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £577,019

20




EUR - Euro



Glossary:














21




Value(GBP)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 19,665 £ 17,308,629 8.1%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 19,651 17,307,538 8.0

34,616,167 16.1


34,617,856 16.1


34,615,933 16.1

UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/08/18 GBP 11,787 11,781,843 5.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/14/18 9,503 9,499,251 4.4United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/11/18 9,507 9,499,803 4.4United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/16/18 11,799 11,784,244 5.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/18 10,647 10,621,748 5.0United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/24/18 10,600 10,572,504 4.9

63,759,393 29.7

167,609,349 78.0



13,418,778 6.3

Total Investments(cost £181,172,815) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £181,028,127 84.3%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 1 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 938 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 3,548,299 1.6HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 564,091 0.3HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 10,389,741 4.8JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 132,645 0.1Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 32,323 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 2,837,809 1.3



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £214,778,939 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 295 £ 8,662,538 £ 8,482,196 £ (180,342)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 25 2,850,798 2,875,578 24,780Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 21 2,847,246 2,899,518 52,272Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 3 314,141 314,155 14FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 400 28,510,242 27,988,184 (522,058)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 3 473,936 473,983 47Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 55 6,617,321 6,714,621 97,300MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 139 5,931,573 5,866,014 (65,559)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 17 357,899 361,896 3,997S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 335 32,587,811 31,566,012 (1,021,799)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 20 1,602,393 1,541,694 (60,699)TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 40 4,524,692 4,534,565 9,873

22




U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 33 £5,074,660 £ 5,074,301 £ (359)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 62 5,052,464 5,075,159 22,695U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 109 9,329,117 9,403,149 74,033

£(1,565,805)

Appreciation £ 285,011Depreciation £(1,850,816)


Counterparty


In ExchangeFor

(000)Settlement

Date


Barclays Bank PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3,710 GBP 3,294 4/13/18 £ 38,867Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 79,996 GBP 70,879 4/13/18 728,097Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 176,196 GBP 153,938 4/13/18 (631,279)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 145,474 EUR 166,505 4/13/18 594,557Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 393 EUR 445 4/13/18 (2,717)Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2,797 EUR 3,198 4/13/18 8,624Morgan Stanley & Co. LLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3,823 GBP 3,386 4/13/18 31,742Morgan Stanley & Co. LLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 6,991 EUR 8,010 4/13/18 35,484Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 7,410 EUR 8,360 4/13/18 (75,514)Royal Bank of Scotland PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 159,725 GBP 141,684 4/13/18 1,563,596UBS AG+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 3,293 EUR 3,763 4/13/18 8,372

£2,299,829





Date

NotionalAmount

(000)MarketValue


Sale Contracts


Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 28, 5 Year Index 12/20/22 EUR 3,528 71,091 (1,391)


Total £ 371,520 £ 2,144


TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 647,953 0.64% GBP 77,843 4/06/18 £819,426

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £821,570

23




EUR - Euro



Glossary:














24


AXA/AB InvestmentsAB Eurozone Bond Portfolio


Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 530 € 531,836 5.9%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 530 531,909 5.9

1,063,745 11.8

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 4/25/18 532 531,819 5.8France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/18/18 531 531,856 5.9

1,063,675 11.7

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/29/18 531 531,882 5.9Netherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/31/18 531 531,889 5.9

1,063,771 11.8

3,191,191 35.3


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . 9,496 1,630,293 18.0iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . . 12,125 1,624,602 17.9iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . . 10,397 1,627,867 18.0

4,882,762 53.9

Total Investments(cost €8,029,680) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €8,073,953 89.2%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 11 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 500,922 5.5HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 277,897 3.1Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 500,922 5.5

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,279,752 14.1

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (302,053) (3.3)

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €9,051,652 100.0%

FUTURES



LongEuro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 16 €2,057,602 €2,075,487 €17,885Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 14 2,055,038 2,092,766 37,728

€55,613


Glossary:






EUR - Euro


25




Value(GBP)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/08/18 EUR 4,761 £ 4,190,859 9.6%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/13/18 4,758 4,190,674 9.5

8,381,533 19.1


8,381,856 19.1


8,381,505 19.1

UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/08/18 GBP 1,211 1,210,002 2.7United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/14/18 1,082 1,081,862 2.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/11/18 1,000 999,243 2.3United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 7/16/18 1,101 1,099,295 2.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/18 1,105 1,102,300 2.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/24/18 1,100 1,097,147 2.5

6,589,849 15.0

31,734,743 72.3


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . 6,921 1,042,136 2.4iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 8,838 1,038,498 2.4iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 7,578 1,040,586 2.4iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,321 3,078,131 7.0

6,199,351 14.2

Total Investments(cost £37,996,292) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £37,934,094 86.5%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 604,816 1.4BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 431 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 1,430,251 3.3HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 257,361 0.6HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 483,483 1.1JPMorgan Chase, New York (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 17,446 0.0Societe Generale, Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.04% — 14,728 0.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.58)% — 1,305,750 3.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.23% — 400,330 0.9



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £43,877,796 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 39 £1,138,155 £1,114,460 £ (23,695)Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 12 1,315,286 1,326,719 11,433Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 10 1,313,647 1,337,765 24,118Euro-Schatz Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 1 65,662 65,665 3FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 52 3,727,330 3,659,078 (68,252)Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 0* 62,217 62,223 6Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/27/18 25 3,061,285 3,106,298 45,013MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 18 780,288 771,664 (8,624)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4/27/18 2 46,984 47,509 524S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/15/18 44 4,285,155 4,150,793 (134,362)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/21/18 3 210,357 202,388 (7,968)

26




TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/07/18 5 £ 612,014 £ 613,350 £ 1,335U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 15 2,329,695 2,329,530 (165)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/29/18 29 2,319,505 2,329,923 10,418U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6/20/18 50 4,282,847 4,316,834 33,987

£(116,229)



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 8,600 GBP 7,623 4/13/18 £ 78,307Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 18,746 GBP 16,378 4/13/18 (67,134)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 15,514 EUR 17,757 4/13/18 63,467Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 182 EUR 206 4/13/18 (1,423)Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 700 EUR 801 4/13/18 2,396Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 3,428 EUR 3,867 4/13/18 (34,934)Royal Bank of Scotland PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 36,601 GBP 41,261 4/13/18 403,916

£ 444,595





Date

NotionalAmount

(000)MarketValue


Sale Contracts




Total £ 169,283 £ 977


TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank EuropeAB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,409 0.64% GBP 8,139 4/06/18 £61,852

Total for Swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £62,829

27


* Contract amount less than 0.50.



EUR - Euro



Glossary:














28

(This page left intentionally blank.)

29

STATEMENT OF ASSETS AND LIABILITIESMarch 31, 2018 AXA/AB Investments

AB GlobalStrategy 30/70

(EUR)


(EUR)


(EUR)


(EUR)

ASSETS

Investments in securities at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 96,994,552 €42,891,198 €197,570,385 € 826,283,218

Time deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,809,496 4,967,966 24,552,163 122,103,125

Cash at depositary and broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,252,039 4,477,016 26,686,017 68,752,210

Receivable for investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,146,733 1,660,527 7,654,276 17,396,450

Unrealized appreciation on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 234,624 125,751 664,565 5,082,014

Unrealized appreciation on forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . –0– –0– –0– –0–

Receivable for capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . –0– –0– –0– 3,521,904

Upfront premiums paid on swap contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 298,982 96,054 347,555 573,885

Unrealized appreciation on financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 217,905 70,823 260,895 429,919

Interest receivable on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,738 1,522 5,508 9,095

Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . –0– –0– –0– –0–

121,959,069 54,290,857 257,741,364 1,044,151,820

LIABILITIES

Due to depositary and broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,523,855 1,237,532 5,911,645 13,035,348

Payable for investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 551,267 2,523,427 17,165,017 44,671,072

Unrealized depreciation on financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 452,403 226,503 1,231,652 3,000,850

Payable for capital stock redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223,306 27,377 83,200 101,694

Unrealized depreciation on forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . 13,717 4,440 16,249 26,550

Unrealized depreciation on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,612 839 3,037 5,014

Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130,977 97,553 285,931 1,013,473

8,898,137 4,117,671 24,696,731 61,854,001

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €113,060,932 €50,173,186 €233,044,633 € 982,297,819


30

AXA/AB Investments


(EUR)


(EUR)


GBP(GBP)


GBP(GBP)


GBP(GBP)

AB EurozoneBond Portfolio

(EUR)


GBP(GBP)

Combined(EUR)

€6,522,104 €466,611,256 £68,980,498 £157,671,220 £181,028,127 €8,073,953 £37,934,094 €2,153,035,679

399,103 42,617,359 10,241,250 21,695,999 17,505,847 1,279,752 4,514,596 270,251,524

1,374,821 73,016,385 6,344,225 16,375,654 22,212,116 56,499 3,390,138 236,711,883

