semi-annualreport axa/abinvestments€¦ · the share class performance of each portfolio is based...

(unaudited) SEP 09.30.19

SEMI-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

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 KIIDs of the Fund, the articles of incorporation and the most recent annual and semi-annualreports—each in paper form—may be obtained free of charge at the office of the German Paying and Information Agent. The net assetvalue per share, the issue and redemption prices and any conversion prices as well as any notices to the Shareholders are available free ofcharge 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

October 25, 2019

Dear Shareholder,

This report provides management’s discussion of fund perform-ance for AXA/AB Investments (the “Fund”) for the semi-annualreporting period ended September 30, 2019.

US and international equity markets rose while emerging marketsdeclined during the six-month period ended September 30, 2019.After an extended period of heightened volatility driven by tariffescalations between the US and China, a slowdown in globalgrowth due to a downturn in the Chinese economy, and height-ened geopolitical pressures, US and international markets turnedsomewhat calmer. Investors responded positively to news about apossible trade dispute resolution and widespread monetary easingby the world’s central banks.

Equity markets rallied at the end of the period after the announce-ment of a new round of high-level US-China trade negotiationsscheduled for October. In the US, the rally was accompanied by asharp style rotation as quality-growth and lower-volatility stocks,which had performed strongly earlier in the year, lagged andvalue stocks outperformed.

Fixed-income markets performed strongly during the period.Long-dated developed-market treasury securities and emerging-market sovereign debt were strong performers, given theirinterest-rate sensitivity. Investment-grade corporate bond returnswere also robust, and spreads remained near historical lows, out-performing high-yield bonds.

After holding rates steady in early 2019, the US Federal Reservelowered interest rates in July and September. The European Cen-tral Bank followed suit in September by cutting rates to a recordlow and announcing the resumption of quantitative easing. Cen-tral bankers in numerous other developed and emerging marketsalso lowered interest rates and signaled further monetary easingand potential fiscal stimulus measures to boost faltering demand.

We appreciate your investment in the Fund.

Sincerely,

AllianceBernstein (Luxembourg) S.à r.l., the managementcompany of the Fund (the “Management Company”)

1

SHARE PERFORMANCE AXA/AB Investments

6 Months* 12 Months

AB Global Strategy 30/70Class

V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.62% 2.90%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.86% 3.37%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.15% 3.96%


V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.86% 2.39%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.09% 2.85%


V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.92% 1.65%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.16% 2.11%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.47% 2.74%


V1. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.17% 1.40%V3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.51% 2.09%V4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.12% 1.33%V5. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.39% 1.87%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.73% 2.52%


V4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.83% 1.01%


V3. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.27% 1.19%V6. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.49% 1.63%

AB Global Strategy 40/60 GBPClass

V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.30% 3.99%


V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.43% 3.43%


V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.55% 3.11%

AB Eurozone Bond PortfolioClass

V4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.85% 5.72%

2

AXA/AB Investments

6 Months* 12 Months


V2. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.19% 4.51%

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 September 30, 2019. No adjustment has been made for sales charges that may apply when shares arepurchased or redeemed. Past performance is no guarantee of future results. Investment return and principal value may fluctuate so that aninvestor’s shares, when redeemed, may be worth more or less than their original cost.

* 6 months period ending September 30, 2019.

3

PORTFOLIO OF INVESTMENTSSeptember 30, 2019 (unaudited)

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% 11/07/19 EUR 11,972 €11,979,470 12.5%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 12,078 12,151,451 12.6

24,130,921 25.1

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/20/20 11,958 12,005,465 12.5France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/17/20 11,995 12,049,037 12.5

24,054,502 25.0

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/29/19 11,988 12,000,308 12.5

60,185,731 62.6

INVESTMENT COMPANIES

FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . 14,994 2,629,166 2.7iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 18,899 2,630,355 2.8iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 15,961 2,629,312 2.7iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,698 861,986 0.9

8,750,819 9.1

Total Investments(cost €68,684,717) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €68,936,550 71.7%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 28,665 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 27,806 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 1,884 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 78,296 0.1Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 6,136,852 6.4HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 9,139 0.0HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 811,030 0.8SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 506,790 0.5SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 4,793 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 4,701,142 4.9Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 245,314 0.3

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,551,711 13.0

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,717,432 15.3

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €96,205,693 100.0%

FUTURES

Description Expiration DateNumber ofContracts Original Value Market Value

UnrealizedAppreciation/(Depreciation)

LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 164 €5,739,629 €5,823,572 € 83,943Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 25 3,368,299 3,344,990 (23,309)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 20 3,380,283 3,352,526 (27,757)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 7 571,962 578,275 6,313Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 1 84,336 83,559 (777)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 6 859,181 863,350 4,169MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 22 1,050,508 1,032,576 (17,932)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 3 65,484 64,843 (641)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 42 5,740,007 5,673,031 (66,976)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 3 280,535 281,281 746TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 6 781,908 805,373 23,465U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 16 3,177,275 3,170,706 (6,569)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 29 3,199,497 3,180,704 (18,793)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 49 5,910,280 5,866,772 (43,508)

€ (87,626)

Appreciation € 118,636Depreciation €(206,262)

4


FORWARD FOREIGN CURRENCY CONTRACTS

Counterparty

Contracts toDeliver(000)

In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 44 EUR 49 10/11/19 € 70Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 723 EUR 809 10/11/19 (6,152)

€ (6,082)

Appreciation € 70Depreciation € (6,152)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Clearing Broker/(Exchange) Referenced ObligationTermination

Date

NotionalAmount

(000)MarketValue


Buy Contracts

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 12 € (292) € (4)

Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 33, 5 Year Index 12/20/24 USD 1,922 34,595 (431)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 1,764 41,262 (941)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 32, 5 Year Index 12/20/24 1,235 160,151 (13,557)

Total €235,716 €(14,933)

TOTAL RETURN SWAPS

Counterparty &Referenced Obligation

# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date


Receive Total Return on Reference ObligationAXA Bank Belgium

AB Global Strategy 30/70 368,113 0.01% EUR 48,281 10/03/19 €128,316

Total for Swaps €113,383

(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 Trésor

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% 11/07/19 EUR 5,979 € 5,982,959 13.0%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 5,950 5,986,161 13.0

11,969,120 26.0


11,958,099 26.0


29,910,060 65.0


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . 5,614 984,355 2.1iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 7,076 984,800 2.2iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 5,976 984,410 2.1iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,148 324,856 0.7

3,278,421 7.1

Total Investments(cost €33,094,459) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €33,188,481 72.1%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 16,758 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 11,795 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 706 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 29,916 0.1Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 510,077 1.1HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 3,849 0.0HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 945,161 2.1SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 190,125 0.4SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 1,807 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,076,971 2.3Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 2,653,771 5.8



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €46,030,808 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 95 €3,341,138 € 3,390,003 € 48,865Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 9 1,261,085 1,252,358 (8,727)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 7 1,265,572 1,255,180 (10,392)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 4 354,383 358,295 3,912Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 0* 49,180 48,727 (453)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 2 323,799 325,370 1,571MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 13 605,844 595,502 (10,342)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 2 38,186 37,812 (374)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 24 3,355,433 3,316,281 (39,152)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 2 163,590 164,025 435TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 3 442,897 456,188 13,291U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 6 1,193,858 1,191,390 (2,468)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 11 1,202,209 1,195,147 (7,062)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 18 2,220,782 2,204,434 (16,348)

€(27,244)


6



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 16 EUR 19 10/11/19 € 26Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 272 EUR 305 10/11/19 (2,318)

€ (2,292)




Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 33, 5 Year Index 12/20/24 USD 720 12,951 (162)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 660 15,447 (352)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 32, 5 Year Index 12/20/24 463 59,953 (5,075)

Total €88,242 €(5,590)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date


Receive Total Return on Reference Obligation

AXA Bank BelgiumAB Global Strategy 40/60 183,252 0.01% EUR 25,084 10/03/19 €79,224


7

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

* Contract amount less than 0.50.



