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, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
Two Greenwich Plaza
4th 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: January 1, 2013 to June 30, 2013
Item 1. Reports to Shareholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)
Schedule of Investments | ||||
2 | ||||
11 | ||||
18 | ||||
21 | ||||
24 | ||||
27 | ||||
49 | ||||
55 | ||||
63 | ||||
69 | ||||
73 | ||||
80 | ||||
85 | ||||
89 | ||||
94 | ||||
Financial Statements and Notes | 98 | |||
Fund Expense Examples | 162 | |||
Board Approval of Investment Advisory Agreements | 166 |
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
COMMON STOCKS - 90.0% | SHARES | VALUE (Note 2) | ||||||
Australia - 2.9% | ||||||||
Alumina Ltd. † | 37,995 | $ | 33,814 | |||||
AMP Ltd. | 23,051 | 89,148 | ||||||
Arrium Ltd. | 230,247 | 162,947 | ||||||
ASX Ltd. | 2,722 | 82,084 | ||||||
Australia & New Zealand Banking Group Ltd. | 54,632 | 1,418,212 | ||||||
Bank of Queensland Ltd. | 24,629 | 195,071 | ||||||
BHP Billiton Ltd. | 51,827 | 1,491,727 | ||||||
Brambles Ltd. | 9,380 | 79,900 | ||||||
Caltex Australia Ltd. | 5,743 | 94,462 | ||||||
CFS Retail Property Trust Group REIT | 36,456 | 66,465 | ||||||
Commonwealth Bank of Australia | 25,719 | 1,618,911 | ||||||
Computershare Ltd. | 7,001 | 65,642 | ||||||
CSL Ltd. | 12,744 | 715,914 | ||||||
Dexus Property Group REIT | 74,910 | 73,052 | ||||||
Downer EDI Ltd. | 121,338 | 395,621 | ||||||
Fortescue Metals Group Ltd. | 19,404 | 53,416 | ||||||
Goodman Group REIT | 30,110 | 133,868 | ||||||
GPT Group REIT | 29,672 | 104,188 | ||||||
GPT Group REIT (3)†(a) | 96,388 | — | ||||||
Insurance Australia Group Ltd. | 19,934 | 98,946 | ||||||
JB Hi-Fi Ltd. | 8,029 | 122,994 | ||||||
Lend Lease Group | 8,523 | 64,982 | ||||||
Macquarie Group Ltd. | 8,614 | 328,546 | ||||||
Mirvac Group REIT | 51,825 | 75,872 | ||||||
Myer Holdings Ltd. | 108,148 | 234,932 | ||||||
National Australia Bank Ltd. | 43,696 | 1,181,975 | ||||||
Newcrest Mining Ltd. | 12,358 | 114,079 | ||||||
OZ Minerals Ltd. | 5,222 | 19,598 | ||||||
Qantas Airways Ltd. † | 270,985 | 332,847 | ||||||
Rio Tinto Ltd. | 1,136 | 54,443 | ||||||
Sims Metal Management Ltd. | 10,982 | 82,944 | ||||||
Sonic Healthcare Ltd. | 4,827 | 65,576 | ||||||
Stockland REIT | 43,746 | 139,194 | ||||||
Suncorp Group Ltd. | 44,800 | 486,577 | ||||||
Telecom Corp of New Zealand Ltd. | 142,455 | 246,031 | ||||||
Telstra Corp. Ltd. | 238,106 | 1,035,159 | ||||||
Transfield Services Ltd. | 120,168 | 84,845 | ||||||
Wesfarmers Ltd. | 13,236 | 478,959 | ||||||
Westfield Group REIT | 35,184 | 368,504 | ||||||
Westfield Retail Trust REIT | 46,500 | 131,506 | ||||||
Westpac Banking Corp. | 54,471 | 1,430,130 | ||||||
Woodside Petroleum Ltd. | 8,475 | 269,911 | ||||||
Woolworths Ltd. | 30,575 | 915,925 | ||||||
|
| |||||||
15,238,917 | ||||||||
|
| |||||||
Belgium - 0.9% | ||||||||
Anheuser-Busch InBev NV | 41,036 | 3,694,603 | ||||||
Solvay SA | 5,684 | 744,258 | ||||||
|
| |||||||
4,438,861 | ||||||||
|
| |||||||
Canada - 3.8% | ||||||||
Agrium, Inc. (1) | 8,400 | 728,261 | ||||||
Alimentation Couche Tard, Inc., Class B (1) | 3,400 | 201,731 | ||||||
ARC Resources Ltd. (1) | 4,700 | 123,030 | ||||||
Athabasca Oil Corp. (1)† | 4,800 | 29,712 | ||||||
Bank of Montreal (1) | 18,380 | 1,066,065 |
SHARES | VALUE (Note 2) | |||||||
Canada - 3.8% (continued) | ||||||||
Bank of Nova Scotia (1) | 5,799 | $ | 309,993 | |||||
Baytex Energy Corp. (1) | 1,900 | 68,470 | ||||||
BCE, Inc. (1) | 7,309 | 299,671 | ||||||
Bonavista Energy Corp. (1) | 1,300 | 16,873 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 10,002 | 359,490 | ||||||
Brookfield Office Properties, Inc. (1) | 2,845 | 47,313 | ||||||
Canadian Imperial Bank of Commerce (1) | 11,400 | 809,067 | ||||||
Canadian National Railway Co. (1) | 8,500 | 827,612 | ||||||
Canadian Oil Sands Ltd. (1) | 21,400 | 396,176 | ||||||
Canadian Pacific Railway Ltd. (1) | 3,800 | 460,791 | ||||||
CI Financial Corp. (1) | 2,600 | 74,833 | ||||||
Crescent Point Energy Corp. (1)(b) | 6,500 | 220,457 | ||||||
Eldorado Gold Corp. (1) | 10,600 | 65,614 | ||||||
Empire Co., Ltd., Class A (1) | 5,900 | 451,153 | ||||||
Enerplus Corp. (1) | 2,951 | 43,604 | ||||||
Franco-Nevada Corp. (1) | 2,100 | 75,178 | ||||||
Goldcorp, Inc. (1) | 12,788 | 317,603 | ||||||
Great-West Lifeco, Inc. (1) | 3,145 | 85,316 | ||||||
Husky Energy, Inc. (1) | 32,300 | 860,555 | ||||||
IGM Financial, Inc. (1) | 1,700 | 72,885 | ||||||
Imperial Oil Ltd. (1) | 19,400 | 740,620 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 15,600 | 617,058 | ||||||
Kinross Gold Corp. (1) | 78,900 | 404,365 | ||||||
Loblaw Cos., Ltd. (1) | 5,700 | 257,711 | ||||||
Magna International, Inc. (1) | 12,134 | 863,698 | ||||||
MEG Energy Corp. (1)† | 2,000 | 54,826 | ||||||
New Gold, Inc. (1)† | 7,000 | 45,327 | ||||||
Onex Corp. (1) | 14,400 | 653,388 | ||||||
Open Text Corp. (1) | 5,400 | 369,174 | ||||||
Osisko Mining Corp. (1)† | 5,500 | 18,199 | ||||||
Penn West Petroleum Ltd. (1) | 7,500 | 79,158 | ||||||
Potash Corp of Saskatchewan, Inc. (1) | 4,900 | 186,924 | ||||||
Power Corp. of Canada (1) | 4,746 | 127,348 | ||||||
RioCan Real Estate Investment Trust REIT (1) | 2,100 | 50,458 | ||||||
Rogers Communications, Inc., Class B (1) | 12,500 | 489,683 | ||||||
Royal Bank of Canada (1) | 25,224 | 1,469,741 | ||||||
Shaw Communications, Inc., Class B (1) | 11,800 | 283,191 | ||||||
Silver Wheaton Corp. (1) | 5,300 | 103,863 | ||||||
SNC-Lavalin Group, Inc. (1) | 11,900 | 502,726 | ||||||
Sun Life Financial, Inc. (1) | 18,400 | 544,984 | ||||||
Suncor Energy, Inc. (1) | 45,682 | 1,346,527 | ||||||
Talisman Energy, Inc. (1) | 51,100 | 583,056 | ||||||
Teck Resources Ltd., Class B (1) | 20,193 | 431,432 | ||||||
Toronto-Dominion Bank/The (1) | 9,112 | 731,854 | ||||||
Tourmaline Oil Corp. (1)† | 1,900 | 76,112 | ||||||
TransCanada Corp. (1) | 12,300 | 529,566 | ||||||
Turquoise Hill Resources Ltd. (1)† | 4,885 | 28,984 | ||||||
Vermilion Energy, Inc. (1) | 1,500 | 73,324 | ||||||
Yamana Gold, Inc. (1) | 12,000 | 114,443 | ||||||
|
| |||||||
19,789,193 | ||||||||
|
| |||||||
China - 0.0% (c) | ||||||||
Foxconn International Holdings Ltd. † | 101 | 54 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
2 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Denmark - 0.2% | ||||||||
Coloplast A/S, Class B | 11,513 | $ | 644,660 | |||||
Danske Bank A/S † | 10,597 | 180,774 | ||||||
Novo Nordisk A/S, Class B | 2,172 | 337,664 | ||||||
|
| |||||||
1,163,098 | ||||||||
|
| |||||||
Finland - 0.5% | ||||||||
Kone OYJ, Class B | 2,052 | 162,764 | ||||||
Metso OYJ | 39,715 | 1,345,262 | ||||||
Orion OYJ, Class B | 26,107 | 611,741 | ||||||
Sampo OYJ, A Shares | 14,982 | 583,397 | ||||||
|
| |||||||
2,703,164 | ||||||||
|
| |||||||
France - 3.6% | ||||||||
AXA SA | 30,119 | 593,727 | ||||||
BNP Paribas SA | 16,706 | 914,571 | ||||||
Christian Dior SA | 242 | 39,096 | ||||||
Cie Generale des Etablissements Michelin | 21,076 | 1,884,531 | ||||||
Danone SA | 39,987 | 3,009,758 | ||||||
Essilor International SA | 2,904 | 309,386 | ||||||
European Aeronautic Defence and Space Co. NV | 5,741 | 307,148 | ||||||
Gecina SA REIT | 612 | 67,641 | ||||||
ICADE REIT | 655 | 54,030 | ||||||
Kering | 7,011 | 1,426,649 | ||||||
Klepierre REIT | 1,740 | 68,572 | ||||||
L’Oreal SA | 6,515 | 1,070,965 | ||||||
Renault SA | 14,137 | 952,234 | ||||||
Safran SA | 7,000 | 365,445 | ||||||
Sanofi | 31,534 | 3,260,004 | ||||||
Schneider Electric SA | 4,214 | 306,049 | ||||||
Societe BIC SA | 4,513 | 452,739 | ||||||
Societe Generale SA | 10,937 | 376,402 | ||||||
Total SA | 38,405 | 1,875,823 | ||||||
Unibail-Rodamco SE REIT | 1,690 | 393,610 | ||||||
Vivendi SA | 57,639 | 1,092,353 | ||||||
|
| |||||||
18,820,733 | ||||||||
|
| |||||||
Germany - 2.8% | �� | |||||||
Adidas AG | 23,535 | 2,544,107 | ||||||
BASF SE | 14,053 | 1,253,438 | ||||||
Bayerische Motoren Werke AG | 3,527 | 307,823 | ||||||
Celesio AG | 622 | 13,502 | ||||||
Continental AG | 13,686 | 1,824,469 | ||||||
Deutsche Boerse AG | 3,692 | 242,780 | ||||||
Deutsche Lufthansa AG † | 41,514 | 840,966 | ||||||
Deutsche Post AG | 83,272 | 2,066,648 | ||||||
Deutsche Telekom AG | 28,121 | 327,625 | ||||||
Fresenius SE & Co. KGaA | 1,761 | 216,745 | ||||||
Hannover Rueckversicherung SE | 5,066 | 364,282 | ||||||
HeidelbergCement AG | 16,937 | 1,134,795 | ||||||
Merck KGaA | 16,231 | 2,468,408 | ||||||
Muenchener Rueckversicherungs AG | 3,187 | 585,493 | ||||||
Suedzucker AG | 10,174 | 314,981 | ||||||
|
| |||||||
14,506,062 | ||||||||
|
| |||||||
Hong Kong - 1.1% | ||||||||
AIA Group Ltd. | 227,000 | 956,351 |
SHARES | VALUE (Note 2) | |||||||
Hong Kong - 1.1% (continued) | ||||||||
ASM Pacific Technology Ltd. | 2,982 | $ | 32,736 | |||||
Cheung Kong Holdings Ltd. | 17,201 | 231,946 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 5,749 | 38,308 | ||||||
CLP Holdings Ltd. | 30,511 | 246,646 | ||||||
First Pacific Co., Ltd. | 34,000 | 36,346 | ||||||
Galaxy Entertainment Group Ltd. † | 49,000 | 238,014 | ||||||
Hang Lung Group Ltd. | 791 | 4,237 | ||||||
Hang Seng Bank Ltd. | 14,057 | 207,012 | ||||||
Henderson Land Development Co., Ltd. | 27,500 | 163,319 | ||||||
HKT Trust/HKT Ltd. | 842 | 805 | ||||||
Hong Kong & China Gas Co., Ltd. | 42,020 | 102,531 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 18,769 | 281,899 | ||||||
Hopewell Holdings Ltd. | 9,195 | 30,518 | ||||||
Hutchison Whampoa Ltd. | 33,489 | 350,371 | ||||||
Hysan Development Co., Ltd. | 37,823 | 163,287 | ||||||
Li & Fung Ltd. | 1,468 | 2,001 | ||||||
Link REIT/The REIT | 39,329 | 193,014 | ||||||
Mongolia Energy Corp. Ltd. † | 885 | 26 | ||||||
MTR Corp. Ltd. | 22,500 | 82,683 | ||||||
New World Development Co., Ltd. | 58,173 | 79,905 | ||||||
NWS Holdings Ltd. | 19,500 | 29,895 | ||||||
PCCW Ltd. | 65,406 | 30,525 | ||||||
Power Assets Holdings Ltd. | 38,000 | 327,104 | ||||||
Sands China Ltd. | 35,600 | 166,361 | ||||||
Sino Land Co., Ltd. | 228,000 | 318,784 | ||||||
SJM Holdings Ltd. | 125,000 | 303,352 | ||||||
Sun Hung Kai Properties Ltd. | 12,022 | 154,387 | ||||||
Swire Pacific Ltd., Class A | 11,818 | 142,387 | ||||||
Swire Properties Ltd. | 72 | 212 | ||||||
Television Broadcasts Ltd. | 442 | 3,025 | ||||||
Wharf Holdings Ltd. | 46,604 | 388,976 | ||||||
Wheelock & Co., Ltd. | 48,844 | 243,700 | ||||||
Wing Hang Bank Ltd. | 3,000 | 26,833 | ||||||
Wynn Macau Ltd. | 38,800 | 104,363 | ||||||
Yue Yuen Industrial Holdings Ltd. | 76,123 | 196,723 | ||||||
|
| |||||||
5,878,582 | ||||||||
|
| |||||||
Italy - 0.5% | ||||||||
Assicurazioni Generali SpA | 18,525 | 323,811 | ||||||
Enel SpA | 359,271 | 1,127,382 | ||||||
Eni SpA | 11,135 | 228,535 | ||||||
Intesa Sanpaolo SpA | 181,257 | 290,109 | ||||||
Prysmian SpA | 17,946 | 334,781 | ||||||
UniCredit SpA | 67,592 | 315,985 | ||||||
|
| |||||||
2,620,603 | ||||||||
|
| |||||||
Japan - 8.5% | ||||||||
Asahi Glass Co., Ltd. | 236 | 1,530 | ||||||
Astellas Pharma, Inc. | 10,600 | 575,836 | ||||||
Bank of Yokohama Ltd./The | 53,000 | 273,409 | ||||||
Bridgestone Corp. | 23,400 | 797,945 | ||||||
Canon, Inc. | 15,145 | 496,351 | ||||||
Central Japan Railway Co. | 7,800 | 950,664 | ||||||
Chiba Bank Ltd./The | 87,000 | 593,594 | ||||||
Chubu Electric Power Co., Inc. | 14,554 | 206,158 | ||||||
Chugai Pharmaceutical Co., Ltd. | 29,900 | 618,910 | ||||||
Citizen Holdings Co., Ltd. | 19,700 | 109,881 | ||||||
Credit Saison Co., Ltd. | 75 | 1,885 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 3 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 8.5% (continued) | ||||||||
Dai Nippon Printing Co., Ltd. | 21,000 | $ | 191,620 | |||||
Daicel Corp. | 38,000 | 332,119 | ||||||
Dai-ichi Life Insurance Co., Ltd./The | 150 | 215,332 | ||||||
Daiichi Sankyo Co., Ltd. | 28,100 | 468,281 | ||||||
Daito Trust Construction Co., Ltd. | 1,586 | 149,432 | ||||||
Daiwa House Industry Co., Ltd. | 8,151 | 151,829 | ||||||
Daiwa Securities Group, Inc. | 27,000 | 226,123 | ||||||
Denki Kagaku Kogyo KK | 71,000 | 257,012 | ||||||
Denso Corp. | 4,800 | 225,663 | ||||||
DIC Corp. | 495 | 1,236 | ||||||
East Japan Railway Co. | 13,112 | 1,020,540 | ||||||
Fuji Electric Co., Ltd. | 179,000 | 629,378 | ||||||
Fuji Heavy Industries Ltd. | 32,733 | 808,316 | ||||||
FUJIFILM Holdings Corp. | 19,444 | 427,644 | ||||||
Fujitsu Ltd. | 115 | 476 | ||||||
Fukuoka Financial Group, Inc. | 15,000 | 63,797 | ||||||
Hino Motors Ltd. | 17,975 | 263,764 | ||||||
Hitachi High-Technologies Corp. | 58 | 1,399 | ||||||
Honda Motor Co., Ltd. | 13,197 | 490,261 | ||||||
Hoya Corp. | 6 | 123 | ||||||
IHI Corp. | 70,000 | 264,846 | ||||||
Isuzu Motors Ltd. | 95,000 | 649,415 | ||||||
ITOCHU Corp. | 35,188 | 406,910 | ||||||
J Front Retailing Co., Ltd. | 52,000 | 414,683 | ||||||
Japan Real Estate Investment Corp. REIT | 12 | 134,049 | ||||||
Japan Retail Fund Investment Corp. REIT | 38 | 79,388 | ||||||
Japan Tobacco, Inc. | 35,800 | 1,263,652 | ||||||
JFE Holdings, Inc. | 26,100 | 571,798 | ||||||
JGC Corp. | 19,000 | 684,237 | ||||||
JSR Corp. | 19,600 | 396,579 | ||||||
JTEKT Corp. | 88 | 986 | ||||||
JX Holdings, Inc. | 14 | 68 | ||||||
Kaneka Corp. | 354 | 2,334 | ||||||
Kao Corp. | 9,600 | 326,799 | ||||||
KDDI Corp. | 2,400 | 124,976 | ||||||
Keisei Electric Railway Co., Ltd. | 31,461 | 294,747 | ||||||
Kinden Corp. | 284 | 2,444 | ||||||
Kirin Holdings Co., Ltd. | 26,000 | 407,272 | ||||||
Kobe Steel Ltd. † | 759 | 939 | ||||||
Koito Manufacturing Co., Ltd. | 22,000 | 419,384 | ||||||
Konica Minolta, Inc. | 72,500 | 545,687 | ||||||
Kubota Corp. | 343 | 4,992 | ||||||
Makita Corp. | 46 | 2,473 | ||||||
Marubeni Corp. | 44,000 | 294,068 | ||||||
Marui Group Co., Ltd. | 11,500 | 114,559 | ||||||
Mazda Motor Corp. † | 203,000 | 802,548 | ||||||
Medipal Holdings Corp. | 39,100 | 530,106 | ||||||
Miraca Holdings, Inc. | 3,228 | 148,336 | ||||||
Mitsubishi Corp. | 36 | 615 | ||||||
Mitsubishi Estate Co., Ltd. | 22,764 | 606,066 | ||||||
Mitsubishi Heavy Industries, Ltd. | 144,000 | 800,577 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 205,149 | 1,266,974 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 80 | 380 | ||||||
Mitsui & Co., Ltd. | 13,789 | 172,917 | ||||||
Mitsui Fudosan Co., Ltd. | 17,598 | 517,382 | ||||||
Mitsumi Electric Co., Ltd. † | 40 | 278 | ||||||
Mizuho Financial Group, Inc. | 690,141 | 1,433,211 |
SHARES | VALUE (Note 2) | |||||||
Japan - 8.5% (continued) | ||||||||
MS&AD Insurance Group Holdings | 33,500 | $ | 848,561 | |||||
Namco Bandai Holdings, Inc. | 29,400 | 476,499 | ||||||
NEC Corp. | 198,000 | 433,591 | ||||||
Nippon Building Fund, Inc. REIT | 13 | 150,560 | ||||||
Nippon Express Co., Ltd. | 25,000 | 118,715 | ||||||
Nippon Kayaku Co., Ltd. | 546 | 6,802 | ||||||
Nippon Meat Packers, Inc. | 97 | 1,484 | ||||||
Nippon Steel & Sumitomo Metal | 822 | 2,215 | ||||||
Nippon Telegraph & Telephone Corp. | 7,948 | 414,257 | ||||||
Nishi-Nippon City Bank Ltd./The | 363 | 947 | ||||||
Nitto Denko Corp. | 94 | 6,029 | ||||||
NKSJ Holdings, Inc. | 10,900 | 259,034 | ||||||
Nomura Holdings, Inc. | 58,800 | 432,813 | ||||||
Nomura Real Estate Holdings, Inc. | 1,700 | 37,552 | ||||||
North Pacific Bank Ltd. | 68 | 250 | ||||||
NTT DOCOMO, Inc. | 461 | 717,180 | ||||||
Oji Holdings Corp. | 682 | 2,749 | ||||||
Omron Corp. | 14,831 | 442,157 | ||||||
ORIX Corp. | 21,490 | 293,268 | ||||||
Osaka Gas Co., Ltd. | 129,446 | 546,574 | ||||||
Pacific Metals Co., Ltd. | 720 | 2,989 | ||||||
Panasonic Corp. † | 47,800 | 384,888 | ||||||
Rengo Co., Ltd. | 884 | 4,242 | ||||||
Resona Holdings, Inc. | 148,300 | 722,250 | ||||||
Ricoh Co., Ltd. | 19,000 | 225,156 | ||||||
Rohm Co., Ltd. | 5,900 | 239,606 | ||||||
Secom Co., Ltd. | 5,400 | 293,601 | ||||||
Seino Holdings Co., Ltd. | 100 | 878 | ||||||
Sekisui Chemical Co., Ltd. | 32,000 | 339,793 | ||||||
Sekisui House Ltd. | 9,000 | 130,036 | ||||||
Seven & I Holdings Co., Ltd. | 10,330 | 378,319 | ||||||
Shimamura Co., Ltd. | 1,800 | 218,506 | ||||||
Shin-Etsu Chemical Co., Ltd. | 1,700 | 112,515 | ||||||
Shionogi & Co., Ltd. | 17,900 | 373,276 | ||||||
Softbank Corp. | 20,300 | 1,181,662 | ||||||
Sojitz Corp. | 16 | 27 | ||||||
Sony Corp. | 17,517 | 370,068 | ||||||
Sumitomo Heavy Industries Ltd. | 14,000 | 58,788 | ||||||
Sumitomo Metal Mining Co., Ltd. | 19,000 | 211,635 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,849 | 1,549,372 | ||||||
Sumitomo Realty & Development Co., Ltd. | 5,624 | 224,139 | ||||||
Sumitomo Rubber Industries Ltd. | 8,100 | 132,225 | ||||||
Suruga Bank Ltd. | 16,000 | 290,152 | ||||||
Suzuken Co., Ltd. | 5,900 | 198,565 | ||||||
Suzuki Motor Corp. | 31,300 | 721,475 | ||||||
Taisei Corp. | 162,000 | 584,816 | ||||||
Takashimaya Co., Ltd. | 52,000 | 527,037 | ||||||
Takeda Pharmaceutical Co., Ltd. | 669 | 30,168 | ||||||
Tohoku Electric Power Co., Inc. † | 6,900 | 86,153 | ||||||
Tokai Rika Co., Ltd. | 65 | 1,295 | ||||||
Tokio Marine Holdings, Inc. | 16,600 | 523,812 | ||||||
Tokyo Electric Power Co., Inc † | 26,870 | 138,713 | ||||||
Tokyo Gas Co., Ltd. | 148,000 | 816,524 | ||||||
Tokyu Corp. | 17,000 | 111,312 | ||||||
Tokyu Land Corp. | 5,000 | 45,770 | ||||||
TOTO Ltd. | 16,000 | 162,689 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
4 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 8.5% (continued) | ||||||||
Toyo Seikan Kaisha Ltd. | 20,900 | $ | 321,710 | |||||
Toyota Boshoku Corp. | 6,900 | 99,213 | ||||||
Toyota Motor Corp. | 39,741 | 2,397,091 | ||||||
Ushio, Inc. | 31,300 | 413,276 | ||||||
USS Co., Ltd. | 1,255 | 159,102 | ||||||
West Japan Railway Co. | 6,300 | 267,185 | ||||||
Yahoo Japan Corp. | 301 | 148,217 | ||||||
|
| |||||||
44,626,666 | ||||||||
|
| |||||||
Netherlands - 1.4% | ||||||||
Aegon NV | 90,581 | 607,713 | ||||||
Corio NV REIT | 1,041 | 41,430 | ||||||
Gemalto NV | 5,274 | 477,523 | ||||||
Heineken Holding NV | 9,915 | 555,703 | ||||||
ING Groep NV CVA † | 60,387 | 551,882 | ||||||
Koninklijke Ahold NV | 86,537 | 1,287,062 | ||||||
Koninklijke Philips NV | 105,737 | 2,882,509 | ||||||
Unilever NV CVA | 25,851 | 1,017,607 | ||||||
|
| |||||||
7,421,429 | ||||||||
|
| |||||||
New Zealand - 0.1% | ||||||||
Fletcher Building Ltd. | 42,620 | 277,194 | ||||||
|
| |||||||
Singapore - 0.6% | ||||||||
Ascendas Real Estate Investment Trust REIT | 35,478 | 62,175 | ||||||
CapitaCommercial Trust REIT (b) | 33,000 | 38,069 | ||||||
CapitaMall Trust REIT | 34,494 | 54,128 | ||||||
ComfortDelGro Corp. Ltd. | 138,000 | 198,321 | ||||||
DBS Group Holdings Ltd. | 43,054 | 523,877 | ||||||
Global Logistic Properties Ltd. | 29,000 | 62,729 | ||||||
Hutchison Port Holdings Trust, Class U | 83,000 | 60,781 | ||||||
Jardine Cycle & Carriage Ltd. | 291 | 9,729 | ||||||
Keppel Corp. Ltd. | 20,000 | 163,587 | ||||||
Keppel Land Ltd. | 94,000 | 247,186 | ||||||
Keppel REIT | 400 | 408 | ||||||
Noble Group Ltd. | 262,000 | 199,260 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 31,422 | 247,013 | ||||||
Sembcorp Industries Ltd. | 11,777 | 45,818 | ||||||
Singapore Exchange Ltd. | 14,967 | 82,729 | ||||||
Singapore Technologies Engineering Ltd. | 25,103 | 82,693 | ||||||
Singapore Telecommunications Ltd. | 138,635 | 410,611 | ||||||
StarHub Ltd. | 7,476 | 24,581 | ||||||
United Overseas Bank Ltd. | 29,201 | 456,006 | ||||||
UOL Group Ltd. | 10,340 | 54,661 | ||||||
Wilmar International Ltd. | 56,000 | 138,501 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 404 | 264 | ||||||
|
| |||||||
3,163,127 | ||||||||
|
| |||||||
Spain - 0.8% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 68,218 | 573,295 | ||||||
Banco Santander SA | 143,502 | 918,305 | ||||||
Gas Natural SDG SA | 111,475 | 2,245,949 | ||||||
Repsol SA | 14,217 | 300,050 | ||||||
|
| |||||||
4,037,599 | ||||||||
|
| |||||||
Sweden - 1.3% | ||||||||
Electrolux AB, Series B | 89,346 | 2,254,627 |
SHARES | VALUE (Note 2) | |||||||
Sweden - 1.3% (continued) | ||||||||
Investor AB, B Shares | 9,034 | $ | 242,480 | |||||
Nordea Bank AB | 119,471 | 1,334,165 | ||||||
Svenska Cellulosa AB, B Shares | 73,651 | 1,847,074 | ||||||
Swedish Match AB | 18,328 | 650,544 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 26,472 | 300,188 | ||||||
TeliaSonera AB | 34,247 | 223,178 | ||||||
|
| |||||||
6,852,256 | ||||||||
|
| |||||||
Switzerland - 3.8% | ||||||||
Givaudan SA † | 1,157 | 1,490,881 | ||||||
Nestle SA | 47,204 | 3,097,545 | ||||||
Novartis AG | 69,916 | 4,952,189 | ||||||
Roche Holding AG | 22,180 | 5,505,017 | ||||||
Schindler Holding AG | 2,217 | 308,470 | ||||||
STMicroelectronics NV | 102,175 | 917,909 | ||||||
Sulzer AG | 6,593 | 1,052,790 | ||||||
Swiss Prime Site AG † | 1,485 | 109,168 | ||||||
Transocean Ltd. | 6,407 | 307,645 | ||||||
UBS AG † | 21,921 | 372,084 | ||||||
Wolseley PLC | 42,685 | 1,969,467 | ||||||
|
| |||||||
20,083,165 | ||||||||
|
| |||||||
United Kingdom - 7.4% | ||||||||
3i Group PLC | 210,603 | 1,081,386 | ||||||
Antofagasta PLC | 42,386 | 513,595 | ||||||
ARM Holdings PLC | 170,468 | 2,062,165 | ||||||
Associated British Foods PLC | 82,074 | 2,165,118 | ||||||
AstraZeneca PLC | 33,542 | 1,585,827 | ||||||
Aviva PLC | 50,620 | 260,903 | ||||||
Babcock International Group PLC | 59,581 | 1,000,419 | ||||||
BAE Systems PLC | 109,069 | 635,162 | ||||||
Barclays PLC | 523,877 | 2,231,059 | ||||||
BHP Billiton PLC | 35,178 | 896,963 | ||||||
BP PLC | 46,177 | 320,466 | ||||||
British Land Co. PLC REIT | 13,261 | 114,238 | ||||||
British Sky Broadcasting Group PLC | 69,738 | 840,130 | ||||||
BT Group PLC | 609,179 | 2,859,945 | ||||||
Centrica PLC | 254,638 | 1,392,797 | ||||||
Experian PLC | 9,936 | 172,685 | ||||||
Glencore Xstrata PLC | 172,942 | 715,890 | ||||||
Hammerson PLC REIT | 10,329 | 76,586 | ||||||
HSBC Holdings PLC | 366,214 | 3,791,102 | ||||||
Intu Properties PLC REIT | 6,502 | 30,908 | ||||||
ITV PLC | 240,490 | 512,738 | ||||||
Kazakhmys PLC | 78,848 | 311,222 | ||||||
Land Securities Group PLC REIT | 12,541 | 168,435 | ||||||
Lloyds Banking Group PLC † | 1,773,757 | 1,703,361 | ||||||
Next PLC | 13,849 | 959,323 | ||||||
Prudential PLC | 58,324 | 952,010 | ||||||
Randgold Resources Ltd. | 1,514 | 95,937 | ||||||
Reckitt Benckiser Group PLC | 19,006 | 1,344,418 | ||||||
Reed Elsevier PLC | 20,306 | 230,924 | ||||||
Resolution Ltd. | 76,598 | 331,797 | ||||||
Rio Tinto PLC | 21,503 | 874,505 | ||||||
Royal Dutch Shell PLC, A Shares | 59,129 | 1,888,818 | ||||||
Royal Dutch Shell PLC, B Shares | 28,248 | 935,544 | ||||||
Sage Group PLC/The | 80,359 | 415,315 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 5 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
United Kingdom - 7.4% (continued) | ||||||||
Segro PLC REIT | 13,080 | $ | 55,489 | |||||
Smith & Nephew PLC | 143,851 | 1,611,112 | ||||||
Smiths Group PLC | 28,355 | 564,117 | ||||||
Standard Life PLC | 84,218 | 443,212 | ||||||
TUI Travel PLC | 194,118 | 1,052,465 | ||||||
Tullow Oil PLC | 14,217 | 216,423 | ||||||
Unilever PLC | 21,107 | 854,458 | ||||||
Vodafone Group PLC | 250,556 | 718,013 | ||||||
|
| |||||||
38,986,980 | ||||||||
|
| |||||||
United States - 49.8% | ||||||||
3M Co. (1) | 11,900 | 1,301,265 | ||||||
Abbott Laboratories (1) | 101,184 | 3,529,298 | ||||||
Accenture PLC, Class A (1) | 33,574 | 2,415,985 | ||||||
ACE Ltd. (1) | 1,196 | 107,018 | ||||||
Activision Blizzard, Inc. (1) | 170,200 | 2,427,052 | ||||||
Allstate Corp./The (1) | 38,500 | 1,852,620 | ||||||
Altria Group, Inc. (1) | 29,696 | 1,039,063 | ||||||
Amazon.com, Inc. (1)† | 1,100 | 305,459 | ||||||
American Electric Power Co., Inc. (1) | 24,700 | 1,106,066 | ||||||
American International Group, Inc. (1)† | 18,200 | 813,540 | ||||||
American Tower Corp. REIT (1) | 8,600 | 629,262 | ||||||
Ameriprise Financial, Inc. (1) | 3,500 | 283,080 | ||||||
AmerisourceBergen Corp. (1) | 25,400 | 1,418,082 | ||||||
Amgen, Inc. (1) | 35,149 | 3,467,800 | ||||||
Anadarko Petroleum Corp. (1) | 5,800 | 498,394 | ||||||
Annaly Capital Management, Inc. REIT (1) | 14,918 | 187,519 | ||||||
Aon PLC (1) | 4,000 | 257,400 | ||||||
Apple, Inc. (1) | 9,228 | 3,655,026 | ||||||
Archer-Daniels-Midland Co. (1) | 42,400 | 1,437,784 | ||||||
Assurant, Inc. (1) | 18,400 | 936,744 | ||||||
AT&T, Inc. (1) | 107,397 | 3,801,854 | ||||||
AvalonBay Communities, Inc. REIT (1) | 2,411 | 325,268 | ||||||
Avery Dennison Corp. (1) | 30,100 | 1,287,076 | ||||||
Avnet, Inc. (1)† | 7,300 | 245,280 | ||||||
Axis Capital Holdings Ltd. (1) | 49,800 | 2,279,844 | ||||||
Bank of America Corp. (1) | 131,938 | 1,696,723 | ||||||
Baxter International, Inc. (1) | 23,000 | 1,593,210 | ||||||
Becton Dickinson and Co. (1) | 1,086 | 107,329 | ||||||
Berkshire Hathaway, Inc., Class B (1)† | 13,150 | 1,471,748 | ||||||
Best Buy Co., Inc. (1) | 32,300 | 882,759 | ||||||
Biogen Idec, Inc. (1)† | 2,300 | 494,960 | ||||||
BlackRock, Inc. (1) | 500 | 128,425 | ||||||
Boeing Co./The (1) | 10,600 | 1,085,864 | ||||||
Boston Properties, Inc. REIT (1) | 2,763 | 291,414 | ||||||
Boston Scientific Corp. (1)† | 230,800 | 2,139,516 | ||||||
Bunge Ltd. (1) | 10,200 | 721,854 | ||||||
CA, Inc. (1) | 40,900 | 1,170,967 | ||||||
Cardinal Health, Inc. (1) | 600 | 28,320 | ||||||
CareFusion Corp. (1)† | 53,200 | 1,960,420 | ||||||
CBRE Group, Inc., Class A (1)† | 6,700 | 156,512 | ||||||
Celgene Corp. (1)† | 15,700 | 1,835,487 | ||||||
CF Industries Holdings, Inc. (1) | 8,200 | 1,406,300 | ||||||
Chevron Corp. (1) | 43,500 | 5,147,790 | ||||||
Cimarex Energy Co. (1) | 17,500 | 1,137,325 | ||||||
Cisco Systems, Inc. (1) | 77,689 | 1,888,620 | ||||||
Citigroup, Inc. (1) | 95,719 | 4,591,640 |
SHARES | VALUE (Note 2) | |||||||
United States - 49.8% (continued) | ||||||||
Coca-Cola Co./The (1) | 65,760 | $ | 2,637,634 | |||||
Colgate-Palmolive Co. (1) | 3,656 | 209,452 | ||||||
Comcast Corp., Class A (1) | 53,600 | 2,244,768 | ||||||
Comerica, Inc. (1) | 35,100 | 1,398,033 | ||||||
Computer Sciences Corp. (1) | 33,600 | 1,470,672 | ||||||
ConocoPhillips (1) | 3,375 | 204,187 | ||||||
CVS Caremark Corp. (1) | 68,800 | 3,933,984 | ||||||
Deere & Co. (1) | 6,600 | 536,250 | ||||||
DIRECTV (1)† | 13,869 | 854,608 | ||||||
Discover Financial Services (1) | 26,400 | 1,257,696 | ||||||
DISH Network Corp., Class A (1) | 16,974 | 721,734 | ||||||
DTE Energy Co. (1) | 17,600 | 1,179,376 | ||||||
Duke Energy Corp. (1) | 11,600 | 783,000 | ||||||
Edison International (1) | 10,456 | 503,561 | ||||||
Electronic Arts, Inc. (1)† | 74,800 | 1,718,156 | ||||||
Eli Lilly & Co. (1) | 69,400 | 3,408,928 | ||||||
Emerson Electric Co. (1) | 12,400 | 676,296 | ||||||
EOG Resources, Inc. (1) | 2,300 | 302,864 | ||||||
Equifax, Inc. (1) | 3,800 | 223,934 | ||||||
Equity Residential REIT (1) | 6,948 | 403,401 | ||||||
Everest Re Group Ltd. (1) | 20,800 | 2,667,808 | ||||||
Express Scripts Holding Co. (1)† | 36,600 | 2,257,854 | ||||||
Exxon Mobil Corp. (1) | 77,889 | 7,037,271 | ||||||
Fidelity National Information Services, Inc. (1) | 47,500 | 2,034,900 | ||||||
Flextronics International Ltd. (1)† | 51,200 | 396,288 | ||||||
Flowserve Corp. (1) | 9,900 | 534,699 | ||||||
Ford Motor Co. (1) | 47,100 | 728,637 | ||||||
Frontier Communications Corp. (1) | 28,000 | 113,400 | ||||||
GameStop Corp., Class A (1) | 50,000 | 2,101,500 | ||||||
Gap, Inc./The (1) | 27,119 | 1,131,676 | ||||||
General Electric Co. (1) | 180,402 | 4,183,522 | ||||||
Goldman Sachs Group, Inc./The (1) | 20,100 | 3,040,125 | ||||||
Google, Inc., Class A (1)† | 5,002 | 4,403,611 | ||||||
H&R Block, Inc. (1) | 25,400 | 704,850 | ||||||
HCP, Inc. REIT (1) | 8,272 | 375,880 | ||||||
Health Care REIT, Inc. REIT (1) | 6,100 | 408,883 | ||||||
Hershey Co./The (1) | 7,100 | 633,888 | ||||||
Hess Corp. (1) | 36,900 | 2,453,481 | ||||||
HollyFrontier Corp. (1) | 31,600 | 1,351,848 | ||||||
Home Depot, Inc./The (1) | 12,206 | 945,599 | ||||||
Honeywell International, Inc. (1) | 9,800 | 777,532 | ||||||
Hormel Foods Corp. (1) | 6,300 | 243,054 | ||||||
Host Hotels & Resorts, Inc. REIT (1)(b) | 9,300 | 156,891 | ||||||
Humana, Inc. (1) | 15,600 | 1,316,328 | ||||||
Ingersoll-Rand PLC (1) | 30,200 | 1,676,704 | ||||||
Intel Corp. (1) | 35,067 | 849,323 | ||||||
International Business Machines Corp. (1) | 14,723 | 2,813,712 | ||||||
International Paper Co. (1) | 13,200 | 584,892 | ||||||
Invesco Ltd. (1) | 6,100 | 193,980 | ||||||
JM Smucker Co./The (1) | 10,600 | 1,093,390 | ||||||
Johnson & Johnson (1) | 57,216 | 4,912,566 | ||||||
JPMorgan Chase & Co. (1) | 111,273 | 5,874,102 | ||||||
KeyCorp (1) | 231,200 | 2,552,448 | ||||||
Kimberly-Clark Corp. (1) | 25,563 | 2,483,190 | ||||||
Kimco Realty Corp. REIT (1) | 6,500 | 139,295 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
6 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
United States - 49.8% (continued) | ||||||||
KLA-Tencor Corp. (1) | 29,500 | $ | 1,644,035 | |||||
Leucadia National Corp. (1) | 26,900 | 705,318 | ||||||
Life Technologies Corp. (1)† | 5,200 | 384,852 | ||||||
Lincoln National Corp. (1) | 23,700 | 864,339 | ||||||
Lowe’s Cos., Inc. (1) | 11,200 | 458,080 | ||||||
LSI Corp. (1)† | 37,500 | 267,750 | ||||||
LyondellBasell Industries NV, Class A (1) | 49,600 | 3,286,496 | ||||||
M&T Bank Corp. (1) | 8,900 | 994,575 | ||||||
Macerich Co./The REIT (1) | 2,100 | 128,037 | ||||||
Macy’s, Inc. (1) | 36,700 | 1,761,600 | ||||||
Manpowergroup, Inc. (1) | 4,800 | 263,040 | ||||||
Marathon Oil Corp. (1) | 45,429 | 1,570,935 | ||||||
Marvell Technology Group Ltd. (1) | 71,900 | 841,949 | ||||||
McDonald’s Corp. (1) | 2,025 | 200,475 | ||||||
McKesson Corp. (1) | 9,800 | 1,122,100 | ||||||
Medtronic, Inc. (1) | 73,182 | 3,766,677 | ||||||
Merck & Co., Inc. (1) | 75,319 | 3,498,567 | ||||||
MetLife, Inc. (1) | 38,800 | 1,775,488 | ||||||
Microsoft Corp. (1) | 101,950 | 3,520,333 | ||||||
Mondelez International, Inc., Class A (1) | 55,621 | 1,586,867 | ||||||
Monsanto Co. (1) | 13,500 | 1,333,800 | ||||||
Mylan, Inc. (1)† | 28,900 | 896,767 | ||||||
Nabors Industries Ltd. (1) | 88,500 | 1,354,935 | ||||||
Newfield Exploration Co. (1)† | 11,900 | 284,291 | ||||||
Newmont Mining Corp. (1) | 5,161 | 154,572 | ||||||
News Corp., Class A (1)(b) | 13,800 | 449,880 | ||||||
Northrop Grumman Corp. (1) | 35,479 | 2,937,661 | ||||||
NVIDIA Corp. (1) | 104,800 | 1,470,344 | ||||||
Occidental Petroleum Corp. (1) | 11,090 | 989,561 | ||||||
Omnicare, Inc. (1) | 8,700 | 415,077 | ||||||
Oracle Corp. (1) | 51,100 | 1,569,792 | ||||||
Owens-Illinois, Inc. (1)† | 38,700 | 1,075,473 | ||||||
Parker Hannifin Corp. (1) | 2,800 | 267,120 | ||||||
PepsiCo, Inc. (1) | 20,772 | 1,698,942 | ||||||
PetSmart, Inc. (1) | 23,500 | 1,574,265 | ||||||
Pfizer, Inc. (1) | 130,794 | 3,663,540 | ||||||
Philip Morris International, Inc. (1) | 20,793 | 1,801,090 | ||||||
Pinnacle West Capital Corp. (1) | 9,800 | 543,606 | ||||||
PPG Industries, Inc. (1) | 12,797 | 1,873,609 | ||||||
Procter & Gamble Co./The (1) | 60,808 | 4,681,608 | ||||||
Prologis, Inc. REIT (1) | 10,680 | 402,850 | ||||||
Prudential Financial, Inc. (1) | 15,800 | 1,153,874 | ||||||
Public Storage REIT (1) | 3,169 | 485,903 | ||||||
Raytheon Co. (1) | 17,567 | 1,161,530 | ||||||
Seagate Technology PLC (1) | 52,800 | 2,367,024 | ||||||
Sherwin-Williams Co./The (1) | 1,500 | 264,900 | ||||||
Simon Property Group, Inc. REIT (1) | 6,742 | 1,064,697 | ||||||
SLM Corp. (1) | 75,200 | 1,719,072 | ||||||
Southwest Airlines Co. (1) | 19,200 | 247,488 | ||||||
Sprint Nextel Corp. (1)† | 95,700 | 671,814 | ||||||
SPX Corp. (1) | 10,400 | 748,592 | ||||||
Stryker Corp. (1) | 21,900 | 1,416,492 | ||||||
Symantec Corp. (1) | 69,600 | 1,563,912 | ||||||
TE Connectivity Ltd. (1) | 24,500 | 1,115,730 | ||||||
Time Warner Cable, Inc. (1) | 18,000 | 2,024,640 | ||||||
Time Warner, Inc. (1) | 16,600 | 959,812 | ||||||
Travelers Cos., Inc./The (1) | 32,101 | 2,565,512 |
SHARES | VALUE (Note 2) | |||||||
United States - 49.8% (continued) | ||||||||
Tyson Foods, Inc., Class A (1) | 116,200 | $ | 2,984,016 | |||||
Union Pacific Corp. (1) | 1,700 | 262,276 | ||||||
United States Steel Corp. (1) | 39,400 | 690,682 | ||||||
Unum Group (1) | 57,900 | 1,700,523 | ||||||
Valeant Pharmaceuticals International, Inc. (1)† | 4,574 | 394,381 | ||||||
Valero Energy Corp. (1) | 15,300 | 531,981 | ||||||
Ventas, Inc. REIT (1) | 4,800 | 333,408 | ||||||
Verizon Communications, Inc. (1) | 49,612 | 2,497,468 | ||||||
Viacom, Inc., Class B (1) | 20,737 | 1,411,153 | ||||||
Visa, Inc., Class A (1) | 7,100 | 1,297,525 | ||||||
Vornado Realty Trust REIT (1) | 2,748 | 227,672 | ||||||
Walgreen Co. (1) | 49,400 | 2,183,480 | ||||||
Wal-Mart Stores, Inc. (1) | 51,705 | 3,851,505 | ||||||
Walt Disney Co./The (1) | 7,500 | 473,625 | ||||||
Waste Management, Inc. (1) | 2,373 | 95,703 | ||||||
Wells Fargo & Co. (1) | 123,470 | 5,095,607 | ||||||
Western Digital Corp. (1) | 40,900 | 2,539,481 | ||||||
Whiting Petroleum Corp. (1)† | 10,900 | 502,381 | ||||||
Xerox Corp. (1) | 61,900 | 561,433 | ||||||
Yahoo!, Inc. (1)† | 100,100 | 2,513,511 | ||||||
Zimmer Holdings, Inc. (1) | 1,700 | 127,398 | ||||||
Zoetis, Inc. (1) | — | 5 | ||||||
|
| |||||||
261,273,125 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 471,880,808 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.9% | ||||||||
Germany - 0.9% | ||||||||
Henkel AG & Co. KGaA | 25,082 | 2,355,445 | ||||||
Porsche Automobil Holding SE | 25,771 | 1,990,104 | ||||||
ProSiebenSat.1 Media AG † | 17,271 | 740,759 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 5,086,308 | |||||||
|
| |||||||
RIGHTS - 0.0% (c) | ||||||||
Australia - 0.0% (c) | ||||||||
ASX Ltd. † | 286 | 813 | ||||||
|
| |||||||
Hong Kong - 0.0% (c) | ||||||||
New World Development Co., Ltd. (3)†(a) | 727 | — | ||||||
|
| |||||||
TOTAL RIGHTS | 813 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 6.5% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, | ||||||||
0.000% (d)(e) | 33,862,851 | 33,862,851 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 7 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.1% | SHARES | VALUE (Note 2) | ||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, | ||||||||
0.046% (d)(f) | 278,805 | $ | 278,805 | |||||
|
| |||||||
TOTAL INVESTMENTS - 97.5% | 511,109,585 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5% (g) | 13,227,367 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 524,336,952 | ||||||
|
|
† | Non income-producing security. |
(a) | Security fair valued at $0 as of June 30, 2013 using procedures approved by the Board of Trustees. |
(b) | All or a portion of the security on loan. The aggregate market value of such securities is $265,338; cash collateral of $278,805 was received with which the Fund purchased a money market fund. |
(c) | Represents less than 0.05 percent of net assets. |
(d) | Represents annualized seven-day yield as of June 30, 2013. |
(e) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation/depreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 50,703,484 | 9.7 | % | ||||
Consumer Staples | 61,307,588 | 11.6 | ||||||
Energy | 35,047,078 | 6.7 | ||||||
Financials | 106,661,107 | 20.3 | ||||||
Health Care | 69,397,179 | 13.2 | ||||||
Industrials | 44,961,102 | 8.6 | ||||||
Information Technology | 54,473,685 | 10.4 | ||||||
Materials | 25,745,467 | 4.9 | ||||||
Telecommunication Services | 17,280,792 | 3.3 | ||||||
Utilities | 11,390,447 | 2.2 | ||||||
Money Market Funds | 34,141,656 | 6.6 | ||||||
|
|
|
| |||||
Total Investments | 511,109,585 | 97.5 | ||||||
Other Assets in Excess of Liabilities (g) | 13,227,367 | 2.5 | ||||||
|
|
|
| |||||
Net Assets | $ | 524,336,952 | 100.0 | % | ||||
|
|
|
|
Total return swap contract outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION | |||||||||
The Royal Bank of Scotland | Swiss Market Index Futures | 9/20/2013 | CHF | (4,409,465) | $49,037 | |||||||||
|
|
Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
19 | Amsterdam Index Futures | July 19, 2013 | $1,735,719 | $1,705,474 | $(30,245) | |||||||||||
250 | CAC40 10 Euro Futures | July 19, 2013 | 12,503,462 | 12,152,529 | (350,933) | |||||||||||
55 | DAX Index Futures | September 20, 2013 | 14,689,333 | 14,258,193 | (431,140) | |||||||||||
223 | FTSE 100 Index Futures | September 20, 2013 | 21,440,225 | 20,898,073 | (542,152) | |||||||||||
51 | Hang Seng Index Futures | July 30, 2013 | 6,528,998 | 6,815,189 | 286,191 | |||||||||||
96 | IBEX 35 Index Futures | July 19, 2013 | 10,084,303 | 9,582,935 | (501,368) | |||||||||||
7 | MSCI Singapore Index Futures | July 30, 2013 | 382,253 | 390,343 | 8,090 | |||||||||||
49 | S&P 500 E-Mini Futures | September 20, 2013 | 3,970,032 | 3,918,285 | (51,747) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
8 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
162 | TOPIX Index Futures | September 12, 2013 | $17,996,733 | $18,473,685 | $476,952 | |||||||||||
|
|
|
|
|
| |||||||||||
89,331,058 | 88,194,706 | (1,136,352) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
48 | FTSE/MIB Index Futures | September 20, 2013 | (5,055,355) | (4,767,787) | 287,568 | |||||||||||
623 | OMXS30 Index Futures | July 19, 2013 | (11,091,227) | (10,685,880) | 405,347 | |||||||||||
123 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | (16,359,619) | (16,205,077) | 154,542 | |||||||||||
134 | SPI 200 Index Futures | September 19, 2013 | (14,681,670) | (14,610,987) | 70,683 | |||||||||||
|
|
|
|
|
| |||||||||||
(47,187,871) | (46,269,731) | 918,140 | ||||||||||||||
|
|
|
|
|
| |||||||||||
$42,143,187 | $41,924,975 | $(218,212) | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $9,142,825 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | 14,507,000 | $13,585,109 | $13,190,184 | $(394,925) | ||||||||||||||
Canadian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | CAD | 2,406,000 | 2,306,956 | 2,283,313 | (23,643) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 29,321,000 | 31,168,651 | 31,064,561 | (104,090) | ||||||||||||||
Danish Krone, Expiring 09/18/13 | The Royal Bank of Scotland | DKK | 7,619,000 | 1,361,700 | 1,330,789 | (30,911) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 18,145,000 | 24,207,689 | 23,626,750 | (580,939) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 499,000 | 782,908 | 758,553 | (24,355) | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | 5,410,000 | 697,194 | 697,733 | 539 | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | 4,218,000 | 1,157,337 | 1,157,513 | 176 | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | 3,050,413,000 | 30,999,919 | 30,767,768 | (232,151) | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | 173,396,000 | 29,677,162 | 28,464,625 | (1,212,537) | ||||||||||||||
New Zealand Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | NZD | 4,576,000 | 3,613,535 | 3,526,073 | (87,462) | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | 108,922,000 | 16,570,029 | 16,213,233 | (356,796) | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | 544,000 | 433,534 | 429,256 | (4,278) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$156,561,723 | $153,510,351 | $(3,051,372) | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 9 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | (12,761,000) | $(12,092,756) | $(11,602,670) | $490,086 | ||||||||||||||
Canadian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | CAD | (23,460,000) | (22,548,553) | (22,263,728) | 284,825 | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (22,647,000) | (24,154,399) | (23,993,695) | 160,704 | ||||||||||||||
Danish Krone, Expiring 09/18/13 | The Royal Bank of Scotland | DKK | (720,000) | (126,494) | (125,760) | 734 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (4,658,000) | (6,125,834) | (6,065,219) | 60,615 | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (15,496,000) | (23,840,084) | (23,556,197) | 283,887 | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | (522,000) | (67,268) | (67,323) | (55) | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | (305,000) | (83,776) | (83,699) | 77 | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | (578,506,000) | (5,955,253) | (5,835,059) | 120,194 | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | (82,807,000) | (13,952,097) | (13,593,567) | 358,530 | ||||||||||||||
New Zealand Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | NZD | (33,092,000) | (26,112,433) | (25,499,302) | 613,131 | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | (27,190,000) | (4,058,328) | (4,047,280) | 11,048 | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | (30,000) | (23,536) | (23,672) | (136) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(139,140,811) | (136,757,171) | 2,383,640 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$17,420,912 | $16,753,180 | $(667,732) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $970,092.