565,767 24,742,617 3,892,723 8,782,349 11,121,824 487,449 2,542,743 86,686,275

10,300 3,150,276 269,945 582,414 826,951 –0– 65,280 11,256,712

–0– –0– 1,142,324 2,596,826 3,009,339 –0– 548,086 8,319,555

–0– 1,614,151 –0– –0– 321,580 29,921 –0– 5,532,642

7,907 112,685 203,360 370,402 369,376 –0– 168,306 2,704,337

7,717 196,471 154,708 286,275 285,011 55,613 126,837 2,211,741

125 1,786 3,185 5,800 5,784 –0– 2,635 42,618

–0– –0– –0– –0– –0– 1,223 –0– 1,223

8,887,844 612,062,986 91,232,218 208,366,939 236,685,955 9,984,410 49,292,715 2,776,754,189

1,019,927 45,678,973 7,763,852 6,240,330 16,216,292 825,330 4,388,701 114,693,991

30,212 8,100,899 927,476 12,074,481 2,441,191 –0– 515,815 91,238,304

128,789 5,987,498 458,401 1,252,375 1,850,816 –0– 243,066 15,365,766

1,222 –0– 79,387 934,509 510,365 72,897 111,594 2,374,898

365 4,979 302,484 617,032 709,510 –0– 103,491 2,041,716

70 984 2,963 5,395 5,381 –0– 2,451 31,016

41,076 481,392 82,095 154,979 173,461 34,531 49,801 2,609,808

1,221,661 60,254,725 9,616,658 21,279,101 21,907,016 932,758 5,414,919 228,355,499

€7,666,183 €551,808,261 £81,615,560 £187,087,838 £214,778,939 €9,051,652 £43,877,796 €2,548,398,690

31

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSFor the year ended March 31, 2018 AXA/AB Investments


(EUR)


(EUR)


(EUR)


(EUR)


(EUR)

INVESTMENT INCOME

Swap income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 150,635 € 54,304 € 203,886 € 319,454 € 3,899

Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 507 242 1,091 2,034 78

Dividends, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18,687 6,788 25,881 40,391 607

169,829 61,334 230,858 361,879 4,584

EXPENSES

Interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 805,416 351,924 1,651,022 6,433,589 57,587

Management fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 677,813 599,906 2,067,352 6,181,845 104,348

Expense on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48,724 17,874 69,739 169,163 1,254

Depositary and custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,242 38,623 64,940 180,105 30,872

Accounting and administration fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31,927 21,358 48,737 125,773 14,205

Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20,741 18,062 30,256 94,894 14,111

Management company fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,294 5,312 24,476 97,626 835

Taxes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,044 5,231 24,159 97,818 835

Transfer agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10,854 5,754 18,764 87,864 988

Printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 316 63 2,169 6,821 304

Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110,154 57,683 195,854 823,182 18,671

1,777,525 1,121,790 4,197,468 14,298,680 244,010Expense reimbursed or waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (26,203) (70,048) (27,055) –0– (51,768)

Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,751,322 1,051,742 4,170,413 14,298,680 192,242

Net investment (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (1,581,493) (990,408) (3,939,555) (13,936,801) (187,658)

REALIZED GAINS AND (LOSSES)

On investments, forward foreign currency contracts, swaps,financial futures contracts, options and currency . . . . . . . . . . . . . . . . . 2,912,517 1,509,669 8,497,862 30,798,623 632,269

CHANGES IN UNREALIZED GAINS AND (LOSSES)

On investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 380,284 149,930 636,159 1,475,636 20,122

On forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,450 10,262 38,802 48,868 670

On swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 191,391 103,588 551,225 4,323,948 8,897

On financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (563,124) (327,004) (1,876,416) (4,359,192) (184,493)

Result of operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,366,025 456,037 3,908,077 18,351,082 289,807

CAPITAL STOCK TRANSACTIONS

Increase/(decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (17,342,743) (5,744,869) (21,856,002) 27,073,664 (1,376,785)

NET ASSETS

Beginning of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129,037,650 55,462,018 250,992,558 936,873,073 8,753,161

Currency translation adjustment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . –0– –0– –0– –0– –0–

End of year . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €113,060,932 €50,173,186 €233,044,633 €982,297,819 € 7,666,183

(a) The financial information for AB Global Strategy 70/30 GBP is for the period from April 1, 2017 to March 28, 2018. See Note A


32

AXA/AB Investments


(EUR)


GBP(GBP)


GBP(GBP)


GBP(GBP)

AB Eurozone BondPortfolio(EUR)


GBP(GBP)


GBP(a)(GBP)

Combined(EUR)

€ 51,602 £ 105,124 £ 210,555 £ 185,771 € –0– £ 81,400 £ 6,377 € 1,451,728

3,580 57,814 115,256 144,615 59 15,355 74 385,209

13,410 22,008 44,226 38,121 7,397 16,474 1,303 251,610

68,592 184,946 370,037 368,507 7,456 113,229 7,754 2,088,547

3,661,081 359,231 897,108 1,004,298 32,156 229,349 47,625 15,869,411

3,183,230 377,887 858,034 970,861 53,714 197,137 29,587 15,626,830

42,063 229,865 457,254 548,935 –0– 75,669 1,928 1,837,972

120,643 56,474 76,292 81,638 13,438 52,347 15,285 815,579

82,070 23,773 39,404 43,135 14,671 17,877 12,363 493,536

65,299 15,321 20,148 23,739 14,361 14,129 7,202 349,023

54,283 8,997 20,429 23,116 1,194 4,694 705 261,702

54,604 8,817 19,981 22,656 1,126 4,591 704 260,148

48,828 8,997 16,356 18,506 1,431 4,532 634 230,058

2,899 1,815 2,596 2,196 63 726 11 20,960

381,726 54,389 106,564 106,566 31,686 42,936 20,756 1,994,417

7,696,726 1,145,566 2,514,166 2,845,646 163,840 643,987 136,800 37,759,636–0– (68,115) (51,331) (50,669) (61,566) (77,267) (48,395) (571,933)

7,696,726 1,077,451 2,462,835 2,794,977 102,274 566,720 88,405 37,187,703

(7,628,134) (892,505) (2,092,798) (2,426,470) (94,818) (453,491) (80,651) (35,099,156)

36,567,751 4,006,974 10,578,179 13,570,082 119,985 2,116,429 510,385 115,933,206

800,957 145,023 347,309 336,580 106,552 100,869 18,283 4,644,365

6,784 (1,642,458) (3,756,071) (4,111,433) –0– (903,502) (191,673) (11,890,147)

2,962,700 852,266 1,790,220 2,283,724 –0– 214,020 (264) 13,968,415

(8,066,625) (513,309) (1,476,331) (2,116,199) 56,002 (261,165) (25,725) (20,300,450)

24,643,433 1,955,991 5,390,508 7,536,284 187,721 813,160 230,355 67,256,233

27,989,739 (16,235,154) (37,102,082) (36,013,221) (5,301,965) (8,251,747) (7,070,867) (115,216,354)

499,175,089 95,894,723 218,799,412 243,255,876 14,165,896 51,316,383 6,840,512 2,619,432,441

–0– –0– –0– –0– –0– –0– –0– (23,073,630)

€551,808,261 £ 81,615,560 £187,087,838 £214,778,939 € 9,051,652 £43,877,796 £ –0– €2,548,398,690

33

SHARES OUTSTANDINGMarch 31, 2018 AXA/AB Investments




CLASS

V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172,151 283,707 954,953

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 257,606 125,631 309,345

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 560,950 –0– 669,450




CLASS

V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88,720 –0– –0–

V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,960,160 –0– 3,452,577

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 193,395 54,244 –0–

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 140,137 –0– –0–

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42,874 –0– 141,175


GBP


GBP


GBP

CLASS

V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 639,830 1,410,845 1,562,629

AB EurozoneBond

Portfolio


GBP

CLASS

V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . –0– 376,188

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75,072 –0–

34

STATISTICAL INFORMATION AXA/AB Investments

AB Global Strategy 30/70

March 31, 2018 March 31, 2017 March 31, 2016

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €113,060,932 €129,037,650 €140,650,754

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €119.14 €118.83 €115.99

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €120.87 €120.03 €116.63

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €109.48 €108.06 €104.38



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €50,173,186 €55,462,018 €50,453,790

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €122.19 €121.46 €117.05

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €123.43 €122.14 €117.18



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €233,044,633 €250,992,558 €242,821,614

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €126.49 €125.16 €118.66

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €127.13 €125.23 €118.20

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €108.93 €106.63 €100.00



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €982,297,819 €936,873,073 €836,141,473

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €105.58 €104.19 €97.56

V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €132.94 €130.31 €121.21

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €127.90 €126.31 €118.36

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €131.70 €129.38 €120.60

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €103.27 €100.79 €93.35



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €7,666,183 €8,753,161 €9,214,840

ClassV4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €141.33 €136.72 €123.98



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €551,808,261 €499,175,089 €413,433,141

ClassV3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €155.08 €147.94 €131.15

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €115.93 €110.11 €97.20

AB Global Strategy 40/60 GBP


Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £81,615,560 £95,894,723 £97,473,708

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £127.56 £125.08 £117.85

35

STATISTICAL INFORMATION (continued) AXA/AB Investments



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £187,087,838 £218,799,412 £219,867,404

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £132.61 £129.39 £120.24



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £214,778,939 £243,255,876 £246,351,650

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £137.45 £133.26 £121.67

AB Eurozone Bond Portfolio


Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €9,051,652 €14,165,896 €16,963,111

ClassV4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €120.57 €118.81 €120.50



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £43,877,796 £51,316,383 £44,831,826

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £116.64 £114.78 £108.86

AB Global Strategy 70/30 GBP (1)

March 28, 2018 March 31, 2017

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £7,069,774 £6,840,512

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £116.84 £113.03

(1) Last NAV calculated on March 28, 2018.