EUR - Euro



Glossary:














8




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/07/19 EUR 27,193 € 27,209,675 13.1%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 27,246 27,411,030 13.1

54,620,705 26.2

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/20/20 27,068 27,176,301 13.0France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/17/20 27,082 27,204,432 13.1

54,380,733 26.1

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/29/19 27,000 27,027,901 13.0

136,029,339 65.3


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . 21,364 3,746,224 1.8iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . 26,928 3,747,917 1.8iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . 22,743 3,746,431 1.8iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,207 1,241,476 0.6

12,482,048 6.0

Total Investments(cost €148,153,506) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €148,511,387 71.3%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 95,553 0.1BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 61,908 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 2,679 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 4,036,163 1.9Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 2,059,483 1.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 20,242 0.0HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,324,694 0.6SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 726,030 0.4SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 6,903 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 4,094,703 2.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 12,077,374 5.8

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,505,732 11.8

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,189,267 16.9

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €208,206,386 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 540 €18,911,357 €19,187,938 € 276,581Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 35 4,799,393 4,766,180 (33,213)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 28 4,816,468 4,776,918 (39,550)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 24 1,996,434 2,018,470 22,036Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 2 280,340 277,759 (2,581)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 8 1,237,436 1,243,440 6,004MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 75 3,520,858 3,460,758 (60,100)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 9 217,674 215,544 (2,130)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 138 19,135,646 18,912,367 (223,279)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 9 932,522 935,001 2,479TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 20 2,567,167 2,644,209 77,042U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 23 4,520,500 4,511,154 (9,346)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 41 4,552,117 4,525,378 (26,739)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 70 8,408,910 8,347,009 (61,901)

€ (74,697)


9



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 63 EUR 71 10/11/19 € 101Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1,041 EUR 1,165 10/11/19 (8,860)

€ (8,759)




Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts


Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 2,501 58,520 (1,334)


Total €334,305 €(21,179)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date







EUR - Euro



Glossary:














10




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/07/19 EUR 138,651 € 138,733,621 13.7%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 137,964 138,802,152 13.7

277,535,773 27.4

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/20/20 138,085 138,638,182 13.7France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/17/20 138,005 138,626,789 13.7

277,264,971 27.4

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/29/19 138,583 138,726,578 13.7

693,527,322 68.5


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . 37,320 6,544,113 0.6iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . 47,040 6,547,072 0.7iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . 39,728 6,544,475 0.7iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,591 2,207,175 0.2

21,842,835 2.2

Total Investments(cost €714,751,637) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 715,370,157 70.7%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 251,540 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 305,051 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 4,783 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 277,789 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 3,980,734 0.4HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 100,693 0.0HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 82,699,374 8.2SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,360,492 0.2SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 12,273 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 7,260,625 0.7Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 32,670,044 3.2

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128,923,398 12.7

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167,988,456 16.6

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €1,012,282,011 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 1,437 €50,362,254 € 51,098,808 € 736,554Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 61 8,383,848 8,325,830 (58,018)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 49 8,413,676 8,344,588 (69,088)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 63 5,229,905 5,287,631 57,726Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 5 740,426 733,609 (6,817)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 15 2,199,993 2,210,667 10,674MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 197 9,214,734 9,057,443 (157,291)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 24 574,914 569,288 (5,626)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 364 50,371,625 49,783,877 (587,748)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 24 2,462,951 2,469,499 6,548TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 51 6,660,809 6,860,702 199,893U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 40 7,982,513 7,966,009 (16,504)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 73 8,038,343 7,991,127 (47,216)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 123 14,848,852 14,739,543 (109,309)

€ (46,222)

Appreciation € 1,011,395Depreciation €(1,057,617)

11



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 112 EUR 126 10/11/19 € 179Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1,850 EUR 2,071 10/11/19 (15,751)

€ (15,572)




Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 33, 5 Year Index 12/20/24 USD 4,866 87,576 (1,093)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 4,465 104,452 (2,381)


Total €596,701 €(37,803)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank BelgiumAB Global Strategy 60/40 5,430,589 0.01% EUR 799,154 10/03/19 €3,288,352

Total for Swaps €3,250,549

12




EUR - Euro



Glossary:














13




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/07/19 EUR 838 € 838,222 13.4%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 834 838,639 13.4

1,676,861 26.8

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/20/20 835 837,876 13.4France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/17/20 834 837,871 13.3

1,675,747 26.7

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/29/19 837 838,259 13.4

4,190,867 66.9


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . 528 92,654 1.5iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 666 92,696 1.5iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 562 92,659 1.5iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153 23,179 0.3

301,188 4.8

Total Investments(cost €4,483,314) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €4,492,055 71.7%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 9,025 0.2BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 2,070 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 51 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 2,507 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 187,787 3.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 643 0.0HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 46,501 0.8SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 13,904 0.2SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 129 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 89,616 1.4Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 111,506 1.8

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463,739 7.4

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,308,060 20.9

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €6,263,854 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 39 €1,369,098 € 1,389,121 € 20,023Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 1 118,701 117,880 (821)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 1 119,124 118,146 (978)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 2 187,393 189,461 2,068Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 0* 25,945 25,706 (239)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 0* 23,103 23,215 112MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 7 330,522 324,880 (5,642)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 1 20,145 19,948 (197)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 13 1,808,462 1,787,360 (21,102)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 1 86,303 86,533 230TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 2 240,074 247,279 7,205U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 0* 84,977 84,801 (176)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 1 85,571 85,069 (502)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 1 158,072 156,908 (1,164)

€ (1,183)


14



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1 EUR 1 10/11/19 € 1Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 19 EUR 22 10/11/19 (165)

€ (164)

Appreciation € 1Depreciation € (165)



Date

NotionalAmount

(000)MarketValue


Buy Contracts

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 0** € (8) € 0

Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 33, 5 Year Index 12/20/24 USD51 922 (12)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR47 1,099 (25)

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Xover Series 32, 5 Year Index 12/20/24 33 4,266 (361)

Total € 6,279 €(398)

TOTAL RETURN SWAP


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date






** Notional amount less than 500.



EUR - Euro



Glossary:














15




Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/07/19 EUR 85,155 € 85,206,248 13.7%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 84,716 85,230,397 13.7

170,436,645 27.4

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/20/20 84,819 85,158,456 13.7France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/17/20 84,772 85,154,255 13.7

170,312,711 27.4

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/29/19 85,119 85,206,539 13.7

425,955,895 68.5


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . 19,005 3,332,448 0.5iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . 23,954 3,333,954 0.6iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . 20,231 3,332,632 0.5iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,823 426,991 0.1

10,426,025 1.7

Total Investments(cost €436,070,669) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €436,381,920 70.2%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 587,521 0.1BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 167,450 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 1,020 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 87,772 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 2,969,428 0.5HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 53,513 0.0HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 20,447,187 3.3SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 309,928 0.0SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 2,374 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 36,401,211 5.9Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 4,894,252 0.8