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. |
10 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
COMMON STOCKS - 87.6% | SHARES | VALUE (Note 2) | ||||||
Australia - 6.9% | ||||||||
Alumina Ltd. † | 85,028 | $ | 75,673 | |||||
Arrium Ltd. | 831,705 | 588,604 | ||||||
ASX Ltd. | 10,285 | 310,152 | ||||||
Australia & New Zealand Banking Group Ltd. | 148,683 | 3,859,715 | ||||||
BHP Billiton Ltd. | 200,049 | 5,757,975 | ||||||
Caltex Australia Ltd. | 17,704 | 291,199 | ||||||
CFS Retail Property Trust Group REIT | 103,020 | 187,823 | ||||||
Commonwealth Bank of Australia | 107,223 | 6,749,269 | ||||||
Computershare Ltd. | 15,439 | 144,756 | ||||||
CSL Ltd. | 46,664 | 2,621,422 | ||||||
Dexus Property Group REIT | 283,799 | 276,761 | ||||||
Downer EDI Ltd. | 433,086 | 1,412,072 | ||||||
Flight Centre Ltd. | 3,171 | 113,546 | ||||||
Fortescue Metals Group Ltd. | 71,153 | 195,873 | ||||||
Goodman Group REIT | 96,905 | 430,837 | ||||||
GPT Group REIT (3)†(a) | 143,427 | — | ||||||
GPT Group REIT | 79,625 | 279,589 | ||||||
Insurance Australia Group Ltd. | 101,172 | 502,187 | ||||||
JB Hi-Fi Ltd. | 10,196 | 156,190 | ||||||
Leighton Holdings Ltd. | 61,230 | 858,073 | ||||||
Lend Lease Group | 21,131 | 161,108 | ||||||
Macquarie Group Ltd. | 50,417 | 1,922,950 | ||||||
Mirvac Group REIT | 214,560 | 314,115 | ||||||
Myer Holdings Ltd. | 218,459 | 474,562 | ||||||
National Australia Bank Ltd. | 128,578 | 3,478,030 | ||||||
Newcrest Mining Ltd. | 41,734 | 385,255 | ||||||
OZ Minerals Ltd. | 11,735 | 44,041 | ||||||
Pacific Brands Ltd. | 148,976 | 95,433 | ||||||
Qantas Airways Ltd. † | 278,746 | 342,380 | ||||||
Rio Tinto Ltd. | 3,297 | 158,010 | ||||||
Sonic Healthcare Ltd. | 24,364 | 330,991 | ||||||
Stockland REIT | 127,919 | 407,021 | ||||||
Suncorp Group Ltd. | 166,755 | 1,811,141 | ||||||
Tabcorp Holdings Ltd. | 41,102 | 114,467 | ||||||
Telecom Corp of New Zealand Ltd. | 720,358 | 1,244,113 | ||||||
Telstra Corp. Ltd. | 808,296 | 3,514,045 | ||||||
Transfield Services Ltd. | 142,570 | 100,662 | ||||||
Wesfarmers Ltd. | 38,833 | 1,405,215 | ||||||
Westfield Group REIT | 128,208 | 1,342,803 | ||||||
Westfield Retail Trust REIT | 166,603 | 471,168 | ||||||
Westpac Banking Corp. | 192,446 | 5,052,648 | ||||||
Woodside Petroleum Ltd. | 22,161 | 705,781 | ||||||
Woolworths Ltd. | 99,879 | 2,992,041 | ||||||
|
| |||||||
51,679,696 | ||||||||
|
| |||||||
Belgium - 1.6% | ||||||||
Anheuser-Busch InBev NV | 88,424 | 7,961,097 | ||||||
Delhaize Group SA | 17,991 | 1,112,247 | ||||||
Groupe Bruxelles Lambert SA | 2,641 | 198,917 | ||||||
Solvay SA | 13,354 | 1,748,562 | ||||||
UCB SA | 19,228 | 1,032,175 | ||||||
|
| |||||||
12,052,998 | ||||||||
|
| |||||||
China - 0.0% (b) | ||||||||
Foxconn International Holdings Ltd. † | 406 | 219 | ||||||
|
|
SHARES | VALUE (Note 2) | |||||||
Denmark - 1.5% | ||||||||
Coloplast A/S, Class B | 72,130 | $ | 4,038,851 | |||||
Danske Bank A/S † | 31,768 | 541,929 | ||||||
DSV A/S | 27,819 | 677,674 | ||||||
Novo Nordisk A/S, Class B | 30,008 | 4,665,117 | ||||||
TDC A/S | 199,538 | 1,615,611 | ||||||
|
| |||||||
11,539,182 | ||||||||
|
| |||||||
Finland - 1.1% | ||||||||
Kone OYJ, Class B | 22,443 | 1,780,167 | ||||||
Metso OYJ | 152,331 | 5,159,894 | ||||||
Sampo OYJ, A Shares | 31,158 | 1,213,288 | ||||||
|
| |||||||
8,153,349 | ||||||||
|
| |||||||
France - 8.2% | ||||||||
Arkema SA | 9,104 | 834,522 | ||||||
AtoS | 22,659 | 1,683,976 | ||||||
AXA SA | 78,177 | 1,541,081 | ||||||
BNP Paribas SA | 44,081 | 2,413,217 | ||||||
Christian Dior SA | 5,059 | 817,299 | ||||||
Cie Generale des Etablissements Michelin | 72,913 | 6,519,587 | ||||||
Credit Agricole SA † | 59,088 | 508,561 | ||||||
Dassault Systemes SA | 8,002 | 978,062 | ||||||
European Aeronautic Defence and Space Co. NV | 126,706 | 6,778,870 | ||||||
Kering | 16,828 | 3,424,283 | ||||||
Klepierre REIT | 3,675 | 144,830 | ||||||
Publicis Groupe SA | 39,203 | 2,792,005 | ||||||
Remy Cointreau SA | 5,653 | 599,844 | ||||||
Renault SA | 23,098 | 1,555,824 | ||||||
Safran SA | 2,056 | 107,336 | ||||||
Sanofi | 81,981 | 8,475,245 | ||||||
SES SA FDR | 22,845 | 654,546 | ||||||
Societe BIC SA | 16,433 | 1,648,541 | ||||||
Societe Generale SA | 45,655 | 1,571,240 | ||||||
Sodexo | 19,090 | 1,589,433 | ||||||
Suez Environnement Co. | 95,423 | 1,233,294 | ||||||
Total SA | 186,489 | 9,108,720 | ||||||
Unibail-Rodamco SE REIT | 5,764 | 1,342,466 | ||||||
Vivendi SA | 253,443 | 4,803,156 | ||||||
|
| |||||||
61,125,938 | ||||||||
|
| |||||||
Germany - 7.2% | ||||||||
Adidas AG | 63,173 | 6,828,930 | ||||||
BASF SE | 54,079 | 4,823,500 | ||||||
Bayer AG | 39,394 | 4,194,305 | ||||||
Beiersdorf AG | 18,763 | 1,634,426 | ||||||
Continental AG | 38,664 | 5,154,264 | ||||||
Deutsche Bank AG | 146,433 | 6,140,353 | ||||||
Deutsche Boerse AG | 12,335 | 811,129 | ||||||
Deutsche Lufthansa AG † | 157,143 | 3,183,311 | ||||||
Deutsche Post AG | 186,112 | 4,618,936 | ||||||
GEA Group AG | 81,968 | 2,902,261 | ||||||
Hannover Rueckversicherung SE | 23,595 | 1,696,651 | ||||||
HeidelbergCement AG | 50,858 | 3,407,533 | ||||||
Merck KGaA | 47,577 | 7,235,504 | ||||||
Salzgitter AG | 30,161 | 992,606 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 11 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Germany - 7.2% (continued) | ||||||||
Suedzucker AG | 19,032 | $ | 589,219 | |||||
|
| |||||||
54,212,928 | ||||||||
|
| |||||||
Hong Kong - 2.7% | ||||||||
AIA Group Ltd. | 776,400 | 3,270,974 | ||||||
ASM Pacific Technology Ltd. | 6,404 | 70,302 | ||||||
BOC Hong Kong Holdings Ltd. | 53 | 162 | ||||||
Cheung Kong Holdings Ltd. | 55,278 | 745,392 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 25,827 | 172,095 | ||||||
CLP Holdings Ltd. | 75,009 | 606,360 | ||||||
First Pacific Co., Ltd. | 104,000 | 111,175 | ||||||
Galaxy Entertainment Group Ltd. † | 150,000 | 728,615 | ||||||
Hang Lung Group Ltd. | 276 | 1,478 | ||||||
Hang Seng Bank Ltd. | 93,535 | 1,377,454 | ||||||
Henderson Land Development Co. Ltd. | 174,900 | 1,038,710 | ||||||
HKT Trust/HKT Ltd. | 694 | 663 | ||||||
Hong Kong & China Gas Co., Ltd. | 480,260 | 1,171,862 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 61,954 | 930,511 | ||||||
Hopewell Holdings Ltd. | 29,500 | 97,909 | ||||||
Hutchison Whampoa Ltd. | 78,832 | 824,761 | ||||||
Hysan Development Co., Ltd. | 117,000 | 505,105 | ||||||
Kerry Properties Ltd. | 36,000 | 140,344 | ||||||
Li & Fung Ltd. | 1,336 | 1,821 | ||||||
Link REIT/The REIT | 134,882 | 661,957 | ||||||
Mongolia Energy Corp. Ltd. † | 406 | 12 | ||||||
MTR Corp. Ltd. | 34,500 | 126,781 | ||||||
New World Development Co., Ltd. | 202,896 | 278,694 | ||||||
NWS Holdings Ltd. | 89,000 | 136,445 | ||||||
Orient Overseas International Ltd. | 36,000 | 230,601 | ||||||
PCCW Ltd. | 131,000 | 61,139 | ||||||
Power Assets Holdings Ltd. | 11,000 | 94,688 | ||||||
Shanghai Industrial Urban Development Group Ltd. † | 8 | 2 | ||||||
Sino Land Co., Ltd. | 734,000 | 1,026,260 | ||||||
SJM Holdings Ltd. | 492,000 | 1,193,992 | ||||||
Sun Hung Kai Properties Ltd. | 45,046 | 578,483 | ||||||
Swire Pacific Ltd., Class A | 38,030 | 458,196 | ||||||
Swire Properties Ltd. | 71 | 209 | ||||||
Television Broadcasts Ltd. | 403 | 2,758 | ||||||
Wharf Holdings Ltd. | 162,243 | 1,354,148 | ||||||
Wheelock & Co., Ltd. | 174,621 | 871,247 | ||||||
Wing Hang Bank Ltd. | 7,000 | 62,611 | ||||||
Wynn Macau Ltd. | 204,400 | 549,790 | ||||||
Yue Yuen Industrial Holdings Ltd. | 259,609 | 670,901 | ||||||
|
| |||||||
20,154,607 | ||||||||
|
| |||||||
Ireland - 0.0% (b) | ||||||||
James Hardie Industries PLC CDI | 14,326 | 123,016 | ||||||
|
| |||||||
Italy - 1.4% | ||||||||
Assicurazioni Generali SpA | 52,361 | 915,254 | ||||||
Enel SpA | 334,175 | 1,048,631 | ||||||
Eni SpA | 4,906 | 100,691 | ||||||
Fiat Industrial SpA | 278,683 | 3,102,264 | ||||||
Intesa Sanpaolo SpA | 450,059 | 720,338 | ||||||
Prysmian SpA | 190,332 | 3,550,626 |
SHARES | VALUE (Note 2) | |||||||
Italy - 1.4% (continued) | ||||||||
UniCredit SpA | 181,238 | $ | 847,267 | |||||
|
| |||||||
10,285,071 | ||||||||
|
| |||||||
Japan - 20.2% | ||||||||
Aisin Seiki Co., Ltd. | 12,600 | 481,098 | ||||||
Ajinomoto Co., Inc. | 160,000 | 2,347,082 | ||||||
Alfresa Holdings Corp. | 14,500 | 776,404 | ||||||
Asahi Glass Co., Ltd. | 413 | 2,677 | ||||||
Astellas Pharma, Inc. | 55,900 | 3,036,718 | ||||||
Azbil Corp. | 37 | 794 | ||||||
Brother Industries Ltd. | 98,500 | 1,105,273 | ||||||
Canon, Inc. | 33,815 | 1,108,229 | ||||||
Central Japan Railway Co. | 28,100 | 3,424,829 | ||||||
Chiyoda Corp. | 153,000 | 1,804,454 | ||||||
Chubu Electric Power Co., Inc. | 138,197 | 1,957,562 | ||||||
Chugai Pharmaceutical Co., Ltd. | 52,200 | 1,080,505 | ||||||
Credit Saison Co., Ltd. | 12 | 301 | ||||||
Daicel Corp. | 193,000 | 1,686,813 | ||||||
Daiichi Sankyo Co., Ltd. | 62,300 | 1,038,217 | ||||||
Daito Trust Construction Co., Ltd. | 3,987 | 375,654 | ||||||
Daiwa House Industry Co., Ltd. | 17,295 | 322,155 | ||||||
Daiwa Securities Group, Inc. | 87,000 | 728,618 | ||||||
Denki Kagaku Kogyo KK | 137,000 | 495,924 | ||||||
East Japan Railway Co. | 50,313 | 3,915,989 | ||||||
FamilyMart Co., Ltd. | 7,200 | 307,213 | ||||||
Fuji Electric Co., Ltd. | 669,000 | 2,352,255 | ||||||
Fuji Heavy Industries Ltd. | 144,721 | 3,573,774 | ||||||
FUJIFILM Holdings Corp. | 43 | 946 | ||||||
Fujitsu Ltd. | 38,000 | 157,206 | ||||||
Fukuoka Financial Group, Inc. | 266,046 | 1,131,538 | ||||||
Hino Motors Ltd. | 149,000 | 2,186,415 | ||||||
Hitachi Ltd. | 298,000 | 1,909,435 | ||||||
Honda Motor Co., Ltd. | 33,697 | 1,251,824 | ||||||
IHI Corp. | 722,000 | 2,731,701 | ||||||
Isuzu Motors Ltd. | 126,000 | 861,330 | ||||||
ITOCHU Corp. | 38,144 | 441,093 | ||||||
J Front Retailing Co., Ltd. | 76,000 | 606,075 | ||||||
Japan Real Estate Investment Corp. REIT | 40 | 446,830 | ||||||
Japan Retail Fund Investment Corp. REIT | 93 | 194,291 | ||||||
Japan Tobacco, Inc. | 115,600 | 4,080,397 | ||||||
JFE Holdings, Inc. | 18,500 | 405,297 | ||||||
JGC Corp. | 98,000 | 3,529,221 | ||||||
JSR Corp. | 16,400 | 331,832 | ||||||
JTEKT Corp. | 70 | 785 | ||||||
JX Holdings, Inc. | 95 | 459 | ||||||
Kaneka Corp. | 625 | 4,121 | ||||||
Kansai Electric Power Co., Inc./The † | 31,732 | 434,357 | ||||||
Kao Corp. | 27,985 | 952,652 | ||||||
Keisei Electric Railway Co., Ltd. | 100,000 | 936,864 | ||||||
Kinden Corp. | 564 | 4,853 | ||||||
Kirin Holdings Co., Ltd. | 23,000 | 360,279 | ||||||
Koito Manufacturing Co., Ltd. | 133,000 | 2,535,368 | ||||||
Komatsu Ltd. | 38 | 875 | ||||||
Konica Minolta, Inc. | 303,000 | 2,280,597 | ||||||
Marubeni Corp. | 974 | 6,510 | ||||||
Mazda Motor Corp. † | 353,000 | 1,395,563 | ||||||
Medipal Holdings Corp. | 111,500 | 1,511,685 | ||||||
Miraca Holdings, Inc. | 6 | 276 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
12 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 20.2% (continued) | ||||||||
Mitsubishi Chemical Holdings Corp. | 68,500 | $ | 321,039 | |||||
Mitsubishi Estate Co., Ltd. | 77,020 | 2,050,571 | ||||||
Mitsubishi Heavy Industries, Ltd. | 580,000 | 3,224,544 | ||||||
Mitsubishi Logistics Corp. | 8,000 | 111,632 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 876,691 | 5,414,329 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 267,300 | 1,268,215 | ||||||
Mitsui & Co., Ltd. | 175,943 | 2,206,362 | ||||||
Mitsui Fudosan Co., Ltd. | 51,205 | 1,505,429 | ||||||
Mitsumi Electric Co., Ltd. † | 89 | 619 | ||||||
Mizuho Financial Group, Inc. | 1,476,910 | 3,067,089 | ||||||
MS&AD Insurance Group Holdings | 61,400 | 1,555,274 | ||||||
Namco Bandai Holdings, Inc. | 116,600 | 1,889,789 | ||||||
NEC Corp. | 721,000 | 1,578,885 | ||||||
Nippon Building Fund, Inc. REIT | 42 | 486,423 | ||||||
Nippon Steel & Sumitomo Metal | 405 | 1,091 | ||||||
Nippon Telegraph & Telephone Corp. | 19,019 | 991,287 | ||||||
Nishi-Nippon City Bank Ltd./The | 737 | 1,922 | ||||||
Nisshin Seifun Group, Inc. | 20,084 | 240,664 | ||||||
Nitto Denko Corp. | 83 | 5,323 | ||||||
Nomura Holdings, Inc. | 191,200 | 1,407,379 | ||||||
Nomura Real Estate Holdings, Inc. | 8,000 | 176,718 | ||||||
NSK Ltd. | 80,000 | 763,188 | ||||||
NTT DOCOMO, Inc. | 1,108 | 1,723,721 | ||||||
Obayashi Corp. | 100,000 | 518,510 | ||||||
Omron Corp. | 29,600 | 882,465 | ||||||
ORIX Corp. | 59,390 | 810,479 | ||||||
Osaka Gas Co., Ltd. | 389,802 | 1,645,903 | ||||||
Otsuka Holdings Co., Ltd. | 23,600 | 779,247 | ||||||
Panasonic Corp. † | 50,500 | 406,629 | ||||||
Rengo Co., Ltd. | 299 | 1,435 | ||||||
Resona Holdings, Inc. | 556,400 | 2,709,777 | ||||||
Seino Holdings Co., Ltd. | 837 | 7,346 | ||||||
Sekisui Chemical Co., Ltd. | 144,000 | 1,529,067 | ||||||
Sekisui House Ltd. | 32,000 | 462,352 | ||||||
Seven & I Holdings Co., Ltd. | 106,239 | 3,890,828 | ||||||
Sharp Corp. † | 245 | 986 | ||||||
Shimamura Co., Ltd. | 6,400 | 776,910 | ||||||
Shinsei Bank Ltd. | 288,000 | 654,005 | ||||||
Shionogi & Co., Ltd. | 124,900 | 2,604,590 | ||||||
Softbank Corp. | 63,800 | 3,713,795 | ||||||
Sojitz Corp. | 609,162 | 1,010,706 | ||||||
Sony Corp. | 71 | 1,500 | ||||||
Sumitomo Corp. | 47,200 | 588,282 | ||||||
Sumitomo Heavy Industries Ltd. | 161,000 | 676,059 | ||||||
Sumitomo Metal Mining Co., Ltd. | 140,000 | 1,559,414 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 133,436 | 6,107,773 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 11,341 | 52,915 | ||||||
Sumitomo Realty & Development Co., Ltd. | 20,261 | 807,484 | ||||||
Suzuken Co., Ltd. | 28,700 | 965,903 | ||||||
Suzuki Motor Corp. | 97,200 | 2,240,492 | ||||||
T&D Holdings, Inc. | 112,300 | 1,502,189 | ||||||
Taisei Corp. | 568,000 | 2,050,467 | ||||||
Takashimaya Co., Ltd. | 91,000 | 922,314 | ||||||
Takeda Pharmaceutical Co., Ltd. | 5,981 | 269,707 | ||||||
Toho Co., Ltd. | 4,000 | 82,272 | ||||||
Tohoku Electric Power Co., Inc. † | 15,700 | 196,029 |
SHARES | VALUE (Note 2) | |||||||
Japan - 20.2% (continued) | ||||||||
Tokai Rika Co., Ltd. | 99 | $ | 1,972 | |||||
Tokio Marine Holdings, Inc. | 20,300 | 640,566 | ||||||
Tokyo Electric Power Co., Inc † | 62,373 | 321,992 | ||||||
Tokyo Gas Co., Ltd. | 178,071 | 982,427 | ||||||
Tokyu Land Corp. | 26,483 | 242,424 | ||||||
Toyo Seikan Kaisha Ltd. | 28,400 | 437,157 | ||||||
Toyo Suisan Kaisha Ltd. | 11,000 | 366,000 | ||||||
Toyota Boshoku Corp. | 104,500 | 1,502,572 | ||||||
Toyota Motor Corp. | 119,378 | 7,200,624 | ||||||
Toyota Tsusho Corp. | 38,500 | 989,947 | ||||||
USS Co., Ltd. | 13,174 | 1,670,133 | ||||||
West Japan Railway Co. | 48,900 | 2,073,863 | ||||||
Yahoo Japan Corp. | 3,641 | 1,792,883 | ||||||
Yamaha Corp. | 4,900 | 56,142 | ||||||
|
| |||||||
151,311,238 | ||||||||
|
| |||||||
Luxembourg - 0.1% | ||||||||
Millicom International Cellular SA SDR | 8,418 | 606,284 | ||||||
|
| |||||||
Netherlands - 3.5% | ||||||||
Aegon NV | 429,566 | 2,881,984 | ||||||
Corio NV REIT | 2,205 | 87,755 | ||||||
Gemalto NV | 36,693 | 3,322,286 | ||||||
ING Groep NV CVA † | 247,726 | 2,263,991 | ||||||
Koninklijke Ahold NV | 339,927 | 5,055,722 | ||||||
Koninklijke Philips NV | 361,391 | 9,851,922 | ||||||
Unilever NV CVA | 75,159 | 2,958,583 | ||||||
|
| |||||||
26,422,243 | ||||||||
|
| |||||||
New Zealand - 0.1% | ||||||||
Fletcher Building Ltd. | 125,778 | 818,043 | ||||||
|
| |||||||
Singapore - 1.4% | ||||||||
Ascendas Real Estate Investment Trust REIT | 121,637 | 213,167 | ||||||
CapitaCommercial Trust REIT (c) | 111,000 | 128,050 | ||||||
CapitaLand Ltd. | 74,000 | 178,783 | ||||||
CapitaMall Trust REIT | 116,994 | 183,589 | ||||||
ComfortDelGro Corp. Ltd. | 495,000 | 711,369 | ||||||
DBS Group Holdings Ltd. | 82,128 | 999,325 | ||||||
Global Logistic Properties Ltd. | 89,000 | 192,513 | ||||||
Golden Agri-Resources Ltd. | 44,000 | 19,370 | ||||||
Hutchison Port Holdings Trust, Class U | 253,000 | 185,272 | ||||||
Jardine Cycle & Carriage Ltd. | 66 | 2,207 | ||||||
Keppel Corp. Ltd. | 95,728 | 782,992 | ||||||
Keppel Land Ltd. | 336,000 | 883,558 | ||||||
Keppel REIT | 17,145 | 17,478 | ||||||
Noble Group Ltd. | 933,000 | 709,579 | ||||||
Olam International Ltd. | 355,000 | 456,947 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 173,479 | 1,363,742 | ||||||
Sembcorp Industries Ltd. | 48,017 | 186,810 | ||||||
Singapore Airlines Ltd. | 11,000 | 87,801 | ||||||
Singapore Exchange Ltd. | 40,472 | 223,705 | ||||||
Singapore Technologies Engineering Ltd. | 91,265 | 300,641 | ||||||
Singapore Telecommunications Ltd. | 485,524 | 1,438,033 | ||||||
StarHub Ltd. | 23,988 | 78,872 | ||||||
United Overseas Bank Ltd. | 73,097 | 1,141,491 | ||||||
UOL Group Ltd. | 18,000 | 95,155 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 13 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Singapore - 1.4% (continued) | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. (c) | 319 | $ | 208 | |||||
|
| |||||||
10,580,657 | ||||||||
|
| |||||||
Spain - 2.4% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 307,779 | 2,586,533 | ||||||
Banco Santander SA | 625,818 | 4,004,765 | ||||||
Distribuidora Internacional de Alimentacion SA | 366,093 | 2,765,567 | ||||||
Enagas SA | 53,884 | 1,331,801 | ||||||
Ferrovial SA | 154,595 | 2,468,115 | ||||||
Gas Natural SDG SA | 169,065 | 3,406,248 | ||||||
Iberdrola SA | 244,898 | 1,294,189 | ||||||
|
| |||||||
17,857,218 | ||||||||
|
| |||||||
Sweden - 2.9% | ||||||||
Electrolux AB, Series B | 307,833 | 7,768,099 | ||||||
Investor AB, B Shares | 19,364 | 519,746 | ||||||
Nordea Bank AB | 207,665 | 2,319,051 | ||||||
Scania AB, B Shares | 48,897 | 978,278 | ||||||
SKF AB, B Shares | 40,839 | 956,741 | ||||||
Svenska Cellulosa AB, B Shares | 164,814 | 4,133,327 | ||||||
Swedish Match AB | 130,080 | 4,617,129 | ||||||
TeliaSonera AB | 90,089 | 587,085 | ||||||
|
| |||||||
21,879,456 | ||||||||
|
| |||||||
Switzerland - 8.7% | ||||||||
Adecco SA † | 60,012 | 3,417,800 | ||||||
Aryzta AG † | 7,955 | 446,541 | ||||||
Compagnie Financiere Richemont SA, Class A | 553 | 48,768 | ||||||
Givaudan SA † | 2,919 | 3,761,350 | ||||||
Nestle SA | 176,041 | 11,551,881 | ||||||
Novartis AG | 129,652 | 9,183,322 | ||||||
Roche Holding AG | 70,900 | 17,597,192 | ||||||
Schindler Holding AG | 9,488 | 1,320,144 | ||||||
STMicroelectronics NV | 446,786 | 4,015,200 | ||||||
Sulzer AG | 11,721 | 1,871,645 | ||||||
Syngenta AG | 11,356 | 4,428,372 | ||||||
Transocean Ltd. | 11,824 | 567,754 | ||||||
Wolseley PLC | 120,561 | 5,562,631 | ||||||
Zurich Insurance Group AG † | 6,339 | 1,643,127 | ||||||
|
| |||||||
65,415,727 | ||||||||
|
| |||||||
United Kingdom - 17.7% | ||||||||
AMEC PLC | 39,348 | 601,796 | ||||||
Antofagasta PLC | 119,972 | 1,453,712 | ||||||
ARM Holdings PLC | 227,752 | 2,755,134 | ||||||
Associated British Foods PLC | 146,586 | 3,866,950 | ||||||
AstraZeneca PLC | 171,603 | 8,113,193 | ||||||
Aviva PLC | 280,251 | 1,444,455 | ||||||
Babcock International Group PLC | 48,590 | 815,870 | ||||||
BAE Systems PLC | 442,521 | 2,577,015 | ||||||
Barclays PLC | 2,236,606 | 9,525,135 | ||||||
BHP Billiton PLC | 107,199 | 2,733,343 | ||||||
British American Tobacco PLC | 148,481 | 7,615,529 | ||||||
British Land Co. PLC REIT | 29,205 | 251,589 | ||||||
British Sky Broadcasting Group PLC | 210,761 | 2,539,027 | ||||||
BT Group PLC | 1,511,481 | 7,096,030 |
SHARES | VALUE (Note 2) | |||||||
United Kingdom - 17.7% (continued) | ||||||||
Centrica PLC | 198,410 | $ | 1,085,246 | |||||
Experian PLC | 97,933 | 1,702,053 | ||||||
GKN PLC | 159,668 | 730,864 | ||||||
GlaxoSmithKline PLC | 156,645 | 3,915,535 | ||||||
Glencore Xstrata PLC | 525,750 | 2,176,333 | ||||||
Hammerson PLC REIT | 28,872 | 214,077 | ||||||
HSBC Holdings PLC | 1,273,881 | 13,187,407 | ||||||
Imperial Tobacco Group PLC | 107,121 | 3,714,380 | ||||||
Investec PLC | 16,924 | 106,505 | ||||||
ITV PLC | 1,842,919 | 3,929,206 | ||||||
J Sainsbury PLC | 140,391 | 758,792 | ||||||
Johnson Matthey PLC | 37,338 | 1,491,838 | ||||||
Kazakhmys PLC | 317,087 | 1,251,579 | ||||||
Kingfisher PLC | 133,348 | 695,252 | ||||||
Land Securities Group PLC REIT | 51,528 | 692,059 | ||||||
Legal & General Group PLC | 1,238,241 | 3,227,293 | ||||||
Lloyds Banking Group PLC † | 2,358,746 | 2,265,133 | ||||||
National Grid PLC | 42,987 | 487,285 | ||||||
Next PLC | 57,753 | 4,000,563 | ||||||
Randgold Resources Ltd. | 3,761 | 238,321 | ||||||
Reckitt Benckiser Group PLC | 45,801 | 3,239,804 | ||||||
Reed Elsevier PLC | 49,673 | 564,890 | ||||||
Rio Tinto PLC | 65,621 | 2,668,738 | ||||||
Royal Bank of Scotland Group PLC † | 333,629 | 1,384,487 | ||||||
Royal Dutch Shell PLC, A Shares | 220,771 | 7,052,312 | ||||||
Royal Dutch Shell PLC, B Shares | 114,217 | 3,782,747 | ||||||
RSA Insurance Group PLC | 1,325,063 | 2,403,923 | ||||||
Sage Group PLC/The | 56,052 | 289,690 | ||||||
Segro PLC REIT | 49,428 | 209,688 | ||||||
Smith & Nephew PLC | 245,173 | 2,745,904 | ||||||
Tate & Lyle PLC | 124,842 | 1,566,352 | ||||||
TUI Travel PLC | 469,786 | 2,547,075 | ||||||
Tullow Oil PLC | 33,537 | 510,528 | ||||||
Unilever PLC | 67,483 | 2,731,860 | ||||||
Vodafone Group PLC | 1,171,928 | 3,358,368 | ||||||
|
| |||||||
132,314,865 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 656,532,735 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.4% | ||||||||
Germany - 1.4% | ||||||||
Henkel AG & Co. KGaA | 50,844 | 4,774,749 | ||||||
Porsche Automobil Holding SE | 52,860 | 4,081,988 | ||||||
ProSiebenSat.1 Media AG † | 30,763 | 1,319,434 | ||||||
Volkswagen AG | 229 | 46,254 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 10,222,425 | |||||||
|
| |||||||
RIGHTS - 0.0% (b) | ||||||||
Australia - 0.0% (b) | ||||||||
ASX Ltd. † | 1,082 | 3,078 | ||||||
|
| |||||||
Hong Kong - 0.0% (b) | ||||||||
New World Development Co., Ltd. (3)†(a) | 2,536 | — | ||||||
|
| |||||||
TOTAL RIGHTS | 3,078 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
14 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
MONEY MARKET FUNDS - 6.8% | SHARES | VALUE (Note 2) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, | ||||||||
0.000% (d)(e) | 50,840,755 | $ | 50,840,755 | |||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.0% (b) | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (d)(f) | 60,848 | 60,848 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 95.8% | 717,659,841 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2% (g) | 31,817,251 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 749,477,092 | ||||||
|
|
† | Non income-producing security. |
(a) | Security fair valued at $0 as of June 30, 2013 using procedures approved by the Board of Trustees. |
(b) | Represents less than 0.05 percent of net assets. |
(c) | All or a portion of the security on loan. The aggregate market value of such securities is $55,655; cash collateral of $60,848 was received with which the Fund purchased a money market fund. |
(d) | Represents annualized seven-day yield as of June 30, 2013. |
(e) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
REIT - Real Estate Investment Trust
SDR - Swedish Depository Receipt
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 91,160,659 | 12.2 | % | ||||
Consumer Staples | 89,112,685 | 11.9 | ||||||
Energy | 22,721,998 | 3.0 | ||||||
Financials | 152,079,638 | 20.3 | ||||||
Health Care | 86,212,008 | 11.5 | ||||||
Industrials | 107,685,878 | 14.4 | ||||||
Information Technology | 24,076,956 | 3.2 | ||||||
Materials | 45,406,244 | 6.1 | ||||||
Telecommunication Services | 30,832,203 | 4.1 | ||||||
Utilities | 17,469,969 | 2.3 | ||||||
Money Market Funds | 50,901,603 | 6.8 | ||||||
|
|
|
| |||||
Total Investments | 717,659,841 | 95.8 | ||||||
Other Assets in Excess of Liabilities (g) | 31,817,251 | 4.2 | ||||||
|
|
|
| |||||
Net Assets | $ | 749,477,092 | 100.0 | % | ||||
|
|
|
|
Total return swap contract outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
The Royal Bank of Scotland | Swiss Market Index Futures | 9/20/2013 | CHF | (14,852,936) | $165,178 | |||||||||
|
|
Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
481 | CAC40 10 Euro Futures | July 19, 2013 | $24,056,747 | $23,381,468 | $(675,279) | |||||||||||
84 | DAX Index Futures | September 20, 2013 | 22,410,685 | 21,776,148 | (634,537) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 15 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
315 | FTSE 100 Index Futures | September 20, 2013 | $30,288,458 | $29,519,700 | $(768,758) | |||||||||||
73 | Hang Seng Index Futures | July 30, 2013 | 9,345,690 | 9,755,075 | 409,385 | |||||||||||
151 | IBEX 35 Index Futures | July 19, 2013 | 15,861,823 | 15,073,157 | (788,666) | |||||||||||
30 | MSCI Singapore Index Futures | July 30, 2013 | 1,636,383 | 1,672,900 | 36,517 | |||||||||||
398 | TOPIX Index Futures | September 12, 2013 | 44,205,881 | 45,385,965 | 1,180,084 | |||||||||||
|
|
|
|
|
| |||||||||||
147,805,667 | 146,564,413 | (1,241,254) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
16 | Amsterdam Index Futures | July 19, 2013 | (1,394,613) | (1,436,189) | (41,576) | |||||||||||
85 | FTSE/MIB Index Futures | September 20, 2013 | (8,952,192) | (8,442,957) | 509,235 | |||||||||||
1,122 | OMXS30 Index Futures | July 19, 2013 | (19,975,011) | (19,244,874) | 730,137 | |||||||||||
406 | SPI 200 Index Futures | September 19, 2013 | (44,462,708) | (44,269,110) | 193,598 | |||||||||||
|
|
|
|
|
| |||||||||||
(74,784,524) | (73,393,130) | 1,391,394 | ||||||||||||||
|
|
|
|
|
| |||||||||||
$73,021,143 | $73,171,283 | $150,140 | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $15,264,703 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | 19,131,000 | $17,741,919 | $17,394,458 | $(347,461) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 51,686,000 | 54,665,099 | 54,759,487 | 94,388 | ||||||||||||||
Danish Krone, Expiring 09/18/13 | The Royal Bank of Scotland | DKK | 2,189,000 | 385,584 | 382,346 | (3,238) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 39,586,400 | 52,515,221 | 51,545,767 | (969,454) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 5,550,000 | 8,566,757 | 8,436,816 | (129,941) | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | 20,080,000 | 2,587,685 | 2,589,738 | 2,053 | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | 14,611,000 | 4,008,973 | 4,009,583 | 610 | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | 6,111,130,800 | 61,793,112 | 61,639,475 | (153,637) | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | 367,462,000 | 62,892,047 | 60,322,430 | (2,569,617) | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | 120,503,000 | 18,313,357 | 17,937,086 | (376,271) | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | 2,272,300 | 1,813,700 | 1,793,012 | (20,688) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$285,283,454 | $280,810,198 | $(4,473,256) | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
16 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | (41,196,900) | $(38,931,668) | $(37,457,413) | $1,474,255 | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (52,717,800) | (56,185,406) | (55,852,642) | 332,764 | ||||||||||||||
Danish Krone, Expiring 09/18/13 | The Royal Bank of Scotland | DKK | (19,893,000) | (3,546,125) | (3,474,653) | 71,472 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (10,660,000) | (13,849,977) | (13,880,471) | (30,494) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (29,889,700) | (46,167,221) | (45,436,737) | 730,484 | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | (3,786,000) | (487,907) | (488,284) | (377) | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | (1,250,000) | (342,845) | (343,028) | (183) | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | (1,052,540,000) | (10,809,093) | (10,616,368) | 192,725 | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | (272,346,000) | (46,486,667) | (44,708,221) | 1,778,446 | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | (6,694,000) | (1,016,430) | (996,414) | 20,016 | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | (243,000) | (191,544) | (191,745) | (201) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(218,014,883) | (213,445,976) | 4,568,907 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$67,268,571 | $67,364,222 | $95,651 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $1,040,063.