36

NOTES TO FINANCIAL STATEMENTSFor the year ended March 31, 2018 AXA/AB Investments

NOTE A: General InformationAXA/AB Investments (the “Fund”) is an open-ended investmentcompany with variable capital (société d’investissement à capitalvariable) incorporated with limited liability under the laws of theGrand Duchy of Luxembourg on June 6, 2012 and registeredunder Part I of the law of December 17, 2010 on undertakings forcollective investment (as amended) (the “Law of 2010”). TheFund qualifies as an Undertaking for Collective Investments inTransferable Securities (“UCITS”) within the meaning ofArticle 1(2) of the EC Directive 2009/65 of July 13, 2009 (asamended).

The Fund is structured as an “umbrella fund”, which may com-prise separate pools of assets (each a “Portfolio”). The Fund

offers various Classes of Shares of each of its Portfolios. AllShares of the same Class have the same rights as to distributionsand redemptions.

On March 28, 2018, the sole shareholder of AXA/AB Invest-ments—AB Global Strategy 70/30 GBP introduced a redemptionrequest representing the total assets of the Portfolio. Such Portfo-lio was liquidated, effective as of April 4, 2018.

The cash balance for AXA/AB Investments—AB Global Strategy70/30 GBP at the liquidation date is comprised of Cash of£987,264 and Overdraft of £28,096.

The following table lists each Portfolio’s commencement of oper-ations as well as Share Classes seeded as of March 31, 2018:

AXA/AB Investments– Commencement of Operations Share Classes Seeded

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . July 31, 2012 V1, V5, V6AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . July 31, 2012 V1, V5AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . July 5, 2012 V1, V5, V6AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . October 1, 2012 V1, V3, V4, V5, V6AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . October 1, 2012 V4AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . October 1, 2012 V3, V6AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . July 31, 2012 V2AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . July 17, 2012 V2AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . July 31, 2012 V2AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . November 2, 2012 V4AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . April 1, 2014 V2

NOTE B: Significant Accounting PoliciesThe Financial Statements have been prepared in accordance withLuxembourg legal and regulatory requirements. The following isa summary of significant accounting policies followed by thePortfolios.

1. Valuation1.1 Investments in SecuritiesSecurities listed on a stock exchange or traded on any other regu-lated market are valued at the last available price on suchexchange or market or, if no such price is available, at the meanof the closing bid and asked price quoted on such day. If a secu-rity is listed on several stock exchanges or markets, the last avail-able price on the stock exchange or market which constitutes themain market for such security is used.

Securities are valued at their current market value determined onthe basis of market quotations or, if market quotations are notreadily available or are deemed unreliable, at “fair value” asdetermined in accordance with procedures established by, andunder the general supervision of, the Management Company’sBoard of Managers. Fair valuation procedures are designed toadjust closing market prices of portfolio securities to reflect whatis believed to be the fair value of those securities at the Portfolio’sValuation Point.

When fair valuation procedures are employed with respect to aparticular Portfolio’s security, various objective and subjectivefactors may be considered, including, among other things,

developments affecting the security or involving an entire marketsince the security’s latest reported price, current valuations ofrelevant stock indices or pronouncements of certain governmentalauthorities. Fair value prices based on third party vendor model-ing tools may be utilized to the extent available. Therefore, whenfair valuation procedures are employed, the prices of individualPortfolio securities utilized to calculate the Portfolio’s Net AssetValue (“NAV”) may differ from quoted or published prices forthe same securities.

Currently, fair value adjustments are only applicable to certainequity securities and futures contracts.

Accordingly, as may also be the case with a previously reportedstock exchange price, the price of any Portfolio’s securitydetermined utilizing fair value pricing procedures may be materi-ally different from the price to be realized upon the sale of suchsecurity.

For securities primarily traded on U.S. exchanges, it is expectedthat fair value pricing procedures are employed only under verylimited circumstances such as, for example, the early closing of anexchange on which a particular security is traded or the suspensionof trading in a particular security. However, it is anticipated thatfair value pricing procedures will be utilized frequently for secu-rities traded on non-U.S. exchanges or other markets, particularlyEuropean and Asian markets, because, among other reasons, thesemarkets close well before the Portfolio’s Valuation Point. Betweenthe close of these markets and the relevant Portfolio’s Valuation

37

NOTES TO FINANCIAL STATEMENTS (continued) AXA/AB Investments

Point, significant events including broad market moves may occur.In particular, events in the U.S. market on a trading day after theclose of these other markets may affect the value of the Portfolio’ssecurities.

Fixed income securities (i), securities not listed on any stockexchange, or traded on any regulated market (ii), and securities,trading of which on a stock exchange or a regulated market is thin(iii), are valued at the most recent bid price provided by theprincipal market makers.

If there is no such market price, or if such market price is notrepresentative of a security’s fair market value, then the securityis valued in a manner determined to reflect its fair value inaccordance with procedures established by, and under the generalsupervision of, the Management Company’s Board of Managers.

U.S. Government securities and any other debt instruments hav-ing 60 days or less remaining until maturity are generally valuedat market by an independent pricing vendor, if a market price isavailable. If a market price is not available, the securities arevalued at amortized cost. This methodology is commonly used forshort-term securities that have an original maturity of 60 days orless, as well as short-term securities that had an original term tomaturity that exceeded 60 days. In instances when amortized costis utilized, the Valuation Committee (the “Committee”) mustreasonably conclude that the utilization of amortized cost isapproximately the same as the fair value of the security. Suchfactors the Committee will consider include, but are not limitedto, an impairment of the creditworthiness of the issuer or materialchanges in interest rates.

Over-the-counter (“OTC”) swaps and other derivatives are valueddaily, primarily using independent pricing services, independentpricing models using market inputs, as well as third party broker-dealers or counterparties.

1.2 Warrant ValuationA listed warrant is valued at the last traded price provided byapproved vendors. If there has been no sale on the relevant businessday, the warrant is valued at the last traded price from the previousday. On the following days, the security is valued in good faith atfair value. All unlisted warrants are valued in good faith at fairvalue. Once a warrant has expired, it will no longer be valued.

1.3 Financial Futures ContractsInitial margin deposits are made upon entering into futures con-tracts. During the period the futures contract is open, changes in thevalue of the contract are recognized as unrealized gains or losses by“marking-to-market” on a daily basis to reflect the market value ofthe contract at the end of each day’s trading. Variation marginpayments are made or received, depending upon whether unreal-ized losses or gains are incurred. When the contract is closed, arealized gain or loss is recorded. This realized gain or loss is equalto the difference between the proceeds from (or cost of) the closingtransaction and the Fund’s basis in the contract.

Open listed futures contracts are valued using the closing settle-ment price or, in the absence of such a price, the most recentquoted bid price. If there are no quotations available for the dayof valuation, the last available closing settlement price is used.

1.4 Forward Foreign Currency ContractsThe unrealized gain or loss on open forward foreign currencycontracts is calculated as the difference between the contractedrate and the rate to close out the contract. Realized profit or lossincludes net gains or losses on forward foreign currency contractswhich have been settled or offset by other contracts with the samecounterparty.

1.5 Options Purchased and Options WrittenWhen an option is purchased, an amount equal to the premiumpaid is recorded as an investment and is subsequently adjusted tothe current market value of the option purchased. Premiums paidfor the purchase of options which expire unexercised are treatedon the expiration date as realized losses. If a purchased put optionis exercised, the premium is subtracted from the proceeds of thesale of the underlying security or foreign currency in determiningwhether the relevant Portfolio has realized a gain or loss. If apurchased call option is exercised, the premium increases the costbasis of the security or foreign currency purchased by the relevantPortfolio. When an option is written, an amount equal to thepremium received by the relevant Portfolio is recorded as aliability and is subsequently adjusted to the current market valueof the option written. Premiums received from written optionswhich expire unexercised are treated by the relevant Portfolio onthe expiration date as realized gains. If a written call option isexercised, the premium is added to the proceeds from the sale ofthe underlying security or foreign currency in determiningwhether the relevant Portfolio has realized a gain or a loss. If awritten put option is exercised, the premium reduces the costbasis of the security or foreign currency purchased by the relevantPortfolio. Listed put or call options purchased by a Portfolio arevalued at the last sale price. If there has been no sale on that day,such securities will be valued at the closing bid prices on that day.

