UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal & General Counsel
Two Greenwich Plaza
3rd Floor
Greenwich, CT 06830
(Name and address of agent for service)
Registrant’s telephone number, including area code: 203 742-3600
Date of fiscal year end: December 31
Date of reporting period: December 31, 2009 – June 30, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. | Reports to Stockholders. |
Shareholder Letters | ||
2 | ||
5 | ||
8 | ||
12 | ||
15 | ||
17 | ||
19 | ||
Schedule of Investments | ||
21 | ||
31 | ||
38 | ||
54 | ||
59 | ||
63 | ||
69 | ||
Financial Statements and Notes | 75 | |
Fund Expense Examples | 108 | |
Board Approval of the Investment Advisory Agreement and Investment Sub-Advisory Agreement | 110 |
AQR GLOBAL EQUITY FUND |
Cliff Asness
Managing & Founding Principal
Ronen Israel
Principal
Oktay Kurbanov
Principal
John Liew
Founding Principal
Lars Nielsen
Principal
Dear Shareholder:
Global equity markets had a rocky first half of the year in 2010. During the first half of the year, MSCI World Index (the “Index”) posted a negative return of -9.84%. After a small rise by 3.24% during the first quarter, the index declined 12.67% during the second quarter as concerns over the health of the European economies have intensified. During the first half of the year, the AQR Global Equity Fund Class N shares (the “Fund”) slightly outperformed its benchmark index, declining by -9.70%.
The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country, and by using futures and forwards contracts to over and under-weight the portfolio’s exposures to each country and to each currency. Each of these decisions is made independently. In the first half of the year, the stock and currency selection strategies contributed positively to the performance while the country selection strategy has detracted. Detail on each strategy is provided below.
Our stock selection strategies performed well for the first half of 2010, contributing almost 140 basis points (“bp”) to the Fund. The primary drivers of the positive performance were strong performance in the US and the continental European portfolios. Our strategies in other regions were mostly flat. In the US, overweighting cheap companies with strong fundamentals and growth prospects contributed to the positive performance. In continental Europe we observed positive performance across nearly all investment themes in our process with no particular theme dominating. In the U.K., valuation oriented themes underperformed but this was more than balanced by good performance in momentum signals. In Japan, performance was driven by a poor period for momentum both within and across industries. Good performance by valuation mostly offset this.
Our stock selection strategy remains broadly diversified across over seven hundred names, with any individual position representing a small active weight against the benchmark. The portfolio as a whole is overweight cheaper stocks with better momentum and earnings quality.
The country selection strategy was a negative contributor to the performance, stemming from underperformance in the first quarter. The strategy held up well during the second quarter with a small positive contribution, weathering the large market movements in early May. Overweight positions in Italy and Spain were the top detractors. On the positive side, the underweight position in the Australian equities was the top contributor which helped offset the underperformance. On a factor level, value themes have lagged, while momentum was about flat, lagging in Q1, but recovering in Q2.
Our country views continue to favor European markets as a whole versus underweights in the Asia/Pacific regions. Intra-Europe, the model has been adjusting the views to incorporate changing valuations, price and fundamental momentum
AQR Funds | Semi-Annual Report | June 2010 | 2 | |||||||
Shareholder Letter
AQR GLOBAL EQUITY FUND |
signals. One example is the decrease in the overweights of Spain and Italy, where these countries started as our top second and third positions and subsequently were reduced to the sixth and fourth rank due to price momentum deterioration in the case of Spain and due to weakening of relative valuations in the case of Italy. In their place the model increased its overweight in the UK based on improvement in valuations, as well as diversified its holdings to also include France which has moved to a modest overweight by the middle of the year. The Netherlands remained our top favorite market throughout the period based on several of our investment themes. Our position in Germany moved from an underweight to a modest overweight based on strong price momentum signals supported by upward earnings revisions. Finally, we remain bearish on Australia which continues to be our largest underweight, followed by underweights in Japan and the US.
Model positioning is currently driven primarily by value signals, with price and fundamental momentum moderating the value-driven views. Hence, our top two overweights, the Netherlands and the UK, rank positively on all three themes. France is our top third overweight; however the weak relative price momentum signal is offsetting a portion of the positive view from its value indicators. On the underweight side, our two least favored positions, Australia and Japan load negatively or flat on each of the themes. The hawkish interest rate policy continues to send a negative signal for the Australian equities, while the strong performance of the Japanese yen is expected to hurt the competitiveness of the Japanese exporters. Our third biggest underweight in the US equities is driven by a combination of value and fundamental momentum signals.
The currency selection strategy was a positive contributor in the first half of 2010. The positive performance was concentrated in the first quarter with the second quarter nearly flat. The underweight position in the Euro has been our top contributor during the period, helping to diversify our overweight positioning in the European equities. Another contributor was our overweight position in the Australian dollar, with gains concentrated in the first quarter. Within Europe, overweight positions in the Norwegian Krone and the Swedish Krona have additionally detracted from the performance. The underweight in the Japanese yen was another big detractor as the yen showed strong gains versus other currencies over the period. On a factor level, momentum factors have shown steady performance, with carry staying about flat where a sizable loss in May offset earlier gains. Value signals have not been meaningful contributors during this period.
Our currency views continue to dislike the Euro which has remained our top underweight position throughout the period. The Euro combines negative views stemming from carry, price and fundamental momentum. On the valuation side the signals turned positive as the Euro continued underperforming other currencies. However, the improved valuations are not enough to overcome negative signals from other indicators, and the model continues to maintain a significant underweight position in the Euro. On the overweight side, the portfolio has maintained its overweight in the Norwegian Krone as it continued to be strong on carry indicators. The positioning in the Swedish Krona more than doubled to a sizable overweight driven by improvements in the interest rate signals as well as fundamental momentum indicators. On the other side, the positioning in the Australian dollar moved from a top overweight to about flat based on deterioration in its price momentum, as well as weakness in the Australian equity market. This reduction of the Aussie position helped the model to limit losses during weak carry performance in May.
Going into the second half of the year, we are underweight the Euro on a combination of carry, price and fundamental indicators, followed up by underweights in the US and the Canadian dollar driven by weak interest rates and fundamental momentum signals. On the overweight side, the model favors the Norwegian Krone and the Swedish Krona motivated primarily by carry, price and fundamental momentum signals, with additional support from the value signal for the Swedish Krona.
AQR Funds | Semi-Annual Report | June 2010 | 3 | |||||||
Shareholder Letter
AQR GLOBAL EQUITY FUND |
Performance shown is past performance. Past performance does not guarantee future results.
Principal Risks: The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty. The Fund is not suitable for all investors.
An investment in any of the AQR Funds involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The funds are subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Cliff Asness is a registered representative of ALPS Distributors, Inc.
DEFINITIONS:
The Morgan Stanley Capital International World Index is a market capitalization weighted index composed of companies representative of the market structure of developed market countries in Europe, North America and the Asia Pacific Region. You can not invest directly in an index.
Bearish: A belief that a particular security, sector or the overall market will fall.
Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).
Futures and Forwards contracts: A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset) at a pre-determined future date and price.
Hawkish Interest Rate Policy: A monetary policy which favors higher interest rates, tighter monetary controls and restrictive credit.
Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the past relative to other assets in the same universe.
Price to Book: A valuation ratio of a company’s current share price compared to its book value.
Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.
Valuation: A process of determining the current worth of an asset or company.
Volatility: The relative rate at which the price of a security moves up and down.
Correlation: A measurement to identify the relationship and impact on return of two or more assets.
AQR Funds | Semi-Annual Report | June 2010 | 4 | |||||||
AQR INTERNATIONAL EQUITY FUND |
Cliff Asness
Managing & Founding Principal
Ronen Israel
Principal
Oktay Kurbanov
Principal
John Liew
Founding Principal
Lars Nielsen
Principal
Dear Shareholder:
International equity markets had a rocky first half of the year in 2010. During the first half of the year, MSCI EAFE Index (the “Index”) posted a negative return of -13.23%. After a small increase of 87bp during the first quarter, the index declined by about 14% during the second quarter as concerns over the health of the European economies have intensified. During the same period, the AQR International Equity Fund Class N shares (the “Fund”) underperformed its benchmark index by 90bp, posting a negative return of -14.13%.
The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country, and by using futures and forwards contracts to over and under-weight the portfolio’s exposures to each country and to each currency. Each of these decisions is made independently. In the first half of the year, the stock and currency selection strategies contributed positively to the performance while the country selection strategy has detracted, with the net result of modest underperformance. Detail on each strategy is provided below.
Our stock selection strategies performed well for the first half of 2010, contributing almost 100 basis points to the fund. The primary driver of the positive performance was strong performance in the continental European portfolio. Our strategy in Japan was a moderate detractor, while the U.K. was slightly up. In continental Europe we observed positive performance across nearly all investment themes in our process with no particular theme dominating. In the U.K., valuation oriented themes underperformed but this was more than balanced by good performance in momentum signals. In Japan, performance was driven by a poor period for momentum both within and across industries. Good performance by valuation mostly offset this.
Our stock selection strategy remains broadly diversified across over four hundred names, with any individual position representing a small active weight against the benchmark. The portfolio as a whole is overweight cheaper stocks with better momentum and earnings quality.
The country selection strategy was a negative contributor to the performance, stemming from underperformance in the first quarter. Notably, the strategy held up well during the second quarter with a small positive contribution, weathering the large market movements in early May. Overweight positions in Italy and Spain were the top detractors during the first half of the year. On the positive side, our overweight position in the Netherlands contributed positively as did the underweight position in the Australian equities. On a factor level, value themes have lagged, while momentum was about flat, lagging in Q1, but recovering in Q2.
Our country views continue to favor European markets as a whole versus underweights in the Asia/Pacific region. However, the model has been adjusting the European views to incorporate changing valuations, price and fundamental momentum signals. One example is the decrease in the overweight of Italy, where we started the year with Italy as our top position and subsequently reduced the position by more than
AQR Funds | Semi-Annual Report | June 2010 | 5 | |||||||
Shareholder Letter
AQR INTERNATIONAL EQUITY FUND |
a half due to deterioration in its relative valuations. At the same time, the model increased its overweight in the UK based on improvement in valuations, as well as diversified its value bet to also include France which moved from about flat position early in the year, to a modest overview by the middle of the year. The Netherlands and Spain remained our top favorite markets throughout the period. Our position in Germany moved from an underweight to a modest overweight based on strong price momentum signals supported by upward earnings revisions. In Sweden, the model shifted from a flat to an underweight position as the rally in Swedish equities made their valuation look less attractive versus other markets. In addition, we remain bearish on Japan and Australia which continue to be our largest underweights.
Model positioning is currently driven primarily by value signals, with price and fundamental momentum moderating the value-driven views. Hence, our top two overweights, the Netherlands and the UK, rank positively on all three themes. France is our top third overweight; however the weak relative price momentum signal is offsetting a portion of the positive view from the value indicators. On the opposite side, our two biggest underweights, Australia and Japan load negatively or flat on each of the themes. The hawkish interest rate policy continues to send negative signals for the Australian equities, while the strong performance of the Japanese yen is expected to hurt the competitiveness of the Japanese exporters. Our third biggest underweight is in the Swiss equities where expensive valuations continue to overcome positive price and fundamental momentum signals.
The currency selection strategy was a positive contributor in the first half of 2010. Positive performance in the first quarter was partially offset by losses in the second quarter, as some of the carry-driven positions gave back earlier gains amidst volatile markets in May. The underweight position in the Euro has been our top contributor during the period, helping to diversify our overweight positioning in the European equities. Another contributor was our overweight position in the Australian dollar, with gains concentrated in the first quarter. The underweight in the Japanese yen was the top detractor as the yen showed strong gains versus other currencies over the period. Within Europe, overweight positions in the Norwegian Krone and the Swedish Krona have additionally detracted from the performance. On a factor level, momentum factors have shown steady performance, with carry staying positive overall with a sizable dip in May. Value signals have not been meaningful contributors during this period.
Our currency views continue to dislike the Euro which has remained our top underweight position throughout the period. The Euro combines negative views stemming from carry, price and fundamental momentum. On the valuation side the signals turned positive as the Euro continued to underperform other currencies. However, the improved valuations are not enough to overcome negative signals from other indicators, and the model continues to maintain a significant underweight position in the Euro. On the overweight side, the portfolio has increased its overweight in the Norwegian Krone as its valuation improved. The positioning in the Swedish Krona changed from about flat versus the benchmark to a significant overweight driven by improvements in the interest rate signals as well as fundamental momentum indicators. On the other side, the positioning in the Australian dollar moved from the top overweight to about flat based on deterioration in its price momentum, as well as weakness in the Australian equity market. This reduction of the Aussie position helped the model to limit losses during weak carry performance in May.
Going into the second half of the year, the key positions are an underweight of the Euro vs. overweights of the Norwegian Krone and the Swedish Krona. These positions are motivated primarily by carry, price and fundamental momentum signals, with additional support from the value signals for the Swedish Krona.
Performance shown is past performance. Past performance does not guarantee future results.
AQR Funds | Semi-Annual Report | June 2010 | 6 | |||||||
Shareholder Letter
AQR INTERNATIONAL EQUITY FUND |
Principal Risks: The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty. The Fund is not suitable for all investors.
An investment in any of the AQR Funds involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The funds are subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Cliff Asness is a registered representative of ALPS Distributors, Inc.
DEFINITIONS:
The Morgan Stanley Capital International EAFE Index is a market capitalization weighted index composed of companies representative of the market structure of developed market countries in Europe, Australasia and the Far East. You can not invest directly in an index.
Bearish: A belief that a particular security, sector or the overall market will fall.
Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).
Futures and Forwards contracts: A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset) at a pre-determined future date and price.
Hawkish Interest Rate Policy: A monetary policy which favors higher interest rates, tighter monetary controls and restrictive credit.
Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the past relative to other assets in the same universe.
Price to Book: A valuation ratio of a company’s current share price compared to its book value.
Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.
Valuation: A process of determining the current worth of an asset or company.
Volatility: The relative rate at which the price of a security moves up and down.
Correlation: A measurement to identify the relationship and impact on return of two or more assets.
AQR Funds | Semi-Annual Report | June 2010 | 7 | |||||||
AQR DIVERSIFIED ARBITRAGE FUND |
Ronen Israel
Principal
Mark Mitchell, Ph.D.
Founding Principal, CNH Partners
Lars Nielsen
Principal
Todd Pulvino, Ph.D.
Founding Principal, CNH Partners
Dear Shareholder:
The Diversified Arbitrage Fund (the “Fund”) returned 0.65% for the Fund’s Class N Shares during the first six months of the 2010 calendar year. During the corresponding period, the Merrill Lynch 3-Month Treasury Bill Index (the Fund’s benchmark) returned 0.05% and the S&P 500 Index returned -6.65%. Based on monthly return data, the Fund’s equity market beta (relative to the S&P 500) from January 1, 2010 through June 30, 2010 is 0.10 and its annualized volatility is 3.6%.
Arbitrage markets were largely stable during the first half of the year, aside from minor disruptions in May when economic uncertainty increased commensurate with an increase in European sovereign risk and a worsening outlook for the global economy. Though the performance for the first half of the year exceeded the return to the Treasury-bill benchmark, the increased economic uncertainty during May resulted in wider arbitrage spreads and temporary mark-to-market losses. Importantly, in our opinion the Fund did not realize any material permanent losses caused by adverse events such as bankruptcies or merger cancellations.
The Fund invests in multiple arbitrage and alternative-investment strategies, and tactically allocates to various strategies based on relative attractiveness. As displayed in the Table below, strategy weights have varied throughout the past 12 months. Specifically, as merger deal flow increased during the latter half of 2009, the Fund increased its exposure to merger arbitrage. Conversely, the Fund reduced its exposure to convertible arbitrage during the first half of 2010 bringing the weight in convertible arbitrage close to what we expect to be the long-term average. One reason for the reduction in convertible arbitrage exposure involves opportunities in short-dated corporate debt (see discussion below). The weight in credit-related trades increased from 1% at the end of 2009 to 13% at the end of the 2010 second quarter. The Fund’s allocation to SPACs (Special Purpose Acquisition Companies) during the first half of 2010 averaged 1%, far less than in 2009 when the allocation to SPACs peaked at 37%. Although the SPAC new-issue market is showing signs of early life, it is not robust and therefore, we do not anticipate having a material allocation to SPACs in the near future.
LONG POSITIONS BY STRATEGY AS % OF INVESTMENT IN SECURITIES | ||||||
6/30/09 | 12/31/09 | 6/30/10 | ||||
Convertible Arbitrage | 49% | 44% | 35% | |||
Merger Arbitrage | 19% | 34% | 34% | |||
Credit | 0% | 1% | 13% | |||
Dual-Class Arbitrage | 10% | 12% | 8% | |||
Price Pressure | 5% | 4% | 5% | |||
SPACs | 10% | 1% | 1% | |||
Closed-End Fund Arbitrage | 5% | 2% | 1% | |||
Other Arbitrage and Alternative Investment Strategies | 2% | 2% | 3% |
AQR Funds | Semi-Annual Report | June 2010 | 8 | |||||||
Shareholder Letter
AQR DIVERSIFIED ARBITRAGE FUND |
Notwithstanding the reduction in the allocation to the convertible arbitrage strategy, it continues to have the largest strategy weight. As discussed in detail in the 2009 year-end letter, the convertible bond market unraveled during the 2008 financial crisis causing convertible bonds to trade at significant discounts to fundamental values. As financial markets began to stabilize following the spring of 2009, convertible cheapness began to revert to historical levels. However, in the process, ownership shifted away from convertible arbitrage hedge funds toward long-only funds. Many of these funds are based in Europe and were directly affected by the European sovereign risk concerns experienced in May. Their selling pressure caused convertible bonds to cheapen relative to recent levels, imposing mark-to-market losses on the convertible strategy. The losses were small, amounting to less than 0.10% to the Fund’s return over the first half of the year. However, as a result of the increased cheapness, opportunities in convertible arbitrage improved. As of June 30, 2010, convertible bonds remain cheap relative to fundamental values and relative to history, and therefore, we remain optimistic with respect to the convertible arbitrage strategy. It is important to note that the Fund’s investment in a convertible bond is based on the cheapness of the bond relative to its fundamental value rather than on a view about the underlying stock price. Specifically, we hedge our long position and attempt to capture the cheapness of the convertible by shorting the stock of the underlying issuer, and by hedging systematic credit and interest rate risk.
Merger arbitrage, a well-known arbitrage strategy like convertible arbitrage, involves the purchase of shares of firms that are targets in announced mergers or reorganizations. For a merger where the consideration is the acquirer’s stock, the Fund seeks to hedge market exposure by shorting the stock of the acquiring company in an amount based on the exchange ratio specified in the merger agreement. Conditions for investing in merger arbitrage are especially attractive when deal spreads (the percentage difference between the consideration offered by the acquiring firm and the stock price of the target firm) are wide and when merger activity is robust. As deal flow began to increase during the latter part of 2009, the Fund increased its allocation to merger arbitrage to 34% and has maintained this allocation during the first half of 2010. Merger arbitrage generated 50% of the Fund’s return during the first half of the year. The Fund did not realize any notable adverse deal outcomes and mergers closed on schedule as originally planned. While deal flow has increased since the trough in 2009, it remains below average levels experienced over the past 10 years. If deal flow continues to increase, and we are confident this will eventually happen as corporations adjust and respond to changes in economic conditions, we expect that deal spreads will widen thereby creating higher expected returns to the strategy.
As mentioned above, the Fund increased its exposure to specific short-term (average duration of 12-15 months) corporate debentures during the first half of the year, particularly in May amid heightened economic uncertainty and European sovereign risk. Historically, as we have documented using our proprietary credit database, short-dated corporate debentures, particularly in the high-yield arena, produce excess returns after accounting for systematic credit and interest rate risk. We postulate that the reason for the excess returns is that fixed-income investors typically choose to exchange short-term debentures for longer-term debentures in order to generate higher-expected returns associated with bearing greater systematic credit risk. We focus on short-dated debentures issued by companies that have stable near-term cash flow and sufficient assets to retire the debenture at maturity. We view this trade as similar to a long-dated cash merger trade, but one in which the downside is contractually protected by the underlying indenture. This is not to say that the trade is absent risk. However, the systematic component of risk is minimal due to the short-dated nature of the debenture. Our analysis using our proprietary database shows that the modest systematic credit and interest rate risk may be hedged at the portfolio level using credit default swaps and Treasury futures. The remaining idiosyncratic risk is low and may be managed through diversification. Deleveraging caused by the increase in economic uncertainty in May of this year caused prices of short-dated corporate debentures to decrease. The Fund took advantage of the significantly higher risk-adjusted yields by selectively purchasing several short-dated corporate debentures and
AQR Funds | Semi-Annual Report | June 2010 | 9 | |||||||
Shareholder Letter
AQR DIVERSIFIED ARBITRAGE FUND |
contemporaneously hedging credit risk and interest rate risk at the portfolio level. This strategy contributed to the Fund’s net positive performance during the first half of the year.
On average, allocations to the other arbitrage strategies and alternative investments such as dual-class arbitrage, price pressure, and closed-end-fund arbitrage were small and did not change substantially over the first half of the year. Importantly, none of these other strategies generated significantly negative performance, and price pressure generated a moderately positive contribution to the Fund.
The Fund successfully preserved capital and generated a small return amidst a moderate decline in the stock market, staying true to its mandate of market-neutral investing. Going forward, we remain positive about the current level of cheapness of convertible bonds and the overall level of deal spreads in merger arbitrage. Specifically, convertible bonds remain cheap when compared to most historical periods and we will continue to maintain a substantial weight in this strategy. Although merger deal flow is below average, deal spreads remain at attractive levels. We expect that deal flow will increase and will allow the Fund to increase its exposure to this strategy. With respect to the event-driven and other alternative investments, we continue to tactically allocate capital where we observe attractive opportunities to generate positive risk-adjusted returns with low systematic risk. Overall, we expect numerous investable opportunities in the second half of the year which may position us to generate positive returns with low correlation to traditional asset classes.
Performance shown is past performance. Past performance does not guarantee future results.
Principal Risks: This Fund has the risk that the anticipated arbitrage opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. This Fund is not suitable for all Investors.
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. The use of derivatives exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
AQR Funds are distributed by ALPS Distributors, Inc. This Material must be accompanied or preceded by the prospectus.
DEFINITIONS:
Arbitrage: The simultaneous purchase and sale of an asset or two related assets in order to profit from a difference in price.
Beta is a measure of the volatility of a security or portfolio in comparison to an index or the market as a whole, where a security with a beta of 1.0 has equivalent volatility to the index or market it is compared to
Cheapness: A measure of the discount a security price relative to its fundamental value
AQR Funds | Semi-Annual Report | June 2010 | 10 | |||||||
Shareholder Letter
AQR DIVERSIFIED ARBITRAGE FUND |
Convertible Bonds: Fixed-income securities that are convertible into common stock
Correlation: A measurement to identify the relationship and impact on return of two or more assets.
Dual-Class Arbitrage: An investment strategy wherein one simultaneously purchases and sells different share classes of the same company, seeking to profit from a price convergence.
Richness: A measure of the premium a security price relative to its fundamental value
Sovereign Risk: The probability that the government of a country will refuse to comply with the terms of a loan agreement during economically difficult or politically volatile times.
Spread: The percentage difference between two related securities.
S&P 500 Index: An Index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors.
The Merrill Lynch 3 Month Treasury Bill Index is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
Volatility: The relative rate at which the price of a security moves up and down.
AQR Funds | Semi-Annual Report | June 2010 | 11 | |||||||
AQR MANAGED FUTURES STRATEGY FUND |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Brian Hurst
Principal
Lasse Pederson
Principal
Yao Hua Ooi
Vice President
Dear Shareholder:
On July 6, 2010, the Managed Futures Strategy Fund (the “Fund”) celebrated its six month anniversary. From its inception date of January 6, 2010 through June 30, 2010, the Fund’s Class N shares returned -2.10% and realized an annualized volatility of 8.9%. During this same period, the Merrill Lynch 3-Month Treasury-Bill Index (the Fund’s benchmark) returned 0.05%. The S&P 500 returned -8.4% over this same period. The Fund’s assets grew to $196 MM by the end of June, reflecting strong investor demand for an actively run managed futures fund in the mutual fund space.
The Fund invests both long and short across a portfolio of futures contracts and futures-related instruments, utilizing more than 100 contracts across four major asset classes: commodities, currencies, fixed income and equity markets. The Fund pursues a trend-following strategy, and as such, it tends to perform well when there are persistent trends in markets and suffers when there is a lack of trends or when trends reverse sharply. In the first half of 2010, the Fund realized gains in currencies and fixed income, benefiting from a number of persistent trends, such as the weakening of the Euro and declines in government bond yields globally. However these gains were offset by losses in equity and commodity markets.
By design, the Fund tactically changes its allocation to the amount of risk it takes in pursing trends across the four major asset classes depending on the relative attractiveness of the trend-following opportunities within each asset class. The Fund will invest more in an asset classes when there are perceived strong trends across many assets within that particular asset class. The Fund began the year having its largest risk allocation in equities and currencies, but ended the first half of 2010 with its largest risk allocation in fixed income and commodities.
In addition, the Fund also tactically changes the level of risk it targets depending on the strength and correlation of trends across the four asset classes. The Fund started 2010 targeting close to 13% annualized volatility (the maximum ex-ante risk the Fund will target), as there were strong and correlated trends in equity and commodity markets following the strong performance of those markets in 2009, but reduced its overall risk target gradually over the first half of 2010 as those trends weakened. The target risk level for the fund at the end of the first half was 7%, which is slightly lower than the Fund’s long-term average target level of 10%. Below is a summary of the asset class risk exposures throughout the first half of 2010:
ASSET CLASS EXPOSURE (% OF RISK ALLOCATION) | ||||||
1/31/2010 | 3/31/2010 | 6/30/2010 | ||||
Fixed Income | 19.8% | 12.5% | 33.4% | |||
Commodities | 15.1% | 17.1% | 27.5% | |||
Currencies | 22.6% | 22.6% | 22.5% | |||
Equities | 42.5% | 47.8% | 16.6% |
AQR Funds | Semi-Annual Report | June 2010 | 12 | |||||||
Shareholder Letter
AQR MANAGED FUTURES STRATEGY FUND |
Within each of the asset classes, the Fund pursues short-term trend strategies, long-term trend strategies and over-extended trend strategies. Overall, short-term trend strategies performed poorly over the first half of 2010, particularly in commodity and equity markets where short-term trends did not persist, but rather reversed directions a number of times during the first six months of the year. Long-term trend strategies fared better than short-term trend strategies, but also detracted from the Fund’s performance overall, as long-term bullish trends in equity and commodity markets reversed in the second quarter. The over-extended trend strategies performed well over this period, most notably in commodities, where the Fund’s long exposures were reduced in this period on long-term overextended trend indicators.
The Fund gained 4.6% in the fixed income markets in the first half of 2010. The majority of the gains were driven by the Fund’s long positions in European and US government bonds and short-term interest rate futures, based on both positive short-term trends and long-term trends. Yields on government bonds of most maturities declined over this period as investors turned to safe-haven assets following fears of a European sovereign debt crisis, benefiting the Fund.
The Fund lost 4.5% in equities in the first half of 2010. The majority of the losses occurred in the second quarter, as strong short and long term trends in both developed and emerging equity markets reversed sharply following over fears of a European sovereign debt crisis, as well as a slowdown in global economic growth. By the end of the first half, the Fund had reduced long exposures significantly across equity markets, as short-term trends turned from being positive to negative over the first half of the year. The Fund still maintains a small long position in most equity markets on positive long-term trend signals.
The Fund lost 3.3% in commodities over the first half of 2010. While the Fund benefited from being long precious metals throughout the quarter, the gains were not sufficient to overcome losses suffered in energies, base metals and agricultural commodities. Similar to equities, the Fund suffered the majority of losses in the 2nd quarter of 2010, when positive short and long term trends reversed in the majority of commodity markets following fears of slower global economic growth in both developed and emerging markets.
In currencies, the Fund gained 1.1% over the first half of 2010. The majority of the gains came as a result of the Fund’s short position in the Euro throughout this period. The Fund was positioned short the Euro based on both short-term and long-term trend indicators, and profited as the Euro fell to its lowest level since 2006 over this period.
While the first half of 2010 had been a challenging period for the Fund, it also highlighted the benefits of the Fund’s approach in diversifying across various trend indicators and asset classes. We continue to pursue a risk-balanced approach in investing across the major asset classes, and trust that doing so will benefit the Fund in the long-run.
Performance shown is past performance. Past performance does not guarantee future results.
Principal Risks: The Fund uses derivatives to manage its country and currency exposures. The use of derivatives exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Foreign investing involves special risks such as currency fluctuations and political uncertainty. The Fund is not suitable for all investors.
AQR Funds | Semi-Annual Report | June 2010 | 13 | |||||||
Shareholder Letter
AQR MANAGED FUTURES STRATEGY FUND |
An investment in any of the AQR Funds involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The funds are subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Cliff Asness is a registered representative of ALPS Distributors, Inc.
DEFINITIONS:
The Merrill Lynch 3 Month Treasury Bill Index is designed to measure the performance of high-quality short-term cash-equivalent investments.
Volatility: The relative rate at which the price of a security moves up and down.
AQR Funds | Semi-Annual Report | June 2010 | 14 | |||||||
AQR MOMENTUM FUND |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Dear Shareholder:
As the AQR Momentum Fund (the “Fund”) approaches its first full year, it faces continuing market uncertainty. Despite signs of recovery in the earlier half of this year, the Fund faced losses largely driven by overall performance of the US equity markets, posting a -7.30% return since December 31, 2009.
Compared to the Russell 1000® Index of large and mid-cap stocks, the Fund underperformed by 0.90%. Most of the underperformance was driven by stock momentum, meaning that within a given sector, stocks with relatively poor performance in 2009 outperformed their peers. For example, the Fund did not capture the upswing of certain beaten-down stocks in the Financials sector such as Bank of America and Wells Fargo early in the year. Due to a terrible start to 2009, these banks were not held in the Fund at the beginning of 2010, resulting in an underweight relative to the Russell 1000 Index. On the positive side in Information Technology, the Fund benefited from a relative overweight in Apple. Sector momentum (i.e. the sector over and under-weights implied by the momentum style) did not have a material impact on performance relative to the broader market. While the momentum style underperformed during the period in question, the benefits of investing in the momentum style need to be judged over the course of one or more business cycles, based both on the Fund’s return and its ability to provide diversification relative to the more traditional value and growth investment styles.
The AQR Momentum Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the Fund’s investment universe, which is comprised of the 1000 largest U.S. companies by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
Performance shown is past performance. Past performance does not guarantee future results.
Principal Risks: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer. This Fund is not suitable for all investors.
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Funds invest, as well as economic, political or social events in the United States or abroad. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level
AQR Funds | Semi-Annual Report | June 2010 | 15 | |||||||
Shareholder Letter
AQR MOMENTUM FUND |
of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
Cliff Asness is a registered representative of ALPS Distributors, Inc.
DEFINITIONS:
The Russell 1000® Index measures the performance of the large and mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.
AQR Funds | Semi-Annual Report | June 2010 | 16 | |||||||
AQR SMALL CAP MOMENTUM FUND |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Dear Shareholder:
Within the US equity markets, small-cap stocks generally fared better in the first half of this year than their large and mid-cap peers. The AQR Small Cap Momentum Fund (the “Fund”) was down, posting a -2.37% year-to-date return.
The major driver of the Fund’s performance was the overall performance of small-cap U.S equity markets, as measured by the Russell 2000® Index of small-cap stocks, which returned -1.95%. A portion of the small underperformance was driven by stock momentum. Investing in stocks with better relative performance in the past year than its peers worked within the Information Technology sector, but was not as successful within the Healthcare industry; the biggest single contributor to underperformance was Medivation, a biotech stock that fell by almost 70% in early March after its experimental drug for Alzheimer’s disease failed clinical trials. Sector momentum (i.e. the sector over and under-weights implied by the momentum style) also detracted from performance, but to a lesser extent. Notably, the Fund was hurt by its overweight in the Energy sector. While the momentum style underperformed during the period in question, the benefits of investing in the momentum style need to be judged over the course of one or more business cycles, based both on the Fund’s return and its ability to provide diversification relative to the more traditional value and growth investment styles.
The AQR Small Cap Momentum Fund invests in stocks of small-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th smallest company by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
Performance shown is past performance. Past performance does not guarantee future results.
Principal Risks: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer. Funds that emphasize investments in smaller companies generally will experience greater price volatility. This Fund is not suitable for all investors.
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level
AQR Funds | Semi-Annual Report | June 2010 | 17 | |||||||
Shareholder Letter
AQR SMALL CAP MOMENTUM FUND |
of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
Cliff Asness is a registered representative of ALPS Distributors, Inc.
DEFINITIONS:
The Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Indexes are unmanaged and one cannot invest directly in an index.
AQR Funds | Semi-Annual Report | June 2010 | 18 | |||||||
AQR INTERNATIONAL MOMENTUM FUND |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Dear Shareholder:
The AQR International Momentum Fund (the “Fund”) returned -12.44% in the first half of 2010, driven largely by turmoil in the international equity markets, from the sovereign debt crisis to the declining Euro. The MSCI World ex-USA Index (the “Index”), a measure of the international developed country equity markets, returned -12.47%.
The Fund slightly outperformed the broader universe, driven in large part by the stock momentum in the Energy Sector, meaning that within this sector, stocks with poorer momentum tended to underperform their peers. The biggest single contributor to performance was BP, whose stock price has been adversely affected by its oil spill debacle. The stock did not exhibit strong momentum coming into 2010 so while the Index had a 1.6% weight in BP, the Fund did not hold it at all. Sector momentum (i.e. the sector over and under-weights implied by the momentum style) did not have a material impact on performance relative to the broader universe, though was slightly positive. Country bets (i.e. the country over and under-weights implied by the momentum style) detracted from performance, driven largely by a 10% underweight in Japan; the Japan market was actually down for the year as of June 30, but on a relative basis Japan outperformed the Index. While the momentum style underperformed during the period in question, the benefits of investing in the momentum style need to be judged over the course of one or more business cycles, based both on the Fund’s return and its ability to provide diversification relative to the more traditional value and growth investment styles.