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 17 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR EMERGING DEFENSIVE EQUITY FUND |
COMMON STOCKS - 93.8% | SHARES | VALUE (Note 2) | ||||||
Brazil - 12.9% | ||||||||
ALL - America Latina Logistica SA (1) | 1,300 | $ | 5,529 | |||||
CCR SA (1) | 13,900 | 110,697 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (1) | 1,181 | 53,688 | ||||||
Cia de Bebidas das Americas ADR (1) | 3,461 | 129,268 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | 2,642 | 27,503 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 8,863 | 79,501 | ||||||
Cia Hering (1) | 1,199 | 16,932 | ||||||
Cia Paranaense de Energia ADR (1) | 1,118 | 13,886 | ||||||
Cielo SA (1) | 240 | 6,017 | ||||||
CPFL Energia SA ADR (1) | 4,084 | 74,696 | ||||||
Diagnosticos da America SA (1) | 4,600 | 23,873 | ||||||
EcoRodovias Infraestrutura e Logistica SA (1) | 6,600 | 46,172 | ||||||
EDP - Energias do Brasil SA (1) | 26,100 | 131,357 | ||||||
Light SA (1) | 6,100 | 42,428 | ||||||
Localiza Rent a Car SA (1) | 2,310 | 32,672 | ||||||
Lojas Renner SA (1) | 900 | 25,778 | ||||||
Natura Cosmeticos SA (1) | 4,800 | 104,998 | ||||||
Souza Cruz SA (1) | 11,500 | 142,091 | ||||||
Telefonica Brasil SA ADR (1) | 2,735 | 62,413 | ||||||
Tim Participacoes SA ADR (1) | 1,544 | 28,718 | ||||||
Tractebel Energia SA (1) | 6,000 | 93,280 | ||||||
|
| |||||||
1,251,497 | ||||||||
|
| |||||||
Chile - 5.4% | ||||||||
Banco Santander Chile ADR (1) | 4,593 | 112,299 | ||||||
Cencosud SA (1) | 27,375 | 136,323 | ||||||
Enersis SA ADR (1) | 8,647 | 141,465 | ||||||
SACI Falabella (1) | 8,654 | 93,685 | ||||||
Sociedad Quimica y Minera de Chile SA ADR (1) | 978 | 39,511 | ||||||
|
| |||||||
523,283 | ||||||||
|
| |||||||
China - 2.4% | ||||||||
China Petroleum & Chemical Corp. ADR (1) | 135 | 12,353 | ||||||
PetroChina Co., Ltd. ADR (1) | 376 | 41,612 | ||||||
Sun Art Retail Group Ltd. | 32,500 | 46,874 | ||||||
Tencent Holdings Ltd. | 200 | 7,809 | ||||||
Tsingtao Brewery Co. Ltd., H Shares † | 12,000 | 85,510 | ||||||
Want Want China Holdings Ltd. | 5,000 | 7,008 | ||||||
ZHuzhou CSR Times Electric Co., Ltd., H Shares (a) | 10,000 | 25,046 | ||||||
Zijin Mining Group Co. Ltd., H Shares | 62,000 | 11,089 | ||||||
|
| |||||||
237,301 | ||||||||
|
| |||||||
Hong Kong - 1.8% | ||||||||
Belle International Holdings Ltd. | 40,000 | 54,683 | ||||||
China Mengniu Dairy Co., Ltd. | 8,000 | 28,557 | ||||||
China Merchants Holdings International Co. Ltd. | 4,000 | 12,373 | ||||||
China Mobile Ltd. ADR (1) | 432 | 22,365 | ||||||
China Resources Power Holdings Co. Ltd. | 2,000 | 4,779 | ||||||
China Unicom Hong Kong Ltd. ADR (1) | 1,261 | 16,570 | ||||||
GOME Electrical Appliances Holding Ltd. † | 425,000 | 38,090 | ||||||
|
| |||||||
177,417 | ||||||||
|
|
SHARES | VALUE (Note 2) | |||||||
India - 0.4% | ||||||||
Dr Reddy’s Laboratories Ltd. ADR (1)† | 893 | $ | 33,773 | |||||
|
| |||||||
Indonesia - 5.2% | ||||||||
Bank Central Asia Tbk PT | 84,500 | 84,709 | ||||||
Bank Mandiri Persero Tbk PT | 35,500 | 32,019 | ||||||
Bank Negara Indonesia Persero Tbk PT | 17,000 | 7,317 | ||||||
Gudang Garam Tbk PT | 13,000 | 66,094 | ||||||
Indo Tambangraya Megah Tbk PT | 20,500 | 57,917 | ||||||
Perusahaan Gas Negara Persero Tbk PT | 132,500 | 76,597 | ||||||
Semen Indonesia Persero Tbk PT | 49,500 | 85,016 | ||||||
Telekomunikasi Indonesia Persero Tbk PT ADR (1) | 2,139 | 91,421 | ||||||
|
| |||||||
501,090 | ||||||||
|
| |||||||
Korea, Republic of - 11.9% | ||||||||
Amorepacific Corp. | 42 | 33,648 | ||||||
Cheil Industries, Inc. | 1,105 | 86,296 | ||||||
Daelim Industrial Co., Ltd. | 270 | 20,352 | ||||||
Daewoo International Corp. | 530 | 16,304 | ||||||
E-Mart Co., Ltd. | 61 | 10,713 | ||||||
Hyundai Department Store Co., Ltd. | 195 | 25,517 | ||||||
Hyundai Glovis Co. Ltd. | 457 | 77,273 | ||||||
Hyundai Mobis | 106 | 25,236 | ||||||
Hyundai Wia Corp. | 34 | 5,026 | ||||||
Kangwon Land, Inc. | 2,870 | 79,093 | ||||||
Kia Motors Corp. | 486 | 26,245 | ||||||
Korea Aerospace Industries Ltd. | 640 | 17,044 | ||||||
KT Corp. ADR (1) | 4,821 | 74,822 | ||||||
KT&G Corp. | 1,256 | 81,497 | ||||||
LG Chem Ltd. | 160 | 35,235 | ||||||
LG Display Co. Ltd. † | 1,630 | 38,891 | ||||||
LG Household & Health Care Ltd. | 92 | 44,813 | ||||||
LG Uplus Corp. † | 6,880 | 71,935 | ||||||
Lotte Shopping Co., Ltd. | 174 | 53,893 | ||||||
NHN Corp. | 190 | 48,238 | ||||||
Orion Corp. | 10 | 8,332 | ||||||
POSCO ADR (1) | 133 | 8,656 | ||||||
Samsung C&T Corp. | 181 | 8,494 | ||||||
Samsung Electro-Mechanics Co. Ltd. | 466 | 35,374 | ||||||
Samsung Electronics Co. Ltd. GDR | 132 | 77,555 | ||||||
Samsung Engineering Co., Ltd. | 118 | 7,599 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 25 | 5,091 | ||||||
Samsung Life Insurance Co., Ltd. | 329 | 31,053 | ||||||
Samsung Techwin Co. Ltd. | 122 | 6,932 | ||||||
SK Telecom Co., Ltd. ADR (1) | 4,728 | 96,120 | ||||||
|
| |||||||
1,157,277 | ||||||||
|
| |||||||
Malaysia - 14.2% | ||||||||
AMMB Holdings Bhd | 49,000 | 113,588 | ||||||
Axiata Group Bhd | 45,100 | 94,455 | ||||||
CIMB Group Holdings Bhd | 42,600 | 111,051 | ||||||
DiGi.Com Bhd | 74,600 | 112,197 | ||||||
Kuala Lumpur Kepong Bhd | 7,000 | 48,073 | ||||||
Malayan Banking Bhd | 40,700 | 133,530 | ||||||
Maxis Bhd | 63,000 | 136,939 | ||||||
Petronas Chemicals Group Bhd | 44,800 | 93,816 | ||||||
Public Bank Bhd | 11,800 | 63,600 | ||||||
Sime Darby Bhd | 43,800 | 132,438 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
18 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR EMERGING DEFENSIVE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Malaysia - 14.2% (continued) | ||||||||
Telekom Malaysia Bhd | 74,200 | $ | 126,782 | |||||
Tenaga Nasional Bhd | 52,100 | 136,707 | ||||||
UMW Holdings Bhd | 16,800 | 77,421 | ||||||
|
| |||||||
1,380,597 | ||||||||
|
| |||||||
Mexico - 3.9% | ||||||||
Alfa SAB de CV, Class A (1) | 16,400 | 39,540 | ||||||
America Movil SAB de CV, Series L ADR (1) | 1,876 | 40,803 | ||||||
Coca-Cola Femsa SAB de CV ADR (1) | 852 | 119,527 | ||||||
Grupo Televisa SAB ADR (1) | 2,109 | 52,387 | ||||||
Wal-Mart de Mexico SAB de CV, Series V (1) | 46,300 | 130,352 | ||||||
|
| |||||||
382,609 | ||||||||
|
| |||||||
Poland - 2.1% | ||||||||
Bank Pekao SA | 350 | 15,797 | ||||||
PGE SA | 14,248 | 66,003 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA † | 4,297 | 46,031 | ||||||
Powszechny Zaklad Ubezpieczen SA | 555 | 68,383 | ||||||
Telekomunikacja Polska SA | 4,729 | 10,850 | ||||||
|
| |||||||
207,064 | ||||||||
|
| |||||||
Russia - 2.9% | ||||||||
Lukoil OAO ADR | 949 | 54,710 | ||||||
Magnit OJSC GDR | 1,485 | 84,773 | ||||||
MMC Norilsk Nickel OJSC ADR | 3,815 | 54,822 | ||||||
Mobile Telesystems OJSC ADR (1) | 1,800 | 34,092 | ||||||
Rosneft OAO GDR | 3,017 | 20,936 | ||||||
Tatneft OAO ADR | 751 | 27,274 | ||||||
|
| |||||||
276,607 | ||||||||
|
| |||||||
South Africa - 14.7% | ||||||||
ABSA Group Ltd. | 2,086 | 31,303 | ||||||
AngloGold Ashanti Ltd. ADR (1) | 1,044 | 14,929 | ||||||
Aspen Pharmacare Holdings Ltd. † | 4,372 | 100,503 | ||||||
Bidvest Group Ltd. | 3,210 | 79,531 | ||||||
FirstRand Ltd. | 23,167 | 67,791 | ||||||
Gold Fields Ltd. ADR (1) | 2,932 | 15,393 | ||||||
Impala Platinum Holdings Ltd. | 2,514 | 23,677 | ||||||
Kumba Iron Ore Ltd. | 1,210 | 56,468 | ||||||
Life Healthcare Group Holdings Ltd. | 30,071 | 114,055 | ||||||
Mr Price Group Ltd. | 4,933 | 67,240 | ||||||
MTN Group Ltd. | 1,934 | 35,971 | ||||||
Naspers Ltd., N Shares | 576 | 42,516 | ||||||
Nedbank Group Ltd. | 5,864 | 104,097 | ||||||
Remgro Ltd. | 5,512 | 105,887 | ||||||
Sanlam Ltd. | 11,228 | 52,180 | ||||||
Sasol Ltd. ADR (1) | 399 | 17,281 | ||||||
Shoprite Holdings Ltd. | 4,431 | 83,234 | ||||||
Standard Bank Group Ltd. | 9,662 | 108,878 | ||||||
Steinhoff International Holdings Ltd. † | 3,829 | 9,496 | ||||||
Tiger Brands Ltd. | 2,899 | 86,565 | ||||||
Vodacom Group Ltd. | 6,765 | 71,790 | ||||||
Woolworths Holdings Ltd. | 20,835 | 135,806 | ||||||
|
| |||||||
1,424,591 | ||||||||
|
| |||||||
Taiwan - 9.1% | ||||||||
Acer, Inc. † | 13,000 | 9,241 |
SHARES | VALUE (Note 2) | |||||||
Taiwan - 9.1% (continued) | ||||||||
Cheng UEI Precision Industry Co., Ltd. | 6,059 | $ | 11,892 | |||||
China Petrochemical Development Corp. | 400 | 203 | ||||||
China Steel Corp. | 32,480 | 26,555 | ||||||
Chunghwa Telecom Co., Ltd. ADR (1) | 1,963 | 63,032 | ||||||
Compal Electronics, Inc. | 10,000 | 5,591 | ||||||
Evergreen Marine Corp. Taiwan Ltd. † | 39,000 | 21,244 | ||||||
Everlight Electronics Co. Ltd. | 5,000 | 8,158 | ||||||
Far Eastern Department Stores Co. Ltd. | 24,000 | 22,717 | ||||||
Far EasTone Telecommunications Co. Ltd. | 32,000 | 85,763 | ||||||
Foxconn Technology Co., Ltd. | 25,350 | 61,014 | ||||||
Hon Hai Precision Industry Co., Ltd. | 23,000 | 56,213 | ||||||
HTC Corp. | 7,000 | 55,461 | ||||||
Kinsus Interconnect Technology Corp. | 2,000 | 7,558 | ||||||
Largan Precision Co. Ltd. | 1,000 | 31,729 | ||||||
Powertech Technology, Inc. | 10,000 | 18,660 | ||||||
Radiant Opto-Electronics Corp. | 2,000 | 6,523 | ||||||
Realtek Semiconductor Corp. | 24,200 | 56,988 | ||||||
Richtek Technology Corp. | 6,000 | 26,481 | ||||||
Taiwan Mobile Co. Ltd. | 35,000 | 137,888 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | 2,756 | 50,490 | ||||||
Uni-President Enterprises Corp. | 44,890 | 87,260 | ||||||
Wistron Corp. | 32,650 | 32,921 | ||||||
|
| |||||||
883,582 | ||||||||
|
| |||||||
Thailand - 4.1% | ||||||||
Advanced Info Service PCL NVDR | 12,300 | 111,196 | ||||||
Bangkok Bank PCL NVDR | 1,500 | 9,792 | ||||||
CP ALL PCL NVDR | 111,000 | 139,050 | ||||||
PTT Global Chemical PCL NVDR | 27,200 | 60,054 | ||||||
PTT PCL NVDR | 6,900 | 74,201 | ||||||
|
| |||||||
394,293 | ||||||||
|
| |||||||
Turkey - 2.8% | ||||||||
Akbank TAS | 1,415 | 5,758 | ||||||
KOC Holding AS | 14,620 | 70,062 | ||||||
Turk Hava Yollari | 5,773 | 22,430 | ||||||
Turk Telekomunikasyon AS | 34,460 | 133,372 | ||||||
Turkcell Iletisim Hizmetleri AS † | 6,092 | 35,045 | ||||||
Turkiye Garanti Bankasi AS | 1,356 | 5,911 | ||||||
|
| |||||||
272,578 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 9,103,559 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.9% | ||||||||
Brazil - 0.9% | ||||||||
Eletropaulo Metropolitana Eletricidade de Sao Paulo SA (1) | 22,000 | 62,509 | ||||||
Lojas Americanas SA (1) | 3,100 | 21,673 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 84,182 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 2.7% | ||||||||
iShares MSCI Emerging Markets Index Fund (1) | 6,660 | 256,876 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 19 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR EMERGING DEFENSIVE EQUITY FUND |
MONEY MARKET FUNDS - 0.5% | SHARES | VALUE (Note 2) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b) | ||||||||
(cost $51,468) | 51,468 | $ | 51,468 | |||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.0% (c) | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (b)(d) | 14 | 14 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 97.9% | 9,496,099 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.1% | 205,668 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 9,701,767 | ||||||
|
|
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $13; cash collateral of $14 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of June 30, 2013. |
(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. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 873,436 | 9.0 | % | ||||
Consumer Staples | 1,758,249 | 18.2 | ||||||
Energy | 306,283 | 3.2 | ||||||
Exchange Traded Fund | 256,876 | 2.6 | ||||||
Financials | 1,316,065 | 13.6 | ||||||
Health Care | 272,203 | 2.8 | ||||||
Industrials | 751,730 | 7.7 | ||||||
Information Technology | 652,805 | 6.7 | ||||||
Materials | 611,720 | 6.3 | ||||||
Telecommunication Services | 1,694,539 | 17.5 | ||||||
Utilities | 950,711 | 9.8 | ||||||
Money Market Funds | 51,482 | 0.5 | ||||||
|
|
|
| |||||
Total Investments | 9,496,099 | 97.9 | ||||||
Other Assets in Excess of Liabilities | 205,668 | 2.1 | ||||||
|
|
|
| |||||
Net Assets | $ | 9,701,767 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
20 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
COMMON STOCKS - 90.2% | SHARES | VALUE (Note 2) | ||||||
Australia - 14.2% | ||||||||
AGL Energy Ltd. | 5,895 | $ | 78,003 | |||||
ALS Ltd. | 3,310 | 28,815 | ||||||
Amcor Ltd. | 9,198 | 85,007 | ||||||
APA Group | 5,819 | 31,888 | ||||||
ASX Ltd. | 1,218 | 36,730 | ||||||
Aurizon Holdings Ltd. | 11,536 | 43,820 | ||||||
BHP Billiton Ltd. | 415 | 11,945 | ||||||
Boral Ltd. | 5,945 | 22,748 | ||||||
Brambles Ltd. | 6,373 | 54,286 | ||||||
Caltex Australia Ltd. | 598 | 9,836 | ||||||
Coca-Cola Amatil Ltd. | 9,511 | 110,195 | ||||||
Cochlear Ltd. | 1,440 | 80,818 | ||||||
Commonwealth Bank of Australia | 549 | 34,557 | ||||||
Computershare Ltd. | 222 | 2,081 | ||||||
Crown Ltd. | 2,043 | 22,522 | ||||||
CSL Ltd. | 1,387 | 77,917 | ||||||
Echo Entertainment Group Ltd. | 1,519 | 4,258 | ||||||
Incitec Pivot Ltd. | 8,038 | 20,928 | ||||||
Insurance Australia Group Ltd. | 1,888 | 9,371 | ||||||
Metcash Ltd. (a) | 44,154 | 141,646 | ||||||
Newcrest Mining Ltd. | 400 | 3,692 | ||||||
Orica Ltd. | 1,996 | 37,626 | ||||||
Sonic Healthcare Ltd. | 5,409 | 73,483 | ||||||
Sydney Airport | 13,241 | 40,857 | ||||||
Tabcorp Holdings Ltd. | 12,534 | 34,906 | ||||||
Tatts Group Ltd. | 39,633 | 114,487 | ||||||
Telstra Corp. Ltd. | 43,272 | 188,124 | ||||||
Transurban Group | 14,114 | 87,161 | ||||||
Wesfarmers Ltd. | 3,711 | 134,287 | ||||||
Woodside Petroleum Ltd. | 2,544 | 81,021 | ||||||
Woolworths Ltd. | 6,248 | 187,169 | ||||||
WorleyParsons Ltd. | 1,932 | 34,226 | ||||||
|
| |||||||
1,924,410 | ||||||||
|
| |||||||
Belgium - 0.6% | ||||||||
Belgacom SA | 2,756 | 61,707 | ||||||
Delhaize Group SA | 167 | 10,325 | ||||||
Umicore SA | 225 | 9,343 | ||||||
|
| |||||||
81,375 | ||||||||
|
| |||||||
Canada - 15.4% | ||||||||
Agnico Eagle Mines Ltd. (1) | 129 | 3,557 | ||||||
Bank of Montreal (1) | 2,003 | 116,177 | ||||||
Bank of Nova Scotia (1) | 2,114 | 113,007 | ||||||
Barrick Gold Corp. (1) | 833 | 13,148 | ||||||
BCE, Inc. (1) | 4,369 | 179,130 | ||||||
Canadian Imperial Bank of Commerce (1) | 1,183 | 83,959 | ||||||
Canadian National Railway Co. (1) | 686 | 66,793 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 188 | 14,154 | ||||||
Eldorado Gold Corp. (1) | 4,901 | 30,337 | ||||||
Enbridge, Inc. (1) | 1,084 | 45,568 | ||||||
Franco-Nevada Corp. (1) | 2,055 | 73,567 | ||||||
Goldcorp, Inc. (1) | 1,369 | 34,000 | ||||||
IAMGOLD Corp. (1) | 11,147 | 46,848 | ||||||
Imperial Oil Ltd. (1) | 1,884 | 71,924 | ||||||
Intact Financial Corp. (1) | 2,081 | 117,238 | ||||||
Kinross Gold Corp. (1) | 1,836 | 9,410 | ||||||
Loblaw Cos., Ltd. (1) | 1,796 | 81,202 |
SHARES | VALUE (Note 2) | |||||||
Canada - 15.4% (continued) | ||||||||
Metro, Inc. (1) | 874 | $ | 58,571 | |||||
National Bank of Canada (1) | 1,273 | 90,830 | ||||||
Pembina Pipeline Corp. (1) | 1,360 | 41,613 | ||||||
Penn West Petroleum Ltd. (1) | 744 | 7,852 | ||||||
Potash Corp of Saskatchewan, Inc. (1) | 1,140 | 43,488 | ||||||
Rogers Communications, Inc., Class B (1) | 803 | 31,457 | ||||||
Royal Bank of Canada (1) | 802 | 46,731 | ||||||
Shaw Communications, Inc., Class B (1) | 1,604 | 38,495 | ||||||
Shoppers Drug Mart Corp. (1) | 4,337 | 200,087 | ||||||
Silver Wheaton Corp. (1) | 2,452 | 48,051 | ||||||
Tim Hortons, Inc. (1) | 3,123 | 168,904 | ||||||
Toronto-Dominion Bank/The (1) | 1,099 | 88,269 | ||||||
TransCanada Corp. (1) | 1,324 | 57,004 | ||||||
Yamana Gold, Inc. (1) | 7,565 | 72,147 | ||||||
|
| |||||||
2,093,518 | ||||||||
|
| |||||||
Colombia - 0.2% | ||||||||
Pacific Rubiales Energy Corp. (1) | 1,356 | 23,814 | ||||||
|
| |||||||
Denmark - 1.7% | ||||||||
Coloplast A/S, Class B | 2,247 | 125,819 | ||||||
Novo Nordisk A/S, Class B | 624 | 97,009 | ||||||
Novozymes A/S, B Shares | 182 | 5,829 | ||||||
|
| |||||||
228,657 | ||||||||
|
| |||||||
Finland - 0.1% | ||||||||
Kone OYJ, Class B | 261 | 20,702 | ||||||
|
| |||||||
France - 3.4% | ||||||||
Air Liquide SA | 34 | 4,199 | ||||||
Danone SA | 1,745 | 131,343 | ||||||
Dassault Systemes SA | 382 | 46,691 | ||||||
Essilor International SA | 579 | 61,685 | ||||||
Iliad SA | 58 | 12,531 | ||||||
L’Oreal SA | 592 | 97,316 | ||||||
Pernod-Ricard SA | 245 | 27,193 | ||||||
SES SA FDR | 361 | 10,343 | ||||||
Sodexo | 341 | 28,392 | ||||||
Total SA | 809 | 39,514 | ||||||
|
| |||||||
459,207 | ||||||||
|
| |||||||
Germany - 3.0% | ||||||||
Adidas AG | 562 | 60,752 | ||||||
Bayer AG | 541 | 57,601 | ||||||
Beiersdorf AG | 1,747 | 152,179 | ||||||
Fresenius Medical Care AG & Co. KGaA | 462 | 32,747 | ||||||
Fresenius SE & Co. KGaA | 159 | 19,570 | ||||||
Merck KGaA | 117 | 17,793 | ||||||
Metro AG | 1,044 | 32,988 | ||||||
SAP AG | 434 | 31,692 | ||||||
|
| |||||||
405,322 | ||||||||
|
| |||||||
Hong Kong - 3.3% | ||||||||
CLP Holdings Ltd. | 16,500 | 133,383 | ||||||
Hang Seng Bank Ltd. | 6,000 | 88,359 | ||||||
Hong Kong & China Gas Co., Ltd. | 31,900 | 77,838 | ||||||
Power Assets Holdings Ltd. | 9,500 | 81,776 | ||||||
SJM Holdings Ltd. | 22,000 | 53,390 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 21 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Hong Kong - 3.3% (continued) | ||||||||
Wynn Macau Ltd. | 4,800 | $ | 12,911 | |||||
|
| |||||||
447,657 | ||||||||
|
| |||||||
Italy - 0.4% | ||||||||
Luxottica Group SpA | 1,070 | 54,137 | ||||||
|
| |||||||
Japan - 19.8% | ||||||||
Aeon Co., Ltd. | 200 | 2,628 | ||||||
Ajinomoto Co., Inc. | 2,000 | 29,339 | ||||||
Asahi Group Holdings Ltd. | 1,400 | 34,680 | ||||||
Astellas Pharma, Inc. | 1,300 | 70,621 | ||||||
Bank of Yokohama Ltd./The | 2,000 | 10,317 | ||||||
Brother Industries Ltd. | 4,700 | 52,739 | ||||||
Canon, Inc. | 1,000 | 32,773 | ||||||
Central Japan Railway Co. | 500 | 60,940 | ||||||
Chiba Bank Ltd./The | 4,000 | 27,292 | ||||||
Chugai Pharmaceutical Co., Ltd. | 5,700 | 117,986 | ||||||
Dai Nippon Printing Co., Ltd. | 1,000 | 9,125 | ||||||
Daiichi Sankyo Co., Ltd. | 1,800 | 29,997 | ||||||
Dentsu, Inc. | 300 | 10,378 | ||||||
East Japan Railway Co. | 300 | 23,350 | ||||||
Eisai Co., Ltd. | 800 | 32,603 | ||||||
FamilyMart Co., Ltd. | 1,100 | 46,935 | ||||||
Fast Retailing Co., Ltd. | 200 | 67,501 | ||||||
Fujitsu Ltd. | 1,000 | 4,137 | ||||||
Hoya Corp. | 3,100 | 63,761 | ||||||
Inpex Corp. | 3 | 12,469 | ||||||
Japan Tobacco, Inc. | 500 | 17,649 | ||||||
JSR Corp. | 400 | 8,094 | ||||||
JX Holdings, Inc. | 1,100 | 5,311 | ||||||
Kao Corp. | 2,600 | 88,508 | ||||||
Kawasaki Kisen Kaisha Ltd. | 20,000 | 40,655 | ||||||
KDDI Corp. | 600 | 31,244 | ||||||
Konica Minolta, Inc. | 1,500 | 11,290 | ||||||
Lawson, Inc. | 700 | 53,417 | ||||||
Mitsubishi Tanabe Pharma Corp. | 300 | 3,882 | ||||||
Namco Bandai Holdings, Inc. | 3,500 | 56,726 | ||||||
Nippon Express Co., Ltd. | 12,000 | 56,983 | ||||||
Nippon Meat Packers, Inc. | 1,000 | 15,296 | ||||||
Nippon Yusen KK | 3,000 | 7,938 | ||||||
Nitori Holdings Co., Ltd. | 150 | 12,076 | ||||||
NTT DOCOMO, Inc. | 111 | 172,683 | ||||||
Odakyu Electric Railway Co., Ltd. | 2,000 | 19,531 | ||||||
Omron Corp. | 1,400 | 41,738 | ||||||
Oriental Land Co., Ltd. | 200 | 30,951 | ||||||
Osaka Gas Co., Ltd. | 29,000 | 122,450 | ||||||
Otsuka Holdings Co., Ltd. | 3,900 | 128,774 | ||||||
Secom Co., Ltd. | 1,400 | 76,119 | ||||||
Seiko Epson Corp. | 1,700 | 23,219 | ||||||
Sekisui Chemical Co., Ltd. | 2,000 | 21,237 | ||||||
Seven & I Holdings Co., Ltd. | 2,600 | 95,221 | ||||||
Shimamura Co., Ltd. | 800 | 97,114 | ||||||
Shionogi & Co., Ltd. | 500 | 10,427 | ||||||
Shiseido Co., Ltd. | 600 | 8,927 | ||||||
Shizuoka Bank Ltd./The | 4,000 | 43,143 | ||||||
Softbank Corp. | 400 | 23,284 | ||||||
Suzuki Motor Corp. | 900 | 20,745 | ||||||
Sysmex Corp. | 200 | 13,099 |
SHARES | VALUE (Note 2) | |||||||
Japan - 19.8% (continued) | ||||||||
Takeda Pharmaceutical Co., Ltd. | 1,000 | $ | 45,094 | |||||
Tokyo Gas Co., Ltd. | 22,000 | 121,375 | ||||||
Toppan Printing Co., Ltd. | 1,000 | 6,937 | ||||||
Toyo Suisan Kaisha Ltd. | 3,000 | 99,818 | ||||||
Trend Micro, Inc. | 1,100 | 34,972 | ||||||
Unicharm Corp. | 1,300 | 73,526 | ||||||
West Japan Railway Co. | 800 | 33,928 | ||||||
Yamato Holdings Co., Ltd. | 6,800 | 143,210 | ||||||
Yaskawa Electric Corp. | 2,000 | 24,273 | ||||||
|
| |||||||
2,680,435 | ||||||||
|
| |||||||
Netherlands - 2.0% | ||||||||
Gemalto NV | 55 | 4,980 | ||||||
Koninklijke Ahold NV | 8,935 | 132,890 | ||||||
Koninklijke KPN NV | 10,195 | 21,153 | ||||||
TNT Express NV | 909 | 6,810 | ||||||
Unilever NV CVA | 2,695 | 106,087 | ||||||
|
| |||||||
271,920 | ||||||||
|
| |||||||
Norway - 1.4% | ||||||||
Orkla ASA | 1,139 | 9,326 | ||||||
Statoil ASA | 3,407 | 70,382 | ||||||
Telenor ASA | 5,723 | 113,676 | ||||||
|
| |||||||
193,384 | ||||||||
|
| |||||||
Singapore - 1.8% | ||||||||
DBS Group Holdings Ltd. | 2,000 | 24,336 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 4,000 | 31,444 | ||||||
Singapore Telecommunications Ltd. | 45,000 | 133,282 | ||||||
United Overseas Bank Ltd. | 1,000 | 15,616 | ||||||
Wilmar International Ltd. | 15,000 | 37,099 | ||||||
|
| |||||||
241,777 | ||||||||
|
| |||||||
Spain - 0.7% | ||||||||
Inditex SA | 572 | 70,554 | ||||||
Telefonica SA | 2,233 | 28,728 | ||||||
|
| |||||||
99,282 | ||||||||
|
| |||||||
Sweden - 2.5% | ||||||||
Boliden AB | 555 | 6,879 | ||||||
Elekta AB, B Shares | 1,214 | 18,451 | ||||||
Hennes & Mauritz AB, B Shares | 4,809 | 158,223 | ||||||
Svenska Cellulosa AB, B Shares | 159 | 3,988 | ||||||
Swedish Match AB | 2,406 | 85,400 | ||||||
Tele2 AB, B Shares | 5,900 | 69,263 | ||||||
|
| |||||||
342,204 | ||||||||
|
| |||||||
Switzerland - 4.4% | ||||||||
Kuehne + Nagel International AG | 663 | 72,741 | ||||||
Nestle SA | 2,800 | 183,737 | ||||||
Novartis AG | 1,851 | 131,108 | ||||||
Roche Holding AG | 214 | 53,114 | ||||||
SGS SA | 25 | 53,673 | ||||||
Swisscom AG | 200 | 87,554 | ||||||
Syngenta AG | 36 | 14,039 | ||||||
|
| |||||||
595,966 | ||||||||
|
| |||||||
United Kingdom - 15.2% | ||||||||
Associated British Foods PLC | 5,574 | 147,043 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
22 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
United Kingdom - 15.2% (continued) | ||||||||
AstraZeneca PLC | 3,690 | $ | 174,459 | |||||
British American Tobacco PLC | 1,932 | 99,091 | ||||||
British Sky Broadcasting Group PLC | 2,167 | 26,106 | ||||||
Burberry Group PLC | 821 | 16,890 | ||||||
Centrica PLC | 32,720 | 178,969 | ||||||
Compass Group PLC | 8,622 | 110,168 | ||||||
Diageo PLC | 396 | 11,356 | ||||||
Experian PLC | 561 | 9,750 | ||||||
Fresnillo PLC | 267 | 3,605 | ||||||
GlaxoSmithKline PLC | 3,098 | 77,438 | ||||||
Imperial Tobacco Group PLC | 641 | 22,226 | ||||||
J Sainsbury PLC | 3,512 | 18,982 | ||||||
Marks & Spencer Group PLC | 4,636 | 30,334 | ||||||
National Grid PLC | 12,140 | 137,614 | ||||||
Next PLC | 481 | 33,319 | ||||||
Pearson PLC | 795 | 14,139 | ||||||
Randgold Resources Ltd. | 287 | 18,186 | ||||||
Reckitt Benckiser Group PLC | 2,625 | 185,683 | ||||||
Rexam PLC | 2,732 | 19,827 | ||||||
Royal Dutch Shell PLC, B Shares | 1,403 | 46,466 | ||||||
SABMiller PLC | 307 | 14,719 | ||||||
Sage Group PLC/The | 3,363 | 17,382 | ||||||
Shire PLC | 3,247 | 102,898 | ||||||
Smith & Nephew PLC | 6,745 | 75,543 | ||||||
SSE PLC | 7,454 | 172,617 | ||||||
Tesco PLC | 1,004 | 5,056 | ||||||
Unilever PLC | 2,832 | 114,646 | ||||||
United Utilities Group PLC | 552 | 5,743 | ||||||
Vodafone Group PLC | 15,558 | 44,584 | ||||||
Whitbread PLC | 854 | 39,728 | ||||||
WM Morrison Supermarkets PLC | 20,831 | 82,917 | ||||||
|
| |||||||
2,057,484 | ||||||||
|
| |||||||
United States - 0.1% | ||||||||
Thomson Reuters Corp. (1) | 569 | 18,568 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 12,239,819 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.5% | ||||||||
Germany - 0.5% | ||||||||
Henkel AG & Co. KGaA | 800 | 75,128 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 6.9% | ||||||||
iShares MSCI EAFE Index Fund (1) | 16,239 | 931,794 | ||||||
|
| |||||||
RIGHTS - 0.0% (b) | ||||||||
Australia - 0.0% (b) | ||||||||
ASX Ltd. † | 128 | 364 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 1.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, | ||||||||
0.000% (c) | 253,631 | 253,631 | ||||||
|
|
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.3% | SHARES | VALUE (Note 2) | ||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (c)(d) | 42,618 | $ | 42,618 | |||||
|
| |||||||
TOTAL INVESTMENTS - 99.8% | 13,543,354 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% | 23,925 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 13,567,279 | ||||||
|
|
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $39,802; cash collateral of $42,618 was received with which the Fund purchased a money market fund. In accordance with the fund’s security lending standards and guidelines, additional collateral was subsequently received the next business day. |
(b) | Represents less than 0.05 percent of net assets. |
(c) | Represents annualized seven-day yield as of June 30, 2013. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 1,452,407 | 10.7 | % | ||||
Consumer Staples | 3,265,818 | 24.1 | ||||||
Energy | 547,000 | 4.0 | ||||||
Financials | 977,740 | 7.2 | ||||||
Health Care | 1,735,765 | 12.8 | ||||||
Industrials | 964,124 | 7.1 | ||||||
Information Technology | 391,729 | 2.9 | ||||||
Materials | 640,671 | 4.7 | ||||||
Mutual Fund | 931,794 | 6.9 | ||||||
Telecommunication Services | 1,198,401 | 8.8 | ||||||
Utilities | 1,141,656 | 8.4 | ||||||
Money Market Funds | 296,249 | 2.2 | ||||||
|
|
|
| |||||
Total Investments | 13,543,354 | 99.8 | ||||||
Other Assets in Excess of Liabilities | 23,925 | 0.2 | ||||||
|
|
|
| |||||
Net Assets | $ | 13,567,279 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 23 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR U.S. DEFENSIVE EQUITY FUND |
COMMON STOCKS - 89.6% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 9.5% | ||||||||
Advance Auto Parts, Inc. | 108 | $ | 8,766 | |||||
Amazon.com, Inc. † | 827 | 229,650 | ||||||
Apollo Group, Inc., Class A † | 1,911 | 33,863 | ||||||
AutoZone, Inc. † | 368 | 155,918 | ||||||
Bed Bath & Beyond, Inc. † | 580 | 41,122 | ||||||
Big Lots, Inc. † | 1,436 | 45,277 | ||||||
Buckle, Inc./The | 542 | 28,195 | ||||||
Carnival Corp. | 521 | 17,865 | ||||||
Chipotle Mexican Grill, Inc. † | 118 | 42,993 | ||||||
Dollar Tree, Inc. † | 483 | 24,556 | ||||||
Family Dollar Stores, Inc. | 887 | 55,269 | ||||||
Genuine Parts Co. | 72 | 5,621 | ||||||
Home Depot, Inc./The | 475 | 36,798 | ||||||
McDonald’s Corp. | 3,006 | 297,594 | ||||||
NIKE, Inc., Class B | 158 | 10,061 | ||||||
O’Reilly Automotive, Inc. † | 353 | 39,755 | ||||||
Panera Bread Co., Class A † | 524 | 97,432 | ||||||
PetSmart, Inc. | 1,480 | 99,145 | ||||||
priceline.com, Inc. † | 157 | 129,859 | ||||||
Scripps Networks Interactive, Inc., Class A | 408 | 27,238 | ||||||
Starbucks Corp. | 1,547 | 101,313 | ||||||
Target Corp. | 2,081 | 143,298 | ||||||
Time Warner, Inc. | 96 | 5,551 | ||||||
TJX Cos., Inc. | 2,309 | 115,588 | ||||||
Tractor Supply Co. | 1,098 | 129,136 | ||||||
Tupperware Brands Corp. | 843 | 65,493 | ||||||
Viacom, Inc., Class B | 413 | 28,105 | ||||||
Yum! Brands, Inc. | 364 | 25,240 | ||||||
|
| |||||||
2,040,701 | ||||||||
|
| |||||||
Consumer Staples - 21.2% | ||||||||
Altria Group, Inc. | 8,011 | 280,305 | ||||||
Archer-Daniels-Midland Co. | 1,384 | 46,931 | ||||||
Brown-Forman Corp., Class B | 2,087 | 140,977 | ||||||
Campbell Soup Co. (a) | 176 | 7,883 | ||||||
Church & Dwight Co., Inc. | 3,156 | 194,757 | ||||||
Clorox Co./The | 1,137 | 94,530 | ||||||
Coca-Cola Co./The | 2,311 | 92,694 | ||||||
Colgate-Palmolive Co. | 4,894 | 280,377 | ||||||
Costco Wholesale Corp. | 2,608 | 288,367 | ||||||
CVS Caremark Corp. | 919 | 52,548 | ||||||
Estee Lauder Cos., Inc./The, Class A | 656 | 43,145 | ||||||
General Mills, Inc. | 2,152 | 104,437 | ||||||
Hershey Co./The | 3,114 | 278,018 | ||||||
Hormel Foods Corp. | 504 | 19,444 | ||||||
JM Smucker Co./The | 185 | 19,083 | ||||||
Kellogg Co. | 1,486 | 95,446 | ||||||
Kimberly-Clark Corp. | 2,770 | 269,078 | ||||||
Kroger Co./The | 2,101 | 72,568 | ||||||
Lorillard, Inc. | 2,187 | 95,528 | ||||||
McCormick & Co., Inc. (a) | 2,686 | 188,987 | ||||||
Monster Beverage Corp. † | 1,053 | 63,991 | ||||||
PepsiCo, Inc. | 3,593 | 293,871 | ||||||
Philip Morris International, Inc. | 3,158 | 273,546 | ||||||
Procter & Gamble Co./The | 3,690 | 284,093 | ||||||
Reynolds American, Inc. | 6,010 | 290,704 | ||||||
Sysco Corp. | 4,012 | 137,050 | ||||||
Walgreen Co. | 1,661 | 73,416 |
SHARES | VALUE (Note 2) | |||||||
Consumer Staples - 21.2% (continued) | ||||||||
Wal-Mart Stores, Inc. | 3,859 | $ | 287,457 | |||||
Whole Foods Market, Inc. | 3,462 | 178,224 | ||||||
|
| |||||||
4,547,455 | ||||||||
|
| |||||||
Energy - 1.1% | ||||||||
CARBO Ceramics, Inc. | 58 | 3,911 | ||||||
Chevron Corp. | 497 | 58,815 | ||||||
Exxon Mobil Corp. | 1,105 | 99,837 | ||||||
Spectra Energy Corp. | 1,818 | 62,648 | ||||||
|
| |||||||
225,211 | ||||||||
|
| |||||||
Financials - 9.9% | ||||||||
ACE Ltd. (Switzerland) | 1,318 | 117,935 | ||||||
Aon PLC (United Kingdom) | 654 | 42,085 | ||||||
Bank of Hawaii Corp. | 2,249 | 113,170 | ||||||
Chubb Corp./The | 3,327 | 281,630 | ||||||
City National Corp. | 862 | 54,625 | ||||||
Cullen/Frost Bankers, Inc. (a) | 3,159 | 210,926 | ||||||
Everest Re Group Ltd. | 1,730 | 221,890 | ||||||
M&T Bank Corp. (a) | 1,257 | 140,470 | ||||||
Marsh & McLennan Cos., Inc. | 1,829 | 73,014 | ||||||
New York Community Bancorp, Inc. (a) | 6,158 | 86,212 | ||||||
Northern Trust Corp. | 1,683 | 97,446 | ||||||
People’s United Financial, Inc. | 19,104 | 284,650 | ||||||
Progressive Corp./The | 1,165 | 29,614 | ||||||
SVB Financial Group † | 133 | 11,081 | ||||||
Travelers Cos., Inc./The | 2,142 | 171,189 | ||||||
US Bancorp | 2,877 | 104,003 | ||||||
WR Berkley Corp. | 1,699 | 69,421 | ||||||
|
| |||||||
2,109,361 | ||||||||
|
| |||||||
Health Care - 15.0% | ||||||||
Abbott Laboratories | 2,958 | 103,175 | ||||||
Aetna, Inc. | 676 | 42,953 | ||||||
Alexion Pharmaceuticals, Inc. † | 395 | 36,435 | ||||||
Allergan, Inc. | 1,340 | 112,882 | ||||||
AmerisourceBergen Corp. | 2,046 | 114,228 | ||||||
Amgen, Inc. | 318 | 31,374 | ||||||
Baxter International, Inc. | 182 | 12,607 | ||||||
Becton Dickinson and Co. | 1,136 | 112,271 | ||||||
Biogen Idec, Inc. † | 436 | 93,827 | ||||||
Bristol-Myers Squibb Co. | 2,757 | 123,210 | ||||||
Cardinal Health, Inc. | 377 | 17,794 | ||||||
Celgene Corp. † | 346 | 40,451 | ||||||
Cerner Corp. † | 411 | 39,493 | ||||||
Covance, Inc. †(a) | 66 | 5,025 | ||||||
CR Bard, Inc. | 990 | 107,593 | ||||||
DENTSPLY International, Inc. | 704 | 28,836 | ||||||
Edwards Lifesciences Corp. † | 629 | 42,269 | ||||||
Eli Lilly & Co. | 3,701 | 181,793 | ||||||
Forest Laboratories, Inc. † | 4,455 | 182,655 | ||||||
Henry Schein, Inc. †(a) | 475 | 45,481 | ||||||
Humana, Inc. | 333 | 28,099 | ||||||
IDEXX Laboratories, Inc. † | 1,506 | 135,209 | ||||||
Johnson & Johnson | 3,394 | 291,409 | ||||||
Laboratory Corp of America Holdings † | 1,376 | 137,738 | ||||||
McKesson Corp. | 1,042 | 119,309 | ||||||
Medtronic, Inc. | 1,942 | 99,955 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
24 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR U.S. DEFENSIVE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Health Care - 15.0% (continued) | ||||||||
Merck & Co., Inc. | 1,834 | $ | 85,189 | |||||
Mettler-Toledo International, Inc. † | 391 | 78,669 | ||||||
Myriad Genetics, Inc. † | 2,812 | 75,559 | ||||||
Patterson Cos., Inc. | 2,874 | 108,062 | ||||||
Perrigo Co. | 308 | 37,268 | ||||||
Pfizer, Inc. | 3,444 | 96,466 | ||||||
Quest Diagnostics, Inc. | 489 | 29,648 | ||||||
St Jude Medical, Inc. (a) | 313 | 14,282 | ||||||
Stryker Corp. | 2,398 | 155,103 | ||||||
UnitedHealth Group, Inc. | 1,682 | 110,137 | ||||||
Vertex Pharmaceuticals, Inc. † | 254 | 20,287 | ||||||
WellPoint, Inc. | 282 | 23,079 | ||||||
Zimmer Holdings, Inc. | 800 | 59,952 | ||||||
Zoetis, Inc. | 1,086 | 33,541 | ||||||
|
| |||||||
3,213,313 | ||||||||
|
| |||||||
Industrials - 6.6% | ||||||||
3M Co. | 1,256 | 137,344 | ||||||
Boeing Co./The | 383 | 39,234 | ||||||
Cintas Corp. | 1,257 | 57,244 | ||||||
Danaher Corp. | 629 | 39,816 | ||||||
Dun & Bradstreet Corp./The (a) | 312 | 30,404 | ||||||
Equifax, Inc. | 315 | 18,563 | ||||||
Fastenal Co. | 2,262 | 103,713 | ||||||
General Dynamics Corp. | 1,185 | 92,821 | ||||||
Honeywell International, Inc. | 469 | 37,210 | ||||||
Knight Transportation, Inc. | 1,555 | 26,155 | ||||||
L-3 Communications Holdings, Inc. | 609 | 52,216 | ||||||
Landstar System, Inc. | 1,341 | 69,061 | ||||||
MSC Industrial Direct Co., Inc., Class A (a) | 1,380 | 106,895 | ||||||
Northrop Grumman Corp. | 611 | 50,591 | ||||||
Raytheon Co. | 513 | 33,920 | ||||||
Republic Services, Inc. | 294 | 9,978 | ||||||
Robert Half International, Inc. | 170 | 5,649 | ||||||
Roper Industries, Inc. | 235 | 29,192 | ||||||
Southwest Airlines Co. | 543 | 6,999 | ||||||
Stericycle, Inc. † | 2,161 | 238,639 | ||||||
United Parcel Service, Inc., Class B | 460 | 39,781 | ||||||
Waste Management, Inc. | 3,845 | 155,069 | ||||||
Werner Enterprises, Inc. (a) | 486 | 11,747 | ||||||
WW Grainger, Inc. | 45 | 11,348 | ||||||
|
| |||||||
1,403,589 | ||||||||
|
| |||||||
Information Technology - 12.7% | ||||||||
Accenture PLC, Class A (Ireland) | 1,089 | 78,364 | ||||||
Adobe Systems, Inc. † | 871 | 39,683 | ||||||
ADTRAN, Inc. | 1,753 | 43,141 | ||||||
Analog Devices, Inc. | 1,958 | 88,228 | ||||||
Apple, Inc. | 69 | 27,330 | ||||||
Applied Materials, Inc. | 723 | 10,780 | ||||||
Atmel Corp. † | 1,271 | 9,342 | ||||||
Automatic Data Processing, Inc. | 3,062 | 210,849 | ||||||