1.6 Investments in other UCIsInvestments in other Undertakings for Collective Investments(“UCIs”) are valued at the last available net asset value for theUCI in question.

1.7 Swap AgreementsThe Portfolios accrue for interim payments on swap contracts ona daily basis, within income and expenses. Swap contracts aremarked to market on a daily basis with fluctuations in valuerecorded in unrealized appreciation (depreciation) on swaps in theStatement of Assets and Liabilities and change in unrealized gainsand losses on swaps in the Statement of Operations and Changesin Net Assets. Once a swap contract has matured or is sold, thenet amount is recorded as a part of “Realized gains and (losses)on investments, forward foreign currency contracts, swaps, finan-cial futures contracts, options and currency” in the Statement ofOperations and Changes in Net Assets. The upfront premiumspaid or received are recognized as cost or proceeds on the State-ment of Assets and Liabilities and are amortized on a straight linebasis over the life of the contract. Accruals of amortized upfrontpremiums on credit default swaps are included in swap incomeuntil the position is sold, thereafter the amortized upfront pre-miums are included in net realized gains and (losses) from swaps.On all other swap types the amortized upfront premiums areincluded within net realized gains and (losses) from swaps.

38

AXA/AB Investments

Fluctuations in the value of swap contracts are recorded as a compo-nent of “Changes in unrealized gains and (losses) on swaps” in theStatement of Operations and Changes in Net Assets.

“Upfront premiums paid (received) on swap contracts” disclosedin the Statements of Assets and Liabilities include premiums paid(received) on the OTC credit default swaps and a margin that isyet to be settled on the centrally cleared credit default swaps.

2. Organization ExpensesThe organization expenses for all Portfolios were fully amortizedin prior years.

3. Allocation MethodIncome and expenses (except for class specific fees), realized andunrealized gains and losses are allocated on a daily basis by eachclass’ value of their proportionate shares outstanding.

4. Currency TranslationValues expressed in a currency, other than the currency in whicha Portfolio is denominated, are translated at the average of the lastavailable buying and selling price.

Transactions in foreign currencies are translated into the currencyof each Portfolio at the exchange rate ruling at the date of thetransactions.

The Combined Statement of Assets and Liabilities is presented inEuro at the exchange rates ruling at the date of the Combined

Statement of Assets and Liabilities, while the Combined State-ment of Operations and Changes in Net Assets is presented inEuro at the average exchange rates ruling during the year.

Exchange rates applied in the financial statements are: spot rate1.1402 and average rate 1.1336 for GBP to EUR.

The “Currency translation adjustment” presented in the CombinedStatement of Operations and Changes in Net Assets is the resultof the difference in exchange rates used to translate the CombinedStatement of Assets and Liabilities and the Combined Statementof Operations and Changes in Net Assets.

5. Investment Income and Investment TransactionsDividend income is recorded on the ex-dividend date. Interest incomeis accrued daily. Investment gains and losses for the Portfolios aredetermined on an average cost basis. The Fund accretes discountsand amortizes premiums as adjustments to interest income. Invest-ment transactions are recorded on trade date plus one day.

6. EstimatesThe preparation of Financial Statements in conformity with account-ing principles generally accepted in Luxembourg requiresmanagement to make estimates and assumptions that affect thereported amounts of assets and liabilities and disclosure of con-tingent assets and liabilities at the date of the Financial Statementsand the reported amounts of income and expenses during thereporting period. Actual results may differ from those estimates.

NOTE C: TaxesAs a Luxembourg société d’investissement à capital variable(SICAV), the Fund is not subject, under present tax laws, toincome, withholding or capital gains taxes in Luxembourg. TheFund is subject to the Luxembourg taxe d’abonnement at the rateof 0.05% per annum calculated and payable quarterly, on theaggregate total net assets on the last day of each calendar quarter.

This rate is 0.01% for share classes reserved to institutional invest-ors within the meaning of Article 174 of the Law of 2010.

Dividends, interest and capital gains on Portfolio securities issuedin certain countries may be subject to withholding or capital gainstaxes imposed by such countries.

NOTE D: DistributionsThe board of directors of the Fund (the “Board of Directors”) doesnot currently intend to pay dividends with respect to the shares.

Therefore, any income and realized profits attributable to theShares are reflected in the NAV of the Shares.

NOTE E: Management Fee and Other Transactions withAffiliatesThe Fund pays AllianceBernstein (Luxembourg) S.à r.l. (the“Management Company”) a management fee. Under the terms ofthe Investment Management Agreement, from the management feeearned, the Management Company pays an investment manage-ment fee to AllianceBernstein L.P. (the “Investment Manager”).

The Management Company has voluntarily agreed to bear certainexpenses to the extent necessary to limit total operating expenseson an annual basis.

These limitations have been set as follows (limitations expressedas a percentage of the average daily net assets):

AXA/AB Investments– Share Class %

AB Global Strategy 30/70 . . . . . . . . . Class V1 1.55%Class V5 1.55%

AXA/AB Investments– Share Class %

AB Global Strategy 40/60 . . . . . . . . . . . . . . Class V1 1.55%Class V5 1.55%

AB Global Strategy 50/50 . . . . . . . . . . . . . . Class V1 1.55%Class V5 1.55%

AB Global Strategy 60/40 . . . . . . . . . . . . . . Class V1 1.55%Class V3 2.65%Class V4 1.55%Class V5 1.55%

AB Global Strategy 80/20 . . . . . . . . . . . . . . Class V4 1.55%AB Global Strategy 90/10 . . . . . . . . . . . . . . Class V3 2.65%AB Global Strategy 40/60 GBP . . . . . . . Class V2 0.55%AB Global Strategy 50/50 GBP . . . . . . . Class V2 0.55%AB Global Strategy 60/40 GBP . . . . . . . Class V2 0.55%AB Eurozone Bond Portfolio . . . . . . . . . . Class V4 0.50%AB Global Strategy 30/70 GBP . . . . . . . Class V2 0.55%AB Global Strategy 70/30 GBP (a) . . . . Class V2 0.55%

(a) Last NAV calculated on March 28, 2018.

39


The following table shows expenses borne by the ManagementCompany during the year ended March 31, 2018 and reimburse-ment receivable at March 31, 2018:

AXA/AB Investments– Expenses borneReimbursement

receivable

AB Global Strategy 30/70 . . . . . . . . . . . . €26,203 1,600AB Global Strategy 40/60 . . . . . . . . . . . . €70,048 5,762AB Global Strategy 50/50 . . . . . . . . . . . . €27,055 775AB Global Strategy 80/20 . . . . . . . . . . . . €51,768 3,043AB Global Strategy 40/60 GBP . . . . . . £68,115 6,000AB Global Strategy 50/50 GBP . . . . . . £51,331 4,391AB Global Strategy 60/40 GBP . . . . . . £50,669 4,171AB Eurozone Bond Portfolio . . . . . . . . . €61,566 4,697AB Global Strategy 30/70 GBP . . . . . . £77,267 6,360AB Global Strategy 70/30 GBP (a) . . £48,394 —


Expenses borne by the Management Company are included in theStatement of Operations and Changes in Net Assets under“Expense reimbursed or waived”. Reimbursement receivable isincluded in the Statement of Assets and Liabilities in “Accruedexpenses and other liabilities”.

The Management Company may recoup expenses reimbursed upthrough the end of the third fiscal year end following the launchof any share class given the relevant share class’ fees andexpenses fall below its annualized percentage limitation. Duringthe year ended March 31, 2018, no expenses reimbursed wererecouped by the Management Company from the two prior fiscalyears ended.

Certain Portfolios entered into a Total Return Swap with AXABank Europe, related party, as swap counterparty. See note I formore information.

The Fund also pays its Management Company, a managementcompany fee.

All of the aforementioned fees are accrued at an annual rate onthe average daily net assets of each Portfolio and paid monthly.

A list of each Portfolio’s annual rate for their applicable fees canbe found in Table 1 (Page 46).

The Fund compensates its registrar and transfer agent,AllianceBernstein Investor Services, a unit of the ManagementCompany, for providing personnel and facilities to perform registrarand transfer agency services for the Fund. Such compensationamounted to €230,058 for the year ended March 31, 2018.