The AQR International Momentum Fund invests in stocks of large and mid-cap non-U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the investment universe, which is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
Performance shown is past performance. Past performance does not guarantee future results.
Principal Risks: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods when the momentum style is out of favor, and during which the investment performance of a Fund using a momentum strategy generally will suffer. Foreign investing involves special risks such as currency fluctuations and political uncertainty. This Fund is not suitable for all investors.
An investment in any of the AQR Funds involves risk, including loss of principal. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to
AQR Funds | Semi-Annual Report | June 2010 | 19 | |||||||
Shareholder Letter
AQR INTERNATIONAL MOMENTUM FUND |
the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus, will incur a higher level of brokerage fees and commissions, and cause a higher level of tax liability to shareholders in the Funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique. Please refer to the prospectus for complete information regarding all risks associated with the Funds.
Cliff Asness is a registered representative of ALPS Distributors, Inc.
DEFINITIONS:
The MSCI World ex-USA Index is a market capitalization weighted index composed of companies representative of the market structure of 22 developed market countries in North America, Europe and the Asia/Pacific Region, excluding the U.S.A. Indexes are unmanaged and one cannot invest directly in an index.
AQR Funds | Semi-Annual Report | June 2010 | 20 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
COMMON STOCKS - 89.1% | SHARES | VALUE (Note 3) | |||
Australia - 3.2% | |||||
Amcor Ltd. | 34,770 | $ | 185,310 | ||
Ansell Ltd. | 15,090 | 165,559 | |||
Arrow Energy Ltd. | 9,245 | 37,419 | |||
ASX Ltd. | 2,722 | 66,401 | |||
Australia & New Zealand Banking Group Ltd. | 54,362 | 976,418 | |||
AWB Ltd. † | 90,105 | 68,845 | |||
AXA Asia Pacific Holdings Ltd. | 16,242 | 74,307 | |||
Bank of Queensland Ltd. | 3,416 | 29,704 | |||
BHP Billiton Ltd. | 41,881 | 1,302,903 | |||
Boral Ltd. | 55,816 | 223,580 | |||
Brambles Ltd. | 41,040 | 186,899 | |||
Caltex Australia Ltd. | 17,950 | 140,840 | |||
Centennial Coal Co., Ltd | 38,982 | 144,022 | |||
CFS Retail Property Trust REIT | 36,456 | 57,624 | |||
Challenger Financial Services Group Ltd. | 94,143 | 274,505 | |||
Commonwealth Bank of Australia | 24,094 | 974,062 | |||
Computershare Ltd. | 7,001 | 61,915 | |||
Dexus Property Group REIT | 74,910 | 48,068 | |||
DUET Group | 20,293 | 27,420 | |||
Fairfax Media Ltd. (e) | 60,844 | 66,482 | |||
Flight Centre Ltd. | 4,845 | 67,030 | |||
Foster’s Group Ltd. | 31,416 | 148,803 | |||
Goodman Group REIT | 93,620 | 49,517 | |||
GPT Group †(a)(3) | 96,388 | — | |||
GPT Group REIT | 29,672 | 69,280 | |||
Insurance Australia Group Ltd. | 72,895 | 207,357 | |||
Intoll Group | 10,420 | 9,079 | |||
Lend Lease Group | 8,523 | 51,902 | |||
Mirvac Group REIT | 28,414 | 31,031 | |||
National Australia Bank Ltd. | 35,406 | 684,549 | |||
Newcrest Mining Ltd. | 6,734 | 196,475 | |||
Orica Ltd. | 1,473 | 30,985 | |||
Origin Energy Ltd. | 15,399 | 192,114 | |||
OZ Minerals Ltd. † | 61,989 | 49,095 | |||
Paladin Energy Ltd. | 10,415 | 31,012 | |||
QBE Insurance Group Ltd. | 14,271 | 216,549 | |||
Rio Tinto Ltd. | 8,442 | 464,263 | |||
Sigma Pharmaceuticals Ltd. | 122,993 | 43,114 | |||
Stockland REIT | 33,079 | 102,665 | |||
Suncorp-Metway Ltd. | 55,519 | 371,432 | |||
TABCORP Holdings Ltd. | 77,485 | 410,653 | |||
Tatts Group Ltd. | 144,001 | 270,004 | |||
Telstra Corp., Ltd. | 172,253 | 469,519 | |||
Transurban Group | 19,970 | 70,887 | |||
UGL Ltd. | 4,832 | 54,632 | |||
Wesfarmers Ltd. | 18,427 | 440,618 | |||
West Australian Newspapers Holdings Ltd. (e) | 15,644 | 85,070 | |||
Westfield Group REIT | 32,674 | 332,026 | |||
Westpac Banking Corp. | 34,732 | 612,203 | |||
10,874,147 | |||||
Belgium - 0.4% | |||||
Anheuser-Busch InBev NV | 9,625 | 462,783 | |||
Bekaert NV | 725 | 120,869 | |||
KBC Groep NV † | 15,771 | 604,508 | |||
1,188,160 | |||||
SHARES | VALUE (Note 3) | ||||
Canada - 4.5% (1) | |||||
AGF Management Ltd. Class B | 21,618 | $ | 290,596 | ||
Agrium, Inc. | 2,000 | 97,694 | |||
ARC Energy Trust | 2,100 | 38,921 | |||
Atco Ltd. | 3,349 | 149,872 | |||
Bank of Montreal | 12,580 | 682,325 | |||
Bank of Nova Scotia | 16,699 | 769,420 | |||
Barrick Gold Corp. | 19,605 | 889,872 | |||
BCE, Inc. | 12,509 | 364,971 | |||
Biovail Corp. | 2,874 | 55,372 | |||
Bombardier, Inc. Class B | 117,991 | 536,449 | |||
Brookfield Asset Management, Inc. Class A | 8,102 | 183,190 | |||
Canadian Imperial Bank of Commerce | 4,100 | 254,731 | |||
Canadian Natural Resources Ltd. | 30,204 | 1,002,402 | |||
Canadian Oil Sands Trust | 4,234 | 107,346 | |||
Canadian Pacific Railway Ltd. | 6,800 | 364,481 | |||
Celestica, Inc. † | 56,911 | 459,757 | |||
CGI Group, Inc. Class A † | 15,100 | 224,681 | |||
EnCana Corp. | 28,991 | 877,995 | |||
Enerplus Resources Fund | 2,951 | 63,453 | |||
Ensign Energy Services, Inc. | 9,385 | 110,375 | |||
First Quantum Minerals Ltd. | 807 | 40,594 | |||
Goldcorp, Inc. | 7,588 | 332,231 | |||
Great-West Lifeco, Inc. | 3,145 | 71,110 | |||
Groupe Aeroplan, Inc. | 31,539 | 262,492 | |||
Husky Energy, Inc. | 1,600 | 37,935 | |||
Industrial Alliance Insurance & Financial Services, Inc. | 170 | 5,573 | |||
Inmet Mining Corp. | 4,080 | 161,544 | |||
Ivanhoe Mines Ltd† | 22,685 | 293,858 | |||
Kinross Gold Corp. | 8,900 | 152,158 | |||
Laurentian Bank of Canada | 3,737 | 147,893 | |||
Magna International, Inc. Class A | 10,367 | 682,953 | |||
Manulife Financial Corp. | 32,800 | 476,032 | |||
Methanex Corp. | 16,797 | 330,560 | |||
National Bank of Canada | 8,914 | 455,937 | |||
Nexen, Inc. | 13,000 | 255,714 | |||
Onex Corp. | 1,982 | 47,644 | |||
Penn West Energy Trust | 7,308 | 139,357 | |||
Peyto Energy Trust | 2,715 | 37,159 | |||
Power Corp. of Canada/Canada | 4,746 | 113,729 | |||
Research In Motion Ltd. † | 7,940 | 390,306 | |||
Royal Bank of Canada | 15,124 | 720,292 | |||
Russel Metals, Inc. | 17,900 | 305,017 | |||
Suncor Energy, Inc. | 7,882 | 231,969 | |||
Talisman Energy, Inc. | 39,166 | 592,337 | |||
Teck Resources Ltd. | 16,993 | 502,503 | |||
Telus Corp. | 2,307 | 83,477 | |||
Toronto-Dominion Bank | 14,112 | 914,420 | |||
TransCanada Corp. | 1,700 | 56,866 | |||
15,365,563 | |||||
China - 0.0% (b) | |||||
Foxconn International Holdings Ltd. † | 32,101 | 20,782 | |||
Sands China Ltd. | 31,600 | 46,704 | |||
Yangzijiang Shipbuilding Holdings Ltd. | 24,404 | 23,277 | |||
90,763 | |||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 21 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
Denmark - 0.7% | |||||
AP Moller - Maersk A/S | 22 | $ | 173,268 | ||
Coloplast A/S Class B | 2,448 | 242,987 | |||
Danisco A/S | 2,371 | 159,550 | |||
Danske Bank A/S † | 24,676 | 474,826 | |||
FLSmidth & Co.A/S | 2,403 | 155,078 | |||
Novo Nordisk A/S Class B | 15,537 | 1,255,277 | |||
2,460,986 | |||||
Finland - 0.5% | |||||
Kesko Oyj B Shares | 3,521 | 113,892 | |||
Kone Oyj B Shares | 12,341 | 491,362 | |||
Nokia Oyj | 20,172 | 164,418 | |||
Sanoma Oyj | 2,014 | 34,773 | |||
Stora Enso Oyj | 59,969 | 433,321 | |||
UPM-Kymmene Oyj | 44,257 | 585,933 | |||
1,823,699 | |||||
France - 3.6% | |||||
Atos Origin SA † | 3,219 | 129,253 | |||
AXA SA | 9,099 | 139,007 | |||
BNP Paribas | 17,135 | 921,879 | |||
Bouygues SA † | 4,224 | 163,053 | |||
Christian Dior SA | 2,662 | 255,505 | |||
Compagnie de Saint-Gobain (e) | 4,598 | 171,343 | |||
Compagnie Generale de Geophysique-Veritas † | 24,343 | 433,060 | |||
Compagnie Generale des Etablissements Michelin Class B | 10,390 | 723,896 | |||
GDF Suez | 3,072 | 87,400 | |||
Imerys SA | 1,061 | 53,989 | |||
Klepierre REIT (e) | 1,740 | 48,075 | |||
Lagardere SCA | 5,353 | 166,957 | |||
Legrand SA | 11,889 | 352,404 | |||
L’Oreal SA | 8,463 | 828,615 | |||
LVMH Moet Hennessy Louis Vuitton SA | 1,936 | 210,720 | |||
M6 Metropole Television SA | 9,371 | 189,491 | |||
Natixis † | 90,095 | 391,233 | |||
PPR | 4,490 | 557,763 | |||
Safran SA | 19,274 | 537,655 | |||
Sanofi-Aventis | 11,694 | 704,300 | |||
Schneider Electric SA | 10,074 | 1,017,476 | |||
Societe BIC SA | 3,859 | 274,075 | |||
Societe Generale | 2,447 | 100,692 | |||
Sodexo | 3,288 | 182,474 | |||
Thales SA | 13,373 | 431,736 | |||
Total SA | 48,192 | 2,151,237 | |||
Unibail-Rodamco SE REIT (e) | 1,690 | 275,440 | |||
Vivendi SA | 28,741 | 584,078 | |||
12,082,806 | |||||
Germany - 3.2% | |||||
Adidas AG | 11,823 | 572,411 | |||
Allianz SE | 11,254 | 1,113,849 | |||
BASF SE | 17,430 | 952,384 | |||
Bayer AG | 10,266 | 573,680 | |||
Continental AG † | 1,288 | 66,859 | |||
Daimler AG † | 12,534 | 634,040 | |||
Deutsche Bank AG | 16,076 | 902,978 |
SHARES | VALUE (Note 3) | ||||
Germany - 3.2% (continued) | |||||
Deutsche Boerse AG | 2,471 | $ | 150,122 | ||
Deutsche Post AG (e) | 47,114 | 686,930 | |||
Deutsche Telekom AG | 16,188 | 191,109 | |||
E.ON AG | 22,278 | 599,017 | |||
Hannover Rueckversicherung AG | 22,659 | 971,064 | |||
Infineon Technologies AG † | 72,680 | 421,356 | |||
MAN SE | 2,281 | 188,051 | |||
MTU Aero Engines Holding AG | 4,124 | 228,945 | |||
Muenchener Rueckversicherungs-Gesellschaft AG | 913 | 114,639 | |||
RWE AG | 8,764 | 573,482 | |||
SAP AG | 1,191 | 52,961 | |||
Siemens AG | 16,198 | 1,448,747 | |||
Suedzucker AG | 5,153 | 93,102 | |||
ThyssenKrupp AG | 10,974 | 270,435 | |||
Volkswagen AG | 1,158 | 98,241 | |||
10,904,402 | |||||
Hong Kong - 1.0% | |||||
ASM Pacific Technology Ltd. | 2,982 | 23,166 | |||
BOC Hong Kong Holdings Ltd. | 121,246 | 276,134 | |||
Cheung Kong Holdings Ltd. | 24,201 | 279,298 | |||
Cheung Kong Infrastructure Holdings Ltd. | 5,749 | 21,296 | |||
CLP Holdings Ltd. | 34,511 | 249,794 | |||
Esprit Holdings Ltd. | 26,844 | 144,189 | |||
Hang Lung Group Ltd. | 11,791 | 63,544 | |||
Hang Seng Bank Ltd. | 1,257 | 16,806 | |||
Henderson Land Development Co., Ltd | 837 | 4,902 | |||
Hong Kong & China Gas Co., Ltd | 6,698 | 16,563 | |||
Hong Kong Exchanges and Clearing Ltd. | 15,269 | 238,143 | |||
Hopewell Holdings Ltd. | 26,695 | 75,394 | |||
Hutchison Whampoa Ltd. | 28,489 | 175,323 | |||
Hysan Development Co., Ltd | 43,823 | 123,882 | |||
Li & Fung Ltd. | 34,734 | 155,399 | |||
Lifestyle International Holdings Ltd. | 9,000 | 17,414 | |||
Link REIT | 28,329 | 70,295 | |||
Mongolia Energy Corp., Ltd † | 48,885 | 17,007 | |||
New World Development Co., Ltd. | 40,173 | 65,219 | |||
NWS Holdings Ltd. | 13,000 | 23,497 | |||
Orient Overseas International Ltd. | 20,000 | 142,967 | |||
PCCW Ltd. | 20,406 | 5,953 | |||
Sun Hung Kai Properties Ltd. | 20,022 | 273,820 | |||
Swire Pacific Ltd. Class A | 12,818 | 145,500 | |||
Television Broadcasts Ltd. | 32,442 | 150,438 | |||
Wharf Holdings Ltd. | 41,604 | 201,553 | |||
Wheelock & Co., Ltd | 55,844 | 157,431 | |||
Wing Hang Bank Ltd. | 1,500 | 14,645 | |||
Yue Yuen Industrial Holdings Ltd. | 51,123 | 158,679 | |||
3,308,251 | |||||
Ireland - 0.4% (1) | |||||
Accenture PLC Class A | 15,874 | 613,530 | |||
Covidien PLC | 16,200 | 650,916 | |||
1,264,446 | |||||
Italy - 1.0% | |||||
Autogrill SpA † | 12,571 | 150,305 | |||
Enel SpA (e) | 25,956 | 109,902 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 22 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
Italy - 1.0% (continued) | |||||
ENI SpA | 95,991 | $ | 1,762,021 | ||
Intesa Sanpaolo SpA | 78,077 | 205,632 | |||
Mediaset SpA | 50,695 | 288,284 | |||
Pirelli & C SpA | 305,237 | 168,093 | |||
Prysmian SpA | 9,984 | 143,292 | |||
Telecom Italia SpA | 189,092 | 208,825 | |||
UniCredit SpA | 127,915 | 282,953 | |||
3,319,307 | |||||
Japan - 9.4% | |||||
Aisin Seiki Co., Ltd. | 13,900 | 374,223 | |||
Ajinomoto Co., Inc. | 9,000 | 81,425 | |||
Asahi Glass Co., Ltd. | 12,236 | 114,894 | |||
Asahi Kasei Corp. | 41,000 | 214,198 | |||
Asics Corp. | 13 | 119 | |||
Astellas Pharma, Inc. | 14,731 | 493,573 | |||
Brother Industries Ltd. | 12,400 | 128,728 | |||
Canon Marketing Japan, Inc. | 9 | 127 | |||
Canon, Inc. | 17,445 | 650,166 | |||
Central Glass Co., Ltd. | 85 | 335 | |||
Central Japan Railway Co. | 30 | 247,705 | |||
Chubu Electric Power Co., Inc. | 9,354 | 232,133 | |||
Circle K Sunkus Co., Ltd. | 15 | 192 | |||
Citizen Holdings Co., Ltd. | 12,200 | 74,529 | |||
Comsys Holdings Corp. | 43 | 385 | |||
Credit Saison Co., Ltd. | 20,875 | 218,478 | |||
Dai Nippon Printing Co., Ltd. | 70 | 808 | |||
Daicel Chemical Industries Ltd. | 21,000 | 141,679 | |||
Daifuku Co., Ltd. | 426 | 2,615 | |||
Daiichi Sankyo Co., Ltd. | 4,900 | 87,543 | |||
Daito Trust Co.nstruction Co., Ltd. | 2,486 | 140,779 | |||
Daiwa House Industry Co., Ltd. | 151 | 1,358 | |||
Denki Kagaku Kogyo Kabushiki Kaisha | 20,000 | 93,091 | |||
Dentsu, Inc. | 3,200 | 84,513 | |||
Don Quijote Co., Ltd. | 6,500 | 174,274 | |||
Doutor Nichires Holdings Co., Ltd. | 5 | 67 | |||
Dowa Holdings Co., Ltd. | 176 | 843 | |||
East Japan Railway Co. | 10,512 | 699,948 | |||
Elpida Memory, Inc. † | 6,400 | 98,326 | |||
FamilyMart Co., Ltd. | 48 | 1,585 | |||
Fuji Electric Holdings Co., Ltd. | 33,000 | 95,018 | |||
Fuji Heavy Industries Ltd. † | 69,000 | 369,638 | |||
Fuji Oil Co., Ltd. | 72 | 1,059 | |||
Fujifilm Holdings Corp. | 15,544 | 449,213 | |||
Fujikura Ltd. | 17,932 | 78,113 | |||
Fujitsu Ltd. | 95,283 | 595,597 | |||
Fukuoka Financial Group, Inc. | 52,096 | 216,857 | |||
Funai Electric Co., Ltd. | 1,798 | 64,545 | |||
Glory Ltd. | 36 | 786 | |||
Hino Motors Ltd. | 27,000 | 133,125 | |||
Hitachi Capital Corp. | 35 | 465 | |||
Hitachi High-Technologies Corp. | 9,558 | 175,589 | |||
Hitachi Ltd. † | 35,000 | 127,131 | |||
Hokuhoku Financial Group, Inc. | 42,682 | 78,407 | |||
Honda Motor Co., Ltd. (1) | 27,397 | 804,728 | |||
Hoya Corp. | 9,806 | 208,649 | |||
Ibiden Co., Ltd. | 3,300 | 88,897 | |||
IHI Corp. | 102,000 | 162,315 |
SHARES | VALUE (Note 3) | ||||
Japan - 9.4% (continued) | |||||
Inpex Corp. | 85 | $ | 471,454 | ||
Isuzu Motors Ltd. | 32,000 | 96,160 | |||
Itochu Corp. | 40,088 | 313,387 | |||
Itochu Techno-Solutions Corp. | 6,100 | 222,913 | |||
Japan Real Estate Investment Corp. REIT | 7 | 57,019 | |||
Japan Tobacco, Inc. | 77 | 239,554 | |||
JFE Holdings, Inc. | 13,800 | 426,931 | |||
JGC Corp. | 14,801 | 224,594 | |||
JTEKT Corp. | 30,800 | 284,844 | |||
JX Holdings, Inc. †(1) | 35,614 | 176,026 | |||
Kagoshima Bank Ltd. | 190 | 1,223 | |||
Kaken Pharmaceutical Co., Ltd. | 278 | 2,762 | |||
Kamigumi Co., Ltd. | 6,720 | 51,564 | |||
Kandenko Co., Ltd. | 259 | 1,533 | |||
Kaneka Corp. | 35,354 | 205,097 | |||
Kansai Electric Power Co., Inc. | 13,500 | 329,241 | |||
Kansai Paint Co., Ltd. | 26,024 | 223,387 | |||
Kao Corp. | 5,700 | 134,114 | |||
KDDI Corp. | 105 | 500,502 | |||
Keisei Electric Railway Co., Ltd. | 1,461 | 8,168 | |||
Keiyo Bank Ltd. | 232 | 1,211 | |||
Kewpie Corp. | 3 | 35 | |||
Kinden Corp. | 32,284 | 274,912 | |||
Kobayashi Pharmaceutical Co., Ltd. | 11 | 468 | |||
Kobe Steel Ltd. | 74,000 | 140,959 | |||
Koito Manufacturing Co., Ltd. | 7,000 | 103,081 | |||
Konica Minolta Holdings, Inc. | 33,500 | 322,279 | |||
Kose Corp. | 15 | 353 | |||
Kuraray Co., Ltd. | 27,000 | 316,753 | |||
Kyowa Exeo Corp. | 47 | 414 | |||
Makita Corp. | 10,546 | 282,211 | |||
Marubeni Corp. | 32,000 | 164,045 | |||
Miraca Holdings, Inc. | 13,928 | 416,893 | |||
Mitsubishi Corp. | 13,536 | 280,039 | |||
Mitsubishi Electric Corp. | 33,000 | 257,562 | |||
Mitsubishi Estate Co.Ltd | 18,764 | 261,226 | |||
Mitsubishi UFJ Financial Group, Inc. | 201,249 | 913,813 | |||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 2,268 | 76,505 | |||
Mitsui & Co., Ltd. | 56,989 | 664,822 | |||
Mitsui Chemicals, Inc. | 29,000 | 81,047 | |||
Mitsui Engineering & Shipbuilding Co., Ltd. | 53,000 | 107,049 | |||
Mitsui Fudosan Co., Ltd. | 17,598 | 244,937 | |||
Mitsui Mining & Smelting Co., Ltd. | 59,000 | 155,703 | |||
Mitsumi Electric Co., Ltd. | 15,240 | 258,536 | |||
Mizuho Financial Group, Inc. | 28 | 46 | |||
Mizuho Securities Co., Ltd. | 106,000 | 236,329 | |||
MS&AD Insurance Group Holdings, Inc. | 58 | 1,241 | |||
Musashino Bank Ltd. | 76 | 2,182 | |||
NHK Spring Co., Ltd. | 21,098 | 192,984 | |||
Nichirei Corp. | 689 | 2,895 | |||
Nintendo Co., Ltd. | 300 | 88,083 | |||
Nippon Building Fund, Inc. REIT | 8 | 63,476 | |||
Nippon Electric Glass Co., Ltd. | 35,000 | 400,909 | |||
Nippon Kayaku Co., Ltd. | 21,546 | 184,244 | |||
Nippon Meat Packers, Inc. | 17,097 | 211,041 | |||
Nippon Paper Group, Inc. | 2,506 | 69,364 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 23 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
Japan - 9.4% (continued) | |||||
Nippon Shokubai Co., Ltd. | 23,000 | $ | 218,172 | ||
Nippon Telegraph & Telephone Corp. | 7,948 | 323,769 | |||
Nippon Television Network Corp. | 970 | 133,124 | |||
Nipro Corp. | 29 | 553 | |||
Nishi-Nippon City Bank Ltd. | 1,514 | 4,336 | |||
Nissan Chemical Industries Ltd. | 7,000 | 78,225 | |||
Nissan Motor Co., Ltd. † | 42,628 | 297,052 | |||
Nissan Shatai Co., Ltd. | 643 | 4,213 | |||
Nisshin Seifun Group, Inc. | 37,000 | 417,777 | |||
Nitto Denko Corp. | 7,794 | 255,670 | |||
Nomura Holdings, Inc. | 28 | 153 | |||
NTT Data Corp. | 123 | 454,017 | |||
NTT DoCoMo, Inc. | 113 | 171,115 | |||
Obic Co., Ltd. | 530 | 102,304 | |||
OJI Paper Co., Ltd. | 88,682 | 434,803 | |||
Okinawa Electric Power Co., Inc. | 39 | 1,976 | |||
Omron Corp. | 7,931 | 172,891 | |||
ORIX Corp. | 1,599 | 115,839 | |||
Osaka Gas Co., Ltd. | 151,446 | 546,260 | |||
Otsuka Corp. | 1,300 | 82,851 | |||
Panasonic Corp. | 6,108 | 76,270 | |||
Panasonic Electric Works Co., Ltd. | 6,000 | 58,976 | |||
Point, Inc. | 1 | 55 | |||
Promise Co., Ltd. | 13,700 | 92,300 | |||
Renesas Electronics Corp. † | 33 | 283 | |||
Rengo Co., Ltd. | 19,884 | 125,475 | |||
Sapporo Hokuyo Holdings, Inc. | 19,891 | 87,738 | |||
SBI Holdings, Inc. | 261 | 32,424 | |||
Secom Co., Ltd. | 2,900 | 128,778 | |||
Sega Sammy Holdings, Inc. | 22,200 | 318,895 | |||
Seino Holdings Corp. | 35,100 | 241,544 | |||
Sekisui Chemical Co., Ltd. | 24,000 | 149,708 | |||
Sekisui House Ltd. | 9,000 | 76,973 | |||
Seven & I Holdings Co., Ltd. | 8,530 | 195,433 | |||
Shimamura Co., Ltd. | 3,800 | 343,586 | |||
Shinko Electric Industries Co., Ltd. | 1,953 | 25,380 | |||
Sojitz Corp. | 82,316 | 128,646 | |||
Sony Corp. | 22,472 | 599,396 | |||
Stanley Electric Co., Ltd. | 730 | 12,089 | |||
Sumitomo Bakelite Co., Ltd. | 35 | 171 | |||
Sumitomo Corp. | 26,400 | 263,657 | |||
Sumitomo Electric Industries Ltd. | 26,383 | 307,466 | |||
Sumitomo Forestry Co., Ltd. | 33 | 263 | |||
Sumitomo Heavy Industries Ltd. | 65,000 | 381,390 | |||
Sumitomo Mitsui Financial Group, Inc. | 10,449 | 295,731 | |||
Sumitomo Realty & Development Co., Ltd. | 5,624 | 95,563 | |||
Sumitomo Trust & Banking Co., Ltd. | 22,000 | 112,006 | |||
Takeda Pharmaceutical Co., Ltd. | 17,969 | 771,816 | |||
TDK Corp. | 375 | 20,521 | |||
THK Co., Ltd. | 7 | 145 | |||
Toho Gas Co., Ltd. | 623 | 3,323 | |||
Tokai Rika Co., Ltd. | 18,865 | 326,324 | |||
Tokio Marine Holdings, Inc. | 19,600 | 515,281 | |||
Tokuyama Corp. | 564 | 2,482 | |||
Tokyo Electric Power Co., Inc. | 3,670 | 99,837 | |||
Tokyo Gas Co., Ltd. | 47,000 | 214,562 | |||
Tokyo Steel Manufacturing Co., Ltd. | 9,226 | 106,655 | |||
Toppan Forms Co., Ltd. | 16 | 153 |
SHARES | VALUE (Note 3) | ||||
Japan - 9.4% (continued) | |||||
Toppan Printing Co., Ltd. | 10,000 | $ | 79,076 | ||
Toshiba Corp. † | 22,243 | 110,182 | |||
Toshiba TEC Corp. | 387 | 1,250 | |||
Toyo Seikan Kaisha Ltd. | 43 | 627 | |||
Toyo Suisan Kaisha Ltd. | 7,116 | 169,842 | |||
Toyota Auto Body Co., Ltd. | 5,065 | 63,324 | |||
Toyota Motor Corp. | 30,378 | 1,043,748 | |||
USS Co., Ltd. | 4,895 | 349,671 | |||
West Japan Railway Co. | 44 | 160,902 | |||
Yamada Denki Co., Ltd. | 6,910 | 451,498 | |||
Yamaha Corp. | 12,100 | 123,553 | |||
Yamatake Corp. | 3,700 | 86,053 | |||
Yamato Holdings Co., Ltd. | 13,500 | 178,679 | |||
Yamato Kogyo Co., Ltd. | 7,516 | 187,340 | |||
31,789,031 | |||||
Luxembourg - 0.1% | |||||
ArcelorMittal (e) | 8,383 | 224,848 | |||
Netherlands - 1.9% | |||||
Brit Insurance Holdings NV | 29,549 | 398,056 | |||
Corio NV REIT | 1,027 | 49,872 | |||
ING Groep NV † | 41,277 | 305,472 | |||
Koninklijke Ahold NV | 11,812 | 146,113 | |||
Koninklijke Boskalis Westminster NV | 11,004 | 427,550 | |||
Koninklijke DSM NV | 9,219 | 366,474 | |||
Koninklijke Philips Electronics NV | 20,370 | 608,292 | |||
Koninklijke Vopak NV | 3,364 | 123,276 | |||
Royal Dutch Shell PLC Class A | 56,073 | 1,415,060 | |||
Royal Dutch Shell PLC Class B | 53,508 | 1,293,325 | |||
TNT NV | 22,805 | 574,393 | |||
Unilever NV | 24,960 | 681,639 | |||
6,389,522 | |||||
New Zealand - 0.0% (b) | |||||
Telecom Corp. of New Zealand Ltd. | 111,875 | 143,669 | |||
Sinapore - 0.7% | |||||
Ascendas REIT | 22,478 | 29,029 | |||
CapitaMall Trust REIT | 34,494 | 44,971 | |||
CapitaMalls Asia Ltd. | 15,317 | 22,901 | |||
DBS Group Holdings Ltd. | 34,054 | 330,490 | |||
Fraser and Neave Ltd. | 62,000 | 226,718 | |||
Haw Par Corp., Ltd. | 227 | 930 | |||
Jardine Cycle & Carriage Ltd. | 6,291 | 133,876 | |||
Keppel Corp., Ltd. | 45,641 | 275,560 | |||
K-Green Trust †(1) | 8,528 | 6,399 | |||
Neptune Orient Lines Ltd. | 90,891 | 128,379 | |||
Oversea-Chinese Banking Corp., Ltd. | 36,422 | 229,354 | |||
SembCorp Industries Ltd. | 11,777 | 34,057 | |||
SembCorp Marine Ltd. | 37,000 | 101,111 | |||
Singapore Airlines Ltd. | 27 | 280 | |||
Singapore Exchange Ltd. | 10,967 | 57,514 | |||
Singapore Technologies Engineering Ltd. | 25,103 | 58,684 | |||
Singapore Telecommunications Ltd. | 118,635 | 256,479 | |||
StarHub Ltd. | 7,476 | 12,020 | |||
United Overseas Bank Ltd. | 31,201 | 434,064 | |||
UOL Group Ltd. | 10,340 | 27,850 | |||
2,410,666 | |||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 24 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
Spain - 1.7% | |||||
Banco Bilbao Vizcaya Argentaria SA | 75,711 | $ | 780,047 | ||
Banco Santander SA | 202,744 | 2,126,985 | |||
Endesa SA (e) | 30,206 | 642,086 | |||
Industria de Diseno Textil SA | 4,937 | 281,515 | |||
Repsol YPF SA | 17,021 | 343,486 | |||
Tecnicas Reunidas SA | 17,363 | 789,627 | |||
Telefonica SA | 40,244 | 745,509 | |||
5,709,255 | |||||
Sweden - 1.5% | |||||
Boliden AB | 26,673 | 294,807 | |||
Electrolux AB | 52,225 | 1,193,906 | |||
Hennes & Mauritz AB | 8,760 | 240,746 | |||
Investor AB | 9,034 | 146,136 | |||
Nordea Bank AB | 30,750 | 253,570 | |||
Peab Industri AB †(a)(3) | 3,817 | 16,105 | |||
Tele2 AB | 102,781 | 1,535,601 | |||
Telefonaktiebolaget LM Ericsson B Shares | 86,092 | 954,952 | |||
Volvo AB † | 30,024 | 332,029 | |||
4,967,852 | |||||
Switzerland - 4.7% | |||||
ABB Ltd. † | 78,183 | 1,361,212 | |||
ACE Ltd. (1) | 20,496 | 1,055,134 | |||
Clariant AG † | 58,121 | 735,952 | |||
Compagnie Financiere Richemont SA Class A | 24,741 | 863,765 | |||
Credit Suisse Group AG | 2,843 | 106,889 | |||
Nestle SA | 71,535 | 3,449,333 | |||
Noble Corp. †(1) | 16,735 | 517,279 | |||
Novartis AG | 54,049 | 2,619,383 | |||
Roche Holding AG | 12,644 | 1,740,342 | |||
Schindler Holding AG | 9,730 | 820,107 | |||
Sulzer AG | 6,140 | 572,707 | |||
Swiss Life Holding AG † | 236 | 22,555 | |||
Transocean Ltd. †(1) | 11,414 | 528,811 | |||
Tyco Electronics Ltd. (1) | 23,660 | 600,491 | |||
Tyco International Ltd. | 18,600 | 655,278 | |||
Xstrata PLC | 22,425 | 293,647 | |||
15,942,885 | |||||
United Kingdom - 7.7% | |||||
Aggreko PLC | 6,622 | 139,014 | |||
Anglo American PLC † | 9,104 | 317,230 | |||
AstraZeneca PLC | 27,610 | 1,301,695 | |||
Atkins WS PLC | 27,328 | 276,758 | |||
Autonomy Corp. PLC † | 3,432 | 93,551 | |||
Aviva PLC | 153,176 | 711,837 | |||
Barclays PLC | 164,283 | 655,736 | |||
BBA Aviation PLC | 67,282 | 183,147 | |||
Berkeley Group Holdings PLC † | 8,749 | 99,267 | |||
BHP Billiton PLC | 33,310 | 863,679 | |||
BP PLC | 316,353 | 1,514,433 | |||
Bradford & Bingley PLC †(a)(3) | 235,153 | — | |||
British American Tobacco PLC | 47,872 | 1,519,255 | |||
British Land Co. PLC REIT | 13,261 | 85,659 | |||
BT Group PLC | 362,993 | 700,683 | |||
Burberry Group PLC | 8,302 | 93,759 |
SHARES | VALUE (Note 3) | ||||
United Kingdom - 7.7% (continued) | |||||
Cairn Energy PLC † | 21,281 | $ | 130,738 | ||
Capital & Counties Properties PLC †(1) | 6,502 | 10,540 | |||
Capital Shopping Centres Group PLC REIT | 6,502 | 30,038 | |||
Catlin Group Ltd. | 19,448 | 101,806 | |||
Compass Group PLC | 36,344 | 276,486 | |||
Cookson Group PLC † | 26,976 | 155,064 | |||
Daily Mail & General Trust PLC | 12,538 | 81,609 | |||
easyJet PLC † | 14,770 | 87,181 | |||
Ensco PLC ADR (e) | 28,071 | 1,102,629 | |||
GlaxoSmithKline PLC | 46,750 | 793,855 | |||
Hammerson PLC REIT | 10,329 | 52,654 | |||
Hiscox Ltd. | 17,707 | 90,255 | |||
HSBC Holdings PLC | 190,147 | 1,737,124 | |||
IMI PLC | 35,244 | 359,092 | |||
Imperial Tobacco Group PLC | 19,957 | 557,612 | |||
International Personal Finance PLC | 145,717 | 412,164 | |||
Investec PLC | 66,998 | 450,833 | |||
Johnson Matthey PLC | 3,227 | 71,694 | |||
Kazakhmys PLC | 5,324 | 78,151 | |||
Kesa Electricals PLC | 129,420 | 234,303 | |||
Kingfisher PLC | 148,441 | 465,000 | |||
Land Securities Group PLC REIT | 4,504 | 37,274 | |||
Lloyds Banking Group PLC † | 1,413,861 | 1,116,196 | |||
Mondi PLC | 112,497 | 640,200 | |||
National Grid PLC | 27,457 | 200,462 | |||
Next PLC | 6,563 | 195,672 | |||
Pearson PLC | 14,270 | 187,676 | |||
Persimmon PLC † | 46,472 | 241,207 | |||
Petrofac Ltd. | 17,105 | 300,927 | |||
Randgold Resources Ltd. | 1,444 | 137,278 | |||
Reed Elsevier PLC | 19,090 | 141,548 | |||
Rentokil Initial PLC † | 78,633 | 126,016 | |||
Rio Tinto PLC | 21,883 | 960,977 | |||
Royal Bank of Scotland Group PLC † | 265,821 | 161,890 | |||
Segro PLC REIT | 13,080 | 49,317 | |||
Stagecoach Group PLC | 50,445 | 133,070 | |||
Standard Chartered PLC | 7,161 | 174,373 | |||
Tate & Lyle PLC | 79,711 | 532,585 | |||
Tesco PLC | 125,109 | 705,791 | |||
Tullow Oil PLC | 14,034 | 208,760 | |||
Unilever PLC | 43,753 | 1,169,605 | |||
Vedanta Resources PLC | 4,410 | 138,559 | |||
Vodafone Group PLC | 953,947 | 1,965,598 | |||
WH Smith PLC | 26,113 | 159,212 | |||
Wolseley PLC † | 9,747 | 193,477 | |||
WPP PLC | 56,147 | 528,932 | |||
26,241,133 | |||||
United States - 42.9% (1) | |||||
3M Co. | 2,100 | 165,879 | |||
Abbott Laboratories | 26,484 | 1,238,922 | |||
Aflac, Inc. | 3,500 | 149,345 | |||
Alliant Techsystems, Inc. †(e) | 2,100 | 130,326 | |||
Altria Group, Inc. | 52,096 | 1,044,004 | |||
Amedisys, Inc. † | 4,000 | 175,880 | |||
American Express Co. | 8,889 | 352,893 | |||
American Financial Group, Inc. | 18,925 | 517,031 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 25 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
United States - 42.9% (continued) (1) | |||||
Ameriprise Financial, Inc. | 4,200 | $ | 151,746 | ||
AmerisourceBergen Corp. (e) | 16,900 | 536,575 | |||
Amgen, Inc. † | 38,249 | 2,011,897 | |||
Annaly Capital Management, Inc. REIT (e) | 8,318 | 142,654 | |||
Apache Corp. (e) | 3,280 | 276,143 | |||
Apple, Inc. † | 10,128 | 2,547,496 | |||
Archer-Daniels-Midland Co. | 1,433 | 37,000 | |||
Armstrong World Industries, Inc. † | 7,992 | 241,199 | |||
Arris Group, Inc. † | 14,044 | 143,108 | |||
Ashland, Inc. | 14,000 | 649,880 | |||
Assurant, Inc. | 15,300 | 530,910 | |||
AT&T, Inc. | 111,997 | 2,709,206 | |||
AvalonBay Communities, Inc. REIT | 1,311 | 122,408 | |||
Avnet, Inc. † | 799 | 19,264 | |||
Bank of America Corp. | 165,338 | 2,375,907 | |||
Becton, Dickinson and Co. | 7,186 | 485,917 | |||
Berkshire Hathaway, Inc. Class B †(e) | 13,150 | 1,047,924 | |||
Biogen Idec, Inc. † | 2,589 | 122,848 | |||
Boeing Co. | 7,065 | 443,329 | |||
Boston Properties, Inc. REIT (e) | 1,463 | 104,370 | |||
Bristol-Myers Squibb Co. | 40,432 | 1,008,374 | |||
Broadridge Financial Solutions, Inc. | 17,593 | 335,147 | |||
Brookfield Properties Corp. | 2,845 | 39,954 | |||
CA, Inc. | 2,915 | 53,636 | |||
Cabot Corp. | 3,032 | 73,102 | |||
CapitalSource, Inc. (e) | 76,500 | 364,140 | |||
Cardinal Health, Inc. | 29,100 | 978,051 | |||
Career Education Corp. †(e) | 10,659 | 245,370 | |||
Carlisle Cos., Inc. | 444 | 16,042 | |||
CF Industries Holdings, Inc. | 959 | 60,849 | |||
Chemed Corp. | 9,980 | 545,307 | |||
Chevron Corp. | 47,800 | 3,243,707 | |||
Chubb Corp. | 6,649 | 332,516 | |||
Cimarex Energy Co. | 15,900 | 1,138,122 | |||
Cintas Corp. (e) | 6,800 | 162,996 | |||
Cisco Systems, Inc. † | 54,289 | 1,156,899 | |||
Citigroup, Inc. † | 275,991 | 1,037,726 | |||
CNA Financial Corp. † | 800 | 20,448 | |||
Coach, Inc. | 1,800 | 65,790 | |||
Coca-Cola Co. | 25,580 | 1,282,070 | |||
Colgate-Palmolive Co. | 8,428 | 663,789 | |||
Comcast Corp. | 59,980 | 1,041,854 | |||
Computer Sciences Corp. | 10,231 | 462,953 | |||
ConAgra Foods, Inc. | 25,874 | 603,382 | |||
ConocoPhillips | 40,875 | 2,006,554 | |||
Convergys Corp. † | 2,800 | 27,468 | |||
Crown Holdings, Inc. † | 22,251 | 557,165 | |||
CSX Corp. | 29,398 | 1,459,024 | |||
Deckers Outdoor Corp. † | 1,500 | 214,305 | |||
Devon Energy Corp. | 4,990 | 303,991 | |||
DIRECTV Class A † | 13,869 | 470,436 | |||
DISH Network Corp. † | 8,674 | 157,433 | |||
Dollar Tree, Inc. † | 11,688 | 486,571 | |||
Dr Pepper Snapple Group, Inc. | 16,832 | 629,348 | |||
DTE Energy Co. | 13,400 | 611,174 | |||
Edison International | 22,256 | 705,960 | |||
EMCOR Group, Inc. †(e) | 12,459 | 288,675 |
SHARES | VALUE (Note 3) | ||||
United States - 42.9% (continued) (1) | |||||
Emerson Electric Co. | 8,741 | $ | 381,894 | ||
Energen Corp. | 16,100 | 713,713 | |||
Equity Residential REIT | 4,548 | 189,379 | |||
Estee Lauder Co., Inc. Class A | 3,700 | 206,201 | |||
Esterline Technologies Corp. † | 2,500 | 118,625 | |||
Everest Re Group Ltd. | 14,035 | 992,555 | |||
Exelon Corp. | 6,100 | 231,617 | |||
Exxon Mobil Corp. | 93,989 | 5,363,951 | |||
FedEx Corp. | 4,600 | 322,506 | |||
Fifth Third Bancorp | 16,800 | 206,472 | |||
Forest Laboratories, Inc. † | 15,186 | 416,552 | |||
Fossil, Inc. † | 15,200 | 527,440 | |||
Franklin Resources, Inc. | 7,700 | 663,663 | |||
Freeport-McMoRan Copper & Gold, Inc. | 13,600 | 804,168 | |||
Gap, Inc. | 40,219 | 782,662 | |||
General Dynamics Corp. | 6,838 | 400,433 | |||
General Electric Co. | 114,502 | 1,651,118 | |||
General Mills, Inc. | 17,588 | 624,726 | |||
Goldman Sachs Group, Inc. | 6,405 | 840,784 | |||
Google, Inc. † | 1,902 | 846,294 | |||
Hartford Financial Services Group, Inc. | 4,000 | 88,520 | |||
Hasbro, Inc. (e) | 10,650 | 437,715 | |||
HCP, Inc. REIT | 2,572 | 82,947 | |||
Health Care REIT, Inc. REIT | 2,485 | 104,668 | |||
Health Net, Inc. † | 7,900 | 192,523 | |||
Helix Energy Solutions Group, Inc. | 2,206 | 23,759 | |||
Hewlett-Packard Co. | 42,752 | 1,850,307 | |||
HJ Heinz Co. | 4,541 | 196,262 | |||
Home Depot, Inc. | 22,406 | 628,936 | |||
Honeywell International, Inc. | 18,602 | 726,036 | |||
Host Hotels & Resorts, Inc. REIT | 9,300 | 125,364 | |||
Hudson City Bancorp, Inc. (e) | 18,917 | 231,544 | |||
Humana, Inc. | 17,000 | 776,390 | |||
Huntsman Corp. | 14,970 | 129,790 | |||
IAC/InterActiveCorp †(e) | 10,830 | 237,935 | |||
Integrys Energy Group, Inc. | 6,300 | 275,562 | |||
Intel Corp. | 96,067 | 1,868,504 | |||
International Business Machines Corp. | 25,423 | 3,139,231 | |||
International Paper Co. | 34,900 | 789,787 | |||
ITT Corp. | 1,082 | 48,603 | |||
Johnson & Johnson | 53,496 | 3,159,473 | |||
Joy Global, Inc. | 6,452 | 323,181 | |||
JPMorgan Chase & Co. | 71,673 | 2,623,950 | |||
Kimberly-Clark Corp. | 25,563 | 1,549,885 | |||
King Pharmaceuticals, Inc. † | 21,800 | 165,462 | |||
Kohl’s Corp. † | 15,400 | 731,500 | |||
Kraft Foods, Inc. Class A | 10,721 | 300,188 | |||
L-3 Co.mmunications Holdings, Inc. | 9,253 | 655,483 | |||
Laboratory Corp. of America Holdings †(e) | 2,300 | 173,305 | |||
Las Vegas Sands Corp. †(e) | 6,400 | 141,696 | |||
Liberty Media Corp. - Interactive † | 40,100 | 421,050 | |||
Limited Brands, Inc. | 10,661 | 235,288 | |||
Lockheed Martin Corp. | 10,643 | 792,904 | |||
Loews Corp. | 8,221 | 273,842 | |||
Lubrizol Corp. | 7,800 | 626,418 | |||
Macy’s, Inc. | 9,200 | 164,680 | |||
Marathon Oil Corp. | 28,529 | 886,967 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 26 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
United States - 42.9% (continued) (1) | |||||
Masco Corp. | 32,100 | $ | 345,396 | ||
Mattel, Inc. | 40,859 | 864,576 | |||
McDonald’s Corp. | 16,925 | 1,114,850 | |||
McKesson Corp. | 2,700 | 181,332 | |||
MDU Resources Group, Inc. | 23,411 | 422,100 | |||
Medco Health Solutions, Inc. † | 11,921 | 656,609 | |||
Medtronic, Inc. | 6,082 | 220,594 | |||
Merck & Co., Inc. | 20,819 | 728,040 | |||
MetLife, Inc. | 9,700 | 366,272 | |||
Microsoft Corp. | 150,350 | 3,459,553 | |||
Mirant Corp. † | 2,389 | 25,228 | |||
Murphy Oil Corp. | 2,494 | 123,578 | |||
National-Oilwell Varco, Inc. | 18,055 | 597,079 | |||
Newmont Mining Corp. | 5,161 | 318,640 | |||
News Corp. Class A | 64,900 | 776,204 | |||
Nicor, Inc. (e) | 23,200 | 939,599 | |||
Norfolk Southern Corp. | 12,023 | 637,820 | |||
Northrop Grumman Corp. | 22,679 | 1,234,644 | |||
Occidental Petroleum Corp. | 15,090 | 1,164,194 | |||
Oceaneering International, Inc. † | 3,500 | 157,150 | |||
Oracle Corp. | 36,786 | 789,428 | |||
Oshkosh Corp. † | 7,200 | 224,352 | |||
Owens Corning † | 36,148 | 1,081,186 | |||
Pall Corp. | 6,500 | 223,405 | |||
PDL BioPharma, Inc. †(e) | 64,743 | 363,856 | |||
Peabody Energy Corp. | 3,900 | 152,607 | |||
Penn National Gaming, Inc. † | 11,683 | 269,877 | |||
PepsiCo, Inc. | 20,772 | 1,266,053 | |||
PetSmart, Inc. | 24,354 | 734,760 | |||
Pfizer, Inc. | 161,343 | 2,300,751 | |||
Philip Morris International, Inc. | 20,893 | 957,735 | |||
Plum Creek Timber Co., Inc. (e) | 2,131 | 73,583 | |||
PNC Financial Services Group, Inc. | 6,100 | 344,650 | |||
Procter & Gamble Co. | 56,808 | 3,407,344 | |||
ProLogis REIT | 6,900 | 69,897 | |||
Protective Life Corp. | 32,298 | 690,854 | |||
Prudential Financial, Inc. | 7,039 | 377,713 | |||
Public Storage REIT | 1,669 | 146,722 | |||
Qwest Communications International, Inc. (e) | 50,658 | 265,955 | |||
Rayonier, Inc. | 2,581 | 113,616 | |||
Raytheon Co. | 39,867 | 1,929,163 | |||
Reinsurance Group of America, Inc. | 10,100 | 461,671 | |||
Reliance Steel & Aluminum Co. (e) | 4,400 | 159,060 | |||
Reynolds American, Inc. | 24,037 | 1,252,808 | |||
Rockwell Automation, Inc. | 5,900 | 289,631 | |||
Ross Stores, Inc. (e) | 9,613 | 512,277 | |||
Rowan Companies, Inc. † | 20,620 | 452,403 | |||
RR Donnelley & Sons Co. | 26,866 | 439,796 | |||
SanDisk Corp. † | 8,800 | 370,216 | |||
Sara Lee Corp. | 69,036 | 973,408 | |||
Seagate Technology †(e) | 47,800 | 623,312 | |||
Sealed Air Corp. | 9,599 | 189,292 | |||
Simon Property Group, Inc. REIT | 4,342 | 350,616 | |||
Skechers U.S.A., Inc. Class A † | 6,200 | 226,424 | |||
Starbucks Corp. | 22,400 | 544,320 |
SHARES | VALUE (Note 3) | ||||
United States - 42.9% (continued) (1) | |||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,200 | $ | 174,006 | ||
STERIS Corp. | 13,030 | 404,972 | |||
Teradata Corp. † | 7,456 | 227,259 | |||
Texas Instruments, Inc. (e) | 14,684 | 341,844 | |||
Thomas & Betts Corp. † | 4,614 | 160,106 | |||
Time Warner, Inc. | 43,366 | 1,253,712 | |||
Timken Co. | 39,333 | 1,022,264 | |||
TJX Companies, Inc. | 8,264 | 346,675 | |||
Travelers Co., Inc. | 38,801 | 1,910,950 | |||
Trinity Industries, Inc. | 7,700 | 136,444 | |||
Tupperware Brands Corp. | 18,409 | 733,599 | |||
Tyson Foods, Inc. Class A | 36,400 | 596,596 | |||
Union Pacific Corp. | 4,927 | 342,476 | |||
Unit Corp. † | 600 | 24,354 | |||
United Parcel Service, Inc. Class B | 11,100 | 631,479 | |||
United Technologies Corp. | 24,349 | 1,580,493 | |||
UnitedHealth Group, Inc. | 34,500 | 979,800 | |||
Universal Health Services, Inc. Class B | 5,188 | 197,922 | |||
Unum Group | 35,409 | 768,375 | |||
URS Corp. † | 3,400 | 133,790 | |||
Valmont Industries, Inc. | 1,900 | 138,054 | |||
Ventas, Inc. REIT | 2,400 | 112,680 | |||
Verizon Communications, Inc. | 47,812 | 1,339,692 | |||
Viacom, Inc. Class B (e) | 9,237 | 289,765 | |||
Vishay Intertechnology, Inc. † | 42,600 | 329,724 | |||
Vornado Realty Trust REIT | 1,648 | 120,222 | |||
Walgreen Co. | 32,940 | 879,498 | |||
Wal-Mart Stores, Inc. | 43,405 | 2,086,479 | |||
Walter Energy, Inc. | 11,600 | 705,860 | |||
Waste Management, Inc. (e) | 35,273 | 1,103,692 | |||
Watts Water Technologies, Inc. Class A | 5,158 | 147,828 | |||
WellPoint, Inc. † | 26,191 | 1,281,525 | |||
Wells Fargo & Co. | 59,370 | 1,519,871 | |||
WESCO International, Inc. †(e) | 1,070 | 36,027 | |||
Western Digital Corp. † | 19,000 | 573,040 | |||
Western Union Co. | 35,800 | 533,778 | |||
Whirlpool Corp. | 3,500 | 307,370 | |||
Williams Companies, Inc. | 33,456 | 611,576 | |||
Williams-Sonoma, Inc. (e) | 7,790 | 193,348 | |||
Worthington Industries, Inc. | 15,946 | 205,066 | |||
WW Grainger, Inc. | 3,300 | 328,185 | |||
Wyndham Worldwide Corp. | 24,444 | 492,302 | |||
Wynn Resorts Ltd. | 2,000 | 152,540 | |||
145,206,234 | |||||
TOTAL COMMON STOCKS | 301,707,625 | ||||
PREFERRED STOCKS - 0.2% | |||||
Germany - 0.2% | |||||
Henkel AG & Co. KGaA | 8,158 | 398,362 | |||
Volkswagen AG | 2,748 | 241,139 | |||
TOTAL PREFERRED STOCKS | 639,501 | ||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 27 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
MONEY MARKET FUNDS - 10.5% | |||||
Dreyfus Institutional Cash Advantage Fund, 0.19% (c)(f) | 35,413,103 | 35,413,103 | |||
(cost $35,413,103; includes $11,381,461 of cash collateral received for securities on loan) | PAR VALUE | ||||
OTHER INVESTMENTS - 0.0% (b)(3) | |||||
Commercial Paper - 0.0% (b)(3) | |||||
United States - 0.0% (b)(3) | |||||
Lehman Commercial Paper, Inc., | 299,262 | 58,356 | |||
TOTAL INVESTMENTS - 99.8% | 337,818,585 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% (d) | 638,161 | ||||
NET ASSETS - 100.0% | $ | 338,456,746 | |||
INDUSTRY | VALUE | %OF NET ASSETS | ||||
Automobiles & Components | $ | 6,302,785 | 1.9 | % | ||
Banks | 22,891,318 | 6.8 | ||||
Capital Goods | 32,728,048 | 9.7 | ||||
Commercial & Professional Services | 2,918,061 | 0.9 | ||||
Consumer Durables & Apparel | 8,476,160 | 2.5 | ||||
Consumer Services | 4,538,684 | 1.3 | ||||
Diversified Financials | 12,274,958 | 3.6 | ||||
Energy | 33,779,251 | 10.0 | ||||
Food & Staples Retailing | 4,638,446 | 1.4 | ||||
Food, Beverage & Tobacco | 19,661,475 | 5.8 | ||||
Health Care Equipment & Services | 9,306,724 | 2.7 | ||||
Household & Personal Products | 7,189,131 | 2.1 | ||||
Insurance | 15,299,739 | 4.5 | ||||
Materials | 21,621,280 | 6.4 | ||||
Media | 6,974,871 | 2.1 | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 21,915,773 | 6.5 | ||||
Real Estate | 5,913,199 | 1.7 | ||||
Retailing | 9,142,047 | 2.7 | ||||
Semiconductors & Semiconductor Equipment | 2,778,859 | 0.8 | ||||
Software & Services | 12,011,482 | 3.5 | ||||
Technology Hardware & Equipment | 14,302,451 | 4.2 | ||||
Telecommunication Services | 11,993,652 | 3.5 | ||||
Transportation | 7,659,153 | 2.3 | ||||
Utilities | 8,029,579 | 2.4 | ||||
Money Market Fund | 35,413,103 | 10.5 | ||||
Other Investments | 58,356 | 0.0 | ||||
Total Investments | 337,818,585 | 99.8 | ||||
Other Assets in Excess of Liabilities | 638,161 | 0.2 | ||||
Net Assets | $ | 338,456,746 | 100.0 | % | ||
† | Non-income producing security. |
(a) | Security fair valued at June 30, 2010. |
(b) | Represents less than 0.05 percent of net assets. |
(c) | Represents annualized seven–day yield as of June 30, 2010. |
(d) | Includes appreciation (depreciation) on futures contracts and forward foreign currency exchange contracts. |
(e) | All or a portion of the security on loan. The aggregate market value of such securities is $10,560,719; cash collateral of $11,381,461 was received with which the Fund purchased a money market fund. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt.
REIT - Real Estate Investment Trust.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 28 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
Open futures contracts outstanding at June 30, 2010:
NUMBER OF CONTRACTS | TYPE | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||
Long Contracts: | |||||||||||||
193 | Amsterdam Index | July 16, 2010 | $ | 15,827,072 | $ | 14,939,469 | $ | (887,603) | |||||
308 | CAC40 10 EURO | July 16, 2010 | 13,804,319 | 12,963,901 | (840,418) | ||||||||
46 | DAX Index | September 17, 2010 | 8,717,456 | 8,383,542 | (333,914) | ||||||||
224 | FTSE 100 Index | September 17, 2010 | 17,454,798 | 16,333,961 | (1,120,837) | ||||||||
83 | FTSE/MIB Index | September 17, 2010 | 10,394,575 | 9,817,782 | (576,793) | ||||||||
45 | IBEX 35 Index | July 16, 2010 | 5,270,589 | 5,064,261 | (206,328) | ||||||||
3 | MSCI SING Index | July 29, 2010 | 144,751 | 144,115 | (636) | ||||||||
114 | S&P500 EMINI | September 17, 2010 | 6,249,753 | 5,851,620 | (398,133) | ||||||||
(4,364,662) | |||||||||||||
Short Contracts: | |||||||||||||
71 | HANG SENG Index | July 29, 2010 | (9,470,450) | (9,153,893) | 316,557 | ||||||||
25 | OMXS30 Index | July 16, 2010 | (334,174) | (323,186) | 10,988 | ||||||||
48 | S&P/TSX 60 Index | September 16, 2010 | (6,189,593) | (5,944,597) | 244,996 | ||||||||
236 | SPI 200 FUT | September 16, 2010 | (22,511,455) | (21,166,499) | 1,344,956 | ||||||||
19 | Swiss Market Index | September 17, 2010 | (1,139,194) | (1,074,584) | 64,610 | ||||||||
79 | TOPIX Index | September 9, 2010 | (7,654,639) | (7,492,111) | 162,528 | ||||||||
2,144,635 | |||||||||||||
$ | (2,220,027) | ||||||||||||
Cash held as collateral with broker for futures contracts was $12,069,627 at June 30, 2010.
Forward foreign currency exchange contracts outstanding as of June 30, 2010:
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Australian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | AUD | 21,458,000 | $ | 18,404,358 | $ | 17,893,373 | $ | (510,985) | ||||||
Canadian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | CAD | 727,000 | 690,409 | 682,556 | (7,853) | |||||||||
Swiss Franc, Expiring 09/15/10 | The Royal Bank of Scotland | CHF | 21,754,000 | 19,093,679 | 20,212,578 | 1,118,899 | |||||||||
Danish Krone, Expiring 09/15/10 | The Royal Bank of Scotland | DKK | 1,674,000 | 276,782 | 274,881 | (1,901) | |||||||||
Euro, Expiring 09/15/10 | The Royal Bank of Scotland | EUR | 4,898,000 | 6,036,807 | 5,992,143 | (44,664) | |||||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | 11,320,000 | 16,561,590 | 16,912,544 | 350,954 | |||||||||
Hong Kong Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | HKD | 4,612,000 | 593,262 | 592,597 | (665) | |||||||||
Japanese Yen, Expiring 09/15/10 | The Royal Bank of Scotland | JPY | 2,044,958,000 | 22,523,163 | 23,159,830 | 636,667 | |||||||||
Norweign Krona, Expiring 09/15/10 | The Royal Bank of Scotland | NOK | 242,019,000 | 37,232,183 | 37,040,468 | (191,715) | |||||||||
New Zealand Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | NZD | 4,124,000 | 2,817,119 | 2,812,097 | (5,022) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 29 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
(continued) | ||||||||||||
Swedish Krona, Expiring 09/15/10 | The Royal Bank of Scotland | SEK | 207,997,000 | $26,519,706 | $26,674,410 | $154,704 | ||||||
Singapore Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | SGD | 330,000 | 234,788 | 235,900 | 1,112 | ||||||
$150,983,846 | $152,483,377 | $1,499,531 | ||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Australian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | AUD | (14,935,000) | $(12,489,597) | $(12,453,981) | $35,616 | ||||||
Canadian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | CAD | (16,410,000) | (15,767,164) | (15,406,797) | 360,367 | ||||||
Swiss Franc, Expiring 09/15/10 | The Royal Bank of Scotland | CHF | (12,052,000) | (10,687,015) | (11,198,032) | (511,017) | ||||||
Danish Krone, Expiring 09/15/10 | The Royal Bank of Scotland | DKK | (7,501,000) | (1,235,907) | (1,231,712) | 4,195 | ||||||
Euro, Expiring 09/15/10 | The Royal Bank of Scotland | EUR | (38,296,000) | (46,963,331) | (46,850,781) | 112,550 | ||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | (1,418,000) | (2,127,782) | (2,118,550) | 9,232 | ||||||
Hong Kong Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | HKD | (455,000) | (58,461) | (58,463) | (2) | ||||||
Japanese Yen, Expiring 09/15/10 | The Royal Bank of Scotland | JPY | (800,550,000) | (8,785,040) | (9,066,495) | (281,455) | ||||||
Norweign Krona, Expiring 09/15/10 | The Royal Bank of Scotland | NOK | (14,192,000) | (2,183,328) | (2,172,054) | 11,274 | ||||||
New Zealand Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | NZD | (6,784,000) | (4,677,833) | (4,625,913) | 51,920 | ||||||
Swedish Krona, Expiring 09/15/10 | The Royal Bank of Scotland | SEK | (61,542,000) | (7,723,832) | (7,892,405) | (168,573) | ||||||
Singapore Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | SGD | (90,000) | (64,788) | (64,339) | 449 | ||||||
$(112,764,078) | $(113,139,522) | $(375,444) | ||||||||||
$38,219,768 | $39,343,855 | $1,124,087 | ||||||||||
Money Market fund investment is pledged at the broker for forward foreign exchange contracts in the amount of $450,000.