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65,921,656 10.6

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119,300,615 19.2

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €621,604,191 100.0%

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 2,306 € 80,781,152 € 81,962,586 € 1,181,434Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 31 4,269,293 4,239,748 (29,545)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 25 4,284,482 4,249,301 (35,181)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 149 12,262,394 12,397,742 135,348Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 11 1,739,602 1,723,585 (16,017)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 3 425,601 427,666 2,065MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 466 21,796,902 21,424,838 (372,064)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 56 1,350,737 1,337,520 (13,217)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 851 117,650,654 116,277,880 (1,372,774)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 56 5,786,601 5,801,985 15,384TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 119 15,578,402 16,045,915 467,513U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 9 1,704,148 1,700,625 (3,523)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 16 1,716,067 1,705,987 (10,080)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 26 3,170,010 3,146,674 (23,336)

€ (73,993)

Appreciation € 1,801,744Depreciation €(1,875,737)

16



Counterparty


In ExchangeFor

(000)Settlement

Date


Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 22 EUR 24 10/11/19 € 34Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 358 EUR 401 10/11/19 (3,047)

€(3,013)

Appreciation € 34Depreciation €(3,047)



Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts

Citigroup Global Markets, Inc./(INTRCONX) CDX-NAIG Series 33, 5 Year Index 12/20/24 USD 991 17,826 (222)



Total €121,456 €(7,707)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank BelgiumAB Global Strategy 90/10 1,955,439 0.01% EUR 334,854 10/03/19 €1,354,488

Total for Swaps €1,346,781

17



Currency Abbreviations:EUR - Euro



Glossary:BOBL - Bundesobligationen













18


AXA/AB InvestmentsAB Global Strategy 40/60 GBP


Value(GBP)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/07/19 EUR 5,207 £ 4,618,931 6.8%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 5,187 4,625,847 6.9

9,244,778 13.7


9,234,382 13.7


UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/04/19 GBP 3,779 3,775,974 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/11/19 3,811 3,807,292 5.7United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/09/19 3,813 3,807,593 5.7United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 1/13/20 3,784 3,776,195 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/09/20 3,788 3,775,717 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/23/20 3,800 3,785,853 5.6

22,728,624 33.8

45,827,036 68.1


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . 6,572 1,021,570 1.5iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 8,284 1,022,032 1.5iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 6,996 1,021,626 1.5iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22,667 3,039,565 4.6

6,104,793 9.1

Total Investments(cost £51,841,939) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £51,931,829 77.2%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 32,196 0.1BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 21,478 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 1,602 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 250,917 0.4Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,052,406 1.6HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 7,038 0.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 956,190 1.4HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 821,085 1.2SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 365,027 0.5SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 2,686,631 4.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,585,597 2.4Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 272,311 0.4



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £67,247,132 100.0%

19

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

FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 53 £1,635,198 £1,659,113 £ 23,915Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 11 1,308,761 1,299,705 (9,056)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 9 1,313,419 1,302,634 (10,785)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 75 5,489,874 5,550,469 60,595Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 1 94,582 93,711 (871)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 23 3,029,674 3,044,374 14,700MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 28 1,163,745 1,143,880 (19,865)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 3 73,439 72,721 (718)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 53 6,446,829 6,371,606 (75,223)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 3 314,616 315,453 837TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 7 850,664 876,192 25,528U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 13 2,293,566 2,288,823 (4,743)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 24 2,309,607 2,296,040 (13,567)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 40 4,266,427 4,235,021 (31,406)

£ (40,659)

Appreciation £ 125,575Depreciation £(166,234)


Counterparty


In ExchangeFor

(000)Settlement

Date


BNP Paribas SA+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1,712 GBP 1,515 10/11/19 £ (2,660)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 30,631 GBP 27,370 10/11/19 208,436Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 60,431 GBP 53,501 10/11/19 (85,401)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 54,175 EUR 61,192 10/11/19 86,409Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1,435 GBP 1,280 10/11/19 7,789Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 2,875 EUR 3,217 10/11/19 (21,699)Royal Bank of Scotland PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 41,748 GBP 37,296 10/11/19 275,781

£ 468,655

Appreciation £ 578,415Depreciation £ (109,760)

+ Used for share class hedging purposes.



Date

NotionalAmount

(000)MarketValue


Buy Contracts

Citigroup Global Markets, Inc./(INTRCONX) iTraxx Europe Series 32, 5 Year Index 12/20/24 EUR 10 £ (210) £ (2)

Sale Contracts




Total £169,557 £(9,562)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date


Receive Total Return on Reference ObligationAXA Bank Belgium

AB Global Strategy 40/60 GBP 225,749 0.64% GBP 26,648 10/03/19 £109,312

Total for Swaps £ 99,750

20



















21




Value(GBP)

Net Assets%



TREASURY BILLS


23,855,571 15.3


23,833,200 15.3


UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/04/19 GBP 7,860 7,854,837 5.0United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/11/19 7,862 7,854,676 5.0United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/09/19 7,866 7,854,646 5.0United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 1/13/20 7,872 7,855,133 5.1United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/09/20 7,881 7,854,216 5.0United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/23/20 7,800 7,770,961 5.0

47,044,469 30.1

106,654,971 68.3


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF. . . . . . . . . . . . . . . . . . 13,674 2,125,494 1.4iShares Euro Government Bond 3-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 17,235 2,126,455 1.4iShares Euro Government Bond 5-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 14,556 2,125,611 1.3iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47,020 6,305,159 4.0

12,682,719 8.1

Total Investments(cost £119,151,340) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £119,337,690 76.4%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 100,161 0.1BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 32,526 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 3,314 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 516,350 0.3Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 2,234,413 1.4Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 2,223,285 1.4HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 10,456 0.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 5,550,437 3.6HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,999,779 1.3SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 750,266 0.5SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 35,060 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 3,280,009 2.1Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 835,707 0.5

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17,571,763 11.2

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19,381,336 12.4

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £156,290,789 100.0%

22


FUTURES

Description Expiration DateNumber ofContracts

OriginalValue Market Value


LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 163 £ 5,055,398 £ 5,129,334 £ 73,936Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 22 2,723,032 2,704,186 (18,846)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 18 2,732,718 2,710,279 (22,439)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 232 16,936,841 17,123,784 186,943Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 2 293,949 291,243 (2,706)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 47 6,284,641 6,315,134 30,493MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 89 3,690,789 3,627,789 (63,000)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 11 228,241 226,007 (2,234)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 164 20,057,491 19,823,456 (234,035)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 11 977,791 980,391 2,600TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 23 2,691,407 2,772,177 80,770U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 27 4,738,231 4,728,434 (9,797)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 49 4,771,370 4,743,344 (28,026)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 83 8,813,926 8,749,043 (64,883)

£ (71,224)



Counterparty


In ExchangeFor

(000)Settlement

Date


BNP Paribas SA+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4,058 GBP 3,592 10/11/19 £ (6,306)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 64,899 GBP 57,990 10/11/19 441,623Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 125,783 GBP 111,359 10/11/19 (177,940)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 113,852 EUR 128,600 10/11/19 182,652Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 3,185 GBP 2,842 10/11/19 17,288Royal Bank of Scotland PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 103,829 GBP 92,756 10/11/19 685,879Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 5,962 EUR 6,673 10/11/19 (45,012)

£ 1,098,184

Appreciation £ 1,327,442Depreciation £ (229,258)




Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts




Total £350,422 £(19,762)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date



AXA Bank BelgiumAB Global Strategy 50/50 GBP 448,209 0.64% GBP 55,386 10/03/19 £251,941

Total for Swaps £232,179

23



















24




Value(GBP)

Net Assets%



TREASURY BILLS


27,518,272 14.7


27,497,399 14.7


UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/04/19 GBP 10,474 10,466,221 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/11/19 10,475 10,466,008 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/09/19 10,481 10,466,038 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 1/13/20 10,489 10,466,659 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/09/20 10,501 10,465,444 5.6United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/23/20 10,500 10,460,908 5.5