The Fund compensates the Investment Manager for certain serv-ices provided to the Fund in connection with the registration ofthe Fund for sale in certain jurisdictions outside of Luxembourg,subject to certain conditions. Such accrued compensationamounted to €17,443 for the year ended March 31, 2018 and isincluded in “Professional fees” in the Statement of Operationsand Changes in Net Assets.

The Fund compensates its legal adviser, Elvinger Hoss Prussen,société anonyme (of which Mr. Yves Prussen, a director of theFund and on the Board of Managers of its Management Companyis a partner) for legal services rendered to the Fund. Payments of€499 were made for the year ended March 31, 2018 and areincluded in “Professional fees” in the Statement of Operationsand Changes in Net Assets.

The Investment Manager has not entered into transactions in rela-tion to a placing and/or a new issue in which a connected personhad a material interest as a member of the underwriting syndicate.

Several of the Fund’s directors are employees and/or officers ofthe Investment Manager and/or its affiliates.

NOTE F: Soft Commission Arrangements and TransactionCostsDuring the year ended March 31, 2018, the Investment Managerreceived and entered into soft-dollar commissions/arrangementswith brokers relating to Portfolios that invest in equity securities,in respect of which certain goods and services used to support theinvestment decision making process were received.

The soft commission arrangements were entered into on the basisthat the execution of transactions on behalf of the Fund will beconsistent with best execution standards and brokerage rates willnot be in excess of customary institutional full service brokeragerates. The goods and services received include specialist industry,company and consumer research, portfolio and market analysisand computer software used for the delivery of such services. Thenature of the goods and services received is such that the benefitsprovided under the arrangement must be those which assist in theprovision of investment services to the Fund and may contributeto an improvement in the Fund’s performance.

For the avoidance of doubt, such goods and services do notinclude travel, accommodations, entertainment, general admin-istrative goods or services, general office equipment or premises,membership fees, employees’ salaries or direct money payments.

Transaction costs are costs incurred in the acquisition, issue ordisposal of transferable securities, money market instruments,derivatives or other eligible assets. They can include bid-askspread, fees and commissions paid to agents, advisers, brokersand dealers, transaction related taxes and other market charges.They do not include debt premiums or discounts, financing costsor internal administrative or holding costs. Transaction costs areincluded within the cost of investments in the Portfolio ofInvestments as well as in the net realized gains and (losses) oninvestments and change in unrealized appreciation and(depreciation) on investments in the Statement of Operations andChanges in Net Assets. Transaction costs are excluded from theTotal Expense Ratio and/or expense reimbursement calculation.

40

AXA/AB Investments

For the year ended March 31, 2018, the amount of transactioncosts incurred by each Portfolio is detailed in the following table:

AXA/AB Investments– Transaction costs

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . €13,734AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . € 6,186AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . €29,922AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . €61,768AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . € 1,845

AXA/AB Investments– Transaction costs

AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . €73,826AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . £10,827AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . £26,807AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . £29,523AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . . . . . € 2,623AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . £ 7,083AB Global Strategy 70/30 GBP (a) . . . . . . . . . . . . . . . £ 1,421


NOTE G: Forward Foreign Currency ContractsA forward foreign currency contract is a commitment to purchase orsell a foreign currency at a future date at a negotiated forward rate.The gain or loss arising from the difference between the originalcontract and the closing of such contract is included in “Realizedgains and (losses) on investments, forward foreign currency con-tracts, swaps, financial futures contracts, options and currency” in theStatement of Operations and Changes in Net Assets.

Fluctuations in the value of open forward foreign currency con-tracts are reflected for financial reporting purposes asa component of “Changes in unrealized gains and (losses) onforward foreign currency contracts” in the Statement of Oper-ations and Changes in Net Assets and as a component of“Unrealized appreciation on forward foreign currency contracts”or “Unrealized depreciation on forward foreign currency con-tracts” in the Statement on Assets and Liabilities.

One or more of a Portfolio’s share classes offered in a particularcurrency (each, an “Offered Currency”) may be hedged to suchOffered Currency. Any such share class will constitute a “CurrencyHedged Share Class”. Currency Hedged Share Classes aim to pro-vide investors a return more closely correlated to the Portfolio’sbase currency return by reducing the effect of exchange rate

fluctuations between the portfolio’s base currency and the relevantOffered Currency taking into account practical considerations suchas, transaction costs. The hedging strategy employed is designed toreduce, but may not eliminate, currency exposure between the port-folio’s base currency and the relevant Offered Currency. Risks mayarise from the potential inability of a counterparty to meet the termsof a contract and from unanticipated movements in the value of aforeign currency relative to the hedged currency.

Given that there is no segregation of liabilities between the vari-ous share classes within a portfolio, there is a remote risk that,under certain circumstances, currency hedging transactions inrelation to a Currency Hedged Share Class could result inliabilities which might affect the Net Asset Value of the othershare classes of the same portfolio, in which case assets of theother share classes of the portfolio may be used to cover theliabilities incurred by such Currency Hedged Share Class.

The securities in each Portfolio are used as collateral for its openforward foreign currency contracts including the ones used forshare class hedging.

At March 31, 2018 there was no cash collateral held for forwardforeign currency contracts.

NOTE H: Financial Futures ContractsThe Fund may buy or sell financial futures contracts. The Fundbears the market risk that arises from changes in the value ofthese financial instruments. The Fund’s activities in financialfutures contracts are conducted through regulated exchanges,which do not result in counterparty credit risk.

At the time the Fund enters into a financial futures contract theFund deposits and maintains with the broker as collateral an initialmargin as required by the exchange on which the transaction iseffected. Pursuant to the contract, the Fund agrees to receive fromor pay to the broker an amount of cash equal to the daily fluctuationin the value of the contract. Such receipts or payments are knownas the variation margin and are recorded by the Fund as unrealizedgains or losses. When the contract is closed, the Fund records arealized gain or loss equal to the difference between the value ofthe contract at the time it was opened and the time it was closed.

Cash held by/owed to broker as of March 31, 2018 is recorded aspart of “Cash at depositary and broker” and “Due to depositaryand broker” in the Statement of Assets and Liabilities.

The following table lists the cash held by/owed to Morgan StanleyCapital Services Inc. as at March 31, 2018:

AXA/AB Investments–Cash Heldby Broker

Cash Owedto Broker

AB Global Strategy 30/70 . . . . . . . . . € 6,075,671 2,652,041AB Global Strategy 40/60 . . . . . . . . . € 2,781,617 1,132,672AB Global Strategy 50/50 . . . . . . . . . €14,306,901 5,532,274AB Global Strategy 60/40 . . . . . . . . . €33,455,698 12,408,916AB Global Strategy 80/20 . . . . . . . . . € 1,370,157 518,560AB Global Strategy 90/10 . . . . . . . . . €62,649,912 23,857,257AB Global Strategy 40/60 GBP . . . £ 5,625,681 2,383,372AB Global Strategy 50/50 GBP . . . £14,441,623 5,840,806AB Global Strategy 60/40 GBP . . . £20,395,802 7,954,948AB Eurozone Bond Portfolio . . . . . . € 56,499 —AB Global Strategy 30/70 GBP . . . £ 3,292,033 1,481,946

NOTE I: Swap TransactionsA swap is an agreement that obligates two parties to exchangea series of cash flows at specified intervals based upon or calculated

by reference to changes in specified prices or rates for a specifiedamount of an underlying asset or otherwise determined notionalamount. Realized gains and (losses) and changes in unrealized

41


gains and (losses) on swaps are included in the Statement of Oper-ations and Changes in Net Assets respectively under “Realizedgains and (losses) on investments, forward foreign currency con-tracts, swaps, financial futures contracts, options and currency” and“Change in unrealized gains and (losses) on swaps.”

Centrally Cleared Credit Default SwapsThe buyer in a centrally cleared credit default swap agreement isobligated to pay the seller a periodic stream of payments over theterm of the contract in return for a contingent payment upon theoccurrence of a credit event with respect to an underlying refer-ence obligation. At March 31, 2018 for its centrally cleared creditdefault swaps, the following table lists cash collateral held by/owed to Citigroup Global Markets Ltd.:


Cash Owedto Broker

AB Global Strategy 30/70 . . . . . . . . . . . €176,369 326,353AB Global Strategy 40/60 . . . . . . . . . . . € 56,669 104,860AB Global Strategy 50/50 . . . . . . . . . . . €205,020 379,371AB Global Strategy 60/40 . . . . . . . . . . . €338,538 626,433AB Global Strategy 80/20 . . . . . . . . . . . € 4,664 8,631AB Global Strategy 90/10 . . . . . . . . . . . € 66,473 123,003AB Global Strategy 40/60 GBP . . . . . £118,544 219,354AB Global Strategy 50/50 GBP . . . . . £215,911 399,524AB Global Strategy 60/40 GBP . . . . . £215,313 398,417AB Global Strategy 30/70 GBP . . . . . £ 98,105 181,534

Total Return SwapsA total return swap is a bilateral agreement in which each of theparties agree to exchange the total performance of an underlyingasset for a series of interest payments based on a notional amountthat serves as a computation basis.