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norweign Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 30 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
COMMON STOCKS - 87.0% | SHARES | VALUE (Note 3) | |||
Australia - 7.1% | |||||
Amcor Ltd. | 102,206 | $ | 544,717 | ||
Ansell Ltd. | 64,863 | 711,639 | |||
Arrow Energy Ltd. † | 22,531 | 91,195 | |||
ASX Ltd. | 5,817 | 141,901 | |||
Australia & New Zealand Banking Group Ltd. | 141,708 | 2,545,275 | |||
AWB Ltd. † | 40,693 | 31,092 | |||
AXA Asia Pacific Holdings Ltd. | 35,273 | 161,373 | |||
BHP Billiton Ltd. | 105,479 | 3,281,409 | |||
Boral Ltd. | 155,322 | 622,167 | |||
Brambles Ltd. | 75,294 | 342,895 | |||
Caltex Australia Ltd. | 34,168 | 268,090 | |||
Centennial Coal Co. Ltd. | 67,846 | 250,662 | |||
CFS Retail Property Trust REIT | 69,740 | 110,234 | |||
Challenger Financial Services Group Ltd. | 302,767 | 882,819 | |||
Commonwealth Bank of Australia | 61,466 | 2,484,920 | |||
Computershare Ltd. | 15,439 | 136,538 | |||
Dexus Property Group REIT | 136,404 | 87,528 | |||
DUET Group | 122,136 | 165,028 | |||
Fairfax Media Ltd. (e) | 170,460 | 186,255 | |||
Felix Resources Ltd. (a)(3)*† | 592 | 41 | |||
Flight Centre Ltd. | 15,121 | 209,196 | |||
Foster’s Group Ltd. | 122,175 | 578,687 | |||
Goodman Group REIT | 193,631 | 102,414 | |||
GPT Group †(a)(3) | 143,427 | — | |||
GPT Group REIT | 58,413 | 136,386 | |||
Incitec Pivot Ltd. | 51,736 | 117,005 | |||
Insurance Australia Group Ltd. | 128,247 | 364,810 | |||
Intoll Group | 25,619 | 22,322 | |||
Lend Lease Group | 21,131 | 128,681 | |||
Mirvac Group REIT | 88,938 | 97,129 | |||
National Australia Bank Ltd. | 93,070 | 1,799,440 | |||
Newcrest Mining Ltd. | 16,024 | 467,525 | |||
Origin Energy Ltd. | 33,140 | 413,445 | |||
Paladin Energy Ltd. † | 24,740 | 73,667 | |||
QBE Insurance Group Ltd. | 22,397 | 339,854 | |||
Ramsay Health Care Ltd. | 4,025 | 47,348 | |||
Rio Tinto Ltd. | 19,822 | 1,090,100 | |||
SP AusNet | 146,652 | 94,160 | |||
Stockland REIT | 89,584 | 278,035 | |||
Suncorp-Metway Ltd. | 158,352 | 1,059,404 | |||
TABCORP Holdings Ltd. | 143,767 | 761,933 | |||
Tatts Group Ltd. | 363,919 | 682,352 | |||
Telstra Corp., Ltd. | 519,616 | 1,416,344 | |||
Transurban Group | 37,755 | 134,018 | |||
Wesfarmers Ltd. | 52,275 | 1,249,903 | |||
West Australian Newspapers Holdings Ltd. (e) | 27,341 | 148,677 | |||
Westfield Group REIT | 82,200 | 835,297 | |||
Westpac Banking Corp. | 76,995 | 1,357,151 | |||
27,051,061 | |||||
Belgium - 0.7% | |||||
Anheuser-Busch InBev NV | 24,874 | 1,195,976 | |||
Bekaert NV | 1,308 | 218,065 | |||
Groupe Bruxelles Lambert SA | 2,641 | 183,133 |
SHARES | VALUE (Note 3) | ||||
Belgium - 0.7% (continued) | |||||
KBC Groep NV † | 24,077 | $ | 922,879 | ||
2,520,053 | |||||
China - 0.1% | |||||
Foxconn International Holdings Ltd. † | 69,406 | 44,933 | |||
Sands China Ltd. | 72,000 | 106,415 | |||
Yangzijiang Shipbuilding Holdings Ltd. | 63,319 | 60,394 | |||
211,742 | |||||
Denmark - 1.6% | |||||
AP Moller - Maersk A/S | 62 | 488,301 | |||
Coloplast A/S Class B | 7,590 | 753,378 | |||
Danisco A/S | 11,742 | 790,145 | |||
Danske Bank A/S † | 58,094 | 1,117,869 | |||
Novo Nordisk A/S Class B | 36,861 | 2,978,101 | |||
6,127,794 | |||||
Finland - 1.1% | |||||
Fortum Oyj | 18,205 | 399,613 | |||
Kesko Oyj Class B | 6,176 | 199,771 | |||
Kone Oyj Class B | 23,010 | 916,152 | |||
Nokia Oyj | 57,934 | 472,210 | |||
Stora Enso Oyj | 151,626 | 1,095,611 | |||
UPM-Kymmene Oyj | 56,510 | 748,155 | |||
Wartsila Oyj | 8,349 | 379,645 | |||
4,211,157 | |||||
France - 7.4% | |||||
Atos Origin SA † | 5,536 | 222,287 | |||
BNP Paribas | 55,303 | 2,975,351 | |||
Bouygues SA † | 12,012 | 463,682 | |||
Christian Dior SA | 13,165 | 1,263,607 | |||
CNP Assurances | 3,143 | 213,829 | |||
Compagnie de Saint-Gobain (e) | 26,079 | 971,824 | |||
Compagnie Generale des Etablissements Michelin Class B | 31,858 | 2,219,623 | |||
Compagnie Generale de Geophysique-Veritas † | 35,422 | 630,155 | |||
Eutelsat Communications | 16,335 | 546,858 | |||
Imerys SA | 2,602 | 132,403 | |||
JC Decaux SA | 9,016 | 210,070 | |||
Klepierre REIT (e) | 3,675 | 101,537 | |||
Legrand SA | 27,777 | 823,342 | |||
L’Oreal SA | 7,903 | 773,785 | |||
LVMH Moet Hennessy Louis Vuitton SA | 10,866 | 1,182,689 | |||
M6 Metropole Television SA | 32,413 | 655,425 | |||
Natixis † | 155,909 | 677,028 | |||
PPR | 11,621 | 1,443,599 | |||
Safran SA | 31,547 | 880,014 | |||
Sanofi-Aventis | 15,188 | 914,734 | |||
Schneider Electric SA | 21,180 | 2,139,184 | |||
Societe BIC SA | 14,337 | 1,018,246 | |||
Suez SA †(a)(3) | 7,680 | — | |||
Technip SA | 5,191 | 297,735 | |||
Thales SA | 21,616 | 697,854 | |||
Total SA | 97,548 | 4,354,436 | |||
Unibail-Rodamco SE (e) | 3,619 | 589,834 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 31 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
France - 7.4% (continued) | |||||
Vinci SA | 11,314 | $ | 469,777 | ||
Vivendi SA | 73,040 | 1,484,328 | |||
28,353,236 | |||||
Germany - 7.2% | |||||
Adidas AG | 19,420 | 940,219 | |||
Allianz SE | 26,392 | 2,612,111 | |||
BASF SE | 52,237 | 2,854,255 | |||
Bayer AG | 44,338 | 2,477,676 | |||
Continental AG † | 7,711 | 400,274 | |||
Daimler AG † | 30,620 | 1,548,931 | |||
Deutsche Bank AG | 38,584 | 2,167,238 | |||
Deutsche Boerse AG | 5,256 | 319,321 | |||
Deutsche Post AG (e) | 82,320 | 1,200,239 | |||
E.ON AG | 40,607 | 1,091,852 | |||
GEA Group AG | 8,131 | 161,831 | |||
Hannover Rueckversicherung-Gesellschaft AG | 61,445 | 2,633,258 | |||
Henkel AG & Co. KGaA | 16,446 | 803,073 | |||
Infineon Technologies AG † | 158,479 | 918,769 | |||
RWE AG | 13,691 | 895,885 | |||
Salzgitter AG | 10,803 | 643,791 | |||
Siemens AG | 40,798 | 3,648,970 | |||
Suedzucker AG (e) | 20,196 | 364,890 | |||
ThyssenKrupp AG | 52,309 | 1,289,062 | |||
United Internet AG | 22,641 | 247,924 | |||
Volkswagen AG | 4,969 | 429,838 | |||
27,649,407 | |||||
Hong Kong - 2.1% | |||||
ASM Pacific Technology Ltd. | 6,404 | 49,751 | |||
BOC Hong Kong Holdings Ltd. | 250,553 | 570,625 | |||
Cheung Kong Holdings Ltd. | 69,278 | 799,523 | |||
Cheung Kong Infrastructure Holdings Ltd. | 14,827 | 54,924 | |||
Chinese Estates Holdings Ltd. † | 157 | 277 | |||
CLP Holdings Ltd. | 90,009 | 651,494 | |||
Esprit Holdings Ltd. | 56,828 | 305,244 | |||
Hang Lung Group Ltd. | 30,276 | 163,162 | |||
Hang Seng Bank Ltd. | 3,688 | 49,310 | |||
Hong Kong & China Gas Co., Ltd. | 19 | 47 | |||
Hong Kong Exchanges and Clearing Ltd. | 38,454 | 599,747 | |||
Hopewell Holdings Ltd. | 27,262 | 76,995 | |||
Hutchison Whampoa Ltd. | 73,832 | 454,368 | |||
Hysan Development Co., Ltd. | 120,000 | 339,224 | |||
Industrial & Commercial Bank of China Ltd. | 918 | 2,431 | |||
Kerry Properties Ltd. | 50,000 | 216,047 | |||
Li & Fung Ltd. | 85,668 | 383,277 | |||
Lifestyle International Holdings Ltd. | 20,500 | 39,664 | |||
Link REIT | 81,382 | 201,939 | |||
Mongolia Energy Co. Ltd. † | 95,406 | 33,192 | |||
Neo-China Land Group Holdings Ltd. † | 8 | 3 | |||
New World Development Ltd. | 88,896 | 144,318 | |||
NWS Holdings Ltd. | 26,000 | 46,993 | |||
Orient Overseas International Ltd. | 50,000 | 357,417 | |||
PCCW Ltd. | 131,000 | 38,216 | |||
Sun Hung Kai Properties Ltd. | 37,046 | 506,641 | |||
Swire Pacific Ltd. | 27,030 | 306,824 | |||
Television Broadcasts Ltd. | 72,403 | 335,743 |
SHARES | VALUE (Note 3) | ||||
Hong Kong - 2.1% (continued) | |||||
Wharf Holdings Ltd. | 121,243 | $ | 587,370 | ||
Wheelock & Co. Ltd. | 108,621 | 306,215 | |||
Yue Yuen Industrial Holdings Ltd. | 119,109 | 369,697 | |||
7,990,678 | |||||
Italy - 1.9% | |||||
Autogrill SpA † | 42,536 | 508,581 | |||
ENI SpA | 216,281 | 3,970,078 | |||
Intesa Sanpaolo SpA | 168,549 | 443,908 | |||
Mediaset SpA | 140,579 | 799,422 | |||
Parmalat Finanziaria SpA †(a)(3) | 45,800 | — | |||
Pirelli & C SpA | 626,333 | 344,919 | |||
Prysmian SpA | 15,902 | 228,228 | |||
UniCredit SpA | 383,127 | 847,493 | |||
7,142,629 | |||||
Japan - 20.1% | |||||
Aeon Co., Ltd. | 108,400 | 1,147,016 | |||
Aeon Mall Co., Ltd. | 2,900 | 57,451 | |||
Aisin Seiki Co., Ltd. | 28,600 | 769,985 | |||
Alfresa Holdings Corp. | 29 | 1,402 | |||
Asahi Glass Co., Ltd. | 68,413 | 642,387 | |||
Asahi Kasei Corp. | 48,000 | 250,769 | |||
Asics Corp. | 319 | 2,921 | |||
Astellas Pharma, Inc. | 24,897 | 834,192 | |||
Bank of Yokohama Ltd. | 39,142 | 179,054 | |||
Canon Marketing Japan, Inc. | 6 | 84 | |||
Canon, Inc. | 42,615 | 1,588,238 | |||
Central Glass Co., Ltd. | 67 | 264 | |||
Central Japan Railway Co. | 120 | 990,822 | |||
Chubu Electric Power Co., Inc. | 38,797 | 962,802 | |||
Circle K Sunkus Co., Ltd. | 12 | 154 | |||
Citizen Holdings Co., Ltd. | 38,800 | 237,026 | |||
Comsys Holdings Corp. | 26 | 233 | |||
Credit Saison Co. Ltd. | 55,212 | 577,848 | |||
Dai Nippon Printing Co., Ltd. | 27,861 | 321,552 | |||
Daicel Chemical Industries Ltd. | 33,000 | 222,638 | |||
Daiei, Inc. † | 31 | 128 | |||
Daifuku Co., Ltd. | 255 | 1,565 | |||
Daiichi Sankyo Co., Ltd. | 32,600 | 582,428 | |||
Daito Trust Construction Co. Ltd. | 2,787 | 157,824 | |||
Daiwa House Industry Co., Ltd. | 17,295 | 155,589 | |||
Denki Kagaku Kogyo Kabushiki Kaisha | 44,000 | 204,801 | |||
Doutor Nichires Holdings Co., Ltd. | 5 | 67 | |||
Dowa Holdings Co. Ltd. | 69,818 | 334,501 | |||
East Japan Railway Co. | 28,813 | 1,918,530 | |||
Ebara Corp. † | 67,983 | 288,939 | |||
FamilyMart Co. Ltd. | 57 | 1,882 | |||
Fuji Electric Holdings Co., Ltd. | 138,000 | 397,349 | |||
Fuji Heavy Industries Ltd. † | 198,721 | 1,064,564 | |||
Fuji Media Holdings, Inc. | 17 | 24,407 | |||
Fujifilm Holdings Corp. | 33,543 | 969,375 | |||
Fujikura Ltd. | 167,188 | 728,280 | |||
Fujitsu Ltd. | 289,635 | 1,810,456 | |||
Fukuoka Financial Group, Inc. | 133,046 | 553,822 | |||
Funai Electric Co. Ltd. | 11,667 | 418,825 | |||
Glory Ltd. | 3 | 65 | |||
Hino Motors Ltd. | 62,000 | 305,695 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 32 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
Japan - 20.1% (continued) | |||||
Hitachi Capital Corp. | 6,610 | $ | 87,901 | ||
Hitachi Chemical Co., Ltd. | 10,589 | 196,724 | |||
Hitachi High-Technologies Corp. | 19,906 | 365,691 | |||
Hitachi Ltd. † | 49,000 | 177,983 | |||
Hokuhoku Financial Group, Inc. | 168,812 | 310,109 | |||
Honda Motor Co., Ltd. (1) | 42,697 | 1,254,132 | |||
Hoya Corp. | 21,563 | 458,811 | |||
IHI Corp. | 268,000 | 426,474 | |||
Inpex Corp. | 63 | 349,430 | |||
Itochu Corp. | 62,444 | 488,154 | |||
Itochu Techno-Solutions Corp. | 7,900 | 288,691 | |||
Japan Real Estate Investment Corp. REIT | 17 | 138,475 | |||
Japan Retail Fund Investment Corp. REIT | 48 | 58,461 | |||
Japan Tobacco, Inc. | 98 | 304,887 | |||
JFE Holdings, Inc. | 20,447 | 632,569 | |||
JGC Corp. | 43,936 | 666,695 | |||
JS Group Corp. | 4,300 | 82,078 | |||
JTEKT Corp. | 67,170 | 621,200 | |||
JX Holdings, Inc. (1)† | 84,695 | 418,614 | |||
Kaken Pharmaceutical Co., Ltd. | 6,918 | 68,729 | |||
Kandenko Co., Ltd. | 894 | 5,290 | |||
Kaneka Corp. | 130,625 | 757,788 | |||
Kansai Electric Power Co., Inc. | 19,132 | 466,596 | |||
Kansai Paint Co., Ltd. | 94,291 | 809,385 | |||
Kao Corp. | 15,185 | 357,286 | |||
KDDI Corp. | 255 | 1,215,505 | |||
Keisei Electric Railway Co., Ltd. | 17,000 | 95,046 | |||
Kinden Corp. | 43,564 | 370,965 | |||
Koito Manufacturing Co., Ltd. | 16,000 | 235,613 | |||
Komatsu Ltd. | 6,685 | 120,371 | |||
Konica Minolta Holdings, Inc. | 46,500 | 447,343 | |||
Kose Corp. | 14 | 329 | |||
Kuraray Co., Ltd. | 65,000 | 762,553 | |||
Makita Corp. | 13,900 | 371,964 | |||
Marubeni Corp. | 52,974 | 271,566 | |||
Miraca Holdings, Inc. | 43,106 | 1,290,248 | |||
Mitsubishi Corp. | 59,502 | 1,231,004 | |||
Mitsubishi Electric Corp. | 54,000 | 421,466 | |||
Mitsubishi Estate Co., Ltd. | 46,020 | 640,675 | |||
Mitsubishi Gas Chemical Co., Inc. | 24 | 116 | |||
Mitsubishi UFJ Financial Group, Inc. | 505,991 | 2,297,558 | |||
Mitsui & Co., Ltd. | 147,343 | 1,718,873 | |||
Mitsui Chemicals, Inc. | 103,211 | 288,447 | |||
Mitsui Engineering & Shipbuilding Co., Ltd. | 265,509 | 536,273 | |||
Mitsui Fudosan Co., Ltd. | 28,205 | 392,570 | |||
Mitsui Mining & Smelting Co., Ltd. | 109,000 | 287,655 | |||
Mitsumi Electric Co., Ltd. | 39,589 | 671,601 | |||
Mizuho Financial Group, Inc. | 10 | 16 | |||
Mizuho Securities Co., Ltd. | 258,185 | 575,629 | |||
Mochida Pharmaceutical Co., Ltd. | 212 | 2,021 | |||
Musashino Bank Ltd. | 58 | 1,665 | |||
NHK Spring Co., Ltd. | 34,196 | 312,791 | |||
Nintendo Co., Ltd. | 13 | 3,817 | |||
Nippon Building Fund, Inc. REIT | 19 | 150,756 | |||
Nippon Electric Glass Co., Ltd. | 100,000 | 1,145,454 | |||
Nippon Kayaku Co., Ltd. | 30,000 | 256,536 | |||
Nippon Meat Packers, Inc. | 12,000 | 148,125 |
SHARES | VALUE (Note 3) | ||||
Japan - 20.1% (continued) | |||||
Nippon Paper Group, Inc. | 14,900 | $ | 412,420 | ||
Nippon Shokubai Co., Ltd. | 51,000 | 483,772 | |||
Nippon Telegraph & Telephone Corp. | 19,019 | 774,756 | |||
Nippon Television Network Corp. | 1,300 | 178,414 | |||
Nishi-Nippon City Bank Ltd. | 80,737 | 231,222 | |||
Nissan Motor Co., Ltd. † | 183,755 | 1,280,494 | |||
Nissan Shatai Co., Ltd. | 8,403 | 55,053 | |||
Nisshin Seifun Group, Inc. | 49,084 | 554,221 | |||
Nitto Denko Corp. | 11,783 | 386,522 | |||
NKSJ Holdings, Inc. (1) | 360 | 2,154 | |||
Nomura Holdings, Inc. | 55,113 | 301,109 | |||
Nomura Real Estate Holdings, Inc. | 3,300 | 41,300 | |||
Nomura Real Estate Office Fund, Inc. REIT | 10 | 49,783 | |||
NTT Data Corp. | 281 | 1,037,224 | |||
NTT DoCoMo, Inc. | 709 | 1,073,631 | |||
Obic Co., Ltd. | 750 | 144,770 | |||
OJI Paper Co., Ltd. | 48,000 | 235,341 | |||
Okinawa Electric Power Co., Inc. | 1,053 | 53,363 | |||
Omron Corp. | 14,937 | 325,618 | |||
ORIX Corp. | 3,669 | 265,800 | |||
Osaka Gas Co., Ltd. | 237,802 | 857,743 | |||
Otsuka Corp. | 1,700 | 108,344 | |||
Panasonic Electric Works Co., Ltd. | 19,000 | 186,759 | |||
Point, Inc. | 1 | 55 | |||
Promise Co., Ltd. | 24,633 | 165,958 | |||
Rengo Co., Ltd. | 63,299 | 399,438 | |||
Resona Holdings, Inc. | 70 | 854 | |||
Sankyo Co., Ltd. | 24 | 1,085 | |||
SBI Holdings, Inc. | 600 | 74,538 | |||
Secom Co., Ltd. | 2,273 | 100,935 | |||
Sega Sammy Holdings, Inc. | 24,000 | 344,751 | |||
Seino Holdings Corp. | 111,837 | 769,617 | |||
Sekisui Chemical Co., Ltd. | 32,000 | 199,611 | |||
Sekisui House Ltd. | 19,000 | 162,498 | |||
Seven & I Holdings Co., Ltd. | 22,639 | 518,689 | |||
Shimamura Co., Ltd. | 4,600 | 415,920 | |||
Shinko Electric Industries Co., Ltd. | 8,488 | 110,305 | |||
Sojitz Corp. | 89,062 | 139,189 | |||
Sony Corp. | 71,471 | 1,906,346 | |||
Stanley Electric Co., Ltd. | 43 | 712 | |||
Sumitomo Bakelite Co., Ltd. | 263 | 1,287 | |||
Sumitomo Corp. | 42,000 | 419,454 | |||
Sumitomo Electric Industries Ltd. | 77,054 | 897,982 | |||
Sumitomo Heavy Industries Ltd. | 198,000 | 1,161,773 | |||
Sumitomo Metal Mining Co., Ltd. | 179 | 2,233 | |||
Sumitomo Mitsui Financial Group, Inc. | 22,036 | 623,671 | |||
Sumitomo Realty & Development Co., Ltd. | 13,261 | 225,330 | |||
Sumitomo Trust & Banking Co., Ltd. | 27,075 | 137,843 | |||
Sysmex Corp. | 2,600 | 147,664 | |||
Takeda Pharmaceutical Co., Ltd. | 59,281 | 2,546,275 | |||
TDK Corp. | 3,904 | 213,636 | |||
Toho Co., Ltd. | 4,000 | 66,314 | |||
Toho Gas Co., Ltd. | 94,627 | 504,753 | |||
Tokai Rika Co., Ltd. | 50,699 | 876,985 | |||
Tokio Marine Holdings, Inc. | 15,500 | 407,493 | |||
Tokuyama Corp. | 340 | 1,497 | |||
Tokyo Gas Co., Ltd. | 241,071 | 1,100,522 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 33 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
Japan - 20.1% (continued) | |||||
Tokyo Steel Manufacturing Co., Ltd. | 13,945 | $ | 161,208 | ||
Tokyo Tatemono Co., Ltd. | 14,000 | 43,144 | |||
Tokyu Land Corp. | 26,483 | 92,576 | |||
Toppan Printing Co., Ltd. | 15,000 | 118,614 | |||
Toshiba Corp. † | 60,341 | 298,904 | |||
Toyo Seikan Kaisha Ltd. | 19,761 | 288,356 | |||
Toyo Suisan Kaisha Ltd. | 24,370 | 581,653 | |||
Toyota Auto Body Co., Ltd. | 57 | 713 | |||
Toyota Motor Corp. | 74,453 | 2,558,106 | |||
Toyota Tsusho Corp. | 10,710 | 152,656 | |||
USS Co., Ltd. | 10,494 | 749,632 | |||
West Japan Railway Co. | 82 | 299,863 | |||
Yamada Denki Co., Ltd. | 20,730 | 1,354,493 | |||
Yamaguchi Financial Group, Inc. | 17,652 | 168,701 | |||
Yamaha Corp. | 18,600 | 189,925 | |||
Yamatake Corp. | 4,437 | 103,194 | |||
Yamato Holdings Co., Ltd. | 24,460 | 323,741 | |||
Yamato Kogyo Co., Ltd. | 16,337 | 407,207 | |||
Yokogawa Electric Corp. | 33,711 | 208,668 | |||
76,549,014 | |||||
Luxembourg - 0.5% | |||||
ArcelorMittal (e) | 38,499 | 1,032,614 | |||
SES | 16,676 | 346,804 | |||
Tenaris SA | 30,154 | 520,091 | |||
1,899,509 | |||||
Netherlands - 3.9% | |||||
Brit Insurance Holdings NV | 35,624 | 479,892 | |||
Corio NV REIT | 2,174 | 105,572 | |||
ING Groep NV † | 120,799 | 893,977 | |||
Koninklijke Boskalis Westminster NV | 12,902 | 501,295 | |||
Koninklijke DSM NV | 34,449 | 1,369,419 | |||
Koninklijke Philips Electronics NV | 56,802 | 1,696,229 | |||
Royal Dutch Shell PLC Class A | 134,779 | 3,401,287 | |||
Royal Dutch Shell PLC Class B | 119,649 | 2,891,998 | |||
TNT NV | 70,700 | 1,780,732 | |||
Unilever NV | 59,667 | 1,629,462 | |||
14,749,863 | |||||
New Zealand - 0.0% (b) | |||||
Telecom Corp. of New Zealand Ltd. | 78,357 | 100,541 | |||
Singapore - 1.5% | |||||
Ascendas REIT | 49,637 | 64,103 | |||
CapitaMall Trust REIT | 71,994 | 93,859 | |||
CapitaMalls Asia Ltd. | 47,000 | 70,271 | |||
ComfortDelgro Corp., Ltd. | 68 | 71 | |||
DBS Group Holdings Ltd. | 81,128 | 787,338 | |||
Fraser and Neave Ltd. | 153,000 | 559,480 | |||
Golden Agri-Resources Ltd. | 755,000 | 283,042 | |||
Haw Par Corp., Ltd. | 2,960 | 12,121 | |||
Jardine Cycle & Carriage Ltd. | 15,066 | 320,612 | |||
Keppel Corp., Ltd. | 103,571 | 625,317 | |||
K-Green Trust (1)† | 20,714 | 15,543 | |||
Neptune Orient Lines Ltd. | 184,000 | 259,890 | |||
Oversea-Chinese Banking Corp., Ltd. | 70,479 | 443,814 |
SHARES | VALUE (Note 3) | ||||
Singapore - 1.5% (continued) | |||||
Pacific Century Regional Developments Ltd. | 410 | $ | 51 | ||
SembCorp Industries Ltd. | 32,017 | 92,588 | |||
SembCorp Marine Ltd. | 80,000 | 218,618 | |||
Singapore Exchange Ltd. | 29,472 | 154,558 | |||
Singapore Technologies Engineering Ltd. | 63,265 | 147,897 | |||
Singapore Telecommunications Ltd. | 304,524 | 658,355 | |||
StarHub Ltd. | 1,988 | 3,196 | |||
United Overseas Bank Ltd. | 74,097 | 1,030,828 | |||
UOL Group Ltd. | 18,000 | 48,481 | |||
5,890,033 | |||||
Spain - 3.6% | |||||
Banco Bilbao Vizcaya Argentaria SA | 230,520 | 2,375,036 | |||
Banco Santander SA | 466,159 | 4,888,945 | |||
Endesa SA (e) | 74,446 | 1,582,490 | |||
Industria de Diseno Textil SA | 14,424 | 822,478 | |||
Repsol YPF SA | 34,941 | 705,114 | |||
Tecnicas Reunidas SA | 37,005 | 1,682,897 | |||
Telefonica SA | 85,076 | 1,576,010 | |||
13,632,970 | |||||
Sweden - 3.8% | |||||
Atlas Copco AB Class A | 35,220 | 514,940 | |||
Boliden AB | 8,356 | 92,356 | |||
Electrolux AB Series B | 137,849 | 3,151,341 | |||
Hennes & Mauritz AB | 26,832 | 737,407 | |||
Husqvarna AB | 20,795 | 125,049 | |||
Investor AB | 19,364 | 313,237 | |||
Nordea Bank AB | 106,141 | 875,256 | |||
Svenska Cellulosa AB | 59,223 | 696,542 | |||
Tele2 AB Class B | 230,706 | 3,446,866 | |||
Telefonaktiebolaget LM Ericsson B Shares | 248,421 | 2,755,541 | |||
TeliaSonera AB | 167,696 | 1,077,556 | |||
Volvo AB † | 58,238 | 644,043 | |||
14,430,134 | |||||
Switzerland - 7.9% | |||||
ABB Ltd. † | 198,004 | 3,447,369 | |||
Clariant AG † | 109,746 | 1,389,648 | |||
Compagnie Financiere Richemont SA Class A | 29,763 | 1,039,094 | |||
Credit Suisse Group AG | 11,835 | 444,963 | |||
Nestle SA | 172,048 | 8,295,955 | |||
Novartis AG | 150,023 | 7,270,585 | |||
Roche Holding AG | 34,322 | 4,724,139 | |||
Schindler Holding AG | 15,249 | 1,285,283 | |||
Sulzer AG | 14,633 | 1,364,889 | |||
Swiss Life Holding AG † | 3,464 | 331,064 | |||
Xstrata PLC | 46,411 | 607,736 | |||
30,200,725 | |||||
United Kingdom - 16.5% | |||||
Amlin PLC | 33,798 | 194,523 | |||
Anglo American PLC † | 11,957 | 416,643 | |||
AstraZeneca PLC | 48,714 | 2,296,660 | |||
Atkins WS PLC | 27,445 | 277,943 | |||
Autonomy Corp. PLC † | 8,137 | 221,801 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 34 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 3) | ||||
United Kingdom - 16.5% (continued) | |||||
Aviva PLC | 391,361 | $ | 1,818,727 | ||
Barclays PLC | 314,332 | 1,254,656 | |||
Berkeley Group Holdings PLC † | 31,072 | 352,547 | |||
BHP Billiton PLC | 78,691 | 2,040,341 | |||
BP PLC | 774,637 | 3,708,313 | |||
Bradford & Bingley PLC †(a) | 185,220 | — | |||
British American Tobacco PLC | 100,364 | 3,185,130 | |||
British Land Co. PLC REIT | 29,205 | 188,648 | |||
BT Group PLC | 975,377 | 1,882,765 | |||
Burberry Group PLC | 96,503 | 1,089,866 | |||
Cairn Energy PLC † | 51,882 | 318,732 | |||
Centrica PLC | 436,368 | 1,925,699 | |||
Compass Group PLC | 56,929 | 433,086 | |||
Cookson Group PLC † | 118,053 | 678,595 | |||
Daily Mail & General Trust PLC | 149,459 | 972,822 | |||
GlaxoSmithKline PLC | 63,075 | 1,071,067 | |||
HSBC Holdings PLC | 492,939 | 4,503,341 | |||
IMI PLC | 150,292 | 1,531,288 | |||
Imperial Tobacco Group PLC | 56,552 | 1,580,100 | |||
International Personal Finance PLC | 39,738 | 112,400 | |||
Investec PLC | 211,576 | 1,423,705 | |||
Kazakhmys PLC | 12,607 | 185,057 | |||
Kesa Electricals PLC | 224,210 | 405,912 | |||
Kingfisher PLC | 412,950 | 1,293,591 | |||
Land Securities Group PLC REIT | 24,126 | 199,660 | |||
Lloyds Banking Group PLC † | 3,997,269 | 3,155,711 | |||
Logica PLC | 128,230 | 207,982 | |||
Mondi PLC | 342,387 | 1,948,461 | |||
National Grid PLC | 48,329 | 352,848 | |||
Next PLC | 15,743 | 469,369 | |||
Old Mutual PLC | 355,747 | 544,665 | |||
Pearson PLC | 104,669 | 1,376,582 | |||
Persimmon PLC † | 61,445 | 318,922 | |||
Petrofac Ltd. | 43,327 | 762,249 | |||
Randgold Resources Ltd. | 3,434 | 326,464 | |||
Reed Elsevier PLC | 45,629 | 338,329 | |||
Rentokil Initial PLC † | 379,749 | 608,578 | |||
Rio Tinto PLC | 56,409 | 2,477,165 | |||
Rolls-Royce Group PLC | 83,181 | 694,294 | |||
Rolls-Royce Group PLC Class C (3)† | 7,486,290 | 11,185 | |||
Royal Bank of Scotland Group PLC † | 635,088 | 386,781 | |||
Segro PLC REIT | 49,428 | 186,365 | |||
Stagecoach Group PLC | 103,376 | 272,697 | |||
Standard Chartered PLC | 18,178 | 442,641 | |||
Tate & Lyle PLC | 291,533 | 1,947,862 | |||
Tesco PLC | 238,989 | 1,348,234 | |||
Tullow Oil PLC | 33,850 | 503,529 | |||
Unilever PLC | 96,145 | 2,570,147 | |||
Vedanta Resources PLC | 9,481 | 297,887 | |||
Vodafone Group PLC | 2,134,199 | 4,397,496 | |||
WH Smith PLC | 72,142 | 439,854 | |||
Wolseley PLC † | 12,769 | 253,463 | |||
WPP PLC | 84,853 | 799,356 | |||
63,002,734 | |||||
TOTAL COMMON STOCKS | 331,713,280 | ||||
SHARES | VALUE (Note 3) | ||||||
MONEY MARKET FUNDS- 9.5% | |||||||
Dreyfus Institutional Cash Advantage Fund, 0.19% (c)(f) | 36,361,014 | 36,361,014 | |||||
(cost $36,361,014; includes $5,577,906 of cash collateral received for securities on loan) | |||||||
OTHER INVESTMENTS - 0.0% (b)(3) | PAR VALUE | ||||||
Commercial Paper - 0.0% (b)(3) | |||||||
United States - 0.0% (b)(3) | |||||||
Lehman Commercial Paper, Inc., | 453,006 | 88,336 | |||||
TOTAL INVESTMENTS - 96.5% | 368,162,630 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.5% (d) | 13,245,292 | ||||||
NET ASSETS - 100.0% | $ | 381,407,922 | |||||
INDUSTRY | VALUE | | % OF NET ASSETS | | |||
Automobiles & Components | $ | 13,352,732 | 3.5 | % | |||
Banks | 40,442,541 | 10.6 | |||||
Capital Goods | 39,494,180 | 10.4 | |||||
Commercial & Professional Services | 2,788,764 | 0.7 | |||||
Consumer Durables & Apparel | 13,058,996 | 3.4 | |||||
Consumer Services | 2,701,630 | 0.7 | |||||
Diversified Financials | 9,701,376 | 2.6 | |||||
Energy | 25,644,950 | 6.7 | |||||
Food & Staples Retailing | 4,496,742 | 1.2 | |||||
Food, Beverage & Tobacco | 24,010,281 | 6.3 | |||||
Health Care Equipment & Services | 2,951,679 | 0.8 | |||||
Household & Personal Products | 1,934,473 | 0.5 | |||||
Insurance | 11,163,157 | 2.9 | |||||
Materials | 33,550,295 | 8.8 | |||||
Media | 8,469,807 | 2.2 | |||||
Pharmaceuticals, Biotechnology & Life Sciences | 25,766,606 | 6.8 | |||||
Real Estate | 9,276,505 | 2.5 | |||||
Retailing | 9,181,319 | 2.4 | |||||
Semiconductors & Semiconductor Equipment | 1,078,825 | 0.3 | |||||
Software & Services | 2,619,378 | 0.7 | |||||
Technology Hardware & Equipment | 12,294,681 | 3.2 | |||||
Telecommunication Services | 17,661,236 | 4.6 | |||||
Transportation | 8,913,307 | 2.3 | |||||
Utilities | 11,159,820 | 2.9 | |||||
Money Market Fund | 36,361,014 | 9.5 | |||||
Other Investments | 88,336 | 0.0 | |||||
Total Investments | 368,162,630 | 96.5 | |||||
Other Assets in Excess of Liabilities | 13,245,292 | 3.5 | |||||
Net Assets | $ | 381,407,922 | 100.0 | % | |||
† | Non-income producing security. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 35 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
(a) | Security fair valued at June 30, 2010. |
(b) | Represents less than 0.05 percent of net assets. |
(c) | Represents annualized seven–day yield as of June 30 , 2010. |
(d) | Includes appreciation (depreciation) on futures contracts and forward foreign currency exchange contracts. |
(e) | All or a portion of the security on loan. The aggregate market value of such securities is $5,141,367; cash collateral of $5,577,906 was received with which the Fund purchased a money market fund. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust.
Open futures contracts outstanding at June 30, 2010:
NUMBER OF CONTRACTS | TYPE | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Long Contracts: | ||||||||||
346 | Amsterdam Index | July 16, 2010 | $28,379,251 | $26,782,675 | $(1,596,576) | |||||
582 | CAC40 10 EURO | July 16, 2010 | 26,105,246 | 24,496,723 | (1,608,523) | |||||
58 | DAX Index | September 17, 2010 | 11,006,692 | 10,570,552 | (436,140) | |||||
71 | IBEX 35 Index | July 16, 2010 | 8,329,891 | 7,990,278 | (339,613) | |||||
160 | FTSE/MIB Index | September 17, 2010 | 20,036,083 | 18,925,846 | (1,110,237) | |||||
384 | FTSE 100 Index | September 17, 2010 | 29,922,566 | 28,001,076 | (1,921,490) | |||||
11 | MSCI SING Index | July 29, 2010 | 531,130 | 528,421 | (2,709) | |||||
(7,015,288) | ||||||||||
Short Contracts: | ||||||||||
57 | HANG SENG Index | July 29, 2010 | (7,602,769) | (7,348,900) | 253,869 | |||||
1,061 | OMXS30 Index | July 16, 2010 | (14,185,135) | (13,716,045) | 469,090 | |||||
286 | SPI 200 | September 16, 2010 | (27,289,495) | (25,650,926) | 1,638,569 | |||||
195 | Swiss Market Index | September 17, 2010 | (11,722,253) | (11,028,622) | 693,630 | |||||
195 | TOPIX Index | September 9, 2010 | (18,860,292) | (18,493,186) | 367,107 | |||||
3,422,265 | ||||||||||
$(3,593,023) | ||||||||||
Cash held as collateral with broker for futures contracts was $19,495,712 at June 30, 2010.
Forward foreign currency exchange contracts outstanding as of June 30, 2010:
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Australian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | AUD | 32,396,000 | $27,735,808 | $27,014,340 | $(721,468) | ||||||
Swiss Franc, Expiring 09/15/10 | The Royal Bank of Scotland | CHF | 4,556,200 | 3,985,024 | 4,233,362 | 248,338 | ||||||
Danish Krone, Expiring 09/15/10 | The Royal Bank of Scotland | DKK | 3,102,000 | 504,721 | 509,368 | 4,647 | ||||||
Euro, Expiring 09/15/10 | The Royal Bank of Scotland | EUR | 7,289,000 | 8,964,194 | 8,917,259 | (46,935) | ||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | 11,695,300 | 17,124,215 | 17,473,258 | 349,043 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 36 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
(continued) | |||||||||||||||
Hong Kong Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | HKD | 15,577,000 | $ | 2,003,637 | $ | 2,001,491 | $ | (2,146) | ||||||
Japanese Yen, Expiring 09/15/10 | The Royal Bank of Scotland | JPY | 3,203,072,800 | 35,258,764 | 36,275,866 | 1,017,102 | |||||||||
Norwegian Krone, Expiring 09/15/10 | The Royal Bank of Scotland | NOK | 352,443,000 | 54,132,571 | 53,940,614 | (191,957) | |||||||||
Swedish Krona, Expiring 09/15/10 | The Royal Bank of Scotland | SEK | 352,394,000 | 44,944,288 | 45,192,488 | 248,200 | |||||||||
Singapore Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | SGD | 1,199,300 | 851,672 | 857,355 | 5,683 | |||||||||
$ | 195,504,894 | $ | 196,415,401 | $ | 910,507 | ||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Australian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | AUD | (26,136,900) | (21,889,340) | (21,795,009) | 94,331 | |||||||||
Swiss Franc, Expiring 09/15/10 | The Royal Bank of Scotland | CHF | (3,416,000) | (3,002,641) | (3,173,953) | (171,312) | |||||||||
Danish Krone, Expiring 09/15/10 | The Royal Bank of Scotland | DKK | (17,385,000) | (2,863,973) | (2,854,728) | 9,245 | |||||||||
Euro, Expiring 09/15/10 | The Royal Bank of Scotland | EUR | (45,355,600) | (55,628,455) | (55,487,395) | 141,060 | |||||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | (6,922,000) | (10,244,840) | (10,341,752) | (96,912) | |||||||||
Hong Kong Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | HKD | (2,303,000) | (295,899) | (295,911) | (12) | |||||||||
Japanese Yen, Expiring 09/15/10 | The Royal Bank of Scotland | JPY | (2,943,382,000) | (32,316,098) | (33,334,780) | (1,018,682) | |||||||||
Norwegian Krone, Expiring 09/15/10 | The Royal Bank of Scotland | NOK | (17,922,000) | (2,754,577) | (2,742,922) | 11,655 | |||||||||
Swedish Krona, Expiring 09/15/10 | The Royal Bank of Scotland | SEK | (136,492,000) | (17,047,835) | (17,504,308) | (456,473) | |||||||||
Singapore Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | SGD | (419,000) | (297,609) | (299,535) | (1,926) | |||||||||
$ | (146,341,267) | $ | (147,830,293) | $ | (1,489,026) | ||||||||||
$ | 49,163,627 | $ | 48,585,108 | $ | (578,519) | ||||||||||
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
Money market fund investment is pledged at the broker for forward foreign exchange contracts in the amount of $1,024,850 at June 30, 2010.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 37 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
LONG INVESTMENTS - 117.9% | SHARES | VALUE (Note 3) | |||
COMMON STOCKS - 48.9% | |||||
Banks - 0.9% | |||||
Boston Private Financial Holdings, Inc. | 118,199 | $ | 760,020 | ||
Central Jersey Bancorp † | 247,207 | 1,750,226 | |||
First Chester County Corp. | 65,556 | 566,404 | |||
First Keystone Financial, Inc. † | 17,055 | 227,684 | |||
Popular, Inc. | 6 | 16 | |||
Santander BanCorp † | 3,301 | 41,725 | |||
South Financial Group, Inc. | 908,354 | 247,526 | |||
Wainwright Bank & Trust Co. | 128,781 | 2,401,765 | |||
5,995,366 | |||||
Capital Goods - 2.1% | |||||
Allied Defense Group, Inc. † | 190,011 | 718,242 | |||
Argon ST, Inc. † | 24,525 | 840,962 | |||
Blount International, Inc. † | 114,000 | 1,170,780 | |||
China Electric Motor, Inc. | 2,400 | 11,784 | |||
Douglas Dynamics, Inc. † | 15,722 | 180,803 | |||
DynCorp International, Inc. Class A †(b) | 173,200 | 3,034,464 | |||
Hardinge, Inc. | 103,324 | 880,320 | |||
Hubbell, Inc. Class A | 2,194 | 83,262 | |||
Lihua International, Inc. † | 67,825 | 576,513 | |||
Portec Rail Products, Inc. | 116,488 | 1,325,633 | |||
Rush Enterprises, Inc. Class B † | 1,000 | 11,650 | |||
Sauer-Danfoss, Inc. † | 63,649 | 777,791 | |||
Seacliff Construction Corp. (Canada) | 2,223 | 35,708 | |||
Stanley, Inc. † | 119,382 | 4,462,500 | |||
14,110,412 | |||||
Commercial & Professional Services - 2.3% | |||||
Bowne & Co., Inc. | 683,416 | 7,667,927 | |||
Cornell Companies, Inc. † | 119,269 | 3,204,758 | |||
RCM Technologies, Inc. † | 41,033 | 183,418 | |||
Waste Services, Inc. † (Canada) | 355,572 | 4,145,970 | |||
15,202,073 | |||||
Consumer Durables - 0.8 % | |||||
China Intelligent Lighting and Electronics, Inc. | 211,822 | 607,929 | |||
Kid Brands, Inc. † | 106,140 | 746,164 | |||
Lennar Corp. Class B | 204,766 | 2,319,999 | |||
Polo Ralph Lauren Corp. | 9,850 | 718,656 | |||
Sport Supply Group, Inc. | 86,980 | 1,170,751 | |||
5,563,499 | |||||
Consumer Services - 2.1% | |||||
Carnival Corp. | 213,610 | 6,459,567 | |||
CKE Restaurants, Inc. | 514,307 | 6,444,267 | |||
Landry’s Restaurants, Inc. † | 2,209 | 54,032 | |||
Rubio’s Restaurants, Inc. † | 93,692 | 793,571 | |||
Universal Travel Group † | 5,700 | 33,516 | |||
VCG Holding Corp. † | 34,604 | 55,366 | |||
13,840,319 | |||||
Diversified Financials - 0.8% | |||||
Artio Global Investors, Inc. | 48,696 | 766,475 | |||
BlackRock Kelso Capital Corp. | 153,399 | 1,514,048 | |||
CBOE Holdings, Inc. † | 11,600 | 377,580 | |||
Fifth Street Finance Corp. | 107,300 | 1,183,519 |
SHARES | VALUE (Note 3) | ||||
Diversified Financials - 0.8% (continued) | |||||
Golub Capital BDC, LLC | 19,950 | $ | 287,679 | ||
Janus Capital Group, Inc. | 2,500 | 22,200 | |||
Thomas Weisel Partners Group, Inc. † | 149,065 | 877,993 | |||
5,029,494 | |||||
Energy - 6.0% | |||||
Arena Resources, Inc. † | 118,057 | 3,766,018 | |||
Boots & Coots, Inc. † | 428,460 | 1,263,957 | |||
Exxon Mobil Corp. (b) | 205,026 | 11,700,834 | |||
General Maritime Corp. | 199,500 | 1,204,980 | |||
Mariner Energy, Inc. † | 271,113 | 5,823,507 | |||
Omega Navigation Enterprises, Inc. Class A | 284,474 | 554,724 | |||
OMNI Energy Services Corp. † | 128,292 | 342,540 | |||
Petrobank Energy and Resources Ltd. † (Canada) | 15,530 | 546,333 | |||
Royal Dutch Shell PLC ADR (Netherlands) (b) | 139,652 | 6,742,399 | |||
Scorpio Tankers, Inc. | 54,000 | 618,300 | |||
Sinoenergy Corp. | 186,385 | 316,855 | |||
Smith International, Inc. | 172,413 | 6,491,349 | |||
Storm Exploration, Inc. † (Canada) | 73,397 | 925,262 | |||
40,297,058 | |||||
Food & Staples Retailing - 0.4% | |||||
Casey’s General Stores, Inc. | 57,691 | 2,013,416 | |||
G Willi-Food International Ltd. | 82,742 | 483,213 | |||
2,496,629 | |||||
Food, Beverage & Tobacco - 0.6% | |||||
American Italian Pasta Co. Class A† | 26,576 | 1,405,073 | |||
Celsius Holdings, Inc. † | 209,422 | 381,148 | |||
China New Borun Corp. ADR † (China) | 8,352 | 48,859 | |||
Coca-Cola Enterprises, Inc. | 68,665 | 1,775,678 | |||
Embotelladora Andina SA Class A ADR (Chile) | 10,000 | 180,000 | |||
Molson Coors Brewing Co. Class B | 3,426 | 145,125 | |||
3,935,883 | |||||
Health Care Equipment & Services - 6.7% | |||||
ATS Medical, Inc. † | 686,772 | 2,726,485 | |||
Adcare Health System, Inc. † | 58,000 | 179,800 | |||
DynaVox, Inc. Class A † | 34,800 | 557,148 | |||
Eclipsys Corp. † | 145,353 | 2,593,098 | |||
ev3, Inc. † | 144,984 | 3,249,091 | |||
HealthTronics, Inc. † | 559,383 | 2,701,820 | |||
inVentiv Health, Inc. † | 220,777 | 5,651,891 | |||
National Dentex Corp. † | 56,577 | 953,322 | |||
Odyssey HealthCare, Inc. † | 109,688 | 2,930,863 | |||
Phase Forward, Inc. † | 452,588 | 7,549,168 | |||
Psychiatric Solutions, Inc. † | 134,178 | 4,390,304 | |||
SenoRx, Inc. † | 385,400 | 4,231,692 | |||
Somanetics Corp. † | 120,500 | 3,006,475 | |||
Virtual Radiologic Corp. † | 208,773 | 3,582,545 | |||
Winner Medical Group, Inc. | 384 | 2,020 | |||
44,305,722 | |||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 38 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 3) | ||||
Household & Personal Products - 0.0% (a) | |||||
Medical Nutrition USA, Inc. † | 18,946 | $ | 75,216 | ||
Insurance - 0.4% | |||||
First American Financial Corp. | 47,677 | 604,544 | |||
Loews Corp. | 7,700 | 256,487 | |||
PMA Capital Corp. Class A † | 277,450 | 1,817,298 | |||
2,678,329 | |||||
Materials - 1.6% | |||||
Airgas, Inc. | 19,800 | 1,231,560 | |||
BHP Billiton PLC ADR (United Kingdom) | 57,088 | 2,936,606 | |||
Brazauro Resources Corp. (Canada) † | 840,452 | 1,097,392 | |||
Cereplast, Inc. † | 7,149 | 23,449 | |||
CF Industries Holdings, Inc. | 1 | 63 | |||
Etruscan Resources, Inc. † (Canada) | 580,018 | 239,733 | |||
Gerdau Ameristeel Corp. † | 170,923 | 1,863,061 | |||
Golden Minerals Co. † | 30,447 | 248,143 | |||
Graham Packaging Co., Inc. † | 10,750 | 128,678 | |||
Metals USA Holdings Corp. † | 61,600 | 920,920 | |||
Royal Gold, Inc. | 19,699 | 945,552 | |||
Vale SA ADR (Brazil) | 32,639 | 794,760 | |||
10,429,917 | |||||
Media - 6.0% | |||||
Alloy, Inc. † | 242,758 | 2,277,070 | |||
Cablevision Systems Corp. Class A | 69,766 | 1,675,082 | |||
CBS Corp. Class A | 9,650 | 125,161 | |||
China Networks International Holdings Ltd. †(3) | 432,416 | 97,294 | |||
Comcast Corp. Class A | 493,480 | 8,107,875 | |||
Discovery Communications, Inc. Class C †(b) | 322,189 | 9,965,305 | |||
Emmis Communications Corp. Class A † | 502,289 | 1,105,036 | |||
Madison Square Garden, Inc. Class A †(b) | 95,148 | 1,871,561 | |||
News Corp. Class A | 576,732 | 6,897,714 | |||
RCN Corp. † | 378,192 | 5,601,024 | |||
Viacom, Inc. Class B (b) | 71,249 | 2,235,081 | |||
39,958,203 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 3.3% | |||||
Accelrys, Inc. † | 154,986 | 999,660 | |||
BioSphere Medical, Inc. † | 144,966 | 626,253 | |||
Biovail Corp. (Canada) | 141,762 | 2,727,501 | |||
Clinical Data, Inc. † | 8,732 | 108,626 | |||
Cormedix, Inc. † | 150,800 | 331,760 | |||
Impax Laboratories, Inc. † | 57,000 | 1,086,420 | |||
Indevus Pharmaceuticals Escrow †(3) | 6,006 | 4,535 | |||
Javelin Pharmaceuticals, Inc. † | 1,141,138 | 2,510,504 | |||
Millipore Corp. † | 61,969 | 6,608,993 | |||
ReGeneRx Biopharmaceuticals, Inc. † | 544,507 | 144,294 | |||
Talecris Biotherapeutics Holdings Corp. † | 20,400 | 430,440 | |||
Tengion, Inc. † | 26,320 | 96,331 | |||
WuXi PharmaTech, Inc. ADR † (China) | 402,024 | 6,416,303 | |||
22,091,620 | |||||
SHARES | VALUE (Note 3) | ||||
Real Estate - 1.7% | |||||
ARMOUR Residential, Inc. REIT | 58,000 | $ | 368,880 | ||
Care Investment Trust, Inc. REIT | 299,001 | 2,595,328 | |||
Chatham Lodging Trust REIT † | 1,425 | 25,465 | |||
Chimera Investment Corp. REIT | 238,499 | 860,981 | |||
Cypress Sharpridge Investments, Inc. REIT | 137,966 | 1,746,650 | |||
Duke Realty Corp. REIT | 84,500 | 959,075 | |||
FelCor Lodging Trust, Inc. REIT † | 171,847 | 857,517 | |||
General Growth Properties, Inc. REIT | 169,700 | 2,250,222 | |||
HCP, Inc. REIT | 35,459 | 1,143,553 | |||
IFM Investments Ltd. ADS | 21,000 | 109,830 | |||
Tejon Ranch Co. † | 7,064 | 163,037 | |||
11,080,538 | |||||
Retailing - 0.6% | |||||
AutoChina International Ltd. † | 59,429 | 1,602,206 | |||
Blockbuster, Inc. Class B † | 2,310,878 | 577,720 | |||
Ulta Salon Cosmetics & Fragrance, Inc. † | 68,529 | 1,621,396 | |||
3,801,322 | |||||
Semiconductors & Semiconductor Equipment - 0.0% (a) | |||||
FSI International, Inc. † | 21,954 | 91,987 | |||
Software & Services - 4.6% | |||||
CoreLogic, Inc. | 47,677 | 841,976 | |||
Cybersource Corp. † | 266,158 | 6,795,012 | |||
DivX, Inc. † | 119,962 | 918,909 | |||
Double-Take Software, Inc. † | 198,857 | 2,086,010 | |||
infoGROUP, Inc. † | 642,903 | 5,130,366 | |||
Intelligroup, Inc. | 76,298 | 353,260 | |||
Interactive Data Corp. (b) | 167,791 | 5,600,864 | |||
Matrikon, Inc. (Canada) | 32 | 135 | |||
Novell, Inc. † | 427,939 | 2,430,695 | |||
Sohu.com, Inc. | 84,681 | 3,479,542 | |||
SonicWALL, Inc. † | 183,725 | 2,158,769 | |||
SS&C Technologies Holdings, Inc. † | 32,400 | 519,372 | |||
TTI Team Telecom International Ltd. † | 98,503 | 281,719 | |||
WebMD Health Corp. †(b) | 2,887 | 134,043 | |||
30,730,672 | |||||
Specified Purpose Acquisition Company - 0.6% | |||||
57th Street General Acquisition Corp. | 292,050 | 2,923,420 | |||
GSME Acquisition Partners I † | 56,004 | 560,040 | |||
Helikos SE | 72,000 | 832,029 | |||
4,315,489 | |||||
Technology Hardware & Equipment - 3.1% | |||||
Bell Microproducts, Inc. † | 315,633 | 2,203,118 | |||
CPI International, Inc. † | 259,590 | 4,047,008 | |||
EF Johnson Technologies, Inc. † | 321,084 | 459,150 | |||
Intel Corp. | 10,020 | 194,889 | |||
Molex, Inc. Class A | 431,278 | 6,663,245 | |||
Palm, Inc. † | 802,210 | 4,564,575 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 39 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 3) | ||||
Technology Hardware & Equipment - 3.1% (continued) | |||||
Rubicon Technology, Inc. † | 43,674 | $ | 1,301,049 | ||
Virage Logic Corp. † | 95,109 | 1,130,846 | |||
20,563,880 | |||||
Telecommunication Services - 1.1% | |||||
Clearwire Corp. Class A † | 213,635 | 1,555,262 | |||
Qwest Communications International, Inc. | 1,033,752 | 5,427,198 | |||
Telephone and Data Systems, Inc. | 20,930 | 555,482 | |||
7,537,942 | |||||
Transportation - 0.3% | |||||
Baltic Trading Ltd. † | 40,500 | 460,485 | |||
Dollar Thrifty Automotive Group, Inc. | 40,800 | 1,738,488 | |||
2,198,973 | |||||
Utilities - 2.9% | |||||
Allegheny Energy, Inc. | 368,692 | 7,624,552 | |||
Cascal NV | 120,659 | 808,415 | |||
China Hydroelectric Corp. ADS | 24,500 | 183,995 | |||
Maine & Maritimes Corp. | 8,459 | 374,818 | |||
Middlesex Water Co. | 4,358 | 69,074 | |||
Mirant Corp. † | 77,182 | 815,042 | |||
Questar Corp. | 82,335 | 3,745,419 | |||
Southwest Water Co. (b) | 519,132 | 5,440,503 | |||
19,061,818 | |||||
TOTAL COMMON STOCKS | 325,392,361 | ||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 40 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CONVERTIBLE PREFERRED STOCKS - 3.1% | MOODY’S RATING* | SHARES | VALUE (Note 3) | ||||||||||
Banks - 0.1% | |||||||||||||
Boston Private Capital Trust I, $50 par, 4.875% (b) | NR | 3,750 | $ | 110,156 | |||||||||
Synovus Financial Corp., $25 par, 8.250% | NR | 5,100 | 126,123 | ||||||||||
Wells Fargo & Co., $1,000 par, 7.5% (b) | Ba1 | 500 | 465,500 | ||||||||||
701,779 | |||||||||||||
Consumer Durables - 0.1 % | |||||||||||||
Beazer Homes USA, Inc., $25 par, 7.25% | NR | 52,875 | 970,256 | ||||||||||
Diversified Financials - 1.3% | |||||||||||||
Dole Food Automatic Common Exchange144A, $12.50 par, 7% (b) | NR | 3,750 | 39,727 | ||||||||||
MF Global Holdings Ltd., $100 par, 9.75% (b)(2) | NR | 19,550 | 1,961,109 | ||||||||||
SLM Corp., $1,000 par, 7.25% (b) | Ba3 | 1,125 | 616,500 | ||||||||||
SLM Corp., $50 par, 6.97% | Ba3 | 12,500 | 472,500 | ||||||||||
Sovereign Capital Trust IV, $50 par, 4.375% (b) | Baa3 | 166,913 | 5,278,625 | ||||||||||
8,368,461 | |||||||||||||
Energy - 0.0% (a) | |||||||||||||
Whiting Petroleum Corp., $100 par, 6.25% (b) | B | ** | 100 | 19,369 | |||||||||
Food Beverage & Tobacco - 0.2% | |||||||||||||
Bunge Ltd. $100 par, 4.875% (b) | Ba1 | 15,000 | 1,244,250 | ||||||||||
Insurance - 0.0% (a) | |||||||||||||