62,791,278 33.5

131,561,384 70.3


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF. . . . . . . . . . . . . . . . . . 12,104 1,881,485 1.0iShares Euro Government Bond 3-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 15,256 1,882,336 1.0iShares Euro Government Bond 5-7yr UCITS ETF. . . . . . . . . . . . . . . . . . 12,885 1,881,589 1.0iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41,470 5,560,979 3.0

11,206,389 6.0

Total Investments(cost £142,604,995) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £142,767,773 76.3%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% 133,120 0.1BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 40,257 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% 2,970 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 459,098 0.2Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 2,025,817 1.1HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 12,908 0.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% 4,086,086 2.2HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 2,192,671 1.2SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 679,523 0.4SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% 30,922 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 2,922,652 1.5Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% 7,520,521 4.0Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% 1,109,719 0.6

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21,216,264 11.3

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,246,812 12.4

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £187,230,849 100.0%

25


FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 220 £ 6,828,939 £ 6,928,812 £ 99,873Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 20 2,410,423 2,393,743 (16,680)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 16 2,418,999 2,399,136 (19,863)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 311 22,693,701 22,944,186 250,485Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 3 391,822 388,213 (3,609)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 41 5,542,884 5,569,778 26,894MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 118 4,877,332 4,794,078 (83,254)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 14 304,235 301,258 (2,977)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 218 26,656,343 26,345,311 (311,032)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 14 1,303,351 1,306,816 3,465TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 30 3,524,581 3,630,355 105,774U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 24 4,223,787 4,215,054 (8,733)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 44 4,253,328 4,228,345 (24,983)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 74 7,856,972 7,799,134 (57,838)

£ (42,478)



Counterparty


In ExchangeFor

(000)Settlement

Date


BNP Paribas SA+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 4,961 GBP 4,391 10/11/19 £ (7,709)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 86,460 GBP 77,256 10/11/19 588,343Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 169,382 GBP 149,960 10/11/19 (238,620)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 151,886 EUR 171,559 10/11/19 243,271Brown Brothers Harriman & Co.+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 6,452 GBP 5,744 10/11/19 22,300Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 5,258 EUR 5,885 10/11/19 (39,700)Royal Bank of Scotland PLC+ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 114,704 GBP 102,471 10/11/19 757,717

£1,325,602

Appreciation £1,611,631Depreciation £ (286,029)




Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts




Total £315,744 £(17,807)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date





26



















27


AXA/AB InvestmentsAB Eurozone Bond Portfolio


Value(EUR)

Net Assets%



TREASURY BILLS

BELGIUMBelgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/07/19 EUR 279 € 279,480 4.7%Belgium Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 9/10/20 286 287,658 4.9

567,138 9.6

FRANCEFrance Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 5/20/20 278 279,361 4.8France Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 6/17/20 278 279,354 4.7

558,715 9.5

NETHERLANDSNetherlands Treasury Bills . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/29/19 279 279,421 4.7

1,405,274 23.8


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . 6,091 1,068,131 18.1iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 7,678 1,068,614 18.2iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . . 6,484 1,068,190 18.1

3,204,935 54.4

Total Investments(cost €4,506,761) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €4,610,209 78.2%

Time DepositsBBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 95 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 10 0.0Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 413,760 7.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 593,757 10.1

Total Time Deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,007,622 17.1

Other assets less liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 274,993 4.7

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €5,892,824 100.0%

FUTURES



LongEuro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 10 €1,368,413 €1,358,944 € (9,469)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 8 1,373,281 1,362,004 (11,277)

€(20,746)



Glossary:






28




Value(GBP)

Net Assets%



TREASURY BILLS


5,091,736 16.5


5,084,945 16.5


UNITED KINGDOMUnited Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/04/19 GBP 1,053 1,052,468 3.4United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 11/11/19 1,078 1,077,464 3.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 12/09/19 1,079 1,077,570 3.5United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 1/13/20 1,055 1,052,513 3.4United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/09/20 1,056 1,052,365 3.4United Kingdom Treasury Bill . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.00% 3/23/20 1,000 996,277 3.3

6,308,657 20.5

19,028,988 61.8


FUNDS AND INVESTMENT TRUSTSiShares Euro Government Bond 3-5yr UCITS ETF . . . . . . . . . . . . . . . . . . 4,408 685,252 2.2iShares Euro Government Bond 3-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 5,557 685,561 2.2iShares Euro Government Bond 5-7yr UCITS ETF . . . . . . . . . . . . . . . . . . 4,693 685,290 2.2iShares UK Gilts 0-5yr UCITS ETF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,142 2,030,519 6.6

4,086,622 13.2

Total Investments(cost £23,054,488) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £23,115,610 75.0%

Time DepositsBarclays, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 13,803 0.0BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 19,872 0.1BBH, Grand Cayman (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25% — 1,072 0.0Citibank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 169,496 0.5Deutsche Bank, Frankfurt (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 696,349 2.3HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 6,571 0.0HSBC Bank PLC, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 491,724 1.6HSBC France S.A., Paris (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 479,413 1.6SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 246,318 0.8SEB, Stockholm (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 11,291 0.0Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 1,062,224 3.4Sumitomo Trust Bank, London (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.37% — 756,245 2.5Sumitomo, Tokyo (a) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (0.67)% — 120,301 0.4



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £30,806,690 100.0%

29


FUTURES



LongEuro STOXX 50 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 23 £ 707,918 £ 718,271 £ 10,353Euro-BOBL Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 7 877,895 871,820 (6,075)Euro-OAT Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/06/19 6 881,019 873,784 (7,235)FTSE 100 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 32 2,342,304 2,368,157 25,853Hang Seng Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 0* 40,641 40,267 (374)Long Gilt Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/27/19 15 2,023,912 2,033,732 9,820MSCI Emerging Markets Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 12 505,768 497,135 (8,633)MSCI Singapore IX ETS Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10/30/19 1 31,556 31,247 (309)S&P 500 E-Mini Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/20/19 23 2,764,747 2,732,487 (32,260)SPI 200 Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 1 135,187 135,547 360TOPIX Index Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/12/19 3 376,271 387,563 11,292U.S. T-Note 2 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 9 1,530,419 1,527,255 (3,164)U.S. T-Note 5 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/31/19 16 1,541,123 1,532,070 (9,053)U.S. T-Note 10 Yr (CBT) Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12/19/19 27 2,846,843 2,825,887 (20,956)

£(30,381)



Counterparty


In ExchangeFor

(000)Settlement

Date


BNP Paribas SA+. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 1,206 GBP 1,068 10/11/19 £ (1,874)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 8,621 GBP 7,703 10/11/19 58,662Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 17,133 GBP 15,169 10/11/19 (24,224)Brown Brothers Harriman & Co. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 15,491 EUR 17,497 10/11/19 24,442Royal Bank of Scotland PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 1,920 EUR 2,149 10/11/19 (14,496)Royal Bank of Scotland PLC+. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 24,981 GBP 22,317 10/11/19 165,021

£ 207,531

Appreciation £ 248,125Depreciation £ (40,594)




Date

NotionalAmount

(000)MarketValue


Buy Contracts


Sale Contracts




Total £113,557 £(6,404)

TOTAL RETURN SWAPS


# of Sharesor Units

Rate Paid/Received

NotionalAmount

(000)Maturity

Date





30





EUR - Euro



Glossary:














31

STATEMENT OF ASSETS AND LIABILITIESSeptember 30, 2019 AXA/AB Investments

AB GlobalStrategy 30/70

(EUR)


(EUR)


(EUR)


(EUR)

ASSETS

Investments in securities at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 68,936,550 €33,188,481 €148,511,387 € 715,370,157