Certain Portfolios have entered into a swap agreement with AXABank Europe, related party, as swap counterparty. The swap agree-ment matures and is reset on a weekly basis. According to the termsof each swap agreement, the Portfolio receives the performancecorresponding to a basket of securities from the swap counterparty.

This basket of securities includes investments and financialfutures contracts similar to those held by the Portfolio.

In return EUR denominated Portfolios pay a floating rate (basedon the EUR AllianceBernstein 1W), which has been set at 1 bpand GBP denominated Portfolios pay a floating rate (based on theGBP AllianceBernstein 1W), which has been set at 64 bp.

As part of the swap agreement, a financing fee is paid to AXABank Europe. For each Portfolio the financing fee for the yearended March 31, 2018 amounted to:

AXA/AB Investments–

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 5,148AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 2,278AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 10,703AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 71,331AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 95AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 26,108AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £199,733AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £396,901AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £494,497AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £ 52,327

This is included in the Statement of Operations and Changes inNet Assets under “Expense on swaps”.

The following table lists the cash collateral held by/owed to AXABank Europe for its bilateral swap contracts as of March 31, 2018:


Cash Owedto Broker

AB Global Strategy 30/70 . . . . . . . . . € 1,000,000 —AB Global Strategy 40/60 . . . . . . . . . € 600,000 —AB Global Strategy 50/50 . . . . . . . . . € 2,800,000 —AB Global Strategy 60/40 . . . . . . . . . €21,100,000 —AB Global Strategy 90/10 . . . . . . . . . €10,300,000 —AB Global Strategy 40/60 GBP . . . £ 600,000 —AB Global Strategy 50/50 GBP . . . £ 1,500,000 —AB Global Strategy 60/40 GBP . . . £ 1,601,000 —

Cash collateral held by/owed to broker is recorded as part of“Cash at depositary and broker” and “Due to depositary andbroker” in the Statement of Assets and Liabilities.

NOTE J: Bank FacilityThe Fund has access to an overdraft facility (the “Facility”), estab-lished with the Depositary, intended to provide for short-term/temporary financing if necessary, subject to certain restrictions, inconnection with abnormal redemption activity.

Each Portfolio is limited to borrowing 10% of its respective netassets. Borrowings pursuant to the Facility are subject to interestat a mutually agreed upon rate and security by the underlyingassets of each Portfolio.

NOTE K: Co-Management of AssetsFor the purpose of effective management, where the investment poli-cies of a Portfolio so permit, the Management Company may chooseto co-manage assets of certain Portfolios within or outside the Fund.In such cases, assets of different Portfolios will be managed incommon. The assets which are co-managed shall be referred to as a“pool”. These pooling arrangements are an administrative devicedesigned to reduce operational and other expenses and do not changethe legal rights and obligations of Shareholders.

The pools do not constitute separate entities and are not directlyaccessible to investors. Each of the co-managed Portfolios shallremain entitled to its specific assets. Where the assets of more thanone Portfolio are pooled, the assets attributable to each participatingPortfolio will initially be determined by reference to its initial allo-cation of assets to such a pool and will change in the event of addi-tional entitlement, whereas assets sold shall be levied similarly onthe assets allocations or withdrawals. The entitlements of each par-ticipating Portfolio to the co-managed assets apply to each andevery line of investments of such pool.

42

AXA/AB Investments

Additional investments made on behalf of the co-managed Portfo-lios shall be allotted to such Portfolios in accordance with theirrespective attributable to each participating Portfolio.

As of March 31, 2018, the Fund co-manages the assets of all port-folios utilizing the following pools:

Asset Pool Participating Portfolios

AB AXA UK Equity Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA US Equity Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA Japan Equity Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA Eurozone Equity Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA Asia Ex Japan Equity Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

43



AB AXA UK Government Bond Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA Euro Government Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Eurozone Bond PortfolioAB Global Strategy 30/70 GBP

AB AXA US Government Bond Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA Global Credit Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

AB AXA Low Duration Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

44

AXA/AB Investments


AB AXA Emerging Markets Pool . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AB Global Strategy 30/70AB Global Strategy 40/60AB Global Strategy 50/50AB Global Strategy 60/40AB Global Strategy 80/20AB Global Strategy 90/10AB Global Strategy 40/60 GBPAB Global Strategy 50/50 GBPAB Global Strategy 60/40 GBPAB Global Strategy 30/70 GBP

45

TABLE 1FEE SCHEDULE AXA/AB Investments

Management Management CompanyTotal

Expense Ratio*


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 1.35%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 0.90%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.30%


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 1.35%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 0.90%


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 1.35%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 0.90%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.27%


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 1.34%V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 2.50% 0.01% 0.67%V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.35% 0.01% 1.42%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.55% 0.01% 0.89%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.24%


V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 1.35% 0.01% 1.55%


V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 2.50% 0.01% 0.68%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.25%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.50%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.50%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.50%

AB Eurozone Bond PortfolioClass

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.50% 0.01% 0.50%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.50%

AB Global Strategy 70/30 GBP (a)Class

V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Up to 0.55% 0.01% 0.50%

* Unaudited


46

TABLE 2PORTFOLIO TURNOVER AXA/AB Investments

Turnover*

AXA/AB Investments–AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34.39%AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42.68%AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41.51%AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21.25%AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54.53%AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29.38%AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48.63%AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55.00%AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46.99%AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51.12%AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50.25%

* Unaudited. Calculated in accordance with AICPA guidelines. Average market value of securities for the year is calculated based on monthend valuation.

47

INDEPENDENT AUDITOR’S REPORT

To the Shareholders ofAXA/AB Investments2-4, rue Eugene RuppertL-2453 LuxembourgGrand Duchy of Luxembourg

OpinionWe have audited the financial statements of AXA/AB Invest-ments and of each of its portfolios (the “Fund”), which comprisethe statement of assets and liabilities and the portfolio of invest-ments as at 31 March 2018, and the statement of operations andchanges in net assets for the year then ended and the notes to thefinancial statements, including a summary of significant account-ing policies.

In our opinion, the accompanying financial statements give a trueand fair view of the financial position of the Fund and of each ofits portfolios as at 31 March 2018, and of the results of itsoperations and changes in its net assets for the year then ended inaccordance with Luxembourg legal and regulatory requirementsrelating to the preparation and presentation of the financialstatements.

Basis for OpinionWe conducted our audit in accordance with the Law of 23 July2016 on the audit profession (the “Law of 23 July 2016”) andwith International Standards on Auditing (“ISAs”) as adopted forLuxembourg by the “Commission de Surveillance du SecteurFinancier” (“CSSF”). Our responsibilities under those Law andstandards are further described in the “responsibilities of the“réviseur d’entreprises agréé” for the audit of the financial state-ments” section of our report. We are also independent of the Fundin accordance with the International Ethics Standards Board forAccountants’ Code of Ethics for Professional Accountants(“IESBA Code”) as adopted for Luxembourg by the CSSFtogether with the ethical requirements that are relevant to ouraudit of the financial statements, and have fulfilled our other eth-ical responsibilities under those ethical requirements. We believethat the audit evidence we have obtained is sufficient and appro-priate to provide a basis for our opinion.

Other informationThe Board of Directors of the Fund is responsible for the otherinformation. The other information comprises the informationincluded in the annual report but does not include the financialstatements and our report of the “réviseur d’entreprises agréé”thereon.

Our opinion on the financial statements does not cover the otherinformation and we do not express any form of assurance con-clusion thereon.

In connection with our audit of the financial statements, ourresponsibility is to read the other information and, in doing so,consider whether the other information is materially inconsistentwith the financial statements or our knowledge obtained in theaudit or otherwise appears to be materially misstated. If, based onthe work we have performed, we conclude that there is a materialmisstatement of this other information, we are required to reportthis fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund andthose charged with governance for the financial statementsThe Board of Directors of the Fund is responsible for the prepara-tion and fair presentation of these financial statements in accord-ance with Luxembourg legal and regulatory requirements relatingto the preparation and presentation of the financial statements,and for such internal control as the Board of Directors of the Funddetermines is necessary to enable the preparation of financialstatements that are free from material misstatement, whether dueto fraud or error.

In preparing the financial statements, the Board of Directors ofthe Fund is responsible for assessing the Fund’s ability to con-tinue as a going concern, disclosing, as applicable, matters relatedto going concern and using the going concern basis of accountingunless the Board of Directors of the Fund either intends to liqui-date the Fund or to cease operations, or has no realistic alternativebut to do so.