Hartford Financial Services Group, Inc., $25 par, 7.25% | BB | ** | 10,900 | 252,226 | |||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 0.7% | |||||||||||||
Mylan, Inc., $1,000, par, 6.5% | B | ** | 4,275 | 4,544,282 | |||||||||
Transportation - 0.2% | |||||||||||||
Kansas City Southern, $1,000 par, 5.125% (b) | B- | ** | 1,275 | 1,530,000 | |||||||||
Utilities - 0.5% | |||||||||||||
PPL Corp., $50 par, 9.5% (2) | NR | 58,300 | 3,022,855 | ||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 20,653,478 | ||||||||||||
CORPORATE BONDS - 11.7% (2) | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | ||||||||||
Banks - 0.8% | |||||||||||||
Ally Financial, Inc. | B3 | 7.250% | 03/02/11 | $ | 775 | 783,264 | |||||||
Ford Motor Credit Co. LLC | Ba3 | 7.375% | 02/01/11 | 1,505 | 1,533,178 | ||||||||
Royal Bank of Scotland Group PLC (United Kingdom) | Ba2 | 6.375% | 02/01/11 | 1,705 | 1,724,739 | ||||||||
Synovus Financial Corp. | B3 | 5.125% | 06/15/17 | 1,375 | 1,090,812 | ||||||||
5,131,993 | |||||||||||||
Capital Goods - 0.3% | |||||||||||||
Icahn Enterprises LP 144A (c) | Ba3 | 8.000% | 01/15/18 | 2,055 | 1,993,350 | ||||||||
Commercial & Professional Services - 0.1% | |||||||||||||
DI Finance/DynCorp International | B1 | 9.500% | 02/15/13 | 345 | 354,056 | ||||||||
Team Finance LLC | B3 | 11.250% | 12/01/13 | 717 | 749,265 | ||||||||
1,103,321 | |||||||||||||
Consumer Durables - 0.4 % | |||||||||||||
Ames True Temper, Inc. | Caa2 | 10.000% | 07/15/12 | 2,840 | 2,769,000 | ||||||||
Consumer Services - 1.9% | |||||||||||||
American Airlines | B2 | 6.817% | 05/23/11 | 1,530 | 1,530,000 | ||||||||
American Airlines | Ba1 | 7.858% | 10/01/11 | 925 | 941,188 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 41 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
MOODY’S RATING* | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||
Consumer Services - 1.9% (continued) | |||||||||||||
Continental Airlines | B1 | 7.033% | 06/15/11 | $ | 2,598 | $ | 2,591,644 | ||||||
Delta Air Lines, Inc. | BB- | ** | 7.920% | 11/18/10 | 1,225 | 1,237,250 | |||||||
Delta Air Lines, Inc. | BB- | ** | 7.711% | 09/18/11 | 1,890 | 1,871,100 | |||||||
MGM Resorts International | Caa1 | 8.500% | 09/15/10 | 795 | 795,000 | ||||||||
Scandinavian Airlines System †(e) (Sweden) | NR | 5.329% | 09/20/10 | 3,100 | 3,781,366 | ||||||||
12,747,548 | |||||||||||||
Diversified Financials - 2.4% | |||||||||||||
American General Finance Corp. | B2 | 4.625% | 06/22/11 | 4,875 | 5,601,730 | ||||||||
Bankrate, Inc. 144A (c) | B2 | 11.750% | 07/15/15 | 1,655 | 1,646,725 | ||||||||
CIT Group Australia Ltd. (Australia) | NR | 6.000% | 03/03/11 | 1,400 | 1,148,990 | ||||||||
Harvest Operations Corp. (Canada) | Ba1 | 7.875% | 10/15/11 | 1,225 | 1,234,188 | ||||||||
New Plan Excel | Caa2 | 4.500% | 02/01/11 | 3,475 | 3,283,875 | ||||||||
Rare Restaurant Group LLC 144A (c) | CCC | ** | 9.250% | 05/15/14 | 1,300 | 1,040,000 | |||||||
Regions Financial Corp. | Ba1 | 7.000% | 03/01/11 | 1,705 | 1,725,151 | ||||||||
TMX Finance LLC/TitleMax Finance Corp. 144A (c) | B2 | 13.250% | 07/15/15 | 380 | 395,200 | ||||||||
16,075,859 | |||||||||||||
Energy - 1.5% | |||||||||||||
Energy XXI Gulf Coast, Inc. | Caa1 | 16.000% | 06/15/14 | 2,291 | 2,565,808 | ||||||||
Mariner Energy, Inc. | B3 | 7.500% | 04/15/13 | 345 | 353,625 | ||||||||
Mariner Energy, Inc. | B3 | 11.750% | 06/30/16 | 1,500 | 1,867,500 | ||||||||
Mariner Energy, Inc. | B3 | 8.000% | 05/15/17 | 3,000 | 3,277,500 | ||||||||
P2021 Rig Co. 144A (c) | NR | 13.500% | 12/15/13 | 500 | 505,000 | ||||||||
RDS Ultra-Deepwater Ltd. 144A (c) | B3 | 11.875% | 03/15/17 | 845 | 796,413 | ||||||||
Sevan Marine ASA (Norway) | NR | 9.250% | 12/20/11 | 100 | 97,000 | ||||||||
SKDP 1 Ltd. (Cyprus) | NR | 12.000% | 05/19/17 | 400 | 376,000 | ||||||||
9,838,846 | |||||||||||||
Food & Staples Retailing - 0.4% | |||||||||||||
Great Atlantic & Pacific Tea Co. 144A (c) | Caa1 | 11.375% | 08/01/15 | 3,555 | 2,959,538 | ||||||||
Health Care Equipment & Services - 1.2% | |||||||||||||
Omnicare, Inc. | Ba2 | 6.125% | 06/01/13 | 3,260 | 3,227,400 | ||||||||
Psychiatric Solutions, Inc. | B3 | 7.750% | 07/15/15 | 1,610 | 1,650,250 | ||||||||
Rural/Metro Corp. (d) | Caa1 | 12.750% | 03/15/16 | 2,345 | 2,471,044 | ||||||||
Tenet Healthcare Corp. | Caa1 | 6.375% | 12/01/11 | 500 | 493,750 | ||||||||
7,842,444 | |||||||||||||
Materials - 0.8% | |||||||||||||
AEP Industries, Inc. | B2 | 7.875% | 03/15/13 | 2,030 | 1,999,550 | ||||||||
Appleton Papers, Inc. 144 A (c) | B1 | 10.500% | 06/15/15 | 600 | 567,000 | ||||||||
Sterling Chemicals, Inc. | B2 | 10.250% | 04/01/15 | 2,700 | 2,646,000 | ||||||||
5,212,550 | |||||||||||||
Media - 0.3% | |||||||||||||
Morris Publishing Group LLC | NR | 10.000% | 09/01/14 | 1,043 | 986,064 | ||||||||
Valassis Communications, Inc. | Ba3 | 8.250% | 03/01/15 | 824 | 850,780 | ||||||||
1,836,844 | |||||||||||||
Real Estate - 0.4% | |||||||||||||
iStar Financial, Inc. | Ca | 6.000% | 12/15/10 | 2,700 | 2,625,750 | ||||||||
Retailing - 0.4% | |||||||||||||
Brookstone Co., Inc. | Caa3 | 12.000% | 10/15/12 | 660 | 537,900 | ||||||||
GameStop Corp. | Ba1 | 8.000% | 10/01/12 | 1,840 | 1,890,600 | ||||||||
2,428,500 | |||||||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 42 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
MOODY’S RATING* | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||
Semiconductors & Semiconductor Equipment - 0.3% | |||||||||||||
Amkor Technologies, Inc. | Ba3 | 9.250% | 06/01/16 | $ | 2,325 | $ | 2,435,438 | ||||||
Telecommunication Services - 0.2% | |||||||||||||
FiberTower Corp. | NR | 9.000% | 01/01/16 | 1,355 | 1,151,750 | ||||||||
Utilities - 0.3% | |||||||||||||
Mirant Americas Generation LLC | B3 | 8.300% | 05/01/11 | 1,925 | 1,963,500 | ||||||||
TOTAL CORPORATE BONDS | 78,116,231 | ||||||||||||
CONVERTIBLE BONDS - 39.9% (2) | |||||||||||||
Automobiles & Components - 1.3% | |||||||||||||
Exide Technologies (b)(e) | CCC+ | ** | 0.000% | 09/18/13 | 650 | 402,740 | |||||||
Ford Motor Co. (b) | B2 | 4.250% | 11/15/16 | 64,500 | 5,608,125 | ||||||||
Ford Motor Co. (b) | B2 | 4.250% | 12/15/36 | 1,500 | 1,873,125 | ||||||||
Icahn Enterprises, LP (e) | NR | 4.000% | 08/15/13 | 650 | 568,750 | ||||||||
8,452,740 | |||||||||||||
Banks - 0.8% | |||||||||||||
CapitalSource, Inc. †(b)(d) | NR | 4.000% | 07/15/34 | 625 | 594,531 | ||||||||
MGIC Investment Corp. | CCC | ** | 5.000% | 05/01/17 | 2,875 | 2,569,531 | |||||||
PMI Group, Inc. | CCC+ | ** | 4.500% | 04/15/20 | 2,850 | 1,970,063 | |||||||
5,134,125 | |||||||||||||
Capital Goods - 3.0% | |||||||||||||
EnPro Industries, Inc. (b) | NR | 3.938% | 10/15/15 | 3,575 | 3,740,344 | ||||||||
GenCorp, Inc. 144A (c) | CCC | ** | 4.063% | 12/31/39 | 325 | 268,938 | |||||||
General Cable Corp. (b) | Ba3 | 0.875% | 11/15/13 | 3,000 | 2,610,000 | ||||||||
MasTec, Inc. (b)(c) | B+ | ** | 4.000% | 06/15/14 | 2,125 | 1,917,813 | |||||||
MasTec, Inc. 144A (b)(c) | NR | 4.250% | 12/15/14 | 2,400 | 2,193,000 | ||||||||
Orbital Sciences Corp. (b) | B+ | ** | 2.438% | 01/15/27 | 800 | 757,000 | |||||||
Terex Corp. (b) | Caa1 | 4.000% | 06/01/15 | 3,000 | 4,057,499 | ||||||||
Textron, Inc. (b) | BBB- | ** | 4.500% | 05/01/13 | 2,000 | 2,895,000 | |||||||
Titan International, Inc. 144A (b)(c) | NR | 5.625% | 01/15/17 | 1,275 | 1,509,281 | ||||||||
19,948,875 | |||||||||||||
Consumer Durables - 2.2% | |||||||||||||
D.R. Horton, Inc. (b) | Ba3 | 2.000% | 05/15/14 | 2,500 | 2,540,625 | ||||||||
Eastman Kodak Co. 144A (b)(c) | NR | 7.000% | 04/01/17 | 6,000 | 5,385,000 | ||||||||
Jakks Pacific, Inc. 144A (b)(c) | NR | 4.500% | 11/01/14 | 3,925 | 4,454,875 | ||||||||
Lennar Corp. (c) | B3 | 2.000% | 12/01/20 | 600 | 527,250 | ||||||||
Newell Rubbermaid, Inc. (b) | BBB- | ** | 5.500% | 03/15/14 | 1,000 | 1,816,250 | |||||||
Palm Harbor Homes, Inc. (b) | NR | 3.250% | 05/15/24 | 70 | 51,100 | ||||||||
14,775,100 | |||||||||||||
Consumer Services - 1.5% | |||||||||||||
Coinstar, Inc. (b) | BB+ | ** | 4.000% | 09/01/14 | 2,150 | 2,743,938 | |||||||
Gaylord Entertainment Co. 144A (b)(c) | NR | 3.750% | 10/01/14 | 3,375 | 3,518,438 | ||||||||
MGM Resorts International 144A (c) | Caa1 | 4.250% | 04/15/15 | 5,000 | 3,956,249 | ||||||||
Stewart Enterprises, Inc. (b) | Ba3 | 3.125% | 07/15/14 | 25 | 21,719 | ||||||||
10,240,344 | |||||||||||||
Diversified Financials - 3.2% | |||||||||||||
AmeriCredit Corp. | B- | ** | 2.125% | 09/15/13 | 4,100 | 3,531,125 | |||||||
Dollar Financial Corp. | NR | 2.875% | 06/30/27 | 150 | 131,250 | ||||||||
GLG Partners, Inc. | NR | 5.000% | 05/15/14 | 2,133 | 2,663,583 | ||||||||
GLG Partners, Inc. 144A (c) | NR | 5.000% | 05/15/14 | 4,057 | 5,066,179 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 43 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
MOODY’S RATING* | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||
Diversified Financials - 3.2% (continued) | |||||||||||||
Harvest Operations Corp. (Canada) | NR | 7.500% | 05/31/15 | $ | 275 | $ | 262,846 | ||||||
Janus Capital Group, Inc. (b) | Baa3 | 3.250% | 07/15/14 | 250 | 250,625 | ||||||||
Jefferies Group, Inc. (b) | Baa2 | 3.875% | 11/01/29 | 100 | 93,750 | ||||||||
KKR Financial Holdings LLC (b) | NR | 7.000% | 07/15/12 | 125 | 124,375 | ||||||||
Leucadia National Corp. (b) | B3 | 3.750% | 04/15/14 | 250 | 261,875 | ||||||||
MF Global Holdings Ltd. (b) | Baa2 | 9.000% | 06/20/38 | 4,500 | 4,623,750 | ||||||||
Penson Worldwide, Inc. 144A (b)(c) | NR | 8.000% | 06/01/14 | 4,275 | 3,927,656 | ||||||||
World Acceptance Corp. (b) | NR | 3.000% | 10/01/11 | 150 | 141,938 | ||||||||
21,078,952 | |||||||||||||
Energy - 3.7% | |||||||||||||
Bristow Group, Inc. (b) | BB | ** | 3.000% | 06/15/38 | 1,000 | 801,250 | |||||||
Exterran Energy Corp. (g) | B1 | 4.750% | 01/15/14 | 1,150 | 1,093,938 | ||||||||
Exterran Holdings, Inc. (b)(g) | BB | ** | 4.250% | 06/15/14 | 3,675 | 4,805,063 | |||||||
GMX Resources, Inc. (b) | NR | 4.500% | 05/01/15 | 1,875 | 1,291,406 | ||||||||
Goodrich Petroleum Corp. (b) | NR | 3.250% | 12/01/26 | 200 | 189,250 | ||||||||
Goodrich Petroleum Corp. (b) | NR | 5.000% | 10/01/29 | 1,000 | 795,000 | ||||||||
International Coal Group, Inc. (b) | B- | ** | 9.000% | 08/01/12 | 225 | 253,406 | |||||||
International Coal Group, Inc. (b) | B- | ** | 4.000% | 04/01/17 | 2,000 | 1,802,500 | |||||||
James River Coal Co. 144A (b)(c) | CCC | ** | 4.500% | 12/01/15 | 500 | 446,875 | |||||||
Massey Energy Co. | BB- | ** | 3.250% | 08/01/15 | 1,725 | 1,433,906 | |||||||
Penn Virginia Corp. | B | ** | 4.500% | 11/15/12 | 1,650 | 1,538,625 | |||||||
PetroBakken Energy Ltd. (Canada) | NR | 3.125% | 02/08/16 | 700 | 639,163 | ||||||||
Pioneer Natural Resources Co. | BB+ | ** | 2.875% | 01/15/38 | 750 | 897,188 | |||||||
Transocean, Inc. | Baa2 | 1.625% | 12/15/37 | 6,000 | 5,812,499 | ||||||||
Western Refining, Inc. (b) | CCC+ | ** | 5.750% | 06/15/14 | 3,500 | 2,629,375 | |||||||
Willbros Group, Inc. (Panama) (b) | NR | 2.750% | 03/15/24 | 125 | 113,906 | ||||||||
24,543,350 | |||||||||||||
Food & Staples Retailing - 0.7% | |||||||||||||
Great Atlantic & Pacific Tea Co. (b) | Caa3 | 6.750% | 12/15/12 | 65 | 51,756 | ||||||||
Nash Finch Co. (b)(d) | B3 | 1.631% | 03/15/35 | 3,300 | 1,439,625 | ||||||||
Rite Aid Corp. (b) | Ca | 8.500% | 05/15/15 | 3,400 | 2,970,750 | ||||||||
Spartan Stores, Inc. (b) | NR | 3.375% | 05/15/27 | 475 | 392,469 | ||||||||
4,854,600 | |||||||||||||
Food, Beverage & Tobacco - 1.0% | |||||||||||||
Alliance One International, Inc. 144A (b)(c) | Caa1 | 5.500% | 07/15/14 | 2,500 | 2,434,375 | ||||||||
Central European Distribution Corp. | B- | ** | 3.000% | 03/15/13 | 2,000 | 1,667,500 | |||||||
Vector Group Ltd. (b)(c)(e) | NR | 3.750% | 11/15/14 | 1,767 | 2,091,686 | ||||||||
Vector Group Ltd. (b)(c)(e) | NR | 3.875% | 06/15/26 | 425 | 461,125 | ||||||||
6,654,686 | |||||||||||||
Health Care Equipment & Services - 1.5% | |||||||||||||
China Medical Technologies, Inc. (China) (b) | NR | 3.500% | 11/15/11 | 2,000 | 1,517,500 | ||||||||
China Medical Technologies, Inc. (China) (b) | NR | 4.000% | 08/15/13 | 250 | 164,375 | ||||||||
Greatbatch, Inc. | NR | 2.250% | 06/15/13 | 2,000 | 1,792,500 | ||||||||
Molina Healthcare, Inc. (b) | NR | 3.750% | 10/01/14 | 3,375 | 3,159,844 | ||||||||
NovaMed, Inc. | NR | 1.000% | 06/15/12 | 700 | 578,375 | ||||||||
SonoSite, Inc. | NR | 3.750% | 07/15/14 | 1,000 | 997,500 | ||||||||
West Pharmaceutical Services, Inc. | NR | 4.000% | 03/15/47 | 2,000 | 1,615,000 | ||||||||
9,825,094 | |||||||||||||
Household & Personal Products - 0.1% | |||||||||||||
American Oriental Bioengineering, Inc. 144A (c) | NR | 5.000% | 07/15/15 | 1,000 | 673,750 | ||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 44 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
MOODY’S RATING* | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||
Insurance - 2.0% | |||||||||||||
CNO Financial Group, Inc. 144A (c) | NR | 7.000% | 12/30/16 | $ | 1,000 | $ | 1,160,000 | ||||||
Hilltop Holdings, Inc. | NR | 7.500% | 08/15/25 | 998 | 1,036,673 | ||||||||
National Financial Partners Corp. | NR | 0.750% | 02/01/12 | 6,160 | 5,867,400 | ||||||||
National Financial Partners Corp. 144A (c) | NR | 4.000% | 06/15/17 | 2,500 | 2,362,500 | ||||||||
Stewart Information Services Corp. 144A (b)(c) | NR | 6.000% | 10/15/14 | 2,900 | 2,733,250 | ||||||||
13,159,823 | |||||||||||||
Materials - 2.8% | |||||||||||||
Alcoa, Inc. (b) | Baa3 | 5.250% | 03/15/14 | 400 | 683,000 | ||||||||
ArcelorMittal (Luxembourg) (b) | Baa3 | 5.000% | 05/15/14 | 4,375 | 5,102,344 | ||||||||
Cemex SAB de CV 144A (b)(c) (Mexico) | NR | 4.875% | 03/15/15 | 3,200 | 3,164,000 | ||||||||
Kaiser Aluminum Corp. 144A (c) | NR | 4.500% | 04/01/15 | 300 | 285,840 | ||||||||
Kangaroo Resources, Ltd (Austrailia) | NR | 10.000% | 06/29/12 | 539 | 539,000 | ||||||||
Owens-Brockway Glass Container, Inc. (b)(c) | Ba3 | ** | 3.000% | 06/01/15 | 4,400 | 4,042,499 | |||||||
ShengdaTech, Inc.144A (b)(c) (China) | NR | 6.000% | 06/01/18 | 200 | 181,750 | ||||||||
Sino-Forest Corp. 144A (b)(c) (Canada) | BB | ** | 4.250% | 12/15/16 | 450 | 413,438 | |||||||
Steel Dynamics, Inc. (b) | BB+ | ** | 5.125% | 06/15/14 | 400 | 429,500 | |||||||
Sterlite Industries Ltd. (India) | NR | 4.000% | 10/30/14 | 1,850 | 1,704,313 | ||||||||
Stillwater Mining Co. | B | ** | 1.875% | 03/15/28 | 1,000 | 881,250 | |||||||
United States Steel Corp. (b) | Ba2 | 4.000% | 05/15/14 | 1,000 | 1,398,750 | ||||||||
18,825,684 | |||||||||||||
Media - 1.1% | |||||||||||||
China Networks Holdings 144A (b)(c) (China) | NR | 10.000% | 04/30/16 | 750 | 750,000 | ||||||||
CW Media Holdings, Inc. † 144A (b)(c)(f) | Ca | 13.500% | 08/15/15 | 813 | 907,773 | ||||||||
Virgin Media, Inc. | B | ** | 6.500% | 11/15/16 | 3,000 | 3,513,750 | |||||||
XM Satellite Radio, Inc. 144A (b)(c) | CCC+ | ** | 7.000% | 12/01/14 | 2,200 | 2,084,500 | |||||||
7,256,023 | |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences - 1.0% | |||||||||||||
Biovail Corp. 144A (d)(c) (Canada) | NR | 5.375% | 08/01/14 | 3,000 | 4,233,750 | ||||||||
Incyte Corp., Ltd. (b)(c) | NR | 4.750% | 10/01/15 | 1,000 | 1,485,000 | ||||||||
MannKind Corp. (b) | NR | 3.750% | 12/15/13 | 500 | 301,875 | ||||||||
Salix Pharmaceuticals Ltd. | NR | 2.750% | 05/15/15 | 300 | 324,000 | ||||||||
6,344,625 | |||||||||||||
Real Estate - 2.3% | |||||||||||||
Annaly Capital Management, Inc. (b) | NR | 4.000% | 02/15/15 | 4,775 | 4,894,375 | ||||||||
BioMed Realty LP 144A (b)(c) | NR | 3.750% | 01/15/30 | 375 | 390,000 | ||||||||
Boston Properties LP (b) | A- | ** | 3.750% | 05/15/36 | 3,000 | 3,105,000 | |||||||
Digital Realty Trust LP 144A (b)(c) | NR | 5.500% | 04/15/29 | 1,250 | 1,791,406 | ||||||||
GGP LP (c)(g) | NR | 3.980% | 04/25/27 | 2,065 | 2,116,625 | ||||||||
Host Hotels & Resorts LP 144A (b)(c) | BB+ | ** | 2.500% | 10/15/29 | 1,650 | 1,864,500 | |||||||
Kilroy Realty LP 144A (c) | NR | 4.250% | 11/15/14 | 775 | 781,781 | ||||||||
Lexington Realty Trust 144A (b)(c) | NR | 6.000% | 01/15/30 | 550 | 547,938 | ||||||||
ProLogis | BBB- | ** | 3.250% | 03/15/15 | 100 | 89,375 | |||||||
15,581,000 | |||||||||||||
Retailing - 0.8% | |||||||||||||
priceline.com, Inc. 144A (b)(c) | NR | 1.250% | 03/15/15 | 500 | 459,375 | ||||||||
Sonic Automotive, Inc. (b) | B- | ** | 5.000% | 10/01/29 | 5,000 | 4,893,750 | |||||||
5,353,125 | |||||||||||||
Semiconductors & Semiconductor Equipment - 1.9% | |||||||||||||
Micron Technology, Inc. (b) | B | ** | 1.875% | 06/01/14 | 2,500 | 2,196,875 | |||||||
ON Semiconductor Corp. (b) | B+ | ** | 1.875% | 12/15/25 | 250 | 276,250 | |||||||
Photronics, Inc. (b) | NR | 5.500% | 10/01/14 | 2,200 | 2,505,250 | ||||||||
Rambus, Inc. (b) | NR | 5.000% | 06/15/14 | 5,450 | 6,417,374 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 45 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
MOODY’S RATING* | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||
Semiconductors & Semiconductor Equipment - 1.9% (continued) | |||||||||||||
SunPower Corp. | NR | 0.750% | 08/01/27 | $ | 285 | $ | 283,219 | ||||||
Verigy Ltd. (b)(c) (Singapore) | NR | 5.250% | 07/15/14 | 1,325 | 1,295,188 | ||||||||
12,974,156 | |||||||||||||
Software & Services - 3.6% | |||||||||||||
Cadence Design Systems, Inc. 144A (c) | NR | 2.625% | 06/01/15 | 3,325 | 3,233,563 | ||||||||
Concur Technologies, Inc. 144A (b)(c) | NR | 2.500% | 04/15/15 | 200 | 202,750 | ||||||||
Convergys Corp. (b) | BB- | ** | 5.750% | 09/15/29 | 1,500 | 1,638,750 | |||||||
DST Systems, Inc. (b)(e) | NR | 4.125% | 08/15/23 | 3,225 | 3,144,375 | ||||||||
Equinix, Inc. (b) | B- | ** | 4.750% | 06/15/16 | 500 | 591,250 | |||||||
GSI Commerce, Inc. (b) | NR | 2.500% | 06/01/27 | 25 | 28,031 | ||||||||
Mentor Graphics Corp. (b) | NR | 6.250% | 03/01/26 | 150 | 147,188 | ||||||||
Sybase, Inc. (b)(c) | NR | 3.500% | 08/15/29 | 4,900 | 7,202,999 | ||||||||
Take-Two Interactive Software, Inc. (b) | NR | 4.375% | 06/01/14 | 825 | 877,594 | ||||||||
Telvent GIT SA 144A (c) (Spain) | NR | 5.500% | 04/15/15 | 1,400 | 1,246,000 | ||||||||
THQ, Inc. 144A (b)(c) | NR | 5.000% | 08/15/14 | 2,500 | 2,153,125 | ||||||||
VeriSign, Inc. (b) | NR | 3.250% | 08/15/37 | 3,870 | 3,497,513 | ||||||||
23,963,138 | |||||||||||||
Technology Hardware & Equipment - 3.9% | |||||||||||||
Arris Group, Inc. (b) | NR | 2.000% | 11/15/26 | 650 | 617,500 | ||||||||
Bell Microproducts, Inc. (b) | NR | 3.750% | 03/05/24 | 6,900 | 6,848,249 | ||||||||
Ciena Corp. 144A (c) | NR | 4.000% | 03/15/15 | 6,000 | 5,602,500 | ||||||||
CommScope, Inc. (b) | BB | ** | 3.250% | 07/01/15 | 3,500 | 3,810,625 | |||||||
EMC Corp. | A- | ** | 1.750% | 12/01/11 | 1,725 | 2,093,719 | |||||||
EMC Corp. | A- | ** | 1.750% | 12/01/13 | 3,000 | 3,798,750 | |||||||
Finisar Corp. 144A (b)(c) | NR | 5.000% | 10/15/29 | 700 | 1,081,500 | ||||||||
Hutchinson Technology, Inc. (b) | NR | 3.250% | 01/15/26 | 250 | 202,500 | ||||||||
Kemet Corp. (b) | NR | 2.250% | 11/15/26 | 443 | 408,114 | ||||||||
TTM Technologies, Inc. (b) | BB- | ** | 3.250% | 05/15/15 | 1,500 | 1,346,250 | |||||||
25,809,707 | |||||||||||||
Telecommunication Services - 0.6% | |||||||||||||
Alaska Communications Systems Group, Inc. (b) | NR | 5.750% | 03/01/13 | 650 | 615,063 | ||||||||
Cleveland Unlimited, Inc. † 144A (b)(c)(e) | Caa2 | 5.000% | 12/15/10 | 1,830 | 1,720,200 | ||||||||
Level 3 Communications, Inc. (b) | Caa3 | 3.500% | 06/15/12 | 500 | 456,250 | ||||||||
Level 3 Communications, Inc. (b) | CCC | ** | 7.000% | 03/15/15 | 1,280 | 1,240,000 | |||||||
Qwest Communications International, Inc. (b) | B1 | 3.500% | 11/15/25 | 200 | 221,500 | ||||||||
4,253,013 | |||||||||||||
Transportation - 0.9% | |||||||||||||
AMR Corp. (b) | CCC+ | ** | 6.250% | 10/15/14 | 2,500 | 2,381,250 | |||||||
Hertz Global Holdings, Inc. (b) | CCC+ | ** | 5.250% | 06/01/14 | 2,500 | 3,334,375 | |||||||
5,715,625 | |||||||||||||
TOTAL CONVERTIBLE BONDS | 265,417,535 | ||||||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 46 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CLOSED END FUNDS - 0.7% | SHARES | VALUE (Note 3) | |||
Boulder Total Return Fund, Inc. † | 3,689 | $ | 49,728 | ||
Claymore Dividend & Income Fund | 155 | 1,854 | |||
Cohen & Steers Dividend Majors Fund, Inc. | 41,521 | 411,473 | |||
Cohen & Steers Quality Income Realty Fund, Inc. | 176,462 | 1,117,004 | |||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 42,748 | 451,419 | |||
Cushing MLP Total Return Fund | 62,372 | 519,559 | |||
Energy Income and Growth Fund | 5,031 | 119,989 | |||
First Opportunity Fund, Inc. | 5,425 | 32,387 | |||
H&Q Healthcare Investors | 33,204 | 363,252 | |||
John Hancock Bank and Thrift Opportunity Fund | 26,572 | 381,042 | |||
Kayne Anderson Energy Development Co. | 1,542 | 23,392 | |||
NFJ Dividend Interest & Premium Strategy Fund | 6,217 | 85,857 | |||
Petroleum & Resources Corp. | 8,110 | 161,957 | |||
Royce Focus Trust, Inc. † | 5,693 | 32,678 | |||
Royce Micro-Cap Trust, Inc. † | 30,441 | 223,437 | |||
Royce Value Trust, Inc. † | 37,490 | 396,269 | |||
TOTAL CLOSED END FUNDS | 4,371,297 | ||||
WARRANTS - 1.9% | |||||
Banks - 1.8% | |||||
Comerica, Inc. | 444,071 | 5,661,904 | |||
PNC Financial Services Group, Inc. (b) | 258,400 | 2,994,855 | |||
Signature Bank (b) | 107,610 | 1,910,078 | |||
Sterling Bancshares, Inc. | 9,708 | 11,164 | |||
Texas Capital Bancshares, Inc. | 16,077 | 125,401 | |||
Valley National Bancorp | 49,509 | 123,773 | |||
Wells Fargo & Co. | 167,636 | 1,294,150 | |||
12,121,325 | |||||
Food, Beverage & Tobacco - 0.0% (a) | |||||
Celsius Holdings, Inc. | 52,500 | 35,175 | |||
Insurance - 0.1% (a) | |||||
Gerova Financial Group Ltd. | 693,962 | 242,887 | |||
Pharmaceuticals, Biotechnology & Life Sciences - 0.0% (a) | |||||
Cormedix, Inc. | 75,400 | 34,684 | |||
ReGeneRx Biopharmaceuticals, Inc. | 240,000 | 16,800 | |||
51,484 | |||||
Retailing - 0.0% (a) | |||||
Talbots, Inc. | 25,786 | 56,213 | |||
Specified Purpose Acquisition Company - 0.0% (a) | |||||
GSME Acquisition Partners I | 56,004 | 14,001 | |||
Helikos SE † (Germany) | 72,000 | 73,078 | |||
87,079 | |||||
Utilities - 0.0% (a) | |||||
China Hydroelectric Corp. | 24,500 | 16,660 | |||
TOTAL WARRANTS | 12,610,823 | ||||
SHARES | VALUE (Note 3) | ||||
MONEY MARKET FUND - 11.7% | |||||
Dreyfus Institutional Cash Advantage | |||||
Fund 0.19% (h)(2) | 78,008,089 | $ | 78,008,089 | ||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT | 784,569,814 | ||||
SECURITIES SOLD SHORT - (42.8)% | |||||
COMMON STOCKS - (41.2)% | |||||
Automobiles & Components - (0.9)% | |||||
Exide Technologies † | (17,296) | (89,939) | |||
Ford Motor Co. † | (560,422) | (5,649,054) | |||
Icahn Enterprises LP | (1,340) | (49,513) | |||
(5,788,506) | |||||
Banks - (4.6)% | |||||
Banco Santander SA ADR (Spain) | (6,728) | (70,644) | |||
Bryn Mawr Bank Corp. | (12,287) | (206,176) | |||
Comerica, Inc. | (334,426) | (12,316,910) | |||
MGIC Investment Corp. † | (174,437) | (1,201,871) | |||
PMI Group, Inc. † | (323,491) | (934,889) | |||
PNC Financial Services Group, Inc. | (178,296) | (10,073,724) | |||
Signature Bank † | (67,704) | (2,573,429) | |||
Sterling Bancshares, Inc. | (5,241) | (24,686) | |||
Synovus Financial Corp. | (31,335) | (79,591) | |||
Toronto-Dominion Bank (Canada) | (1,865) | (121,057) | |||
Tower Bancorp, Inc. | (29,697) | (650,067) | |||
Valley National Bancorp | (13,752) | (187,302) | |||
Wells Fargo & Co. | (90,284) | (2,311,270) | |||
(30,751,616) | |||||
Capital Goods - (1.7)% | |||||
EnPro Industries, Inc. † | (78,869) | (2,220,162) | |||
GenCorp, Inc. † | (23,483) | (102,856) | |||
General Cable Corp. † | (27,360) | (729,144) | |||
Hubbell, Inc. Class B | (2,194) | (87,080) | |||
MasTec, Inc. † | (171,522) | (1,612,307) | |||
Orbital Sciences Corp. † | (14,516) | (228,917) | |||
Rush Enterprises, Inc. Class A † | (1,000) | (13,360) | |||
Terex Corp. † | (160,531) | (3,008,351) | |||
Textron, Inc. | (120,400) | (2,043,188) | |||
Titan International, Inc. | (112,585) | (1,122,472) | |||
(11,167,837) | |||||
Commercial & Professional Services - (1.0)% | |||||
Geo Group, Inc. † | (118,847) | (2,466,075) | |||
IESI-BFC Ltd. (Canada) | (207,262) | (4,168,039) | |||
(6,634,114) | |||||
Consumer Durables - (1.8)% | |||||
Beazer Homes USA, Inc. † | (154,176) | (559,658) | |||
D.R. Horton, Inc. | (133,954) | (1,316,768) | |||
Eastman Kodak Co. † | (672,110) | (2,916,957) | |||
Jakks Pacific, Inc. † | (188,591) | (2,711,939) | |||
Lennar Corp. Class A | (213,838) | (2,974,487) | |||
Newell Rubbermaid, Inc. | (104,641) | (1,531,944) | |||
(12,011,753) | |||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 47 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 3) | ||||
Consumer Services - (1.9)% | |||||
Carnival PLC ADR (United Kingdom) | (213,610) | $ | (6,923,100) | ||
Coinstar, Inc. † | (42,164) | (1,811,787) | |||
Gaylord Entertainment Co. † | (92,950) | (2,053,265) | |||
MGM Resorts International † | (207,306) | (1,998,430) | |||
Stewart Enterprises, Inc. Class A | (798) | (4,318) | |||
(12,790,900) | |||||
Diversified Financials - (1.0)% | |||||
AmeriCredit Corp. † | (63,800) | (1,162,436) | |||
Dollar Financial Corp. † | (1,623) | (32,119) | |||
Endeavour Financial Corp. † | (57,091) | (117,984) | |||
Jefferies Group, Inc. | (1,335) | (28,142) | |||
KKR Financial Holdings LLC | (700) | (5,223) | |||
Leucadia National Corp. † | (7,680) | (149,837) | |||
MF Global Holdings Ltd. † | (406,049) | (2,318,540) | |||
Penson Worldwide, Inc. † | (265,791) | (1,499,061) | |||
SLM Corp. † | (54,350) | (564,696) | |||
Stifel Financial Corp. † | (20,633) | (895,266) | |||
World Acceptance Corp. † | (885) | (33,904) | |||
(6,807,208) | |||||
Energy - (6.4)% | |||||
Apache Corp. | (46,008) | (3,873,414) | |||
ARC Energy Trust (Canada) | (41,875) | (776,097) | |||
Boardwalk Pipeline Partners LP | (2,300) | (69,184) | |||
Bristow Group, Inc. † | (7,648) | (224,851) | |||
Diamond Offshore Drilling, Inc. | (1,240) | (77,116) | |||
Exterran Holdings, Inc. † | (142,512) | (3,678,235) | |||
Exxon Mobil Corp. | (205,025) | (11,700,777) | |||
GMX Resources, Inc. † | (54,000) | (350,460) | |||
Goodrich Petroleum Corp. † | (14,931) | (179,172) | |||
International Coal Group, Inc. † | (308,919) | (1,189,338) | |||
James River Coal Co. † | (14,955) | (238,084) | |||
Massey Energy Co. | (9,890) | (270,491) | |||
Penn Virginia Corp. | (5,577) | (112,153) | |||
PetroBakken Energy Ltd. Class A (Canada) | (9,278) | (184,593) | |||
Petrobank Energy & Resources Ltd. † (Canada) | (15,531) | (546,368) | |||
Pioneer Natural Resources Co. | (9,275) | (551,399) | |||
QEP Resources, Inc. † | (13,401) | (413,153) | |||
Royal Dutch Shell PLC ADR (Netherlands) | (139,652) | (7,013,323) | |||
SandRidge Energy, Inc. † | (562,456) | (3,279,118) | |||
Schlumberger Ltd. | (120,096) | (6,646,113) | |||
Western Refining, Inc. † | (217,163) | (1,092,330) | |||
Whiting Petroleum Corp. † | (214) | (16,782) | |||
Willbros Group, Inc. † | (1,678) | (12,416) | |||
(42,494,967) | |||||
Food & Staples Retailing - (0.2)% | |||||
Nash Finch Co. | (14,242) | (486,507) | |||
Rite Aid Corp. † | (840,754) | (823,939) | |||
Spartan Stores, Inc. | (1,667) | (22,871) | |||
(1,333,317) | |||||
SHARES | VALUE (Note 3) | ||||
Food, Beverage & Tobacco - (0.4)% | |||||
Alliance One International, Inc. † | (349,602) | $ | (1,244,583) | ||
Bunge Ltd. | (9,926) | (488,260) | |||
Central European Distribution Corp. † | (5,500) | (117,590) | |||
Dole Food Co., Inc. † | (3,020) | (31,499) | |||
Embotelladora Andina SA Class B ADR (Chile) | (10,000) | (223,600) | |||
Vector Group Ltd. | (39,533) | (664,945) | |||
(2,770,477) | |||||
Health Care Equipment & Services - (0.9)% | |||||
Allscripts-Misys Healthcare Solutions, Inc. † | (175,263) | (2,821,734) | |||
China Medical Technologies, Inc. ADR (China) | (7,989) | (83,964) | |||
Greatbatch, Inc. † | (19,941) | (444,884) | |||
Molina Healthcare, Inc. † | (40,181) | (1,157,213) | |||
NovaMed, Inc. † | (9,389) | (77,928) | |||
SonoSite, Inc. † | (15,779) | (427,769) | |||
West Pharmaceutical Services, Inc. | (28,320) | (1,033,397) | |||
(6,046,889) | |||||
Household & Personal Products - (0.0)% (a) | |||||
American Oriental Bioengineering, Inc. † | (52,645) | (132,665) | |||
Insurance - (0.5)% | |||||
CNA Financial Corp. † | (4,275) | (109,270) | |||
CNO Financial Group, Inc. † | (162,180) | (802,791) | |||
Hartford Financial Services Group, Inc. | (7,700) | (170,401) | |||
Hilltop Holdings, Inc. † | (31,248) | (312,792) | |||
Old Republic International Corp. | (91,367) | (1,108,282) | |||
Stewart Information Services Corp. | (129,520) | (1,168,270) | |||
(3,671,806) | |||||
Materials - (2.1)% | |||||
Alcoa, Inc. | (52,955) | (532,727) | |||
ArcelorMittal (Luxembourg) | (91,443) | (2,447,015) | |||
BHP Billiton Ltd. ADR (Australia) | (57,088) | (3,538,885) | |||
Cemex SAB de CV ADR † (Mexico) | (188,474) | (1,822,544) | |||
Eldorado Gold Corp. (Canada) | (56,626) | (1,014,912) | |||
Kaiser Aluminum Corp. | (3,643) | (126,303) | |||
Owens-Illinois, Inc. † | (49,140) | (1,299,753) | |||
ShengdaTech, Inc. † (China) | (6,533) | (30,900) | |||
Sino-Forest Corp. † (Hong Kong) | (17,440) | (247,867) | |||
Steel Dynamics, Inc. | (12,830) | (169,228) | |||
Sterlite Industries Ltd. ADR (India) | (42,901) | (610,910) | |||
Stillwater Mining Co. † | (20,967) | (243,637) | |||
United States Steel Corp. | (25,480) | (982,254) | |||
Vale SA ADR (Brazil) | (32,639) | (794,760) | |||
(13,861,695) | |||||
Media - (5.0)% | |||||
CBS Corp. Class B | (9,650) | (124,775) | |||
Comcast Corp. Class A | (493,480) | (8,571,748) | |||
Discovery Communications, Inc. Class A † | (322,189) | (11,505,369) | |||
News Corp. Class B | (576,732) | (7,987,738) | |||
Sirius XM Radio, Inc. † | (815,481) | (774,299) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 48 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 3) | ||||
Media - (5.0)% (continued) | |||||
Viacom, Inc. Class A | (71,249) | $ | (2,540,739) | ||
Virgin Media, Inc. | (123,280) | (2,057,543) | |||
(33,562,211) | |||||
Pharmaceuticals, Biotechnology & Life Sciences - (2.1)% | |||||
Biovail Corp. (Canada) | (139,800) | (2,689,752) | |||
Charles River Laboratories International, Inc. † | (72,991) | (2,497,022) | |||
Incyte Corp., Ltd. † | (101,465) | (1,123,218) | |||
MannKind Corp. † | (12,044) | (76,961) | |||
Mylan, Inc. † | (180,225) | (3,071,034) | |||
Salix Pharmaceuticals Ltd. † | (5,000) | (195,150) | |||
Valeant Pharmaceuticals International † | (79,177) | (4,140,165) | |||
(13,793,302) | |||||
Real Estate - (1.1)% | |||||
Annaly Capital Management, Inc. REIT | (166,250) | (2,851,187) | |||
BioMed Realty Trust, Inc. REIT | (13,177) | (212,018) | |||
Boston Properties, Inc. REIT | (11,500) | (820,410) | |||
Digital Realty Trust, Inc. REIT | (22,750) | (1,312,220) | |||
Host Hotels & Resorts, Inc. REIT | (97,675) | (1,316,659) | |||
Kilroy Realty Corp. REIT | (11,806) | (350,992) | |||
Lexington Realty Trust REIT | (48,886) | (293,805) | |||
ProLogis REIT | (2,900) | (29,378) | |||
(7,186,669) | |||||
Retailing - (0.4)% | |||||
Blockbuster, Inc. Class A † | (2,310,878) | (550,220) | |||
Priceline.com, Inc. † | (879) | (155,179) | |||
Sonic Automotive, Inc. Class A † | (250,397) | (2,143,398) | |||
Talbots, Inc. † | (12,893) | (132,927) | |||
(2,981,724) | |||||
Semiconductors & Semiconductor Equipment - (1.0)% | |||||
Micron Technology, Inc. † | (91,350) | (775,561) | |||
ON Semiconductor Corp. † | (24,112) | (153,835) | |||
Photronics, Inc. † | (348,425) | (1,574,881) | |||
Rambus, Inc. † | (208,931) | (3,660,471) | |||
Verigy Ltd. (Singapore) † | (57,679) | (501,231) | |||
(6,665,979) | |||||
Software & Services - (1.8)% | |||||
Changyou.com Ltd. ADR † (China) | (78,752) | (2,036,526) | |||
Concur Technologies, Inc. † | (2,800) | (119,504) | |||
Convergys Corp. † | (116,737) | (1,145,190) | |||
DST Systems, Inc. | (27,987) | (1,011,450) | |||
Equinix, Inc. † | (4,789) | (388,963) | |||
GSI Commerce, Inc. † | (637) | (18,346) | |||
Mentor Graphics Corp. † | (701) | (6,204) | |||
Novell, Inc. † | (202,300) | (1,149,064) | |||
Sonic Solutions, Inc. † | (62,086) | (518,418) | |||
Symyx Technologies, Inc. † | (198,648) | (995,226) | |||
Take-Two Interactive Software, Inc. † | (56,092) | (504,828) | |||
Telvent GIT SA † (Spain) | (24,131) | (402,988) | |||
THQ, Inc. † | (171,824) | (742,280) |
SHARES | VALUE (Note 3) | ||||
Software & Services - (1.8)% (continued) | |||||
VeriSign, Inc. † | (104,169) | $ | (2,765,686) | ||
WebMD Health Corp. † | (2,888) | (134,090) | |||
(11,938,763) | |||||
Technology Hardware & Equipment - (3.0)% | |||||
Arris Group, Inc. † | (18,805) | (191,623) | |||
Ciena Corp. † | (188,424) | (2,389,216) | |||
CommScope, Inc. † | (98,041) | (2,330,435) | |||
Comtech Telecommunications Corp. † | (50,743) | (1,518,738) | |||
EMC Corp † | (224,339) | (4,105,404) | |||
Finisar Corp. † | (59,032) | (879,577) | |||
Kemet Corp. † | (5,985) | (14,005) | |||
Molex, Inc. | (431,278) | (7,866,510) | |||
TTM Technologies, Inc. † | (63,036) | (598,842) | |||
(19,894,350) | |||||
Telecommunication Services - (1.1)% | |||||
Alaska Communications Systems Group, Inc. | (14,765) | (125,354) | |||
CenturyLink, Inc. | (171,047) | (5,697,576) | |||
Level 3 Communications, Inc. † | (554,667) | (604,587) | |||
Qwest Communications International, Inc. | (29,635) | (155,584) | |||
Telephone & Data Systems, Inc. | (20,930) | (636,063) | |||
(7,219,164) | |||||
Transportation - (0.8)% | |||||
AMR Corp. † | (203,241) | (1,377,974) | |||
Hertz Global Holdings, Inc. † | (253,476) | (2,397,883) | |||
Kansas City Southern † | (33,607) | (1,221,614) | |||
(4,997,471) | |||||
Utilities - (1.5)% | |||||
FirstEnergy Corp. | (245,422) | (8,646,217) | |||
Questar Corp. † | (13,401) | (216,426) | |||
RRI Energy, Inc. † | (218,862) | (829,487) | |||
(9,692,130) | |||||
TOTAL COMMON STOCKS SOLD SHORT | (274,195,513) | ||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 49 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CONVERTIBLE BONDS SOLD SHORT - (0.2)% (2) | MOODY’S RATING* | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | ||||||||
Food, Beverage & Tobacco - (0.1)% | |||||||||||||
Molson Coors Brewing Co. | BBB- | ** | 2.500% | 07/30/13 | $ | (550) | $ | (589,875) | |||||
Semiconductors & Semiconductor Equipment - (0.1)% | |||||||||||||
Intel Corp. | A- | ** | 2.950% | 12/15/35 | (500) | (475,000) | |||||||
TOTAL CONVERTIBLE BONDS SOLD SHORT | (1,064,875) | ||||||||||||
CLOSED END FUNDS SOLD SHORT - (1.4)% | SHARES | ||||||||||||
iShares Dow Jones US Consumer Goods Sector Index Fund | (21,923) | (1,171,127) | |||||||||||
SPDR Barclays Capital High Yield Bond ETF | (135,104) | (5,110,984) | |||||||||||
SPDR Gold Trust † | (3,389) | (412,373) | |||||||||||
SPDR S&P 500 ETF Trust | (27,139) | (2,801,288) | |||||||||||
TOTAL CLOSED END FUNDS SOLD SHORT | (9,495,772) | ||||||||||||
TOTAL SECURITIES SOLD SHORT | (284,756,160) | ||||||||||||
TOTAL INVESTMENTS, NET OF SECURITIES | 499,813,654 | ||||||||||||
OTHER ASSETS IN EXCESSS OF LIABILITES - 24.9% | 166,136,098 | ||||||||||||
NET ASSETS - 100.0% | $ | 665,949,752 | |||||||||||
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | Represents less than 0.05 percent of net assets. |
(b) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2010, the value of these securities was $231,728,065. |
(c) | Private Placement security. |
(d) | Represents a step bond. The rate shown reflects the effective yield at June 30, 2010. |
(e) | Indicates a variable rate security. The interest rate shown represents the discount rate at June 30, 2010. |
(f) | Represents a Pay-In-Kind Bond. |
(g) | Defaulted security. |
(h) | Represents annualized seven-day yield as of June 30, 2010. |
* | The rating reflected is as June 30, 2010. Rating of certain bonds may have changed subsequent to that date. |
** | S &P Rating provided. |
All securities are Level 1, unless noted otherwise in parentheses.
(2) | Level 2 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
ADS - American Depositary Shares
NR - Not Rated by Moody’s
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 50 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Open Written Options contracts outstanding at June 30, 2010:
SHARES | TYPE | COUNTERPARTY | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
198 | Airgas, Inc. (exercise price $60) | Goldman Sachs | July 17, 2010 | $ | (82,961) | $ | (49,500) | $ | 33,461 | ||||||
288 | Casey’s General Stores, Inc. (exercise price $35) | Goldman Sachs | July 17, 2010 | (32,363) | (17,280) | 15,083 | |||||||||
15 | Casey’s General Stores, Inc. (exercise price $35) | Goldman Sachs | August 21, 2010 | (4,267) | (1,800) | 2,467 | |||||||||
374 | Comerica, Inc. (exercise price $45) | Goldman Sachs | January 21, 2012 | (261,422) | (132,770) | 128,652 | |||||||||
408 | Dollar Thrifty Automotive, Inc. (exercise price $40) | Goldman Sachs | July 17, 2010 | (178,769) | (128,520) | 50,249 | |||||||||
244 | Gerernal Growth Properties (exercise price $15) | Goldman Sachs | July 17, 2010 | (14,457) | (2,440) | 12,017 | |||||||||
736 | Gerdau Ameristeel Corp. (exercise price $10) | Goldman Sachs | September 18, 2010 | (75,439) | (77,280) | (1,841) | |||||||||
875 | Novell, Inc. (exercise price $6) | Goldman Sachs | July 17, 2010 | (19,769) | (13,125) | 6,644 | |||||||||
199 | Novell, Inc. (exercise price $5) | Goldman Sachs | August 21, 2010 | (21,191) | (17,910) | 3,281 | |||||||||
754 | Novell, Inc. (exercise price $6) | Goldman Sachs | August 21, 2010 | (25,696) | (18,850) | 6,846 | |||||||||
2,073 | Palm, Inc. (exercise price $6) | Goldman Sachs | November 20, 2010 | (4,938) | (2,073) | 2,865 | |||||||||
5,520 | Palm, Inc. (exercise price $6) | Goldman Sachs | August 21, 2010 | (31,145) | (5,520) | 25,625 | |||||||||
190 | PNC Financial Services Group (exercise price $70) | Goldman Sachs | August 21, 2010 | (65,264) | (3,230) | 62,034 | |||||||||
340 | Signature Bank (exercise price $45) | Goldman Sachs | December 18, 2010 | (60,859) | (35,700) | 25,159 | |||||||||
340 | Signature Bank (exercise price $45) | Goldman Sachs | September 18, 2010 | (37,059) | (12,750) | 24,309 | |||||||||
22 | Sybase, Inc. (exercise price $65) | Goldman Sachs | July 17, 2010 | (203) | (22) | 181 | |||||||||
80 | Sybase, Inc. (exercise price $65) | Goldman Sachs | September 18, 2010 | (1,960) | (400) | 1,560 | |||||||||
204 | Talecris Biotherapeutics (exercise price $20) | Goldman Sachs | July 17, 2010 | (14,714) | (25,500) | (10,786) | |||||||||
322 | Wells Fargo & Co. (exercise price $35) | Goldman Sachs | January 21, 2012 | (118,816) | (68,586) | 50,230 | |||||||||
$ | (1,051,292) | $ | (613,256) | $ | 438,036 | ||||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 51 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Credit default swap contracts purchased as of June 30, 2010:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID | TERMINATION DATE | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Deutsche Bank | Markit CDX North America High Yield Index - Series 14 | 2.175% | $7,950,000 | $227,448 | 06/20/2015 | $197,164 | ||||||
Deutsche Bank | Banco Santander Sa | 1.000% | 3,380,000 | 227,334 | 06/20/2015 | 47,590 | ||||||
The Royal Bank of Scotland | Markit CDX North America High Yield Index - Series 14 | 2.175% | 11,250,000 | 624,961 | 06/20/2015 | (16,177) | ||||||
$228,577 | ||||||||||||
Credit default swap contract sold as of June 30, 2010:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE PAID BY FUND | NOTIONAL AMOUNT | UPFRONT PREMIUM RECEIVED | TERMINATION DATE | NET UNREALIZED DEPRECIATION | ||||||
The Royal Bank of Scotland | Ford Motor Co. | 1.000% | $(6,500,000) | $(22,962) | 09/20/2010 | $(857) | ||||||
Open futures contracts outstanding at June 30, 2010:
NUMBER OF CONTRACTS | TYPE | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRICIATION) | ||||||||
Short Contracts: | |||||||||||||
945 | CME E-Mini S&P 500 Index | September 17, 2010 | $ | (51,891,721) | $ | (48,506,850) | $ | 3,384,871 | |||||
152 | CBT US 2YR Note | September 30, 2010 | (33,165,623) | (33,261,875) | (96,252) | ||||||||
517 | CBT US 5YR Note | September 30, 2010 | (60,390,435) | (61,187,758) | (797,323) | ||||||||
$ | (145,447,779) | $ | (142,956,483) | $ | 2,491,296 | ||||||||
Cash held as collateral with broker for futures contracts was $4,366,361 at June 30, 2010.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 52 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2010:
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT 2010 | NET UNREALIZED DEPRECIATION | |||||||||
Australian Dollar, Expiring 03/01/2011 | The Royal Bank of Scotland | AUD | 1,526,000 | $ | 1,284,968 | $ | 1,248,379 | $ | (36,589) | ||||||
Mexican Nuevo Peso Expiring 09/15/2010 | The Royal Bank of Scotland | MXN | 93,067,555 | 7,275,734 | 7,136,409 | (139,325) | |||||||||
$ | 8,560,702 | $ | 8,384,788 | $ | (175,914) | ||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENT AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Australian Dollar, Expiring 03/01/2011 | The Royal Bank of Scotland | AUD | (1,526,000) | $ | (1,294,811) | $ | (1,248,379) | $ | 46,432 | ||||||
European Dollar, Expiring 06/22/2011 | The Royal Bank of Scotland | EUR | (5,100,000) | (6,461,700) | (6,249,204) | 212,496 | |||||||||
European Dollar, Expiring 09/20/2010 | The Royal Bank of Scotland | EUR | (3,147,000) | (3,787,729) | (3,850,128) | (62,399) | |||||||||
Mexican Nuevo Peso Expiring 09/15/2010 | The Royal Bank of Scotland | MXN | (93,067,555) | (7,153,588) | (7,136,410) | 17,178 | |||||||||
$ | (18,697,828) | $ | (18,484,121) | $ | 213,707 | ||||||||||
$ | (10,137,126) | $ | (10,099,333) | $ | 37,793 | ||||||||||
AUD - Australian Dollar
EUR - European Dollar
MXN - Mexican Nuevo Peso
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 53 | |||||||
Consolidated Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
MONEY MARKET FUNDS - 90.3% | SHARES | VALUE (Note 3) | |||
Dreyfus Institutional Cash Advantage Fund, 0.19% (a) | 158,261,127 | $ | 158,261,127 | ||
UBS Select Prime Institutional Fund, 0.19% (a) | 19,003,722 | 19,003,722 | |||
TOTAL INVESTMENTS - 90.3% | 177,264,849 | ||||
OTHER ASSETS LESS LIABILITIES - 9.7% (b) | 19,070,947 | ||||
NET ASSETS - 100.0% | $ | 196,335,796 | |||
(a) | Represents annualized seven-day yield as of June 30, 2010. |
(b) | Includes appreciation (depreciation) on futures contracts and forward foreign currency exchange contracts. |
All securities are Level 2.