Receivable for investment securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,119,876 6,015,403 27,337,439 139,499,115

Time deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12,551,711 5,440,936 24,505,732 128,923,398

Cash at depositary and broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,912,072 2,950,305 16,552,978 51,815,757

Unrealized appreciation on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 128,316 79,224 405,843 3,288,352

Unrealized appreciation on financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,636 68,074 384,142 1,011,395

Unrealized appreciation on forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . 70 26 101 179

Upfront premiums paid on swap contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250,937 93,940 355,893 635,234

Receivable for capital stock sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . –0– –0– –0– –0–

Interest receivable on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,345 1,252 4,744 8,468

Dividends and interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65 25 94 164

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

100,021,578 47,837,666 218,058,353 1,040,552,219

LIABILITIES

Due to depositary and broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,736,635 1,498,220 8,263,795 21,256,687

Payable for investment securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 118,905 77,349 417,636 3,440,408

Unrealized depreciation on financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 206,262 95,318 458,839 1,057,617

Payable for capital stock redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 619,097 39,539 460,018 1,874,686

Unrealized depreciation on forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . 6,152 2,318 8,860 15,751

Unrealized depreciation on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14,933 5,590 21,179 37,803

Upfront premiums received on swap contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288 108 409 730

Accrued expenses and other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113,613 88,416 221,231 586,526

3,815,885 1,806,858 9,851,967 28,270,208

NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 96,205,693 €46,030,808 €208,206,386 €1,012,282,011


32

AXA/AB Investments


(EUR)


(EUR)


GBP(GBP)


GBP(GBP)


GBP(GBP)

AB EurozoneBond Portfolio

(EUR)


GBP(GBP)

Combined(EUR)

€4,492,055 €436,381,920 £51,931,829 £119,337,690 £142,767,773 €4,610,209 £23,115,610 €1,791,731,802

839,169 85,394,255 4,754,553 12,191,355 14,094,676 279,451 2,584,765 309,407,377

463,739 65,921,656 8,052,478 17,571,763 21,216,264 1,007,622 4,074,679 296,236,938

1,256,074 84,097,768 5,295,232 15,500,099 20,024,428 93,623 2,274,029 211,279,751

4,949 1,354,488 109,312 251,941 379,845 –0– 27,199 6,127,657

29,638 1,801,744 125,575 374,742 486,491 –0– 57,678 4,591,600

1 34 578,415 1,327,442 1,611,631 –0– 248,125 4,247,269

6,685 129,312 179,327 370,614 333,938 –0– 120,101 2,604,290

–0– 1,813,377 –0– –0– 632 –0– –0– 1,814,090

89 1,724 2,406 4,973 4,481 –0– 1,612 34,816

–0– 84 25 53 47 27 17 619

–0– –0– –0– –0– –0– 1,983 –0– 1,983

7,092,399 676,896,362 71,029,152 166,930,672 200,920,206 5,992,915 32,503,815 2,628,078,192

737,051 50,828,623 3,082,449 8,984,427 12,005,464 –0– 1,413,070 114,063,456

6,863 2,078,783 101,018 243,148 363,045 –0– 26,988 6,967,973

30,821 1,875,737 166,234 445,966 528,969 20,746 88,059 5,131,663

7,717 117,173 201,453 520,729 232,670 43,144 59,458 4,305,313

165 3,047 109,760 229,258 286,029 –0– 40,594 787,003

398 7,707 9,562 19,762 17,807 –0– 6,404 147,987

8 149 208 430 387 –0– 140 3,006

45,522 380,952 111,336 196,163 254,986 36,201 62,412 2,177,220

828,545 55,292,171 3,782,020 10,639,883 13,689,357 100,091 1,697,125 133,583,621

€6,263,854 €621,604,191 £67,247,132 £156,290,789 £187,230,849 €5,892,824 £30,806,690 €2,494,494,571

33

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSFor the period ended September 30, 2019 AXA/AB Investments


(EUR)


(EUR)


(EUR)


(EUR)

INVESTMENT INCOME

Interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € –0– € –0– € –0– € –0–

Swap income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53,057 19,224 72,515 129,689

Dividends, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,166 4,115 15,797 28,165

64,223 23,339 88,312 157,854

EXPENSES

Management fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276,471 261,201 916,061 3,120,933

Interest expense . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267,775 128,628 590,116 2,906,688

Expense on swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,357 9,881 38,370 96,611

Depositary and custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,897 20,749 35,957 87,781

Accounting and administration fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15,442 11,222 23,349 66,854

Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,840 7,140 13,785 43,560

Taxes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,874 2,309 10,488 50,376

Management company fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,909 2,312 10,524 50,082

Transfer agency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,909 2,543 8,419 45,074

Printing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,656 –0– 2,206 4,062

Miscellaneous . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,991 9,755 11,029 12,667

649,121 455,740 1,660,304 6,484,688Expense reimbursed or waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (18,487) (37,480) (22,145) –0–

Net expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 630,634 418,260 1,638,159 6,484,688

Net investment (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (566,411) (394,921) (1,549,847) (6,326,834)

REALIZED GAINS AND (LOSSES)

On investments, forward foreign currency contracts, swaps, financial futurescontracts, options and currency . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,821,128 1,909,465 8,939,150 43,045,398

CHANGES IN UNREALIZED GAINS AND (LOSSES)

On investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141,790 55,345 213,612 465,793

On financial futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (545,182) (232,099) (1,060,301) (2,255,498)

On forward foreign currency contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (7,512) (2,815) (10,779) (19,066)

On swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,914 4,678 (44,552) (497,121)

Result of operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,873,727 1,339,653 6,487,283 34,412,672

CAPITAL STOCK TRANSACTIONS

Increase/(decrease) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (6,085,896) (1,856,192) (11,047,404) (9,686,133)

NET ASSETS

Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99,417,862 46,547,347 212,766,507 987,555,472

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

End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €96,205,693 €46,030,808 €208,206,386 €1,012,282,011


34

AXA/AB Investments


(EUR)


(EUR)


GBP(GBP)


GBP(GBP)


GBP(GBP)


(EUR)


GBP(GBP)

Combined(EUR)

€ –0– € –0– £ 91,030 £ 191,579 £ 248,319 € –0– £ 24,996 € 626,137

1,287 25,856 37,540 76,535 69,626 –0– 26,176 538,013

362 11,836 11,608 24,197 21,355 3,541 8,005 148,377

1,649 37,692 140,178 292,311 339,300 3,541 59,177 1,312,527

37,705 1,776,666 145,362 336,957 399,832 13,769 68,137 7,473,115

16,845 1,721,382 100,345 243,541 287,190 8,488 61,476 6,419,943

643 28,070 108,132 225,894 280,122 –0– 37,126 933,462

17,189 82,240 29,415 37,808 61,183 6,448 24,964 450,002

7,820 46,592 11,403 17,806 19,913 7,826 8,819 244,364

5,675 29,669 6,468 9,945 12,810 7,503 5,307 156,063

302 30,694 3,412 7,944 9,452 306 1,589 124,575

302 30,117 3,461 8,023 9,520 306 1,622 124,036

351 27,105 2,942 6,418 7,478 367 1,460 109,377

1,656 915 1,281 1,710 1,647 –0– 1,098 16,955

8,100 10,090 12,464 9,027 8,453 5,123 8,100 109,604

96,588 3,783,540 424,685 905,073 1,097,600 50,136 219,698 16,161,496(32,310) –0– (43,074) (34,274) (54,034) (26,350) (39,933) (329,724)