Broadcom Corp., Class A | 1,401 | 47,298 | ||||||
Broadridge Financial Solutions, Inc. | 1,577 | 41,917 | ||||||
Cognizant Technology Solutions Corp., Class A † | 579 | 36,251 | ||||||
Dell, Inc. | 2,173 | 29,010 | ||||||
F5 Networks, Inc. † | 918 | 63,158 |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 12.7% (continued) | ||||||||
FactSet Research Systems, Inc. | 1,101 | $ | 112,236 | |||||
Global Payments, Inc. | 222 | 10,283 | ||||||
Google, Inc., Class A † | 210 | 184,878 | ||||||
Informatica Corp. † | 373 | 13,048 | ||||||
Intel Corp. | 3,054 | 73,968 | ||||||
International Business Machines Corp. | 831 | 158,812 | ||||||
Intuit, Inc. | 2,060 | 125,722 | ||||||
KLA-Tencor Corp. | 1,103 | 61,470 | ||||||
Linear Technology Corp. | 3,264 | 120,246 | ||||||
LSI Corp. † | 872 | 6,226 | ||||||
Marvell Technology Group Ltd. | 5,726 | 67,051 | ||||||
Mastercard, Inc., Class A | 236 | 135,582 | ||||||
Maxim Integrated Products, Inc. | 1,031 | 28,641 | ||||||
Microsoft Corp. | 5,164 | 178,313 | ||||||
NetApp, Inc. † | 1,028 | 38,838 | ||||||
Paychex, Inc. | 5,030 | 183,696 | ||||||
Polycom, Inc. † | 1,228 | 12,943 | ||||||
QUALCOMM, Inc. | 378 | 23,088 | ||||||
Red Hat, Inc. † | 701 | 33,522 | ||||||
Sohu.com, Inc. (China) † | 236 | 14,542 | ||||||
Synopsys, Inc. † | 352 | 12,584 | ||||||
Teradata Corp. † | 1,241 | 62,335 | ||||||
Texas Instruments, Inc. | 589 | 20,538 | ||||||
Total System Services, Inc. | 3,530 | 86,414 | ||||||
Visa, Inc., Class A | 753 | 137,611 | ||||||
VMware, Inc., Class A † | 421 | 28,203 | ||||||
Xilinx, Inc. | 1,704 | 67,495 | ||||||
|
| |||||||
2,723,636 | ||||||||
|
| |||||||
Materials - 0.8% | ||||||||
AK Steel Holding Corp. † | 2,800 | 8,512 | ||||||
International Flavors & Fragrances, Inc. | 504 | 37,881 | ||||||
Newmont Mining Corp. | 615 | 18,419 | ||||||
Praxair, Inc. | 43 | 4,952 | ||||||
Schnitzer Steel Industries, Inc., Class A | 745 | 17,418 | ||||||
Sherwin-Williams Co./The | 224 | 39,558 | ||||||
Sigma-Aldrich Corp. | 668 | 53,681 | ||||||
|
| |||||||
180,421 | ||||||||
|
| |||||||
Telecommunication Services - 2.1% | ||||||||
AT&T, Inc. | 5,109 | 180,859 | ||||||
tw telecom, Inc. † | 2,384 | 67,086 | ||||||
Verizon Communications, Inc. | 3,822 | 192,399 | ||||||
|
| |||||||
440,344 | ||||||||
|
| |||||||
Utilities - 10.7% | ||||||||
Alliant Energy Corp. | 454 | 22,891 | ||||||
American Electric Power Co., Inc. | 1,280 | 57,318 | ||||||
American Water Works Co., Inc. | 5,084 | 209,613 | ||||||
CenterPoint Energy, Inc. | 328 | 7,705 | ||||||
Consolidated Edison, Inc. | 3,046 | 177,612 | ||||||
Dominion Resources, Inc. | 5,112 | 290,464 | ||||||
DTE Energy Co. | 2,081 | 139,448 | ||||||
Duke Energy Corp. | 1,549 | 104,558 | ||||||
Integrys Energy Group, Inc. | 139 | 8,136 | ||||||
NextEra Energy, Inc. | 773 | 62,984 | ||||||
NiSource, Inc. | 1,370 | 39,237 | ||||||
Northeast Utilities | 858 | 36,053 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 25 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR U.S. DEFENSIVE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Utilities - 10.7% (continued) | ||||||||
OGE Energy Corp. | 35 | $ | 2,387 | |||||
ONEOK, Inc. | 136 | 5,618 | ||||||
PG&E Corp. | 3,401 | 155,528 | ||||||
Pinnacle West Capital Corp. | 2,394 | 132,795 | ||||||
Public Service Enterprise Group, Inc. | 1,748 | 57,090 | ||||||
Questar Corp. | 2,993 | 71,383 | ||||||
Sempra Energy | 3,573 | 292,129 | ||||||
Southern Co. | 3,948 | 174,225 | ||||||
UGI Corp. | 1,894 | 74,074 | ||||||
Wisconsin Energy Corp. | 2,865 | 117,436 | ||||||
Xcel Energy, Inc. | 1,857 | 52,627 | ||||||
|
| |||||||
2,291,311 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 19,175,342 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 8.4% | ||||||||
SPDR S&P 500 ETF Trust | 11,178 | 1,788,592 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 2.7% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, | ||||||||
0.000% (2)(b) | 584,561 | 584,561 | ||||||
|
|
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 1.0% | SHARES | VALUE (Note 2) | ||||||
BlackRock Liquidity Funds TempFund | ||||||||
Portfolio - Institutional Shares, | 214,750 | $ | 214,750 | |||||
|
| |||||||
TOTAL INVESTMENTS - 101.7% | 21,763,245 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.7%) | (364,373) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 21,398,872 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $209,313; cash collateral of $214,750 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of June 30, 2013. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The accompanying notes are an integral part of these financial statements. |
26 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
LONG INVESTMENTS - 101.7% | SHARES | VALUE (Note 2) | ||||||
COMMON STOCKS - 44.3% | ||||||||
Consumer Discretionary - 14.6% | ||||||||
American Greetings Corp., Class A | 439,842 | $ | 8,013,922 | |||||
Ameristar Casinos, Inc. | 631,495 | 16,602,004 | ||||||
Arbitron, Inc. | 457,244 | 21,238,984 | ||||||
Ark Restaurants Corp. | 61,172 | 1,298,682 | ||||||
Astral Media, Inc., Class A (Canada) | 403,592 | 19,172,251 | ||||||
Belo Corp., Class A | 66,011 | 920,853 | ||||||
Bright Horizons Family Solutions, Inc. †(a) | 44,283 | 1,537,063 | ||||||
Brookfield Residential Properties, Inc. (Canada) †(a) | 31,800 | 701,508 | ||||||
China Century Dragon Media, Inc. (3)†(b) | 150,272 | 19 | ||||||
China Networks International Holdings Ltd. (3)†(b) | 2,287,278 | 22,873 | ||||||
Comcast Corp., Class A | 782,942 | 31,059,309 | ||||||
Cooper Tire & Rubber Co. | 35,600 | 1,180,852 | ||||||
CST Brands, Inc. † | 452,678 | 13,947,009 | ||||||
Discovery Communications, Inc., Class C †(a) | 408,486 | 28,455,135 | ||||||
Five Below, Inc. † | 130,000 | 4,778,800 | ||||||
Kabel Deutschland Holding AG (Germany) (2) | 45,892 | 5,039,004 | ||||||
Lennar Corp. B Shares | 8,285 | 234,880 | ||||||
Liberty Global PLC, Class A (United Kingdom) † | 161,903 | 11,993,774 | ||||||
Liberty Global PLC, Class C (United Kingdom) † | 736,071 | 49,971,859 | ||||||
News Corp., Class A | 4,109,871 | 133,981,795 | ||||||
rue21 inc (2)† | 27,190 | 1,131,376 | ||||||
School Specialty, Inc. (2)† | 9,166 | 999,094 | ||||||
Stewart Enterprises, Inc., Class A | 383,044 | 5,014,046 | ||||||
True Religion Apparel, Inc. | 452,291 | 14,319,533 | ||||||
WMS Industries,Inc. † | 810,620 | 20,678,916 | ||||||
|
| |||||||
392,293,541 | ||||||||
|
| |||||||
Consumer Staples - 1.4% | ||||||||
Central Garden and Pet Co. †(a) | 526 | 3,735 | ||||||
DE Master Blenders 1753 NV (Netherlands) (2)† | 1,001,918 | 16,033,650 | ||||||
Hillshire Brands Co. | 245,313 | 8,114,954 | ||||||
Neptune Technologies & Bioressources, Inc. (Canada) (3)†(b) | 6,407 | 6 | ||||||
Smithfield Foods, Inc. † | 311,271 | 10,194,125 | ||||||
SUPERVALU, Inc. † | 595,100 | 3,701,522 | ||||||
WhiteWave Foods Co., Class B † | 2,919 | 44,369 | ||||||
|
| |||||||
38,092,361 | ||||||||
|
| |||||||
Energy - 0.8% | ||||||||
Crimson Exploration, Inc. † | 166,251 | 468,828 | ||||||
CVR Energy, Inc. † | — | 221,169 | ||||||
Gulf Coast Ultra Deep Royalty Trust † | 17,210 | 35,108 | ||||||
Gulf United Energy, Inc. † | 1,959,798 | 9,603 | ||||||
Integrated Drilling Equipment Holdings Corp. † | 74,362 | 379,246 | ||||||
Mission NewEnergy Ltd. (Australia) (2)† | 20,132 | 322 | ||||||
PBF Energy, Inc. | 136,098 | 3,524,938 | ||||||
Platino Energy Corp. (Canada) † | 184,970 | 219,847 | ||||||
Synergy Resources Corp. † | 107,165 | 784,448 |
SHARES | VALUE (Note 2) | |||||||
Energy - 0.8% (continued) | ||||||||
Uranium One, Inc. (Canada) † | 6,371,548 | $ | 16,599,830 | |||||
|
| |||||||
22,243,339 | ||||||||
|
| |||||||
Financials - 11.0% | ||||||||
Andina Acquisition Corp. (3)†(a)(b) | 415,800 | 4,153,842 | ||||||
Aquasition Corp., Class U (United Kingdom) (3)†(a)(b) | 850,000 | 8,644,500 | ||||||
Ares Commercial Real Estate Corp. REIT | 38,500 | 493,185 | ||||||
Ashford Hospitality Trust, Inc. REIT | 104,000 | 1,190,800 | ||||||
BGS Acquisition Corp. (Argentina) †(a) | 671,160 | 6,691,465 | ||||||
Blue Wolf Mongolia Holdings Corp. (2)† | 526,500 | 5,228,145 | ||||||
Brookfield Asset Management, Inc., Class A (Canada) (a) | 176,351 | 6,352,163 | ||||||
Capitol Acquisition Corp. II † | 1,440,000 | 14,457,600 | ||||||
CapLease, Inc. REIT | 146,152 | 1,233,523 | ||||||
Chart Acquisition Corp. (2)† | 1,268,625 | 12,102,683 | ||||||
China VantagePoint Acquisition Co. (2)† | 1,990 | — | ||||||
Cis Acquisition Ltd. (Russian Federation) †(a) | 850,000 | 8,602,000 | ||||||
Collabrium Japan Acquisition Corp. (United Kingdom) (3)†(b) | 595,000 | 6,039,250 | ||||||
Colonial Properties Trust REIT | 253,857 | 6,123,031 | ||||||
CommonWealth REIT REIT | 330,754 | 7,647,033 | ||||||
Encore Capital Group, Inc. † | 105,093 | 3,479,629 | ||||||
Fidelity Southern Corp. † | 8,491 | 105,034 | ||||||
First Financial Holdings, Inc. | 256,744 | 5,445,540 | ||||||
First M&F Corp. | 3,314 | 52,394 | ||||||
FlatWorld Acquisition Corp. (Virgin Islands, British) (3)(a)(b) | 219,450 | — | ||||||
HF2 Financial Management, Inc. † | 1,309,420 | 13,238,236 | ||||||
Home Loan Servicing Solutions Ltd. (Cayman Islands) | 156,000 | 3,739,320 | ||||||
Hudson City Bancorp, Inc. | 5,981,078 | 54,786,675 | ||||||
Hyde Park Acquisition Corp. II †(a) | 1,195,400 | 12,228,942 | ||||||
Infinity Cross Border Acquisition Corp. (Israel) † | 287,100 | 2,259,477 | ||||||
Janus Capital Group, Inc. | 2,500 | 21,275 | ||||||
Knight Capital Group, Inc., Class A † | 152,400 | 563,033 | ||||||
L&L Acquisition Corp. (3)†(b) | 306,000 | — | ||||||
Lakeland Bancorp, Inc. | 3,900 | 40,677 | ||||||
MedWorth Acquisition Corp. † | 661,925 | 5,302,019 | ||||||
MPG Office Trust, Inc. REIT † | 739,971 | 2,323,509 | ||||||
National Financial Partners Corp. † | 237,481 | 6,010,644 | ||||||
National General Holdings Corp. (3)†(b)(f) | 8,000 | 84,000 | ||||||
Neptune Tech, Inc. (Canada) (3)†(b) | 3,203 | 6 | ||||||
Netspend Holdings, Inc. † | 503,220 | 8,036,423 | ||||||
New Residential Investment Corp. REIT | 951,722 | 6,414,606 | ||||||
Newcastle Investment Corp. REIT | 1,131,338 | 5,916,898 | ||||||
NYSE Euronext | 1,071,507 | 44,360,390 | ||||||
Patriot National Bank ADR (3)†(b) | 2,000,000 | 1,180,000 | ||||||
PMI Group, Inc./The † | 263 | 17 | ||||||
Prime Acquisition Corp. (China) † | 423,935 | 4,230,871 | ||||||
PVF Capital Corp. † | 739,845 | 2,959,380 | ||||||
Roma Financial Corp. † | 126,332 | 2,294,189 | ||||||
Santa Monica Media Corp. ADR (3)†(b) | 15,377 | — | ||||||
Select Income REIT REIT | 53,000 | 1,486,120 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 27 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 2) | |||||||
Financials - 11.0% (continued) | ||||||||
Selway Capital Acquisition Corp., Class A (3)†(b) | 414,792 | $ | 4,259,914 | |||||
Trian Acquisition I Corp. (3)†(b) | 15,200 | — | ||||||
Weyerhaeuser Co. REIT | 520,000 | 14,814,800 | ||||||
|
| |||||||
294,593,238 | ||||||||
|
| |||||||
Health Care - 8.9% | ||||||||
Access Pharmaceuticals, Inc. †(a) | 228,024 | 98,278 | ||||||
American Surgical Holdings, Inc. (3)†(b) | 15,747 | — | ||||||
Assisted Living Concepts, Inc., Class A † | 1,441,554 | 17,240,986 | ||||||
Authentidate Holding Corp. (3)†(b) | 619,389 | 538,868 | ||||||
China Medical Technologies, Inc. ADR (China) (3)†(b) | 4,931 | 49 | ||||||
Clovis Oncology, Inc. † | 51,142 | 3,425,491 | ||||||
CML HealthCare, Inc. (Canada) | 541,954 | 5,441,698 | ||||||
Cormedix, Inc. †(a) | 32,546 | 30,919 | ||||||
Covidien PLC (Ireland) | 423,437 | 26,608,781 | ||||||
Cynosure, Inc., Class A † | 178,907 | 4,648,004 | ||||||
Elan Corp. PLC ADR (Ireland) † | 248,806 | 3,518,117 | ||||||
Exact Sciences Corp. † | 299,520 | 4,166,323 | ||||||
Forest Laboratories, Inc. (3)†(b) | 335,833 | 319,041 | ||||||
Indevus Pharmaceuticals, Inc. (3)†(b) | 6,006 | — | ||||||
InspireMD, Inc. (Israel) (3)†(b) | 17,801 | 39,340 | ||||||
Intercept Pharmaceuticals, Inc. † | 13,000 | 582,920 | ||||||
Life Technologies Corp. † | 199,095 | 14,735,021 | ||||||
Neostem, Inc. † | 324,000 | 179,820 | ||||||
Pfizer, Inc. | 3,476,769 | 97,384,289 | ||||||
Progenics Pharmaceuticals, Inc. † | 192,500 | 858,550 | ||||||
Provectus Pharmaceuticals, Inc. † | 636,202 | 413,531 | ||||||
Repros Therapeutics, Inc. † | 231,000 | 4,261,950 | ||||||
RXi Pharmaceuticals Corp. † | 94,852 | 18,307 | ||||||
Theragenics Corp. † | 33,413 | 69,165 | ||||||
Valeant Pharmaceuticals International, Inc. † | 104,000 | 8,952,320 | ||||||
Vanguard Health Systems, Inc. † | 1,252 | 25,967 | ||||||
Warner Chilcott PLC, Class A (Ireland) | 707,344 | 14,061,999 | ||||||
Zoetis, Inc. | 989,810 | 30,575,240 | ||||||
|
| |||||||
238,194,974 | ||||||||
|
| |||||||
Industrials - 1.2% | ||||||||
Allied Defense Group, Inc./The (3)†(b) | 190,011 | 598,535 | ||||||
Cubic Corp. | 5,390 | 259,259 | ||||||
Gardner Denver, Inc. | 196,796 | 14,795,123 | ||||||
KAR Auction Services, Inc. | 62,947 | 1,439,598 | ||||||
Kratos Defense & Security Solutions, Inc. † | 67,232 | 435,663 | ||||||
Met-Pro Corp. | 656,432 | 8,822,446 | ||||||
Michael Baker Corp. (a) | 1,645 | 44,596 | ||||||
Pingtan Marine Enterprise Ltd. (China) (3)†(b) | 829,474 | 3,483,791 | ||||||
Premier Alliance Group, Inc. † | 273,401 | 158,299 | ||||||
Rexnord Corp. † | 78,000 | 1,314,300 | ||||||
Sapphire Industry Corp. (3)†(b) | 25,025 | — | ||||||
|
| |||||||
31,351,610 | ||||||||
|
| |||||||
Information Technology - 3.8% | ||||||||
Anaren, Inc. †(a) | 20,453 | 469,192 | ||||||
BMC Software, Inc. † | 314,742 | 14,207,454 |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 3.8% (continued) | ||||||||
Compuware Corp. | 448,853 | $ | 4,645,628 | |||||
Comverse, Inc. †(a) | 225,648 | 6,715,284 | ||||||
Dell, Inc. | 1,665,428 | 22,233,464 | ||||||
Ebix, Inc. | 277,993 | 2,574,215 | ||||||
ExactTarget, Inc. † | 141,858 | 4,783,452 | ||||||
Himax Technologies, Inc. ADR (Taiwan) | 598,036 | 3,121,748 | ||||||
Intermec, Inc. † | 1,541,965 | 15,157,516 | ||||||
Keynote Systems, Inc. (2) | 57,867 | 1,143,452 | ||||||
Lender Processing Services, Inc. | 336,153 | 10,874,550 | ||||||
Market Leader, Inc. † | 398 | 4,259 | ||||||
MEMSIC, Inc. † | 442,196 | 1,813,004 | ||||||
Molex, Inc., Class A | 127,299 | 3,164,653 | ||||||
Orckit Communications Ltd. (Israel) † | 15,174 | 3,035 | ||||||
PLX Technology, Inc. † | 553,248 | 2,633,460 | ||||||
SinoHub, Inc. (China) (3)†(b) | 190,038 | 1,900 | ||||||
Soundbite Communications, Inc. | 394,440 | 1,968,256 | ||||||
SouthPeak Interactive Corp. (3)†(b) | 1,500,000 | 15,000 | ||||||
STEC, Inc. † | 773,821 | 5,200,077 | ||||||
Stonesoft OYJ (Finland) (2)† | 57,674 | 334,616 | ||||||
Telestone Technologies Corp. (China) †(c) | 115,818 | 52,118 | ||||||
Transwitch Corp. † | 762,320 | 274,435 | ||||||
Universal Business Payment Solutions Acquisition Corp. (3)†(b) | 126,242 | 378,726 | ||||||
|
| |||||||
101,769,494 | ||||||||
|
| |||||||
Materials - 0.8% | ||||||||
Buckeye Technologies, Inc. | 175,643 | 6,505,817 | ||||||
Cereplast, Inc. † | 258,156 | 4,673 | ||||||
China GengSheng Minerals, Inc. (China) † | 33,531 | 4,346 | ||||||
Edgewater Exploration Ltd. (Canada) † | 417,850 | 45,690 | ||||||
Energy Fuels, Inc. (Canada) † | 720,000 | 106,114 | ||||||
Lion One Metals Ltd. (Canada) † | 741,090 | 292,433 | ||||||
Mines Management, Inc. † | 16,120 | 8,543 | ||||||
Rainy River Resources Ltd. (Canada) † | 2,996,946 | 10,116,153 | ||||||
RTI International Metals, Inc. † | 64,856 | 1,797,160 | ||||||
Southern Arc Minerals, Inc. (Canada) (3)†(b) | 248,481 | 28,352 | ||||||
US Silica Holdings, Inc. | 125,564 | 2,609,220 | ||||||
|
| |||||||
21,518,501 | ||||||||
|
| |||||||
Telecommunication Services - 1.6% | ||||||||
Clearwire Corp., Class A † | 5,047,347 | 25,135,788 | ||||||
Cleveland Unlimited ADR (3)†(b) | 1 | 956,138 | ||||||
Multiband Corp. † | 484,427 | 1,535,634 | ||||||
Sprint Nextel Corp. † | 1,980,357 | 13,902,106 | ||||||
Telephone & Data Systems, Inc. | 56,348 | 1,388,978 | ||||||
XO holdings, Inc. O Shares (3)†(b) | 1,366,340 | — | ||||||
|
| |||||||
42,918,644 | ||||||||
|
| |||||||
Utilities - 0.2% | ||||||||
NV Energy, Inc. | 274,202 | 6,432,779 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,189,408,481 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
28 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CONVERTIBLE PREFERRED STOCKS - 1.6% | SHARES | VALUE (Note 2) | ||||||||||||||
Consumer Discretionary - 0.9% | ||||||||||||||||
Sealy Corp., $25.00 par, 8.000% (3)†(b)(d)(h) | 299,636 | $ | 23,671,244 | |||||||||||||
|
| |||||||||||||||
Consumer Staples - 0.0% (e) | ||||||||||||||||
Universal Corp., Perpetual, $1,000.00 par, 6.750% †(p) | 700 | 875,000 | ||||||||||||||
|
| |||||||||||||||
Energy - 0.4% | ||||||||||||||||
Nabors Completion & Production Services Co., Perpetual, Series A, $1,000.00 par, 4.000% (3)†(b)(p) | 1,169 | 1,087,170 | ||||||||||||||
Sanchez Energy Corp., Perpetual, Series A 144A, $50.00 par, 4.875% (2)†(f)(p) | 175,300 | 10,101,663 | ||||||||||||||
|
| |||||||||||||||
11,188,833 | ||||||||||||||||
|
| |||||||||||||||
Financials - 0.1% | ||||||||||||||||
iStar Financial, Inc., Perpetual, Series J, $50.00 par, 4.500% †(p) | 50,625 | 2,733,750 | ||||||||||||||
MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (3)†(b)(p) | 16,000 | 146,000 | ||||||||||||||
|
| |||||||||||||||
2,879,750 | ||||||||||||||||
|
| |||||||||||||||
Industrials - 0.1% | ||||||||||||||||
Genesee & Wyoming, Inc., $100.00 par, 5.000% † | 13,325 | 1,581,011 | ||||||||||||||
Timberjack Corp. ADR, $188,000.00 par, 0.000% (3)†(b) | 188,000 | 157,920 | ||||||||||||||
|
| |||||||||||||||
1,738,931 | ||||||||||||||||
|
| |||||||||||||||
Materials - 0.0% (e) | ||||||||||||||||
Cliffs Natural Resources, Inc., $25.00 par, 7.000% † | 24,625 | 436,847 | ||||||||||||||
|
| |||||||||||||||
Utilities - 0.1% | ||||||||||||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000% † | 53,325 | 2,668,916 | ||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 43,459,521 | |||||||||||||||
|
| |||||||||||||||
CORPORATE BONDS - 11.8% | INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | |||||||||||||
Communications - 0.4% | ||||||||||||||||
Baker & Taylor Acquisitions Corp. 144A (2)(a)(f) | 15.000% | 04/01/17 | $ | 3,250 | 2,380,625 | |||||||||||
Interactive Network, Inc./FriendFinder Networks, Inc. (2)(g) | 14.000% | 09/30/13 | 775 | 748,007 | ||||||||||||
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(f)(g) | 11.500% | 04/30/14 | 2,857 | 685,720 | ||||||||||||
Primus Telecommunications Holding, Inc./Primus Telecommunications Canada, Inc. 144A (3)(b)(f) | 13.000% | 12/15/16 | 1,150 | 1,177,646 | ||||||||||||
WCP Wireless Site Funding/WCP Wireless Site RE Funding/WCP Wireless Site Non 144A (2)(f) | 9.247% | 11/15/15 | 3,000 | 3,144,192 | ||||||||||||
WCP Wireless Site Funding/WCP Wireless Site RE Funding/WCP Wireless Site Non, Series 144a 144A (2)(f) | 6.829% | 11/15/15 | 3,325 | 3,544,617 | ||||||||||||
|
| |||||||||||||||
11,680,807 | ||||||||||||||||
|
| |||||||||||||||
Consumer Discretionary - 2.9% | ||||||||||||||||
American Apparel, Inc. 144A (2)(a)(f) | 13.000% | 04/15/20 | 925 | 918,062 | ||||||||||||
American Axle & Manufacturing, Inc. (2)(a) | 6.250% | 03/15/21 | 1,525 | 1,549,781 | ||||||||||||
Brookstone Co., Inc. 144A (2)(f) | 13.000% | 10/15/14 | 516 | 433,440 | ||||||||||||
Caesars Entertainment Operating Co., Inc. (2)(a) | 5.375% | 12/15/13 | 4,975 | 4,962,562 | ||||||||||||
Clear Channel Communications, Inc. (2)(a) | 4.900% | 05/15/15 | 4,100 | 3,792,500 | ||||||||||||
Dex Media West, Inc. (2)(j) | 5.000% | 12/30/16 | 1,778 | 1,474,666 | ||||||||||||
Eastman Kodak Co. (2)(f) | 10.500% | 09/30/13 | 11,916 | 11,977,848 | ||||||||||||
Empire Today LLC/Empire Today Finance Corp. 144A (2)(f) | 11.375% | 02/01/17 | 3,250 | 2,600,000 | ||||||||||||
Exide Technologies (2)(g) | 8.625% | 02/01/18 | 12,425 | 7,579,250 | ||||||||||||
HOA Restaurant Group LLC/HOA Finance Corp. 144A (2)(a)(f) | 11.250% | 04/01/17 | 8,975 | 8,975,000 | ||||||||||||
IDQ Holdings, Inc. 144A (2)(f) | 11.500% | 04/01/17 | 4,325 | 4,735,875 | ||||||||||||
Landry’s, Inc. 144A (2)(f) | 9.375% | 05/01/20 | 7,356 | 7,760,580 | ||||||||||||
Mandalay Resort Group (2) | 7.625% | 07/15/13 | 13,375 | 13,375,000 | ||||||||||||
Pegasus Solutions, Inc. 144A (3)(b)(f)(h) | 13.000% | 04/15/14 | 4,030 | 3,868,377 | ||||||||||||
RH Donnelley, Inc. (2) | 0.000% | 10/24/14 | 4,000 | 3,016,680 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 29 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 2) | |||||||||||||
Consumer Discretionary - 2.9% (continued) | ||||||||||||||||
Roust Trading Ltd., Series AI (Bermuda) (2)(i) | 10.000% | 05/31/16 | $ | 749 | $ | 606,312 | ||||||||||
Wendy’s International, Inc. (2) | 6.200% | 06/15/14 | 1,525 | 1,584,094 | ||||||||||||
|
| |||||||||||||||
79,210,027 | ||||||||||||||||
|
| |||||||||||||||
Energy - 2.1% | ||||||||||||||||
ATP Oil & Gas Corp. (2)(g) | 11.875% | 05/01/15 | 4,025 | 50,312 | ||||||||||||
BassDrill Beta Ltd. 144A (Malta) (2)(f) | 8.500% | 04/24/18 | 882 | 881,650 | ||||||||||||
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(a)(b) | 13.750% | 12/01/15 | 5,800 | 5,510,000 | ||||||||||||
CCS, Inc. 144A (Canada) (2)(f) | 11.000% | 11/15/15 | 4,800 | 4,824,000 | ||||||||||||
Copano Energy LLC/Copano Energy Finance Corp. (2) | 7.125% | 04/01/21 | 575 | 639,688 | ||||||||||||
EOAL Cyprus Holdings Ltd. (2) | 20.000% | 06/22/14 | 157 | 1,565 | ||||||||||||
EOAL Cyprus Holdings Ltd. (2) | 20.000% | 06/22/14 | 243 | 2,433 | ||||||||||||
EOAL Cyprus Holdings Ltd. (2) | 0.200% | 06/22/13 | 238 | 2,385 | ||||||||||||
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b) | 15.000% | 07/15/15 | 4,100 | 41 | ||||||||||||
Global Rig Co. ASA (Norway) (3)(b) | 13.000% | 06/09/15 | 3,008 | 3,181,311 | ||||||||||||
Golden Close Maritime Corp. Ltd. MTN (Bermuda) (2) | 11.000% | 12/09/15 | 2,319 | 2,452,451 | ||||||||||||
Green Field Energy Services, Inc. 144A (3)(b)(f) | 13.250% | 11/15/16 | 48 | 49,680 | ||||||||||||
Green Field Energy Services, Inc. 144A (3)(a)(b)(f) | 13.000% | 11/15/16 | 2,025 | 2,095,875 | ||||||||||||
Harvest Natural Resources, Inc. (2) | 11.000% | 10/11/14 | 5,975 | 4,421,500 | ||||||||||||
InterOil Exploration and Production ASA (Norway) (3)(b) | 15.000% | 03/14/16 | NOK | 6,500 | 1,075,424 | |||||||||||
IronGate Energy Services LLC 144A (2)(f) | 11.000% | 07/01/18 | $ | 6,200 | 6,082,200 | |||||||||||
Nuverra Environmental Solutions, Inc. (2)(a) | 9.875% | 04/15/18 | 3,325 | 3,491,250 | ||||||||||||
Panoro Energy ASA 144A (Norway) (2)(f) | 12.000% | 11/15/18 | 2,070 | 2,225,250 | ||||||||||||
Plains Exploration & Production Co. (2)(a) | 6.875% | 02/15/23 | 7,775 | 8,318,488 | ||||||||||||
RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(f) | 11.875% | 03/15/17 | 845 | 912,600 | ||||||||||||
Santa Maria Offshore Ltd. 144A (Bermuda) (2)(f) | 8.875% | 07/03/18 | 5,400 | 5,400,000 | ||||||||||||
Sidewinder Drilling, Inc. 144A (2)(a)(f) | 9.750% | 11/15/19 | 3,750 | 3,796,875 | ||||||||||||
|
| |||||||||||||||
55,414,978 | ||||||||||||||||
|
| |||||||||||||||
Financials - 2.6% | ||||||||||||||||
BPA Laboratories, Inc. 144A (2)(f) | 12.250% | 04/01/17 | 5,875 | 5,698,750 | ||||||||||||
CFG Holdings Ltd./CFG Finance LLC 144A (Cayman Islands) (2)(a)(f) | 11.500% | 11/15/19 | 6,412 | 6,476,120 | ||||||||||||
Creditcorp 144A (2)(f) | 12.000% | 07/15/18 | 8,400 | 8,400,000 | ||||||||||||
Emigrant Bancorp, Inc. 144A (3)(a)(b)(f) | 6.250% | 06/15/14 | 3,450 | 3,372,375 | ||||||||||||
Global Investments Group Finance Ltd. (Virgin Islands, British) (2) | 11.000% | 09/24/17 | 2,200 | 2,068,000 | ||||||||||||
Highclere Holdings Ltd. (Cayman Islands) (2) | 0.000% | 02/26/15 | 1,152 | 1,151,731 | ||||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2) | 8.000% | 01/15/18 | 4,530 | 4,756,500 | ||||||||||||
ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(j)(p) | 3.884% | 09/30/13 | 3,875 | 3,720,000 | ||||||||||||
iStar Financial, Inc., Series B (3)(b) | 5.700% | 03/01/14 | 1,525 | 1,547,875 | ||||||||||||
Jasper Explorer PLC (Cyprus) (2) | 13.500% | 05/27/16 | 6,000 | 4,740,000 | ||||||||||||
Liquidnet Holdings, Inc., Perpetual Bond (3)(b)(j)(p) | 9.250% | 05/07/14 | 3,950 | 3,950,000 | ||||||||||||
MBIA Insurance Corp. 144A (2)(f) | 11.537% | 01/15/33 | 3,925 | 3,355,875 | ||||||||||||
Synovus Financial Corp. (2)(a) | 5.125% | 06/15/17 | 1,375 | 1,350,937 | ||||||||||||
TMX Finance LLC/TitleMax Finance Corp. (2) | 13.250% | 07/15/15 | 6,115 | 6,558,338 | ||||||||||||
TMX Finance LLC/TitleMax Finance Corp. (2) | 13.250% | 07/15/15 | 11,378 | 12,202,905 | ||||||||||||
|
| |||||||||||||||
69,349,406 | ||||||||||||||||
|
| |||||||||||||||
Health Care - 0.4% | ||||||||||||||||
KV Pharmaceutical Co. (3)(a)(b) | 12.000% | 03/15/15 | 8,175 | 8,175,000 | ||||||||||||
Rotech Healthcare, Inc. (2)(a)(g) | 10.500% | 03/15/18 | 610 | 311,100 | ||||||||||||
US Oncology, Inc. (3)(b) | 9.125% | 08/15/17 | 5,786 | — | ||||||||||||
Vantage Oncology LLC/Vantage Oncology Finance Co. 144A (2)(a)(f) | 9.500% | 06/15/17 | 1,775 | 1,757,250 | ||||||||||||
|
| |||||||||||||||
10,243,350 | ||||||||||||||||
|
| |||||||||||||||
Industrials - 2.0% | ||||||||||||||||
Ahern Rentals, Inc., Perpetual Bond (3)(b)(p) | 0.000% | 06/15/15 | 16,550 | — | ||||||||||||
American Airlines, Inc. (2)(g) | 10.500% | 10/15/12 | 1,900 | 2,275,250 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
30 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 2) | |||||||||||||
Industrials - 2.0% (continued) | ||||||||||||||||
American Airlines, Inc. 144A (2)(f)(g) | 7.500% | 03/15/16 | $ | 10,150 | $ | 11,799,375 | ||||||||||
American Piping Products, Inc. 144A (2)(a)(f) | 12.875% | 11/15/17 | 1,975 | 1,767,625 | ||||||||||||
BOA OCV AS (Norway) (2)(j) | 7.280% | 04/27/16 | NOK | 16,625 | 2,757,445 | |||||||||||
Chloe Marine Corp. Ltd. (Bermuda) (2) | 12.000% | 12/28/16 | $ | 1,400 | 1,519,000 | |||||||||||
HD Supply, Inc. (2)(a) | 10.500% | 01/15/21 | 10,100 | 10,453,500 | ||||||||||||
Ship Finance International Ltd. 144A (Bermuda) (2)(f)(j) | 5.850% | 04/07/14 | NOK | 51,000 | 8,353,980 | |||||||||||
Songa Offshore (Cyprus) (2)(j) | 11.860% | 11/17/16 | 15,000 | 2,420,012 | ||||||||||||
Songa Offshore (Cyprus) (2)(j) | 9.610% | 06/11/15 | 25,500 | 3,925,112 | ||||||||||||
Tempel Steel Co. 144A (2)(f) | 12.000% | 08/15/16 | $ | 5,625 | 5,343,750 | |||||||||||
United Continental Holdings, Inc. (3)(b) | 6.860% | 04/22/14 | 641 | 640,962 | ||||||||||||
Western Express, Inc. 144A (2)(f) | 12.500% | 04/15/15 | 2,300 | 1,518,000 | ||||||||||||
|
| |||||||||||||||
52,774,011 | ||||||||||||||||
|
| |||||||||||||||
Information Technology - 0.1% | ||||||||||||||||
Bankrate, Inc. (2) | 11.750% | 07/15/15 | 1,077 | 1,145,659 | ||||||||||||
Freescale Semiconductor, Inc. (2) | 8.875% | 12/15/14 | 2,030 | 2,035,075 | ||||||||||||
SouthPeak Interactive Corp. (3)(b) | 29.000% | 12/31/13 | 1,091 | 104,541 | ||||||||||||
|
| |||||||||||||||
3,285,275 | ||||||||||||||||
|
| |||||||||||||||
Materials - 0.5% | ||||||||||||||||
ArcelorMittal USA LLC (2) | 6.500% | 04/15/14 | 5,406 | 5,608,957 | ||||||||||||
Cereplast, Inc. (3)(b) | 15.000% | 09/21/13 | 57 | 22,639 | ||||||||||||
North Atlantic Trading Co. 144A (2)(f) | 11.500% | 07/15/16 | 5,625 | 5,850,000 | ||||||||||||
North Atlantic Trading Co. 144A (2)(f)(h) | 19.000% | 01/15/17 | 2,163 | 2,314,624 | ||||||||||||
Northland Resources AB 144A (Sweden) (3)(b)(f) | 13.000% | 03/06/17 | 883 | 158,855 | ||||||||||||
|
| |||||||||||||||
13,955,075 | ||||||||||||||||
|
| |||||||||||||||
Telecommunication Services - 0.7% | ||||||||||||||||
Clearwire Communications LLC/Clearwire Finance, Inc. 144A (2)(f) | 12.000% | 12/01/17 | 7,173 | 8,302,747 | ||||||||||||
FiberTower Corp. (2)(g) | 9.000% | 01/01/16 | 4,444 | 366,637 | ||||||||||||
Virgin Media Finance PLC (United Kingdom) (2) | 4.875% | 02/15/22 | 11,400 | 10,488,000 | ||||||||||||
|
| |||||||||||||||
19,157,384 | ||||||||||||||||
|
| |||||||||||||||
Utilities - 0.1% | ||||||||||||||||
Atlantic Offshore AS (Norway) (2)(j) | 11.690% | 06/27/15 | NOK | 12,000 | 1,965,642 | |||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS | 317,035,955 | |||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS - 7.8% | ||||||||||||||||
Consumer Discretionary - 1.6% | ||||||||||||||||
M/I Homes, Inc. (2) | 3.250% | 09/15/17 | $ | 2,300 | 2,811,750 | |||||||||||
M/I Homes, Inc. (2) | 3.000% | 03/01/18 | 1,800 | 1,861,875 | ||||||||||||
Meritage Homes Corp. (2) | 1.875% | 09/15/32 | 2,475 | 2,716,313 | ||||||||||||
Palm Harbor Homes, Inc. (3)(b)(g) | 3.250% | 05/15/24 | 70 | 3,220 | ||||||||||||
RadioShack Corp. 144A (2)(f) | 2.500% | 08/01/13 | 4,400 | 4,328,500 | ||||||||||||
Standard Pacific Corp. (2)(a) | 1.250% | 08/01/32 | 975 | 1,243,734 | ||||||||||||
TUI AG, Series TUI (Germany) (2) | 5.500% | 11/17/14 | EUR | 8,558 | 10,525,475 | |||||||||||
Volkswagen International Finance NV 144A (Netherlands) (2)(f) | 5.500% | 11/09/15 | 13,500 | 18,023,882 | ||||||||||||
|
| |||||||||||||||
41,514,749 | ||||||||||||||||
|
| |||||||||||||||
Consumer Staples - 0.6% | ||||||||||||||||
Vector Group Ltd. (2)(j) | 2.500% | 01/15/19 | 5,950 | 6,951,444 | ||||||||||||
Vector Group Ltd. (2)(j) | 3.750% | 11/15/14 | $ | 6,504 | 8,268,210 | |||||||||||
Vector Group Ltd. (2)(j) | 3.875% | 06/15/26 | 58 | 63,075 | ||||||||||||
|
| |||||||||||||||
15,282,729 | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 31 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 2) | |||||||||||||
Energy - 0.8% | ||||||||||||||||
Alpha Natural Resources, Inc. (2) | 3.750% | 12/15/17 | $ | 825 | $ | 701,250 | ||||||||||
Cal Dive International, Inc. 144A (2)(f) | 5.000% | 07/15/17 | 2,275 | 2,350,359 | ||||||||||||
Cobalt International Energy, Inc. (2)(a) | 2.625% | 12/01/19 | 4,375 | 4,640,234 | ||||||||||||
Petrominerales Ltd. (Canada) (2) | 3.250% | 06/12/17 | 3,200 | 2,483,200 | ||||||||||||
Petrominerales Ltd., Series PMG (Canada) (2) | 2.625% | 08/25/16 | 1,900 | 1,890,500 | ||||||||||||
Polarcus Ltd., Series PLCS (Norway) (2) | 2.875% | 04/27/16 | 400 | 393,920 | ||||||||||||
Vantage Drilling Co. (Cayman Islands) (2)(a) | 7.875% | 09/01/42 | 4,625 | 5,662,735 | ||||||||||||
ZaZa Energy Corp. 144A (2)(a)(f) | 9.000% | 08/01/17 | 3,550 | 3,159,500 | ||||||||||||
|
| |||||||||||||||
21,281,698 | ||||||||||||||||
|
| |||||||||||||||
Financials - 2.2% | ||||||||||||||||
AV Homes, Inc. (2) | 7.500% | 02/15/16 | 200 | 218,000 | ||||||||||||
AV Homes, Inc. (2) | 7.500% | 02/15/16 | 5,900 | 7,057,875 | ||||||||||||
BlackRock Kelso Capital Corp. 144A (2)(f) | 5.500% | 02/15/18 | 1,800 | 1,833,750 | ||||||||||||
CNO Financial Group, Inc. (2) | 7.000% | 12/30/16 | 1,750 | 4,187,969 | ||||||||||||
CNO Financial Group, Inc., Series 1 (2) | 7.000% | 12/30/16 | 1,900 | 4,546,937 | ||||||||||||
CNO Financial Group, Inc., Series UNRE (2)(a) | 7.000% | 12/30/16 | 1,150 | 2,752,094 | ||||||||||||
Encore Capital Group, Inc. 144A (2)(f) | 3.000% | 07/01/20 | 1,300 | 1,259,843 | ||||||||||||
iStar Financial, Inc. (2) | 3.000% | 11/15/16 | 2,800 | 3,321,500 | ||||||||||||
KCAP Financial, Inc. (2) | 8.750% | 03/15/16 | 4,000 | 5,480,000 | ||||||||||||
Knight Capital Group, Inc. (2)(a) | 3.500% | 03/15/15 | 8,925 | 8,919,422 | ||||||||||||
Meadowbrook Insurance Group, Inc. 144A (2)(f) | 5.000% | 03/15/20 | 2,575 | 2,935,500 | ||||||||||||
MF Global Holdings Ltd. (2)(g) | 3.375% | 08/01/18 | 2,750 | 1,278,750 | ||||||||||||
MGIC Investment Corp. (2) | 2.000% | 04/01/20 | 5,225 | 5,917,312 | ||||||||||||
National Financial Partners Corp. (2)(a) | 4.000% | 06/15/17 | 600 | 1,224,750 | ||||||||||||
Radian Group, Inc. (2)(a) | 2.250% | 03/01/19 | 4,200 | 5,357,625 | ||||||||||||
TICC Capital Corp. 144A (2)(a)(f) | 7.500% | 11/01/17 | 3,550 | 3,652,063 | ||||||||||||
|
| |||||||||||||||
59,943,390 | ||||||||||||||||
|
| |||||||||||||||
Health Care - 0.7% | ||||||||||||||||
Accuray, Inc. 144A (2)(f) | 3.500% | 02/01/18 | 3,025 | 3,785,031 | ||||||||||||
Adcare Health Systems, Inc. (3)(b) | 10.000% | 10/26/13 | 1,850 | 2,526,915 | ||||||||||||
Exelixis, Inc. (2)(a) | 4.250% | 08/15/19 | 3,350 | 3,241,125 | ||||||||||||
MannKind Corp. (2)(a) | 5.750% | 08/15/15 | 1,540 | 1,678,600 | ||||||||||||
MannKind Corp. (2)(a) | 3.750% | 12/15/13 | 500 | 483,750 | ||||||||||||
Sequenom, Inc. 144A (2)(a)(f) | 5.000% | 10/01/17 | 2,825 | 3,275,235 | ||||||||||||
Theravance, Inc. (2) | 2.125% | 01/15/23 | 1,600 | 2,466,000 | ||||||||||||
|
| |||||||||||||||
17,456,656 | ||||||||||||||||
|
| |||||||||||||||
Industrials - 0.6% | ||||||||||||||||
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b) | 7.500% | 12/31/13 | 1,850 | — | ||||||||||||
FuelCell Energy, Inc. (2) | 8.000% | 06/15/18 | 1,875 | 2,076,562 | ||||||||||||
Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f) | 0.750% | 04/05/17 | EUR | 2,800 | 4,274,410 | |||||||||||
MasTec, Inc. (2) | 4.250% | 12/15/14 | $ | 2,400 | 5,173,500 | |||||||||||
MasTec, Inc. (2) | 4.000% | 06/15/14 | 2,125 | 4,470,469 | ||||||||||||
|
| |||||||||||||||
15,994,941 | ||||||||||||||||
|
| |||||||||||||||
Information Technology - 0.4% | ||||||||||||||||
Blucora, Inc. 144A (2)(f) | 4.250% | 04/01/19 | 1,675 | 1,874,953 | ||||||||||||
GT Advanced Technologies, Inc. (2)(a) | 3.000% | 10/01/17 | 3,325 | 2,822,094 | ||||||||||||
Powerwave Technologies, Inc. (3)(b)(g) | 3.875% | 10/01/27 | 4,104 | 20,520 | ||||||||||||
Quantum Corp. 144A (2)(a)(f) | 4.500% | 11/15/17 | 1,650 | 1,813,969 | ||||||||||||
Salesforce.com, Inc. 144A (2)(f) | 0.250% | 04/01/18 | 4,975 | 4,735,578 | ||||||||||||
SouthPeak Interactive Corp. (3)(b) | 10.000% | 07/19/13 | 2,500 | 239,500 | ||||||||||||
|
| |||||||||||||||
11,506,614 | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
32 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 2) | |||||||||||||