Open futures contracts at June 30, 2010:
NUMBER OF CONTRACTS | TYPE | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||
Long Contracts: | ||||||||||
196 | 10-Year MINI JGB Futures | September 8, 2010 | $31,156,645 | $31,394,582 | $237,937 | |||||
94 | 3-Month Euro Euribor | June 13, 2011 | 28,375,935 | 28,402,251 | 26,316 | |||||
48 | 3-Month Euro Euribor | December 13, 2010 | 14,532,962 | 14,519,419 | (13,543) | |||||
97 | 3-Month Euro Euribor | December 19, 2011 | 29,186,736 | 29,249,398 | 62,662 | |||||
99 | 3-Month Euro Euribor | March 19, 2012 | 29,741,399 | 29,820,700 | 79,301 | |||||
74 | 3-Month Euro Euribor | March 14, 2011 | 22,371,451 | 22,372,793 | 1,342 | |||||
103 | 3-Month Euro Euribor | June 18, 2012 | 30,974,415 | 30,986,215 | 11,800 | |||||
98 | 3-Month Euro Euribor | September 19, 2011 | 29,540,924 | 29,589,886 | 48,962 | |||||
101 | 90-Day Euro $ Futures | March 14, 2011 | 25,008,468 | 25,037,900 | 29,432 | |||||
95 | 90-Day Euro $ Futures | March 19, 2012 | 23,248,240 | 23,396,125 | 147,885 | |||||
119 | 90-Day Euro $ Futures | June 13, 2011 | 29,383,573 | 29,470,350 | 86,777 | |||||
90 | 90-Day Euro $ Futures | June 18, 2012 | 22,042,835 | 22,113,001 | 70,166 | |||||
110 | 90-Day Euro $ Futures | September 19, 2011 | 27,080,725 | 27,201,625 | 120,900 | |||||
63 | 90-Day Euro $ Futures | December 13, 2010 | 15,619,537 | 15,628,725 | 9,188 | |||||
101 | 90-Day Euro $ Futures | December 19, 2011 | 24,786,193 | 24,924,275 | 138,082 | |||||
137 | 90-Day Sterling Futures | March 16, 2011 | 25,284,607 | 25,322,893 | 38,286 | |||||
134 | 90-Day Sterling Futures | March 21, 2012 | 24,494,264 | 24,585,687 | 91,423 | |||||
151 | 90-Day Sterling Futures | June 15, 2011 | 27,798,147 | 27,871,153 | 73,006 | |||||
107 | 90-Day Sterling Futures | June 20, 2012 | 19,554,174 | 19,585,892 | 31,718 | |||||
143 | 90-Day Sterling Futures | September 21, 2011 | 26,251,697 | 26,349,133 | 97,436 | |||||
121 | 90-Day Sterling Futures | December 15, 2010 | 22,368,840 | 22,383,554 | 14,714 | |||||
137 | 90-Day Sterling Futures | December 21, 2011 | 25,069,595 | 25,184,727 | 115,132 | |||||
18 | Amsterdam Index | July 16, 2010 | 1,487,180 | 1,393,318 | (93,862) | |||||
152 | Australia 10-Year Bond Futures | September 15, 2010 | 13,504,469 | 13,682,774 | 178,305 | |||||
351 | Australia 3-Year Bond Futures | September 15, 2010 | 30,559,690 | 30,725,855 | 166,165 | |||||
41 | Bank Acceptance Futures | March 14, 2011 | 9,472,536 | 9,490,794 | 18,258 | |||||
35 | Bank Acceptance Futures | December 13, 2010 | 8,112,722 | 8,116,693 | 3,971 | |||||
32 | CAC40 10 Euro | July 16, 2010 | 1,444,250 | 1,346,899 | (97,351) | |||||
98 | Canada 10-Year Bond Futures | September 21, 2010 | 11,221,947 | 11,399,503 | 177,556 | |||||
341 | CBT US 2-Year Note | September 30, 2010 | 74,410,469 | 74,620,391 | 209,922 | |||||
164 | CBT US 5-Year Note | September 30, 2010 | 19,174,946 | 19,409,656 | 234,710 | |||||
55 | CBT US 10-Year Note | September 23, 2010 | 6,593,473 | 6,740,078 | 146,605 | |||||
18 | CBT US Long Bond | September 23, 2010 | 2,200,652 | 2,295,000 | 94,348 | |||||
14 | Cocoa Futures | September 15, 2010 | 434,038 | 412,160 | (21,878) | |||||
49 | Coffee “C” Futures | September 20, 2010 | 2,742,489 | 3,047,494 | 305,005 | |||||
37 | Cotton No.2 Futures | December 8, 2010 | 1,464,318 | 1,413,030 | (51,288) | |||||
10 | DAX Index Futures | September 17, 2010 | 1,903,825 | 1,822,509 | (81,316) | |||||
35 | DJIA MINI E-CBOT | September 17, 2010 | 1,829,458 | 1,700,300 | (129,158) | |||||
46 | Euro –Bobl Futures | September 8, 2010 | 6,755,062 | 6,801,336 | 46,274 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 54 | |||||||
Consolidated Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | TYPE | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||
Long Contracts: (continued) | |||||||||||||
26 | Euro - Bund Futures | September 8, 2010 | $ | 4,065,183 | $ | 4,113,848 | $ | 48,665 | |||||
78 | Euro CHF 3-Month LIFFE | December 13, 2010 | 18,031,953 | 18,049,960 | 18,007 | ||||||||
69 | Euro CHF 3-Month LIFFE | March 14, 2011 | 15,945,762 | 15,951,269 | 5,507 | ||||||||
263 | Euro -SCHATZ Futures | September 8, 2010 | 35,207,083 | 35,225,971 | 18,888 | ||||||||
11 | Euro-Buxl 30Y Bond | September 8, 2010 | 1,467,575 | 1,507,900 | 40,325 | ||||||||
8 | FTSE 100 Index Futures | September 17, 2010 | 624,604 | 583,355 | (41,249) | ||||||||
1 | FTSE/MIB Index Futures | September 16, 2010 | 126,626 | 118,285 | (8,341) | ||||||||
20 | Gold 100 OZ Futures | August 27, 2010 | 2,456,886 | 2,491,800 | 34,914 | ||||||||
12 | Hang Seng Index | July 29, 2010 | 1,600,403 | 1,547,137 | (53,266) | ||||||||
36 | KOSP12 Index Future | September 9, 2010 | 3,243,459 | 3,251,730 | 8,271 | ||||||||
4 | LME Nickel Futures | September 13, 2010 | 481,062 | 473,736 | (7,326) | ||||||||
42 | Long Gilt | September 28, 2010 | 7,453,550 | 7,596,145 | 142,595 | ||||||||
36 | MSCI SING IX ETS | July 29, 2010 | 1,738,995 | 1,729,379 | (9,616) | ||||||||
5 | MSCI Taiwan Index | July 29, 2010 | 129,183 | 126,100 | (3,083) | ||||||||
14 | NASDAQ 100 E-Mini Futures | September 17, 2010 | 540,255 | 486,640 | (53,615) | ||||||||
20 | RUSSELL 2000 Mini | September 17, 2010 | 1,341,502 | 1,215,600 | (125,902) | ||||||||
18 | S&P MID 400 E-Mini Futures | September 17, 2010 | 1,399,653 | 1,278,000 | (121,653) | ||||||||
11 | S&P/TSX 60 IX | September 16, 2010 | 1,447,820 | 1,362,303 | (85,517) | ||||||||
28 | S&P500 E-Mini Futures | September 17, 2010 | 1,566,460 | 1,437,240 | (129,220) | ||||||||
189 | SGX S&P CNX Nifty Index Futures | July 29, 2010 | 2,021,370 | 2,010,582 | (10,788) | ||||||||
15 | Silver Futures | September 28, 2010 | 1,420,580 | 1,403,100 | (17,480) | ||||||||
60 | Soybean Meal Futures | December 14, 2010 | 1,554,291 | 1,556,400 | 2,109 | ||||||||
24 | SPI 200 Futures | September 16, 2010 | 2,294,481 | 2,152,525 | (141,956) | ||||||||
2,135,457 | |||||||||||||
Short Contracts: | |||||||||||||
53 | Brent FIN Last Day | July 15, 2010 | (4,017,230) | (3,975,530) | 41,700 | ||||||||
339 | Corn Futures | September 14, 2010 | (5,913,434) | (6,148,613) | (235,179) | ||||||||
8 | FTSE/JSE Top 40 Index | September 17, 2010 | (246,058) | (243,127) | 2,931 | ||||||||
55 | Globex Crude Oil | July 19, 2010 | (4,175,230) | (4,159,650) | 15,580 | ||||||||
1 | Globex Heat Oil | July 29, 2010 | (85,373) | (84,601) | 772 | ||||||||
1 | Globex RBOB Gasoline | July 29, 2010 | (85,680) | (86,537) | (857) | ||||||||
6 | H-SHARES Index Futures | July 29, 2010 | (435,644) | (439,777) | (4,133) | ||||||||
7 | IBEX 35 Index Futures | July 16, 2010 | (779,485) | (787,774) | (8,289) | ||||||||
16 | Lean Hogs Futures | August 13, 2010 | (522,649) | (522,560) | 89 | ||||||||
9 | LME Copper Futures | September 13, 2010 | (1,514,388) | (1,464,975) | 49,413 | ||||||||
6 | LME PRI Aluminum Futures | September 13, 2010 | (293,775) | (296,025) | (2,250) | ||||||||
1 | LME Zinc Futures | September 13, 2010 | (44,475) | (44,694) | (219) | ||||||||
4 | Natural Gas Swaps | July 28,2010 | (47,970) | (46,160) | 1,810 | ||||||||
141 | Soybean Futures | November 12, 2010 | (6,411,376) | (6,362,625) | 48,751 | ||||||||
200 | Soybean Oil Futures | December 14, 2010 | (4,545,924) | (4,460,400) | 85,524 | ||||||||
336 | Sugar #11 (World Markets) | September 30, 2010 | (5,778,653) | (6,043,699) | (265,046) | ||||||||
28 | TOPIX Index Futures | September 9, 2010 | (2,673,571) | (2,655,432) | 18,139 | ||||||||
212 | Wheat Futures | September 14, 2010 | (4,836,476) | (5,090,650) | (254,174) | ||||||||
(505,438) | |||||||||||||
$ | 1,630,019 | ||||||||||||
Cash held as collateral with broker for futures contracts was $ 2,488,481 at June 30, 2010.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 55 | |||||||
Consolidated Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2010:
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Australian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | AUD | 9,307,000 | $8,007,549 | $7,760,911 | $(246,638) | ||||||
Brazil Real, Expiring 09/15/10 | The Royal Bank of Scotland | BRL | 3,140,000 | 1,717,545 | 1,708,834 | (8,711) | ||||||
Canadian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | CAN | 11,442,000 | 11,023,106 | 10,742,509 | (280,597) | ||||||
Swiss Franc, Expiring 09/15/10 | The Royal Bank of Scotland | CHF | 36,523,000 | 31,899,224 | 33,935,092 | 2,035,868 | ||||||
Chilean Peso, Expiring 09/15/10 | The Royal Bank of Scotland | CLP | 150,000,000 | 283,436 | 274,826 | (8,610) | ||||||
Colombian Peso, Expiring 09/15/10 | The Royal Bank of Scotland | COP | 260,000,000 | 131,485 | 136,473 | 4,988 | ||||||
Czech Koruna, Expiring 09/15/10 | The Royal Bank of Scotland | CZK | 112,900,000 | 5,381,900 | 5,367,610 | (14,290) | ||||||
Euro, Expiring 09/15/10 | The Royal Bank of Scotland | EUR | 38,456,000 | 46,296,385 | 47,046,523 | 750,138 | ||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | 18,902,000 | 27,786,703 | 28,240,363 | 453,660 | ||||||
Hungarian Forint, Expiring 09/15/10 | The Royal Bank of Scotland | HUF | 226,000,000 | 989,161 | 960,436 | (28,725) | ||||||
Indonesian Rupiah, Expiring 09/15/10 | The Royal Bank of Scotland | IDR | 9,100,000,000 | 968,135 | 990,990 | 22,855 | ||||||
Israeli Shekel, Expiring 09/15/10 | The Royal Bank of Scotland | ILS | 360,000 | 93,750 | 92,578 | (1,172) | ||||||
Indian Rupee, Expiring 09/15/10 | The Royal Bank of Scotland | INR | 176,400,000 | 3,747,087 | 3,763,786 | 16,699 | ||||||
Japanese Yen, Expiring 09/15/10 | The Royal Bank of Scotland | JPY | 4,015,943,000 | 44,407,707 | 45,481,892 | 1,074,185 | ||||||
Korean Won, Expiring 09/15/10 | The Royal Bank of Scotland | KRW | 6,480,000,000 | 5,392,290 | 5,289,443 | (102,847) | ||||||
Mexican Nuevo Peso, Expiring 09/15/10 | The Royal Bank of Scotland | MXN | 67,500,000 | 5,242,687 | 5,175,892 | (66,795) | ||||||
Malaysian Ringgit, Expiring 09/15/10 | The Royal Bank of Scotland | MYR | 5,970,000 | 1,799,005 | 1,837,381 | 38,376 | ||||||
Norwegian Krone, Expiring 09/15/10 | The Royal Bank of Scotland | NOR | 78,212,000 | 12,063,921 | 11,970,172 | (93,749) | ||||||
New Zealand Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | NZD | 20,369,000 | 13,722,269 | 13,889,331 | 167,062 | ||||||
Philippine Peso, Expiring 09/15/10 | The Royal Bank of Scotland | PHP | 120,500,000 | 2,601,679 | 2,578,368 | (23,311) | ||||||
Polish Zloty, Expiring 09/15/10 | The Royal Bank of Scotland | PLN | 2,890,000 | 864,663 | 847,517 | (17,146) | ||||||
Russian Ruble, Expiring 09/15/10 | The Royal Bank of Scotland | RUB | 59,800,000 | 1,926,389 | 1,902,445 | (23,944) | ||||||
Swedish Krona, Expiring 09/15/10 | The Royal Bank of Scotland | SEK | 78,311,000 | 9,971,656 | 10,042,932 | 71,276 | ||||||
Singapore Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | SGD | 12,190,000 | 8,745,037 | 8,714,384 | (30,653) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 56 | |||||||
Consolidated Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
(continued) | ||||||||||||
Turkish Lira, Expiring 09/15/10 | The Royal Bank of Scotland | TRY | 5,560,000 | $3,499,696 | $3,468,193 | $(31,503) | ||||||
Taiwan Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | TWD | 140,400,000 | 4,442,343 | 4,391,900 | (50,443) | ||||||
South African Rand Expiring 09/15/10 | The Royal Bank of Scotland | ZAR | 18,800,000 | 2,435,216 | 2,416,702 | (18,514) | ||||||
255,440,024 | 259,027,483 | 3,587,459 | ||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
Australian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | AUD | (20,686,000) | $(17,144,909) | $(17,249,619) | $(104,710) | ||||||
Brazil Real, Expiring 09/15/10 | The Royal Bank of Scotland | BRL | (600,000) | (315,102) | (326,529) | (11,427) | ||||||
Canadian Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | CAD | (5,015,000) | (4,744,748) | (4,708,415) | 36,333 | ||||||
Swiss Franc, Expiring 09/15/10 | The Royal Bank of Scotland | CHF | (46,654,000) | (40,998,436) | (43,348,240) | (2,349,804) | ||||||
Chilian Peso, Expiring 09/15/10 | The Royal Bank of Scotland | CLP | (468,000,000) | (862,123) | (857,457) | 4,666 | ||||||
Czech Koruna, Expiring 09/15/10 | The Royal Bank of Scotland | CZK | (100,900,000) | (4,761,551) | (4,797,093) | (35,542) | ||||||
Euro, Expiring 09/15/10 | The Royal Bank of Scotland | EUR | (89,400,000) | (109,621,702) | (109,370,687) | 251,015 | ||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | (3,586,000) | (5,191,940) | (5,357,631) | (165,691) | ||||||
Hungarian Forint, Expiring 09/15/10 | The Royal Bank of Scotland | HUF | (99,000,000) | (415,517) | (420,722) | (5,205) | ||||||
Israeli Shekel, Expiring 09/15/10 | The Royal Bank of Scotland | ILS | (5,850,000) | (1,511,929) | (1,504,392) | 7,537 | ||||||
Indian Rupee, Expiring 09/15/10 | The Royal Bank of Scotland | INR | (235,000,000) | (4,992,820) | (5,014,114) | (21,294) | ||||||
Japanese Yen, Expiring 09/15/10 | The Royal Bank of Scotland | JPY | (1,637,169,000) | (17,955,430) | (18,541,484) | (586,054) | ||||||
Korean Won, Expiring 09/15/10 | The Royal Bank of Scotland | KRW | (7,280,000,000) | (5,918,970) | (5,942,460) | (23,490) | ||||||
Mexican Nuevo Peso, Expiring 09/15/10 | The Royal Bank of Scotland | MXN | (38,100,000) | (2,941,271) | (2,921,504) | 19,767 | ||||||
Malaysian Ringgit, Expiring 09/15/10 | The Royal Bank of Scotland | MYR | (7,180,000) | (2,198,030) | (2,209,782) | (11,752) | ||||||
Norwegian Krone, Expiring 09/15/10 | The Royal Bank of Scotland | NOR | (22,968,000) | (3,554,489) | (3,515,200) | 39,289 | ||||||
Philippine Peso, Expiring 09/15/10 | The Royal Bank of Scotland | PHP | (106,000,000) | (2,249,384) | (2,268,108) | (18,724) | ||||||
Polish Zloty, Expiring 09/15/10 | The Royal Bank of Scotland | PLN | (1,180,000) | (345,868) | (346,045) | (177) | ||||||
Russian Ruble, Expiring 09/15/10 | The Royal Bank of Scotland | RUB | (18,600,000) | (596,057) | (591,730) | 4,327 | ||||||
Swedish Krona, Expiring 09/15/10 | The Royal Bank of Scotland | SEK | (16,261,000) | (2,065,192) | (2,085,379) | (20,187) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 57 | |||||||
Consolidated Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
(continued) | |||||||||||||||
Singapore Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | SGD | (16,450,000) | $ | (11,752,472) | $ | (11,759,772) | $ | (7,300) | ||||||
Turkish Lira, Expiring 09/15/10 | The Royal Bank of Scotland | TRY | (590,000) | (369,510) | (368,027) | 1,483 | |||||||||
Taiwan Dollar, Expiring 09/15/10 | The Royal Bank of Scotland | TWD | (395,100,000) | (12,363,281) | (12,359,258) | 4,023 | |||||||||
South African Rand Expiring 09/15/10 | The Royal Bank of Scotland | ZAR | (3,100,000) | (401,251) | (398,499) | 2,752 | |||||||||
(253,271,982) | (256,262,147) | (2,990,165) | |||||||||||||
$ | (518,712,006) | $ | (515,289,630) | $ | 597,294 | ||||||||||
AUD - Australian Dollar
BRL - Brazil Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Koruna
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Republic of Korea Won
MXN - Mexican Nuevo Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Polish Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 58 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND |
COMMON STOCKS - 98.9% | SHARES | VALUE (Note 3) | |||
Automobiles & Components - 2.4% | |||||
Dana Holding Corp. † | 600 | $ | 6,000 | ||
Federal-Mogul Corp. † | 300 | 3,906 | |||
Ford Motor Co. †(b) | 36,243 | 365,329 | |||
Gentex Corp. | 1,500 | 26,970 | |||
Harley-Davidson, Inc. | 3,000 | 66,690 | |||
TRW Automotive Holdings Corp. † | 1,100 | 30,327 | |||
499,222 | |||||
Banks - 5.4% | |||||
Comerica, Inc. | 2,100 | 77,343 | |||
East West Bancorp, Inc. | 1,700 | 25,925 | |||
Fifth Third Bancorp | 8,500 | 104,465 | |||
Huntington Bancshares, Inc. | 8,400 | 46,536 | |||
KeyCorp | 6,400 | 49,216 | |||
M&T Bank Corp. | 1,500 | 127,425 | |||
Marshall & Ilsley Corp. | 4,800 | 34,464 | |||
MGIC Investment Corp. † | 2,100 | 14,469 | |||
New York Community Bancorp, Inc. | 3,800 | 58,026 | |||
PNC Financial Services Group, Inc. (b) | 5,300 | 299,450 | |||
Regions Financial Corp. | 10,700 | 70,406 | |||
SunTrust Banks, Inc. | 5,400 | 125,820 | |||
SVB Financial Group † | 600 | 24,738 | |||
Zions Bancorporation | 1,900 | 40,983 | |||
1,099,266 | |||||
Capital Goods - 10.1% | |||||
Armstrong World Industries, Inc. † | 100 | 3,018 | |||
BE Aerospace, Inc. † | 900 | 22,887 | |||
Boeing Co. | 7,400 | 464,350 | |||
Bucyrus International, Inc. | 1,100 | 52,195 | |||
Carlisle Cos., Inc. | 300 | 10,839 | |||
Caterpillar, Inc. | 6,100 | 366,427 | |||
Cummins, Inc. | 2,000 | 130,260 | |||
Eaton Corp. | 1,900 | 124,336 | |||
Emerson Electric Co. | 6,800 | 297,092 | |||
Fastenal Co. | 1,100 | 55,209 | |||
Kennametal, Inc. | 1,200 | 30,516 | |||
Manitowoc Co., Inc. | 1,600 | 14,624 | |||
Oshkosh Corp. † | 900 | 28,044 | |||
Owens Corning, Inc. † | 1,300 | 38,883 | |||
Precision Castparts Corp. | 1,800 | 185,256 | |||
Regal-Beloit Corp. | 400 | 22,312 | |||
Rockwell Automation, Inc. | 1,500 | 73,635 | |||
Terex Corp. † | 1,200 | 22,488 | |||
Textron, Inc. (b) | 3,200 | 54,304 | |||
Timken Co. | 500 | 12,995 | |||
TransDigm Group, Inc. † | 500 | 25,515 | |||
USG Corp. † | 900 | 10,872 | |||
WABCO Holdings, Inc. † | 500 | 15,740 | |||
WESCO International, Inc. † | 500 | 16,835 | |||
2,078,632 | |||||
Commercial & Professional Services - 0.2% | |||||
RR Donnelley & Sons Co. | 2,700 | 44,199 | |||
SHARES | VALUE (Note 3) | ||||
Consumer Durables & Apparel - 4.2% | |||||
Brunswick Corp. | 1,000 | $ | 12,430 | ||
Coach, Inc. | 3,307 | 120,871 | |||
Deckers Outdoor Corp. † | 200 | 28,574 | |||
Fossil, Inc. † | 1,100 | 38,170 | |||
Hanesbrands, Inc. † | 800 | 19,248 | |||
Harman International Industries, Inc. † | 700 | 20,923 | |||
Hasbro, Inc. | 1,500 | 61,650 | |||
Jarden Corp. | 1,200 | 32,244 | |||
Leggett & Platt, Inc. | 1,500 | 30,090 | |||
Lennar Corp. Class A | 3,000 | 41,730 | |||
Mohawk Industries, Inc. † | 500 | 22,880 | |||
Newell Rubbermaid, Inc. | 3,600 | 52,704 | |||
Phillips-Van Heusen Corp. | 600 | 27,762 | |||
Polaris Industries, Inc. | 200 | 10,924 | |||
Polo Ralph Lauren Corp. | 1,000 | 72,960 | |||
Stanley Black & Decker, Inc. | 2,300 | 116,196 | |||
Tempur-Pedic International, Inc. † | 800 | 24,600 | |||
Tupperware Brands Corp. | 800 | 31,880 | |||
Whirlpool Corp. | 1,000 | 87,820 | |||
853,656 | |||||
Consumer Services - 4.3% | |||||
Chipotle Mexican Grill, Inc. † | 300 | 41,043 | |||
Coinstar, Inc. † | 400 | 17,188 | |||
Las Vegas Sands Corp. †(b) | 6,300 | 139,482 | |||
Marriott International, Inc. Class A | 3,300 | 98,802 | |||
MGM Resorts International †(b) | 5,400 | 52,056 | |||
Panera Bread Co. Class A † | 400 | 30,116 | |||
Royal Caribbean Cruises Ltd. † | 2,600 | 59,202 | |||
Sotheby’s | 700 | 16,009 | |||
Starbucks Corp. | 8,734 | 212,236 | |||
Starwood Hotels & Resorts Worldwide, Inc. | 2,000 | 82,860 | |||
Wyndham Worldwide Corp. | 2,000 | 40,280 | |||
Wynn Resorts Ltd. | 1,300 | 99,151 | |||
888,425 | |||||
Diversified Financials - 3.9% | |||||
American Capital Ltd. † | 2,500 | 12,050 | |||
American Express Co. | 11,000 | 436,700 | |||
AmeriCredit Corp. † | 1,100 | 20,042 | |||
Ameriprise Financial, Inc. | 3,100 | 112,003 | |||
Apollo Investment Corp. | 800 | 7,464 | |||
Ares Capital Corp. | 1,300 | 16,289 | |||
Capital One Financial Corp. | 4,600 | 185,380 | |||
Raymond James Financial, Inc. | 700 | 17,283 | |||
807,211 | |||||
Energy - 4.3% | |||||
Atlas Energy, Inc. † | 1,100 | 29,777 | |||
Brigham Exploration Co. † | 1,200 | 18,456 | |||
Cimarex Energy Co. | 900 | 64,422 | |||
Concho Resources, Inc. † | 900 | 49,797 | |||
Continental Resources, Inc. † | 1,500 | 66,930 | |||
EOG Resources, Inc. | 2,200 | 216,414 | |||
FMC Technologies, Inc. † | 1,700 | 89,522 | |||
Forest Oil Corp. † | 1,100 | 30,096 | |||
Massey Energy Co. | 1,400 | 38,290 | |||
Newfield Exploration Co. † | 1,500 | 73,290 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 59 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Energy - 4.3% (continued) | |||||
Oil States International, Inc. † | 400 | $ | 15,832 | ||
Patriot Coal Corp. †(b) | 1,400 | 16,450 | |||
Pioneer Natural Resources Co. | 1,300 | 77,285 | |||
SM Energy Co. | 900 | 36,144 | |||
Unit Corp. † | 400 | 16,236 | |||
Whiting Petroleum Corp. † | 600 | 47,052 | |||
885,993 | |||||
Food & Staples Retailing - 0.3% | |||||
Whole Foods Market, Inc. † | 1,400 | 50,428 | |||
Food, Beverage & Tobacco - 2.1% | |||||
Coca-Cola Enterprises, Inc. | 5,123 | 132,481 | |||
Cosan Ltd. Class A † (Brazil) | 1,000 | 9,340 | |||
Del Monte Foods Co. | 2,000 | 28,780 | |||
Dr Pepper Snapple Group, Inc. | 2,700 | 100,953 | |||
Mead Johnson Nutrition Co. | 1,600 | 80,192 | |||
Sara Lee Corp. | 6,300 | 88,830 | |||
440,576 | |||||
Health Care Equipment & Services - 4.3% | |||||
AmerisourceBergen Corp. | 2,800 | 88,900 | |||
Brookdale Senior Living, Inc. † | 300 | 4,500 | |||
Cardinal Health, Inc. | 3,700 | 124,357 | |||
Community Health Systems, Inc. † | 1,400 | 47,334 | |||
Edwards Lifesciences Corp. † | 1,000 | 56,020 | |||
Health Management Associates, Inc. Class A † | 2,668 | 20,730 | |||
Health Net, Inc. † | 1,000 | 24,370 | |||
Hill-Rom Holdings, Inc. | 500 | 15,215 | |||
Intuitive Surgical, Inc. † | 400 | 126,248 | |||
Kinetic Concepts, Inc. † | 400 | 14,604 | |||
Lincare Holdings, Inc. †(b) | 1,850 | 60,144 | |||
McKesson Corp. | 2,500 | 167,900 | |||
ResMed, Inc. † | 600 | 36,486 | |||
Sirona Dental Systems, Inc. † | 300 | 10,452 | |||
Tenet Healthcare Corp. † | 6,900 | 29,946 | |||
Thoratec Corp. † | 500 | 21,365 | |||
Universal Health Services, Inc. Class B | 900 | 34,335 | |||
882,906 | |||||
Household & Personal Products - 0.5% | |||||
Estee Lauder Co., Inc. Class A | 1,700 | 94,741 | |||
Nu Skin Enterprises, Inc. Class A | 600 | 14,958 | |||
109,699 | |||||
Insurance - 3.4% | |||||
American International Group, Inc. †(b) | 1,300 | 44,772 | |||
CNA Financial Corp. † | 1,600 | 40,896 | |||
Genworth Financial, Inc. Class A † | 5,700 | 74,499 | |||
Hartford Financial Services Group, Inc. | 4,700 | 104,011 | |||
Lincoln National Corp. | 3,400 | 82,586 | |||
MBIA, Inc. † | 2,100 | 11,781 | |||
Protective Life Corp. | 400 | 8,556 | |||
Prudential Financial, Inc. | 4,500 | 241,470 | |||
Unum Group | 3,700 | 80,290 | |||
688,861 | |||||
SHARES | VALUE (Note 3) | ||||
Materials - 6.6% | |||||
Albemarle Corp. | 900 | $ | 35,739 | ||
Allegheny Technologies, Inc. | 1,100 | 48,609 | |||
Allied Nevada Gold Corp. † | 500 | 9,840 | |||
Ashland, Inc. | 800 | 37,136 | |||
Cabot Corp. | 300 | 7,233 | |||
Cliffs Natural Resources, Inc. (b) | 1,400 | 66,024 | |||
Dow Chemical Co. | 12,000 | 284,640 | |||
E.I. du Pont de Nemours and Co. | 8,300 | 287,097 | |||
Eastman Chemical Co. | 1,200 | 64,032 | |||
Huntsman Corp. | 2,800 | 24,276 | |||
International Paper Co. | 4,900 | 110,887 | |||
Lubrizol Corp. | 856 | 68,745 | |||
MeadWestvaco Corp. | 1,700 | 37,740 | |||
PPG Industries, Inc. | 1,800 | 108,738 | |||
Rockwood Holdings, Inc. † | 500 | 11,345 | |||
RPM International, Inc. | 1,100 | 19,624 | |||
Solutia, Inc. † | 1,300 | 17,030 | |||
Temple-Inland, Inc. | 1,100 | 22,737 | |||
Titanium Metals Corp. †(b) | 1,600 | 28,144 | |||
Valhi, Inc. | 700 | 8,638 | |||
W.R. Grace & Co. † | 300 | 6,312 | |||
Walter Energy, Inc. | 700 | 42,595 | |||
1,347,161 | |||||
Media - 5.7% | |||||
Cablevision Systems Corp. Class A | 2,500 | 60,025 | |||
CBS Corp. Class B | 7,500 | 96,975 | |||
DIRECTV Class A † | 8,600 | 291,712 | |||
Discovery Communications, Inc. Class A † | 2,966 | 105,916 | |||
Gannett Co., Inc. | 2,600 | 34,996 | |||
Interpublic Group of Cos., Inc. † | 4,600 | 32,798 | |||
Lamar Advertising Co. Class A †(b) | 500 | 12,260 | |||
Liberty Global, Inc. Class A †(b) | 2,600 | 67,574 | |||
Live Nation Entertainment, Inc. † | 1,200 | 12,540 | |||
Scripps Networks Interactive, Inc. Class A | 1,100 | 44,374 | |||
Time Warner Cable, Inc. | 3,700 | 192,696 | |||
Valassis Communications, Inc. † | 300 | 9,516 | |||
Viacom, Inc. Class B | 5,100 | 159,987 | |||
Virgin Media, Inc. (b) | 3,400 | 56,746 | |||
1,178,115 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 1.2% | |||||
Dendreon Corp. † | 1,667 | 53,894 | |||
Human Genome Sciences, Inc. † | 1,900 | 43,054 | |||
Mylan, Inc. † | 3,400 | 57,936 | |||
Perrigo Co. | 1,000 | 59,070 | |||
Regeneron Pharmaceuticals, Inc. † | 700 | 15,624 | |||
Salix Pharmaceuticals Ltd. † | 400 | 15,612 | |||
245,190 | |||||
Real Estate - 8.0% | |||||
Alexandria Real Estate Equities, Inc. REIT | 600 | 38,022 | |||
Apartment Investment & Management Co. Class A REIT | 1,000 | 19,370 | |||
AvalonBay Communities, Inc. REIT | 1,000 | 93,370 | |||
Boston Properties, Inc. REIT (b) | 1,900 | 135,546 | |||
BRE Properties, Inc. REIT | 700 | 25,851 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 60 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Real Estate - 8.0% (continued) | |||||
Camden Property Trust REIT | 700 | $ | 28,595 | ||
CB Richard Ellis Group, Inc. Class A † | 3,300 | 44,913 | |||
CBL & Associates Properties, Inc. REIT (b) | 1,400 | 17,416 | |||
CommonWealth REIT | 1,000 | 6,210 | |||
Developers Diversified Realty Corp. REIT | 2,400 | 23,760 | |||
Digital Realty Trust, Inc. REIT | 1,000 | 57,680 | |||
Douglas Emmett, Inc. REIT | 1,300 | 18,486 | |||
Equity Residential REIT | 3,200 | 133,248 | |||
Essex Property Trust, Inc. REIT | 300 | 29,262 | |||
Forest City Enterprises, Inc. Class A † | 600 | 6,792 | |||
HCP, Inc. REIT | 2,600 | 83,850 | |||
Hospitality Properties Trust REIT | 800 | 16,880 | |||
Host Hotels & Resorts, Inc. REIT | 7,300 | 98,404 | |||
Jones Lang LaSalle, Inc. | 400 | 26,256 | |||
Macerich Co. REIT | 1,202 | 44,859 | |||
Mack-Cali Realty Corp. REIT | 1,200 | 35,676 | |||
ProLogis REIT | 5,600 | 56,728 | |||
Simon Property Group, Inc. REIT | 3,100 | 250,325 | |||
SL Green Realty Corp. REIT | 800 | 44,032 | |||
UDR, Inc. REIT | 1,700 | 32,521 | |||
Ventas, Inc. REIT (b) | 2,100 | 98,595 | |||
Vornado Realty Trust REIT | 2,100 | 153,195 | |||
Weingarten Realty Investors REIT (b) | 1,500 | 28,575 | |||
1,648,417 | |||||
Retailing - 7.1% | |||||
Amazon.com, Inc. † | 4,300 | 469,818 | |||
Big Lots, Inc. † | 800 | 25,672 | |||
CarMax, Inc. † | 1,600 | 31,840 | |||
Dick’s Sporting Goods, Inc. † | 900 | 22,401 | |||
Dollar Tree, Inc. † | 1,400 | 58,282 | |||
Dress Barn, Inc. † | 700 | 16,667 | |||
Foot Locker, Inc. | 1,400 | 17,668 | |||
Guess?, Inc. (b) | 1,000 | 31,240 | |||
J. Crew Group, Inc. †(b) | 800 | 29,448 | |||
Liberty Media Corp. - Interactive Class A † | 6,400 | 67,200 | |||
Limited Brands, Inc. | 3,500 | 77,245 | |||
Macy’s, Inc. | 5,600 | 100,240 | |||
Netflix, Inc. † | 500 | 54,325 | |||
Nordstrom, Inc. | 2,600 | 83,694 | |||
PetSmart, Inc. | 1,300 | 39,221 | |||
priceline.com, Inc. † | 526 | 92,860 | |||
RadioShack Corp. | 1,600 | 31,216 | |||
Signet Jewelers Ltd. † | 300 | 8,250 | |||
Tiffany & Co. (b) | 1,600 | 60,656 | |||
Tractor Supply Co. | 500 | 30,485 | |||
Urban Outfitters, Inc. † | 2,000 | 68,780 | |||
Williams-Sonoma, Inc. | 1,500 | 37,230 | |||
1,454,438 | |||||
Semiconductors & Semiconductor Equipment - 1.7% | |||||
Advanced Micro Devices, Inc. †(b) | 8,000 | 58,560 | |||
Atheros Communications, Inc. † | 900 | 24,786 | |||
Cree, Inc. † | 1,085 | 65,133 | |||
Micron Technology, Inc. †(b) | 8,500 | 72,165 | |||
Netlogic Microsystems, Inc. †(b) | 600 | 16,320 | |||
Novellus Systems, Inc. † | 1,100 | 27,896 |
SHARES | VALUE (Note 3) | ||||
Semiconductors & Semiconductor Equipment - 1.7% (continued) | |||||
Rambus, Inc. † | 1,200 | $ | 21,024 | ||
Skyworks Solutions, Inc. †(b) | 2,000 | 33,580 | |||
Teradyne, Inc. † | 2,200 | 21,450 | |||
Veeco Instruments, Inc. † | 400 | 13,712 | |||
354,626 | |||||
Software & Services - 3.5% | |||||
Akamai Technologies, Inc. † | 1,400 | 56,798 | |||
Alliance Data Systems Corp. † | 500 | 29,760 | |||
Autodesk, Inc. † | 2,300 | 56,028 | |||
Cognizant Technology Solutions Corp. Class A † | 3,300 | 165,198 | |||
Gartner, Inc. † | 200 | 4,650 | |||
GSI Commerce, Inc. †(b) | 600 | 17,280 | |||
Informatica Corp. † | 1,200 | 28,656 | |||
Rovi Corp. † | 1,000 | 37,910 | |||
Salesforce.com, Inc. † | 1,300 | 111,566 | |||
VeriFone Systems, Inc. †(b) | 500 | 9,465 | |||
VeriSign, Inc. † | 1,900 | 50,445 | |||
VMware, Inc. Class A † | 2,300 | 143,957 | |||
711,713 | |||||
Technology Hardware & Equipment - 13.3% | |||||
Acme Packet, Inc. † | 500 | 13,440 | |||
Agilent Technologies, Inc. † | 3,500 | 99,505 | |||
Apple, Inc. † | 8,357 | 2,102,036 | |||
Dolby Laboratories, Inc. Class A † | 400 | 25,076 | |||
F5 Networks, Inc. † | 866 | 59,382 | |||
Harris Corp. | 1,100 | 45,815 | |||
Jabil Circuit, Inc. | 2,000 | 26,600 | |||
JDS Uniphase Corp. † | 2,500 | 24,600 | |||
Lexmark International, Inc. Class A † | 900 | 29,727 | |||
NetApp, Inc. †(b) | 3,600 | 134,316 | |||
Polycom, Inc. † | 1,100 | 32,769 | |||
SanDisk Corp. † | 2,400 | 100,968 | |||
Tellabs, Inc. | 5,100 | 32,589 | |||
2,726,823 | |||||
Telecommunication Services - 0.9% | |||||
Crown Castle International Corp. † | 3,100 | 115,506 | |||
NII Holdings, Inc. † | 1,600 | 52,032 | |||
tw telecom, Inc. † | 600 | 10,008 | |||
177,546 | |||||
Transportation - 4.6% | |||||
AMR Corp. †(b) | 3,900 | 26,442 | |||
CSX Corp. | 4,500 | 223,335 | |||
Delta Air Lines, Inc. † | 8,500 | 99,875 | |||
FedEx Corp. | 3,800 | 266,418 | |||
Kansas City Southern † | 900 | 32,715 | |||
Norfolk Southern Corp. | 3,300 | 175,065 | |||
Ryder System, Inc. | 500 | 20,115 | |||
Southwest Airlines Co. (b) | 9,400 | 104,434 | |||
948,399 | |||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 61 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Utilities - 0.9% | |||||
DTE Energy Co. | 1,800 | $ | 82,098 | ||
Integrys Energy Group, Inc. | 1,300 | 56,862 | |||
ONEOK, Inc. (b) | 1,000 | 43,250 | |||
182,210 | |||||
TOTAL COMMON STOCKS | 20,303,712 | ||||
MONEY MARKET FUND - 25.9% | |||||
Dreyfus Institutional Cash Advantage Fund, 0.19% (a)(b)(c)(2) | 5,315,830 | 5,315,830 | |||
(cost $5,315,830; includes $1,119,098 of cash collateral received for securities on loan) | |||||
TOTAL INVESTMENTS - 124.3% | 25,619,542 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (24.8)% (d) | (5,085,146) | ||||
NET ASSETS - 100.0% | $ | 20,534,396 | |||
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | Represents annualized seven-day yield as of June 30, 2010. |
(b) | All or a portion of the security on loan. The aggregate market value of such securities is $1,009,766; cash collateral of $1,119,098 was received with which the Fund purchased a money market fund. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(d) | Includes (depreciation) on futures contracts. |
All securities are Level 1, unless noted otherwise in parentheses.
(2) | Level 2 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust.