Responsibilities of the “réviseur d’entreprises agréé” for theaudit of the financial statementsOur objectives are to obtain reasonable assurance about whetherthe financial statements as a whole are free from materialmisstatement, whether due to fraud or error, and to issue a reportof the “réviseur d’entreprises agréé” that includes our opinion.Reasonable assurance is a high level of assurance, but is not aguarantee that an audit conducted in accordance with the Law of23 July 2016 and with ISAs as adopted for Luxembourg by theCSSF will always detect a material misstatement when it exists.Misstatements can arise from fraud or error and are consideredmaterial if, individually or in the aggregate, they could reasonablybe expected to influence the economic decisions of users taken onthe basis of these financial statements.

As part of an audit in accordance with the Law of 23 July 2016and with ISAs as adopted for Luxembourg by the CSSF, weexercise professional judgment and maintain professional skepti-cism throughout the audit. We also:

• Identify and assess the risks of material misstatement ofthe financial statements, whether due to fraud or error,design and perform audit procedures responsive to thoserisks, and obtain audit evidence that is sufficient andappropriate to provide a basis for our opinion. The risk ofnot detecting a material misstatement resulting fromfraud is higher than for one resulting from error, as fraudmay involve collusion, forgery, intentional omissions,misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant tothe audit in order to design audit procedures that areappropriate in the circumstances, but not for the purposeof expressing an opinion on the effectiveness of theFund’s internal control.

• Evaluate the appropriateness of accounting policies usedand the reasonableness of accounting estimates andrelated disclosures made by the Board of Directors of theFund.

48

Condude on the appropriateness of the Board of Directors of the Fund·s use of the going concern ba:,;i~ of accounting and. based on the audit evidence obtained. whether a material uncertainty exists re lated to event:, or

i:onditions that may cast significant doubt on the Fund's ability to i:ontinue as a going concern. If we condudc that a material uncertainty exists. we arc requi red to draw attention in our report of the .. rc ,·iscur d'cntrepriscs agree.. to the re lated disclosures in the financial statements or. if such disclosures are inade(juate, to modify our opinion. Our conclusions are based <Jll the audit evidence obtained up to the date of our report of the ··reviseur d'entreprises agree'' . However. future e\'ent~ or conditions may cause the Fund to cease to continue as a going concern.

• Evaluate the overall presentation. structure and content of the financial statements. including the disclosures . and whether the financial statements represent the underlying transactions and events in a manner that achie\'Cs fair presentation.

We communicate with those charged with governance regarding. among other matters. the phmned :,i;ope and timing of the audit and significllnt audit findings. including any signifii:ant deficiencie:, in internal control that we identify during our audit.

ERNST & YOUNG Socicte Anonyme Cabinet ue r~\'i~ion agree

Michael Ferguson Luxembourg. June 29. ::W 18

49

SHAREHOLDER’S INFORMATION (unaudited) AXA/AB Investments

Financial Information on the FundThe Fund will publish semi-annual and annual financial reportscontaining a list of each Portfolio’s holdings and their marketvalues as of the end of the relevant period.

The prospectus and the KIIDs as well as information concerningissue and repurchase prices, purchases and sales of securities, thefinancial situation of the Fund and copies of annual and semi-annual reports can be requested from:

AllianceBernstein Investor Services, a unit ofAllianceBernstein (Luxembourg) S.à r.l.2-4, rue Eugène Ruppert L-2453 Luxembourg

BNP Paribas Securities Services3, rue d’Antin75002 ParisFrance

ODDO BHF AktiengesellschaftBockenheimer Landstraße 1060323 Frankfurt am MainGermany

Allfunds Bank, S.A.calle Nuria no. 57Colonia Mirasierra,28034 MadridSpain

AllianceBernstein Limited50 Berkeley StreetLondon W1J 8HAUnited Kingdom

KIIDs of the Fund are made available atwww.alliancebernstein.com/go/kiid.

Changes in the Investment PortfolioChanges in the Portfolio of Investments during the reporting yearare available free of charge to the Shareholders at the registeredoffice of the Management Company.

Notice to ShareholdersAll notices to shareholders will be published in one or morenewspapers, and in the Recueil Electronique des Sociétés et Asso-ciations (RESA) (formerly the Mémorial), to the extent requiredby Luxembourg law and the Fund’s articles of incorporation orprospectus.

Value at RiskFor UCITS the Value at Risk (VaR) can be measured on an abso-lute or a relative basis. VaR is a widely used risk measure of therisk of loss on a specific portfolio of financial assets. The Invest-ment Manager monitored the total global exposure (market risk)of the Portfolios noted below for the year ended March 31, 2018

utilizing the VaR calculated on a relative basis (pursuant to whichthe VaR of the Portfolio may not exceed twice the VaR of therelevant reference benchmark).

During the aforementioned fiscal year the low, high and averageVaR of the Portfolios measured on a relative basis were as follows:

Portfolio Benchmark Low High Average

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . Eurostoxx (9%)/MSCI World EUR Hedged(21%)/Bloomberg Barclays Global AggregateEUR Hedged (70%)

57.85% 108.28% 72.80%


62.12% 108.34% 83.42%


63.83% 126.52% 101.22%


72.46% 124.47% 107.62%


91.79% 122.32% 104.08%


95.38% 124.62% 107.09%

AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . FTSE 100 (12%)/MSCI World GBP Hedged(28%)/Bloomberg Barclays Global AggregateGBP Hedged (60%)

58.88% 127.68% 78.85%


59.69% 142.42% 88.78%

50

AXA/AB Investments

Portfolio Benchmark Low High Average


64.65% 158.12% 102.55%


47.46% 155.38% 73.77%

For the AB Eurozone Bond Portfolio, the Investment Managermonitored the global exposure (market risk) utilising the VaRcalculated on an absolute basis (pursuant to which the VaR of thePortfolio may not exceed 20% of its Net Asset Value).

During the year ended March 31, 2018 the low, high and averageVaR of the AB Eurozone Bond Portfolio measured on an absolutebasis was as follows:

Portfolio Low High Average

AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.98% 4.36% 2.61%

The VaR of the Portfolios and the VaR of the benchmarks were calculated based on a “historical” model with a 99% confidence leveland an observation period of one month.

LeverageThe Investment Manager does not expect to utilize bank borrowingin implementing the Portfolios’ investment strategy. The expectedlevel of leverage of the Portfolios is estimated to be the following:

• AB Global Strategy 30/70:100-120% range of the Net Asset Value of the Portfolio






• AB Global Strategy 40/60 GBP:120-220% range of the Net Asset Value of the Portfolio



• AB Eurozone Bond Portfolio:100-120% range of the Net Asset Value of the Portfolio


The expected level of leverage is calculated as the sum of thenotionals of the financial derivative instruments held by thePortfolios.

Pursuant to the CSSF Circular 11/512 dated May 30, 2011, thiscalculation methodology neither takes into account the fact that aparticular financial derivative instrument increases or decreasesthe Portfolio’s investment risks nor permits to net financialderivative instruments with offsetting positions. With thismethodology, the use of derivatives for hedging purposes or forefficient portfolio management will consequently increase thelevel of leverage. Shareholders should be aware that (i) a higherlevel of expected leverage does not automatically imply a higherlevel of investment risk and (ii) the expected level of leveragedisclosed above primarily reflects the use of derivatives for hedg-ing purposes or for efficient portfolio management. In addition,the actual leverage of the Portfolio may deviate from the abovementioned expected level of leverage.

The leverage of the Portfolios for the year ended March 31, 2018was:

Portfolio Leverage

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82.53%AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85.16%AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87.53%AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89.51%AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94.57%AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96.04%AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . . . . . . 143.12%AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . . . . . . . 149.74%AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . . . . . . . 149.67%AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46.07%AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . . . . . . . 161.77%

Remuneration disclosuresFrom January 1, 2017 until December 31, 2017 (the “ReferencePeriod”), the total amount of remuneration paid - in cash and/orrestricted securities-by AllianceBernstein (Luxembourg) S.à r.l.

(the “Company”) to its entire staff (composed during the Refer-ence Period in average of 43 employees, including its branch) wasEUR 3.76 million.

51

SHAREHOLDER’S INFORMATION (unaudited) (continued) AXA/AB Investments

In particular, during the Reference Period, the total amount ofremuneration mentioned above was split into fixed and variableremuneration as follows:

—Fixed remuneration: EUR 3,244,931—Variable remuneration: EUR 511,694

No fees based on the performances of the Fund or carried inter-ests are used to remunerate employees of the Company. Duringthe Reference Period, no remuneration was paid by the Companyto the identified staff of the Investment Manager.

The total amount of remuneration paid to senior management andmembers of staff of the Company whose actions have a materialimpact on the risk profile of the Company or falling within theremuneration bracket of senior management and risk takers dur-ing the Reference Period was EUR 1,472,960.

Please note that above figures are provided for all services pro-vided by the Company and they do not represent a breakdown atthe level of the Fund.

Detailed information relating to—amongst others—the financialand non-financial criteria of the remuneration policies and practi-ces, on decision-making process used to determine the remuner-ation policy, and on how pay and performance are linked areavailable in the Remuneration Statement published on AB Globalwebsite at the following address:

www.alliancebernstein.com/go/renumeration_policy.