Materials - 0.2% | ||||||||||||||||
Cereplast, Inc. (3)(b) | 7.000% | 06/01/16 | $ | 3,832 | $ | 560,196 | ||||||||||
Jaguar Mining, Inc. (2)(a) | 5.500% | 03/31/16 | 500 | 116,250 | ||||||||||||
RTI International Metals, Inc. (2) | 1.625% | 10/15/19 | 2,650 | 2,494,313 | ||||||||||||
ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.500% | 12/15/15 | 1,200 | 12,000 | ||||||||||||
ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.000% | 06/01/18 | 300 | 3,000 | ||||||||||||
Silver Standard Resources, Inc. 144A (Canada) (2)(f) | 2.875% | 02/01/33 | 750 | 563,906 | ||||||||||||
Stillwater Mining Co., Series SWC (2) | 1.750% | 10/15/32 | 1,225 | 1,256,391 | ||||||||||||
|
| |||||||||||||||
5,006,056 | ||||||||||||||||
|
| |||||||||||||||
Telecommunication Services - 0.7% | ||||||||||||||||
Level 3 Communications, Inc. (2) | 6.500% | 10/01/16 | 13,525 | 18,453,172 | ||||||||||||
Level 3 Communications, Inc., Series B (2) | 7.000% | 03/15/15 | 1,280 | 1,489,600 | ||||||||||||
|
| |||||||||||||||
19,942,772 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS | 207,929,605 | |||||||||||||||
|
| |||||||||||||||
BANK LOANS - 0.8% | ||||||||||||||||
Energy - 0.7% | ||||||||||||||||
Overseas Shipholding Group, Inc. (2) | 2.943% | 12/31/13 | 1,796 | 1,719,929 | ||||||||||||
Overseas Shipholding Group, Inc. (2) | 2.942% | 12/31/13 | 1,141 | 1,092,421 | ||||||||||||
Overseas Shipholding Group, Inc. (2) | 2.750% | 12/31/13 | 24 | 23,236 | ||||||||||||
Overseas Shipholding Group, Inc. (2) | 2.951% | 12/31/13 | 119 | 114,323 | ||||||||||||
Overseas Shipholding Group, Inc. (2) | 2.948% | 12/31/13 | 894 | 856,154 | ||||||||||||
Patriot Coal Corp. (2) | 9.250% | 12/31/49 | 15,500 | 15,332,135 | ||||||||||||
|
| |||||||||||||||
19,138,198 | ||||||||||||||||
|
| |||||||||||||||
Financials - 0.1% | ||||||||||||||||
J.G. Wentworth LLC (2) | 9.000% | 01/22/18 | 2,396 | 2,362,626 | ||||||||||||
|
| |||||||||||||||
TOTAL BANK LOANS | 21,500,824 | |||||||||||||||
|
|
CLOSED END FUNDS - 2.4% | SHARES | VALUE (Note 2) | ||||||
Aberdeen Global Income Fund, Inc. | 3,867 | $ | 42,769 | |||||
Advent Claymore Convertible Securities and Income Fund (a) | 5,552 | 94,051 | ||||||
Advent Claymore Convertible Securities and Income Fund II (a) | 118,761 | 819,451 | ||||||
Advent Claymore Enhanced Growth & Income Fund (a) | 35,583 | 348,002 | ||||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund (a) | 13,135 | 221,325 | ||||||
ASA Gold and Precious Metals Ltd. (Bermuda) (a) | 3,514 | 44,628 | ||||||
BlackRock Core Bond Trust (a) | 110,874 | 1,456,884 | ||||||
BlackRock Credit Allocation Income Trust | 430,046 | 5,581,997 | ||||||
BlackRock EcoSolutions Investment Trust | 159 | 1,275 | ||||||
BlackRock Energy and Resources Trust (a) | 7,011 | 175,485 | ||||||
BlackRock Enhanced Capital and Income Fund, Inc. | 61,776 | 779,613 | ||||||
BlackRock Enhanced Equity Dividend Trust (a) | 529,698 | 4,031,002 |
CLOSED END FUNDS - 2.4% (continued) | SHARES | VALUE (Note 2) | ||||||
BlackRock Global Opportunities Equity Trust (a) | 280,321 | $ | 3,784,333 | |||||
BlackRock Income Opportunity Trust, Inc. (a) | 163,055 | 1,640,333 | ||||||
BlackRock International Growth and Income Trust | 339,638 | 2,503,132 | ||||||
BlackRock Resources & Commodities Strategy Trust | 83,081 | 959,585 | ||||||
Calamos Convertible and High Income Fund | 7,445 | 92,244 | ||||||
Central Securities Corp. | 20,715 | 436,672 | ||||||
Clough Global Equity Fund (a) | 21,583 | 323,097 | ||||||
Cohen & Steers Dividend Majors Fund, Inc. | 133 | 1,903 | ||||||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 3,140 | 54,259 | ||||||
Cohen & Steers Select Preferred and Income Fund, Inc. | 327 | 8,482 | ||||||
Cutwater Select Income Fund | 3,012 | 55,300 | ||||||
DoubleLine Income Solutions Fund | 160,000 | 3,713,600 | ||||||
DWS High Income Opportunities Fund, Inc. | 2,912 | 41,962 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 33 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CLOSED END FUNDS - 2.4% (continued) | SHARES | VALUE (Note 2) | ||||||
Eaton Vance Enhanced Equity Income Fund | 142,387 | $ | 1,644,570 | |||||
Eaton Vance Enhanced Equity Income Fund II | 165,738 | 1,905,987 | ||||||
Eaton Vance Risk-Managed Diversified Equity Income Fund | 438,453 | 4,779,138 | ||||||
Eaton Vance Tax Managed Global Buy Write Opportunities Fund | 323,849 | 3,601,201 | ||||||
Eaton Vance Tax-Advantaged Dividend Income Fund | 951 | 17,365 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund | 21,749 | 487,613 | ||||||
Eaton Vance Tax-Managed Buy-Write Income Fund | 20,915 | 303,477 | ||||||
Eaton Vance Tax-Managed Buy-Write Opportunities Fund | 18,282 | 238,580 | ||||||
Eaton Vance Tax-Managed Diversified Equity Income Fund | 432,411 | 4,397,620 | ||||||
Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 792,051 | 7,342,313 | ||||||
Ellsworth Fund Ltd. | 8,274 | 63,379 | ||||||
First Opportunity Fund, Inc. †(a) | 26,788 | 219,394 | ||||||
First Trust Aberdeen Global Opportunity Income Fund † | 670 | 10,338 | ||||||
First Trust Enhanced Equity Income Fund | 25,296 | 318,983 | ||||||
First Trust High Income Long/Short Fund | 465 | 8,165 | ||||||
Fort Dearborn Income Securities, Inc. | 4,612 | 66,228 | ||||||
ING Global Equity Dividend & Premium Opportunity Fund | 45,040 | 422,025 | ||||||
ING Risk Managed Natural Resources Fund (a) | 5,724 | 61,934 | ||||||
Invesco Bond Fund | 40,233 | 737,471 | ||||||
John Hancock Hedged Equity & Income Fund | 32,145 | 542,929 | ||||||
John Hancock Premium Dividend Fund | 3,703 | 49,102 | ||||||
John Hancock Tax-Advantaged Dividend Income Fund | 1,438 | 27,063 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 8,522 | 139,249 | ||||||
Madison Covered Call & Equity Strategy Fund | 53,957 | 427,879 | ||||||
Montgomery Street Income Securities, Inc. | 851 | 13,752 | ||||||
Morgan Stanley Emerging Markets Fund, Inc. | 13,440 | 192,730 | ||||||
Morgan Stanley Income Securities, Inc. | 31,979 | 544,602 | ||||||
Nuveen Dividend Advantage Municipal Fund 3 | 977 | 12,945 | ||||||
Nuveen Dividend Advantage Municipal Income Fund | 690 | 9,211 | ||||||
Nuveen Equity Premium Advantage Fund | 37,890 | 467,563 | ||||||
Nuveen Equity Premium and Growth Fund | 13,620 | 187,956 |
CLOSED END FUNDS - 2.4% (continued) | SHARES | VALUE (Note 2) | ||||||
Nuveen Equity Premium Income Fund | 19,014 | $ | 239,006 | |||||
Nuveen Global Value Opportunities Fund | 2,269 | 29,293 | ||||||
Nuveen Maryland Premium Income Municipal Fund | 414 | 5,548 | ||||||
Nuveen Preferred Income Opportunities Fund | 3,093 | 29,538 | ||||||
Nuveen Quality Preferred Income Fund | 19,949 | 165,577 | ||||||
Nuveen Quality Preferred Income Fund II | 132,729 | 1,156,070 | ||||||
Nuveen Quality Preferred Income Fund III | 11,078 | 93,277 | ||||||
Petroleum & Resources Corp. | 46,971 | 1,206,215 | ||||||
PIMCO Dynamic Credit Income Fund | 175,446 | 4,019,468 | ||||||
Putnam High Income Securities Fund | 11,189 | 88,393 | ||||||
Templeton Emerging Markets Fund | 2,418 | 42,315 | ||||||
Transamerica Income Shares, Inc. | 7,037 | 145,103 | ||||||
Tri-Continental Corp. | 6,492 | 116,337 | ||||||
Wells Fargo Advantage Multi-Sector Income Fund | 433 | 6,348 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 60,535 | 1,100,526 | ||||||
Western Asset Income Fund | 5,701 | 73,372 | ||||||
Western Asset Worldwide Income Fund, Inc. † | 1,162 | 15,211 | ||||||
Zweig Fund, Inc. | 15,253 | 195,543 | ||||||
|
| |||||||
TOTAL CLOSED END FUNDS | 65,179,286 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.9% | ||||||||
Energy - 0.6% | ||||||||
Black Elk Energy, Class E (3)†(b) | 17,117,549 | 17,117,549 | ||||||
|
| |||||||
Financials - 0.2% | ||||||||
Ally Financial, Inc., Perpetual Preferred Stock 144A (2)†(a)(f)(p) | 2,175 | 2,067,270 | ||||||
Flagstar Bancorp, Inc., Series C (3)†(b) | 1,423 | 1,360,203 | ||||||
SLM Corp., Perpetual Preferred Stock, Series A †(p) | 12,500 | 617,625 | ||||||
United Community Banks, Inc. (3)†(b) | 1,421 | 1,399,088 | ||||||
|
| |||||||
5,444,186 | ||||||||
|
| |||||||
Industrials - 0.0% (e) | ||||||||
Jack Cooper Holdings Corp. (3)†(b) | 736 | 64,967 | ||||||
Jack Cooper Holdings Corp., Perpetual Preferred Stock 144A (3)†(b)(f)(j)(p) | 2,000 | 242,000 | ||||||
|
| |||||||
306,967 | ||||||||
|
| |||||||
Utilities - 0.1% | ||||||||
Genie Energy Ltd., Perpetual Preferred Stock, Series 12-A (2)(a)(j)(p) | 218,975 | 1,751,800 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 24,620,502 | |||||||
|
| |||||||
RIGHTS - 0.0% (e) | ||||||||
Health Care - 0.0% (e) | ||||||||
American Medical Alert Corp. (3)†(b) | 283,523 | 2,835 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
34 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 0.0% | ||||||||
Gerber Scientific, Inc. (3)†(b) | 879,944 | $ | — | |||||
|
| |||||||
TOTAL RIGHTS | 2,835 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.5% | ||||||||
U.S. Treasury Bill, 0.000% 12/12/2013 (a)(k)(2) | 120,700 | 120,664,273 | ||||||
|
| |||||||
WARRANTS - 1.1% | ||||||||
Consumer Discretionary - 0.1% | ||||||||
EveryWare Global, Inc. † | 756,000 | 1,058,400 | ||||||
Hemisphere Media Group, Inc. † | 743,407 | 1,040,770 | ||||||
|
| |||||||
2,099,170 | ||||||||
|
| |||||||
Energy - 0.0% (e) | ||||||||
Camac Energy, Inc. (3)†(b) | 88,191 | 2,646 | ||||||
Green Field Energy Services, Inc. (3)†(b) | 2,025 | 111,375 | ||||||
Harvest Natural Resources, Inc. (3)†(b) | 51,454 | 15,436 | ||||||
Integrated Drilling Equipment Holdings Corp. † | 680,000 | 187,000 | ||||||
Pacific Ethanol, Inc. (3)†(b) | 318,750 | 10,625 | ||||||
Plug Power, Inc. (3)†(b) | 88,875 | 14,220 | ||||||
Syntroleum Corp. (3)†(b) | 253,165 | 15,190 | ||||||
|
| |||||||
356,492 | ||||||||
|
| |||||||
Financials - 0.8% | ||||||||
Andina Acquisition Corp. (3)†(a)(b) | 415,800 | 74,844 | ||||||
Associated Banc-Corp †(a) | 20,065 | 29,094 | ||||||
Australia Acquisition Corp. (Australia) (3)†(b) | 612,000 | — | ||||||
BGS Acquisition Corp. (Argentina) †(a) | 671,160 | 154,367 | ||||||
Blue Wolf Mongolia Holdings Corp. †(a) | 526,500 | 94,770 | ||||||
Boston Private Financial Holdings, Inc. †(a) | 97,674 | 366,277 | ||||||
Chart Acquisition Corp. † | 1,268,625 | 444,019 | ||||||
Collabrium Japan Acquisition Corp. (United Kingdom) † | 595,000 | 184,450 | ||||||
Comerica, Inc. † | 45,508 | 517,060 | ||||||
Gerova Financial Group Ltd. (Bermuda) (3)†(b) | 138,792 | 1,388 | ||||||
Infinity Cross Border Acquisition Corp. (Israel) (3)†(a)(b) | 287,100 | 160,776 | ||||||
IVS Group (Luxembourg) (2)† | 590,301 | 254,713 | ||||||
Lincoln National Corp. † | 49,759 | 1,341,005 | ||||||
Lone Oak Acquisition Corp. (Hong Kong) (3)†(b) | 328,820 | 85,822 | ||||||
Nautilus Marine Acquisition Corp. (Greece) (2)† | 777,600 | 54,432 | ||||||
Neostem (3)†(b) | 243,000 | 14,580 | ||||||
Prime Acquisition Corp. (China) † | 423,001 | 114,210 | ||||||
SAExploration Holdings, Inc. (Canada) † | 456,000 | 456,000 | ||||||
SCG Financial Acquisition Corp. † | 631,210 | 504,968 |
SHARES | VALUE (Note 2) | |||||||
Financials - 0.8% (continued) | ||||||||
Selway Capital Acquisition Corp. (3)†(b) | 414,792 | $ | 642,928 | |||||
Signature Bank † | 107,610 | 5,728,080 | ||||||
Texas Capital Bancshares, Inc. † | 16,077 | 472,825 | ||||||
Valley National Bancorp † | 49,509 | 34,656 | ||||||
Wintrust Financial Corp. † | 415,782 | 7,554,759 | ||||||
|
| |||||||
19,286,023 | ||||||||
|
| |||||||
Health Care - 0.1% | ||||||||
Access Pharmaceuticals, Inc. (3)†(b) | 68,407 | — | ||||||
Authentidate Holding Corp. (3)†(b) | 1,377,760 | 91,298 | ||||||
Bionovo, Inc. (3)†(b) | 39,373 | — | ||||||
Cormedix, Inc. †(a) | 75,400 | 16,965 | ||||||
CryoPort, Inc. (3)†(b) | 1,704,825 | 51,145 | ||||||
CytRx Corp. (3)†(b) | 2,268,000 | — | ||||||
Galena Biopharma, Inc. (3)†(a)(b) | 510,000 | 397,800 | ||||||
InspireMD, Inc. (United Kingdom) (3)†(b) | 67,911 | 2,037 | ||||||
IntelliPharmaCeutics International, Inc., Series A (3)†(b) | 220,000 | 70,400 | ||||||
MannKind Corp. † | 425,000 | 1,281,375 | ||||||
Mast Therapeutics, Inc. (3)†(b) | 103,750 | — | ||||||
Medgenics, Inc. (3)†(b) | 34,000 | 13,260 | ||||||
Opexa Therapeutics, Inc. (3)†(b) | 47,362 | 1,421 | ||||||
Pluristem Therapeutics, Inc. (Israel) (3)†(b) | 173,242 | 107,410 | ||||||
Pluristem Therapeutics, Inc. (Israel) † | 63,750 | 17,850 | ||||||
Provectus Pharmaceuticals, Inc., Series A (3)†(b) | 881,558 | 185,127 | ||||||
Provectus Pharmaceuticals, Inc., Series C (3)†(b) | 617,090 | 129,589 | ||||||
ReGeneRx Biopharmaceuticals, Inc. † | 240,000 | 24 | ||||||
Rexahn Pharmaceuticals, Inc. (3)†(b) | 1,402,500 | 266,475 | ||||||
Rosetta Genomics Ltd. (Israel) (3)†(b) | 688,211 | 13,764 | ||||||
RXi Pharmaceuticals Corp. (3)†(b) | 144,175 | 253,748 | ||||||
Synergy Pharmaceuticals, Inc. (3)†(b) | 82,000 | 83,640 | ||||||
Venaxis, Inc. (2)† | 24,000 | 2,880 | ||||||
Zogenix, Inc. (3)†(b) | 38,250 | 14,535 | ||||||
|
| |||||||
3,000,743 | ||||||||
|
| |||||||
Industrials - 0.0% (e) | ||||||||
China Wood, Inc. (3)†(b) | 94,000 | — | ||||||
Jack Cooper Holdings Corp. (3)†(a)(b) | 2,223 | 233,415 | ||||||
Pingtan Marine Enterprise Ltd. (China) (2)† | 395,000 | 79,000 | ||||||
Spherix, Inc. (3)†(b) | 196,441 | — | ||||||
|
| |||||||
312,415 | ||||||||
|
| |||||||
Information Technology - 0.1% | ||||||||
exceet Group SE (Germany) (3)†(b) | 72,000 | 937 | ||||||
Global Eagle Entertainment, Inc. (2)† | 1,382,500 | 2,212,000 | ||||||
Magic Software Enterprises Ltd. (Israel) (3)†(b) | 132,782 | 67,719 | ||||||
Microvision, Inc. (3)†(b) | 42,000 | 46,200 | ||||||
Net Element International, Inc. (Bulgaria) † | 319,668 | 191,801 | ||||||
Orckit Communications Ltd. (Israel) (3)†(b) | 84,282 | — |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 35 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 0.1% (continued) | ||||||||
SinoHub, Inc. (China) (3)†(b) | 267,392 | $ | — | |||||
Transwitch Corp. (3)†(b) | 640,000 | 57,600 | ||||||
|
| |||||||
2,576,257 | ||||||||
|
| |||||||
Materials - 0.0% (e) | ||||||||
Aurcana Corp. (Canada) (3)†(b) | 623,387 | 6,234 | ||||||
Cereplast, Inc. (3)†(b) | 64,539 | — | ||||||
China Shen Zhou Mining & Resources, Inc. (China) (3)†(b) | 66,762 | — | ||||||
Coeur Mining, Inc. | 32,250 | 43,544 | ||||||
Edgewater Exploration Ltd. (Canada) (3)†(b) | 250,000 | — | ||||||
Energy Fuels, Inc. (Canada) (3)†(b) | 360,000 | — | ||||||
Golden Minerals Co. (3)†(b) | 73,912 | 12,565 | ||||||
Kangaroo Resources Ltd. (Australia) (3)†(b) | 24,137,931 | — | ||||||
Plastec Technologies Ltd. (Hong Kong) (2)† | 56,004 | 2,800 | ||||||
|
| |||||||
65,143 | ||||||||
|
| |||||||
Utilities - 0.0% (e) | ||||||||
China Hydroelectric Corp. (China) † | 24,500 | 735 | ||||||
Electrawinds SE (Germany) † | 621,000 | 363,746 | ||||||
|
| |||||||
364,481 | ||||||||
|
| |||||||
TOTAL WARRANTS | 28,060,724 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 25.3% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.457% (2)(l) | 5,088,037 | 5,088,037 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (2)(l) | 20,352,150 | 20,352,150 | ||||||
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.062% (2)(l) | 305,796,620 | 305,796,620 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(l)(m) | 322,656,166 | 322,656,166 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (2)(l) | 25,440,187 | 25,440,187 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 679,333,160 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.0% (e) | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (2)(l)(n) | ||||||||
(cost $115,553) | 115,553 | 115,553 | ||||||
|
| |||||||
PURCHASED OPTIONS - 1.2% | | CONTRACTS/ NOTIONAL | | |||||
Put - Knight Capital Group, Inc., Expires 07/20/2013, Strike $9.00 | 508 | 33,920 | ||||||
Put - Pfizer, Inc., Expires 07/20/2013, Strike $35.00 | 34,787 | 24,003,030 |
PURCHASED OPTIONS - 1.2% (continued) | CONTRACTS/ NOTIONAL | VALUE (Note 2) | ||||||
Put - Sprint Nextel Corp., Expires 01/18/2014, Strike $10.00 | 5,544 | $ | 1,696,464 | |||||
Put - SUPERVALU, Inc., Expires 07/20/2013, Strike $5.00 (3)(b) | 5,951 | 59,510 | ||||||
Put - Zoetis, Inc., Expires 07/20/2013, Strike $40.00 | 6,653 | 6,120,760 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS | 31,913,684 | |||||||
|
| |||||||
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT |
| 2,729,224,403 | ||||||
|
| |||||||
SECURITIES SOLD SHORT - (21.9)% | SHARES | |||||||
COMMON STOCKS - (20.6)% | ||||||||
Consumer Discretionary - (10.1)% | ||||||||
Comcast Corp., Class A | (782,942) | (32,789,611) | ||||||
CST Brands, Inc. † | (9,413) | (290,015) | ||||||
Discovery Communications, Inc., Class A † | (408,458) | (31,537,042) | ||||||
Lennar Corp., Class A | (8,476) | (305,475) | ||||||
Liberty Global PLC, Class A (United Kingdom) † | (777,082) | (57,566,235) | ||||||
Liberty Global PLC, Class C (United Kingdom) † | (120,894) | (8,207,494) | ||||||
M/I Homes, Inc. † | (91,043) | (2,090,347) | ||||||
Meritage Homes Corp. † | (24,688) | (1,070,472) | ||||||
News Corp., Class A † | (1,006,144) | (15,394,003) | ||||||
Standard Pacific Corp. † | (89,297) | (743,844) | ||||||
TUI AG (Germany) (2)† | (504,315) | (5,982,876) | ||||||
Twenty-First Century Fox, Inc. | (4,024,583) | (116,672,661) | ||||||
|
| |||||||
(272,650,075) | ||||||||
|
| |||||||
Consumer Staples - (0.2)% | ||||||||
Central Garden and Pet Co., Class A † | (1,232) | (8,501) | ||||||
SUPERVALU, Inc. † | (30,000) | (186,600) | ||||||
Universal Corp. | (12,936) | (748,347) | ||||||
Vector Group Ltd. | (213,050) | (3,455,671) | ||||||
WhiteWave Foods Co., Class A † | (2,919) | (47,434) | ||||||
|
| |||||||
(4,446,553) | ||||||||
|
| |||||||
Energy - (0.6)% | ||||||||
Alpha Natural Resources, Inc. † | (57,207) | (299,765) | ||||||
Cal Dive International, Inc. † | (736,554) | (1,384,722) | ||||||
Cobalt International Energy, Inc. † | (91,192) | (2,422,971) | ||||||
Contango Oil & Gas Co. | (13,880) | (468,450) | ||||||
Petrominerales Ltd. (Canada) | (103,939) | (591,098) | ||||||
Polarcus Ltd. (Norway) (2)† | (155,079) | (126,656) | ||||||
Sanchez Energy Corp. † | (362,000) | (8,311,520) | ||||||
Vantage Drilling Co. † | (1,356,219) | (2,766,687) | ||||||
ZaZa Energy Corp. † | (164,657) | (197,588) | ||||||
|
| |||||||
(16,569,457) | ||||||||
|
| |||||||
Financials - (6.3)% | ||||||||
Associated Banc-Corp | (7,797) | (121,243) | ||||||
AV Homes, Inc. † | (122,405) | (2,170,241) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
36 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | VALUE (Note 2) | |||||||
Financials - (6.3)% (continued) | ||||||||
Boston Private Financial Holdings, Inc. | (77,016) | $ | (819,450) | |||||
CNO Financial Group, Inc. | (874,684) | (11,335,905) | ||||||
Comerica, Inc. | (29,280) | (1,166,222) | ||||||
Encore Capital Group, Inc. † | (105,093) | (3,479,629) | ||||||
Fidelity National Financial, Inc., Class A | (97,404) | (2,319,189) | ||||||
FNB Corp. | (252,676) | (3,052,326) | ||||||
IntercontinentalExchange, Inc. † | (190,805) | (33,917,497) | ||||||
Investors Bancorp, Inc. | (109,397) | (2,306,089) | ||||||
iStar Financial, Inc. REIT † | (176,111) | (1,988,293) | ||||||
KCAP Financial, Inc. | (72,757) | (819,244) | ||||||
Lincoln National Corp. | (49,197) | (1,794,215) | ||||||
M&T Bank Corp. | (502,658) | (56,172,032) | ||||||
MBIA, Inc. † | (217,894) | (2,900,169) | ||||||
Meadowbrook Insurance Group, Inc. | (199,047) | (1,598,347) | ||||||
MGIC Investment Corp. † | (608,833) | (3,695,616) | ||||||
Mid-America Apartment Communities, Inc. REIT | (91,414) | (6,195,127) | ||||||
PacWest Bancorp | (1) | (31) | ||||||
PMI Group, Inc./The † | (263) | (17) | ||||||
Radian Group, Inc. | (270,764) | (3,146,278) | ||||||
Renasant Corp. | (1,791) | (43,593) | ||||||
SCBT Financial Corp. | (108,616) | (5,473,160) | ||||||
Signature Bank † | (104,027) | (8,636,322) | ||||||
Texas Capital Bancshares, Inc. † | (15,429) | (684,430) | ||||||
TICC Capital Corp. | (71,362) | (686,502) | ||||||
Valley National Bancorp | (13,981) | (132,400) | ||||||
Wintrust Financial Corp. | (359,818) | (13,773,833) | ||||||
|
| |||||||
(168,427,400) | ||||||||
|
| |||||||
Health Care - (1.9)% | ||||||||
Accuray, Inc. † | (347,478) | (1,994,524) | ||||||
Actavis, Inc. † | (113,244) | (14,293,658) | ||||||
Affymetrix, Inc. † | (89,948) | (399,369) | ||||||
Covidien PLC (Ireland) † | (218,075) | (12,473,890) | ||||||
Cynosure, Inc., Class A † | (178,907) | (4,648,004) | ||||||
Exelixis, Inc. † | (420,980) | (1,911,249) | ||||||
Mallinckrodt PLC (Ireland) † | (27,259) | (1,238,376) | ||||||
Sequenom, Inc. † | (454,955) | (1,915,361) | ||||||
Theravance, Inc. † | (50,098) | (1,930,276) | ||||||
Zoetis, Inc. | (322,697) | (9,968,110) | ||||||
|
| |||||||
(50,772,817) | ||||||||
|
| |||||||
Industrials - (0.5)% | ||||||||
Ceco Environmental Corp. | (119,686) | (1,472,138) | ||||||
Genesee & Wyoming, Inc., Class A † | (14,200) | (1,204,728) | ||||||
JetBlue Airways Corp. † | (379,283) | (2,389,483) | ||||||
MasTec, Inc. † | (224,970) | (7,401,513) | ||||||
|
| |||||||
(12,467,862) | ||||||||
|
| |||||||
Information Technology - (0.3)% | ||||||||
Blucora, Inc. † | (31,539) | (584,733) | ||||||
GT Advanced Technologies, Inc. † | (314,859) | (1,306,665) | ||||||
Integrated Device Technology, Inc. † | (147,205) | (1,168,808) | ||||||
Molex, Inc. | (127,080) | (3,728,527) | ||||||
Salesforce.com, Inc. † | (23,528) | (898,299) | ||||||
Trulia, Inc. † | (66) | (2,052) | ||||||
|
| |||||||
(7,689,084) | ||||||||
|
|
SHARES | VALUE (Note 2) | |||||||
Materials - (0.2)% | ||||||||
Cliffs Natural Resources, Inc. | (51,653) | $ | (839,361) | |||||
Coeur Mining, Inc. † | (6,686) | (88,924) | ||||||
New Gold, Inc. (Canada) † | (639,738) | (4,142,451) | ||||||
RTI International Metals, Inc. † | (30,800) | (853,468) | ||||||
Stillwater Mining Co. † | (71,650) | (769,521) | ||||||
|
| |||||||
(6,693,725) | ||||||||
|
| |||||||
Telecommunication Services - (0.5)% | ||||||||
Clearwire Corp., Class A † | (6,300) | (31,374) | ||||||
Level 3 Communications, Inc. † | (523,486) | (11,035,085) | ||||||
United States Cellular Corp. | (37,056) | (1,359,584) | ||||||
|
| |||||||
(12,426,043) | ||||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT |
| (552,143,016) | ||||||
|
| |||||||
CLOSED END FUNDS - 0.0% (d) | ||||||||
Montgomery Street Income | ||||||||
Securities, Inc. | (85) | (1,373) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS - (0.8)% | ||||||||
SPDR Barclays High Yield Bond ETF | (527,478) | (20,830,106) | ||||||
SPDR S&P 500 ETF Trust | (6,051) | (968,221) | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT | (21,798,327) | |||||||
|
| |||||||
PREFERRED STOCKS - (0.5)% | ||||||||
Consumer Discretionary - (0.5)% | ||||||||
Volkswagen AG (Germany) (2) | ||||||||
(proceeds $13,734,005) | (67,195) | (13,572,295) | ||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT (proceeds $544,992,162) | (587,515,011) | |||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 79.8% |
| 2,141,709,392 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 20.2% (o) | 542,050,209 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,683,759,601 | ||||||
|
|
† | Non income-producing security. |
(a) | 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, 2013, the value of these securities was $353,458,297. In addition, $422,200,171 of cash collateral was pledged. |
(b) | Security fair valued at as of June 30, 2013 using procedures approved by the Board of Trustees. The total value of positions fair valued was $117,604,737 or 4.4% of total net assets. |
(c) | All or a portion of the security on loan. The aggregate market value of such securities is $51,999; cash collateral of $115,553 was received with which the Fund purchased a money market fund. |
(d) | Represents a Pay-in-Kind Stock. |
(e) | Represents less than 0.05 percent of net assets. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 37 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
(f) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(g) | Defaulted security. |
(h) | Represents a Pay-in-Kind Bond. |
(i) | Represents a step bond. The rate shown reflects the yield at June 30, 2013. |
(j) | Indicates a variable rate security. The interest rate shown represents the discount rate at June 30, 2013. |
(k) | The rate shown is the effective yield at the date of purchase. |
(l) | Represents annualized seven-day yield as of June 30, 2013. |
(m) | A portion of the security is pledged as collateral to the brokers for forward foreign exchange, futures and swap contracts. |
(n) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(o) | Includes appreciation on forward foreign currency exchange, futures contracts and swap contracts. |
(p) | Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, |
if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of June 30, 2013. |
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
EUR - Euro
MTN - Medium Term Note
NOK - Norwegian Krone
REIT - Real Estate Investment Trust
Credit default swap contracts buy protection as of June 30, 2013:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||||
CitiBank, Inc. | Markit CDX North America High Yield Index Series 20 | 5.000% | USD | 4.290% | (144,100,000) | $(4,157,531) | 06/20/2018 | $(384,428) | ||||||||||||||||||||
Over the Counter | ||||||||||||||||||||||||||||
Bank of America | Host Hotels & Resorts LP | 1.000% | USD | 0.560% | (3,450,000) | $96,976 | 12/20/2015 | $(135,091) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$(4,060,555) | $(519,519) | |||||||||||||||||||||||||||
|
|
|
|
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $622. Additional cash held as collateral with CitiBank was $10,313,986 at June 30, 2013.
Open written options contracts outstanding at June 30, 2013:
Call options written
SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
13,945 | Clearwire Corp. (Exercise price $3) | J.P. Morgan | September 21, 2013 | $(585,690) | $(2,719,275) | $(2,133,585) | ||||||||||||||
10,405 | Clearwire Corp. (Exercise price $4) | J.P. Morgan | December 21, 2013 | (71,055) | (988,475) | (917,420) | ||||||||||||||
1,764 | Dell, Inc. (Exercise price $13) | J.P. Morgan | August 17, 2013 | (128,772) | (109,368) | 19,404 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
38 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
136 | Knight Capital Group, Inc. (Exercise price $5) | J.P. Morgan | July 20, 2013 | $— | $(544) | $(544) | ||||||||||||||
372 | Knight Capital Group, Inc. (Exercise price $4) | J.P. Morgan | July 20, 2013 | (510) | (1,488) | (978) | ||||||||||||||
34,786 | Pfizer, Inc. (Exercise price $35) | J.P. Morgan | July 20, 2013 | (75,772) | (34,786) | 40,986 | ||||||||||||||
5,545 | Sprint Nextel Corp. (Exercise price $10) | J.P. Morgan | January 18, 2014 | (41,551) | (22,180) | 19,371 | ||||||||||||||
5,651 | SUPERVALU, Inc. (Exercise price $5) | J.P. Morgan | July 20, 2013 | — | (762,885) | (762,885) | ||||||||||||||
6,653 | Zoetis, Inc. (Exercise price $40) | J.P. Morgan | July 20, 2013 | (76,487) | (19,959) | 56,528 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(979,837) | $(4,658,960) | $(3,679,123) | ||||||||||||||||||
|
|
|
|
|
|
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION | |||||||||||
Short Contracts: | ||||||||||||||||
2,140 | S&P 500 E-Mini Futures | September 20, 2013 | $(174,356,380) | $(171,125,100) | $3,231,280 | |||||||||||
1,227 | U.S. Treasury 2-Year Note Futures | September 30, 2013 | (270,372,885) | (269,940,000) | 432,885 | |||||||||||
251 | U.S. Treasury 5-Year Note Futures | September 30, 2013 | (30,906,880) | (30,382,766) | 524,114 | |||||||||||
|
|
|
|
|
| |||||||||||
$(475,636,145) | $(471,447,866) | $4,188,279 | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $4,608,026 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Canadian Dollar, Expiring 08/07/13 | The Royal Bank of Scotland | CAD | 4,851,774 | $4,715,724 | $4,609,175 | $(106,549) | ||||||||||||||
Euro, Expiring 09/06/13 | The Royal Bank of Scotland | EUR | 1,499,738 | 1,987,153 | 1,952,713 | (34,440) | ||||||||||||||
Norwegian Krone, Expiring 07/09/13 | The Royal Bank of Scotland | NOK | 406,088 | 69,760 | 66,837 | (2,923) | ||||||||||||||
Norwegian Krone, Expiring 10/09/13 | The Royal Bank of Scotland | NOK | 410,550 | 70,292 | 67,346 | (2,946) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$6,842,929 | $6,696,071 | $(146,858) | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 39 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 12/31/13 | The Royal Bank of Scotland | AUD | (275,541) | $(278,296) | $(248,777) | $29,519 | ||||||||||||||
Canadian Dollar, Expiring 07/15/13 | The Royal Bank of Scotland | CAD | (20,179,600) | (19,236,193) | (19,181,556) | 54,637 | ||||||||||||||
Canadian Dollar, Expiring 08/07/13 | The Royal Bank of Scotland | CAD | (29,592,710) | (28,906,356) | (28,111,996) | 794,360 | ||||||||||||||
Canadian Dollar, Expiring 10/04/13 | The Royal Bank of Scotland | CAD | (4,902,323) | (4,650,096) | (4,648,859) | 1,237 | ||||||||||||||
Canadian Dollar, Expiring 12/27/13 | The Royal Bank of Scotland | CAD | (168,314) | (159,888) | (159,343) | 545 | ||||||||||||||
Euro, Expiring 07/02/13 | The Royal Bank of Scotland | EUR | (259,533) | (336,906) | (337,821) | (915) | ||||||||||||||
Euro, Expiring 09/06/13 | The Royal Bank of Scotland | EUR | (14,023,715) | (18,351,588) | (18,259,382) | 92,206 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (4,793,643) | (6,293,193) | (6,241,841) | 51,352 | ||||||||||||||
Euro, Expiring 12/04/13 | The Royal Bank of Scotland | EUR | (2,411,123) | (3,156,434) | (3,140,179) | 16,255 | ||||||||||||||
Euro, Expiring 12/13/13 | The Royal Bank of Scotland | EUR | (2,761,147) | (3,627,656) | (3,596,975) | 30,681 | ||||||||||||||
Euro, Expiring 12/31/13 | The Royal Bank of Scotland | EUR | (18,000) | (23,720) | (23,451) | 269 | ||||||||||||||
Euro, Expiring 04/07/14 | The Royal Bank of Scotland | EUR | (21,000) | (27,733) | (27,377) | 356 | ||||||||||||||
Euro, Expiring 06/09/14 | The Royal Bank of Scotland | EUR | (742,500) | (954,016) | (968,435) | (14,419) | ||||||||||||||
Euro, Expiring 06/27/14 | The Royal Bank of Scotland | EUR | (326,437) | (426,548) | (425,827) | 721 | ||||||||||||||
Euro, Expiring 04/07/15 | The Royal Bank of Scotland | EUR | (21,000) | (27,804) | (27,471) | 333 | ||||||||||||||
Euro, Expiring 06/09/15 | The Royal Bank of Scotland | EUR | (742,500) | (956,986) | (971,918) | (14,932) | ||||||||||||||
Euro, Expiring 11/09/15 | The Royal Bank of Scotland | EUR | (311,240) | (401,618) | (409,164) | (7,546) | ||||||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | (21,000) | (27,886) | (27,729) | 157 | ||||||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | (21,000) | (28,010) | (28,029) | (19) | ||||||||||||||
Norwegian Krone, Expiring 07/09/13 | The Royal Bank of Scotland | NOK | (1,173,142) | (202,413) | (193,083) | 9,330 | ||||||||||||||
Norwegian Krone, Expiring 09/16/13 | The Royal Bank of Scotland | NOK | (6,745,753) | (1,166,288) | (1,107,460) | 58,828 | ||||||||||||||
Norwegian Krone, Expiring 09/27/13 | The Royal Bank of Scotland | NOK | (368,000) | (59,686) | (60,391) | (705) | ||||||||||||||
Norwegian Krone, Expiring 10/09/13 | The Royal Bank of Scotland | NOK | (1,186,033) | (203,939) | (194,556) | 9,383 | ||||||||||||||
Norwegian Krone, Expiring 11/18/13 | The Royal Bank of Scotland | NOK | (978,750) | (166,612) | (160,336) | 6,276 | ||||||||||||||
Norwegian Krone, Expiring 12/11/13 | The Royal Bank of Scotland | NOK | (1,397,358) | (225,770) | (228,733) | (2,963) | ||||||||||||||
Norwegian Krone, Expiring 12/18/13 | The Royal Bank of Scotland | NOK | (51,000,000) | (8,733,470) | (8,346,192) | 387,278 | ||||||||||||||
Norwegian Krone, Expiring 12/27/13 | The Royal Bank of Scotland | NOK | (364,000) | (58,852) | (59,551) | (699) | ||||||||||||||
Norwegian Krone, Expiring 03/27/14 | The Royal Bank of Scotland | NOK | (360,000) | (58,013) | (58,726) | (713) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
40 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Norwegian Krone, Expiring 05/19/14 | The Royal Bank of Scotland | NOK | (978,750) | $(164,808) | $(159,396) | $5,412 | ||||||||||||||
Norwegian Krone, Expiring 06/11/14 | The Royal Bank of Scotland | NOK | (1,389,722) | (222,926) | (226,163) | (3,237) | ||||||||||||||
Norwegian Krone, Expiring 06/27/14 | The Royal Bank of Scotland | NOK | (368,000) | (59,102) | (59,858) | (756) | ||||||||||||||
Norwegian Krone, Expiring 09/29/14 | The Royal Bank of Scotland | NOK | (368,000) | (58,875) | (59,696) | (821) | ||||||||||||||
Norwegian Krone, Expiring 11/18/14 | The Royal Bank of Scotland | NOK | (17,178,750) | (2,863,290) | (2,782,665) | 80,625 | ||||||||||||||
Norwegian Krone, Expiring 12/11/14 | The Royal Bank of Scotland | NOK | (1,397,358) | (222,594) | (226,198) | (3,604) | ||||||||||||||
Norwegian Krone, Expiring 12/29/14 | The Royal Bank of Scotland | NOK | (364,000) | (58,017) | (58,892) | (875) | ||||||||||||||
Norwegian Krone, Expiring 03/27/15 | The Royal Bank of Scotland | NOK | (360,000) | (57,174) | (58,096) | (922) | ||||||||||||||
Norwegian Krone, Expiring 06/11/15 | The Royal Bank of Scotland | NOK | (26,889,722) | (4,251,474) | (4,329,818) | (78,344) | ||||||||||||||
Norwegian Krone, Expiring 06/29/15 | The Royal Bank of Scotland | NOK | (12,368,000) | (1,956,652) | (1,990,667) | (34,015) | ||||||||||||||
Norwegian Krone, Expiring 04/27/16 | The Royal Bank of Scotland | NOK | (19,387,600) | (3,266,931) | (3,106,531) | 160,400 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(111,927,813) | (110,303,138) | 1,624,675 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(105,084,884) | $(103,607,067) | $1,477,817 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $8,781. Additional cash held as collateral for Royal Bank of Scotland was $1,630,000.