64,278 3,783,540 381,611 870,799 1,043,566 23,786 179,765 15,831,772

(62,629) (3,745,848) (241,433) (578,488) (704,266) (20,245) (120,588) (14,519,245)

331,484 33,234,182 2,690,715 6,627,123 8,072,977 210,102 1,258,145 112,495,233

5,828 252,385 14,062 35,378 30,275 56,799 5,954 1,288,041

(52,363) (3,187,493) (470,099) (1,173,428) (1,367,805) (74,426) (275,999) (11,109,883)

(196) (3,650) 674,038 1,512,491 1,861,033 –0– 259,351 4,806,858

(3,539) (1,066,653) (426,406) (971,235) (1,228,579) –0– (112,154) (4,661,504)

218,585 25,482,923 2,240,877 5,451,841 6,663,635 172,230 1,014,709 88,299,500

235,085 16,260,373 (6,499,582) (14,307,441) (13,735,749) (860,174) (3,877,958) (56,313,609)

5,810,184 579,860,895 71,505,837 165,146,389 194,302,963 6,580,768 33,669,939 2,478,108,196

–0– –0– –0– –0– –0– –0– –0– (15,599,516)

€6,263,854 €621,604,191 £67,247,132 £156,290,789 £187,230,849 €5,892,824 £30,806,690 €2,494,494,571

35

SHARES OUTSTANDINGSeptember 30, 2019 AXA/AB Investments




CLASS

V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 150,946 250,974 861,965

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 216,069 111,990 270,203

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 440,720 –0– 528,293




CLASS

V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,690 –0– –0–

V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,939,305 –0– 3,699,782

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147,204 42,332 –0–

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124,179 –0– –0–

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35,198 –0– 111,340


GBP


GBP


GBP

CLASS

V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 494,823 1,103,992 1,269,957



GBP

CLASS

V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . –0– 248,590

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46,784 –0–

36

STATISTICAL INFORMATION AXA/AB Investments

AB Global Strategy 30/70

September 30, 2019(unaudited) March 31, 2019 March 31, 2018

Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €96,205,693 €99,417,862 €113,060,932

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €122.87 €119.73 €119.14

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €125.51 €122.02 €120.87

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €114.68 €111.18 €109.48



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €46,030,808 €46,547,347 €50,173,186

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €126.16 €122.65 €122.19

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €128.30 €124.45 €123.43



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €208,206,386 €212,766,507 €233,044,633

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €130.31 €126.61 €126.49

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €131.87 €127.83 €127.13

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €114.05 €110.22 €108.93



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €1,012,282,011 €987,555,472 €982,297,819

ClassV1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €109.13 €105.78 €105.58

V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €138.80 €134.09 €132.94

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €132.04 €128.04 €127.90

V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €137.05 €132.55 €131.70

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €108.52 €104.62 €103.27



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €6,263,854 €5,810,184 €7,666,183

ClassV4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €147.97 €142.51 €141.33



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €621,604,191 €579,860,895 €551,808,261

ClassV3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €164.29 €157.56 €155.08

V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €123.60 €118.29 €115.93

37

STATISTICAL INFORMATION (continued) AXA/AB Investments

AB Global Strategy 40/60 GBP


Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £67,247,132 £71,505,837 £81,615,560

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £135.90 £131.56 £127.56



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £156,290,789 £165,146,389 £187,087,838

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £141.57 £136.87 £132.61



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £187,230,849 £194,302,963 £214,778,939

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £147.43 £142.38 £137.45

AB Eurozone Bond Portfolio


Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €5,892,824 €6,580,768 €9,051,652

ClassV4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . €125.96 €122.47 €120.57



Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £30,806,690 £33,669,939 £43,877,796

ClassV2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £123.93 £120.10 £116.64

38

NOTES TO FINANCIAL STATEMENTSFor the period ended September 30, 2019 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 registered underPart I of the law of December 17, 2010 on undertakings for collec-tive investment (as amended) (the “Law of 2010”). The Fundqualifies as an Undertaking for Collective Investments in Trans-ferable Securities (“UCITS”) within the meaning of Article 1(2) ofthe EC Directive 2009/65 of July 13, 2009 (as amended).

The Fund is structured as an “umbrella fund”, which may com-prise separate pools of assets (each a “Portfolio”). The Fundoffers various Classes of Shares of each of its Portfolios. AllShares of the same Class have the same rights as to distributionsand redemptions.

The following table lists each Portfolio’s commencement of oper-ations as well as Share Classes seeded as of September 30, 2019:

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 not read-ily available or are deemed unreliable, at “fair value” as determinedin accordance with procedures established by, and under the gen-eral supervision of, the board of managers of AllianceBernstein(Luxembourg) S.à r.l. (the “Management Company”) and theFund’s board of directors. Fair valuation procedures are designed toadjust closing market prices of portfolio securities to reflect what isbelieved to be the fair value of those securities at the Portfolio’sValuation Point.

When fair valuation procedures are employed with respect to a par-ticular Portfolio’s security, various objective and subjective factorsmay be considered, including, among other things, developmentsaffecting the security or involving an entire market since the secur-ity’s latest reported price, current valuations of relevant stockindices or pronouncements of certain governmental authorities. Fairvalue prices based on third party vendor modeling tools may beutilized to the extent available. Therefore, when fair valuation

procedures are employed, the prices of an individual Portfolio secu-rities utilized to calculate the Portfolio’s Net Asset Value (“NAV”)may differ from quoted or published prices for the same securities.Currently, fair value adjustments are only applicable to 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 ofan exchange on which a particular security is traded or thesuspension of trading in a particular security. However, it isanticipated that fair value pricing procedures will be utilized fre-quently for securities traded on non-U.S. exchanges or othermarkets, particularly European and Asian markets, because,among other reasons, these markets close well before the Portfo-lio’s Valuation Point. Between the close of these markets and therelevant Portfolio’s Valuation Point, significant events includingbroad market moves may occur. In particular, events in the U.S.market on a trading day after the close of these other markets mayaffect the value of the Portfolio’s securities.

Fixed-income securities are valued at the most recent bid priceprovided by the principal market makers. If there is no suchmarket price, or if such market price is not representative of asecurity’s fair market value, then the security is valued in amanner determined to reflect its fair value in accordance withprocedures established by, and under the general supervision of,the Management Company’s Board of Managers and the Board ofDirectors.

39

NOTES TO FINANCIAL STATEMENTS (continued) AXA/AB Investments

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”) must rea-sonably conclude that the utilization of amortized cost is approx-imately the same as the fair value of the security. Such factors theCommittee will consider include, but are not limited to, animpairment of the creditworthiness of the issuer or materialchanges in interest rates.

Over-the-counter (“OTC”) swaps and other financial derivativeinstruments are valued at their fair value, daily, primarily usingindependent pricing services, independent pricing models usingmarket inputs, as well as third party broker-dealers or counter-parties.

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 determining

whether 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 Undertakings for CollectiveInvestments (“UCIs”)Investments in other UCIs are valued at the last available net assetvalue for the UCI 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.

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.

40

AXA/AB Investments

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 CombinedStatement 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 period.

Exchange rates applied in the financial statements are: spot rate1.1278 and average rate 1.1263 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 combined net

assets at the beginning of the year, the Combined Statement ofAssets and Liabilities and the Combined Statement of Operationsand Changes in Net Assets.

5. Investment Income and Investment TransactionsDividend income is recorded on the ex-dividend date. Interestincome is accrued daily. Investment gains and losses for the Port-folios are determined on an average cost basis. The Fund accretesdiscounts and amortizes premiums as adjustments, if applicable,to interest income. Investment transactions are recorded on tradedate 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”)does not currently intend to pay dividends with respect to theShares.