Open futures contracts outstanding at June 30, 2010:
NUMBER OF CONTRACTS | TYPE | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED DEPRECIATION | |||||
Long Contracts: | ||||||||||
2 | S&P 500 E-MINI Index | September 17, 2010 | $107,541 | $102,660 | $(4,881) | |||||
Cash held as collateral with broker for futures contract was $56,963 at June 30, 2010.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 62 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
COMMON STOCKS - 99.3% | SHARES | VALUE (Note 3) | |||
Automobiles & Components - 2.1% | |||||
American Axle & Manufacturing Holdings, Inc. † | 1,400 | $ | 10,262 | ||
Cooper Tire & Rubber Co. | 1,065 | 20,768 | |||
Dorman Products, Inc. † | 332 | 6,749 | |||
Drew Industries, Inc. † | 416 | 8,403 | |||
Hawk Corp. Class A † | 100 | 2,545 | |||
Modine Manufacturing Co. † | 1,200 | 9,216 | |||
Stoneridge, Inc. † | 300 | 2,277 | |||
Tenneco, Inc. † | 1,000 | 21,060 | |||
Thor Industries, Inc. | 1,100 | 26,125 | |||
Winnebago Industries, Inc. † | 1,000 | 9,940 | |||
117,345 | |||||
Banks - 7.5 % | |||||
Ameris Bancorp † | 401 | 3,874 | |||
Astoria Financial Corp. | 1,700 | 23,392 | |||
Bank of the Ozarks, Inc. | 300 | 10,641 | |||
BofI Holding, Inc. † | 300 | 4,236 | |||
Boston Private Financial Holdings, Inc. | 1,600 | 10,288 | |||
Center Financial Corp. † | 800 | 4,120 | |||
Centerstate Banks, Inc. | 500 | 5,045 | |||
Columbia Banking System, Inc. | 800 | 14,608 | |||
Community Bank System, Inc. | 600 | 13,218 | |||
CVB Financial Corp. | 1,900 | 18,050 | |||
Eagle Bancorp, Inc. † | 400 | 4,712 | |||
Federal Agricultural Mortgage Corp Class C | 300 | 4,209 | |||
First Financial Bancorp | 1,000 | 14,950 | |||
First Financial Holdings, Inc. | 400 | 4,580 | |||
First Midwest Bancorp, Inc. | 1,400 | 17,024 | |||
Flushing Financial Corp. | 600 | 7,338 | |||
Green Bankshares, Inc. † | 200 | 2,554 | |||
Home Federal Bancorp, Inc. | 500 | 6,315 | |||
International Bancshares Corp. | 1,400 | 23,366 | |||
MB Financial, Inc. | 1,000 | 18,390 | |||
Meridian Interstate Bancorp, Inc. † | 400 | 4,360 | |||
National Penn Bancshares, Inc. | 2,400 | 14,424 | |||
PacWest Bancorp | 700 | 12,817 | |||
PMI Group, Inc. † | 4,200 | 12,138 | |||
Radian Group, Inc. | 3,000 | 21,720 | |||
S&T Bancorp, Inc. | 500 | 9,880 | |||
SCBT Financial Corp. | 200 | 7,044 | |||
Southwest Bancorp, Inc. | 400 | 5,316 | |||
Susquehanna Bancshares, Inc. | 2,200 | 18,326 | |||
Taylor Capital Group, Inc. † | 300 | 3,882 | |||
Umpqua Holdings Corp. | 2,100 | 24,108 | |||
Webster Financial Corp. | 1,700 | 30,498 | |||
West Bancorporation, Inc. † | 400 | 2,724 | |||
West Coast Bancorp | 1,700 | 4,335 | |||
Wilshire Bancorp, Inc. | 600 | 5,250 | |||
Wintrust Financial Corp. | 700 | 23,338 | |||
WSFS Financial Corp. | 100 | 3,593 | |||
414,663 | |||||
Capital Goods - 7.6% | |||||
3D Systems Corp. † | 400 | 5,020 | |||
Actuant Corp. Class A | 1,200 | 22,596 | |||
Alamo Group, Inc. | 200 | 4,340 | |||
Albany International Corp. Class A | 500 | 8,095 |
SHARES | VALUE (Note 3) | ||||
Capital Goods - 7.6% (continued) | |||||
Altra Holdings, Inc. † | 600 | $ | 7,812 | ||
American Railcar Industries, Inc. † | 400 | 4,832 | |||
Applied Energetics, Inc. † | 2,000 | 2,060 | |||
ArvinMeritor, Inc. † | 1,600 | 20,960 | |||
Astronics Corp. † | 200 | 3,272 | |||
Barnes Group, Inc. | 1,000 | 16,390 | |||
Belden, Inc. | 900 | 19,800 | |||
Briggs & Stratton Corp. | 1,000 | 17,020 | |||
CAI International, Inc. † | 400 | 4,760 | |||
Cascade Corp. | 200 | 7,122 | |||
Colfax Corp. † | 700 | 7,287 | |||
Commercial Vehicle Group, Inc. † | 600 | 6,126 | |||
EnPro Industries, Inc. † | 400 | 11,260 | |||
FreightCar America, Inc. | 300 | 6,786 | |||
GenCorp, Inc. †(b) | 900 | 3,942 | |||
Gibraltar Industries, Inc. † | 900 | 9,090 | |||
Greenbrier Companies, Inc. † | 400 | 4,480 | |||
II-VI, Inc. † | 500 | 14,815 | |||
Insteel Industries, Inc. | 400 | 4,648 | |||
Kadant, Inc. † | 300 | 5,226 | |||
Kaman Corp. | 600 | 13,272 | |||
Ladish Co., Inc. † | 300 | 6,816 | |||
LMI Aerospace, Inc. † | 300 | 4,731 | |||
Lydall, Inc. † | 400 | 3,056 | |||
Miller Industries, Inc. | 300 | 4,041 | |||
NACCO Industries, Inc. Class A | 100 | 8,876 | |||
PMFG, Inc. † | 200 | 3,030 | |||
Polypore International, Inc. † | 900 | 20,466 | |||
PowerSecure International, Inc. † | 400 | 3,636 | |||
Quanex Building Products Corp. | 900 | 15,561 | |||
Sauer-Danfoss, Inc. † | 900 | 10,998 | |||
Standex International Corp. | 200 | 5,070 | |||
Sun Hydraulics Corp. | 300 | 7,038 | |||
TAL International Group, Inc. | 600 | 13,482 | |||
Tennant Co. | 300 | 10,146 | |||
Thermadyne Holdings Corp. † | 300 | 3,243 | |||
Trex Co., Inc. † | 300 | 6,027 | |||
TriMas Corp. † | 400 | 4,524 | |||
Triumph Group, Inc. | 300 | 19,989 | |||
Twin Disc, Inc. | 300 | 3,408 | |||
United Rentals, Inc. † | 1,200 | 11,184 | |||
Vicor Corp. † | 500 | 6,245 | |||
Wabash National Corp. † | 900 | 6,399 | |||
Watts Water Technologies, Inc. Class A | 500 | 14,330 | |||
423,307 | |||||
Commercial & Professional Services - 3.9% | |||||
Acacia Research † | 526 | 7,485 | |||
Acco Brands Corp. †(b) | 1,200 | 5,988 | |||
CDI Corp. | 400 | 6,212 | |||
Cenveo, Inc. † | 1,200 | 6,576 | |||
Consolidated Graphics, Inc. † | 200 | 8,648 | |||
Corporate Executive Board Co. | 700 | 18,389 | |||
Deluxe Corp. | 900 | 16,875 | |||
Diamond Management & Technology Consultants, Inc. | 600 | 6,186 | |||
HNI Corp. (b) | 800 | 22,072 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 63 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Commercial & Professional Services - 3.9% (continued) | |||||
Hudson Highland Group, Inc. † | 500 | $ | 2,200 | ||
Interface, Inc. Class A | 1,000 | 10,740 | |||
Kforce, Inc. † | 1,027 | 13,094 | |||
Knoll, Inc. | 1,400 | 18,606 | |||
M&F Worldwide Corp. † | 600 | 16,260 | |||
Schawk, Inc. | 400 | 5,980 | |||
SFN Group, Inc. † | 1,336 | 7,295 | |||
TrueBlue, Inc. † | 800 | 8,952 | |||
United Stationers, Inc. † | 600 | 32,682 | |||
Volt Information Sciences, Inc. † | 400 | 3,360 | |||
217,600 | |||||
Consumer Durables & Apparel - 5.1% | |||||
American Greetings Corp. Class A | 900 | 16,884 | |||
Arctic Cat, Inc. † | 300 | 2,733 | |||
Beazer Homes USA, Inc. †(b) | 1,800 | 6,534 | |||
Blyth, Inc. | 200 | 6,814 | |||
Brookfield Homes Corp. † | 600 | 4,044 | |||
Callaway Golf Co. | 1,600 | 9,664 | |||
Crocs, Inc. †(b) | 1,400 | 14,812 | |||
Culp, Inc. † | 300 | 3,288 | |||
Ethan Allen Interiors, Inc. | 600 | 8,394 | |||
Furniture Brands International, Inc. † | 1,500 | 7,830 | |||
G-III Apparel Group Ltd. † | 400 | 9,156 | |||
Helen of Troy Ltd. † | 600 | 13,236 | |||
Hovnanian Enterprises, Inc. Class A †(b) | 2,200 | 8,096 | |||
iRobot Corp. † | 500 | 9,395 | |||
Joe’s Jeans, Inc. † | 1,500 | 2,970 | |||
Kenneth Cole Productions, Inc. Class A † | 400 | 4,404 | |||
Kid Brands, Inc. † | 500 | 3,515 | |||
La-Z-Boy, Inc. † | 1,300 | 9,659 | |||
Leapfrog Enterprises, Inc. † | 1,200 | 4,824 | |||
Libbey, Inc. † | 300 | 3,894 | |||
Lifetime Brands, Inc. † | 200 | 2,924 | |||
Liz Claiborne, Inc. †(b) | 2,400 | 10,128 | |||
Maidenform Brands, Inc. † | 400 | 8,144 | |||
Marine Products Corp. † | 600 | 3,396 | |||
Oxford Industries, Inc. | 500 | 10,465 | |||
Perry Ellis International, Inc. † | 400 | 8,080 | |||
Quiksilver, Inc. † | 2,500 | 9,250 | |||
Sealy Corp. †(b) | 1,100 | 2,937 | |||
Skechers U.S.A., Inc. Class A † | 700 | 25,564 | |||
Steinway Musical Instruments, Inc. † | 200 | 3,558 | |||
Steven Madden Ltd. † | 491 | 15,476 | |||
Summer Infant, Inc. † | 400 | 2,620 | |||
Under Armour, Inc. Class A † | 600 | 19,878 | |||
Unifi, Inc. † | 1,300 | 4,966 | |||
Volcom, Inc. † | 400 | 7,428 | |||
284,960 | |||||
Consumer Services - 3.3% | |||||
AFC Enterprises, Inc. † | 500 | 4,550 | |||
Biglari Holdings, Inc. † | 31 | 8,894 | |||
Bluegreen Corp. † | 700 | 2,107 | |||
Boyd Gaming Corp. † | 2,100 | 17,829 | |||
Caribou Coffee Co., Inc. †(b) | 500 | 4,735 | |||
CPI Corp. | 200 | 4,484 |
SHARES | VALUE (Note 3) | ||||
Consumer Services - 3.3% (continued) | |||||
Cracker Barrel Old Country Store, Inc. | 400 | $ | 18,624 | ||
Domino’s Pizza, Inc. † | 1,300 | 14,690 | |||
Einstein Noah Restaurant Group, Inc. † | 300 | 3,237 | |||
Gaylord Entertainment Co. †(b) | 900 | 19,881 | |||
Jamba, Inc. † | 1,400 | 2,982 | |||
Landry’s Restaurants, Inc. † | 300 | 7,338 | |||
Monarch Casino & Resort, Inc. † | 300 | 3,039 | |||
Morgans Hotel Group Co. † | 700 | 4,312 | |||
Peet’s Coffee & Tea, Inc. † | 300 | 11,781 | |||
Rick’s Cabaret International, Inc. † | 600 | 4,734 | |||
Ruby Tuesday, Inc. † | 1,362 | 11,577 | |||
Universal Technical Institute, Inc. † | 500 | 11,820 | |||
Vail Resorts, Inc. † | 700 | 24,437 | |||
181,051 | |||||
Diversified Financials - 4.2% | |||||
Arlington Asset Investment Corp. Class A | 200 | 3,766 | |||
ASTA Funding, Inc. | 200 | 1,974 | |||
BGC Partners, Inc. Class A | 1,100 | 5,621 | |||
BlackRock Kelso Capital Corp. (b) | 900 | 8,883 | |||
Cardtronics, Inc. † | 900 | 11,664 | |||
Cash America International, Inc. | 700 | 23,989 | |||
Cohen & Steers, Inc. (b) | 1,000 | 20,740 | |||
CompuCredit Holdings Corp. † | 800 | 3,168 | |||
Credit Acceptance Corp. † | 400 | 19,508 | |||
Encore Capital Group, Inc. † | 574 | 11,830 | |||
Epoch Holding Corp. | 300 | 3,681 | |||
Evercore Partners, Inc. Class A | 366 | 8,546 | |||
EZCORP, Inc. Class A † | 700 | 12,985 | |||
Gladstone Capital Corp. | 400 | 4,324 | |||
HFF, Inc. Class A † | 600 | 4,242 | |||
Ladenburg Thalmann Financial Services, Inc. † (b) | 3,400 | 4,250 | |||
Life Partners Holdings, Inc. | 300 | 6,138 | |||
MarketAxess Holdings, Inc. | 482 | 6,647 | |||
MCG Capital Corp. | 1,500 | 7,245 | |||
MVC Capital, Inc. | 400 | 5,168 | |||
NewStar Financial, Inc. † | 800 | 5,088 | |||
PennantPark Investment Corp. | 1,474 | 14,077 | |||
Portfolio Recovery Associates, Inc. †(b) | 300 | 20,034 | |||
Rodman & Renshaw Capital Group, Inc. † | 700 | 2,002 | |||
TICC Capital Corp. | 600 | 5,040 | |||
World Acceptance Corp. † | 300 | 11,493 | |||
232,103 | |||||
Energy - 6.6% | |||||
American Oil & Gas, Inc. †(b) | 700 | 4,396 | |||
ATP Oil & Gas Corp. †(b) | 1,000 | 10,590 | |||
Callon Petroleum Co. † | 400 | 2,520 | |||
CAMAC Energy, Inc. †(b) | 2,500 | 9,325 | |||
CARBO Ceramics, Inc. | 400 | 28,876 | |||
China North East Petroleum Holdings Ltd. †(3) | 300 | 1,269 | |||
Clayton Williams Energy, Inc. † | 200 | 8,424 | |||
Clean Energy Fuels Corp. †(b) | 1,000 | 14,940 | |||
Complete Production Services, Inc. † | 1,300 | 18,590 | |||
Crosstex Energy, Inc. † | 1,400 | 8,974 | |||
Energy XXI Bermuda Ltd. † | 200 | 3,156 | |||
Green Plains Renewable Energy, Inc. † | 600 | 6,132 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 64 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Energy - 6.6% (continued) | |||||
Gulfport Energy Corp. † | 700 | $ | 8,302 | ||
Harvest Natural Resources, Inc. † | 400 | 2,948 | |||
Houston American Energy Corp. (b) | 500 | 4,930 | |||
International Coal Group, Inc. † | 3,500 | 13,475 | |||
ION Geophysical Corp. † | 3,400 | 11,832 | |||
Key Energy Services, Inc. † | 2,300 | 21,114 | |||
Kodiak Oil & Gas Corp. † | 1,500 | 4,785 | |||
Lufkin Industries, Inc. | 400 | 15,596 | |||
Magnum Hunter Resources Corp. † | 900 | 3,924 | |||
McMoRan Exploration Co. † | 1,700 | 18,887 | |||
Miller Petroleum, Inc. † | 500 | 2,880 | |||
Newpark Resources, Inc. † | 2,100 | 12,705 | |||
Northern Oil and Gas, Inc. † | 800 | 10,272 | |||
OYO Geospace Corp. † | 100 | 4,848 | |||
PetroQuest Energy, Inc. †(b) | 1,400 | 9,464 | |||
RAM Energy Resources, Inc. † | 2,400 | 4,968 | |||
REX American Resources Corp. † | 200 | 3,200 | |||
Rex Energy Corp. † | 1,000 | 10,100 | |||
Rosetta Resources, Inc. † | 1,000 | 19,810 | |||
Stone Energy Corp. † | 900 | 10,044 | |||
Superior Well Services, Inc. †(b) | 700 | 11,704 | |||
Swift Energy Co. † | 700 | 18,837 | |||
T-3 Energy Services, Inc. † | 400 | 11,160 | |||
Venoco, Inc. †(b) | 900 | 14,823 | |||
367,800 | |||||
Food, Beverage & Tobacco - 1.0% | |||||
Boston Beer Co., Inc. Class A † | 200 | 13,490 | |||
Diamond Foods, Inc. | 400 | 16,440 | |||
John B. Sanfilippo & Son, Inc. † | 300 | 4,341 | |||
MGP Ingredients, Inc. † | 300 | 1,989 | |||
Star Scientific, Inc. † | 2,100 | 3,444 | |||
Synutra International, Inc. †(b) | 1,000 | 16,170 | |||
55,874 | |||||
Health Care Equipment & Services - 4.9% | |||||
Alphatec Holdings, Inc. † | 1,500 | 6,960 | |||
Amedisys, Inc. † | 500 | 21,985 | |||
Antares Pharma, Inc. † | 2,000 | 3,520 | |||
ArthroCare Corp. †(b) | 500 | 15,325 | |||
Assisted Living Concepts, Inc. Class A † | 300 | 8,877 | |||
Cerus Corp. † | 800 | 2,528 | |||
Continucare Corp. † | 1,400 | 4,690 | |||
CorVel Corp. † | 200 | 6,758 | |||
Delcath Systems, Inc. † | 1,400 | 8,876 | |||
Dexcom, Inc. † | 1,400 | 16,184 | |||
Emeritus Corp. †(b) | 800 | 13,048 | |||
Gentiva Health Services, Inc. † | 600 | 16,206 | |||
Health Grades, Inc. † | 600 | 3,600 | |||
Healthspring, Inc. † | 1,100 | 17,061 | |||
Insulet Corp. † | 800 | 12,040 | |||
Integra LifeSciences Holdings Corp. † | 500 | 18,500 | |||
LCA-Vision, Inc. †(b) | 365 | 2,022 | |||
Metropolitan Health Networks, Inc. † | 900 | 3,357 | |||
Micrus Endovascular Corp. † | 600 | 12,474 | |||
NxStage Medical, Inc. † | 1,100 | 16,324 | |||
OraSure Technologies, Inc. † | 900 | 4,167 | |||
Providence Service Corp. † | 300 | 4,200 |
SHARES | VALUE (Note 3) | ||||
Health Care Equipment & Services - 4.9% (continued) | |||||
Rural/Metro Corp. † | 300 | $ | 2,442 | ||
STAAR Surgical Co. † | 500 | 2,860 | |||
Sunrise Senior Living, Inc. † | 1,400 | 3,892 | |||
Universal American Financial Corp. † | 1,100 | 15,840 | |||
Volcano Corp. † | 900 | 19,638 | |||
Zoll Medical Corp. † | 400 | 10,840 | |||
274,214 | |||||
Household & Personal Products - 0.7% | |||||
Elizabeth Arden, Inc. † | 600 | 8,712 | |||
Inter Parfums, Inc. | 600 | 8,538 | |||
Medifast, Inc. †(b) | 332 | 8,602 | |||
Revlon, Inc. Class A †(b) | 1,200 | 13,392 | |||
39,244 | |||||
Insurance - 1.4% | |||||
American Equity Investment Life Holding Co. | 1,400 | 14,448 | |||
CNO Financial Group, Inc. † | 4,600 | 22,770 | |||
FBL Financial Group, Inc. Class A | 600 | 12,600 | |||
Horace Mann Educators Corp. | 700 | 10,710 | |||
National Financial Partners Corp. † | 1,000 | 9,770 | |||
Phoenix Companies, Inc. † | 2,900 | 6,119 | |||
76,417 | |||||
Materials - 6.5% | |||||
A. Schulman, Inc. | 600 | 11,376 | |||
Balchem Corp. | 500 | 12,500 | |||
Boise, Inc. † | 1,800 | 9,882 | |||
Brush Engineered Materials, Inc. † | 400 | 7,992 | |||
Buckeye Technologies, Inc. † | 900 | 8,955 | |||
Capital Gold Corp. † | 1,300 | 5,200 | |||
Century Aluminum Co. †(b) | 1,700 | 15,011 | |||
Clearwater Paper Corp. † | 200 | 10,952 | |||
Ferro Corp. † | 1,700 | 12,529 | |||
Golden Star Resources Ltd. †(b) | 4,200 | 18,396 | |||
Graphic Packaging Holding Co. † | 5,500 | 17,325 | |||
Hecla Mining Co. †(b) | 4,100 | 21,402 | |||
Innophos Holdings, Inc. | 400 | 10,432 | |||
KapStone Paper and Packaging Corp. † | 800 | 8,912 | |||
KMG Chemicals, Inc. | 200 | 2,872 | |||
Louisiana-Pacific Corp. † | 2,600 | 17,394 | |||
Minerals Technologies, Inc. | 400 | 19,016 | |||
Neenah Paper, Inc. | 200 | 3,660 | |||
Olin Corp. | 1,400 | 25,326 | |||
Omnova Solutions, Inc. † | 689 | 5,381 | |||
PolyOne Corp. † | 1,800 | 15,156 | |||
Quaker Chemical Corp. | 200 | 5,418 | |||
RTI International Metals, Inc. † | 600 | 14,466 | |||
Schweitzer-Mauduit International, Inc. | 414 | 20,886 | |||
Stepan Co. | 200 | 13,686 | |||
Stillwater Mining Co. † | 1,800 | 20,916 | |||
TPC Group, Inc. † | 200 | 3,320 | |||
US Energy Corp. † | 600 | 2,850 | |||
US Gold Corp. † | 1,600 | 8,016 | |||
Verso Paper Corp. †(b) | 1,100 | 2,541 | |||
Zep, Inc. | 500 | 8,720 | |||
360,488 | |||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 65 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Media - 2.4% | |||||
AH Belo Corp. Class A † | 500 | $ | 3,320 | ||
Arbitron, Inc. | 500 | 12,815 | |||
Belo Corp. Class A † | 2,200 | 12,518 | |||
Clear Channel Outdoor Holdings, Inc. Class A † | 700 | 6,076 | |||
Entercom Communications Corp. Class A † | 800 | 7,056 | |||
Entravision Communications Corp. Class A † | 1,500 | 3,165 | |||
EW Scripps Co. Class A † | 1,300 | 9,659 | |||
Gray Television, Inc. † | 900 | 2,169 | |||
Harte-Hanks, Inc. | 1,300 | 13,585 | |||
Journal Communications, Inc. Class A † | 1,100 | 4,367 | |||
Lee Enterprises, Inc. †(b) | 800 | 2,056 | |||
LIN TV Corp. Class A † | 900 | 4,869 | |||
LodgeNet Interactive Corp. † | 768 | 2,849 | |||
Martha Stewart Living Omnimedia, Inc. Class A † | 800 | 3,936 | |||
McClatchy Co. Class A †(b) | 2,100 | 7,644 | |||
Media General, Inc. Class A †(b) | 400 | 3,904 | |||
New York Times Co. Class A † | 2,400 | 20,760 | |||
Playboy Enterprises, Inc. Class B † | 700 | 2,940 | |||
Radio One, Inc. Class D† | 900 | 1,152 | |||
Sinclair Broadcast Group, Inc. Class A † | 1,500 | 8,745 | |||
133,585 | |||||
Pharmaceuticals, Biotechnology & Life Sciences - 5.5% | |||||
Akorn, Inc. † | 1,500 | 4,455 | |||
Ardea Biosciences, Inc. † | 400 | 8,224 | |||
ARIAD Pharmaceuticals, Inc. †(b) | 2,500 | 7,050 | |||
Arrowhead Research Corp. † | 2,300 | 2,530 | |||
BioCryst Pharmaceuticals, Inc. † | 1,002 | 5,922 | |||
BioTime, Inc. †(b) | 500 | 3,080 | |||
Caliper Life Sciences, Inc. † | 700 | 2,989 | |||
Caraco Pharmaceutical Laboratories Ltd. † | 500 | 2,360 | |||
Cepheid, Inc. † | 1,100 | 17,622 | |||
Clinical Data, Inc. † | 600 | 7,464 | |||
Combinatorx, Inc. † | 2,000 | 2,900 | |||
Curis, Inc. † | 3,200 | 4,448 | |||
Exact Sciences Corp. †(b) | 900 | 3,960 | |||
Hi-Tech Pharmacal Co., Inc. † | 400 | 9,164 | |||
Impax Laboratories, Inc. † | 1,200 | 22,872 | |||
Inhibitex, Inc. † | 900 | 2,295 | |||
Jazz Pharmaceuticals, Inc. † | 800 | 6,264 | |||
Keryx Biopharmaceuticals, Inc. †(b) | 1,600 | 5,856 | |||
Maxygen, Inc. † | 350 | 1,936 | |||
Metabolix, Inc. † | 500 | 7,155 | |||
Nabi Biopharmaceuticals † | 1,000 | 5,440 | |||
Nektar Therapeutics † | 2,010 | 24,321 | |||
Neuralstem, Inc. † | 1,100 | 2,750 | |||
Obagi Medical Products, Inc. † | 400 | 4,728 | |||
Par Pharmaceutical Companies, Inc. † | 600 | 15,576 | |||
PAREXEL International Corp. † | 1,300 | 28,183 | |||
Pharmacyclics, Inc. †(b) | 1,000 | 6,660 | |||
Pharmasset, Inc. † | 600 | 16,404 | |||
PURE Bioscience † | 900 | 2,151 | |||
Questcor Pharmaceuticals, Inc. † | 1,000 | 10,210 | |||
Rexahn Pharmaceuticals, Inc. † | 1,400 | 2,002 | |||
Sequenom, Inc. † | 1,200 | 7,092 |
SHARES | VALUE (Note 3) | ||||
Pharmaceuticals, Biotechnology & Life Sciences - 5.5% (continued) | |||||
Somaxon Pharmaceuticals, Inc. † | 900 | $ | 3,240 | ||
Targacept, Inc. † | 600 | 11,598 | |||
Viropharma, Inc. † | 1,500 | 16,815 | |||
VIVUS, Inc. †(b) | 1,900 | 18,240 | |||
ZIOPHARM Oncology, Inc. † | 1,300 | 4,134 | |||
308,090 | |||||
Real Estate - 7.1% | |||||
Ashford Hospitality Trust REIT † | 900 | 6,597 | |||
Associated Estates Realty Corp. REIT | 500 | 6,475 | |||
CapLease, Inc. REIT | 1,000 | 4,610 | |||
Cedar Shopping Centers, Inc. REIT | 1,300 | 7,826 | |||
Cogdell Spencer, Inc. REIT | 800 | 5,408 | |||
Colonial Properties Trust REIT | 1,300 | 18,889 | |||
DiamondRock Hospitality Co. REIT † | 2,800 | 23,016 | |||
DuPont Fabros Technology, Inc. REIT | 1,000 | 24,560 | |||
Education Realty Trust, Inc. REIT | 1,000 | 6,030 | |||
Extra Space Storage, Inc. REIT | 1,500 | 20,850 | |||
FelCor Lodging Trust, Inc. REIT † | 1,300 | 6,487 | |||
First Industrial Realty Trust, Inc. REIT † | 1,300 | 6,266 | |||
First Potomac Realty Trust REIT | 600 | 8,622 | |||
Forestar Group, Inc. † | 900 | 16,164 | |||
Glimcher Realty Trust REIT | 1,300 | 7,774 | |||
Grubb & Ellis Co. † | 700 | 686 | |||
Hersha Hospitality Trust REIT | 2,400 | 10,848 | |||
Kite Realty Group Trust REIT | 1,200 | 5,016 | |||
Lexington Realty Trust REIT (b) | 3,500 | 21,035 | |||
Medical Properties Trust, Inc. REIT | 2,300 | 21,712 | |||
MPG Office Trust, Inc. REIT † | 1,000 | 2,930 | |||
National Health Investors, Inc. REIT | 500 | 19,280 | |||
One Liberty Properties, Inc. REIT | 200 | 2,982 | |||
Pennsylvania Real Estate Investment Trust REIT (b) | 900 | 10,998 | |||
Post Properties, Inc. REIT | 1,000 | 22,730 | |||
Potlatch Corp. REIT | 600 | 21,438 | |||
Sovran Self Storage, Inc. REIT | 400 | 13,772 | |||
Strategic Hotels & Resorts, Inc. REIT † | 2,500 | 10,975 | |||
Sun Communities, Inc. REIT | 509 | 13,214 | |||
Sunstone Hotel Investors, Inc. REIT † | 1,800 | 17,874 | |||
Thomas Properties Group, Inc. | 700 | 2,317 | |||
U-Store-It Trust REIT | 2,700 | 20,142 | |||
Winthrop Realty Trust REIT | 400 | 5,124 | |||
392,647 | |||||
Retailing - 7.7% | |||||
AnnTaylor Stores Corp. † | 1,300 | 21,151 | |||
Bon-Ton Stores, Inc. † | 300 | 2,925 | |||
Brown Shoe Co., Inc. | 800 | 12,144 | |||
Build-A-Bear Workshop, Inc. † | 500 | 3,390 | |||
Casual Male Retail Group, Inc. † | 1,100 | 3,762 | |||
Childrens Place Retail Stores, Inc. † | 500 | 22,010 | |||
Collective Brands, Inc. † | 1,600 | 25,280 | |||
Cost Plus, Inc. † | 500 | 1,785 | |||
Destination Maternity Corp. † | 100 | 2,530 | |||
drugstore.com, Inc. † | 1,600 | 4,928 | |||
DSW, Inc. Class A †(b) | 611 | 13,723 | |||
Finish Line, Inc. Class A | 1,100 | 15,323 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 66 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Retailing - 7.7% (continued) | |||||
Genesco, Inc. † | 400 | $ | 10,524 | ||
Haverty Furniture Companies, Inc. | 400 | 4,916 | |||
hhgregg, Inc. † | 800 | 18,656 | |||
Jo-Ann Stores, Inc. † | 602 | 22,581 | |||
Jos. A. Bank Clothiers, Inc. † | 400 | 21,596 | |||
Kirkland’s, Inc. † | 461 | 7,779 | |||
Lumber Liquidators Holdings, Inc. † | 600 | 13,998 | |||
MarineMax, Inc. † | 600 | 4,164 | |||
Monro Muffler Brake, Inc. | 400 | 15,812 | |||
NutriSystem, Inc. | 500 | 11,470 | |||
OfficeMax, Inc. † | 1,900 | 24,814 | |||
Orbitz Worldwide, Inc. † | 2,100 | 8,001 | |||
Overstock.com, Inc. † | 400 | 7,228 | |||
Pier 1 Imports, Inc. † | 2,600 | 16,666 | |||
Retail Ventures, Inc. † | 1,000 | 7,820 | |||
Saks, Inc. †(b) | 3,200 | 24,288 | |||
Shoe Carnival, Inc. † | 300 | 6,153 | |||
Shutterfly, Inc. † | 623 | 14,927 | |||
Systemax, Inc. † | 700 | 10,549 | |||
Tuesday Morning Corp. † | 1,100 | 4,389 | |||
Ulta Salon Cosmetics & Fragrance, Inc. † | 1,100 | 26,027 | |||
US Auto Parts Network, Inc. † | 600 | 3,600 | |||
West Marine, Inc. † | 400 | 4,352 | |||
Zumiez, Inc. † | 500 | 8,055 | |||
427,316 | |||||
Semiconductors & Semiconductor Equipment - 4.0% | |||||
AXT, Inc. † | 1,100 | 4,961 | |||
Brooks Automation, Inc. † | 1,100 | 8,503 | |||
Cavium Networks, Inc. †(b) | 800 | 20,952 | |||
Cirrus Logic, Inc. †(b) | 1,100 | 17,391 | |||
Cohu, Inc. | 400 | 4,852 | |||
Conexant Systems, Inc. † | 1,200 | 2,688 | |||
Entegris, Inc. † | 3,000 | 11,910 | |||
Entropic Co.mmunications, Inc. † | 1,100 | 6,974 | |||
FSI International, Inc. † | 700 | 2,933 | |||
GSI Technology, Inc. † | 500 | 2,860 | |||
Integrated Silicon Solution, Inc. † | 400 | 3,016 | |||
Kulicke & Soffa Industries, Inc. † | 1,200 | 8,424 | |||
Lattice Semiconductor Corp. † | 2,100 | 9,114 | |||
LTX-Credence Corp. † | 3,100 | 8,773 | |||
Mattson Technology, Inc. † | 900 | 3,411 | |||
Micrel, Inc. | 1,000 | 10,180 | |||
Mindspeed Technologies, Inc. †(b) | 700 | 5,243 | |||
MIPS Technologies, Inc. † | 1,000 | 5,110 | |||
MKS Instruments, Inc. † | 800 | 14,976 | |||
MoSys, Inc. † | 1,000 | 4,420 | |||
Nanometrics, Inc. † | 700 | 7,063 | |||
Omnivision Technologies, Inc. † | 993 | 21,290 | |||
Rubicon Technology, Inc. †(b) | 400 | 11,916 | |||
Rudolph Technologies, Inc. † | 500 | 3,775 | |||
Silicon Image, Inc. † | 1,400 | 4,914 | |||
Ultra Clean Holdings, Inc. † | 400 | 3,408 | |||
Volterra Semiconductor Corp. † | 500 | 11,530 | |||
220,587 | |||||
SHARES | VALUE (Note 3) | ||||
Software & Services - 7.1% | |||||
Acxiom Corp. † | 1,700 | $ | 24,973 | ||
Ariba, Inc. † | 1,400 | 22,302 | |||
Bottomline Technologies, Inc. † | 515 | 6,710 | |||
CSG Systems International, Inc. † | 600 | 10,998 | |||
Deltek, Inc. † | 900 | 7,506 | |||
Dice Holdings, Inc. † | 1,000 | 6,920 | |||
ExlService Holdings, Inc. † | 500 | 8,585 | |||
Fair Isaac Corp. | 800 | 17,432 | |||
Heartland Payment Systems, Inc. | 700 | 10,388 | |||
iGATE Corp. | 900 | 11,538 | |||
Internet Brands, Inc. Class A † | 700 | 7,231 | |||
JDA Software Group, Inc. † | 900 | 19,782 | |||
KIT Digital, Inc. † | 600 | 5,292 | |||
Lionbridge Technologies, Inc. † | 1,300 | 5,941 | |||
LivePerson, Inc. † | 951 | 6,524 | |||
Local.com Corp †. | 500 | 3,420 | |||
Magma Design Automation, Inc. † | 1,300 | 3,692 | |||
Manhattan Associates, Inc. † | 400 | 11,020 | |||
Marchex, Inc. Class B | 800 | 3,080 | |||
Mentor Graphics Corp. † | 1,800 | 15,930 | |||
MicroStrategy, Inc. Class A † | 300 | 22,527 | |||
OPNET Technologies, Inc. | 400 | 5,876 | |||
Perficient, Inc. † | 500 | 4,455 | |||
Progress Software Corp. † | 800 | 24,024 | |||
QAD, Inc. † | 700 | 2,891 | |||
Radiant Systems, Inc. † | 500 | 7,230 | |||
Renaissance Learning, Inc. | 500 | 7,345 | |||
Sapient Corp. | 2,500 | 25,351 | |||
SAVVIS, Inc. † | 1,351 | 19,927 | |||
Sonic Solutions †(b) | 700 | 5,845 | |||
Sourcefire, Inc. † | 614 | 11,666 | |||
Support.com, Inc. † | 900 | 3,744 | |||
Synchronoss Technologies, Inc. † | 500 | 9,485 | |||
TechTarget † | 600 | 3,228 | |||
Travelzoo, Inc. † | 300 | 3,714 | |||
Unica Corp. † | 400 | 3,832 | |||
Unisys Corp. † | 900 | 16,641 | |||
VirnetX Holding Corp. (b) | 600 | 3,552 | |||
Wave Systems Corp. Class A †(b) | 800 | 2,592 | |||
Zix Corp. † | 1,600 | 3,616 | |||
396,805 | |||||
Technology Hardware & Equipment - 7.7% | |||||
Aruba Networks, Inc. †(b) | 1,517 | 21,602 | |||
Ciena Corp. † | 1,900 | 24,092 | |||
Coherent, Inc. † | 400 | 13,720 | |||
CTS Corp. | 500 | 4,620 | |||
DDi Corp. | 500 | 3,765 | |||
DG Fastchannel, Inc. † | 600 | 19,548 | |||
Electro Rent Corp. | 500 | 6,395 | |||
FARO Technologies, Inc. † | 400 | 7,484 | |||
Finisar Corp. †(b) | 1,300 | 19,370 | |||
Gerber Scientific, Inc. † | 600 | 3,210 | |||
Hutchinson Technology, Inc. †(b) | 900 | 3,897 | |||
Hypercom Corp. † | 900 | 4,176 | |||
Insight Enterprises, Inc. † | 1,100 | 14,476 | |||
IPG Photonics Corp. † | 700 | 10,661 | |||
Isilon Systems, Inc. † | 1,200 | 15,408 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 67 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Technology Hardware & Equipment - 7.7% (continued) | |||||
Ixia † | 1,200 | $ | 10,308 | ||
Keithley Instruments, Inc. | 300 | 2,649 | |||
KVH Industries, Inc. † | 200 | 2,484 | |||
Littelfuse, Inc. † | 500 | 15,805 | |||
Loral Space & Communications, Inc. † | 300 | 12,816 | |||
Measurement Specialties, Inc. † | 400 | 5,480 | |||
Methode Electronics, Inc. | 800 | 7,792 | |||
Netezza Corp. † | 900 | 12,312 | |||
NETGEAR, Inc. † | 867 | 15,467 | |||
Network Engines, Inc. † | 900 | 2,439 | |||
Newport Corp. † | 600 | 5,436 | |||
Occam Networks, Inc. † | 500 | 2,780 | |||
Plantronics, Inc. | 900 | 25,740 | |||
Plexus Corp. † | 900 | 24,066 | |||
Power-One, Inc. †(b) | 1,800 | 12,150 | |||
Presstek, Inc. † | 600 | 2,118 | |||
Quantum Corp. † | 4,800 | 9,024 | |||
Richardson Electronics Ltd. | 600 | 5,400 | |||
Sanmina-SCI Corp. †(b) | 1,500 | 20,415 | |||
Silicon Graphics International Corp. † | 1,000 | 7,080 | |||
Smart Modular Technologies WWH, Inc. † | 1,100 | 6,435 | |||
Sonus Networks, Inc. † | 4,500 | 12,195 | |||
Stratasys, Inc. † | 500 | 12,280 | |||
Super Micro Computer, Inc. † | 600 | 8,100 | |||
Universal Display Corp. † | 600 | 10,788 | |||
X-Rite, Inc. † | 700 | 2,583 | |||
Zygo Corp. † | 300 | 2,433 | |||
428,999 | |||||
Telecommunication Services - 0.8% | |||||
Consolidated Communications Holdings, Inc. | 500 | 8,505 | |||
Globalstar, Inc. † | 4,800 | 7,392 | |||
ICO Global Communications Holdings Ltd. † | 2,200 | 3,542 | |||
IDT Corp. Class B † | 400 | 5,100 | |||
PAETEC Holding Corp. † | 3,000 | 10,230 | |||
Vonage Holdings Corp. † | 4,200 | 9,660 | |||
44,429 | |||||
Transportation - 2.2% | |||||
Air Transport Services Group, Inc. † | 1,300 | 6,188 | |||
Atlas Air Worldwide Holdings, Inc. † | 500 | 23,750 | |||
Avis Budget Group, Inc. † | 1,900 | 18,658 | |||
Celadon Group, Inc. † | 500 | 7,070 | |||
Hub Group, Inc. Class A † | 600 | 18,006 | |||
Macquarie Infrastructure Co., LLC † | 800 | 10,232 | |||
Pacer International, Inc. † | 800 | 5,592 | |||
Park-Ohio Holdings Corp. † | 200 | 2,878 | |||
Pinnacle Airlines Corp. † | 400 | 2,176 | |||
Quality Distribution, Inc. † | 500 | 2,585 | |||
US Airways Group, Inc. † | 2,900 | 24,969 | |||
122,104 | |||||
TOTAL COMMON STOCKS | 5,519,628 | ||||
EXCHANGE-TRADED FUND - 0.4% | |||||
iShares Russell 2000 Index Fund | 400 | 24,432 | |||
SHARES | VALUE (Note 3) | ||||
MONEY MARKET FUND - 12.4% | |||||
Dreyfus Institutional Cash Advantage Fund, 0.19% (a)(b)(c)(2) | 690,631 | 690,631 | |||
(cost $690,631; includes $643,065 of cash collateral received for securities on loan) | |||||
TOTAL INVESTMENTS - 112.1% | 6,234,691 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.1)% | (673,269) | ||||
NET ASSETS - 100.0% | $ | 5,561,422 | |||
† | Non income-producing security. |
(a) | Represents annualized seven-day yield as of June 30, 2010. |
(b) | All or a portion of the security on loan. The aggregate market value of such securities is $544,444; cash collateral of $643,065 was received with which the Fund purchased a money market fund. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1, unless noted otherwise in parentheses.
(2) | Level 2 security (see Note 5). |
(3) | Level 3 security (see Note 5). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 68 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
COMMON STOCKS - 91.6% | SHARES | VALUE (Note 3) | |||
Australia - 4.7% | |||||
Amcor Ltd. | 7,128 | $ | 37,989 | ||
Australia and New Zealand Banking Group Ltd. | 13,648 | 245,137 | |||
Cochlear Ltd. | 365 | 22,735 | |||
Commonwealth Bank of Australia | 8,537 | 345,130 | |||
Equinox Minerals Ltd. †(1) | 4,000 | 14,015 | |||
Incitec Pivot Ltd. | 11,205 | 25,341 | |||
Leighton Holdings Ltd. | 2,485 | 59,767 | |||
Mirvac Group REIT | 29,435 | 32,146 | |||
OneSteel Ltd. | 8,570 | 21,204 | |||
Suncorp-Metway Ltd. | 7,395 | 49,474 | |||
Wesfarmers Ltd. | 7,781 | 185,977 | |||
1,038,915 | |||||
Austria - 0.5% | |||||
Erste Group Bank AG | 1,811 | 57,460 | |||
Raiffeisen International Bank-Holding AG † | 818 | 31,068 | |||
Vienna Insurance Group † | 311 | 12,910 | |||
Voestalpine AG | 56 | 1,525 | |||
102,963 | |||||
Belgium - 2.3% | |||||
Anheuser-Busch InBev NV | 8,248 | 396,575 | |||
Delhaize Group | 609 | 44,193 | |||
KBC Groep NV † | 1,787 | 68,496 | |||
509,264 | |||||
Canada - 8.1% (1) | |||||
Agrium, Inc. | 1,000 | 48,847 | |||
Alimentation Couche-Tard, Inc. Class B | 1,600 | 26,903 | |||
Bank of Montreal | 2,900 | 157,293 | |||
Baytex Energy Trust | 1,000 | 29,872 | |||
BCE, Inc. | 4,300 | 125,460 | |||
Bombardier, Inc. Class B | 9,200 | 41,828 | |||
Bonavista Energy Trust | 1,300 | 27,855 | |||
Brookfield Asset Management, Inc. Class A | 3,000 | 67,832 | |||
Brookfield Properties Corp. (b) | 3,200 | 44,939 | |||
Canadian Imperial Bank of Commerce | 2,000 | 124,259 | |||
Canadian Pacific Railway Ltd. | 1,000 | 53,600 | |||
Centerra Gold, Inc. † | 1,500 | 16,514 | |||
CGI Group, Inc. Class A † | 1,800 | 26,783 | |||
Domtar Corp. | 300 | 14,696 | |||
Eldorado Gold Corp. | 3,100 | 55,562 | |||
Fairfax Financial Holdings Ltd. | 100 | 36,624 | |||
George Weston Ltd. | 600 | 41,037 | |||
Gildan Activewear, Inc. † | 900 | 25,853 | |||
IAMGOLD Corp. | 2,200 | 38,790 | |||
Industrial Alliance Insurance and Financial Services, Inc. | 1,800 | 59,011 | |||
Inter Pipeline Fund Class A | 2,200 | 24,696 | |||
Ivanhoe Mines Ltd. † | 2,300 | 29,794 | |||
Magna International, Inc. Class A | 700 | 46,114 | |||
Niko Resources Ltd. | 400 | 37,203 | |||
Onex Corp. | 1,900 | 45,673 | |||
Osisko Mining Corp. † | 1,900 | 20,489 | |||
Pacific Rubiales Energy Corp. † | 1,500 | 33,620 | |||
Penn West Energy Trust | 2,400 | 45,766 | |||
Petrobank Energy and Resources Ltd. † | 800 | 28,143 |
SHARES | VALUE (Note 3) | ||||
Canada - 8.1% (continued) (1) | |||||
Petrominerales Ltd. | 500 | $ | 11,672 | ||
Red Back Mining, Inc. † | 1,600 | 40,445 | |||
RioCan Real Estate Investment Trust REIT | 2,200 | 39,348 | |||
Rogers Communications, Inc. Class B | 3,100 | 101,280 | |||
Silver Wheaton Corp. † | 1,900 | 38,070 | |||
SouthGobi Resources Ltd. † | 600 | 7,045 | |||
Teck Resources Ltd. Class B | 3,400 | 100,541 | |||
Telus Corp. | 1,700 | 64,148 | |||
1,777,605 | |||||
China - 0.1% | |||||
AAC Acoustic Technologies Holdings, Inc. | 10,000 | 14,294 | |||
Great Wall Motor Co., Ltd. Class H | 6,500 | 11,282 | |||
25,576 | |||||
Denmark - 2.9% | |||||
AP Moller - Maersk A/S Class B | 26 | 204,771 | |||
Carlsberg A/S Class B | 1,050 | 80,019 | |||
Coloplast A/S Class B | 371 | 36,825 | |||
Danske Bank A/S † | 4,247 | 81,723 | |||
Novo Nordisk A/S Class B | 2,573 | 207,880 | |||
William Demant Holding A/S † | 450 | 32,914 | |||
644,132 | |||||
Finland - 1.4% | |||||
Kone Oyj Class B | 2,111 | 84,050 | |||
Metso Corp. | 916 | 29,355 | |||
Sampo Oyj Class A | 4,975 | 104,891 | |||
Stora Enso Oyj Class R | 4,354 | 31,461 | |||
UPM-Kymmene Oyj | 2,791 | 36,951 | |||
Wartsila Corp. | 283 | 12,869 | |||
299,577 | |||||
France - 10.0% | |||||
Accor SA † | 1,019 | 47,175 | |||
Air Liquide SA | 1,437 | 145,118 | |||
Bouygues SA | 1,616 | 62,380 | |||
Cap Gemini | 805 | 35,380 | |||
Christian Dior SA | 1,115 | 107,020 | |||
Compagnie de Saint-Gobain | 3,331 | 124,128 | |||
Compagnie Generale des Etablissements Michelin Class B | 953 | 66,398 | |||
Dassault Systemes SA | 716 | 43,375 | |||
Essilor International SA (b) | 1,502 | 89,256 | |||
Eutelsat Communications | 1,840 | 61,600 | |||
Fonciere des Regions REIT | 601 | 49,543 | |||
JC Decaux SA † | 1,456 | 33,924 | |||
Legrand SA | 1,719 | 50,953 | |||
L’Oreal SA | 2,887 | 282,667 | |||
LVMH Moet Hennessy Louis Vuitton SA | 2,242 | 244,027 | |||
Natixis † | 17,293 | 75,094 | |||
Pernod-Ricard SA | 1,176 | 91,217 | |||
PPR | 818 | 101,615 | |||
Publicis Groupe | 1,176 | 46,910 | |||
Safran SA | 2,432 | 67,841 | |||
Schneider Electric SA | 1,325 | 133,826 | |||
Sodexo | 908 | 50,391 | |||
Technip SA | 748 | 42,902 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 69 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
France - 10.0% (continued) | |||||
Unibail-Rodamco REIT | 432 | $ | 70,409 | ||
Vallourec SA | 421 | 72,586 | |||
2,195,735 | |||||
Germany - 12.3% | |||||
Adidas AG | 987 | 47,785 | |||
Allianz SE | 2,259 | 223,581 | |||
BASF SE | 4,350 | 237,686 | |||
Bayerische Motoren Werke AG | 3,152 | 153,114 | |||
Beiersdorf AG | 1,260 | 69,527 | |||
Celesio AG | 1,120 | 24,422 | |||
Commerzbank AG † | 4,728 | 33,005 | |||
Continental AG † | 1,040 | 53,986 | |||
Daimler AG † | 5,469 | 276,653 | |||
Deutsche Post AG | 8,373 | 122,080 | |||
Deutsche Postbank AG † | 1,141 | 33,073 | |||
Fresenius Medical Care AG & Co. KGaA | 1,631 | 88,000 | |||
Fresenius SE | 818 | 54,031 | |||
Generali Deutschland Holding AG | 159 | 17,792 | |||
HeidelbergCement AG | 1,265 | 59,785 | |||
Henkel AG & Co. KGaA | 2,808 | 137,117 | |||
Hochtief AG | 330 | 19,703 | |||
Infineon Technologies AG † | 5,608 | 32,512 | |||
Linde AG | 1,025 | 107,779 | |||
MAN SE | 778 | 64,140 | |||
Metro AG | 2,033 | 103,727 | |||
Puma AG Rudolf Dassler Sport | 56 | 14,884 | |||
Siemens AG | 4,712 | 421,441 | |||
ThyssenKrupp AG | 2,777 | 68,434 | |||
Volkswagen AG | 2,346 | 205,863 | |||
Wacker Chemie AG | 216 | 31,288 | |||
2,701,408 | |||||
Hong Kong - 3.9% | |||||
ASM Pacific Technology Ltd. | 3,000 | 23,306 | |||
BOC Hong Kong Holdings Ltd. | 63,500 | 144,619 | |||
Cathay Pacific Airways Ltd. | 26,000 | 51,421 | |||
Digital China Holdings Ltd. | 8,000 | 12,222 | |||
Hongkong Land Holdings Ltd. | 17,000 | 84,031 | |||
Hongkong and Shanghai Hotels Ltd. | 11,000 | 18,162 | |||
Jardine Matheson Holdings Ltd. | 2,400 | 83,995 | |||
Jardine Strategic Holdings Ltd. | 7,000 | 145,128 | |||
Li & Fung Ltd. | 18,000 | 80,532 | |||
Lifestyle International Holdings Ltd. | 13,500 | 26,120 | |||
Minth Group Ltd. | 8,000 | 9,452 | |||
Noble Group Ltd. | 46,363 | 56,038 | |||
Orient Overseas International Ltd. † | 4,500 | 32,168 | |||
Sino-Forest Corp. †(1) | 1,500 | 21,319 | |||
Stella International Holdings Ltd. | 7,500 | 14,455 | |||
VTech Holdings Ltd. | 2,000 | 21,390 | |||
Wheelock Properties Ltd. | 5,000 | 8,295 | |||
Yue Yuen Industrial Holdings Ltd. | 8,500 | 26,383 | |||
859,036 | |||||
Ireland - 0.7% | |||||
Experian PLC | 7,936 | 69,014 | |||
Shire PLC | 3,668 | 75,246 | |||
144,260 | |||||
SHARES | VALUE (Note 3) | ||||
Italy - 1.3% | |||||
Beni Stabili SpA (1) | 3,606 | $ | 2,734 | ||
Fiat SpA | 5,316 | 54,604 | |||
Luxottica Group SpA | 2,911 | 70,481 | |||
Mediaset SpA | 7,829 | 44,521 | |||
Saipem SpA | 2,511 | 76,481 | |||
Terna-Rete Elettrica Nazionale SpA | 11,780 | 42,399 | |||
291,220 | |||||
Japan - 4.1% | |||||
ABC-Mart, Inc. | 700 | 27,460 | |||
Asahi Glass Co., Ltd. | 8,000 | 75,119 | |||
Central Japan Railway Co. | 12 | 97,951 | |||
DeNa Co., Ltd. | 900 | 23,764 | |||
Denki Kagaku Kogyo Kabushiki Kaisha | 4,000 | 18,618 | |||
Don Quijote Co., Ltd. | 300 | 8,043 | |||
Elpida Memory, Inc. † | 1,700 | 25,995 | |||
Fuji Electric Holdings Co., Ltd. | 4,000 | 11,517 | |||
Fuji Heavy Industries Ltd. † | 5,000 | 26,785 | |||
Gree, Inc. | 300 | 23,957 | |||
Hino Motors Ltd. | 4,000 | 19,722 | |||
Hitachi Ltd. † | 660 | 2,397 | |||
Isuzu Motors Ltd. | 11,000 | 33,055 | |||
Jupiter Telecommunications Co., Ltd. | 33 | 31,594 | |||
Koito Manufacturing Co., Ltd. | 1,000 | 14,726 | |||
NGK Spark Plug Co., Ltd. | 2,000 | 24,830 | |||
NHK Spring Co., Ltd. | 2,000 | 18,294 | |||
Nidec Corp. | 900 | 75,345 | |||
NOK Corp. | 200 | 18,763 | |||
NSK Ltd. | 4,000 | 27,781 | |||
Omron Corp. | 1,500 | 32,699 | |||
Oracle Corp. Japan | 600 | 29,484 | |||
Sysmex Corp. | 400 | 22,718 | |||
Takata Corp. | 600 | 12,148 | |||
THK Co., Ltd. | 1,100 | 22,758 | |||
Toshiba Corp. † | 24,000 | 118,886 | |||
Unicharm Corp. | 400 | 45,107 | |||
889,516 | |||||
Luxembourg - 0.6% | |||||
RTL Group (1) | 135 | 9,905 | |||
Tenaris SA | 6,655 | 114,784 | |||
124,689 | |||||
Mexico - 0.0% (c) | |||||
Fresnillo PLC | 249 | 3,615 | |||
Netherlands - 9.6% | |||||
Akzo Nobel NV | 946 | 49,168 | |||
ASML Holding NV | 2,801 | 77,083 | |||
European Aeronautic Defence and Space Co. NV † | 4,358 | 88,937 | |||
Hal Trust | 326 | 30,423 | |||
Heineken Holding NV | 1,651 | 60,315 | |||
Heineken NV | 3,575 | 151,535 | |||
Koninklijke Ahold NV | 5,418 | 67,020 | |||
Koninklijke DSM NV | 1,348 | 53,586 | |||
Koninklijke Philips Electronics NV | 4,867 | 145,339 | |||
Koninklijke Vopak NV | 762 | 27,924 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 70 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 3) | ||||
Netherlands - 9.6% (continued) | |||||
QIAGEN NV †(1) | 1,612 | $ | 31,816 | ||
Randstad Holding NV † | 1,096 | 43,068 | |||
Royal Dutch Shell PLC Class A | 33,469 | 841,334 | |||
TNT NV | 1,685 | 42,440 | |||
Unilever NV | 14,464 | 395,001 | |||
2,104,989 | |||||
Norway - 1.1% | |||||
DnB NOR ASA | 9,200 | 88,487 | |||
Seadrill Ltd. | 3,031 | 54,673 | |||
Telenor ASA | 7,860 | 99,015 | |||
242,175 | |||||
Portugal - 0.4% | |||||
Jeronimo Martins SGPS SA | 4,554 | 41,725 | |||
Portugal Telecom SGPS SA | 5,218 | 52,154 | |||
93,879 | |||||
Singapore - 2.4% | |||||
Fraser and Neave Ltd. | 11,000 | 40,224 | |||
Jardine Cycle & Carriage Ltd. | 2,000 | 42,561 | |||
Keppel Corp. Ltd. | 13,000 | 78,489 | |||
Keppel Land Ltd. | 18,000 | 49,670 | |||
K-Green Trust †(1) | 2,600 | 1,951 | |||
Neptune Orient Lines Ltd. † | 5,000 | 7,062 | |||
Oversea-Chinese Banking Corp. Ltd. | 15,000 | 94,457 | |||
SembCorp Industries Ltd. | 13,000 | 37,594 | |||
SembCorp Marine Ltd. | 17,000 | 46,456 | |||
SIA Engineering Co., Ltd. | 10,000 | 28,331 | |||
United Overseas Bank Ltd. | 7,000 | 97,383 | |||
524,178 | |||||
Spain - 0.8% | |||||
Industria de Diseño Textil SA | 3,053 | 174,087 | |||
Sweden - 4.0% | |||||
AB SKF Class B | 2,899 | 52,029 | |||
Alfa Laval AB | 2,829 | 36,738 | |||
Assa Abloy AB Class B | 2,512 | 50,210 | |||
Atlas Copco AB Class A | 4,195 | 61,334 | |||
Electrolux AB Series B | 1,932 | 44,167 | |||
Getinge AB Class B | 1,678 | 32,474 | |||
Industrivarden AB Class C | 4,099 | 43,650 | |||
Kinnevik Investment AB Class B | 2,409 | 38,568 | |||
Ratos AB Class B | 1,515 | 37,956 | |||
Sandvik AB | 7,566 | 92,289 | |||
Scania AB Class B | 4,839 | 73,862 | |||
Skanska AB Class B | 2,602 | 37,645 | |||
SSAB AB Class A | 1,566 | 21,025 | |||
Svenska Handelsbanken AB Class A | 3,079 | 75,324 | |||
Swedbank AB Class A † | 5,387 | 49,435 | |||
Tele2 AB Class B | 3,216 | 48,049 | |||
Volvo AB Class B † | 7,930 | 87,696 | |||
882,451 | |||||
Switzerland - 7.9% | |||||
Adecco SA | 1,275 | 60,826 | |||
Compagnie Financiere Richemont SA Class A | 3,303 | 115,315 |
SHARES | VALUE (Note 3) | ||||
Switzerland - 7.9% (continued) | |||||
Geberit AG | 236 | $ | 36,721 | ||
Givaudan SA | 44 | 37,371 | |||
Holcim Ltd. | 2,060 | 137,900 | |||
Kuehne + Nagel International AG | 519 | 53,425 | |||
Nestle SA | 17,646 | 850,869 | |||
Schindler Holding AG | 631 | 53,184 | |||
Sonova Holding AG † | 440 | 53,996 | |||
Swatch Group AG | 310 | 87,428 | |||
Swiss Reinsurance Co., Ltd. | 2,587 | 106,295 | |||
Zurich Financial Services AG | 595 | 131,146 | |||
1,724,476 | |||||
United Kingdom - 12.5% | |||||
Admiral Group PLC | 2,225 | 46,597 | |||
Anglo American PLC † | 223 | 7,770 | |||
Antofagasta PLC | 540 | 6,283 | |||
ARM Holdings PLC | 7,816 | 32,350 | |||
Associated British Foods PLC | 4,874 | 70,584 | |||
British American Tobacco PLC | 10,171 | 322,784 | |||
British Land Co. PLC REIT | 5,377 | 34,732 | |||
BT Group PLC | 27,518 | 53,118 | |||
Burberry Group PLC | 3,281 | 37,054 | |||
Cairn Energy PLC † | 6,579 | 40,417 | |||
Carnival PLC | 2,918 | 94,518 | |||
Centrica PLC | 24,337 | 107,400 | |||
Compass Group PLC | 10,311 | 78,441 | |||
Diageo PLC | 12,777 | 200,700 | |||
Eurasian Natural Resources Corp. | 381 | 4,848 | |||
HSBC Holdings PLC | 95,098 | 868,786 | |||
Inmarsat PLC | 1,932 | 20,485 | |||
InterContinental Hotels Group PLC | 1,995 | 31,441 | |||
International Power PLC | 11,111 | 49,633 | |||
Intertek Group PLC | 2,171 | 46,541 | |||
Investec PLC | 2,214 | 14,898 | |||
Johnson Matthey PLC | 1,514 | 33,637 | |||
Kazakhmys PLC † | 81 | 1,189 | |||
Kingfisher PLC | 12,264 | 38,418 | |||
Legal & General Group PLC | 38,945 | 45,392 | |||
Pearson PLC | 4,328 | 56,921 | |||
Petrofac Ltd. | 2,356 | 41,449 | |||
Prudential PLC | 1,888 | 14,240 | |||
Randgold Resources Ltd. | 440 | 41,830 | |||
SABMiller PLC | 2,729 | 76,522 | |||
Smith & Nephew PLC | 7,076 | 66,851 | |||
Smiths Group PLC | 2,405 | 38,290 | |||
Standard Chartered PLC | 1,291 | 31,436 | |||
Vedanta Resources PLC | 86 | 2,702 | |||
Wolseley PLC † | 1,950 | 38,707 | |||
WPP PLC | 5,441 | 51,257 | |||
2,748,221 | |||||
TOTAL COMMON STOCKS | 20,101,967 | ||||
EXCHANGE TRADED FUND - 0.4% (1) | |||||
United States - 0.4% | |||||
iShares MSCI EAFE Index Fund | 2,100 | 97,671 | |||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 71 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
RIGHT - 0.0% (c)(1) | SHARES | VALUE (Note 3) | |||
Norway - 0.0% (c) | |||||
Norsk Hydro ASA † | 2,313 | $ | 1,193 | ||
MONEY MARKET FUND - 11.2% | |||||
Dreyfus Institutional Cash Advantage Fund, 0.19% (a)(b)(d) | 2,457,348 | 2,457,348 | |||
(cost $2,457,348; includes $660,420 of cash collateral received for securities on loan) | |||||
TOTAL INVESTMENTS - 103.2% | 22,658,179 | ||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (3.2)% (e) | (708,449) | ||||
NET ASSETS - 100.0% | $ | 21,949,730 | |||
INDUSTRY | VALUE | % OF NET ASSETS | ||||
Automobiles & Components | $ | 1,027,077 | 4.7 | % | ||
Banks | 2,701,666 | 12.3 | ||||
Capital Goods | 2,858,013 | 13.0 | ||||
Commercial & Professional Services | 219,448 | 1.0 | ||||
Consumer Durables & Apparel | 834,852 | 3.8 | ||||
Consumer Services | 320,128 | 1.5 | ||||
Diversified Financials | 213,119 | 1.0 | ||||
Energy | 1,457,912 | 6.6 | ||||
Food & Staples Retailing | 510,582 | 2.3 | ||||
Food, Beverage & Tobacco | 2,694,876 | 12.3 | ||||
Health Care Equipment & Services | 524,222 | 2.4 | ||||
Household & Personal Products | 534,418 | 2.4 | ||||
Insurance | 847,953 | 3.9 | ||||
Materials | 1,662,186 | 7.6 | ||||
Media | 336,632 | 1.5 |
INDUSTRY | VALUE | % OF NET ASSETS | ||||
Pharmaceuticals, Biotechnology & Life Sciences | $ | 314,942 | 1.4 | % | ||
Real Estate | 483,680 | 2.2 | ||||
Retailing | 522,599 | 2.4 | ||||
Semiconductors & Semiconductor Equipment | 191,386 | 0.9 | ||||
Software & Services | 158,979 | 0.7 | ||||
Technology Hardware & Equipment | 201,888 | 0.9 | ||||
Telecommunication Services | 563,708 | 2.6 | ||||
Transportation | 722,269 | 3.3 | ||||
Utilities | 199,432 | 0.9 | ||||
Exchange Traded Fund | 97,671 | 0.4 | ||||
Right | 1,193 | 0.0 | (c) | |||
Money Market Fund | 2,457,348 | 11.2 | ||||
Total Investments | 22,658,179 | 103.2 | ||||
Liabilities in Excess of Other Assets | (708,449) | (3.2) | ||||
Total Net Assets | $ | 21,949,730 | 100.0 | % | ||
† | Non-income producing security. |
(a) | Represents annualized seven-day-yield as of June 30, 2010. |
(b) | All or a portion of the security on loan. The aggregate market value of such securities is $532,519; cash collateral of $660,420 was received with which the Fund purchased a money market fund. |
(c) | Represents less than 0.05 percent of net assets. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(e) | Includes appreciation (depreciation) on equity swap contracts and forward foreign currency exchange contracts. |
All securities are Level 2, unless noted otherwise in parentheses.