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
NOK - Norwegian Krone
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 41 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | VALUE (NOTE 2) | |||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swaps. | 06/19/2014 | $98,082 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions | ||||||||||||
United Kingdom | ||||||||||||
TUI Travel PLC | (743,844) | $ | (3,959,593) | $ | (73,364) | |||||||
|
| |||||||||||
Net Cash and Other Receivables/(Payables) (c) | 171,446 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 98,082 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(c) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund held as collateral was $3,032,680 at June 30, 2013.
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | VALUE (NOTE 2) | |||||
JPMorgan | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swaps. | 09/16/2013 - 08/04/2014 | $36,991,864 | |||||
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* | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
The accompanying notes are an integral part of these financial statements. | (Continued) |
42 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
United States | ||||||||||||
2010 Swift Mandatory Common Exchange Security Trust | 79,775 | $ | 1,090,333 | $ | 10,411 | |||||||
Alpha Natural Resources, Inc. | 6,130 | 32,925 | (804) | |||||||||
Beazer Homes USA, Inc. | 40,300 | 952,289 | 226,083 | |||||||||
Boston Properties, Inc. | 132 | 2,545 | 11,377 | |||||||||
Cliffs Natural Resources, Inc. | 34,882 | 728,706 | (161,873) | |||||||||
CNO Financial Group, Inc. | 367 | 3,864 | 893 | |||||||||
Energy XXI, Inc. | 9,535 | 3,414,722 | (905,825) | |||||||||
Genesee & Wyoming, Inc. | 824 | 67,451 | 2,457 | |||||||||
GT Advanced Technologies, Inc. | 23,722 | 87,469 | 10,978 | |||||||||
Interpublic Group of Cos, Inc./The | 3,000 | 3,094,500 | 738,000 | |||||||||
JetBlue Airways Corp. | 5,578 | 34,541 | 601 | |||||||||
Level 3 Communications, Inc. | 133,455 | 2,846,832 | (33,600) | |||||||||
NextEra Energy, Inc. | 294,225 | 15,261,477 | 1,332,813 | |||||||||
PPL Corp. | 305,325 | 16,635,551 | (633,467) | |||||||||
Sanchez Energy Corp. | 67,500 | 3,945,530 | (55,843) | |||||||||
Thompson Creek Metals Co., Inc. | 226,250 | 3,738,781 | (35,069) | |||||||||
Universal Corp. | 8,350 | 9,103,587 | 1,605,288 | |||||||||
Whiting Petroleum Corp. | 1,144 | 241,241 | 2,288 | |||||||||
Wintrust Financial Corp. | 100,625 | 5,487,125 | (42,306) | |||||||||
|
| |||||||||||
Total of Long Equity Positions | 2,072,402 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
United Kingdom | ||||||||||||
Liberty Global PLC | (90,893) | (2,153,023) | (4,580,330) | |||||||||
|
| |||||||||||
United States | ||||||||||||
3D Systems Corp. | (786,830) | (22,711,651) | (11,830,186) | |||||||||
A.M. Castle & Co. | (83,200) | (843,137) | (468,094) | |||||||||
Accuray, Inc. | (174,158) | (889,041) | (110,626) | |||||||||
Affymetrix, Inc. | (253,516) | (994,714) | (130,897) | |||||||||
Alcoa, Inc. | (446,706) | (3,953,009) | 459,768 | |||||||||
Alliance Data Systems Corp. | (220,747) | (28,979,666) | (10,982,163) | |||||||||
Alliance One International, Inc. | (362,470) | (1,295,847) | (81,539) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
American Equity Investment Life Holding Co. | (1,650,286) | $ | (20,168,562) | $ | (5,740,928) | |||||||
Amkor Technology, Inc. | (1,701,686) | (8,129,023) | 964,925 | |||||||||
Annaly Capital Management, Inc. | (2,495) | (32,453) | 1,091 | |||||||||
ArcelorMittal | (2,433) | (31,970) | 4,721 | |||||||||
Archer-Daniels-Midland Co. | (3,845) | (131,000) | 616 | |||||||||
ARES Captial Corp. | (94,020) | (1,631,525) | 14,381 | |||||||||
AuRico Gold, Inc. | (64,104) | (390,450) | 110,316 | |||||||||
AV Homes, Inc. | (118,327) | (1,554,555) | (543,382) | |||||||||
Avis Budget Group, Inc. | (432,616) | (8,875,125) | (3,562,585) | |||||||||
Beazer Homes USA, Inc. | (56,975) | (778,365) | (219,837) | |||||||||
BioMed Realty Trust, Inc. | (358,085) | (7,124,343) | (119,716) | |||||||||
BlackRock Kelso Capital Corp. | (32,530) | (321,432) | 16,952 | |||||||||
Blucora, Inc. | (20,665) | (358,456) | (24,673) | |||||||||
Bristow Group, Inc. | (10,827) | (692,592) | (14,627) | |||||||||
Cadence Design Systems, Inc. | (885,585) | (11,284,021) | (1,539,250) | |||||||||
Cal Dive International, Inc. | (98,974) | (199,990) | 13,919 | |||||||||
CBIZ, Inc. | (116,171) | (706,424) | (73,084) | |||||||||
Cemex SAB de CV | (1,543,102) | (17,016,192) | 690,173 | |||||||||
Cenveo, Inc. | (293,443) | (636,999) | 11,965 | |||||||||
Chart Industries, Inc. | (88,281) | (6,482,904) | (1,823,455) | |||||||||
China Medical Technologies, Inc. | (45,264) | (129,002) | 128,550 | |||||||||
Chiquita Brands International, Inc. | (35,099) | (257,247) | (126,034) | |||||||||
Ciena Corp. | (516,961) | (8,326,120) | (1,713,263) | |||||||||
Cobalt International Energy, Inc. | (145) | (3,877) | 24 | |||||||||
Coinstar, Inc. | (48,557) | (2,495,577) | (353,262) | |||||||||
Concur Technologies, Inc. | (3,496) | (244,893) | (39,611) | |||||||||
Convergys Corp. | (590,993) | (9,237,921) | (1,063,087) | |||||||||
Crimson Wine Group Ltd. | (913) | (5,694) | (2,080) | |||||||||
DDR Corp. | (509,313) | (8,896,375) | 416,313 | |||||||||
DFC Global Corp. | (19,884) | (326,137) | 51,539 | |||||||||
Digital Realty Trust, Inc. | (205,650) | (15,329,620) | 2,784,970 | |||||||||
DR Horton, Inc. | (797,160) | (16,888,337) | (75,228) | |||||||||
DST Systems, Inc. | (20,306) | (1,152,449) | (174,142) | |||||||||
Electronic Arts, Inc. | (73,554) | (1,687,611) | (1,925) | |||||||||
Energy XXI, Inc. | (63,855) | (2,064,888) | 648,584 | |||||||||
Equinix, Inc. | (151,967) | (27,976,781) | (94,563) | |||||||||
Espeed, Inc. | (37,266) | (211,414) | (8,083) | |||||||||
Exelixis, Inc. | (92,949) | (443,406) | 21,418 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 43 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Exterran Holdings, Inc. | (129,375) | $ | (3,141,268) | $ | (496,757) | |||||||
Fifth & Pacific Cos., Inc. | (1,747,763) | (21,087,760) | (17,957,266) | |||||||||
Finisar Corp. | (30,913) | (450,633) | (73,343) | |||||||||
GenCorp, Inc. | (381,270) | (4,584,238) | (1,615,212) | |||||||||
General Cable Corp. | (230,178) | (6,977,257) | (100,716) | |||||||||
Goodrich Petroleum Corp. | (4,472) | (59,555) | 2,313 | |||||||||
Green Plains Renewable Energy, Inc. | (180,239) | (1,953,087) | (447,696) | |||||||||
Group 1 Automotive, Inc. | (58,314) | (3,299,821) | (451,519) | |||||||||
Hawaiian Holdings, Inc. | (24,360) | (147,777) | (1,063) | |||||||||
Health Care REIT, Inc. | (43,943) | (2,873,227) | (72,272) | |||||||||
Hertz Global Holdings, Inc. | (2,138,764) | (28,149,077) | (24,892,270) | |||||||||
Hilltop Holdings, Inc. | (116,478) | (1,950,265) | 40,025 | |||||||||
Hornbeck Offshore Services, Inc. | (68,726) | (3,612,058) | (64,783) | |||||||||
Host Hotels & Resorts, Inc. | (1,521,652) | (24,207,632) | (1,462,637) | |||||||||
Interpublic Group of Cos., Inc./The | (61,314) | (807,858) | (84,261) | |||||||||
iStar Financial, Inc. | (168,497) | (1,743,296) | (159,035) | |||||||||
JAKKS Pacific, Inc. | (145,436) | (2,332,793) | 696,638 | |||||||||
Kaman Corp. | (75,087) | (2,522,779) | (72,228) | |||||||||
KCAP Financial, Inc. | (278,893) | (2,942,837) | (197,498) | |||||||||
Kilroy Realty Corp. | (193,329) | (9,356,275) | (892,096) | |||||||||
L-3 Communications Holdings, Inc. | (19,077) | (1,395,831) | (239,831) | |||||||||
Lennar Corp. | (1,191,754) | (42,186,920) | (763,895) | |||||||||
Leucadia National Corp. | (9,539) | (233,922) | (16,190) | |||||||||
Lexington Realty Trust | (947,571) | (9,245,875) | (1,821,754) | |||||||||
Liberty Global PLC | (67,868) | (1,515,287) | (3,092,272) | |||||||||
M/I Homes, Inc. | (20,969) | (524,272) | 42,824 | |||||||||
MasTec, Inc. | (60,472) | (1,671,024) | (318,504) | |||||||||
Meadowbrook Insurance Group, Inc. | (11,214) | (89,193) | (855) | |||||||||
Medicines Co./The | (23,335) | (641,982) | (75,803) | |||||||||
Meritage Homes Corp. | (1,703) | (74,655) | 813 | |||||||||
Meritor, Inc. | (30,983) | (184,790) | (33,640) | |||||||||
MGIC Investment Corp. | (435,924) | (2,039,793) | (606,266) | |||||||||
MGM Resorts International | (173,200) | (2,488,679) | (71,217) | |||||||||
Microchip Technology | (379,449) | (13,316,455) | (818,021) | |||||||||
Micron Technology, Inc. | (1,541,251) | (17,790,104) | (4,296,023) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Molina Healthcare, Inc. | (46,142) | $ | (1,374,550) | $ | (341,009) | |||||||
Navistar International Corp. | (4,873) | (165,179) | 29,904 | |||||||||
NextEra Energy, Inc. | (128,023) | (9,275,772) | (1,155,542) | |||||||||
NorthStar Realty Finance Corp. | (232,327) | (1,877,733) | (236,443) | |||||||||
Nuance Communications, Inc. | (9,010) | (196,088) | 30,484 | |||||||||
Omnicare, Inc. | (82,318) | (2,750,564) | (1,176,828) | |||||||||
Pdl Biopharma, Inc. | (229,658) | (1,685,251) | (87,708) | |||||||||
Penson Worldwide, Inc. | (217,523) | (25,668) | 24,689 | |||||||||
PHH Corp. | (571,848) | (11,653,944) | (318) | |||||||||
Photronics, Inc. | (389,476) | (2,420,339) | (718,837) | |||||||||
PPL Corp. | (531,448) | (16,204,997) | 123,380 | |||||||||
priceline.com, Inc. | (23,112) | (13,532,716) | (5,583,913) | |||||||||
Prologis, Inc. | (1,497) | (66,240) | 9,774 | |||||||||
Quantum Corp. | (814,594) | (1,072,202) | (43,791) | |||||||||
Radian Group, Inc. | (1,052,823) | (11,813,860) | (419,944) | |||||||||
Regeneron Pharmaceuticals, Inc. | (137,675) | (20,335,386) | (10,624,968) | |||||||||
Regis Corp. | (438,419) | (7,743,240) | 544,400 | |||||||||
Rite Aid Corp. | (85,193) | (179,102) | (64,550) | |||||||||
RTI International Metals, Inc. | (77,012) | (2,150,478) | 16,475 | |||||||||
Ryman Hospitality Properties | (589,146) | (20,325,093) | (2,657,492) | |||||||||
Saks, Inc. | (144,470) | (1,591,796) | (378,774) | |||||||||
Salesforce.com, Inc. | (881,981) | (32,803,276) | (870,759) | |||||||||
Sanchez Energy Corp. | (151,704) | (3,480,541) | (2,583) | |||||||||
Sequenom, Inc. | (795,356) | (3,296,294) | (52,155) | |||||||||
Silver Standard Resources, Inc. | (18,750) | (136,075) | 17,200 | |||||||||
Sirius XM Radio | (10,216,541) | (28,611,462) | (5,613,950) | |||||||||
SL Green Realty Corp. | (125,296) | (10,342,735) | (707,120) | |||||||||
Smithfield Foods, Inc. | (143,531) | (3,686,581) | (1,014,060) | |||||||||
Standard Pacific Corp. | (110,585) | (907,565) | (13,608) | |||||||||
Stewart Information Services Corp. | (461,277) | (9,140,334) | (2,940,511) | |||||||||
Stillwater Mining Co. | (7,761) | (92,922) | 9,568 | |||||||||
SunPower Corp. | (65,581) | (1,332,008) | (25,519) | |||||||||
Swift Transportation Co. | (55,920) | (897,914) | (27,003) | |||||||||
SYNNEX Corp. | (155,185) | (5,539,010) | (1,022,212) | |||||||||
Take-Two Interactive Software, Inc. | (88,525) | (1,384,296) | 59,076 | |||||||||
Terex Corp. | (620,262) | (15,296,761) | (1,016,130) | |||||||||
Theravance, Inc. | (3,743) | (139,695) | (4,523) | |||||||||
Thompson Creek M | (1,060,541) | (2,813,506) | (399,933) | |||||||||
TICC Capital Corp. | (21,554) | (210,230) | 2,881 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
44 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Titan International, Inc. | (683,353) | $ | (14,848,114) | $ | 3,319,949 | |||||||
Titan Machinery, Inc. | (30,319) | (803,025) | 207,863 | |||||||||
TRW Automotive Holdings Corp. | (211,529) | (9,641,511) | (4,412,476) | |||||||||
Tyson Foods, Inc. | (283,156) | (5,535,885) | (1,735,561) | |||||||||
United Rentals, Inc. | (757,256) | (25,005,902) | (12,788,745) | |||||||||
United States Steel Corp. | (17,461) | (319,606) | 13,515 | |||||||||
Universal Corp. | (119,536) | (6,570,660) | (344,498) | |||||||||
Vantage Drilling Co. | (9,257) | (17,905) | (979) | |||||||||
Vector Group Ltd. | (83,132) | (1,329,168) | (19,233) | |||||||||
VeriSign, Inc. | (702,692) | (30,556,780) | (825,445) | |||||||||
Viropharma, Inc. | (494,886) | (12,285,851) | (1,892,633) | |||||||||
Vishay Intertechnology, Inc. | (485,827) | (5,150,450) | (1,597,687) | |||||||||
Western Refining, Inc. | (1,913,919) | (50,577,786) | (3,145,920) | |||||||||
Whiting Petroleum Corp. | (5,270) | (240,054) | (2,840) | |||||||||
Wintrust Financial Corp. | (88,882) | (3,262,223) | (140,180) | |||||||||
Xilinx, Inc. | (376,841) | (13,396,265) | (1,530,407) | |||||||||
|
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Total of Short Equity Positions | (160,796,364) | |||||||||||
|
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Total of Long and Short Equity Positions | (158,723,962) | |||||||||||
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Long Positions | PRINCIPAL | |||||||||||
United States | ||||||||||||
3D Systems Corp., 5.50%, 12/15/16 | $ | 11,725,000 | 21,958,158 | 14,135,541 | ||||||||
A.M. Castle & Co., 7.00%, 12/15/17 | 925,000 | 1,023,487 | 514,497 | |||||||||
Accuray, Inc., 3.75%, 08/01/16 | 700,000 | 699,898 | (18,041) | |||||||||
Afford Resid Com, 7.50%, 08/15/25 | 4,773,000 | 6,067,374 | 91,694 | |||||||||
Affymetrix, Inc., 4.00%, 07/01/19 | 2,525,000 | 2,305,184 | 231,883 | |||||||||
Alcoa, Inc., 5.25%, 03/15/14 | 3,525,000 | 5,478,657 | (953,007) | |||||||||
Alliance Data Systems Corp., 4.75%, 05/15/14 | 10,500,000 | 29,510,176 | 10,509,874 | |||||||||
Alliance One International, Inc., 5.50%, 07/15/14 | 4,500,000 | 4,188,064 | 489,434 | |||||||||
American Equity Investment Life Holding Co., 5.25%, 12/06/29 | 10,275,000 | 13,562,147 | 3,785,127 |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
American Equity Investment Life Holding Co., 3.50%, 09/15/15 | $ | 8,925,000 | $ | 10,225,694 | $ | 1,762,424 | ||||||
Amkor Technology, Inc., 6.00%, 04/15/14 | 5,950,000 | 11,393,256 | (2,733,507) | |||||||||
Annaly Capital Management, Inc., 5.00%, 05/15/15 | 3,150,000 | 3,228,750 | (31,928) | |||||||||
ArcelorMittal, 5.00%, 05/15/14 | 6,875,000 | 7,114,669 | (60,135) | |||||||||
Archer-Daniels-Midland Co., 0.88%, 02/15/14 | 1,500,000 | 1,512,151 | 4,894 | |||||||||
Ares Capital Corp., 5.75%, 02/01/16 | 4,425,000 | 4,699,686 | 238,650 | |||||||||
Ares Capital Corp., 5.13%, 06/01/16 | 3,025,000 | 3,147,186 | 82,518 | |||||||||
AV Homes, Inc., 7.50%, 02/15/16 | 980,000 | 991,025 | 208,507 | |||||||||
AV Homes, Inc., 7.50%, 02/15/16 | 3,920,000 | 4,080,885 | 300,744 | |||||||||
Avis Budget Group, Inc., 3.50%, 10/01/14 | 7,400,000 | 9,280,939 | 4,324,041 | |||||||||
BGC Partners, Inc., 4.50%, 07/15/16 | 965,000 | 875,617 | 122,450 | |||||||||
BioMed Realty LP, 3.75%, 01/15/30 | 8,975,000 | 10,494,207 | 518,948 | |||||||||
Bristow Group, Inc., 3.00%, 06/15/38 | 1,000,000 | 1,016,167 | 163,731 | |||||||||
Cadence Design Systems, Inc., 2.63%, 06/01/15 | 6,925,000 | 12,112,331 | 1,353,389 | |||||||||
CBIZ, Inc., 4.88%, 10/01/15 | 1,400,000 | 1,423,464 | 142,757 | |||||||||
Cemex SAB de CV, 4.88%, 03/15/15 | 6,675,000 | 6,864,234 | 864,126 | |||||||||
Cemex SAB de CV, 3.75%, 03/15/18 | 500,000 | 467,760 | 153,578 | |||||||||
Cemex SAB de CV, 3.25%, 03/15/16 | 15,375,000 | 19,660,852 | (855,514) | |||||||||
Cenveo Corp., 7.00%, 05/15/17 | 1,800,000 | 1,498,849 | 110,683 | |||||||||
Chart Industries, Inc., 2.00%, 08/01/18 | 6,925,000 | 8,721,844 | 1,717,950 | |||||||||
China Medical Technologies, Inc., 4.00%, 08/15/13 | 250,000 | 43,750 | (41,250) | |||||||||
China Medical Technologies, Inc., 6.25%, 12/15/16 | 2,625,000 | 459,375 | (433,125) | |||||||||
Ciena Corp., 4.00%, 12/15/20 | 13,175,000 | 14,705,935 | 2,499,364 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 45 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ciena Corp., 4.00%, 03/15/15 | $ | 2,900,000 | $ | 3,455,512 | $ | (18,224) | ||||||
Coinstar, Inc., 4.00%, 09/01/14 | 2,150,000 | 3,035,501 | 108,699 | |||||||||
Concur Technologies, Inc., 2.50%, 04/15/15 | 200,000 | 289,653 | 29,997 | |||||||||
Convergys Corp., 5.75%, 09/15/29 | 7,825,000 | 12,481,258 | 838,359 | |||||||||
DDR Corp., 1.75%, 11/15/40 | 12,000,000 | 13,373,486 | 647,207 | |||||||||
DFC Global Corp., 3.25%, 04/15/17 | 800,000 | 939,522 | (148,695) | |||||||||
Digital Realty Trust LP, 5.50%, 04/15/29 | 8,450,000 | 15,949,848 | (2,735,988) | |||||||||
DR Horton, Inc., 2.00%, 05/15/14 | 11,106,000 | 16,464,023 | 1,992,157 | |||||||||
DST Systems, Inc., 0.54%, 08/15/23 | 975,000 | 1,156,594 | 193,909 | |||||||||
Electronic Arts, Inc., 0.75%, 07/15/16 | 5,075,000 | 5,276,637 | 25,047 | |||||||||
Equinix, Inc., 4.75%, 06/15/16 | 13,075,000 | 29,961,820 | (249,642) | |||||||||
Exide Technologies, 4.25%, 06/15/14 | 3,675,000 | 4,054,315 | 676,331 | |||||||||
Exide Technologies, 0.00%, 09/18/13 | 650,000 | 554,125 | (472,875) | |||||||||
Fifth & Pacific Cos., Inc., 6.00%, 06/15/14 | 6,250,000 | 21,389,581 | 18,019,294 | |||||||||
Finisar Corp., 5.00%, 10/15/29 | 400,000 | 687,111 | 45,737 | |||||||||
Gaylord Entertainment Co., 3.75%, 10/01/14 | 13,200,000 | 20,741,873 | 2,907,496 | |||||||||
Genco Shipping & Trading Ltd., 5.00%, 08/15/15 | 500,000 | 239,931 | (101,301) | |||||||||
GenCorp, Inc., 4.06%, 12/31/39 | 3,575,000 | 4,146,875 | 2,512,279 | |||||||||
General Cable Corp., 4.50%, 11/15/29 | 9,620,000 | 10,171,948 | 487,039 | |||||||||
General Cable Corp., 0.88%, 11/15/13 | 6,075,000 | 5,974,234 | 92,079 | |||||||||
GMX Resources, Inc., 4.50%, 05/01/15 | 1,875,000 | 830,391 | (722,578) | |||||||||
Goodrich Petroleum Corp., 5.00%, 10/01/29 | 1,000,000 | 958,472 | 46,186 | |||||||||
Green Plains Renewable Energy, Inc., 5.75%, 11/01/15 | 4,100,000 | 2,988,699 | 1,748,723 |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Group 1 Automotive, Inc., 3.00%, 03/15/20 | $ | 2,350,000 | $ | 3,783,305 | $ | 493,440 | ||||||
Hawaiian Holdings, Inc., 5.00%, 03/15/16 | 300,000 | 327,583 | 4,487 | |||||||||
Health Care REIT, Inc., 3.00%, 12/01/29 | 2,400,000 | 3,041,981 | 139,028 | |||||||||
Hertz Global Holdings, Inc., 5.25%, 06/01/14 | 17,725,000 | 28,770,263 | 24,608,865 | |||||||||
Hornbeck Offshore Services, Inc., 1.63%, 11/15/26 | 4,900,000 | 5,600,424 | 62,442 | |||||||||
Host Hotels & Resorts LP, 2.50%, 10/15/29 | 27,225,000 | 35,072,987 | 1,991,158 | |||||||||
Host Hotels & Resorts, Inc., 3.00%, 08/01/35 | 5,800,000 | 5,770,031 | 198,982 | |||||||||
JAKKS Pacific, Inc., 4.50%, 11/01/14 | 3,925,000 | 4,799,784 | (826,842) | |||||||||
James River Coal Co., 4.50%, 12/01/15 | 500,000 | 180,813 | 35,909 | |||||||||
Kaman Corp., 3.25%, 11/15/17 | 3,800,000 | 4,500,283 | 10,694 | |||||||||
Kilroy Realty LP, 4.25%, 11/15/14 | 7,390,000 | 10,091,097 | 921,459 | |||||||||
LDK Solar Co., Ltd., 0.00%, 01/01/99 | 187,500 | 115,181 | 26,173 | |||||||||
Lennar Corp., 3.25%, 11/15/21 | 14,100,000 | 23,013,239 | 713,172 | |||||||||
Lennar Corp., 2.75%, 12/15/20 | 16,900,000 | 26,681,827 | 2,266,661 | |||||||||
Leucadia National Corp., 3.75%, 04/15/14 | 250,000 | 285,286 | 32,416 | |||||||||
Lexington Realty Trust, 6.00%, 01/15/30 | 7,550,000 | 10,379,989 | 2,496,333 | |||||||||
Medicines Co./The, 1.38%, 06/01/17 | 825,000 | 923,922 | 114,383 | |||||||||
Meritor, Inc., 4.63%, 03/01/26 | 2,000,000 | 1,801,882 | 230,781 | |||||||||
MGIC Investment Corp., 5.00%, 05/01/17 | 10,850,000 | 6,610,970 | 4,536,226 | |||||||||
MGM Resorts International, 4.25%, 04/15/15 | 7,150,000 | 7,417,053 | 648,766 | |||||||||
Microchip Technology, Inc., 2.13%, 12/15/37 | 10,650,000 | 14,135,031 | 1,322,782 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
46 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Micron Technology, Inc., 3.13%, 05/01/32 | $ | 4,025,000 | $ | 5,668,515 | $ | 774,146 | ||||||
Micron Technology, Inc., 2.38%, 05/01/32 | 4,850,000 | 5,207,445 | 2,558,897 | |||||||||
Micron Technology, Inc., 1.88%, 06/01/14 | 20,275,000 | 21,976,767 | 1,115,253 | |||||||||
Micron Technology, Inc., 1.50%, 08/01/31 | 400,000 | 379,217 | 237,236 | |||||||||
Molina Healthcare, Inc., 3.75%, 10/01/14 | 1,875,000 | 2,135,351 | 294,637 | |||||||||
National Financial Partners Corp., 4.00%, 06/15/17 | 4,025,000 | 5,535,607 | 2,686,583 | |||||||||
Navistar International Corp., 3.00%, 10/15/14 | 875,000 | 799,459 | 55,764 | |||||||||
Northgate Minerals Corp., 3.50%, 10/01/16 | 1,800,000 | 1,859,276 | (147,456) | |||||||||
NorthStar Realty Finance Corp., 7.50%, 03/15/31 | 1,700,000 | 1,835,646 | 819,079 | |||||||||
Nuance Communications, Inc., 2.75%, 11/01/31 | 600,000 | 677,471 | (56,825) | |||||||||
Omnicare, Inc., 3.75%, 12/15/25 | 2,400,000 | 3,263,750 | 1,179,692 | |||||||||
Penson Worldwide, Inc., 8.00%, 06/01/14 | 8,515,000 | 755,468 | 127,963 | |||||||||
PHH Corp., 6.00%, 06/15/17 | 8,125,000 | 14,425,953 | 177,099 | |||||||||
Photronics, Inc., 5.50%, 10/01/14 | 2,200,000 | 3,231,952 | 525,097 | |||||||||
Powerwave Technologies, Inc., 2.75%, 07/15/41 | 3,900,000 | 1,173,763 | (1,134,764) | |||||||||
priceline.com, Inc., 1.25%, 03/15/15 | 7,075,000 | 13,585,231 | 5,759,521 | |||||||||
Protein Design Labs, Inc., 2.88%, 02/15/15 | 1,400,000 | 1,736,763 | 181,261 | |||||||||
Radian Group, Inc., 3.00%, 11/15/17 | 10,225,000 | 9,802,245 | 3,016,516 | |||||||||
Radian Group, Inc., 2.25%, 03/01/19 | 4,150,000 | 5,967,063 | (643,469) | |||||||||
Regeneron Pharmaceuticals, Inc., 1.88%, 10/01/16 | 11,925,000 | 20,994,211 | 11,011,707 |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Regis Corp., 5.00%, 07/15/14 | $ | 10,000,000 | $ | 12,727,780 | $ | (848,498) | ||||||
Rite Aid Corp., 8.50%, 05/15/15 | 300,000 | 322,054 | 105,564 | |||||||||
Saks, Inc., 7.50%, 12/01/13 | 800,000 | 1,651,166 | 319,924 | |||||||||
Salesforce.com, Inc., 0.75%, 01/15/15 | 20,100,000 | 35,162,015 | 1,300,259 | |||||||||
Sequenom, Inc., 5.00%, 10/01/17 | 4,500,000 | 4,586,187 | 685,713 | |||||||||
SL Green Operating Partnership LP, 3.00%, 10/15/17 | 15,150,000 | 17,762,118 | 596,236 | |||||||||
Smithfield Foods, Inc., 4.75%, 06/30/13 | 14,800,000 | 15,984,022 | 3,831,326 | |||||||||
Standard Pacific Corp., 1.25%, 08/01/32 | 1,150,000 | 1,355,088 | 117,758 | |||||||||
Sterlite Industries India Ltd., 4.00%, 10/30/14 | 5,350,000 | 5,077,450 | 157,164 | |||||||||
Stewart Enterprises, Inc., 3.13%, 07/15/14 | 25,000 | 25,219 | 5,887 | |||||||||
Stewart Information Services Corp., 6.00%, 10/15/14 | 6,125,000 | 9,446,790 | 3,448,908 | |||||||||
SunPower Corp., 4.75%, 04/15/14 | 2,775,000 | 2,998,781 | (37,068) | |||||||||
SunPower Corp., 4.50%, 03/15/15 | 625,000 | 732,894 | 4,510 | |||||||||
SYNNEX Corp., 4.00%, 05/15/18 | 8,300,000 | 10,169,193 | 1,679,235 | |||||||||
Take-Two Interactive Software, Inc., 4.38%, 06/01/14 | 1,125,000 | 1,320,606 | 274,331 | |||||||||
Terex Corp., 4.00%, 06/01/15 | 11,325,000 | 17,656,882 | 2,054,961 | |||||||||
Time Warner, Inc., 2.38%, 04/01/26 | 1,075,000 | 1,435,151 | 192,292 | |||||||||
Titan International, Inc., 5.63%, 01/15/17 | 7,575,000 | 18,214,322 | (3,660,749) | |||||||||
Titan Machinery, Inc., 3.75%, 05/01/19 | 2,785,000 | 2,768,173 | (147,402) | |||||||||
TRW Automotive, Inc., 3.50%, 12/01/15 | 6,650,000 | 10,712,133 | 4,438,580 | |||||||||
Tyson Foods, Inc., 3.25%, 10/15/13 | 4,800,000 | 5,427,566 | 1,921,401 | |||||||||
United Rentals, Inc., 4.00%, 11/15/15 | 8,500,000 | 25,552,181 | 12,548,145 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 47 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
United States Steel Corp., 4.00%, 05/15/14 | $ | 6,184,000 | $ | 6,631,654 | $ | (278,266) | ||||||
VeriSign, Inc., 3.25%, 08/15/37 | 27,135,000 | 38,791,739 | (289,741) | |||||||||
Virgin Media, Inc., 6.50%, 11/15/16 | 6,950,000 | 11,370,680 | 7,145,499 | |||||||||
ViroPharma, Inc., 2.00%, 03/15/17 | 10,375,000 | 15,298,228 | 1,795,994 | |||||||||
Vishay Intertechnology, Inc., 2.25%, 11/15/40 | 7,175,000 | 6,586,752 | 1,370,333 | |||||||||
Western Refining, Inc., 5.75%, 06/15/14 | 18,547,000 | 46,588,654 | 7,307,990 | |||||||||
Xilinx, Inc., 3.13%, 03/15/37 | 13,400,000 | 16,487,816 | 2,124,803 |
REFERENCE ENTITY | PRINCIPAL | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
XM Satellite Radio, Inc., 7.00%, 12/01/14 | $ | 19,594,000 | $ | 30,501,862 | $ | 6,856,160 | ||||||
|
| |||||||||||
Total of Long Fixed Income Positions | 188,708,034 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/(Payables) (c) | 7,007,792 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 36,991,864 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(c) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund held as collateral was $302,754,537 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. |
48 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND |
COMMON STOCKS - 98.9% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 21.2% | ||||||||
Advance Auto Parts, Inc. | 2,300 | $ | 186,691 | |||||
Amazon.com, Inc. † | 3,200 | 888,608 | ||||||
American Eagle Outfitters, Inc. (a) | 22,900 | 418,154 | ||||||
AutoNation, Inc. † | 14,700 | 637,833 | ||||||
AutoZone, Inc. † | 1,400 | 593,166 | ||||||
Bed Bath & Beyond, Inc. †(a) | 2,300 | 163,070 | ||||||
Big Lots, Inc. † | 7,800 | 245,934 | ||||||
Brinker International, Inc. (a) | 12,400 | 488,932 | ||||||
Brunswick Corp. (a) | 20,700 | 661,365 | ||||||
Buckle, Inc./The (a) | 7,400 | 384,948 | ||||||
Cabela’s, Inc. †(a) | 11,000 | 712,360 | ||||||
Carter’s, Inc. (a) | 7,700 | 570,339 | ||||||
CBS Corp., Class B | 73,900 | 3,611,493 | ||||||
Chico’s FAS, Inc. (a) | 25,500 | 435,030 | ||||||
Cinemark Holdings, Inc. (a) | 15,800 | 441,136 | ||||||
Clear Channel Outdoor Holdings, Inc., Class A † | 9,300 | 69,378 | ||||||
Comcast Corp., Class A | 241,500 | 10,114,020 | ||||||
CST Brands, Inc. † | 7,300 | 224,913 | ||||||
Dick’s Sporting Goods, Inc. (a) | 4,600 | 230,276 | ||||||
Dillard’s, Inc., Class A (a) | 10,500 | 860,685 | ||||||
Discovery Communications, Inc., Class A †(a) | 45,266 | 3,494,988 | ||||||
DISH Network Corp., Class A | 43,800 | 1,862,376 | ||||||
Dollar General Corp. † | 19,200 | 968,256 | ||||||
Dollar Tree, Inc. † | 17,900 | 910,036 | ||||||
Domino’s Pizza, Inc. (a) | 10,800 | 628,020 | ||||||
DR Horton, Inc. (a) | 73,900 | 1,572,592 | ||||||
DSW, Inc., Class A (a) | 6,600 | 484,902 | ||||||
Expedia, Inc. (a) | 35,600 | 2,141,340 | ||||||
Family Dollar Stores, Inc. | 4,900 | 305,319 | ||||||
Foot Locker, Inc. (a) | 24,400 | 857,172 | ||||||
Ford Motor Co. | 166,400 | 2,574,208 | ||||||
Fossil Group, Inc. † | 6,900 | 712,839 | ||||||
Gannett Co., Inc. | 26,700 | 653,082 | ||||||
Gap, Inc./The | 49,200 | 2,053,116 | ||||||
General Motors Co. †(a) | 88,800 | 2,957,928 | ||||||
Gentex Corp. (a) | 13,000 | 299,650 | ||||||
Genuine Parts Co. (a) | 16,500 | 1,288,155 | ||||||
GNC Holdings, Inc., Class A (a) | 12,900 | 570,309 | ||||||
H&R Block, Inc. | 25,400 | 704,850 | ||||||
Harley-Davidson, Inc. | 13,200 | 723,624 | ||||||
Hasbro, Inc. | 3,200 | 143,456 | ||||||
Home Depot, Inc./The | 142,400 | 11,031,728 | ||||||
HSN, Inc. (a) | 8,000 | 429,760 | ||||||
Hyatt Hotels Corp., Class A †(a) | 10,100 | 407,636 | ||||||
Jarden Corp. † | 13,800 | 603,750 | ||||||
L Brands, Inc. (a) | 15,600 | 768,300 | ||||||
Lamar Advertising Co., Class A † | 12,300 | 533,820 | ||||||
Las Vegas Sands Corp. | 23,000 | 1,217,390 | ||||||
Lennar Corp., Class A (a) | 60,600 | 2,184,024 | ||||||
Liberty Global PLC, Class A (United Kingdom) † | 29,200 | 2,163,136 | ||||||
Liberty Interactive Corp., Series A † | 25,100 | 577,551 | ||||||
LKQ Corp. †(a) | 47,000 | 1,210,250 | ||||||
Lowe’s Cos., Inc. | 109,100 | 4,462,190 | ||||||
Macy’s, Inc. | 12,600 | 604,800 |
SHARES | VALUE (Note 2) | |||||||
Consumer Discretionary - 21.2% (continued) | ||||||||
Madison Square Garden Co./The, Class A † | 11,000 | $ | 651,750 | |||||
Marriott International, Inc., Class A | 9,100 | 367,367 | ||||||
Mattel, Inc. | 48,600 | 2,202,066 | ||||||
MGM Resorts International † | 49,000 | 724,220 | ||||||
Mohawk Industries, Inc. †(a) | 11,600 | 1,304,884 | ||||||
Netflix, Inc. †(a) | 13,500 | 2,849,715 | ||||||
News Corp., Class A (a) | 298,900 | 9,744,140 | ||||||
O’Reilly Automotive, Inc. † | 7,200 | 810,864 | ||||||
Panera Bread Co., Class A †(a) | 2,400 | 446,256 | ||||||
PetSmart, Inc. (a) | 9,200 | 616,308 | ||||||
Pier 1 Imports, Inc. (a) | 24,000 | 563,760 | ||||||
Polaris Industries, Inc. (a) | 10,200 | 969,000 | ||||||
PulteGroup, Inc. † | 155,000 | 2,940,350 | ||||||
PVH Corp. | 9,800 | 1,225,490 | ||||||
Rent-A-Center, Inc. (a) | 8,000 | 300,400 | ||||||
Ross Stores, Inc. | 3,500 | 226,835 | ||||||
Sally Beauty Holdings, Inc. †(a) | 22,600 | 702,860 | ||||||
Signet Jewelers Ltd. (Bermuda) | 3,900 | 262,977 | ||||||
Sirius XM Radio, Inc. (a) | 933,500 | 3,127,225 | ||||||
Six Flags Entertainment Corp. (a) | 32,600 | 1,146,216 | ||||||
Standard Pacific Corp. †(a) | 136,800 | 1,139,544 | ||||||
Starbucks Corp. | 3,834 | 251,089 | ||||||
Starz, Class A †(a) | 20,900 | 461,890 | ||||||
Tempur Sealy International, Inc. † | 2,600 | 114,140 | ||||||
Tenneco, Inc. †(a) | 3,100 | 140,368 | ||||||
Tesla Motors, Inc. †(a) | 25,400 | 2,728,722 | ||||||
Time Warner Cable, Inc. | 26,200 | 2,946,976 | ||||||
Time Warner, Inc. | 113,300 | 6,551,006 | ||||||
TJX Cos., Inc. | 15,500 | 775,930 | ||||||
Toll Brothers, Inc. † | 43,000 | 1,403,090 | ||||||
Tractor Supply Co. | 8,000 | 940,880 | ||||||
TripAdvisor, Inc. †(a) | 24,600 | 1,497,402 | ||||||
TRW Automotive Holdings Corp. † | 31,700 | 2,106,148 | ||||||
Tupperware Brands Corp. | 4,600 | 357,374 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. †(a) | 8,300 | 831,328 | ||||||
Under Armour, Inc., Class A †(a) | 13,800 | 823,998 | ||||||
Urban Outfitters, Inc. † | 12,700 | 510,794 | ||||||
VF Corp. | 4,600 | 888,076 | ||||||
Viacom, Inc., Class B | 33,500 | 2,279,675 | ||||||
Walt Disney Co./The | 148,300 | 9,365,145 | ||||||
Whirlpool Corp. | 21,900 | 2,504,484 | ||||||
Wolverine World Wide, Inc. (a) | 8,400 | 458,724 | ||||||
Wyndham Worldwide Corp. | 26,300 | 1,505,149 | ||||||
Wynn Resorts Ltd. | 3,900 | 499,200 | ||||||
|
| |||||||
146,302,699 | ||||||||
|
| |||||||
Consumer Staples - 3.9% | ||||||||
Beam, Inc. | 5,400 | 340,794 | ||||||
Brown-Forman Corp., Class B (a) | 14,700 | 992,985 | ||||||
Casey’s General Stores, Inc. (a) | 5,900 | 354,944 | ||||||
Church & Dwight Co., Inc. (a) | 12,500 | 771,375 | ||||||
Coca-Cola Enterprises, Inc. | 23,723 | 834,101 | ||||||
ConAgra Foods, Inc. | 17,800 | 621,754 | ||||||
Constellation Brands, Inc., Class A † | 32,500 | 1,693,900 | ||||||
Costco Wholesale Corp. | 15,200 | 1,680,664 | ||||||
CVS Caremark Corp. | 6,100 | 348,798 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 49 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Consumer Staples - 3.9% (continued) | ||||||||
Darling International, Inc. † | 15,500 | $ | 289,230 | |||||
Dean Foods Co. †(a) | 31,800 | 318,636 | ||||||
Estee Lauder Cos., Inc./The, Class A | 24,500 | 1,611,365 | ||||||
General Mills, Inc. | 3,300 | 160,149 | ||||||
Green Mountain Coffee Roasters, Inc. †(a) | 26,100 | 1,959,066 | ||||||
Hain Celestial Group, Inc./The †(a) | 7,600 | 493,772 | ||||||
Hershey Co./The | 16,700 | 1,490,976 | ||||||
Hillshire Brands Co. | 8,960 | 296,397 | ||||||
Hormel Foods Corp. (a) | 19,500 | 752,310 | ||||||
Ingredion, Inc. | 4,600 | 301,852 | ||||||
JM Smucker Co./The | 6,800 | 701,420 | ||||||
Kimberly-Clark Corp. | 26,100 | 2,535,354 | ||||||
McCormick & Co., Inc. (a) | 12,000 | 844,320 | ||||||
Monster Beverage Corp. † | 11,200 | 680,624 | ||||||
Nu Skin Enterprises, Inc., Class A | 5,900 | 360,608 | ||||||
Pricesmart, Inc. (a) | 7,900 | 692,277 | ||||||
TreeHouse Foods, Inc. †(a) | 4,700 | 308,038 | ||||||
Tyson Foods, Inc., Class A | 22,700 | 582,936 | ||||||
Walgreen Co. | 66,400 | 2,934,880 | ||||||
WhiteWave Foods Co., Class B †(a) | 11,568 | 175,833 | ||||||
Whole Foods Market, Inc. (a) | 30,000 | 1,544,400 | ||||||
|
| |||||||
26,673,758 | ||||||||