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 the Management Company a management fee.Under the terms of the Investment Management Agreement, fromthe management fee earned, the Management Company pays aninvestment management 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%



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

AXA/AB Investments– Share Class %

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%

The following table shows expenses borne by the ManagementCompany during the period ended September 30, 2019 andreimbursement receivable at September 30, 2019:

AXA/AB Investments– Expenses borneReimbursement

receivable

AB Global Strategy 30/70 . . . . . . . . . €18,487 2,859AB Global Strategy 40/60 . . . . . . . . . €37,480 5,778AB Global Strategy 50/50 . . . . . . . . . €22,145 3,472AB Global Strategy 80/20 . . . . . . . . . €32,310 4,929AB Global Strategy 40/60 GBP . . . £43,074 6,329

41


AXA/AB Investments–Expenses

borneReimbursement

receivable

AB Global Strategy 50/50 GBP . . . . . . . . £34,274 4,779AB Global Strategy 60/40 GBP . . . . . . . . £54,034 9,628AB Eurozone Bond Portfolio . . . . . . . . . . . €26,350 4,031AB Global Strategy 30/70 GBP . . . . . . . . £39,933 5,915

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 period ended September 30, 2019, no expenses reimbursedwere recouped by the Management Company from the two priorfiscal years ended.

Certain Portfolios entered into a Total Return Swap with AXABank Belgium, 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 48).

The Fund compensates its registrar and transfer agent, Alliance-Bernstein Investor Services, a unit of the Management Company,for providing personnel and facilities to perform registrar andtransfer agency services for the Fund. Such compensationamounted to €109,377 for the period ended September 30, 2019.

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 €12,888 for the period ended September 30, 2019and is included in “Professional fees” in the Statement of Oper-ations and 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€711 were made for the period ended September 30, 2019 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 period ended September 30, 2019, the InvestmentManager received and entered into soft-dollar commissions/arrangements with brokers relating to Portfolios that invest in equitysecurities, in respect of which certain goods and services used tosupport the investment 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-ask

spread, 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.

For the period ended September 30, 2019, the amount of trans-action costs incurred by each Portfolio is detailed in the followingtable:

AXA/AB Investments– Transaction costs

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . € 5,123AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . € 2,316AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . €11,286AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . €25,812AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . € 607AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . €35,995AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . £ 4,013AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . £10,021AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . £11,258AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . . . . . € 869AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . £ 2,407

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AXA/AB Investments

NOTE G: Forward Foreign Currency ContractsA forward foreign currency contract is a commitment to purchaseor sell a foreign currency at a future date at a negotiated forwardrate. The gain or loss arising from the difference between theoriginal contract and the closing of such contract is included in“Realized gains and (losses) on investments, forward foreigncurrency contracts, swaps, financial futures contracts, options andcurrency” in the Statement of Operations and Changes in NetAssets.

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.

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 aninitial margin as required by the exchange on which the trans-action is effected.

Pursuant to the contract, the Fund agrees to receive from or pay tothe broker an amount of cash equal to the daily fluctuation in thevalue of the contract. Such receipts or payments are known as thevariation margin and are recorded by the Fund as unrealized gainsor losses. When the contract is closed, the Fund records a realizedgain or loss equal to the difference between the value of the con-tract at the time it was opened and the time it was closed.

NOTE I: Swap TransactionsA swap is an agreement that obliges two parties to exchangea series of cash flows at specified intervals based upon or calculatedby 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 unrealizedgains 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 isobliged 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.

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 Belgium, related party, as swap counterparty. The swapagreement matures and is reset on a weekly basis.

According to the terms of each swap agreement, the Portfolioreceives the performance corresponding to a basket of securitiesfrom 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 Belgium. For each Portfolio the financing fee for the periodended September 30, 2019 amounted to:

AXA/AB Investments–

AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 2,432AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 1,264AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 5,688AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 38,397AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 60AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 16,257AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £ 91,203AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £191,355AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £248,820AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . . . . . . . £ 25,424

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

43


NOTE J: CollateralThe following table lists the cash collateral held by/owed to brokerfor certain financial derivative instruments as of September 30, 2019:

AXA/AB Investments–Cash Heldby Broker

Cash Owedto Broker

AXA Global Strategy 30/70AXA Bank Belgium . . . . . . . . . . . . . . . € 600,000 30,000Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 244,531 360,643Morgan Stanley . . . . . . . . . . . . . . . . . . . . € 4,581,163 2,345,992

AB Global Strategy 40/60AXA Bank Belgium . . . . . . . . . . . . . . . € 300,000 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 91,530 134,993Morgan Stanley . . . . . . . . . . . . . . . . . . . . € 2,558,774 1,360,944

AB Global Strategy 50/50AXA Bank Belgium . . . . . . . . . . . . . . . € 1,355,350 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 346,803 511,477Morgan Stanley . . . . . . . . . . . . . . . . . . . . €14,208,939 7,752,318

AB Global Strategy 60/40AXA Bank Belgium . . . . . . . . . . . . . . . €11,345,900 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 619,027 912,964Morgan Stanley . . . . . . . . . . . . . . . . . . . . €36,773,956 20,343,723

AB Global Strategy 80/20AXA Bank Belgium . . . . . . . . . . . . . . . € 13,163 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 6,516 9,610Morgan Stanley . . . . . . . . . . . . . . . . . . . . € 1,223,495 727,441

AB Global Strategy 90/10AXA Bank Belgium . . . . . . . . . . . . . . . € 5,971,975 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . € 125,994 185,821Morgan Stanley . . . . . . . . . . . . . . . . . . . . €77,999,798 47,390,325

AXA/AB Investments–Cash Heldby Broker

Cash Owedto Broker

AB Global Strategy 40/60 GBPAXA Bank Belgium . . . . . . . . . . . . . . . £ 337,763 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 175,905 259,431Morgan Stanley . . . . . . . . . . . . . . . . . . . . £ 4,781,565 2,639,300

AB Global Strategy 50/50 GBPAXA Bank Belgium . . . . . . . . . . . . . . . £ 692,688 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 363,520 536,133Morgan Stanley . . . . . . . . . . . . . . . . . . . . £14,443,891 8,177,084

AB Global Strategy 60/40 GBPAXA Bank Belgium . . . . . . . . . . . . . . . £ 872,075 —Citibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 327,554 483,089Morgan Stanley . . . . . . . . . . . . . . . . . . . . £18,824,799 10,811,191

AB Eurozone Bond PortfolioMorgan Stanley . . . . . . . . . . . . . . . . . . . . € 78,426 —

AB Global Strategy 30/70 GBPCitibank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . £ 117,804 173,742Morgan Stanley . . . . . . . . . . . . . . . . . . . . £ 2,156,225 1,146,147

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.

At September 30, 2019, there was no security collateral held by/owed to broker for financial derivative instruments.

NOTE K: 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 L: Co-Management of AssetsFor the purpose of effective management, where the investmentpolicies of a Portfolio so permit, the Management Company maychoose to co-manage assets of certain Portfolios within or outsidethe Fund. In such cases, assets of different Portfolios will be man-aged in common. The assets which are co-managed shall bereferred to as a “pool”. These pooling arrangements are an admin-istrative device designed to reduce operational and other expensesand do not change the 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

than one Portfolio are pooled, the assets attributable to each partic-ipating Portfolio will initially be determined by reference to itsinitial allocation of assets to such a pool and will change in theevent of additional entitlement, whereas assets sold shall be lev-ied similarly on the assets allocations or withdrawals. Theentitlements of each participating Portfolio to the co-managedassets apply to each and every line of investments of such pool.