Over the Reference Period, a review of the Remuneration Policyand of its implementation has been carried out and it did not evi-dence any irregularity. Finally, no material change on the Remu-neration Policy as it was initially designed occurred over theReference Period.

Securities Financing Transaction RegulationThe Securities Financing Transaction Regulation (the “SFTR”)introduces reporting requirements for securities financing trans-actions (“SFTs”) and total return swaps.

A Securities Financing Transaction (SFT) is defined as perArticle 3(11) of the SFTR as:

• a repurchase/reverse repurchase agreement;

• securities or commodities lending and securities orcommodities borrowing;

• a buy-sell back transaction or sell-buy back transaction; or

• a margin lending transaction.

As at March 31, 2018, the Fund held total return swaps (TRS) astype of instrument in scope of the SFTR.

Global DataThe amount of assets across total return swaps as at March 31, 2018,is as follows:


Type of asset Amount % of NAV

Total return swaps €226,664 0.20%









Total return swaps €5,066,734 0.52%






Total return swaps €3,147,276 0.57%



Total return swaps £265,802 0.33%










Data on reuse of collateralThere was no collateral reuse during the year endedMarch 31, 2018.

There was no cash collateral reinvestment during the year endedMarch 31, 2018.

Concentration dataThere was no security collateral received for total return swaps asat March 31, 2018.

The ten largest counterparties across total return swaps as atMarch 31, 2018 is as follows:


Type of asset # Counterparty Amount

Total return swaps 1 AXA Bank Europe €226,664

52

AXA/AB Investments









Total return swaps 1 AXA Bank Europe €5,066,734






Total return swaps 1 AXA Bank Europe €3,147,276



Total return swaps 1 AXA Bank Europe £265,802










Safekeeping of collateral receivedThere was no collateral received for total return swaps as atMarch 31, 2018.

Safekeeping of collateral grantedTotal return swapsThe proportion of collateral held in segregated, pooled or otheraccounts as at March 31, 2018 is as follows:


%

Segregated accounts 0%Pooled accounts 0%

Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%

Return/CostsReturn and cost for total return swaps for the year endedMarch 31, 2018 is as follows:


Returns* Amount % of overall returns**

To Fund €4,579,562 100%

Costs* Amount % of overall returns

To Fund €3,211,145 100%



To Fund €2,388,962 100%


To Fund €1,657,220 100%

53




To Fund €12,960,374 100%


To Fund €8,795,893 100%



To Fund €97,788,844 100%


To Fund €66,374,533 100%



To Fund €167,568 100%


To Fund €95,459 100%



To Fund €50,675,788 100%


To Fund €31,104,172 100%



To Fund £6,165,193 100%


To Fund £4,198,626 100%



To Fund £12,969,203 100%


To Fund £8,610,391 100%



To Fund £16,961,454 100%


To Fund £10,960,764 100%



To Fund £1,509,314 100%


To Fund £1,070,306 100%

* Return (cost) are identified as the realized gains (losses), changein unrealized gains (losses) and interest received (paid) on totalreturn swaps and reverse repurchase agreements during thereporting year.

** All returns from OTC derivative transactions will accrue to thePortfolio and are not subject to any returns sharing agreementwith the Portfolio’s manager or any other third parties.

Aggregate transaction dataThe maturity of total return swaps as at March 31, 2018 is asfollows:


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . . €226,664

One week to one month . . . . . . . . . . . . . . . . . . . . €0One month to three months . . . . . . . . . . . . . . . . . . €0Three months to one year . . . . . . . . . . . . . . . . . . . . €0

Above one year . . . . . . . . . . . . . . . . . . . . . . . . . €0Open maturity . . . . . . . . . . . . . . . . . . . . . . . . . . €0


Maturity Amount





Maturity Amount





Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . €5,066,734

One week to one month . . . . . . . . . . . . . . . . . . . €0One month to three months . . . . . . . . . . . . . . . . . €0Three months to one year . . . . . . . . . . . . . . . . . . €0

Above one year . . . . . . . . . . . . . . . . . . . . . . . . €0Open maturity . . . . . . . . . . . . . . . . . . . . . . . . . €0


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . . . €10,089

One week to one month . . . . . . . . . . . . . . . . . . . . . €0One month to three months . . . . . . . . . . . . . . . . . . . €0Three months to one year . . . . . . . . . . . . . . . . . . . . €0

Above one year . . . . . . . . . . . . . . . . . . . . . . . . . . €0Open maturity . . . . . . . . . . . . . . . . . . . . . . . . . . €0

54

AXA/AB Investments


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . €3,147,276

One week to one month . . . . . . . . . . . . . . . . . . . €0One month to three months . . . . . . . . . . . . . . . . . €0Three months to one year . . . . . . . . . . . . . . . . . . €0

Above one year . . . . . . . . . . . . . . . . . . . . . . . . €0Open maturity . . . . . . . . . . . . . . . . . . . . . . . . . €0


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . . £0One day to one week . . . . . . . . . . . . . . . . . . . . . . £265,802

One week to one month . . . . . . . . . . . . . . . . . . . . £0One month to three months . . . . . . . . . . . . . . . . . . £0Three months to one year . . . . . . . . . . . . . . . . . . . . £0

Above one year . . . . . . . . . . . . . . . . . . . . . . . . . £0Open maturity . . . . . . . . . . . . . . . . . . . . . . . . . . £0


Maturity Amount





Maturity Amount





Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . . £0One day to one week . . . . . . . . . . . . . . . . . . . . . . . £61,852

One week to one month . . . . . . . . . . . . . . . . . . . . . £0One month to three months . . . . . . . . . . . . . . . . . . . £0Three months to one year . . . . . . . . . . . . . . . . . . . . £0

Above one year . . . . . . . . . . . . . . . . . . . . . . . . . . £0Open maturity . . . . . . . . . . . . . . . . . . . . . . . . . . £0

The settlement and clearing mechanisms for total return swaps asat as at March 31, 2018 are as follows:


Settlement and clearing mechanism Amount

Bilateral €226,664









Bilateral €5,066,734



Bilateral €10,089



Bilateral €3,147,276



Bilateral £265,802



Bilateral £574,869



Bilateral £819,426



Bilateral £61,852

The aggregate transaction data for collateral positions (including cash) granted for total return swaps as at March 31, 2018 is as follows:


Counterparty Type of collateral Amount Quality*

Maturitytenor of

collateralCurrency of

collateral

Country ofcounterpartyestablishment

AXA Bank Europe Cash collateral 1,000,000 N/A N/A € France

55




Maturitytenor of


collateral


AXA Bank Europe Cash collateral 600,000 N/A N/A € France



Maturitytenor of


collateral





Maturitytenor of


collateral





Maturitytenor of


collateral





Maturitytenor of


collateral


AXA Bank Europe Cash collateral 600,000 N/A N/A £ France



Maturitytenor of


collateral


AXA Bank Europe Cash collateral 1,500,000 N/A N/A £ France



Maturitytenor of


collateral


AXA Bank Europe Cash collateral 1,601,000 N/A N/A £ France

56

AXA/AB Investments

MANAGEMENT COMPANY AllianceBernstein (Luxembourg) S.à r.l.2-4, rue Eugène RuppertL-2453 LuxembourgRCS: B34405

BOARD OF DIRECTORS OF THE FUND Silvio CruzLouis ManganYves PrussenBertrand Reimmel

BOARD OF MANAGERS OF THEMANAGEMENT COMPANY

Silvio CruzLouis ManganYves PrussenBertrand ReimmelSimone ThelenSteven Eisenberg

INVESTMENT MANAGER* AllianceBernstein L.P.1345 Avenue of the AmericasNew York, New York 10105United States of America

ADMINISTRATIVE AGENT* AND DEPOSITARY Brown Brothers Harriman(Luxembourg) S.C.A.80, Route d’EschL-1470 Luxembourg

REGISTRAR AND TRANSFER AGENT AllianceBernstein Investor Servicesa unit of AllianceBernstein (Luxembourg) S.à r.l.2-4, rue Eugène RuppertL-2453 Luxembourg

DISTRIBUTOR AllianceBernstein Investmentsa unit of AllianceBernstein (Luxembourg) S.à r.l.2-4, rue Eugène RuppertL-2453 Luxembourg

INDEPENDENT AUDITOR Ernst & Young S.A.35E Avenue John F. KennedyL-1855 Luxembourg

* Delegated by the Management Company

57


LEGAL ADVISERS Elvinger Hoss Prussen, société anonyme2, place Winston ChurchillB.P. 425L-2014 Luxembourg

UK FACILITIES AGENT AllianceBernstein Limited50 Berkeley StreetLondon W1J 8HAUnited Kingdom

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Ill ALLIANCEBERNSTEIN®