(1) | Level 1 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust.
Equity swap contracts outstanding as of June 30, 2010:
REFERENCE ENTITY | COUNTERPARTY | SHARES LONG | VALUE AT CONTRACT DATE | RESET DATE | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||
3I GROUP PLC | Deutsche Bank | 2,100 | $ | 9,316 | 07/19/2010 | $ | (1,033) | |||||
Anglo American PLC | Deutsche Bank | 6,108 | 243,891 | 07/19/2010 | (31,057) | |||||||
Antofagasta PLC | Deutsche Bank | 4,378 | 56,777 | 07/19/2010 | (5,841) | |||||||
Eurasian Natural Resources Corp. | Deutsche Bank | 6,647 | 103,484 | 07/19/2010 | (18,902) | |||||||
Fresnillo PLC | Deutsche Bank | 3,595 | 55,056 | 07/19/2010 | (2,864) | |||||||
Inmarsat PLC | Deutsche Bank | 2,654 | 30,137 | 07/19/2010 | (1,996) | |||||||
Investec PLC | Deutsche Bank | 4,485 | 33,016 | 07/19/2010 | (2,836) | |||||||
Kazakhmys PLC | Deutsche Bank | 2,604 | 45,909 | 07/19/2010 | (7,685) | |||||||
Old Mutual PLC | Deutsche Bank | 7,263 | 12,371 | 07/19/2010 | (1,251) | |||||||
Petrofac Limited | Deutsche Bank | 25 | 468 | 07/19/2010 | (29) | |||||||
Prudential PLC | Deutsche Bank | 18,570 | 156,762 | 07/19/2010 | (16,695) | |||||||
Rio Tinto PLC | Deutsche Bank | 9,771 | 484,681 | 07/19/2010 | (55,594) | |||||||
Rolls-Royce Group | Deutsche Bank | 871,507 | 87,142 | 07/19/2010 | (5,917) | |||||||
SABMiller PLC | Deutsche Bank | 5,301 | 159,117 | 07/19/2010 | (10,475) | |||||||
Standard Chartered PLC | Deutsche Bank | 9,762 | 253,713 | 07/19/2010 | (16,004) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 72 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
Equity swaps contracts (continued)
REFERENCE ENTITY | COUNTERPARTY | SHARES LONG | VALUE AT CONTRACT DATE | RESET DATE | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||
Vedanta Resources PLC | Deutsche Bank | 838 | $ | 29,110 | 07/19/2010 | $ | (2,781) | |||||
Xstrata PLC | Deutsche Bank | 17,915 | 270,478 | 07/19/2010 | (35,888) | |||||||
$ | (216,848) | |||||||||||
The Swap contracts listed above reset monthly. The final termination date is July 19, 2010.
Forward foreign currency exchange contracts outstanding as of June 30, 2010:
Long Contracts:
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Swiss Franc, Expiring 07/02/10 | The Royal Bank of Scotland | CHF | 1,118,000 | $ | 1,034,010 | $ | 1,037,250 | $ | 3,240 | ||||||
Danish Krone, Expiring 07/02/10 | The Royal Bank of Scotland | DKK | 1,277,000 | 209,042 | 209,635 | 593 | |||||||||
British Pound, Expiring 07/02/10 | The Royal Bank of Scotland | GBP | 617,000 | 929,855 | 921,859 | (7,996) | |||||||||
British Pound, Expiring 09/15/10 | The Royal Bank of Scotland | GBP | 1,705,687 | 2,468,163 | 2,548,365 | 80,202 | |||||||||
4,641,070 | 4,717,109 | 76,039 | |||||||||||||
Short Contracts:
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Australian Dollar, Expiring 07/02/10 | The Royal Bank of Scotland | AUD | (112,000) | $ | (95,031) | $ | (94,276) | $ | 755 | ||||||
Canadian Dollar Expiring 07/06/10 | The Royal Bank of Scotland | CAD | (339,000) | (318,521) | (318,432) | 89 | |||||||||
Euro, Expiring 07/02/10 | The Royal Bank of Scotland | EUR | (45,000) | (54,848) | (55,028) | (180) | |||||||||
British Pound Expiring 09/15/10 | The Royal Bank of Scotland | GBP | (300,000) | (436,326) | (448,212) | (11,886) | |||||||||
Hong Kong Dollars, Expiring 07/02/10 | The Royal Bank of Scotland | HKD | (7,753,000) | (995,838) | (995,647) | 191 | |||||||||
Japanese Yen, Expiring 07/02/10 | The Royal Bank of Scotland | JPY | (6,834,000) | (77,117) | (77,295) | (178) | |||||||||
Norwegian Krone, Expiring 07/02/10 | The Royal Bank of Scotland | NOK | (611,000) | (93,811) | (93,888) | (77) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2010 | 73 | |||||||
Schedule of Investments | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2010 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||
(continued) | ||||||||||||
Swedish Krona, Expiring 07/02/10 | The Royal Bank of Scotland | SEK | (1,746,000) | $(223,603) | $(223,922) | $(319) | ||||||
Singapore Dollar, Expiring 07/02/10 | The Royal Bank of Scotland | SGD | (772,000) | (550,252) | (551,704) | (1,452) | ||||||
(2,845,347) | (2,858,404) | (13,057) | ||||||||||
$1,795,723 | $1,858,705 | $62,982 | ||||||||||
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegain Krone
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 74 | |||||||
Statements of Assets and Liabilities | June 30, 2010 (Unaudited) |
AQR GLOBAL FUND | AQR FUND | AQR DIVERSIFIED ARBITRAGE FUND | AQR MANAGED | |||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $ | 346,725,523 | $ | 389,605,031 | $ | 807,586,616 | $ | 177,264,849 | ||||
Investments in securities, at value | $ | 337,818,585 | $ | 368,162,630 | $ | 784,569,814 | $ | 177,264,849 | ||||
Cash (including foreign currency of $1,246,137, $2,492,446, $740,276, and $0, respectively) | 644,859 | 1,878,683 | 28,752,358 | 12,869,285 | ||||||||
Swaps, at value | — | — | 244,754 | — | ||||||||
Unrealized appreciation on forward foreign currency contracts | 1,124,087 | — | 37,793 | 597,294 | ||||||||
Cash collateral held at brokers | 12,069,627 | 19,495,712 | 151,873,675 | 2,488,481 | ||||||||
Variation margin receivable | — | 693,630 | 2,491,296 | 1,630,019 | ||||||||
Receivables: | ||||||||||||
Dividends and interest | 524,660 | 678,130 | 3,732,735 | — | ||||||||
Securities sold | 404,603 | 1,011,552 | 17,378,128 | — | ||||||||
Foreign tax reclaim | 394,109 | 781,115 | — | — | ||||||||
Capital shares sold | 48,880 | 3,643 | 1,673,275 | 2,133,768 | ||||||||
Prepaid expenses | 24,497 | 56,895 | 55,614 | 556 | ||||||||
Total Assets | 353,053,907 | 392,761,990 | 990,809,442 | 196,984,252 | ||||||||
LIABILITIES: | ||||||||||||
Securities sold short, at value (proceeds $0, $0, $309,414,216, and $0, respectively) | — | — | 284,756,160 | — | ||||||||
Call options written, at value (proceeds $0, $0, $1,051,292, and $0, respectively) | — | — | 613,256 | — | ||||||||
Swaps, at value | — | — | 17,034 | — | ||||||||
Variation margin payable | 2,220,027 | 4,286,653 | — | — | ||||||||
Unrealized depreciation on forward foreign currency contracts | — | 578,519 | — | — | ||||||||
Payables: | ||||||||||||
Securities purchased | 552,500 | 453,006 | 35,117,912 | — | ||||||||
Foreign currency purchased | — | — | 2,312,240 | — | ||||||||
Collateral received on securities loaned | 11,381,461 | 5,577,906 | — | — | ||||||||
Accrued Investment advisory fees | 115,723 | 144,895 | 173,922 | 94,554 | ||||||||
Accrued Administration & accounting fees | 72,000 | 100,055 | 80,447 | 19,355 | ||||||||
Accrued Transfer agency fees | 7,858 | 7,872 | 9,339 | 7,533 | ||||||||
Accrued Shareholder servicing fees | 680 | 17,785 | 166,350 | — | ||||||||
Accrued Distribution fees Class N | 355 | 201 | 52,276 | 5,447 | ||||||||
Accrued Trustees fees | — | — | 5,936 | 2,093 | ||||||||
Capital shares reacquired | — | 15,840 | 1,048,143 | 29,114 | ||||||||
Dividends payable on securities sold short | — | — | 438,469 | — | ||||||||
Other accrued expenses and liabilities | 246,557 | 171,336 | 68,206 | 490,360 | ||||||||
Total Liabilities | 14,597,161 | 11,354,068 | 324,359,690 | 648,456 | ||||||||
Net Assets | $ | 338,456,746 | $ | 381,407,922 | $ | 665,949,752 | $ | 196,335,796 | ||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 339,847,602 | $ | 419,050,187 | $ | 658,634,526 | $ | 197,181,825 | ||||
Undistributed (accumulated) net investment income (loss) | 3,865,034 | 6,038,287 | 2,092,902 | (546,788) | ||||||||
Undistributed (accumulated) net realized gain (loss) | 5,271,559 | (18,128,303) | 392,049 | (2,552,270) | ||||||||
Net unrealized appreciation (depreciation) | (10,527,449) | (25,552,249) | 4,830,275 | 2,253,029 | ||||||||
Net Assets | $ | 338,456,746 | $ | 381,407,922 | $ | 665,949,752 | $ | 196,335,796 | ||||
NET ASSETS: | ||||||||||||
Class I | $ | 1,443,345 | $ | 70,254,337 | $ | 401,257,236 | $ | 165,572,917 | ||||
Class N | 1,085,760 | 946,627 | 264,692,516 | 30,762,879 | ||||||||
Class Y | 335,927,641 | 310,206,958 | n/a | n/a | ||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I | 159,571 | 8,385,714 | 36,853,559 | 16,899,298 | ||||||||
Class N | 120,189 | 111,257 | 24,385,005 | 3,143,343 | ||||||||
Class Y | 37,034,100 | 35,573,347 | n/a | n/a | ||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||
Class I | $9.05 | $8.38 | $10.89 | $9.80 | ||||||||
Class N | $9.03 | $8.51 | $10.85 | $9.79 | ||||||||
Class Y | $9.07 | $8.72 | n/a | n/a |
* | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. | (continued on p. 76) |
AQR Funds | Semi-Annual Report | June 2010 | 75 | |||||||
Statements of Assets and Liabilities | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND | AQR INTERNATIONAL MOMENTUM FUND | ||||
ASSETS: | ||||||
Investments in securities, at cost | $26,375,421 | $6,389,110 | $23,676,884 | |||
Investments in securities, at value | $25,619,542 | $6,234,691 | $22,658,179 | |||
Cash (including foreign cash of $0, $0, and $129,002, respectively) | — | — | 131,415 | |||
Unrealized appreciation on forward foreign currency contracts | — | — | 62,982 | |||
Cash collateral held at brokers | 56,963 | — | 360,000 | |||
Receivables: | ||||||
Dividends and interest | 11,567 | 3,899 | 37,984 | |||
Securities sold | 6,289,280 | 2,443,555 | 9,311,175 | |||
Foreign tax reclaim | — | — | 5,621 | |||
Capital shares sold | 106,260 | — | — | |||
Expense reimbursement due from Adviser | 20,023 | 21,514 | 83,099 | |||
Prepaid expenses | 15,364 | 14,591 | 14,196 | |||
Total Assets | 32,118,999 | 8,718,250 | 32,664,651 | |||
LIABILITIES: | ||||||
Swaps, at value | — | — | 216,848 | |||
Variation margin payable | 4,881 | — | — | |||
Due to broker | — | — | 381,044 | |||
Payables: | ||||||
Securities purchased | 10,410,615 | 2,465,536 | 9,371,248 | |||
Collateral received on Securities loaned | 1,119,098 | 643,065 | 660,420 | |||
Accrued Administration & accounting fees | 9,628 | 9,628 | 9,628 | |||
Accrued Transfer agency fees | 7,093 | 7,880 | 7,232 | |||
Accrued Shareholder servicing fees | 2,414 | 730 | 2,916 | |||
Accrued Trustees fees | 208 | 43 | — | |||
Other accrued expenses | 30,666 | 29,946 | 65,585 | |||
Total Liabilities | 11,584,603 | 3,156,828 | 10,714,921 | |||
Net Assets | $20,534,396 | $5,561,422 | $21,949,730 | |||
NET ASSETS CONSIST OF: | ||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $22,265,165 | $5,716,368 | $24,846,227 | |||
Undistributed (accumulated) net investment income (loss) | 25,363 | 4,533 | 489,211 | |||
Undistributed (accumulated) net realized gain (loss) | (995,372) | (5,060) | (2,219,000) | |||
Net unrealized appreciation (depreciation) | (760,760) | (154,419) | (1,166,708) | |||
Net Assets | $20,534,396 | $5,561,422 | $21,949,730 | |||
NET ASSETS: | ||||||
Class L | $20,534,396 | $5,561,422 | $21,949,730 | |||
SHARES OUTSTANDING: | ||||||
Class L | 1,816,649 | 499,843 | 2,093,032 | |||
NET ASSET VALUE PER SHARE: | ||||||
Class L | $11.30 | $11.13 | $10.49 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 76 | |||||||
Statements of Operations | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | AQR DIVERSIFIED ARBITRAGE FUND | AQR MANAGED FUTURES STRATEGY FUND** | |||||||||
FOR THE PERIOD 1/4/10*-6/30/10 | FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 1/6/10*-6/30/10 | |||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $ | 4,728,199 | $ | 6,708,995 | $ | 2,241,282 | $ | 23,234 | ||||
Interest income | 3,313 | — | 4,854,468 | — | ||||||||
Securities lending income | 49,770 | 88,644 | 561 | — | ||||||||
Total Income | 4,781,282 | 6,797,639 | 7,096,311 | 23,234 | ||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 719,998 | 909,664 | 1,396,998 | 437,835 | ||||||||
Custody, administration & accounting fees | 132,615 | 216,749 | 145,497 | 22,320 | ||||||||
Legal fees | 43,840 | 19,051 | 60,636 | 42,500 | ||||||||
Audit and tax fees | 33,349 | 52,909 | 75,685 | 29,753 | ||||||||
Insurance fees | 29,032 | 34,039 | 22,650 | 2,227 | ||||||||
Shareholder reporting fees | 23,718 | 10,639 | 86,267 | 19,680 | ||||||||
Transfer agent fees | 18,350 | 20,869 | 68,108 | 17,231 | ||||||||
Trustees fees | 16,907 | 18,697 | 25,325 | 5,381 | ||||||||
Registration fees | 9,445 | 10,567 | 24,045 | 10,677 | ||||||||
Corporate governance fees | 7,438 | 7,438 | 7,438 | 7,438 | ||||||||
Shareholder servicing fees | 450,659 | 520,789 | 568,285 | — | ||||||||
Distribution fees—Class N | 1,145 | 741 | 173,393 | 22,386 | ||||||||
Dividends on securities sold short | — | — | 2,567,049 | — | ||||||||
Other fees | 28,376 | 35,607 | 59,497 | 36,570 | ||||||||
Total Expenses | 1,514,872 | 1,857,759 | 5,280,873 | 653,998 | ||||||||
Less waivers and reimbursements: | ||||||||||||
Investment advisory fees waived | (147,965) | (104,719) | — | (83,976) | ||||||||
Shareholder servicing fees waived | (450,659) | (520,789) | (111,879) | — | ||||||||
Net Expenses | 916,248 | 1,232,251 | 5,168,994 | 570,022 | ||||||||
Net Investment Income (Loss) | 3,865,034 | 5,565,388 | 1,927,317 | (546,788) | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | 9,132,988 | 822,674 | 13,403,878 | — | ||||||||
Forward foreign currency contracts | (19,446) | (1,555,324) | 160,614 | 346,362 | ||||||||
Foreign currency and foreign currency translations | 951,945 | (1,038,455) | 155,039 | (80,859) | ||||||||
Futures contracts | (4,793,928) | (5,805,457) | (436,433) | (2,817,773) | ||||||||
Securities sold short | — | — | (10,703,192) | — | ||||||||
Swap contracts | — | — | (1,520,703) | — | ||||||||
Written options | — | — | 1,925,628 | — | ||||||||
Net realized gain (loss) | 5,271,559 | (7,576,562) | 2,984,831 | (2,552,270) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | (42,858,150) | (55,214,870) | (41,393,650) | — | ||||||||
Futures contracts | (1,925,347) | (4,882,131) | 2,074,158 | 1,630,019 | ||||||||
Forward foreign currency contracts | 1,741,424 | 195,898 | 41,340 | 597,294 | ||||||||
Foreign currency and foreign currency translations | (836,067) | (8,552) | (23,605) | 25,716 | ||||||||
Securities sold short | — | — | 38,217,158 | — | ||||||||
Swap contracts | — | — | 471,523 | — | ||||||||
Written options | — | — | 443,406 | — | ||||||||
Net change in unrealized appreciation (depreciation) | (43,878,140) | (59,909,655) | (169,670) | 2,253,029 | ||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | (38,606,581) | (67,486,217) | 2,815,161 | (299,241) | ||||||||
Net increase (decrease) in net assets resulting from operations | $ | (34,741,547) | $ | (61,920,829) | $ | 4,742,478 | $ | (846,029) | ||||
† Net of foreign taxes withheld of | $ | 319,686 | $ | 874,362 | $ | 7,869 | $ | — |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
(continued on p. 78)
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 77 | |||||||
Statements of Operations | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND | AQR SMALL CAP | AQR INTERNATIONAL MOMENTUM FUND | |||||||
FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE SIX MONTHS ENDED 6/30/10 | |||||||
INVESTMENT INCOME: | |||||||||
Dividend income† | $ | 50,942 | $ | 15,917 | $ | 426,080 | |||
Interest income | 365 | 78 | — | ||||||
Securities lending income | 528 | 2,787 | 5,595 | ||||||
Total Income | 51,835 | 18,782 | 431,675 | ||||||
EXPENSES: | |||||||||
Investment advisory fees | 13,712 | 7,617 | 49,114 | ||||||
Custody, administration & accounting fees | 14,365 | 20,804 | 73,773 | ||||||
Legal fees | 26,787 | 25,507 | 29,409 | ||||||
Audit and tax fees | 21,751 | 21,753 | 29,611 | ||||||
Insurance fees | 628 | 340 | 2,606 | ||||||
Shareholder reporting fees | 1,091 | 271 | 2,800 | ||||||
Transfer agent fees | 13,318 | 13,191 | 14,417 | ||||||
Trustees | 680 | 247 | 1,257 | ||||||
Registration fees | 1,110 | 1,110 | 1,114 | ||||||
Corporate governance fees | 6,227 | 6,227 | 6,222 | ||||||
Shareholder servicing fees | 8,227 | 3,264 | 21,049 | ||||||
Other fees | 9,659 | 3,352 | 19,746 | ||||||
Total Expenses | 117,555 | 103,683 | 251,118 | ||||||
Less waivers and reimbursements: | |||||||||
Investment advisory fees waived | (13,712) | (7,617) | (49,114) | ||||||
Shareholder servicing fees waived | (8,227) | (3,264) | (21,049) | ||||||
Expense reimbursements | (68,513) | (78,553) | (87,476) | ||||||
Net Expenses | 21,703 | 14,249 | 93,479 | ||||||
Net Investment Income (Loss) | 24,732 | 4,533 | 338,196 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||
Net realized gain (loss) from: | |||||||||
Investments in securities | (907,179) | (98,989) | (1,469,012) | ||||||
Forward foreign currency contracts | — | — | (516,047) | ||||||
Foreign currency and foreign currency transactions | — | — | (87,131) | ||||||
Futures contracts | (397,534) | — | — | ||||||
Swap contracts | — | — | (199,164) | ||||||
Net realized gain (loss) | (1,304,713) | (98,989) | (2,271,354) | ||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||
Investments in securities | (1,118,758) | (350,151) | (1,681,557) | ||||||
Futures contracts | (4,740) | — | — | ||||||
Forward foreign currency contracts | — | — | 231,693 | ||||||
Foreign currency and foreign currency translations | — | — | 4,955 | ||||||
Swap contracts | — | — | (245,420) | ||||||
Net change in unrealized appreciation (depreciation) | (1,123,498) | (350,151) | (1,690,329) | ||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | (2,428,211) | (449,140) | (3,961,683) | ||||||
Net increase (decrease) in net assets resulting from operations | $ | (2,403,479) | $ | (444,607) | $ | (3,623,487) | |||
†Net of foreign taxes withheld of | $ | 4 | $ | — | $ | 43,575 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 78 | |||||||
Statements of Changes in Net Assets | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||
FOR THE PERIOD 1/4/10*-6/30/10 | FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 8/28/09*-12/31/09 | ||||
OPERATIONS: | ||||||
Net investment income (loss) | $ 3,865,034 | $ 5,565,388 | $ 1,090,896 | |||
Net realized gain (loss) | 5,271,559 | (7,576,562) | 21,921,983 | |||
Net change in unrealized appreciation (depreciation) | (43,878,140) | (59,909,655) | (3,084,692) | |||
Net increase (decrease) in net assets resulting from operations | (34,741,547) | (61,920,829) | 19,928,187 | |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||
Net investment income: | ||||||
Class I | — | — | (610,914) | |||
Class Y | — | — | (4,816,996) | |||
Total | — | — | (5,427,910) | |||
Net realized gain: | ||||||
Class I | — | — | (1,232,295) | |||
Class N | — | — | (20) | |||
Class Y | — | — | (9,229,217) | |||
Total | — | — | (10,461,532) | |||
Total distributions | — | — | (15,889,442) | |||
CAPITAL TRANSACTIONS: | ||||||
CLASS I | ||||||
Proceeds from shares sold | 1,646,160 | 40,014,529 | 43,887,953 | |||
Reinvestment of distributions | — | — | 1,798,893 | |||
Cost of shares reacquired | — | (3,281,987) | (92,897) | |||
Redemption fees | — | 1,107 | 1,147 | |||
Net increase (decrease) from capital transactions | 1,646,160 | 36,733,649 | 45,595,096 | |||
Class N | ||||||
Proceeds from shares sold | 1,935,906 | 1,197,549 | 5,697 | |||
Reinvestment of distributions | — | — | 20 | |||
Cost of shares reacquired | (724,771) | (89,783) | — | |||
Redemption fees | 1 | 13 | — | |||
Net increase (decrease) from capital transactions | 1,211,136 | 1,107,779 | 5,717 | |||
CLASS Y | ||||||
Proceeds from shares sold | — | 2,599,594 | 38,215,777 | |||
In-kind subscription (see Note 11) | 370,340,997 | — | 316,649,562 | |||
Capital contribution (see Note 7) | — | — | 15,777 | |||
Reinvestment of distributions | — | — | 14,046,213 | |||
Cost of shares reacquired | — | (1,631,367) | (14,085,511) | |||
Redemption fees | — | 6,166 | 31,554 | |||
Net increase (decrease) from capital transactions | 370,340,997 | 974,393 | 354,873,372 | |||
Net increase (decrease) in net assets resulting from capital transactions | 373,198,293 | 38,815,821 | 400,474,185 | |||
Total increase (decrease) in net assets | 338,456,746 | (23,105,008) | 404,512,930 | |||
NET ASSETS: | ||||||
Beginning of period | — | 404,512,930 | — | |||
End of period | $338,456,746 | $381,407,922 | $404,512,930 | |||
Undistributed accumulated net investment income (loss) at end of period | $3,865,034 | $6,038,287 | $472,899 | |||
(continued on p. 80)
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 79 | |||||||
Statements of Changes in Net Assets | June 30, 2010 (Unaudited) |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||
FOR THE PERIOD 1/4/10*-6/30/10 | FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 8/28/09*-12/31/09 | ||||
CHANGES IN SHARES OUTSTANDING: | ||||||
CLASS I | ||||||
Shares outstanding, beginning of period | — | 4,502,376 | — | |||
Shares sold | 159,571 | 4,239,916 | 4,324,237 | |||
Shares issued in reinvestment of distributions | — | — | 187,580 | |||
Shares reacquired | — | (356,578) | (9,441) | |||
Shares outstanding, end of period | 159,571 | 8,385,714 | 4,502,376 | |||
CLASS N | ||||||
Shares outstanding, beginning of period | — | 584 | — | |||
Shares sold | 189,694 | 120,496 | 582 | |||
Shares issued in reinvestment of distributions | — | — | 2 | |||
Shares reacquired | (69,505) | (9,823) | — | |||
Shares outstanding, end of period | 120,189 | 111,257 | 584 | |||
CLASS Y | ||||||
Shares outstanding, beginning of period | — | 35,486,692 | — | |||
Shares sold | — | 252,319 | 3,779,363 | |||
Shares issued in connection with in-kind subscription (see Note 11) | 37,034,100 | — | 31,664,956 | |||
Shares issued in reinvestment of distributions | — | — | 1,410,263 | |||
Shares reacquired | — | (165,664) | (1,367,890) | |||
Shares outstanding, end of period | 37,034,100 | 35,573,347 | 35,486,692 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 80 | |||||||
Statements of Changes in Net Assets | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | AQR MANAGED FUND** | |||||
FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 1/15/09*-12/31/09 | FOR THE PERIOD 1/6/10*-6/30/10 | ||||
OPERATIONS: | ||||||
Net investment income (loss) | 1,927,317 | $797,409 | $(546,788) | |||
Net realized gain (loss) | 2,984,831 | (905,928) | (2,552,270) | |||
Net change in unrealized appreciation (depreciation) | (169,670) | 4,999,945 | 2,253,029 | |||
Net increase (decrease) in net assets resulting from operations | 4,742,478 | 4,891,426 | (846,029) | |||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||
Net investment income: | ||||||
Class I | — | (424,290) | — | |||
Class N | — | (135,050) | — | |||
Total | — | (559,340) | — | |||
Net realized gain: | ||||||
Class I | — | (1,105,118) | — | |||
Class N | — | (655,481) | — | |||
Total | — | (1,760,599) | — | |||
Total distributions | — | (2,319,939) | — | |||
CAPITAL TRANSACTIONS: | ||||||
CLASS I | ||||||
Proceeds from shares sold | 269,918,530 | 167,891,859 | 169,870,942 | |||
Reinvestment of distributions | — | 1,492,419 | — | |||
Cost of shares reacquired | (31,277,230) | (11,064,860) | (3,724,474) | |||
Redemption fees | — | 527 | 1,620 | |||
Net increase (decrease) from capital transactions | 238,641,300 | 158,319,945 | 166,148,088 | |||
CLASS N | ||||||
Proceeds from shares sold | 221,740,231 | 95,158,643 | 37,366,529 | |||
Reinvestment of distributions | — | 788,750 | — | |||
Cost of shares reacquired | (38,255,961) | (17,858,676) | (6,333,289) | |||
Redemption fees | — | 1,555 | 497 | |||
Net increase (decrease) from capital transactions | 183,484,270 | 78,090,272 | 31,033,737 | |||
Net increase (decrease) in net assets resulting from capital transactions | 422,125,570 | 236,410,217 | 197,181,825 | |||
Total increase (decrease) in net assets | 426,868,048 | 238,981,704 | 196,335,796 | |||
NET ASSETS: | ||||||
Beginning of period | 239,081,704 | 100,000 | — | |||
End of period | $665,949,752 | $239,081,704 | $196,335,796 | |||
Undistributed accumulated net investment income (loss) at end of period | $2,092,902 | $165,585 | $(546,788) | |||
CHANGES IN SHARES OUTSTANDING: | ||||||
CLASS I | ||||||
Shares outstanding, beginning of period | 14,819,735 | — | — | |||
Shares sold | 24,926,109 | 15,719,603 | 17,278,132 | |||
Shares issued in reinvestment of distributions | — | 139,609 | — | |||
Shares reacquired | (2,892,285) | (1,039,477) | (378,834) | |||
Shares outstanding, end of period | 36,853,559 | 14,819,735 | 16,899,298 | |||
CLASS N | ||||||
Shares outstanding, beginning of period | 7,332,864 | 10,000 | — | |||
Shares sold | 20,592,822 | 8,908,187 | 3,787,227 | |||
Shares issued in reinvestment of distributions | — | 73,922 | — | |||
Shares reacquired | (3,540,681) | (1,659,245) | (643,884) | |||
Shares outstanding, end of period | 24,385,005 | 7,332,864 | 3,143,343 |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. | (continued on p. 82) |
AQR Funds | Semi-Annual Report | June 2010 | 81 | |||||||
Statements of Changes in Net Assets | June 30, 2010 (Unaudited) |
AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND | |||||||
FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 7/9/09*-12/31/09 | FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 7/9/09*-12/31/09 | |||||
OPERATIONS: | ||||||||
Net investment income (loss) | $24,732 | $26,142 | $4,533 | $9,168 | ||||
Net realized gain (loss) | (1,304,713) | 481,637 | (98,989) | 274,977 | ||||
Net change in unrealized appreciation (depreciation) | (1,123,498) | 362,738 | (350,151) | 195,732 | ||||
Net increase (decrease) in net assets resulting from operations | (2,403,479) | 870,517 | (444,607) | 479,877 | ||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income: | ||||||||
Class L | — | (25,511) | — | (9,247) | ||||
Total | — | (25,511) | — | (9,247) | ||||
Net realized gain: | ||||||||
Class L | — | (172,296) | — | (180,969) | ||||
Total | — | (172,296) | — | (180,969) | ||||
Total distributions | — | (197,807) | — | (190,216) | ||||
CAPITAL TRANSACTIONS: | ||||||||
CLASS L | ||||||||
Proceeds from shares sold | 16,645,686 | 6,150,686 | 2,988,043 | 3,072,017 | ||||
In-kind subscription (see Note 11) | — | — | — | — | ||||
Capital contribution (see Note 7) | — | — | — | — | ||||
Reinvestment of distributions | — | 197,602 | — | 189,528 | ||||
Cost of shares reacquired | (641,096) | (89,950) | (221,619) | (312,595) | ||||
Redemption fees | 710 | 527 | — | 994 | ||||
Net increase (decrease) from capital transactions | 16,005,300 | 6,259,865 | 2,766,424 | 2,949,944 | ||||
Net increase (decrease) in net assets resulting from capital transactions | 16,005,300 | 6,259,865 | 2,766,424 | 2,949,944 | ||||
Total increase (decrease) in net assets | 13,601,821 | 6,932,575 | 2,321,817 | 3,239,605 | ||||
NET ASSETS: | ||||||||
Beginning of period | 6,932,575 | — | 3,239,605 | — | ||||
End of period | $20,534,396 | $6,932,575 | $5,561,422 | $3,239,605 | ||||
Undistributed accumulated net investment income (loss) at end of period | $25,363 | $631 | $4,533 | $— | ||||
CHANGES IN SHARES OUTSTANDING: | ||||||||
CLASS L | ||||||||
Shares outstanding, beginning of period | 568,597 | — | 284,134 | — | ||||
Shares sold | 1,299,689 | 559,779 | 234,046 | 294,508 | ||||
Shares issued in reinvestment of distributions | — | 16,494 | — | 17,013 | ||||
Shares reacquired | (51,637) | (7,676) | (18,337) | (27,387) | ||||
Shares outstanding, end of period | 1,816,649 | 568,597 | 499,843 | 284,134 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. | (continued on p. 83) |
AQR Funds | Semi-Annual Report | June 2010 | 82 | |||||||
Statements of Changes in Net Assets | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND | ||||
FOR THE SIX MONTHS ENDED 6/30/10 | FOR THE PERIOD 7/9/09*-12/31/09 | |||
OPERATIONS: | ||||
Net investment income (loss) | $338,196 | $38,766 | ||
Net realized gain (loss) | (2,271,354) | 779,256 | ||
Net change in unrealized appreciation (depreciation) | (1,690,329) | 523,621 | ||
Net increase (decrease) in net assets resulting from operations | (3,623,487) | 1,341,643 | ||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Net investment income: | ||||
Class L | — | (177,254) | ||
Total | — | (177,254) | ||
Net realized gain: | ||||
Class L | — | (437,399) | ||
Total | — | (437,399) | ||
Total distributions | — | (614,653) | ||
CAPITAL TRANSACTIONS: | ||||
CLASS L | ||||
Proceeds from shares sold | 5,075,471 | 29,481,521 | ||
In-kind subscription (see Note 11) | — | — | ||
Capital contribution (see Note 7) | — | — | ||
Reinvestment of distributions | — | 614,344 | ||
Cost of shares reacquired | (9,265,322) | (1,064,593) | ||
Redemption fees | 1,015 | 3,791 | ||
Net increase (decrease) from capital transactions | (4,188,836) | 29,035,063 | ||
Net increase (decrease) in net assets resulting from capital transactions | (4,188,836) | 29,035,063 | ||
Total increase (decrease) in net assets | (7,812,323) | 29,762,053 | ||
NET ASSETS: | ||||
Beginning of period | 29,762,053 | — | ||
End of period | $21,949,730 | $29,762,053 | ||
Undistributed accumulated net investment income (loss) at end of period | $489,211 | $151,015 | ||
CHANGES IN SHARES OUTSTANDING: | ||||
CLASS L | ||||
Shares outstanding, beginning of period | 2,485,331 | — | ||
Shares sold | 441,992 | 2,523,592 | ||
Shares issued in reinvestment of distributions | — | 52,508 | ||
Shares reacquired | (834,291) | (90,769) | ||
Shares outstanding, end of period | 2,093,032 | 2,485,331 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 83 | |||||||
Statement of Cash Flows | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | | ||
CASH FLOWS FROM OPERATING ACTIVITIES: | |||
Net increase in net assets resulting from operations | $ 4,742,478 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: | |||
Payments to purchase securities | (1,103,753,604 | ) | |
Payments to cover short securities | (279,325,923 | ) | |
Proceeds from securities sold short | 433,050,305 | ||
Proceeds from sale of securities | 601,997,019 | ||
Realized gain on investment in securities | (13,403,878 | ) | |
Realized loss on securities sold short | 10,703,192 | ||
Unrealized depreciation on investment in securities | 41,393,650 | ||
Unrealized appreciation on securities sold short | (38,217,158 | ) | |
Increases (decreases) in operating assets: | |||
Swaps at value | 804,729 | ||
Variation margin receivable | 266,448 | ||
Dividends and interest | (2,481,423 | ) | |
Cash collateral held at brokers | (57,226,937 | ) | |
Increases (decreases) in operating liabilities: | |||
Dividends on securities sold short | 136,418 | ||
Accrued Investment advisory fees | 49,174 | ||
Accrued Shareholder servicing fees | 108,680 | ||
Accrued Trustees fees | 3,309 | ||
Other accrued expenses | 4,512 | ||
Net cash used in operating activities | ($401,149,009 | ) | |
CASH FLOWS FROM FINANCING ACTIVITIES: | |||
Proceeds from shares sold | 490,361,462 | ||
Payments on shares redeemed | (68,591,660 | ) | |
Net cash provided by financing activities | $421,769,802 | ||
Net change in cash | 20,620,793 | ||
Cash, beginning of period | 8,131,565 | ||
Cash, end of period | $28,752,358 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 84 | |||||||
[Intentionally Left Blank]
AQR Funds | Semi-Annual Report | June 2010 | 85 | |||||||
Financial Highlights |
PER SHARE OPERATING PERFORMANCE: | ||||||||||||||
Change in Net Assets Resulting from Operations | Less Dividends and Distributions | |||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)1 | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | ||||||||
AQR GLOBAL EQUITY FUND CLASS I | ||||||||||||||
FOR THE PERIOD 1/4/102 TO 6/30/10 (Unaudited) | $10.00 | 0.10 | (1.05) | (0.95) | — | — | — | |||||||
AQR GLOBAL EQUITY FUND CLASS N† | ||||||||||||||
FOR THE PERIOD 1/4/102 TO 6/30/10 (Unaudited) | $10.00 | 0.10 | (1.07) | (0.97) | — | — | — | |||||||
AQR GLOBAL EQUITY FUND CLASS Y | ||||||||||||||
FOR THE PERIOD 1/4/102 TO 6/30/10 (Unaudited) | $10.00 | 0.10 | (1.03) | (0.93) | — | — | — | |||||||
AQR INTERNATIONAL EQUITY FUND CLASS I† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $9.78 | 0.12 | (1.52) | (1.40) | — | — | — | |||||||
9/30/093 TO 12/31/09 | $10.00 | (0.01) | 0.22 | 0.21 | (0.14) | (0.29) | (0.43) | |||||||
AQR INTERNATIONAL EQUITY FUND CLASS N† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $9.91 | 0.14 | (1.54) | (1.40) | — | — | — | |||||||
9/30/093 TO 12/31/09 | $10.00 | — | 0.20 | 0.20 | — | (0.29) | (0.29) | |||||||
AQR INTERNATIONAL EQUITY FUND CLASS Y† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $10.16 | 0.14 | (1.58) | (1.44) | — | — | — | |||||||
8/28/092 TO 12/31/09 | $10.00 | 0.03 | 0.57 | 0.60 | (0.15) | (0.29) | (0.44) | |||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS I† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $10.80 | 0.06 | 0.03 | 0.09 | — | — | — | |||||||
1/15/092 TO 12/31/09 | $10.00 | 0.13 | 0.79 | 0.92 | (0.03) | (0.09) | (0.12) | |||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS N† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $10.78 | 0.04 | 0.03 | 0.07 | — | — | — | |||||||
1/15/092 TO 12/31/09 | $10.00 | 0.10 | 0.79 | 0.89 | (0.02) | (0.09) | (0.11) | |||||||
AQR MANAGED FUTURES FUND CLASS I† | ||||||||||||||
FOR THE PERIOD 1/6/102 TO 6/30/10 (Unaudited) | $10.00 | (0.06) | (0.14) | (0.20) | — | — | — | |||||||
AQR MANAGED FUTURES FUND CLASS N† | ||||||||||||||
FOR THE PERIOD 1/6/102 TO 6/30/10 (Unaudited) | $10.00 | (0.07) | (0.14) | (0.21) | — | — | — | |||||||
AQR MOMENTUM FUND CLASS L† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $12.19 | 0.03 | (0.92) | (0.89) | — | — | — | |||||||
7/9/092 TO 12/31/09 | $10.00 | 0.07 | 2.48 | 2.55 | (0.05) | (0.31) | (0.36) | |||||||
AQR SMALL CAP MOMENTUM FUND CLASS L† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $11.40 | 0.01 | (0.28) | (0.27) | — | — | — | |||||||
7/9/092 TO 12/31/09 | $10.00 | 0.04 | 2.06 | 2.10 | (0.03) | (0.67) | (0.70) | |||||||
AQR INTERNATIONAL MOMENTUM FUND CLASS L† | ||||||||||||||
SIX MONTHS ENDED 6/30/10 (Unaudited) | $11.98 | 0.14 | (1.63) | (1.49) | — | — | — | |||||||
7/9/092 TO 12/31/09 | $10.00 | 0.04 | 2.26 | 2.30 | (0.09) | (0.23) | (0.32) |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | Based on average shares outstanding. |
2 | Commencement of operations. |
3 | Commencement of offering of shares. |
4 | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
5 | Annualized for periods less than one year. |
6 | Portfolio turnover is not annualized. |
7 | The ratio is annualized for a short period of time and is not representative of what the ratio would be if the Fund class has operated for a longer period of time. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 86 | |||||||
Financial Highlights |
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||
Ratios to Average Net Assets of:5 | ||||||||||||||||
Net Asset Value, End of Period | Total Return4 | Net Assets, End of Period | Expenses, Net of Reimbursements and/or Waivers | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense) | Expenses, Before Reimbursements and/or Waivers | Net Investment Income (Loss) | Portfolio Turnover Rate6 | |||||||||
$9.05 | (9.50)% | $1,443,345 | 0.86% | 0.85% | 2.29% | 2.03% | 41% | |||||||||
$9.03 | (9.70)% | $1,085,760 | 1.21% | 1.20% | 2.44% | 2.01% | 41% | |||||||||
$9.07 | (9.30)% | $335,927,641 | 0.51% | 0.50% | 0.83% | 2.15% | 41% | |||||||||
$8.38 | (14.31)% | $70,254,337 | 0.91% | 0.90% | 0.98% | 2.61% | 42% | |||||||||
$9.78 | 2.20% | $44,016,038 | 0.90% | 0.90% | 1.01% | (0.47)% | 29% | |||||||||
$8.51 | (14.13)% | $946,627 | 1.26% | 1.25% | 3.37% | 3.08% | 42% | |||||||||
$9.91 | 2.04% | $5,785 | 1.25% | 1.25% | 472.86%7 | (0.07)% | 29% | |||||||||
$8.72 | (14.17)% | $310,206,958 | 0.56% | 0.55% | 0.90% | 2.78% | 42% | |||||||||
$10.16 | 6.08% | $360,491,107 | 0.55% | 0.55% | 0.98% | 0.99% | 29% | |||||||||
$10.89 | 0.83% | $401,257,236 | 2.50% | 1.20% | 2.51% | 1.06% | 130% | |||||||||
$10.80 | 9.24% | $160,026,814 | 2.46% | 1.20% | 3.25% | 1.30% | 482% | |||||||||
$10.85 | 0.65% | $264,692,516 | 2.80% | 1.50% | 2.95% | 0.80% | 130% | |||||||||
$10.78 | 8.88% | $79,054,890 | 2.69% | 1.50% | 3.42% | 0.98% | 482% | |||||||||
$9.80 | (2.00)% | $165,572,917 | 1.26% | 1.25% | 1.50% | (1.26)% | 0% | |||||||||
$9.79 | (2.10)% | $30,762,879 | 1.51% | 1.50% | 1.82% | (1.51)% | 0% | |||||||||
$11.30 | (7.30)% | $20,534,396 | 0.49% | 0.49% | 2.14% | 0.45% | 93% | |||||||||
$12.19 | 25.58% | $6,932,575 | 0.49% | 0.49% | 5.08% | 1.23% | 163% | |||||||||
$11.13 | (2.37)% | $5,561,422 | 0.65% | 0.65% | 4.76% | 0.21% | 153% | |||||||||
$11.40 | 21.24% | $3,239,605 | 0.65% | 0.65% | 7.53% | 0.65% | 136% | |||||||||
$10.49 | (12.44)% | $21,949,730 | 0.65% | 0.65% | 1.79% | 2.41% | 114% | |||||||||
$11.98 | 23.08% | $29,762,053 | 0.65% | 0.65% | 2.22% | 0.63% | 160% |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2010 | 87 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
1. Organization
AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is a diversified, open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2010, the Trust consists of seven active series (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, and AQR International Momentum Fund. AQR Capital Management, LLC (“the Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (“the Sub-Adviser”) an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund.
The investment objective of the AQR Global Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR Global Equity Fund include seeking to outperform the MSCI World Total Return Index with Net Dividends Unhedged in U.S. Dollars (the “Global Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The Global Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, including the United States and Canada. The AQR Global Equity Fund commenced operations on January 4, 2010. The Fund offers Class I, Class N and Class Y shares.
The investment objective of the AQR International Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR International Equity Fund include seeking to outperform the MSCI EAFE Total Return Index with Net Dividends Unhedged in U.S. Dollars (the “International Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The International Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. Class Y shares commenced operations on August 28, 2009. Class I and Class N shares commenced operations on September 30, 2009.
The investment objective of the AQR Diversified Arbitrage Fund is long-term absolute (positive) returns. The principal investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform the Merrill Lynch 3-Month Treasury Bill Index (the “Absolute Return Benchmark”) using alternative investment strategies such as merger arbitrage, convertible arbitrage, other forms of arbitrage (including, but not limited to, when-issued trading arbitrage, stub-trading arbitrage and dual-class arbitrage) and other types of non-arbitrage alternative investment strategies. The AQR Diversified Arbitrage Fund commenced operations on January 15, 2009. The Fund offers Class I and Class N shares.
The investment objective of the AQR Managed Futures Strategy Fund is long-term absolute (positive) returns. The Fund invests primarily in a portfolio of futures contracts and futures-related instruments. The Fund’s universe of investments includes more than 100 exchange-traded futures and forward contracts across four major asset classes (commodities, currencies, fixed income and equities); however, this universe of investments is subject to change under varying market conditions and as these instruments evolve over time. The AQR Managed Futures Strategy Fund commenced operations on January 6, 2010. The Fund offers Class I and Class N shares.
The investment objective of the AQR Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds and equity index futures) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Fund’s investment universe consists of large and mid-cap U.S. stocks, which are defined as those in the top 90% of market capitalization or that are larger than the 1000th largest company, whichever is larger, and which meet certain liquidity and other criteria. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, excluding the most recent one month, that ranks in the top third of its relevant universe at the time of purchase. The AQR Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.
The investment objective of the AQR Small Cap Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds and equity index futures) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Fund’s investment universe consists of small capitalization U.S. stocks, which are defined as those in the bottom 10% of market capitalization or that are smaller than the 1000th largest company, whichever is larger. The companies must also be among the top 3000 companies by market capitalization, and meet certain liquidity and other criteria. The Adviser considers a security to have positive momentum
AQR Funds | Semi-Annual Report | June 2010 | 88 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
primarily if it has a return over the prior twelve months, excluding the most recent one month, that ranks in the top third of its relevant universe at the time of purchase. The AQR Small Cap Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.
The investment objective of the AQR International Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depositary receipts) of non-U.S. companies that the Adviser determines to have positive momentum. The Fund’s investment universe consists of stocks in the top 85% of market capitalization in each of the 19 major developed markets outside the U.S., and which meet certain liquidity and other criteria. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, excluding the most recent one month, that ranks in the top third of its relevant universe at the time of purchase. The AQR International Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.
2. Consolidation of Subsidiary – AQR Managed Futures Strategy Offshore Fund Ltd.
The consolidated Schedule of Investments, Statements of Asset and Liabilities, of Operations and of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund includes the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., a wholly-owned and controlled subsidiary, (the “Subsidiary”). All inter-company accounts and transactions have been eliminated in consolidation.
The Fund may invest up to 25% of its total assets in the Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
A summary of the Fund’s investment in the Subsidiary is as follows:
INCEPTION DATE OF SUBSIDIARY | SUBSIDIARY NET JUNE 30, 2010 | % OF TOTAL NET JUNE 30, 2010 | ||||||
AQR Managed Futures Strategy Offshore Fund Ltd. | January 6, 2010 | $ | 39,857,896 | 20.3 | % |
3. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reported period. Actual results could differ from those estimates.
Securities Valuation: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the NYSE (normally 4:00 p.m. Eastern time). Equity securities, including securities sold short, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities on a daily basis utilizing the quotations of an independent pricing service, unless the Adviser determines that use of another valuation methodology is appropriate. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Fund calculates its net asset value. Securities traded in the over-the-counter market, and which are not quoted by NASDAQ, are valued at the last sale price, if available, otherwise at the last quoted bid price (in the case of short sales, at the ask price). Bonds are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. The Funds value debt securities maturing less than 61 days from the date of purchase at amortized cost, which approximates market value. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts
AQR Funds | Semi-Annual Report | June 2010 | 89 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share. Equity swap contracts are valued at fair value, based on the price of the underlying security. Credit default swaps are valued daily primarily using independent pricing services or market makers.
The Funds may use pricing services to obtain readily available market quotations. Where market quotations are not readily available, or if an available market quotation is determined not to be reliable, a security will be valued based on its fair value as determined in accordance with the valuation procedures approved by the Funds’ Board of Trustees. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other mutual funds to calculate their net assets.
Equity Swaps: The Funds invest in equity swaps to obtain exposure to the underlying referenced security, obtain leverage or enjoy the returns from ownership without actually owning equity. Equity swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, basket of securities, security index or index component during the period of the swap. Equity swap contracts are marked to market daily based on the value of the underlying security and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Fund is contractually obligated to make. If the other party to an equity swap defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the Adviser or Sub-Adviser, as applicable, do not accurately analyze and predict future market trends, the values of assets or economic factors, a Fund may suffer a loss, which may be substantial. The swap markets in which many types of swap transactions are traded have grown substantially in recent years, with a large number of banks and investment banking firms acting both as principals and as agents. As a result, the markets for certain types of swaps have become relatively liquid. Periodic payments received or paid by the Funds are recorded as realized gains or losses.
Convertible Securities: The Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. Traditionally, convertible securities have paid dividends or interest greater than on the related common stocks, but less than fixed income non-convertible securities. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if it had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge certain of its investments in convertible debt securities by selling short the issuer’s common stock.
Short Sales: The AQR Diversified Arbitrage Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Fund makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statement of Assets and Liabilities and securities segregated as collateral are denoted in the Schedule of Investments. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral
AQR Funds | Semi-Annual Report | June 2010 | 90 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. The net amounts of income or fees of $964,713 are included as interest income in the Statement of Operations.
Deposits with brokers and segregated cash for securities sold short represent cash balances on deposit with the Fund’s prime brokers and custodian. The Fund is subject to credit risk should the prime brokers be unable to meet its obligations to the Fund.
Futures Contracts: Each Fund may invest in futures contracts (“futures”). Each Fund, excluding AQR Managed Futures Strategy Fund, may invest in futures in order to hedge its investments against fluctuations in value caused by changes in prevailing interest rates or market conditions. The AQR Managed Futures Strategy Fund may invest in futures as a primary investment strategy. Investments in futures may increase or leverage exposure to a particular market risk, thereby increasing price volatility of derivative instruments a Fund holds. No monies are paid or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required to deposit with the broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent payments, called variation margin, to and from the broker, will be made on a daily basis as the price of the underlying instruments fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as ‘marking-to-the-market.’ Once a final determination of variation margin is made, additional cash is required to be paid by or released to a Fund, and a Fund will realize a loss or gain. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying index. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures contract; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
Forward Currency Contracts: The Funds may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Forward currency contracts outstanding at period end, if any, are listed after the Fund’s Schedule of Investments.
Credit Default Contracts: The Funds may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s books. An upfront payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s books. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
AQR Funds | Semi-Annual Report | June 2010 | 91 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
In addition to bearing the risk that the credit event will occur, a Fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the Fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the Fund and the counterparty. Where a Fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Funds’ Schedule of Investments.