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.

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AXA/AB Investments

As of September 30, 2019, the Fund co-manages the assets of all portfolios 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

45



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

46

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

47

TABLE 1FEE SCHEDULE AXA/AB Investments

Management Fee** Management Company FeeTotal

Expense Ratio*


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.27%(1) 0.01% 1.35%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.82%(1) 0.01% 0.90%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.17%(2) 0.01% 0.33%


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.27%(1) 0.01% 1.35%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.82%(1) 0.01% 0.90%


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.27%(1) 0.01% 1.35%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.82%(1) 0.01% 0.90%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.17%(2) 0.01% 0.28%


V1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.27%(1) 0.01% 1.34%V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60%(3) 0.01% 0.67%V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.35%(4) 0.01% 1.42%V5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.82%(1) 0.01% 0.89%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.17%(2) 0.01% 0.24%


V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.25%(4) 0.01% 1.55%


V3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.60%(3) 0.01% 0.69%V6 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.17%(2) 0.01% 0.25%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.42%(2) 0.01% 0.50%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.42%(2) 0.01% 0.50%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.42%(2) 0.01% 0.50%

AB Eurozone Bond PortfolioClass

V4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.45%(5) 0.01% 0.50%


V2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.42%(2) 0.01% 0.50%

* Unaudited

** Effective Management Fees

Maximum Management Fee as disclosed in the prospectus of the Fund(1) Up to 1.55%

(2) Up to 0.55%

(3) Up to 2.50%

(4) Up to 1.35%

(5) Up to 0.50%

48

TABLE 2PORTFOLIO TURNOVER AXA/AB Investments

Turnover*

AXA/AB Investments –AB Global Strategy 30/70 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50.80%AB Global Strategy 40/60 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47.34%AB Global Strategy 50/50 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49.64%AB Global Strategy 60/40 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31.60%AB Global Strategy 80/20 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91.93%AB Global Strategy 90/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54.33%AB Global Strategy 40/60 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72.63%AB Global Strategy 50/50 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75.89%AB Global Strategy 60/40 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66.39%AB Eurozone Bond Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79.61%AB Global Strategy 30/70 GBP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87.34%

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

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 reportingperiod are available free of charge to the Shareholders at theregistered office 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.

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

A SFT is defined as per Article 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 September 30, 2019, the Fund held total return swaps (TRS)as type of instrument in scope of the SFTR.

Global DataThe amount of assets across total return swaps as at September 30,2019, is as follows:


Type of asset Amount % of NAV

Total return swaps €128,316 0.13%









Total return swaps €3,288,352 0.32%






Total return swaps €1,354,488 0.22%



Total return swaps £109,312 0.16%










Data on reuse of collateralThere was no collateral reuse during the period ended September 30,2019.

50

AXA/AB Investments

There was no cash collateral reinvestment during the periodended September 30, 2019.

Concentration dataThere was no security collateral received for total return swaps asat September 30, 2019.

The ten largest counterparties across total return swaps as atSeptember 30, 2019 is as follows:


Type of asset # Counterparty Amount

Total return swaps 1 AXA Bank Belgium €128,316









Total return swaps 1 AXA Bank Belgium €3,288,352






Total return swaps 1 AXA Bank Belgium €1,354,488



Total return swaps 1 AXA Bank Belgium £109,312










Safekeeping of collateral receivedThere was no security collateral received for total return swaps asat September 30, 2019.

One custodian held collateral received for total return swaps as atSeptember 30, 2019 as follows:


Custodian Type of collateral Amount

Brown BrothersHarriman Cash collateral €30,000

Safekeeping of collateral grantedTotal return swapsThe proportion of collateral held in segregated, pooled or otheraccounts as at September 30, 2019 is as follows:


%

Segregated accounts 0%Pooled accounts 0%

Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%


%


Other 100%

51

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


%


Other 100%


%


Other 100%

Return/CostsReturns and costs for total return swaps for the period endedSeptember 30, 2019 are as follows:


Returns* Amount % of overall returns**

To Fund €3,368,024 100%

Costs* Amount % of overall returns

To Fund €1,589,700 100%



To Fund €1,966,212 100%


To Fund €991,975 100%



To Fund €9,687,913 100%


To Fund €5,270,641 100%



To Fund €75,547,373 100%


To Fund €42,962,260 100%



To Fund €144,784 100%


To Fund €83,004 100%



To Fund €40,644,582 100%


To Fund €25,719,512 100%



To Fund £3,481,780 100%


To Fund £1,920,718 100%



To Fund £7,593,027 100%


To Fund £4,211,568 100%



To Fund £10,018,414 100%


To Fund £5,604,715 100%



To Fund £929,764 100%


To Fund £515,742 100%

* 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 period.

** All returns from OTC derivative transactions will accrue to thePortfolio and are not subject to any returns sharing agreements.

Aggregate transaction dataThe maturity of total return swaps as at September 30, 2019 is asfollows:


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . . . €128,316

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 . . . . . . . . . . . . . . . . . . . . . . . €79,224


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

52

AXA/AB Investments


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . . . €405,843


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


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . . €3,288,352

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 . . . . . . . . . . . . . . . . . . . . . . . €4,949


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


Maturity Amount

Less than one day . . . . . . . . . . . . . . . . . . . . . . . €0One day to one week . . . . . . . . . . . . . . . . . . . . . . €1,354,488

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 . . . . . . . . . . . . . . . . . . . . . . . £109,312

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 . . . . . . . . . . . . . . . . . . . . . . . £27,199


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

The settlement and clearing mechanisms for total return swaps asat September 30, 2019 are as follows:


Settlement and clearing mechanism Amount

Bilateral €128,316



Bilateral €79,224



Bilateral €405,843



Bilateral €3,288,352



Bilateral €4,949



Bilateral €1,354,488



Bilateral £109,312



Bilateral £251,941



Bilateral £379,845

53




Bilateral £27,199

The aggregate transaction data for collateral positions (including cash) received for total return swaps as at September 30, 2019 is asfollows:


Counterparty Type of collateral Amount Quality

Maturitytenor of

collateralCurrency of

collateral

Country ofcounterpartyestablishment

AXA Bank Belgium Cash collateral 30,000 N/A N/A € France

The aggregate transaction data for collateral positions (including cash) granted for total return swaps as at September 30, 2019 is asfollows:

AXA Global Strategy 30/70


Maturitytenor of


collateral



AXA Global Strategy 40/60


Maturitytenor of


collateral





Maturitytenor of


collateral


AXA Bank Belgium Cash collateral 1,355,350 N/A N/A € France



Maturitytenor of


collateral





Maturitytenor of


collateral





Maturitytenor of


collateral





Maturitytenor of


collateral


AXA Bank Belgium Cash collateral 337,763 N/A N/A £ France

54

AXA/AB Investments



Maturitytenor of


collateral





Maturitytenor of


collateral



55


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

BOARD OF DIRECTORS OF THE FUND Silvio CruzLouis Mangan (until June 28, 2019)Yves PrussenBertrand ReimmelScott Parkin (as of July 26, 2019)

BOARD OF MANAGERS OF THEMANAGEMENT COMPANY

Silvio CruzLouis Mangan (until June 28, 2019)Yves PrussenBertrand ReimmelSimone ThelenSteven EisenbergMark Manley (as of August 7, 2019)

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

56

AXA/AB Investments

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

UK FACILITIES AGENT AllianceBernstein Limited50 Berkeley StreetLondon W1J 8HAUnited Kingdom

57

semi-annualreport axa/abinvestments€¦ · the share class performance of each portfolio is based...

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