|
| |||||||
Energy - 5.4% | ||||||||
Atwood Oceanics, Inc. †(a) | 7,100 | 369,555 | ||||||
Cabot Oil & Gas Corp. | 47,600 | 3,380,552 | ||||||
Cameron International Corp. † | 10,900 | 666,644 | ||||||
CARBO Ceramics, Inc. (a) | 3,900 | 262,977 | ||||||
Cheniere Energy, Inc. † | 24,100 | 669,016 | ||||||
Cobalt International Energy, Inc. † | 28,800 | 765,216 | ||||||
Continental Resources, Inc. †(a) | 9,100 | 783,146 | ||||||
CVR Energy, Inc. (a) | 12,300 | 583,020 | ||||||
Dresser-Rand Group, Inc. † | 3,600 | 215,928 | ||||||
Energen Corp. | 2,800 | 146,328 | ||||||
Energy XXI Bermuda Ltd. (Bermuda) (a) | 4,500 | 99,810 | ||||||
EOG Resources, Inc. | 5,600 | 737,408 | ||||||
EQT Corp. | 8,600 | 682,582 | ||||||
Golar LNG Ltd. (Bermuda) (a) | 10,300 | 328,467 | ||||||
Gulfport Energy Corp. †(a) | 27,100 | 1,275,597 | ||||||
Halliburton Co. | 91,500 | 3,817,380 | ||||||
Hess Corp. | 30,300 | 2,014,647 | ||||||
HollyFrontier Corp. | 27,100 | 1,159,338 | ||||||
Kinder Morgan, Inc. | 13,900 | 530,285 | ||||||
Kodiak Oil & Gas Corp. †(a) | 51,900 | 461,391 | ||||||
Marathon Oil Corp. | 22,700 | 784,966 | ||||||
Marathon Petroleum Corp. | 57,800 | 4,107,268 | ||||||
Oceaneering International, Inc. | 7,300 | 527,060 | ||||||
Patterson-UTI Energy, Inc. (a) | 32,200 | 623,231 | ||||||
Phillips 66 | 20,000 | 1,178,200 | ||||||
Pioneer Natural Resources Co. | 9,300 | 1,346,175 | ||||||
Rosetta Resources, Inc. †(a) | 10,000 | 425,200 | ||||||
Seadrill Ltd. (Bermuda) (a) | 36,600 | 1,491,084 | ||||||
SM Energy Co. | 8,300 | 497,834 | ||||||
Targa Resources Corp. | 9,600 | 617,568 | ||||||
Tesoro Corp. | 20,700 | 1,083,024 | ||||||
Tidewater, Inc. | 2,900 | 165,213 | ||||||
Valero Energy Corp. | 102,100 | 3,550,017 |
SHARES | VALUE (Note 2) | |||||||
Energy - 5.4% (continued) | ||||||||
Western Refining, Inc. (a) | 37,700 | $ | 1,058,239 | |||||
Williams Cos., Inc./The | 22,100 | 717,587 | ||||||
World Fuel Services Corp. (a) | 7,000 | 279,860 | ||||||
|
| |||||||
37,401,813 | ||||||||
|
| |||||||
Financials - 21.9% | ||||||||
Allstate Corp./The | 65,400 | 3,147,048 | ||||||
American Campus Communities, Inc. REIT | 7,300 | 296,818 | ||||||
American Capital Ltd. † | 144,100 | 1,825,747 | ||||||
American Express Co. | 8,500 | 635,460 | ||||||
American Financial Group, Inc. | 8,200 | 401,062 | ||||||
American International Group, Inc. † | 155,900 | 6,968,730 | ||||||
American Realty Capital Properties, Inc. REIT (a) | 44,100 | 672,966 | ||||||
American Tower Corp. REIT | 24,800 | 1,814,616 | ||||||
Aon PLC (United Kingdom) | 11,400 | 733,590 | ||||||
Arch Capital Group Ltd. (Bermuda) †(a) | 13,000 | 668,330 | ||||||
Bank of America Corp. | 1,261,400 | 16,221,604 | ||||||
Bank of New York Mellon Corp./The | 41,300 | 1,158,465 | ||||||
BB&T Corp. | 32,600 | 1,104,488 | ||||||
Berkshire Hathaway, Inc., Class B † | 106,500 | 11,919,480 | ||||||
Boston Properties, Inc. REIT | 6,400 | 675,008 | ||||||
Camden Property Trust REIT | 3,800 | 262,732 | ||||||
Capital One Financial Corp. | 7,100 | 445,951 | ||||||
Capitol Federal Financial, Inc. | 26,600 | 322,924 | ||||||
CBL & Associates Properties, Inc. REIT (a) | 22,000 | 471,240 | ||||||
Charles Schwab Corp./The (a) | 85,700 | 1,819,411 | ||||||
Chubb Corp./The | 10,500 | 888,825 | ||||||
Cincinnati Financial Corp. | 26,000 | 1,193,400 | ||||||
Citigroup, Inc. | 319,600 | 15,331,212 | ||||||
Corrections Corp of America REIT (a) | 18,552 | 628,356 | ||||||
Digital Realty Trust, Inc. REIT (a) | 10,100 | 616,100 | ||||||
Discover Financial Services | 66,500 | 3,168,060 | ||||||
Douglas Emmett, Inc. REIT (a) | 8,500 | 212,075 | ||||||
Equity Residential REIT | 13,200 | 766,392 | ||||||
Erie Indemnity Co., Class A (a) | 2,000 | 159,380 | ||||||
Essex Property Trust, Inc. REIT (a) | 1,800 | 286,056 | ||||||
Everest Re Group Ltd. | 4,800 | 615,648 | ||||||
Extra Space Storage, Inc. REIT | 11,900 | 498,967 | ||||||
Fidelity National Financial, Inc., Class A | 47,700 | 1,135,737 | ||||||
Fifth Third Bancorp | 103,800 | 1,873,590 | ||||||
Franklin Resources, Inc. | 18,900 | 2,570,778 | ||||||
General Growth Properties, Inc. REIT | 109,100 | 2,167,817 | ||||||
Genworth Financial, Inc., Class A † | 131,200 | 1,496,992 | ||||||
Goldman Sachs Group, Inc./The | 58,900 | 8,908,625 | ||||||
Hartford Financial Services Group, Inc. (a) | 91,800 | 2,838,456 | ||||||
HCP, Inc. REIT | 16,300 | 740,672 | ||||||
Health Care REIT, Inc. REIT (a) | 7,100 | 475,913 | ||||||
Host Hotels & Resorts, Inc. REIT (a) | 29,600 | 499,352 | ||||||
Huntington Bancshares, Inc. | 70,400 | 554,752 | ||||||
Invesco Ltd. | 39,300 | 1,249,740 | ||||||
JPMorgan Chase & Co. | 220,400 | 11,634,916 | ||||||
KeyCorp | 59,300 | 654,672 | ||||||
Lincoln National Corp. | 58,500 | 2,133,495 | ||||||
M&T Bank Corp. (a) | 4,900 | 547,575 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
50 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Financials - 21.9% (continued) | ||||||||
Macerich Co./The REIT | 7,100 | $ | 432,887 | |||||
McGraw Hill Financial, Inc. | 24,400 | 1,297,836 | ||||||
MetLife, Inc. | 18,600 | 851,136 | ||||||
Mid-America Apartment Communities, Inc. REIT | 1,800 | 121,986 | ||||||
Moody’s Corp. | 18,400 | 1,121,112 | ||||||
Morgan Stanley (a) | 263,700 | 6,442,191 | ||||||
NASDAQ OMX Group, Inc./The | 5,000 | 163,950 | ||||||
Nationstar Mortgage Holdings, Inc. †(a) | 18,900 | 707,616 | ||||||
Ocwen Financial Corp. † | 48,900 | 2,015,658 | ||||||
PartnerRe Ltd. (Bermuda) (a) | 6,800 | 615,808 | ||||||
Post Properties, Inc. REIT | 5,900 | 291,991 | ||||||
Prologis, Inc. REIT | 8,130 | 306,664 | ||||||
Prudential Financial, Inc. | 12,400 | 905,572 | ||||||
Rayonier, Inc. REIT | 13,850 | 767,151 | ||||||
Realty Income Corp. REIT (a) | 14,100 | 591,072 | ||||||
Regions Financial Corp. | 174,400 | 1,662,032 | ||||||
RenaissanceRe Holdings Ltd. (a) | 4,100 | 355,839 | ||||||
Rouse Properties, Inc. REIT (a) | 303 | 5,945 | ||||||
Signature Bank †(a) | 5,800 | 481,516 | ||||||
Simon Property Group, Inc. REIT | 5,600 | 884,352 | ||||||
SL Green Realty Corp. REIT (a) | 1,200 | 105,828 | ||||||
SLM Corp. | 29,600 | 676,656 | ||||||
State Street Corp. | 53,100 | 3,462,651 | ||||||
SunTrust Banks, Inc. | 72,900 | 2,301,453 | ||||||
Taubman Centers, Inc. REIT | 6,500 | 488,475 | ||||||
Torchmark Corp. (a) | 9,400 | 612,316 | ||||||
Travelers Cos., Inc./The | 40,700 | 3,252,744 | ||||||
UDR, Inc. REIT (a) | 7,900 | 201,371 | ||||||
Ventas, Inc. REIT | 14,000 | 972,440 | ||||||
Weingarten Realty Investors REIT (a) | 5,400 | 166,158 | ||||||
Weyerhaeuser Co. REIT | 103,200 | 2,940,168 | ||||||
WR Berkley Corp. | 13,700 | 559,782 | ||||||
|
| |||||||
151,175,579 | ||||||||
|
| |||||||
Health Care - 16.4% | ||||||||
Abbott Laboratories | 56,700 | 1,977,696 | ||||||
AbbVie, Inc. | 2,500 | 103,350 | ||||||
Actavis, Inc. † | 19,600 | 2,473,912 | ||||||
Aetna, Inc. | 11,500 | 730,710 | ||||||
Alexion Pharmaceuticals, Inc. † | 13,600 | 1,254,464 | ||||||
Align Technology, Inc. †(a) | 13,100 | 485,224 | ||||||
AmerisourceBergen Corp. | 12,400 | 692,292 | ||||||
Amgen, Inc. | 79,000 | 7,794,140 | ||||||
Arena Pharmaceuticals, Inc. †(a) | 120,400 | 927,080 | ||||||
Ariad Pharmaceuticals, Inc. †(a) | 47,800 | 836,022 | ||||||
athenahealth, Inc. †(a) | 6,800 | 576,096 | ||||||
Baxter International, Inc. | 33,900 | 2,348,253 | ||||||
Biogen Idec, Inc. † | 27,500 | 5,918,000 | ||||||
BioMarin Pharmaceutical, Inc. †(a) | 13,400 | 747,586 | ||||||
Brookdale Senior Living, Inc. † | 19,500 | 515,580 | ||||||
Catamaran Corp. †(a) | 43,600 | 2,124,192 | ||||||
Celgene Corp. † | 34,900 | 4,080,159 | ||||||
Cepheid, Inc. †(a) | 11,200 | 385,504 | ||||||
Cerner Corp. †(a) | 15,500 | 1,489,395 | ||||||
Cigna Corp. | 20,000 | 1,449,800 | ||||||
Community Health Systems, Inc. | 16,800 | 787,584 | ||||||
Cooper Cos., Inc./The (a) | 7,400 | 880,970 |
SHARES | VALUE (Note 2) | |||||||
Health Care - 16.4% (continued) | ||||||||
Cubist Pharmaceuticals, Inc. †(a) | 8,600 | $ | 415,380 | |||||
DaVita HealthCare Partners, Inc. †(a) | 14,100 | 1,703,280 | ||||||
Edwards Lifesciences Corp. †(a) | 10,500 | 705,600 | ||||||
Eli Lilly & Co. | 81,000 | 3,978,720 | ||||||
Express Scripts Holding Co. † | 9,700 | 598,393 | ||||||
Gilead Sciences, Inc. † | 164,200 | 8,408,682 | ||||||
HCA Holdings, Inc. | 66,900 | 2,412,414 | ||||||
Health Management Associates, Inc., Class A † | 58,400 | 918,048 | ||||||
Henry Schein, Inc. †(a) | 4,600 | 440,450 | ||||||
Hill-Rom Holdings, Inc. (a) | 3,500 | 117,880 | ||||||
HMS Holdings Corp. †(a) | 5,700 | 132,810 | ||||||
IDEXX Laboratories, Inc. †(a) | 4,000 | 359,120 | ||||||
Illumina, Inc. †(a) | 19,300 | 1,444,412 | ||||||
Intuitive Surgical, Inc. † | 1,100 | 557,238 | ||||||
Jazz Pharmaceuticals PLC (Ireland) †(a) | 8,000 | 549,840 | ||||||
Johnson & Johnson | 99,700 | 8,560,242 | ||||||
McKesson Corp. | 6,600 | 755,700 | ||||||
Medivation, Inc. †(a) | 39,600 | 1,948,320 | ||||||
Medtronic, Inc. (a) | 25,400 | 1,307,338 | ||||||
Mylan, Inc. † | 37,500 | 1,163,625 | ||||||
Omnicare, Inc. (a) | 8,700 | 415,077 | ||||||
Onyx Pharmaceuticals, Inc. †(a) | 13,000 | 1,128,660 | ||||||
Perrigo Co. | 9,300 | 1,125,300 | ||||||
Pfizer, Inc. | 521,151 | 14,597,439 | ||||||
Pharmacyclics, Inc. †(a) | 23,900 | 1,899,333 | ||||||
Questcor Pharmaceuticals, Inc. (a) | 23,500 | 1,068,310 | ||||||
Regeneron Pharmaceuticals, Inc. †(a) | 19,000 | 4,272,720 | ||||||
ResMed, Inc. (a) | 13,000 | 586,690 | ||||||
Tenet Healthcare Corp. †(a) | 33,600 | 1,548,960 | ||||||
Thermo Fisher Scientific, Inc. | 30,900 | 2,615,067 | ||||||
UnitedHealth Group, Inc. | 12,300 | 805,404 | ||||||
Vertex Pharmaceuticals, Inc. † | 13,300 | 1,062,271 | ||||||
ViroPharma, Inc. †(a) | 10,700 | 306,555 | ||||||
Vivus, Inc. †(a) | 37,700 | 474,266 | ||||||
WellCare Health Plans, Inc. † | 10,500 | 583,275 | ||||||
Zimmer Holdings, Inc. (a) | 8,000 | 599,520 | ||||||
Zoetis, Inc. | 164,256 | 5,073,878 | ||||||
|
| |||||||
113,218,226 | ||||||||
|
| |||||||
Industrials - 9.3% | ||||||||
A. O. Smith Corp. (a) | 16,200 | 587,736 | ||||||
Acacia Research Corp. (a) | 8,700 | 194,445 | ||||||
ACCO Brands Corp. †(a) | 1,715 | 10,907 | ||||||
Acuity Brands, Inc. (a) | 2,600 | 196,352 | ||||||
Alaska Air Group, Inc. †(a) | 17,800 | 925,600 | ||||||
AMERCO (a) | 1,900 | 307,610 | ||||||
AMETEK, Inc. | 6,900 | 291,870 | ||||||
Avis Budget Group, Inc. †(a) | 49,800 | 1,431,750 | ||||||
Chart Industries, Inc. †(a) | 5,200 | 489,268 | ||||||
Clean Harbors, Inc. †(a) | 4,800 | 242,544 | ||||||
Copa Holdings SA (Panama), Class A | 16,100 | 2,111,032 | ||||||
Copart, Inc. † | 14,400 | 443,520 | ||||||
Delta Air Lines, Inc. † | 121,200 | 2,267,652 | ||||||
Donaldson Co., Inc. (a) | 8,800 | 313,808 | ||||||
Fastenal Co. (a) | 21,700 | 994,945 | ||||||
Flowserve Corp. (a) | 21,600 | 1,166,616 | ||||||
Fluor Corp. | 2,700 | 160,137 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 51 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Industrials - 9.3% (continued) | ||||||||
Fortune Brands Home & Security, Inc. | 83,500 | $ | 3,234,790 | |||||
Generac Holdings, Inc. (a) | 17,900 | 662,479 | ||||||
General Electric Co. | 178,300 | 4,134,777 | ||||||
Genesee & Wyoming, Inc., Class A †(a) | 9,100 | 772,044 | ||||||
Hertz Global Holdings, Inc. †(a) | 89,400 | 2,217,120 | ||||||
Hexcel Corp. † | 15,700 | 534,585 | ||||||
Honeywell International, Inc. | 36,100 | 2,864,174 | ||||||
Hubbell, Inc., Class B (a) | 3,700 | 366,300 | ||||||
IHS, Inc., Class A † | 4,100 | 427,958 | ||||||
Illinois Tool Works, Inc. | 38,100 | 2,635,377 | ||||||
Iron Mountain, Inc. (a) | 18,945 | 504,127 | ||||||
JB Hunt Transport Services, Inc. | 14,400 | 1,040,256 | ||||||
Kansas City Southern | 19,900 | 2,108,604 | ||||||
KBR, Inc. | 3,900 | 126,750 | ||||||
Kennametal, Inc. (a) | 7,500 | 291,225 | ||||||
Kirby Corp. †(a) | 4,600 | 365,884 | ||||||
Lockheed Martin Corp. | 6,400 | 694,144 | ||||||
Manitowoc Co., Inc./The | 38,300 | 685,953 | ||||||
Masco Corp. | 61,500 | 1,198,635 | ||||||
Mueller Industries, Inc. | 6,500 | 327,795 | ||||||
Nordson Corp. (a) | 3,200 | 221,792 | ||||||
Old Dominion Freight Line, Inc. † | 11,100 | 461,982 | ||||||
Pall Corp. (a) | 7,000 | 465,010 | ||||||
Polypore International, Inc. †(a) | 10,200 | 411,060 | ||||||
Precision Castparts Corp. | 4,500 | 1,017,045 | ||||||
Raytheon Co. | 8,400 | 555,408 | ||||||
Roper Industries, Inc. | 9,300 | 1,155,246 | ||||||
Southwest Airlines Co. | 97,700 | 1,259,353 | ||||||
SPX Corp. | 4,900 | 352,702 | ||||||
Stericycle, Inc. † | 7,700 | 850,311 | ||||||
Terex Corp. †(a) | 69,000 | 1,814,700 | ||||||
Textron, Inc. (a) | 18,300 | 476,715 | ||||||
Timken Co. | 3,700 | 208,236 | ||||||
Towers Watson & Co., Class A | 5,000 | 409,700 | ||||||
TransDigm Group, Inc. | 9,000 | 1,410,930 | ||||||
Triumph Group, Inc. | 6,300 | 498,645 | ||||||
Union Pacific Corp. | 43,300 | 6,680,324 | ||||||
United Continental Holdings, Inc. † | 40,900 | 1,279,761 | ||||||
United Rentals, Inc. †(a) | 24,700 | 1,232,777 | ||||||
USG Corp. †(a) | 39,400 | 908,170 | ||||||
Verisk Analytics, Inc., Class A † | 18,500 | 1,104,450 | ||||||
WABCO Holdings, Inc. † | 2,900 | 216,601 | ||||||
Wabtec Corp. (a) | 8,800 | 470,184 | ||||||
Waste Connections, Inc. (a) | 8,300 | 341,462 | ||||||
Werner Enterprises, Inc. (a) | 10,900 | 263,453 | ||||||
WESCO International, Inc. †(a) | 7,500 | 509,700 | ||||||
Woodward, Inc. (a) | 3,200 | 128,000 | ||||||
WW Grainger, Inc. (a) | 9,500 | 2,395,710 | ||||||
|
| |||||||
64,428,196 | ||||||||
|
| |||||||
Information Technology - 13.5% | ||||||||
3D Systems Corp. †(a) | 50,800 | 2,230,120 | ||||||
Activision Blizzard, Inc. | 34,500 | 491,970 | ||||||
Adobe Systems, Inc. † | 29,800 | 1,357,688 | ||||||
Akamai Technologies, Inc. †(a) | 12,800 | 544,640 | ||||||
Alliance Data Systems Corp. †(a) | 4,600 | 832,738 | ||||||
Amphenol Corp., Class A | 8,600 | 670,284 | ||||||
ANSYS, Inc. †(a) | 5,600 | 409,360 |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 13.5% (continued) | ||||||||
AOL, Inc. †(a) | 32,400 | $ | 1,181,952 | |||||
Arrow Electronics, Inc. †(a) | 8,600 | 342,710 | ||||||
Automatic Data Processing, Inc. | 19,700 | 1,356,542 | ||||||
CA, Inc. | 16,500 | 472,395 | ||||||
Cadence Design Systems, Inc. †(a) | 23,600 | 341,728 | ||||||
Cirrus Logic, Inc. †(a) | 28,800 | 499,968 | ||||||
Cisco Systems, Inc. | 130,600 | 3,174,886 | ||||||
Citrix Systems, Inc. † | 7,700 | 464,541 | ||||||
CommVault Systems, Inc. †(a) | 8,200 | 622,298 | ||||||
Computer Sciences Corp. | 13,600 | 595,272 | ||||||
Concur Technologies, Inc. †(a) | 6,600 | 537,108 | ||||||
CoreLogic, Inc. † | 18,100 | 419,377 | ||||||
Cree, Inc. †(a) | 25,000 | 1,596,500 | ||||||
eBay, Inc. † | 83,600 | 4,323,792 | ||||||
Equinix, Inc. †(a) | 8,300 | 1,533,176 | ||||||
F5 Networks, Inc. † | 6,500 | 447,200 | ||||||
FactSet Research Systems, Inc. (a) | 1,300 | 132,522 | ||||||
Fairchild Semiconductor International, Inc. † | 7,700 | 106,260 | ||||||
Fidelity National Information Services, Inc. | 18,200 | 779,688 | ||||||
First Solar, Inc. † | 50,300 | 2,249,919 | ||||||
Fiserv, Inc. † | 14,600 | 1,276,186 | ||||||
FleetCor Technologies, Inc. † | 9,800 | 796,740 | ||||||
Fortinet, Inc. † | 19,300 | 337,750 | ||||||
Gartner, Inc. †(a) | 6,200 | 353,338 | ||||||
Google, Inc., Class A † | 30,000 | 26,411,100 | ||||||
IAC/InterActiveCorp | 16,100 | 765,716 | ||||||
InterDigital, Inc. (a) | 6,200 | 276,830 | ||||||
Intuit, Inc. | 8,200 | 500,446 | ||||||
IPG Photonics Corp. (a) | 3,700 | 224,701 | ||||||
Jabil Circuit, Inc. | 15,000 | 305,700 | ||||||
Jack Henry & Associates, Inc. (a) | 8,800 | 414,744 | ||||||
KLA-Tencor Corp. | 11,300 | 629,749 | ||||||
LinkedIn Corp., Class A † | 14,900 | 2,656,670 | ||||||
Mastercard, Inc., Class A | 2,000 | 1,149,000 | ||||||
Maxim Integrated Products, Inc. | 21,200 | 588,936 | ||||||
Micron Technology, Inc. †(a) | 184,500 | 2,643,885 | ||||||
Molex, Inc. (a) | 9,000 | 264,060 | ||||||
Motorola Solutions, Inc. | 10,300 | 594,619 | ||||||
NCR Corp. † | 8,300 | 273,817 | ||||||
NetSuite, Inc. †(a) | 8,500 | 779,790 | ||||||
NeuStar, Inc., Class A †(a) | 8,700 | 423,516 | ||||||
Oracle Corp. | 27,500 | 844,800 | ||||||
Rackspace Hosting, Inc. †(a) | 17,600 | 666,864 | ||||||
Red Hat, Inc. † | 7,400 | 353,868 | ||||||
Salesforce.com, Inc. †(a) | 14,900 | 568,882 | ||||||
SanDisk Corp. † | 24,700 | 1,509,170 | ||||||
SolarWinds, Inc. † | 12,600 | 489,006 | ||||||
Solera Holdings, Inc. | 5,700 | 317,205 | ||||||
Symantec Corp. | 26,900 | 604,443 | ||||||
Teradata Corp. †(a) | 3,100 | 155,713 | ||||||
TIBCO Software, Inc. †(a) | 20,000 | 428,000 | ||||||
Total System Services, Inc. | 15,100 | 369,648 | ||||||
Trimble Navigation Ltd. † | 6,800 | 176,868 | ||||||
Universal Display Corp. †(a) | 8,600 | 241,746 | ||||||
VeriSign, Inc. †(a) | 22,700 | 1,013,782 | ||||||
Visa, Inc., Class A | 61,500 | 11,239,125 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
52 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 13.5% (continued) | ||||||||
Vishay Intertechnology, Inc. †(a) | 8,200 | $ | 113,898 | |||||
Western Digital Corp. | 29,300 | 1,819,237 | ||||||
Xilinx, Inc. (a) | 9,300 | 368,373 | ||||||
Yahoo!, Inc. † | 84,900 | 2,131,839 | ||||||
Zebra Technologies Corp., Class A †(a) | 3,200 | 139,008 | ||||||
|
| |||||||
92,933,402 | ||||||||
|
| |||||||
Materials - 4.4% | ||||||||
Airgas, Inc. | 4,900 | 467,754 | ||||||
Albemarle Corp. (a) | 4,000 | 249,160 | ||||||
Allied Nevada Gold Corp. †(a) | 15,600 | 101,088 | ||||||
Ashland, Inc. | 6,600 | 551,100 | ||||||
Axiall Corp. (a) | 8,150 | 347,027 | ||||||
Ball Corp. | 5,200 | 216,008 | ||||||
Carpenter Technology Corp. (a) | 5,700 | 256,899 | ||||||
Celanese Corp., Series A | 7,000 | 313,600 | ||||||
CF Industries Holdings, Inc. | 3,500 | 600,250 | ||||||
Eagle Materials, Inc. (a) | 18,800 | 1,245,876 | ||||||
Eastman Chemical Co. | 18,900 | 1,323,189 | ||||||
Ecolab, Inc. | 26,400 | 2,249,016 | ||||||
FMC Corp. (a) | 8,000 | 488,480 | ||||||
Huntsman Corp. | 30,500 | 505,080 | ||||||
International Flavors & Fragrances, Inc. | 6,500 | 488,540 | ||||||
International Paper Co. | 64,700 | 2,866,857 | ||||||
Louisiana-Pacific Corp. † | 71,200 | 1,053,048 | ||||||
MeadWestvaco Corp. | 5,200 | 177,372 | ||||||
Monsanto Co. | 48,700 | 4,811,560 | ||||||
NewMarket Corp. (a) | 1,600 | 420,096 | ||||||
Packaging Corp. of America | 14,500 | 709,920 | ||||||
PPG Industries, Inc. | 20,797 | 3,044,889 | ||||||
Praxair, Inc. | 6,900 | 794,604 | ||||||
Rock Tenn Co., Class A | 7,000 | 699,160 | ||||||
Rockwood Holdings, Inc. | 5,700 | 364,971 | ||||||
Royal Gold, Inc. | 4,300 | 180,944 | ||||||
Sherwin-Williams Co./The | 20,100 | 3,549,660 | ||||||
SunCoke Energy, Inc. † | 2,334 | 32,722 | ||||||
Valspar Corp./The | 8,500 | 549,695 | ||||||
Vulcan Materials Co. (a) | 9,800 | 474,418 | ||||||
Westlake Chemical Corp. | 12,800 | 1,234,048 | ||||||
WR Grace & Co. † | 3,700 | 310,948 | ||||||
|
| |||||||
30,677,979 | ||||||||
|
| |||||||
Telecommunication Services - 1.2% | ||||||||
Crown Castle International Corp. † | 30,200 | 2,186,178 | ||||||
Level 3 Communications, Inc. † | 21,386 | 450,817 | ||||||
SBA Communications Corp., Class A †(a) | 23,400 | 1,734,408 | ||||||
Verizon Communications, Inc. | 72,500 | 3,649,650 | ||||||
|
| |||||||
8,021,053 | ||||||||
|
| |||||||
Utilities - 1.7% | ||||||||
AGL Resources, Inc. | 7,100 | 304,306 | ||||||
American Electric Power Co., Inc. | 9,000 | 403,020 | ||||||
American Water Works Co., Inc. | 20,500 | 845,215 | ||||||
Atmos Energy Corp. | 9,100 | 373,646 | ||||||
Calpine Corp. †(a) | 27,100 | 575,333 | ||||||
Cleco Corp. (a) | 8,100 | 376,083 | ||||||
CMS Energy Corp. | 23,000 | 624,910 |
SHARES | VALUE (Note 2) | |||||||
Utilities - 1.7% (continued) | ||||||||
DTE Energy Co. | 18,200 | $ | 1,219,582 | |||||
Hawaiian Electric Industries, Inc. (a) | 11,500 | 291,065 | ||||||
ITC Holdings Corp. (a) | 7,500 | 684,750 | ||||||
National Fuel Gas Co. (a) | 5,400 | 312,930 | ||||||
NextEra Energy, Inc. | 9,000 | 733,320 | ||||||
NiSource, Inc. | 5,300 | 151,792 | ||||||
OGE Energy Corp. | 7,300 | 497,860 | ||||||
ONEOK, Inc. | 22,400 | 925,344 | ||||||
Portland General Electric Co. (a) | 12,000 | 367,080 | ||||||
Questar Corp. (a) | 15,300 | 364,905 | ||||||
Sempra Energy | 20,500 | 1,676,080 | ||||||
UIL Holdings Corp. (a) | 7,700 | 294,525 | ||||||
WGL Holdings, Inc. (a) | 6,900 | 298,218 | ||||||
Wisconsin Energy Corp. | 15,100 | 618,949 | ||||||
|
| |||||||
11,938,913 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 682,771,618 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 1.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b) (cost $13,352,165) | 13,352,165 | 13,352,165 | ||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 17.5% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (2)(b)(c) (cost $121,038,716) | 121,038,716 | 121,038,716 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 118.3% | 817,162,499 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (18.3%) (d) | (126,301,224) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 690,861,275 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $117,442,602; cash collateral of $121,038,716 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of June 30, 2013. |
(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 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 53 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED DEPRECIATION | |||||||||||
Long Contracts: | ||||||||||||||||
65 | S&P 500 E-Mini Futures | September 20, 2013 | $5,208,283 | $5,197,725 | $(10,558) | |||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $214,913 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. |
54 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
COMMON STOCKS - 99.5% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 18.5% | ||||||||
1-800-Flowers.com, Inc., Class A † | 9,100 | $ | 56,329 | |||||
AFC Enterprises, Inc. † | 10,200 | 366,588 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 21,500 | 400,545 | ||||||
American Greetings Corp., Class A | 10,200 | 185,844 | ||||||
America’s Car-Mart, Inc. †(a) | 3,100 | 134,044 | ||||||
ANN, Inc. † | 600 | 19,920 | ||||||
Arctic Cat, Inc. | 7,800 | 350,844 | ||||||
Asbury Automotive Group, Inc. †(a) | 17,000 | 681,700 | ||||||
Ascent Capital Group, Inc., Class A † | 4,800 | 374,736 | ||||||
Beazer Homes USA, Inc. †(a) | 7,380 | 129,298 | ||||||
Big 5 Sporting Goods Corp. | 19,800 | 434,610 | ||||||
Black Diamond, Inc. †(a) | 2,900 | 27,260 | ||||||
Bob Evans Farms, Inc. (a) | 5,300 | 248,994 | ||||||
Bon-Ton Stores, Inc./The | 16,900 | 305,045 | ||||||
Boyd Gaming Corp. † | 22,200 | 250,860 | ||||||
Brown Shoe Co., Inc. (a) | 25,100 | 540,403 | ||||||
Carmike Cinemas, Inc. † | 14,400 | 278,784 | ||||||
Carriage Services, Inc. | 20,100 | 340,695 | ||||||
Cavco Industries, Inc. †(a) | 1,300 | 65,585 | ||||||
Christopher & Banks Corp. † | 24,200 | 163,108 | ||||||
Churchill Downs, Inc. | 3,600 | 283,860 | ||||||
Comstock Holding Cos., Inc. † | 16,100 | 44,597 | ||||||
Conn’s, Inc. †(a) | 19,600 | 1,014,496 | ||||||
Core-Mark Holding Co., Inc. | 2,900 | 184,150 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 8,300 | 785,678 | ||||||
CSS Industries, Inc. | 800 | 19,944 | ||||||
Denny’s Corp. † | 18,100 | 101,722 | ||||||
Destination XL Group, Inc. † | 9,600 | 60,864 | ||||||
Dex Media, Inc. †(a) | 15,000 | 263,550 | ||||||
DineEquity, Inc. | 6,900 | 475,203 | ||||||
Dorman Products, Inc. | 15,464 | 705,622 | ||||||
Drew Industries, Inc. (a) | 2,600 | 102,232 | ||||||
Einstein Noah Restaurant Group, Inc. | 3,600 | 51,120 | ||||||
Entravision Communications Corp., Class A | 91,000 | 559,650 | ||||||
Ethan Allen Interiors, Inc. (a) | 4,400 | 126,720 | ||||||
EW Scripps Co., Class A † | 12,200 | 190,076 | ||||||
Fiesta Restaurant Group, Inc. † | 5,800 | 199,462 | ||||||
Fifth & Pacific Cos., Inc. † | 10,000 | 223,400 | ||||||
Fred’s, Inc., Class A (a) | 7,400 | 114,626 | ||||||
Gentherm, Inc. † | 8,800 | 163,416 | ||||||
G-III Apparel Group Ltd. † | 10,800 | 519,696 | ||||||
Grand Canyon Education, Inc. †(a) | 13,600 | 438,328 | ||||||
Gray Television, Inc. † | 62,600 | 450,720 | ||||||
Haverty Furniture Cos., Inc. | 7,500 | 172,575 | ||||||
Helen of Troy Ltd. (Bermuda) † | 2,700 | 103,599 | ||||||
Hovnanian Enterprises, Inc., Class A †(a) | 89,200 | 500,412 | ||||||
Iconix Brand Group, Inc. †(a) | 22,500 | 661,725 | ||||||
Interval Leisure Group, Inc. (a) | 14,500 | 288,840 | ||||||
Jack in the Box, Inc. † | 10,800 | 424,332 | ||||||
Jamba, Inc. †(a) | 11,680 | 174,382 | ||||||
Jones Group, Inc./The (a) | 1,900 | 26,125 | ||||||
KB Home | 43,900 | 861,757 | ||||||
Krispy Kreme Doughnuts, Inc. † | 37,200 | 649,140 | ||||||
La-Z-Boy, Inc. | 12,400 | 251,348 | ||||||
LeapFrog Enterprises, Inc. †(a) | 5,700 | 56,088 | ||||||
Libbey, Inc. † | 4,300 | 103,071 |
COMMON STOCKS - 99.5% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 18.5% (continued) | ||||||||
LIN TV Corp., Class A † | 37,200 | $ | 569,160 | |||||
Lithia Motors, Inc., Class A (a) | 15,000 | 799,650 | ||||||
Loral Space & Communications, Inc. | 9,000 | 539,820 | ||||||
Lumber Liquidators Holdings, Inc. † | 12,600 | 981,162 | ||||||
M/I Homes, Inc. †(a) | 16,300 | 374,248 | ||||||
Marriott Vacations Worldwide Corp. † | 18,200 | 786,968 | ||||||
MDC Holdings, Inc. | 12,100 | 393,371 | ||||||
Meredith Corp. (a) | 9,400 | 448,380 | ||||||
Meritage Homes Corp. † | 16,600 | 719,776 | ||||||
Modine Manufacturing Co. † | 9,300 | 101,184 | ||||||
Movado Group, Inc. (a) | 10,800 | 365,364 | ||||||
Multimedia Games Holding Co., Inc. † | 17,500 | 456,225 | ||||||
NACCO Industries, Inc., Class A (a) | 4,600 | 263,488 | ||||||
Nautilus, Inc. † | 24,100 | 209,429 | ||||||
New York Times Co./The, Class A †(a) | 45,200 | 499,912 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 21,200 | 751,752 | ||||||
Orbitz Worldwide, Inc. †(a) | 55,500 | 445,665 | ||||||
Orient-Express Hotels Ltd., Class A (Bermuda) †(a) | 15,100 | 183,616 | ||||||
Overstock.com, Inc. †(a) | 16,800 | 473,760 | ||||||
Oxford Industries, Inc. (a) | 4,300 | 268,320 | ||||||
Pacific Sunwear of California, Inc. † | 38,100 | 139,065 | ||||||
Papa John’s International, Inc. † | 7,200 | 470,664 | ||||||
Perry Ellis International, Inc. | 10,100 | 205,131 | ||||||
Pinnacle Entertainment, Inc. †(a) | 20,900 | 411,103 | ||||||
Pool Corp. (a) | 2,900 | 151,989 | ||||||
Quiksilver, Inc. †(a) | 78,900 | 508,116 | ||||||
Red Robin Gourmet Burgers, Inc. †(a) | 1,100 | 60,698 | ||||||
Ruth’s Hospitality Group, Inc. (a) | 11,400 | 137,598 | ||||||
Ryland Group, Inc./The (a) | 17,100 | 685,710 | ||||||
Saks, Inc. † | 13,900 | 189,596 | ||||||
Scholastic Corp. (a) | 3,800 | 111,302 | ||||||
Select Comfort Corp. †(a) | 1,900 | 47,614 | ||||||
SHFL Entertainment, Inc. †(a) | 18,300 | 324,093 | ||||||
Shoe Carnival, Inc. (a) | 4,200 | 100,842 | ||||||
Shutterfly, Inc. †(a) | 14,400 | 803,376 | ||||||
Sinclair Broadcast Group, Inc., Class A | 30,600 | 899,028 | ||||||
Skechers U.S.A., Inc., Class A †(a) | 13,500 | 324,135 | ||||||
Smith & Wesson Holding Corp. †(a) | 25,100 | 250,498 | ||||||
Sonic Automotive, Inc., Class A (a) | 13,200 | 279,048 | ||||||
Sonic Corp. †(a) | 28,000 | 407,680 | ||||||
Stage Stores, Inc. (a) | 18,100 | 425,350 | ||||||
Standard Motor Products, Inc. (a) | 12,800 | 439,552 | ||||||
Standard Pacific Corp. †(a) | 11,300 | 94,129 | ||||||
Stein Mart, Inc. | 10,300 | 140,595 | ||||||
Steiner Leisure Ltd. (Bahamas) † | 1,700 | 89,862 | ||||||
Sturm, Ruger & Co., Inc. (a) | 1,900 | 91,276 | ||||||
Texas Roadhouse, Inc. | 3,100 | 77,562 | ||||||
Thor Industries, Inc. | 6,200 | 304,916 | ||||||
Town Sports International Holdings, Inc. | 9,000 | 96,930 | ||||||
Tuesday Morning Corp. † | 12,700 | 131,699 | ||||||
Unifi, Inc. †(a) | 3,700 | 76,479 | ||||||
Universal Electronics, Inc. † | 3,300 | 92,829 | ||||||
Valassis Communications, Inc. (a) | 10,000 | 245,900 | ||||||
Valuevision Media, Inc., Class A † | 27,800 | 142,058 | ||||||
Vitamin Shoppe, Inc. †(a) | 900 | 40,356 | ||||||
VOXX International Corp. †(a) | 6,800 | 83,436 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 55 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Consumer Discretionary - 18.5% (continued) | ||||||||
Winnebago Industries, Inc. † | 14,300 | $ | 300,157 | |||||
Zale Corp. † | 28,400 | 258,440 | ||||||
|
| |||||||
35,977,780 | ||||||||
|
| |||||||
Consumer Staples - 3.2% | ||||||||
B&G Foods, Inc. (a) | 12,600 | 429,030 | ||||||
Boston Beer Co., Inc./The, Class A † | 1,100 | 187,704 | ||||||
Boulder Brands, Inc. †(a) | 48,600 | 585,630 | ||||||
Calavo Growers, Inc. | 4,000 | 108,760 | ||||||
Cal-Maine Foods, Inc. (a) | 5,200 | 241,852 | ||||||
Coca-Cola Bottling Co. Consolidated (a) | 1,200 | 73,380 | ||||||
Elizabeth Arden, Inc. †(a) | 5,000 | 225,350 | ||||||
Harbinger Group, Inc. †(a) | 48,600 | 366,444 | ||||||
Inter Parfums, Inc. (a) | 6,600 | 188,232 | ||||||
J&J Snack Foods Corp. | 3,500 | 272,300 | ||||||
Medifast, Inc. †(a) | 11,500 | 296,240 | ||||||
Omega Protein Corp. † | 13,000 | 116,740 | ||||||
Prestige Brands Holdings, Inc. † | 23,700 | 690,618 | ||||||
Revlon, Inc., Class A † | 3,200 | 70,592 | ||||||
Rite Aid Corp. †(a) | 237,100 | 678,106 | ||||||
Snyders-Lance, Inc. | 1,700 | 48,297 | ||||||
Spartan Stores, Inc. | 6,500 | 119,860 | ||||||
Spectrum Brands Holdings, Inc. | 900 | 51,183 | ||||||
Star Scientific, Inc. †(a) | 64,200 | 89,238 | ||||||
SUPERVALU, Inc. † | 31,400 | 195,308 | ||||||
Susser Holdings Corp. †(a) | 12,400 | 593,712 | ||||||
USANA Health Sciences, Inc. †(a) | 3,300 | 238,854 | ||||||
WD-40 Co. | 5,800 | 315,984 | ||||||
Weis Markets, Inc. (a) | 2,000 | 90,140 | ||||||
|
| |||||||
6,273,554 | ||||||||
|
| |||||||
Energy - 4.2% | ||||||||
Alon USA Energy, Inc. (a) | 28,800 | 416,448 | ||||||
Approach Resources, Inc. †(a) | 500 | 12,285 | ||||||
Bonanza Creek Energy, Inc. †(a) | 17,000 | 602,820 | ||||||
Cheniere Energy, Inc. † | 3,800 | 105,488 | ||||||
Crosstex Energy, Inc. | 12,400 | 245,024 | ||||||
Dawson Geophysical Co. † | 3,100 | 114,266 | ||||||
Delek US Holdings, Inc. | 8,100 | 233,118 | ||||||
Double Eagle Petroleum Co. †(a) | 2,800 | 10,976 | ||||||
EPL Oil & Gas, Inc. †(a) | 19,600 | 575,456 | ||||||
Exterran Holdings, Inc. †(a) | 27,800 | 781,736 | ||||||
Geospace Technologies Corp. †(a) | 6,100 | 421,388 | ||||||
Green Plains Renewable Energy, Inc. †(a) | 12,000 | 159,840 | ||||||
Gulf Island Fabrication, Inc. (a) | 3,100 | 59,365 | ||||||
Hercules Offshore, Inc. † | 77,900 | 548,416 | ||||||
Hornbeck Offshore Services, Inc. † | 3,600 | 192,600 | ||||||
Mitcham Industries, Inc. †(a) | 5,800 | 97,324 | ||||||
Newpark Resources, Inc. †(a) | 35,600 | 391,244 | ||||||
Parker Drilling Co. †(a) | 29,100 | 144,918 | ||||||
PDC Energy, Inc. †(a) | 14,900 | 767,052 | ||||||
PHI, Inc. † | 1,900 | 65,170 | ||||||
Renewable Energy Group, Inc. † | 14,400 | 204,912 | ||||||
Rentech, Inc. (a) | 52,300 | 109,830 | ||||||
Rex Energy Corp. †(a) | 23,600 | 414,888 | ||||||
SemGroup Corp., Class A | 13,300 | 716,338 | ||||||
Ship Finance International Ltd. (Norway) (a) | 17,900 | 265,636 | ||||||
VAALCO Energy, Inc. † | 13,800 | 78,936 |
SHARES | VALUE (Note 2) | |||||||
Energy - 4.2% (continued) | ||||||||
Western Refining, Inc. (a) | 4,600 | $ | 129,122 | |||||
Willbros Group, Inc. †(a) | 37,800 | 232,092 | ||||||
|
| |||||||
8,096,688 | ||||||||
|
| |||||||
Financials - 20.0% | ||||||||
1st Source Corp. | 900 | 21,384 | ||||||
Agree Realty Corp. REIT | 2,100 | 61,992 | ||||||
Alexander & Baldwin, Inc. † | 3,900 | 155,025 | ||||||
American Assets Trust, Inc. REIT (a) | 9,300 | 286,998 | ||||||
American Realty Capital Properties, Inc. REIT (a) | 7,000 | 106,820 | ||||||
Ameris Bancorp † | 2,901 | 48,882 | ||||||
AMERISAFE, Inc. (a) | 4,000 | 129,560 | ||||||