Master Agreements: The Funds are a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s Schedule of Investments. Collateral pledged by the Fund is segregated by the fund’s custodian and identified in the Fund’s Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Fund’s counterparties to elect early termination could impact the fund’s future derivative activity. The Funds net derivative assets and liabilities on the Statements of Assets and Liabilities when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
Options: The Funds are authorized to write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or the Fund enters into a closing transaction), the Fund realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received). The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call options written during the period ended June 30, 2010 for the AQR Diversified Arbitrage Fund, were as follows:
SHARES SUBJECT TO CALL | PREMIUM | ||||||
Options outstanding, December 31, 2009 | (884 | ) | $ | (40,941 | ) | ||
Options written | (36,331 | ) | (6,330,942 | ) | |||
Options terminated in closing purchase transactions | 6,534 | 1,610,302 | |||||
Options expired | 9,951 | 1,943,252 | |||||
Options exercised | 7,548 | 1,767,037 | |||||
Options outstanding, June 30, 2010 | (13,182 | ) | $ | (1,051,292 | ) |
AQR Funds | Semi-Annual Report | June 2010 | 92 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986 (“Code”), as amended. If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders.
Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The returns of the Funds for the period from commencement of operations through June 30, 2010 are open for examination. As of June 30, 2010, the Funds had no examinations in progress.
The Funds have concluded that there is no tax liability resulting from uncertain income tax positions taken or expected to be taken. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in twelve months.
Securities Transactions and Investment Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income is recorded on the ex-dividend date.
Allocation of Income and Expenses: In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently its net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and the other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
AQR Funds | Semi-Annual Report | June 2010 | 93 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
Cash and Cash Equivalents: Cash and cash equivalents includes US dollar and foreign currency at bank accounts at amounts which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Dividend Distributions to Shareholders: The Funds intend to distribute dividends representing substantially all of their net investment income and distribute substantially all of their net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with Federal income tax regulations which may differ from GAAP. Distributions to shareholders are recorded on the ex-dividend date.
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
4. Federal Income Tax Matters
At June 30, 2010, the cost of long positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
FUND | COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET (DEPRECIATION) | ||||||||||
AQR Global Equity Fund | $ | 346,725,523 | $ | 19,579,442 | $ | (28,486,380 | ) | $ | (8,906,938 | ) | ||||
AQR International Equity Fund | 401,618,251 | 15,268,277 | (48,723,898 | ) | (33,455,621 | ) | ||||||||
AQR Diversified Arbitrage Fund | 809,282,057 | 19,440,096 | (44,152,339 | ) | (24,712,243 | ) | ||||||||
AQR Managed Futures Strategy Fund | 177,264,849 | — | — | — | ||||||||||
AQR Momentum Fund | 26,284,498 | 238,425 | (994,760 | ) | (756,355 | ) | ||||||||
AQR Small Cap Momentum Fund | 6,389,599 | 235,860 | (390,768 | ) | (154,908 | ) | ||||||||
AQR International Momentum Fund | 23,703,242 | 334,789 | (1,379,852 | ) | (1,045,063 | ) |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals and passive foreign investment companies (AQR Global Equity Fund, AQR International Equity Fund and AQR International Momentum Fund).
The tax character of the distributions paid during the period ended December 31, 2009, was as follows:
FUND | ORDINARY INCOME | ||
AQR International Equity Fund | $ | 15,889,442 | |
AQR Diversified Arbitrage Fund | 2,319,939 | ||
AQR Momentum Fund | 197,807 | ||
AQR Small Cap Momentum Fund | 190,216 | ||
AQR International Momentum Fund | 614,653 |
Certain net losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the period ended December 31, 2009, the following Funds deferred to January 1, 2010 post October losses of:
FUND | POST OCTOBER LOSSES | ||
AQR International Equity Fund | $ | 1,741,718 | |
AQR Diversified Arbitrage Fund | 510,744 |
5. Fair Value Measurements
The Funds utilize various inputs in determining the value of each Fund’s investments. GAAP establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad levels as follows:
AQR Funds | Semi-Annual Report | June 2010 | 94 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, pre-payment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following summarizes inputs used as of June 30, 2010 in valuing the Funds’ assets carried at fair value:
AQR GLOBAL EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||
ASSETS | ||||||||||||||
Common Stocks† | $ | 165,535,651 | $ | 136,155,869 | $ | 16,105 | $ | 301,707,625 | ||||||
Preferred Stocks† | — | 639,501 | — | 639,501 | ||||||||||
Commercial Paper† | — | — | 58,356 | 58,356 | ||||||||||
Money Market Funds | — | 35,413,103 | — | 35,413,103 | ||||||||||
Foreign currency contracts* | — | 1,124,087 | — | 1,124,087 | ||||||||||
Total Assets | $ | 165,535,651 | $ | 173,332,560 | $ | 74,461 | $ | 338,942,672 | ||||||
†Please refer to the Schedule of Investments to view securities segregated by country. |
| |||||||||||||
LIABILITIES | ||||||||||||||
Futures contracts* | $ | (2,220,027 | ) | $ | — | $ | — | $ | (2,220,027 | ) | ||||
Total Liabilities | $ | (2,220,027 | ) | $ | — | $ | — | $ | (2,220,027 | ) |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
COMMON STOCKS | COMMERCIAL PAPER | |||||
Balance as of January 4, 2010** | $ | — | $ | — | ||
Securities contributed in kind (See Note 11) | 3,611 | 58,356 | ||||
Change in unrealized appreciation | 12,494 | — | ||||
Balance as of June 30, 2010 | $ | 16,105 | $ | 58,356 |
The total change in unrealized appreciation included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2010 is $12,494 and $0 for common stocks and commercial paper, respectively.
* | Derivative instruments, including futures contracts and foreign currency, are valued at the net unrealized appreciation (depreciation) on the instrument. |
** | Commencement of operations. |
AQR Funds | Semi-Annual Report | June 2010 | 95 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | |||||||||||
ASSETS | |||||||||||||||
Common Stocks† | $ | 1,690,443 | $ | 330,011,611 | $ | 11,226 | $ | 331,713,280 | |||||||
Commercial Paper† | — | — | 88,336 | 88,336 | |||||||||||
Money Market Funds | — | 36,361,014 | — | 36,361,014 | |||||||||||
Total Assets | $ | 1,690,443 | $ | 366,372,625 | $ | 99,562 | $ | 368,162,630 | |||||||
†Please refer to the Schedule of Investments to view securities segregated by country. |
| ||||||||||||||
LIABILITIES | |||||||||||||||
Foreign currency contracts* | $ | — | $ | (578,519 | ) | $ | — | $ | (578,519 | ) | |||||
Futures contracts* | (3,593,023 | ) | — | — | (3,593,023 | ) | |||||||||
Total Liabilities | $ | (3,593,023 | ) | $ | (578,519 | ) | $ | — | $ | (4,171,542 | ) |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
COMMON STOCKS | COMMERCIAL PAPER | |||||
Balance as of December 31, 2009 | $ | 676 | $ | 88,336 | ||
Purchased | 6,288 | — | ||||
Change in unrealized appreciation (depreciation) | 4,262 | — | ||||
Balance as of June 30, 2010 | $ | 11,226 | $ | 88,336 |
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2010 is $4,262 for common stocks and there was no change for commercial paper.
* | Derivative instruments, including futures contracts and foreign currency, are valued at the net unrealized appreciation (depreciation) on the instrument. |
AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||
ASSETS | ||||||||||||
Common Stocks† | $ | 325,290,532 | $ | — | $ | 101,829 | $ | 325,392,361 | ||||
Convertible Preferred Stocks† | 15,669,514 | 4,983,964 | — | 20,653,478 | ||||||||
Convertible Bonds† | — | 265,417,535 | — | 265,417,535 | ||||||||
Corporate Bonds† | — | 78,116,231 | — | 78,116,231 | ||||||||
Closed End Funds | 4,371,297 | — | — | 4,371,297 | ||||||||
Warrants | 12,610,823 | — | — | 12,610,823 | ||||||||
Money Market Funds | — | 78,008,089 | — | 78,008,089 | ||||||||
Foreign currency contracts* | — | 37,793 | — | 37,793 | ||||||||
Futures contracts* | 2,491,296 | — | — | 2,491,296 | ||||||||
Written option contracts* | 438,036 | — | — | 438,036 | ||||||||
Swap contracts* | — | 227,720 | — | 227,720 | ||||||||
Total Assets | $ | 360,798,420 | $ | 426,864,410 | $ | 101,829 | $ | 787,764,659 | ||||
†Please refer to the Schedule of Investments to view securities segregated by industry type. |
AQR Funds | Semi-Annual Report | June 2010 | 96 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | |||||||||||
LIABILITIES | |||||||||||||||
Common Stocks (Sold Short)† | $ | (274,195,513 | ) | $ | — | $ | — | $ | (274,195,513 | ) | |||||
Convertible Bonds (Sold Short)† | — | (1,064,875 | ) | — | (1,064,875 | ) | |||||||||
Closed End Funds (Sold Short) | (9,495,772 | ) | — | — | (9,495,772 | ) | |||||||||
Total Liabilities | $ | (283,691,285 | ) | $ | (1,064,875 | ) | $ | — | $ | (284,756,160 | ) | ||||
†Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
COMMON STOCKS | |||
Balance as of December 31, 2009 | $ | 7,508 | |
Change in unrealized appreciation (depreciation) | 94,321 | ||
Balance as of June 30, 2010 | $ | 101,829 |
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2010 is $94,320.
* | Derivative instruments, including futures, foreign currency, swaps and options contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
AQR MANAGED FUTURES STRATEGY FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||
ASSETS | ||||||||||||
Foreign currency contracts* | $ | — | $ | 597,294 | $ | — | $ | 597,294 | ||||
Futures contracts* | 1,630,019 | — | — | 1,630,019 | ||||||||
Money Market Funds | — | 177,264,849 | — | 177,264,849 | ||||||||
Total Assets | $ | 1,630,019 | $ | 177,862,143 | $ | — | $ | 179,492,162 |
* | Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
AQR MOMENTUM FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||
ASSETS | ||||||||||||||
Common Stocks† | $ | 20,303,712 | $ | — | $ | — | $ | 20,303,712 | ||||||
Money Market Funds | — | 5,315,830 | — | 5,315,830 | ||||||||||
Total Assets | $ | 20,303,712 | $ | 5,315,830 | $ | — | $ | 25,619,542 | ||||||
LIABILITIES | ||||||||||||||
Futures Contracts* | $ | (4,881 | ) | $ | — | $ | — | $ | (4,881 | ) | ||||
Total Liabilities | $ | (4,881 | ) | $ | — | $ | — | $ | (4,881 | ) |
* | Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
† | Please refer to the Schedule of Investments to view securities segregated by industry type. |
AQR Funds | Semi-Annual Report | June 2010 | 97 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||
ASSETS | ||||||||||||
Common Stocks† | $ | 5,518,359 | $ | — | $ | 1,269 | $ | 5,519,628 | ||||
Exchange Traded Funds | 24,432 | — | — | 24,432 | ||||||||
Money Market Funds | — | 690,631 | — | 690,631 | ||||||||
Total Assets | $ | 5,542,791 | $ | 690,631 | $ | 1,269 | $ | 6,234,691 | ||||
†Please refer to the Schedule of Investments to view securities segregated by industry type. |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
COMMON STOCKS | ||||
Balance as of December 31, 2009 | $ | — | ||
Purchased | 2,670 | |||
Change in unrealized appreciation (depreciation) | (1,401 | ) | ||
Balance as of June 30, 2010 | $ | 1,269 |
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2010 is $(1,401).
AQR INTERNATIONAL MOMENTUM FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||
ASSETS | ||||||||||||||
Common Stocks† | $ | 1,859,345 | $ | 18,242,622 | $ | — | $ | 20,101,967 | ||||||
Rights | 1,193 | — | — | 1,193 | ||||||||||
Exchange Traded Funds | 97,671 | — | — | 97,671 | ||||||||||
Money Market Funds | — | 2,457,348 | — | 2,457,348 | ||||||||||
Foreign currency contracts* | — | 62,982 | — | 62,982 | ||||||||||
Total Assets | $ | 1,958,209 | $ | 20,769,952 | $ | — | $ | 22,721,161 | ||||||
LIABILITIES | ||||||||||||||
Swap Contracts* | $ | — | $ | (216,848 | ) | $ | — | $ | (216,848 | ) | ||||
Total Liabilities | $ | — | $ | (216,848 | ) | $ | — | $ | (216,848 | ) |
* | Derivative instruments, including foreign currency and swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
† | Please refer to the Schedule of Investments to view securities segregated by country. |
AQR Funds | Semi-Annual Report | June 2010 | 98 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
6. Investment Transactions
During the period ended June 30, 2010, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, foreign currency contracts, futures contracts and short-term investments) were as follows:
FUND | PURCHASES | SALES | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||
AQR Global Equity Fund | $ | 132,485,942 | $ | (165,727,452 | ) | $ | — | $ | — | |||||
AQR International Equity Fund | 211,173,575 | (145,327,170 | ) | — | — | |||||||||
AQR Diversified Arbitrage Fund | 1,103,753,604 | (601,997,019 | ) | (433,050,305 | ) | 279,325,923 | ||||||||
AQR Managed Futures Strategy Fund | — | — | — | — | ||||||||||
AQR Momentum Fund | 25,827,417 | (10,383,387 | ) | — | — | |||||||||
AQR Small Cap Momentum Fund | 9,470,813 | (6,717,341 | ) | — | — | |||||||||
AQR International Momentum Fund | 27,929,820 | (30,260,522 | ) | — | — |
During the period ended June 30, 2010, the cost of in-kind purchases for the AQR Global Equity Fund was $335,420,940 (see Note 11).
7. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The effect of such derivative instruments on the Funds’ financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations for the period ended June 30, 2010 are as follows:
AQR Global Equity Fund
Fair values of derivative instruments as of June 30, 2010 as presented in the Statement of Assets and Liabilities:
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS, CARRIED AT FAIR VALUE | ASSET DERIVATIVES | LIABILITY DERIVATIVES | CARRYING VALUE OF DERIVATIVES ON THE STATEMENT OF ASSETS AND LIABILITIES | |||||||||
Equity contracts | Variation Margin Receivable | $ — | Variation Margin Payable | $ | 2,220,027 | $ | (2,220,027) | |||||
Foreign exchange contracts | Forward foreign currency contracts | 1,124,087 | Forward foreign currency contracts | — | 1,124,087 | |||||||
Total | $1,124,087 | Total | $ | 2,220,027 | $ | (1,095,940) | ||||||
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2010 are as follows:
REALIZED GAIN/LOSS | CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION | |||||||||
Equity contracts | Futures contracts | $ | (4,764,063) | Futures contracts | $ | (2,220,027) | ||||
Foreign exchange contracts | Forward foreign currency contracts | (19,446) | Forward foreign currency contracts | 1,124,087 | ||||||
Total | $ | (4,783,509) | Total | $ | (1,095,940) | |||||
AQR Funds | Semi-Annual Report | June 2010 | 99 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
AQR International Equity Fund
Fair values of derivative instruments as of June 30, 2010 as presented in the Statement of Assets and Liabilities:
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS, CARRIED AT FAIR VALUE | ASSET DERIVATIVES | LIABILITY DERIVATIVES | CARRYING VALUE OF DERIVATIVES ON THE STATEMENT OF ASSETS AND LIABILITIES | |||||||||
Equity contracts | Variation Margin Receivable | $693,630 | Variation Margin Payable | $ | 4,286,653 | $ | (3,593,023) | |||||
Foreign exchange contracts | Forward foreign currency contracts | — | Forward foreign currency contracts | 578,519 | (578,519) | |||||||
Total | $693,630 | Total | $ | 4,865,172 | $ | (4,171,542) | ||||||
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2010 are as follows:
REALIZED GAIN/LOSS | CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION | |||||||||
Equity contracts | Futures contracts | $ | (5,805,457) | Futures contracts | $ | (4,882,131) | ||||
Foreign exchange contracts | Forward foreign currency contracts | (1,555,324) | Forward foreign currency contracts | 195,898 | ||||||
Total | $ | (7,360,781) | Total | $ | (4,686,233) | |||||
AQR Diversified Arbitrage Fund
Fair values of derivative instruments as of June 30, 2010 as presented in the Statement of Assets and Liabilities:
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS, CARRIED AT FAIR VALUE | ASSET DERIVATIVES | LIABILITY DERIVATIVES | CARRYING VALUE OF DERIVATIVES ON THE STATEMENT OF ASSETS AND LIABILITIES | |||||||||
Equity contracts | Swaps, at value | $244,754 | $ | — | $ | 244,754 | ||||||
Equity contracts | — | Call options written, at value | 613,256 | (613,256) | ||||||||
Equity contracts | Variation Margin Receivable | 2,491,296 | Variation Margin Payable | — | 2,491,296 | |||||||
Foreign exchange contracts | Forward foreign currency contracts | 37,793 | Unrealized depreciation on Forward foreign currency contracts | — | 37,793 | |||||||
Total | $2,773,843 | Total | $ | 613,256 | $ | 2,160,587 | ||||||
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2010 are as follows:
REALIZED GAIN/LOSS | CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION | ||||||||
Credit contracts | Swap contracts | $(1,520,705) | Swap contracts | $ | 471,523 | ||||
Equity contracts | Futures contracts | (436,433) | Futures contracts | 2,074,158 | |||||
Equity contracts | Written options | 1,925,628 | Written options | 443,406 | |||||
Foreign exchange contracts | Forward foreign currency contracts | 160,614 | Forward foreign currency contracts | 41,340 | |||||
Total | $129,104 | Total | $ | 3,030,427 | |||||
AQR Funds | Semi-Annual Report | June 2010 | 100 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
AQR Managed Futures Strategy Fund
Fair values of derivative instruments as of June 30, 2010 as presented in the Statement of Assets and Liabilities:
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS, CARRIED AT FAIR VALUE | ASSET DERIVATIVES | CARRYING VALUE OF DERIVATIVES ON THE STATEMENT OF ASSETS AND LIABILITIES | ||
Variation Margin Receivable | $1,630,019 | $1,630,019 | ||
Foreign exchange contracts | 597,294 | 597,294 | ||
Total | $2,227,313 | $2,227,313 | ||
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2010 are as follows:
REALIZED GAIN/LOSS | CHANGE IN UNREALIZED DEPRECIATION | ||||||||
Equity contracts | Futures contracts | $(2,817,773) | Futures contracts | $ | 1,630,019 | ||||
Foreign exchange contracts | Forward foreign currency contracts | 346,362 | Forward foreign currency contracts |
| 597,294 | ||||
Total | $(2,471,411) | Total | $ | 2,227,313 | |||||
AQR Momentum Fund
Fair values of derivative instruments as of June 30, 2010 as presented in the Statement of Assets and Liabilities:
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS, CARRIED AT FAIR VALUE | LIABILITY DERIVATIVES | CARRYING VALUE OF DERIVATIVES ON THE STATEMENT OF ASSETS AND LIABILITIES | ||||||
Equity contracts | Variation Margin Payable | $ | 4,881 | $ | (4,881) | |||
Total | $ | 4,881 | $ | (4,881) | ||||
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2010 are as follows:
REALIZED LOSS | CHANGE IN UNREALIZED DEPRECIATION | ||||||||
Equity contracts | Futures contracts | $(397,534) | Futures contracts | $ | (4,740) | ||||
AQR International Momentum Fund
Fair values of derivative instruments as of June 30, 2010 as presented in the Statement of Assets and Liabilities:
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS, CARRIED AT FAIR VALUE | ASSET DERIVATIVES | LIABILITY DERIVATIVES | CARRYING VALUE OF DERIVATIVES ON THE STATEMENT OF ASSETS AND LIABILITIES | ||||||||||
Equity contracts | Swaps, at value | $ | — | Swaps, at value | $ | 216,848 | $ | (216,848) | |||||
Foreign exchange contracts | Forward foreign currency contracts | 62,982 | Forward foreign currency contracts | — | 62,982 | ||||||||
Total | $ | 62,982 | Total | $ | 216,848 | $ | (153,866) | ||||||
AQR Funds | Semi-Annual Report | June 2010 | 101 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
The effects of derivative instruments on the Statement of Operations for the period ended June 30, 2010 are as follows:
REALIZED LOSS | CHANGE IN UNREALIZED APPRECIATION/DEPRECIATION | |||||||||
Equity contracts | Swap contracts | $ | (199,164) | Swap contracts | $ | (245,420) | ||||
Foreign exchange contracts | Forward foreign currency contracts | (516,047) | Forward foreign currency contracts | 231,693 | ||||||
Total | $ | (715,211) | Total | $ | (13,727) | |||||
For nonexchange traded derivatives (swaps and forward foreign currency contracts), under standard derivative agreements, the Funds may be required to post collateral on derivatives if a Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate derivatives contracts if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
As of June 30, 2010, the following Funds had net liability positions:
FUND | DERIVATIVES IN NET LIABILITY POSITION | COLLATERAL POSTED | |||||
AQR Global Equity Fund | $ | (1,095,940 | ) | $ | 12,069,627 | ||
AQR International Equity Fund | (4,171,542 | ) | 19,495,712 | ||||
AQR Momentum Fund | (4,881 | ) | 56,963 | ||||
AQR International Momentum Fund | (153,866 | ) | 360,000 |
For the period ended June 30, 2010, the quarterly average values of the derivatives held by the Funds were as follows:
FUND | SWAP CONTRACTS | FUTURES CONTRACTS* | OPTION CONTRACTS* | FOREIGN FORWARD CURRENCY CONTRACTS* | |||||||||||
AQR Global Equity Fund | $ | — | $ | (5,548,462 | ) | $ | — | $ | 27,028,681 | ||||||
AQR International Equity Fund | — | (14,014,191 | ) | — | 200,059,131 | ||||||||||
AQR Diversified Arbitrage Fund | 11,015,000 | (115,830,319 | ) | (460,787 | ) | 261,500,208 | |||||||||
AQR Managed Futures Strategy Fund | — | 447,272,106 | — | (470,501 | ) | ||||||||||
AQR Momentum Fund | — | 80,460 | — | — | |||||||||||
AQR Small Cap Momentum Fund | — | — | — | — | |||||||||||
AQR International Momentum Fund | 2,687,269 | — | — | 929,353 |
* | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2010, are not accounted for as hedging instruments under GAAP.
AQR Funds | Semi-Annual Report | June 2010 | 102 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
8. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to the Funds pursuant to an Investment Advisory Agreement entered into by the Trust, on behalf of the Funds, dated December 4, 2008, as amended from time to time (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution. The Adviser provides persons satisfactory to the Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Adviser a management fee calculated on the average daily net assets for each Fund, in the ratios below:
FUND | RATIO | ||
AQR Global Equity Fund | 0.40 | % | |
AQR International Equity Fund | 0.45 | ||
AQR Diversified Arbitrage Fund | 0.70 | ||
AQR Managed Futures Strategy Fund | 1.05 | ||
AQR Momentum Fund | 0.25 | ||
AQR Small Cap Momentum Fund | 0.35 | ||
AQR International Momentum Fund | 0.35 |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through December 31, 2010 for AQR Global Equity Fund and AQR International Equity Fund, May 1, 2011 for AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund and AQR International Momentum Fund. The Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend expense related to short sales, and extraordinary expenses exceed the following amounts:
FUND CLASS | RATIO | ||
AQR Global Equity Fund — Class I | 0.85 | % | |
AQR Global Equity Fund — Class N | 1.20 | ||
AQR Global Equity Fund — Class Y | 0.50 | ||
AQR International Equity Fund — Class I | 0.90 | ||
AQR International Equity Fund — Class N | 1.25 | ||
AQR International Equity Fund — Class Y | 0.55 | ||
AQR Diversified Arbitrage Fund — Class I | 1.20 | ||
AQR Diversified Arbitrage Fund — Class N | 1.50 | ||
AQR Managed Futures Strategy Fund — Class I | 1.25 | ||
AQR Managed Futures Strategy Fund — Class N | 1.50 | ||
AQR Momentum Fund — Class L | 0.49 | ||
AQR Small Cap Momentum Fund — Class L | 0.65 | ||
AQR International Momentum Fund — Class L | 0.65 |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. Such repayment shall be made only out of the Class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios reflected in the table above. A repayment shall be payable only to the extent it can be made during the thirty six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
AQR Funds | Semi-Annual Report | June 2010 | 103 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
For the period ended June 30, 2010, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2010 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2010 | TOTAL POTENTIAL RECOUPMENT AMOUNT | POTENTIAL RECOUPMENT AMOUNTS EXPIRING | |||||||||||||
DECEMBER 31, 2012 | DECEMBER 31, 2013 | ||||||||||||||
AQR GLOBAL EQUITY FUND | |||||||||||||||
Class I | $ | 5,878 | $ | 5,878 | $ | — | $ | 5,878 | |||||||
Class N | 5,680 | 5,680 | — | 5,680 | |||||||||||
Class Y | 139,226 | ** | 139,226 | — | 139,226 | ** | |||||||||
Totals | $ | 150,784 | $ | 150,784 | $ | — | $ | 150,784 | |||||||
AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
Class I | $ | 20,703 | $ | 29,033 | $ | 8,330 | $ | 20,703 | |||||||
Class N | 6,291 | 7,666 | 1,375 | 6,291 | |||||||||||
Class Y | 169,504 | ** | 411,644 | 242,140 | * | 169,504 | ** | ||||||||
Totals | $ | 196,498 | $ | 448,343 | $ | 251,845 | $ | 196,498 | |||||||
AQR DIVERSIFIED ARBITRAGE FUND | |||||||||||||||
Class I | $ | 13,217 | $ | 315,928 | $ | 302,711 | * | $ | 13,217 | ||||||
Class N | 98,662 | 301,589 | 202,927 | 98,662 | |||||||||||
Totals | $ | 111,879 | $ | 617,517 | $ | 505,638 | $ | 111,879 | |||||||
AQR MANAGED FUTURES STRATEGY FUND | |||||||||||||||
Class I | $ | 61,421 | $ | 61,421 | $ | — | $ | 61,421 | |||||||
Class N | 22,555 | 22,555 | — | 22,555 | |||||||||||
Totals | $ | 83,976 | $ | 83,976 | $ | — | $ | 83,976 | |||||||
AQR MOMENTUM FUND | |||||||||||||||
Class L | $ | 90,452 | $ | 215,711 | $ | 125,259 | $ | 90,452 | |||||||
AQR SMALL CAP MOMENTUM FUND | |||||||||||||||
Class L | $ | 89,434 | $ | 214,026 | $ | 124,592 | $ | 89,434 | |||||||
AQR INTERNATIONAL MOMENTUM FUND | |||||||||||||||
Class L | $ | 157,639 | $ | 279,178 | $ | 121,539 | $ | 157,639 |
* | The Adviser has agreed to forgo future recoupments pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2012 of $281,012 and $20,131 for the AQR International Equity Fund and AQR Diversified Arbitrage Fund, respectively. |
** | The Adviser has agreed to forgo future recoupments incurred in the current period pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2013 of $447,840 and $429,010 for the AQR Global Equity Fund and AQR International Equity Fund, respectively. |
Pursuant to the Sub-Advisory Agreement between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable quarterly, at the annual rate of 0.70% of the Fund’s average daily net assets.
Bank of New York Mellon serves as the Funds’ Administrator, Custodian and Accounting Agent.
AQR Funds | Semi-Annual Report | June 2010 | 104 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor. Fees incurred by the Funds to the Transfer Agent for sub-transfer agency services for the period ended June 30, 2010, were as follows:
FUND CLASS | AMOUNT | ||
AQR Global Equity Fund — Class I | $ | 614 | |
AQR Global Equity Fund — Class N | 614 | ||
AQR Global Equity Fund — Class Y | — | ||
AQR International Equity Fund — Class I | 1,232 | ||
AQR International Equity Fund — Class N | 631 | ||
AQR International Equity Fund — Class Y | — | ||
AQR Diversified Arbitrage Fund — Class I | 11,817 | ||
AQR Diversified Arbitrage Fund — Class N | 37,198 | ||
AQR Managed Futures Strategy Fund — Class I | 779 | ||
AQR Managed Futures Strategy Fund — Class N | 2,651 | ||
AQR Momentum Fund — Class L | 631 | ||
AQR Small Cap Momentum Fund — Class L | 631 | ||
AQR International Momentum Fund — Class L | 1,418 |
9. Distribution and Service Plans
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds, as applicable. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds, as applicable.
Pursuant to the Shareholder Services Agreement, between the Trust excluding the AQR Managed Futures Strategy Fund, on behalf of the Funds and the Adviser, the Adviser receives an annual fee (the “Shareholder Services Fee”), payable monthly, at the annual rate of 0.30%, 0.35%, 0.25% and 0.15% of the average daily net assets of the Class I, Class N, Class Y and Class L shares, respectively. The Adviser also provides a wide range of services to the Funds and their shareholders under a separate Shareholder Services Agreement. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. In addition, the Adviser may, from time to time, compensate third parties (including financial intermediaries) from the fees the Adviser receives under the Shareholder Services Agreement for non-distribution shareholder services such third parties provide to clients or customers that are shareholders of the funds. Fees incurred by the Funds under the Plan and/or the shareholder services agreement for the period ended June 30, 2010, were as follows:
FUND CLASS | AMOUNT | ||
AQR Global Equity Fund — Class I | $ | 1,216 | |
AQR Global Equity Fund — Class N | 1,603 | ||
AQR Global Equity Fund — Class Y | 447,840 | ||
AQR International Equity Fund — Class I | 90,741 | ||
AQR International Equity Fund — Class N | 1,038 | ||
AQR International Equity Fund — Class Y | 429,010 | ||
AQR Diversified Arbitrage Fund — Class I | 325,535 | ||
AQR Diversified Arbitrage Fund — Class N | 242,750 | ||
AQR Momentum Fund — Class L | 8,227 | ||
AQR Small Cap Momentum Fund — Class L | 3,264 | ||
AQR International Momentum Fund — Class L | 21,049 |
Beginning July 1, 2010, the Board approved the elimination of the 0.25% Shareholder Services Fee for the Class Y shares of the Funds, and reduced the fee for Class I shares of the AQR Diversified Arbitrage Fund from 0.30% to 0.25%.
AQR Funds | Semi-Annual Report | June 2010 | 105 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
10. Purchases and Redemption of Shares
Investors may purchase shares of a Fund at their net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them.
Redemption requests will be processed at the next NAV calculated after a redemption request is accepted. The Funds (excluding AQR Diversified Arbitrage Fund) reserve the right to charge a redemption fee of 1% (2% in the case of AQR Global Equity Fund, AQR International Equity Fund and AQR International Momentum Fund), of redemption proceeds on Class I, Class N and Class L shares held for 60 days or less. The Funds charge this fee in order to discourage short-term investors. The Funds retain this fee for the benefit of the remaining shareholders. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge subscription and redemption fees of 0.10% each, regardless of the period such shares may have been held.
11. In-Kind Transactions
On January 4, 2010, the AQR Global Equity Fund acquired substantially all of the assets and liabilities of three privately offered funds (“Private Funds”) managed by the Adviser in exchange for Class Y shares of the Fund. This transaction was structured to qualify as a tax-free reorganization under the Code. The investment portfolio’s of the Private Funds, with a fair value of $369,372,153 and identified cost of $335,420,940 as of the date of the reorganization, was the principal asset acquired by the Fund. For financial statement purposes, assets received and shares issued by the Fund were recorded at fair value, and the Fund recorded the cost of such investments at their historical cost as recorded by the Private Funds. The cost basis of the investments received from the Private Funds was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable for tax purposes. The net assets of the Private Funds at the date of acquisition were $370,340,997, including unrealized appreciation of $33,351,347. The net assets of the Funds immediately after the reorganization were $370,340,997. The Fund had no net assets or liabilities prior to the reorganization.
On August 28, 2009, the AQR International Equity Fund acquired all of the assets and liabilities of a privately offered fund managed by the Adviser in exchange for Class Y shares of the Fund. This transaction was structured to qualify as a tax-free reorganization under the Code. The investment portfolio of the privately offered fund, with a fair value of $273,684,897 and identified cost of $238,063,341 as of the date of the reorganization, was the principal asset acquired by the Fund. For financial statement purposes, assets received and shares issued by the Fund were recorded at fair value, and the Fund recorded the cost of such investments at their historical cost as recorded by the privately offered fund. The cost basis of the investments received from the privately offered fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable for tax purposes. The net assets of the private fund at the date of acquisition were $316,649,561, including unrealized appreciation of $37,442,098. The net assets of the Fund immediately after the reorganization were $316,649,561. The Fund had no net assets or liabilities prior to the reorganization.
12. Risks and Concentrations
By using derivative instruments, the Funds are exposed to the counterparty’s credit risk-the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statement of Assets and Liabilities. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable US companies.
AQR Funds | Semi-Annual Report | June 2010 | 106 | |||||||
Notes to Financial Statements | June 30, 2010 (Unaudited) |
As of June 30, 2010, substantially all of the AQR Global Equity, AQR International Equity and AQR International Momentum Funds’ net assets consisted of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities.
As of June 30, 2010, the AQR Diversified Arbitrage Fund pledged a substantial portion of its assets for securities sold short to Goldman Sachs.
A significant portion of the net assets of the AQR Small Cap Momentum Fund are held by the Adviser and its affiliates. Significant shareholder transactions, if any, may impact the Funds’ performance.
13. New Accounting Pronouncement
In January 2010, the Financial Accounting Standards Board issued an update to improve disclosure about fair value measurements. This update requires entities to disclose a) the amounts of significant transfers between Level 1 and Level 2 of the fair value hierarchy and the reasons for these transfers, b) the reasons for any transfers in or out of Level 3 and c) information in the reconciliation of recurring Level 3 measurements about purchases, sales, issuances and settlements on a gross basis. In addition, this update clarifies the requirements for entities to disclose information about both the valuation techniques and inputs used in estimating Level 2 and Level 3 fair value measurements. The requirement to disclose information about purchases, sales, issuances and settlements in the reconciliation of recurring Level 3 measurements is effective for financial statements issued for interim and annual reporting periods beginning after December 15, 2010.
14. Subsequent Events
The Funds have adopted authoritative standards of accounting for and disclosure of events that occur after the Statements of Assets and Liabilities date but before financial statements are issued or are available to be issued. These standards require the Funds to recognize in the financial statements the effects of all recognized subsequent events that provide additional evidence about conditions that existed at the date of the Statements of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Funds are required to disclose the nature of the event as well as an estimate of its financial effect, or a statement that such an estimate cannot be made. The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require disclosure.
AQR Funds | Semi-Annual Report | June 2010 | 107 | |||||||
Fund Expense Examples (Unaudited)
June 30, 2010
As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ended 6/30/10” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/10 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDED 6/30/10 | |||||
AQR Global Equity Fund | ||||||||
Class Y (1) | 1/4/10 | |||||||
Actual Return | $1,000.00 | $ 907.00 | 0.51% | $2.41(a) | ||||
Hypothetical 5% return | $1,000.00 | $1,022.27 | 0.51% | $2.56(b) | ||||
Class I (1) | 1/4/10 | |||||||
Actual Return | $1,000.00 | $ 905.00 | 0.86% | $4.06(a) | ||||
Hypothetical 5% return | $1,000.00 | $1,020.53 | 0.86% | $4.31(b) | ||||
Class N (1) | 1/4/10 | |||||||
Actual Return | $1,000.00 | $ 903.00 | 1.21% | $5.61(a) | ||||
Hypothetical 5% return | $1,000.00 | $1,018.79 | 1.21% | $6.06(b) | ||||
AQR International Equity Fund | ||||||||
Class Y | 12/31/09 | |||||||
Actual Return | $1,000.00 | $ 858.27 | 0.56% | $2.58(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,022.02 | 0.56% | $2.81(b) |
AQR Funds | Semi-Annual Report | June 2010 | 108 | |||||||
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/10 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDED 6/30/10 | |||||
Class I | 12/31/09 | |||||||
Actual Return | $1,000.00 | $ 856.85 | 0.91% | $4.19(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,020.28 | 0.91% | $4.56(b) | ||||
Class N | 12/31/09 | |||||||
Actual Return | $1,000.00 | $ 858.73 | 1.26% | $5.81(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,018.55 | 1.26% | $6.31(b) | ||||
AQR Diversified Arbitrage Fund | ||||||||
Class I | 12/31/09 | |||||||
Actual Return | $1,000.00 | $1,008.34 | 2.50% | $12.45(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,012.40 | 2.50% | $12.47(b) | ||||
Class N | 12/31/09 | |||||||
Actual Return | $1,000.00 | $1,006.50 | 2.80% | $13.93(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,010.91 | 2.80% | $13.96(b) | ||||
AQR Managed Futures Strategy Fund | ||||||||
Class I (2) | 1/6/10 | |||||||
Actual Return | $1,000.00 | $ 980.00 | 1.26% | $6.01(c) | ||||
Hypothetical 5% return | $1,000.00 | $1,018.55 | 1.26% | $6.31(b) | ||||
Class N (2) | 1/6/10 | |||||||
Actual Return | $1,000.00 | $ 979.00 | 1.51% | $7.20(c) | ||||
Hypothetical 5% return | $1,000.00 | $1,017.31 | 1.51% | $7.55(b) | ||||
AQR Momentum Fund | ||||||||
Class L | 12/31/09 | |||||||
Actual Return | $1,000.00 | $ 926.99 | 0.49% | $2.34(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,022.36 | 0.49% | $2.46(b) | ||||
AQR Small Cap Momentum Fund | ||||||||
Class L | 12/31/09 | |||||||
Actual Return | $1,000.00 | $ 976.32 | 0.65% | $3.19(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,021.57 | 0.65% | $3.26(b) | ||||
AQR International Momentum Fund | ||||||||
Class L | 12/31/09 | |||||||
Actual Return | $1,000.00 | $ 875.63 | 0.65% | $3.02(b) | ||||
Hypothetical 5% return | $1,000.00 | $1,021.57 | 0.65% | $3.26(b) |
(1) | Commencement of operations was January 4, 2010. |
(2) | Commencement of operations was January 6, 2010. |
(a) | Expenses are calculated using each Class’ annualized expense ratio, multipled by the average account value for the period, multipled by 178/365 (to reflect the period since commencement of operations). |
(b) | Expenses are calculated using each Class’ annualized expense ratio, multipled by the average account value for the period, multipled by 181/365 (to reflect the one-half year period). |
(c) | Expenses are calculated using each Class’ annualized expense ratio, multipled by the average account value for the period, multipled by 176/365 (to reflect the period since commencement of operations). |
AQR Funds | Semi-Annual Report | June 2010 | 109 | |||||||
Board Approval of the Investment Advisory Agreement and Investment Sub-Advisory Agreement |
AQR Global Equity Fund, AQR International Equity Fund and AQR Diversified Arbitrage Fund |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met on March 30-31, 2010 to consider the approval of the continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust, on behalf of the AQR Global Equity Fund, AQR International Equity Fund, AQR Diversified Arbitrage Fund (“DAF”), AQR Emerging Markets Fund and AQR International Small Cap Fund (the “Funds”), and AQR Capital Management, LLC (“AQR”), and the approval of the continuation of the investment sub-advisory agreement (the “Sub-Advisory Agreement”) by and among the Trust, on behalf of DAF, AQR and CNH Partners, LLC (“CNH” or the “Sub-Adviser”). In accordance with Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Advisory Agreement and Sub-Advisory Agreement. These materials included (i) memoranda and materials prepared by AQR, describing personnel and services provided to the Funds; (ii) memoranda and materials prepared by CNH, describing personnel and services provided to DAF; (iii) performance information of the Funds relevant to consideration of the Investment Advisory Agreement and Sub-Advisory Agreement; (iv) information independently compiled and prepared by Lipper, Inc. (“Lipper”) relating to the Funds’ fees and expenses; (v) a discussion of the financial statements of AQR and CNH; and (vi) a discussion of the compliance programs of AQR and CNH and regulatory exam histories of each. AQR and the Sub-Advisor are referred to herein as the “Adviser,” as applicable. The Investment Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Advisory Agreement,” as applicable.
At the meeting held on March 30-31, 2010, the Board, including the Board Members who are not “interested persons” as defined in the 1940 Act (the “Independent Board Members”), unanimously approved the continuation of the Advisory Agreement and Sub-Advisory Agreement for an additional one-year period. The Board considered all factors it believed relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted that the Adviser intended to present a formal proposal to restructure the fees for certain Funds at an upcoming meeting of the Board. The Board noted that it discussed the proposal with the Adviser at the March 30-31, 2010 meeting and considered the proposal’s impact. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Advisory Agreement:
The nature, extent and quality of the services provided by the Adviser. The Board Members reviewed the services provided by the Adviser to the Funds under the Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and each Fund’s investment objective, strategy and process. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with each Fund’s stated investment objective and policies and the types of transactions entered into on behalf of each Fund that commenced operations.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR provides administrative services, has responsibility for overseeing CNH, with respect to DAF, Fund accounting, marketing services as well as provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board reviewed the compliance and administrative services provided to the Funds by AQR. The Board also reviewed a wide range of services provided to the Fund’s shareholders under the shareholder services agreement between the Trust, on behalf of the Fund, and AQR (the “Shareholder Services Agreement”). These services include access to performance information reporting, analysis and explanations of Fund reports, and electronic access to Fund information.
AQR Funds | Semi-Annual Report | June 2010 | 110 | |||||||
Board Approval of the Investment Advisory Agreement and Investment Sub-Advisory Agreement |
Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with counsel to discuss and consider the Advisory Agreement. Based on the presentations at the
March 30-31, 2010 Board meeting, the Board concluded that the continuation of the Advisory Agreement was in the best interests of each Fund.
Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund that had commenced operations. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds.
The Advisory Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the advisory fees paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board also examined the fees paid to other investment managers by comparable funds in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Lipper. The report showed comparative fee information for each Fund’s expense group and expense universe, including expense comparisons of contractual management fees and actual total operating expenses. The Board noted that each Fund’s contractual advisory fee was lower than or equal to the median contractual advisory fees paid by the applicable funds in the Funds’ expense group and expense universe.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Board also took into consideration the Adviser’s profits from the management of other private accounts in addition to the Funds. The Board reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Adviser’s unaudited financial statements. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
The Board concluded that the advisory fee for each Fund is reasonable. The Board concluded that the sub-advisory fee for DAF is reasonable.
Economies of Scale. The Adviser provided to the Board Members information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that the Funds currently do not have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, the Adviser presented information to show that the fees were set at a level that is competitive relative to funds of a larger scale. The Board Members also discussed the Adviser’s intent to consider the implementation of breakpoints to the investment advisory fee for certain Funds prior to the next renewal of the Advisory Agreement. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Fund, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.
AQR Funds | Semi-Annual Report | June 2010 | 111 | |||||||
Board Approval of the Investment Advisory Agreement and Investment Sub-Advisory Agreement |
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the continuation of the Investment Advisory Agreement with respect to the Funds and the Sub-Advisory Agreement with respect to DAF. The Independent Board Members were represented by counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | June 2010 | 112 | |||||||
Board Approval of the New Investment Management Agreement and the Amended and Restated Investment Sub-Advisory Agreement |
AQR Diversified Arbitrage Fund |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met on June 9-10, 2010 to consider the approval of the new investment management agreement (the “New Management Agreement”) between the Trust, on behalf of the AQR Diversified Arbitrage Fund (the “Fund”), and AQR Capital Management, LLC (“AQR” or the “Adviser”), and the approval of the amended and restated investment sub-advisory agreement (the “Amended Sub-Advisory Agreement”) by and among the Trust, on behalf of DAF, AQR and CNH Partners, LLC (“CNH” or the “Sub-Adviser”). At an in-person Board meeting held on June 9-10, 2010, the Board Members, including the Independent Board Members unanimously approved the New Management Agreement and the Amended Sub-Advisory Agreement.
In March 2010, the Board performed a full annual review of the Advisory Agreement and the Sub-Advisory Agreement for DAF as discussed above and, after reviewing, among other things, the investment capabilities, resources and personnel of the Adviser and Sub-Adviser, determined that the nature, extent and quality of the services provided by the Adviser and Sub-Adviser under the Advisory and Sub-Advisory Agreements were appropriate. The Board also determined that the advisory and shareholder services fees paid by the Fund, taking into account any applicable agreed-upon fee waivers, were fair and reasonable in light of the services provided, the costs to the Adviser of providing those services, economies of scale, the fees and other expenses paid by similar funds (including information provided by Lipper, Inc. (“Lipper”)) and such other factors as the Board Members considered relevant in the exercise of their reasonable judgment. At the March 2010 Board meeting, the Board considered that the Adviser intended to present the proposal to restructure the fees in order to consolidate the advisory fee and the shareholder and administrative services fee into one combined fee pursuant to one combined agreement. The Board considered that it discussed the proposal with the Adviser at the March 2010 meeting and considered the proposal’s impact when approving the Advisory and Sub-Advisory Agreements for the Fund.
In accordance with Section 15(c) of the 1940 Act, in advance of both the March 2010 and the June 2010 Board meetings, the Board requested, reviewed, and considered materials furnished by the Adviser and Sub-Adviser relevant to the Board’s consideration of whether to approve the New Management Agreement and Amended Sub-Advisory Agreement. These materials included (i) memoranda and materials prepared by the Adviser and the Sub-Adviser describing personnel and services provided to the Fund; (ii) performance information of the Fund; (iii) information independently compiled and prepared by Lipper relating to the Fund’s fees and expenses under both the Advisory Agreement and the New Management Agreement; (iv) materials relating to the effect of the proposed fee and agreement restructuring would have on the net expenses of the Fund and the services to be provided to the Fund under the New Management Agreement; (v) a discussion of the financial statements of the Adviser and the Sub-Adviser; and (vii) a discussion of the compliance programs of the Adviser and the Sub-Adviser and regulatory exam histories of each. For purposes of the discussion below, the Adviser and the Sub-Adviser are referred to as the “Adviser,” as applicable. The New Management Agreement and the Amended Sub-Advisory Agreement are referred to herein as the “Agreement,” as applicable.
At the meeting held on June 9-10, 2010, the Board, including the Independent Board Members, unanimously approved the New Management Agreement and the Amended Sub-Advisory Agreement. The Board considered all factors it believed relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Fund; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Fund’s portfolio holdings and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the New Management Agreement and the Amended Sub-Advisory Agreement:
The nature, extent and quality of the services provided by the Adviser. The Board reviewed the services provided by the Adviser to the Fund under the Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Fund’s investment objective, strategy and process. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to
AQR Funds | Semi-Annual Report | June 2010 | 113 | |||||||
Board Approval of the New Investment Management Agreement and the Amended and Restated Investment Sub-Advisory Agreement |
the Fund, the Board took into account detailed discussions they had with officers of the Adviser regarding the management of the Fund’s investments in accordance with the Fund’s stated investment objective and policies and the types of transactions entered into on behalf of the Fund that commenced operations.
In addition to the investment advisory services provided to the Fund, the Board considered that the Adviser will provide certain shareholder and administrative services pursuant to the New Management Agreement, along with continuing to overseeing the Sub-Adviser, Fund accounting, marketing services as well as providing assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Fund. In particular, the Board reviewed the compliance and administrative services provided to the Fund by the Adviser. The Board considered that the Adviser represented that the nature and level of investment advisory services currently being performed by the Adviser will not diminish in any way as a result of the proposals.
Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with counsel to discuss and consider the New Management Agreement and the Amended Sub-Advisory Agreement. Based on the presentations at the March 30-31, 2010 and June 9-10, 2010 Board meetings, the Board concluded that the New Management Agreement and the Amended Sub-Advisory Agreement were in the best interests of the Fund.
Investment Performance of the Fund and the Adviser’s Portfolio Management. The Board considered the investment performance of the Fund. In particular, the Board considered the investment performance of the Fund relative to its stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Fund relative to its peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Fund.
The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fee to be paid by the Fund to the Adviser pursuant to the New Management Agreement. The Board also examined the fees paid to other investment managers by comparable funds in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Fund.
To assist in this analysis, the Board received a report independently prepared by Lipper. The report showed comparative fee information for the Fund’s expense group and expense universe, including expense comparisons of contractual management fees and actual total operating expenses. The Board considered that the Fund’s contractual management fee was lower than or equal to the median contractual advisory fees paid by the applicable funds in the Fund’s expense group and expense universe.
The Board received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Board also took into consideration the Adviser’s profits from the management of other private accounts in addition to the Fund. The Board reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Adviser’s unaudited financial statements. The purpose of the review was to help the Board determine whether the firm has the necessary resources to continue to provide high-quality services to the Fund and attract and retain high-quality employees.
The Board considered that the net fees payable by the Fund to the Adviser will not increase as a result of the Agreement. While the contractual management fee payable by the Fund to the Adviser pursuant to the New Management Agreement is higher than the contractual advisory fee payable by the Fund to the Adviser pursuant to the Advisory Agreement, the net fees payable to the Adviser will not increase because the Shareholder Services Agreement will be terminated. The Board also considered that for Class N shareholders, fees payable to the Adviser will in fact decrease.
The Board concluded that the proposal to restructure to the fees payable to the Adviser such that the advisory fee and shareholder and administrative services fee will be combined into one management fee for the Fund is reasonable.
AQR Funds | Semi-Annual Report | June 2010 | 114 | |||||||
Board Approval of the New Investment Management Agreement and the Amended and Restated Investment Sub-Advisory Agreement |
Economies of Scale. The Adviser provided to the Board information concerning the extent to which economies of scale may be realized as the Fund grows and whether the new management fee level is reflective of such economies of scale. The Board considered that the Fund currently does not have breakpoints in its management fee that would allow investors to benefit directly in the form of lower fees as Fund assets grew. However, the Adviser presented information to show that the management fee under the New Management Agreement is set at a level that is competitive relative to funds of a larger scale. The Board also considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Fund, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ various advisory clients. The Board considered that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board also considered that the fee restructuring will also allow the Class I shares of the Fund to be marketed and sold as a “no-load fund” under Financial Industry Regulatory Authority rules.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board, including all of the Independent Board Members, concluded that the management fee rate and total expense ratios are reasonable in relation to the services provided by the Adviser to the Fund, as well as the costs incurred and benefits gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fee to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, the Board, including the Independent Board Members, unanimously approved the New Management Agreement and the Amended Sub-Advisory Agreement. The Independent Board Members were represented by counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | June 2010 | 115 | |||||||
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Adviser
CNH Partners, LLC
Two Greenwich Plaza, 1st Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator & Custodian
The Bank of New York Mellon
101 Barclay Street
New York, NY 10286
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website www.aqrfunds.com, or by accessing the SEC’s website at www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-942-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and polices, experienced of its management, marketability of shares and other information.
Item 2. | Code of Ethics. |
a). Not Applicable.
b). Not Applicable
c). Not Applicable.
d). Not Applicable.
e). Not Applicable.
f). Not Applicable
Item 3. | Audit Committee Financial Expert. |
a). Not Applicable
Item 4. | Principal Accountant Fees and Services. |
a). Not Applicable
b). Not Applicable
c). Not Applicable
d). Not Applicable
e) Not Applicable
(f) Not Applicable
(g) Not Applicable
(h)Not Applicable
Item 5. | Audit Committee of Listed Registrants. |
(a) Not Applicable
(b) Not Applicable.
Item 6. | Schedule of Investments. |
(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.
(b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
Not applicable.
Item 11. | Controls and Procedures. |
(a) The Principal Executive Officer and Principal Financial Officer have evaluated the Registrant’s disclosure controls and procedures within 90 days of the filing date of this report and have concluded that these controls and procedures are effective.
(b) There were no significant changes in the Registrant’s internal controls over financial reporting or in other factors that could significantly affect these controls subsequent to the date of their evaluation.
Item 12. | Exhibits. |
(a)(2) Separate certifications for each Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17CFR 270.30a-(a)) are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: AQR Funds
By: | /S/ MARCO HANIG | |
Marco Hanig, Principal Executive Officer |
Date: August 26, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
Registrant: AQR Funds
By: | /S/ MARCO HANIG | |
Marco Hanig, Principal Executive Officer |
Date: August 26, 2010
By: | /S/ NIR MESSAFI | |
Nir Messafi, Principal Financial Officer |
Date: August 26, 2010