Arlington Asset Investment Corp., Class A | 2,800 | 74,872 | ||||||
Ashford Hospitality Trust, Inc. REIT (a) | 28,900 | 330,905 | ||||||
Associated Estates Realty Corp. REIT (a) | 4,000 | 64,320 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 8,600 | 192,554 | ||||||
Bancorp, Inc. †(a) | 2,800 | 41,972 | ||||||
Bank of the Ozarks, Inc. (a) | 17,000 | 736,610 | ||||||
Banner Corp. | 12,000 | 405,480 | ||||||
BBCN Bancorp, Inc. (a) | 22,400 | 318,528 | ||||||
Beneficial Mutual Bancorp, Inc. †(a) | 2,600 | 21,840 | ||||||
Berkshire Hills Bancorp, Inc. (a) | 5,000 | 138,800 | ||||||
BlackRock Kelso Capital Corp. (a) | 15,700 | 146,952 | ||||||
BofI Holding, Inc. † | 8,800 | 403,216 | ||||||
Boston Private Financial Holdings, Inc. (a) | 32,500 | 345,800 | ||||||
Brandywine Realty Trust REIT | 51,200 | 692,224 | ||||||
CapitalSource, Inc. | 18,100 | 169,778 | ||||||
Cardinal Financial Corp. (a) | 6,300 | 92,232 | ||||||
Chemical Financial Corp. | 1,500 | 38,985 | ||||||
City Holding Co. (a) | 1,300 | 50,635 | ||||||
CNO Financial Group, Inc. | 12,500 | 162,000 | ||||||
Cohen & Steers, Inc. | 3,000 | 101,940 | ||||||
Community Trust Bancorp, Inc. (a) | 3,300 | 117,546 | ||||||
Consumer Portfolio Services, Inc. † | 39,700 | 291,398 | ||||||
Coresite Realty Corp. REIT (a) | 9,200 | 292,652 | ||||||
Cousins Properties, Inc. REIT | 25,400 | 256,540 | ||||||
Credit Acceptance Corp. † | 318 | 33,406 | ||||||
CubeSmart REIT | 48,300 | 771,834 | ||||||
Eagle Bancorp, Inc. †(a) | 5,939 | 132,924 | ||||||
EastGroup Properties, Inc. REIT (a) | 3,700 | 208,199 | ||||||
eHealth, Inc. †(a) | 4,600 | 104,512 | ||||||
Employers Holdings, Inc. | 3,300 | 80,685 | ||||||
Encore Capital Group, Inc. †(a) | 7,274 | 240,842 | ||||||
Enstar Group Ltd. (Bermuda) † | 2,500 | 332,450 | ||||||
Evercore Partners, Inc., Class A | 9,900 | 388,872 | ||||||
FBL Financial Group, Inc., Class A | 7,100 | 308,921 | ||||||
FBR & Co. † | 2,600 | 65,676 | ||||||
Federal Agricultural Mortgage Corp., Class C | 7,100 | 205,048 | ||||||
FelCor Lodging Trust, Inc. REIT †(a) | 55,100 | 325,641 | ||||||
Financial Engines, Inc. (a) | 14,400 | 656,496 | ||||||
First Busey Corp. (a) | 1,100 | 4,950 | ||||||
First Cash Financial Services, Inc. †(a) | 8,800 | 433,048 | ||||||
First Commonwealth Financial Corp. (a) | 18,100 | 133,397 | ||||||
First Financial Bancorp (a) | 1,700 | 25,330 | ||||||
First Financial Bankshares, Inc. (a) | 4,400 | 244,904 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
56 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Financials - 20.0% (continued) | ||||||||
First Industrial Realty Trust, Inc. REIT | 41,100 | $ | 623,487 | |||||
First Interstate Bancsystem, Inc. (a) | 1,400 | 29,022 | ||||||
First Merchants Corp. (a) | 9,200 | 157,780 | ||||||
First Midwest Bancorp, Inc. (a) | 10,800 | 148,176 | ||||||
Flagstar Bancorp, Inc. †(a) | 30,100 | 420,196 | ||||||
Forestar Group, Inc. †(a) | 8,300 | 166,498 | ||||||
Geo Group, Inc./The REIT | 7,526 | 255,508 | ||||||
Glacier Bancorp, Inc. (a) | 16,000 | 355,040 | ||||||
Gladstone Capital Corp. (a) | 7,300 | 59,641 | ||||||
Gladstone Commercial Corp. REIT (a) | 5,400 | 100,656 | ||||||
Gladstone Investment Corp. (a) | 9,900 | 72,765 | ||||||
Glimcher Realty Trust REIT (a) | 29,900 | 326,508 | ||||||
Gramercy Property Trust, Inc. REIT †(a) | 20,400 | 91,800 | ||||||
Greenhill & Co., Inc. (a) | 7,600 | 347,624 | ||||||
Hanmi Financial Corp. † | 9,600 | 169,632 | ||||||
HCI Group, Inc. (a) | 14,300 | 439,296 | ||||||
Hercules Technology Growth Capital, Inc. (a) | 14,300 | 199,342 | ||||||
Hersha Hospitality Trust REIT | 26,600 | 150,024 | ||||||
HFF, Inc., Class A (a) | 9,100 | 161,707 | ||||||
Hilltop Holdings, Inc. † | 17,700 | 290,280 | ||||||
Home BancShares, Inc. | 21,200 | 550,564 | ||||||
Home Loan Servicing Solutions Ltd. (Cayman Islands) | 15,300 | 366,741 | ||||||
HomeStreet, Inc. | 7,500 | 160,875 | ||||||
Horace Mann Educators Corp. (a) | 8,000 | 195,040 | ||||||
Horizon Technology Finance Corp. (a) | 900 | 12,366 | ||||||
Hudson Pacific Properties, Inc. REIT (a) | 3,600 | 76,608 | ||||||
Independent Bank Corp. (a) | 1,500 | 51,750 | ||||||
Infinity Property & Casualty Corp. (a) | 3,300 | 197,208 | ||||||
International Bancshares Corp. | 14,900 | 336,442 | ||||||
INTL FCStone, Inc. †(a) | 3,000 | 52,350 | ||||||
Investors Bancorp, Inc. (a) | 13,700 | 288,796 | ||||||
KCAP Financial, Inc. (a) | 23,900 | 269,114 | ||||||
Kemper Corp. | 7,000 | 239,750 | ||||||
Lakeland Financial Corp. | 7,600 | 210,900 | ||||||
Lexington Realty Trust REIT | 18,600 | 217,248 | ||||||
LTC Properties, Inc. REIT | 10,700 | 417,835 | ||||||
Maiden Holdings Ltd. (Bermuda) | 15,800 | 177,276 | ||||||
Main Street Capital Corp. (a) | 13,600 | 376,584 | ||||||
MarketAxess Holdings, Inc. | 6,282 | 293,683 | ||||||
Marlin Business Services Corp. | 1,900 | 43,282 | ||||||
MB Financial, Inc. | 7,700 | 206,360 | ||||||
Medallion Financial Corp. (a) | 7,700 | 107,107 | ||||||
Medical Properties Trust, Inc. REIT (a) | 27,700 | 396,664 | ||||||
Medley Capital Corp. (a) | 28,200 | 382,956 | ||||||
MGIC Investment Corp. †(a) | 140,500 | 852,835 | ||||||
Monmouth Real Estate Investment Corp., Class A REIT (a) | 8,600 | 84,882 | ||||||
Montpelier Re Holdings Ltd. (Bermuda) (a) | 14,200 | �� | 355,142 | |||||
MVC Capital, Inc. | 4,300 | 54,137 | ||||||
National Health Investors, Inc. REIT (a) | 10,400 | 622,544 | ||||||
Nelnet, Inc., Class A | 7,900 | 285,111 | ||||||
New Mountain Finance Corp. (a) | 14,200 | 201,072 | ||||||
OmniAmerican Bancorp, Inc. † | 2,200 | 48,466 | ||||||
One Liberty Properties, Inc. REIT (a) | 1,300 | 28,548 | ||||||
OneBeacon Insurance Group Ltd., Class A (a) | 14,400 | 208,512 |
SHARES | VALUE (Note 2) | |||||||
Financials - 20.0% (continued) | ||||||||
Oritani Financial Corp. | 14,100 | $ | 221,088 | |||||
PacWest Bancorp (a) | 6,400 | 196,160 | ||||||
Parkway Properties, Inc. REIT | 23,100 | 387,156 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 34,900 | 658,912 | ||||||
PHH Corp. †(a) | 9,400 | 191,572 | ||||||
Pinnacle Financial Partners, Inc. †(a) | 11,500 | 295,665 | ||||||
Piper Jaffray Cos. †(a) | 9,700 | 306,617 | ||||||
Platinum Underwriters Holdings Ltd. (Bermuda) | 9,600 | 549,312 | ||||||
Portfolio Recovery Associates, Inc. † | 2,700 | 414,801 | ||||||
Potlatch Corp. REIT | 9,500 | 384,180 | ||||||
Primerica, Inc. | 10,100 | 378,144 | ||||||
PS Business Parks, Inc. REIT (a) | 3,600 | 259,812 | ||||||
Radian Group, Inc. (a) | 88,500 | 1,028,370 | ||||||
RAIT Financial Trust REIT | 50,100 | 376,752 | ||||||
Ramco-Gershenson Properties Trust REIT (a) | 19,800 | 307,494 | ||||||
Retail Opportunity Investments Corp. REIT (a) | 18,200 | 252,980 | ||||||
Rockville Financial, Inc. | 6,200 | 81,096 | ||||||
Sabra Health Care REIT, Inc. REIT | 24,100 | 629,251 | ||||||
Safeguard Scientifics, Inc. †(a) | 4,700 | 75,435 | ||||||
Safety Insurance Group, Inc. | 1,900 | 92,169 | ||||||
Security National Financial Corp., Class A †(a) | 18,400 | 108,928 | ||||||
Southside Bancshares, Inc. (a) | 7,387 | 176,402 | ||||||
Sovran Self Storage, Inc. REIT | 8,600 | 557,194 | ||||||
STAG Industrial, Inc. REIT | 33,400 | 666,330 | ||||||
Stewart Information Services Corp. (a) | 16,100 | 421,659 | ||||||
Strategic Hotels & Resorts, Inc. REIT † | 25,000 | 221,500 | ||||||
Sun Communities, Inc. REIT (a) | 7,909 | 393,552 | ||||||
Sunstone Hotel Investors, Inc. REIT †(a) | 29,100 | 351,528 | ||||||
Symetra Financial Corp. (a) | 19,200 | 307,008 | ||||||
THL Credit, Inc. (a) | 10,700 | 162,533 | ||||||
TICC Capital Corp. (a) | 21,800 | 209,716 | ||||||
Tompkins Financial Corp. | 1,500 | 67,785 | ||||||
Triangle Capital Corp. (a) | 18,300 | 503,433 | ||||||
United Financial Bancorp, Inc. (a) | 900 | 13,635 | ||||||
Universal Health Realty Income Trust REIT | 4,100 | 176,833 | ||||||
ViewPoint Financial Group, Inc. (a) | 21,200 | 441,172 | ||||||
Virtus Investment Partners, Inc. † | 5,100 | 898,977 | ||||||
Walker & Dunlop, Inc. †(a) | 7,900 | 138,250 | ||||||
Walter Investment Management Corp. † | 15,320 | 517,969 | ||||||
Washington Trust Bancorp, Inc. (a) | 2,400 | 68,448 | ||||||
WesBanco, Inc. | 9,200 | 243,156 | ||||||
Western Alliance Bancorp †(a) | 27,400 | 433,742 | ||||||
WisdomTree Investments, Inc. †(a) | 46,000 | 532,220 | ||||||
World Acceptance Corp. †(a) | 400 | 34,776 | ||||||
WSFS Financial Corp. | 2,000 | 104,780 | ||||||
|
| |||||||
38,767,797 | ||||||||
|
| |||||||
Health Care - 17.1% | ||||||||
Abaxis, Inc. (a) | 9,300 | 441,843 | ||||||
Acadia Healthcare Co., Inc. †(a) | 24,700 | 816,829 | ||||||
ACADIA Pharmaceuticals, Inc. †(a) | 51,600 | 936,540 | ||||||
Accuray, Inc. †(a) | 10,900 | 62,566 | ||||||
AcelRx Pharmaceuticals, Inc. †(a) | 23,000 | 213,210 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 57 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Health Care - 17.1% (continued) | ||||||||
Achillion Pharmaceuticals, Inc. †(a) | 5,000 | $ | 40,900 | |||||
Acorda Therapeutics, Inc. † | 6,000 | 197,940 | ||||||
Addus HomeCare Corp. † | 10,000 | 197,400 | ||||||
Aegerion Pharmaceuticals, Inc. †(a) | 14,000 | 886,760 | ||||||
Air Methods Corp. (a) | 18,300 | 620,004 | ||||||
Akorn, Inc. †(a) | 6,900 | 93,288 | ||||||
Albany Molecular Research, Inc. † | 19,800 | 235,026 | ||||||
Alnylam Pharmaceuticals, Inc. † | 26,400 | 818,664 | ||||||
AMN Healthcare Services, Inc. † | 18,600 | 266,352 | ||||||
Amsurg Corp. †(a) | 8,000 | 280,800 | ||||||
Analogic Corp. | 5,400 | 393,282 | ||||||
AngioDynamics, Inc. †(a) | 3,100 | 34,968 | ||||||
Antares Pharma, Inc. †(a) | 62,000 | 257,920 | ||||||
Arena Pharmaceuticals, Inc. †(a) | 66,100 | 508,970 | ||||||
Arqule, Inc. †(a) | 6,200 | 14,384 | ||||||
Array BioPharma, Inc. † | 83,000 | 376,820 | ||||||
ArthroCare Corp. † | 5,000 | 172,650 | ||||||
Astex Pharmaceuticals † | 69,000 | 283,590 | ||||||
Biolase, Inc. † | 21,422 | 76,689 | ||||||
Bio-Reference Labs, Inc. †(a) | 10,200 | 293,250 | ||||||
BioScrip, Inc. †(a) | 31,000 | 511,500 | ||||||
Cambrex Corp. †(a) | 8,300 | 115,951 | ||||||
Cantel Medical Corp. (a) | 9,949 | 336,973 | ||||||
Capital Senior Living Corp. † | 23,700 | 566,430 | ||||||
Cardiovascular Systems, Inc. † | 14,500 | 307,400 | ||||||
Celldex Therapeutics, Inc. † | 45,300 | 707,133 | ||||||
Celsion Corp. †(a) | 63,300 | 64,566 | ||||||
Chemed Corp. (a) | 4,200 | 304,206 | ||||||
Clovis Oncology, Inc. †(a) | 10,200 | 683,196 | ||||||
CONMED Corp. (a) | 3,700 | 115,588 | ||||||
Corvel Corp. †(a) | 3,200 | 93,664 | ||||||
Curis, Inc. † | 40,700 | 129,833 | ||||||
Cynosure, Inc., Class A †(a) | 14,200 | 368,916 | ||||||
DexCom, Inc. †(a) | 33,500 | 752,075 | ||||||
Emeritus Corp. † | 13,100 | 303,658 | ||||||
Endocyte, Inc. †(a) | 15,900 | 208,767 | ||||||
Endologix, Inc. †(a) | 18,700 | 248,336 | ||||||
Ensign Group, Inc./The | 3,500 | 123,270 | ||||||
Exact Sciences Corp. †(a) | 6,200 | 86,242 | ||||||
Five Star Quality Care, Inc. † | 27,400 | 153,714 | ||||||
Furiex Pharmaceuticals, Inc. †(a) | 7,600 | 258,932 | ||||||
Galena Biopharma, Inc. †(a) | 85,900 | 190,698 | ||||||
Genomic Health, Inc. †(a) | 2,100 | 66,591 | ||||||
Gentiva Health Services, Inc. † | 18,200 | 181,272 | ||||||
Hanger, Inc. † | 9,600 | 303,648 | ||||||
HealthStream, Inc. †(a) | 17,400 | 440,568 | ||||||
Hi-Tech Pharmacal Co., Inc. | 4,700 | 156,040 | ||||||
ICU Medical, Inc. †(a) | 4,700 | 338,682 | ||||||
Immunomedics, Inc. †(a) | 19,800 | 107,712 | ||||||
Infinity Pharmaceuticals, Inc. † | 32,400 | 526,500 | ||||||
Insmed, Inc. †(a) | 34,700 | 415,012 | ||||||
Insulet Corp. †(a) | 9,000 | 282,690 | ||||||
Isis Pharmaceuticals, Inc. † | 27,000 | 725,490 | ||||||
Jazz Pharmaceuticals PLC (Ireland) †(a) | 2,300 | 158,079 | ||||||
Keryx Biopharmaceuticals, Inc. †(a) | 56,200 | 419,814 | ||||||
Ligand Pharmaceuticals, Inc., Class B †(a) | 8,400 | 314,328 | ||||||
MannKind Corp. †(a) | 129,400 | 841,100 |
SHARES | VALUE (Note 2) | |||||||
Health Care - 17.1% (continued) | ||||||||
MedAssets, Inc. † | 22,400 | $ | 397,376 | |||||
MedCath Corp. (3)†(a)(b) | 10,300 | 14,729 | ||||||
Medicines Co./The †(a) | 20,100 | 618,276 | ||||||
Medidata Solutions, Inc. †(a) | 10,300 | 797,735 | ||||||
Merge Healthcare, Inc. †(a) | 30,200 | 108,720 | ||||||
Merit Medical Systems, Inc. †(a) | 7,600 | 84,740 | ||||||
MWI Veterinary Supply, Inc. †(a) | 3,200 | 394,368 | ||||||
National Research Corp., Class B | 3,500 | 122,290 | ||||||
Navidea Biopharmaceuticals, Inc. †(a) | 46,100 | 123,087 | ||||||
Nektar Therapeutics † | 33,800 | 390,390 | ||||||
Neogen Corp. †(a) | 5,900 | 327,804 | ||||||
Neurocrine Biosciences, Inc. † | 21,200 | 283,656 | ||||||
Novavax, Inc. † | 71,700 | 146,985 | ||||||
NPS Pharmaceuticals, Inc. †(a) | 31,500 | 475,650 | ||||||
OPKO Health, Inc. †(a) | 23,300 | 165,430 | ||||||
Optimer Pharmaceuticals, Inc. † | 3,900 | 56,433 | ||||||
OraSure Technologies, Inc. † | 19,300 | 74,884 | ||||||
Orexigen Therapeutics, Inc. †(a) | 77,600 | 453,960 | ||||||
Pacira Pharmaceuticals, Inc. † | 23,100 | 669,900 | ||||||
PAREXEL International Corp. †(a) | 5,200 | 238,888 | ||||||
Peregrine Pharmaceuticals, Inc. †(a) | 209,700 | 270,513 | ||||||
Pharmacyclics, Inc. † | 3,100 | 246,357 | ||||||
Providence Service Corp./The † | 7,200 | 209,448 | ||||||
Puma Biotechnology, Inc. † | 4,500 | 199,665 | ||||||
Quidel Corp. †(a) | 9,600 | 245,088 | ||||||
Repros Therapeutics, Inc. †(a) | 21,900 | 404,055 | ||||||
Rockwell Medical, Inc. † | 5,100 | 18,411 | ||||||
RTI Biologics, Inc. †(a) | 21,000 | 78,960 | ||||||
Sangamo Biosciences, Inc. †(a) | 31,800 | 248,358 | ||||||
Santarus, Inc. † | 42,400 | 892,520 | ||||||
Sarepta Therapeutics, Inc. †(a) | 18,800 | 715,340 | ||||||
SciClone Pharmaceuticals, Inc. †(a) | 20,600 | 102,176 | ||||||
Select Medical Holdings Corp. (a) | 9,800 | 80,360 | ||||||
Spectranetics Corp. †(a) | 17,500 | 326,900 | ||||||
Staar Surgical Co. †(a) | 14,800 | 150,220 | ||||||
Sunesis Pharmaceuticals, Inc. † | 50,800 | 264,668 | ||||||
Synageva BioPharma Corp. † | 7,200 | 302,400 | ||||||
Synergy Pharmaceuticals, Inc. †(a) | 35,500 | 153,360 | ||||||
Synta Pharmaceuticals Corp. †(a) | 47,200 | 235,528 | ||||||
TearLab Corp. †(a) | 23,300 | 247,446 | ||||||
TESARO, Inc. † | 5,900 | 193,166 | ||||||
Threshold Pharmaceuticals, Inc. †(a) | 46,300 | 243,538 | ||||||
Trius Therapeutics, Inc. † | 10,600 | 86,072 | ||||||
Universal American Corp. (a) | 19,100 | 169,799 | ||||||
US Physical Therapy, Inc. (a) | 3,000 | 82,920 | ||||||
Vascular Solutions, Inc. † | 2,200 | 32,362 | ||||||
Vical, Inc. †(a) | 32,800 | 102,664 | ||||||
West Pharmaceutical Services, Inc. | 3,100 | 217,806 | ||||||
Wright Medical Group, Inc. †(a) | 7,600 | 199,196 | ||||||
XenoPort, Inc. † | 17,600 | 87,120 | ||||||
ZIOPHARM Oncology, Inc. †(a) | 15,300 | 32,130 | ||||||
|
| |||||||
33,213,066 | ||||||||
|
| |||||||
Industrials - 15.2% | ||||||||
AAON, Inc. (a) | 4,700 | 155,476 | ||||||
Aceto Corp. | 7,400 | 103,082 | ||||||
Advisory Board Co./The †(a) | 4,100 | 224,065 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
58 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Industrials - 15.2% (continued) | ||||||||
Aegion Corp. †(a) | 6,800 | $ | 153,068 | |||||
Aircastle Ltd. (a) | 3,900 | 62,361 | ||||||
Alamo Group, Inc. (a) | 1,200 | 48,984 | ||||||
Albany International Corp., Class A | 6,000 | 197,880 | ||||||
Allegiant Travel Co. | 7,400 | 784,326 | ||||||
Altra Holdings, Inc. | 6,500 | 177,970 | ||||||
AMERCO | 1,100 | 178,090 | ||||||
American Railcar Industries, Inc. (a) | 11,000 | 368,610 | ||||||
American Woodmark Corp. † | 7,600 | 263,720 | ||||||
Apogee Enterprises, Inc. (a) | 15,600 | 374,400 | ||||||
Argan, Inc. | 2,300 | 35,880 | ||||||
Astec Industries, Inc. | 4,900 | 168,021 | ||||||
Astronics Corp. † | 5,400 | 220,698 | ||||||
Avis Budget Group, Inc. † | 6,100 | 175,375 | ||||||
AZZ, Inc. | 8,900 | 343,184 | ||||||
Barrett Business Services, Inc. | 7,300 | 381,133 | ||||||
Beacon Roofing Supply, Inc. †(a) | 16,300 | 617,444 | ||||||
Briggs & Stratton Corp. (a) | 6,700 | 132,660 | ||||||
Builders FirstSource, Inc. †(a) | 37,900 | 226,642 | ||||||
CAI International, Inc. †(a) | 6,100 | 143,777 | ||||||
CBIZ, Inc. †(a) | 10,400 | 69,784 | ||||||
Celadon Group, Inc. (a) | 3,900 | 71,175 | ||||||
Chart Industries, Inc. †(a) | 2,400 | 225,816 | ||||||
CIRCOR International, Inc. (a) | 3,800 | 193,268 | ||||||
Coleman Cable, Inc. | 10,300 | 186,018 | ||||||
Corporate Executive Board Co./The | 5,800 | 366,676 | ||||||
Deluxe Corp. (a) | 9,700 | 336,105 | ||||||
DigitalGlobe, Inc. † | 28,100 | 871,381 | ||||||
Douglas Dynamics, Inc. (a) | 6,500 | 84,370 | ||||||
Ducommun, Inc. † | 5,400 | 114,804 | ||||||
DXP Enterprises, Inc. †(a) | 6,600 | 439,560 | ||||||
Dynamic Materials Corp. (a) | 2,800 | 46,228 | ||||||
Echo Global Logistics, Inc. †(a) | 4,100 | 79,909 | ||||||
Encore Wire Corp. (a) | 2,900 | 98,890 | ||||||
EnerNOC, Inc. † | 20,200 | 267,852 | ||||||
EnerSys, Inc. (a) | 10,000 | 490,400 | ||||||
Erickson Air-Crane, Inc. † | 10,500 | 197,505 | ||||||
Exponent, Inc. | 4,900 | 289,639 | ||||||
Federal Signal Corp. † | 12,200 | 106,750 | ||||||
Flow International Corp. † | 11,400 | 42,066 | ||||||
Forward Air Corp. | 2,500 | 95,700 | ||||||
Franklin Electric Co., Inc. | 10,600 | 356,690 | ||||||
G&K Services, Inc., Class A | 4,000 | 190,400 | ||||||
GenCorp, Inc. †(a) | 36,200 | 588,612 | ||||||
Generac Holdings, Inc. (a) | 6,500 | 240,565 | ||||||
Gibraltar Industries, Inc. † | 11,300 | 164,528 | ||||||
Global Power Equipment Group, Inc. (a) | 2,400 | 38,688 | ||||||
Gorman-Rupp Co./The (a) | 1,600 | 50,944 | ||||||
GP Strategies Corp. †(a) | 5,000 | 119,100 | ||||||
Granite Construction, Inc. | 5,000 | 148,800 | ||||||
Great Lakes Dredge & Dock Corp. | 33,500 | 261,970 | ||||||
H&E Equipment Services, Inc. (a) | 15,800 | 332,906 | ||||||
Healthcare Services Group, Inc. (a) | 13,300 | 326,116 | ||||||
Herman Miller, Inc. | 13,700 | 370,859 | ||||||
HNI Corp. (a) | 5,300 | 191,171 | ||||||
Hurco Cos., Inc. (a) | 300 | 8,631 | ||||||
InnerWorkings, Inc. †(a) | 12,900 | 139,965 | ||||||
Insteel Industries, Inc. (a) | 3,700 | 64,824 |
SHARES | VALUE (Note 2) | |||||||
Industrials - 15.2% (continued) | ||||||||
Interface, Inc. | 18,400 | $ | 312,248 | |||||
JetBlue Airways Corp. †(a) | 67,300 | 423,990 | ||||||
Kadant, Inc. (a) | 3,300 | 99,561 | ||||||
Kaman Corp. (a) | 5,100 | 176,256 | ||||||
KEYW Holding Corp./The †(a) | 22,100 | 292,825 | ||||||
Lindsay Corp. | 2,700 | 202,446 | ||||||
Lydall, Inc. †(a) | 8,800 | 128,480 | ||||||
Macquarie Infrastructure Co. LLC | 2,800 | 149,660 | ||||||
MasTec, Inc. †(a) | 8,400 | 276,360 | ||||||
McGrath RentCorp. (a) | 4,400 | 150,304 | ||||||
Middleby Corp. † | 1,100 | 187,099 | ||||||
Mistras Group, Inc. †(a) | 8,900 | 156,462 | ||||||
Mobile Mini, Inc. † | 18,000 | 596,700 | ||||||
Mueller Industries, Inc. | 2,700 | 136,161 | ||||||
Mueller Water Products, Inc., Class A | 76,900 | 531,379 | ||||||
Multi-Color Corp. (a) | 6,200 | 188,108 | ||||||
Navigant Consulting, Inc. †(a) | 7,300 | 87,600 | ||||||
Odyssey Marine Exploration, Inc. †(a) | 26,100 | 77,256 | ||||||
On Assignment, Inc. † | 27,700 | 740,144 | ||||||
Park-Ohio Holdings Corp. † | 1,800 | 59,364 | ||||||
Patrick Industries, Inc. † | 19,800 | 411,642 | ||||||
Pendrell Corp. † | 20,600 | 53,972 | ||||||
PGT, Inc. † | 50,400 | 436,968 | ||||||
Pike Electric Corp. | 11,800 | 145,140 | ||||||
Powell Industries, Inc. † | 1,200 | 61,980 | ||||||
PowerSecure International, Inc. † | 12,700 | 190,881 | ||||||
Primoris Services Corp. | 13,000 | 256,360 | ||||||
Proto Labs, Inc. † | 9,000 | 584,730 | ||||||
Quad/Graphics, Inc. (a) | 14,800 | 356,680 | ||||||
Quality Distribution, Inc. †(a) | 12,000 | 106,080 | ||||||
Quanex Building Products Corp. (a) | 9,800 | 165,032 | ||||||
Raven Industries, Inc. (a) | 6,400 | 191,872 | ||||||
RBC Bearings, Inc. † | 2,800 | 145,460 | ||||||
Republic Airways Holdings, Inc. † | 35,800 | 405,614 | ||||||
Revolution Lighting Technologies, Inc. † | 53,000 | 212,000 | ||||||
Roadrunner Transportation Systems, Inc. † | 3,000 | 83,520 | ||||||
Rush Enterprises, Inc., Class A †(a) | 5,900 | 146,025 | ||||||
Saia, Inc. † | 15,300 | 458,541 | ||||||
Seaspan Corp. (Hong Kong) | 3,700 | 76,775 | ||||||
SkyWest, Inc. | 13,600 | 184,144 | ||||||
Standex International Corp. | 3,500 | 184,625 | ||||||
Steelcase, Inc., Class A | 45,900 | 669,222 | ||||||
Sun Hydraulics Corp. (a) | 6,700 | 209,576 | ||||||
Swift Transportation Co. † | 27,500 | 454,850 | ||||||
Taser International, Inc. †(a) | 43,800 | 373,176 | ||||||
Team, Inc. †(a) | 6,600 | 249,810 | ||||||
Tennant Co. (a) | 5,000 | 241,350 | ||||||
Textainer Group Holdings Ltd. (a) | 2,100 | 80,724 | ||||||
Thermon Group Holdings, Inc. †(a) | 10,600 | 216,240 | ||||||
Titan Machinery, Inc. †(a) | 3,900 | 76,557 | ||||||
Trex Co., Inc. †(a) | 9,700 | 460,653 | ||||||
TriMas Corp. †(a) | 17,600 | 656,128 | ||||||
Tutor Perini Corp. † | 10,900 | 197,181 | ||||||
Twin Disc, Inc. (a) | 2,900 | 68,730 | ||||||
UniFirst Corp. | 4,100 | 374,125 | ||||||
Universal Forest Products, Inc. (a) | 7,000 | 279,440 | ||||||
US Ecology, Inc. | 5,300 | 145,432 | ||||||
Viad Corp. | 5,800 | 142,216 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 59 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Industrials - 15.2% (continued) | ||||||||
Wabash National Corp. † | 23,600 | $ | 240,248 | |||||
WageWorks, Inc. † | 5,700 | 196,365 | ||||||
XPO Logistics, Inc. †(a) | 11,600 | 209,844 | ||||||
YRC Worldwide, Inc. † | 7,400 | 212,750 | ||||||
|
| |||||||
29,390,572 | ||||||||
|
| |||||||
Information Technology - 14.4% | ||||||||
3D Systems Corp. †(a) | 600 | 26,340 | ||||||
Accelrys, Inc. †(a) | 7,200 | 60,480 | ||||||
ACI Worldwide, Inc. †(a) | 7,100 | 330,008 | ||||||
Actuate Corp. †(a) | 14,700 | 97,608 | ||||||
Acxiom Corp. † | 21,500 | 487,620 | ||||||
Advanced Energy Industries, Inc. †(a) | 9,200 | 160,172 | ||||||
Alliance Fiber Optic Products, Inc. | 7,600 | 152,076 | ||||||
Angie’s List, Inc. †(a) | 22,300 | 592,065 | ||||||
AOL, Inc. † | 4,100 | 149,568 | ||||||
ARRIS Group, Inc. †(a) | 28,100 | 403,235 | ||||||
Aspen Technology, Inc. † | 4,000 | 115,160 | ||||||
ATMI, Inc. † | 11,000 | 260,150 | ||||||
Axcelis Technologies, Inc. † | 42,100 | 76,622 | ||||||
Badger Meter, Inc. (a) | 3,300 | 147,015 | ||||||
Blucora, Inc. †(a) | 19,000 | 352,260 | ||||||
Booz Allen Hamilton Holding Corp. (a) | 24,000 | 417,120 | ||||||
BroadSoft, Inc. †(a) | 5,700 | 157,320 | ||||||
Brooks Automation, Inc. (a) | 11,100 | 108,003 | ||||||
CalAmp Corp. †(a) | 24,100 | 351,860 | ||||||
Callidus Software, Inc. † | 16,900 | 111,371 | ||||||
Cardtronics, Inc. † | 5,400 | 149,040 | ||||||
CIBER, Inc. †(a) | 10,100 | 33,734 | ||||||
Computer Task Group, Inc. | 4,100 | 94,177 | ||||||
Comtech Telecommunications Corp. | 4,000 | 107,560 | ||||||
Convergys Corp. (a) | 19,600 | 341,628 | ||||||
Cornerstone OnDemand, Inc. †(a) | 24,100 | 1,043,289 | ||||||
Cray, Inc. †(a) | 28,000 | 549,920 | ||||||
CSG Systems International, Inc. †(a) | 7,000 | 151,900 | ||||||
Datalink Corp. †(a) | 8,000 | 85,120 | ||||||
Dealertrack Technologies, Inc. † | 1,300 | 46,059 | ||||||
Electro Rent Corp. | 1,200 | 20,148 | ||||||
Electronics for Imaging, Inc. † | 12,300 | 347,967 | ||||||
Ellie Mae, Inc. † | 24,000 | 553,920 | ||||||
Emcore Corp. †(a) | 7,250 | 26,100 | ||||||
Entegris, Inc. † | 9,600 | 90,144 | ||||||
EPIQ Systems, Inc. | 4,100 | 55,227 | ||||||
ePlus, Inc. | 1,200 | 71,868 | ||||||
Euronet Worldwide, Inc. †(a) | 3,800 | 121,068 | ||||||
ExlService Holdings, Inc. † | 4,000 | 118,240 | ||||||
Fair Isaac Corp. | 6,200 | 284,146 | ||||||
FEI Co. | 1,900 | 138,681 | ||||||
Forrester Research, Inc. | 3,800 | 139,422 | ||||||
Global Cash Access Holdings, Inc. †(a) | 38,500 | 241,010 | ||||||
Globecomm Systems, Inc. † | 5,100 | 64,464 | ||||||
Glu Mobile, Inc. †(a) | 38,000 | 83,600 | ||||||
GSI Group, Inc. †(a) | 6,900 | 55,476 | ||||||
Guidewire Software, Inc. † | 13,300 | 559,265 | ||||||
Hutchinson Technology, Inc. † | 31,500 | 148,995 | ||||||
Immersion Corp. †(a) | 20,100 | 266,325 | ||||||
Infinera Corp. † | 17,700 | 188,859 | ||||||
Insight Enterprises, Inc. †(a) | 11,200 | 198,688 |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 14.4% (continued) | ||||||||
Integrated Silicon Solution, Inc. †(a) | 7,500 | $ | 82,200 | |||||
Interactive Intelligence Group, Inc. † | 3,200 | 165,120 | ||||||
InterDigital, Inc. | 11,800 | 526,870 | ||||||
Internap Network Services Corp. †(a) | 7,800 | 64,506 | ||||||
Ixia †(a) | 26,100 | 480,240 | ||||||
j2 Global, Inc. (a) | 11,800 | 501,618 | ||||||
Keynote Systems, Inc. (a)(2) | 2,900 | 57,304 | ||||||
Kulicke & Soffa Industries, Inc. † | 17,100 | 189,126 | ||||||
Littelfuse, Inc. | 2,900 | 216,369 | ||||||
LivePerson, Inc. †(a) | 20,251 | 181,348 | ||||||
Manhattan Associates, Inc. † | 8,300 | 640,428 | ||||||
MAXIMUS, Inc. | 4,200 | 312,816 | ||||||
Measurement Specialties, Inc. † | 3,900 | 181,467 | ||||||
Mentor Graphics Corp. | 8,000 | 156,400 | ||||||
Mercury Systems, Inc. †(a) | 4,500 | 41,490 | ||||||
Meru Networks, Inc. † | 14,500 | 58,435 | ||||||
Methode Electronics, Inc. (a) | 12,300 | 209,223 | ||||||
Mitek Systems, Inc. †(a) | 15,900 | 91,902 | ||||||
Monolithic Power Systems, Inc. (a) | 12,700 | 306,197 | ||||||
Monotype Imaging Holdings, Inc. (a) | 10,400 | 264,264 | ||||||
MTS Systems Corp. (a) | 2,200 | 124,520 | ||||||
Nanometrics, Inc. †(a) | 8,800 | 129,096 | ||||||
Netlist, Inc. †(a) | 13,900 | 12,232 | ||||||
Netscout Systems, Inc. †(a) | 14,200 | 331,428 | ||||||
NetSol Technologies, Inc. †(a) | 14,600 | 146,876 | ||||||
NIC, Inc. (a) | 25,600 | 423,168 | ||||||
NVE Corp. † | 2,400 | 112,368 | ||||||
OpenTable, Inc. †(a) | 7,100 | 454,045 | ||||||
Parkervision, Inc. †(a) | 91,700 | 417,235 | ||||||
PC Connection, Inc. (a) | 6,800 | 105,060 | ||||||
PDF Solutions, Inc. † | 12,000 | 221,160 | ||||||
Procera Networks, Inc. †(a) | 9,600 | 131,808 | ||||||
PROS Holdings, Inc. † | 8,200 | 245,590 | ||||||
Rambus, Inc. † | 22,300 | 191,557 | ||||||
Richardson Electronics Ltd. (a) | 300 | 3,522 | ||||||
Rogers Corp. † | 3,100 | 146,692 | ||||||
Rudolph Technologies, Inc. †(a) | 15,000 | 168,000 | ||||||
Saba Software, Inc. †(a) | 6,900 | 67,275 | ||||||
Sanmina Corp. † | 17,400 | 249,690 | ||||||
SciQuest, Inc. †(a) | 2,000 | 50,100 | ||||||
Seachange International, Inc. † | 4,300 | 50,353 | ||||||
Silicon Graphics International Corp. †(a) | 12,700 | 169,926 | ||||||
Sourcefire, Inc. †(a) | 1,900 | 105,545 | ||||||
SPS Commerce, Inc. †(a) | 8,300 | 456,500 | ||||||
SS&C Technologies Holdings, Inc. † | 8,500 | 279,650 | ||||||
Stamps.com, Inc. †(a) | 5,600 | 220,584 | ||||||
Stratasys Ltd. † | 2,600 | 217,724 | ||||||
SunEdison, Inc. †(a) | 96,000 | 784,320 | ||||||
SunPower Corp. †(a) | 43,400 | 898,380 | ||||||
Super Micro Computer, Inc. †(a) | 9,400 | 100,016 | ||||||
support.com, Inc. † | 12,700 | 58,039 | ||||||
Synaptics, Inc. † | 5,700 | 219,792 | ||||||
Synchronoss Technologies, Inc. † | 6,300 | 194,481 | ||||||
SYNNEX Corp. †(a) | 2,600 | 109,928 | ||||||
Take-Two Interactive Software, Inc. † | 12,900 | 193,113 | ||||||
Telenav, Inc. † | 9,300 | 48,639 | ||||||
TiVo, Inc. † | 11,300 | 124,865 | ||||||
Tyler Technologies, Inc. † | 11,700 | 802,035 | ||||||
Ultimate Software Group, Inc. †(a) | 800 | 93,832 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
60 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 14.4% (continued) | ||||||||
Ultratech, Inc. † | 9,500 | $ | 348,840 | |||||
Uni-Pixel, Inc. †(a) | 14,600 | 214,766 | ||||||
United Online, Inc. | 28,600 | 216,788 | ||||||
ValueClick, Inc. †(a) | 25,700 | 634,276 | ||||||
Veeco Instruments, Inc. †(a) | 6,400 | 226,688 | ||||||
Virtusa Corp. † | 4,600 | 101,936 | ||||||
Vishay Intertechnology, Inc. † | 13,800 | 191,682 | ||||||
Web.com Group, Inc. †(a) | 14,700 | 376,320 | ||||||
Yelp, Inc. † | 10,600 | 368,562 | ||||||
Zillow, Inc., Class A †(a) | 12,600 | 709,380 | ||||||
Zix Corp. †(a) | 14,200 | 60,066 | ||||||
|
| |||||||
27,967,864 | ||||||||
|
| |||||||
Materials - 4.9% | ||||||||
A Schulman, Inc. | 9,100 | 244,062 | ||||||
A.M. Castle & Co. † | 11,100 | 174,936 | ||||||
ADA-ES, Inc. † | 4,300 | 181,116 | ||||||
AEP Industries, Inc. † | 2,400 | 178,536 | ||||||
American Pacific Corp. † | 1,700 | 48,195 | ||||||
American Vanguard Corp. | 13,800 | 323,334 | ||||||
Axiall Corp. (a) | 1,200 | 51,096 | ||||||
Balchem Corp. (a) | 4,800 | 214,800 | ||||||
Boise, Inc. (a) | 31,500 | 269,010 | ||||||
Chemtura Corp. † | 1,600 | 32,480 | ||||||
Clearwater Paper Corp. † | 7,300 | 343,538 | ||||||
Deltic Timber Corp. (a) | 1,900 | 109,858 | ||||||
Flotek Industries, Inc. † | 6,100 | 109,434 | ||||||
Graphic Packaging Holding Co. † | 19,900 | 154,026 | ||||||
H.B. Fuller Co. | 9,300 | 351,633 | ||||||
Hawkins, Inc. (a) | 600 | 23,634 | ||||||
Haynes International, Inc. | 1,400 | 67,018 | ||||||
Headwaters, Inc. † | 65,200 | 576,368 | ||||||
Innophos Holdings, Inc. | 3,500 | 165,095 | ||||||
Innospec, Inc. | 6,700 | 269,206 | ||||||
Kaiser Aluminum Corp. (a) | 6,100 | 377,834 | ||||||
KapStone Paper and Packaging Corp. | 13,300 | 534,394 | ||||||
Koppers Holdings, Inc. | 3,700 | 141,266 | ||||||
Kraton Performance Polymers, Inc. † | 6,200 | 131,440 | ||||||
Louisiana-Pacific Corp. † | 6,700 | 99,093 | ||||||
Material Sciences Corp. † | 2,100 | 21,126 | ||||||
Minerals Technologies, Inc. | 7,900 | 326,586 | ||||||
Myers Industries, Inc. | 10,900 | 163,609 | ||||||
Neenah Paper, Inc. | 4,000 | 127,080 | ||||||
PolyOne Corp. (a) | 14,500 | 359,310 | ||||||
Quaker Chemical Corp. (a) | 5,200 | 322,452 | ||||||
RTI International Metals, Inc. †(a) | 5,500 | 152,405 | ||||||
Schweitzer-Mauduit International, Inc. | 400 | 19,952 | ||||||
Stepan Co. | 7,500 | 417,075 | ||||||
SunCoke Energy, Inc. † | 6,800 | 95,336 | ||||||
Texas Industries, Inc. †(a) | 9,900 | 644,886 | ||||||
Tredegar Corp. | 5,000 | 128,500 | ||||||
Universal Stainless & Alloy Products, Inc. †(a) | 900 | 26,532 | ||||||
US Concrete, Inc. † | 3,100 | 50,902 | ||||||
US Silica Holdings, Inc. (a) | 21,900 | 455,082 | ||||||
Vista Gold Corp. †(a) | 33,900 | 32,883 | ||||||
Worthington Industries, Inc. (a) | 28,600 | 906,906 | ||||||
|
| |||||||
9,422,024 | ||||||||
|
|
SHARES | VALUE (Note 2) | |||||||
Telecommunication Services - 1.2% | ||||||||
8x8, Inc. † | 64,800 | $ | 533,952 | |||||
Atlantic Tele-Network, Inc. (a) | 2,200 | 109,252 | ||||||
Cincinnati Bell, Inc. † | 82,000 | 250,920 | ||||||
Cogent Communications Group, Inc. (a) | 19,100 | 537,665 | ||||||
General Communication, Inc., Class A † | 4,600 | 36,018 | ||||||
IDT Corp., Class B | 12,100 | 226,149 | ||||||
inContact, Inc. †(a) | 14,500 | 119,190 | ||||||
NTELOS Holdings Corp. | 6,450 | 106,167 | ||||||
Premiere Global Services, Inc. † | 10,600 | 127,942 | ||||||
Vonage Holdings Corp. † | 70,600 | 199,798 | ||||||
|
| |||||||
2,247,053 | ||||||||
|
| |||||||
Utilities - 0.8% | ||||||||
American States Water Co. (a) | 6,300 | 338,121 | ||||||
Chesapeake Utilities Corp. (a) | 7,400 | 381,026 | ||||||
Connecticut Water Service, Inc. (a) | 2,900 | 83,230 | ||||||
MGE Energy, Inc. (a) | 3,600 | 197,136 | ||||||
Middlesex Water Co. | 4,300 | 85,656 | ||||||
Otter Tail Corp. (a) | 5,700 | 161,880 | ||||||
Unitil Corp. | 4,200 | 121,296 | ||||||
UNS Energy Corp. | 3,700 | 165,501 | ||||||
|
| |||||||
1,533,846 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 192,890,244 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Utilities - 0.1% | ||||||||
Genie Energy Ltd., Series 12-A (a)(c)(2) (cost $54,362) | 5,900 | 47,200 | ||||||
|
| |||||||
RIGHTS - 0.0% (d) | ||||||||
Information Technology - 0.0% (d) | ||||||||
Gerber Scientific, Inc., (3)†(b) (cost $-) | 4,000 | — | ||||||
|
| |||||||
WARRANTS - 0.0% (d) | ||||||||
Energy - 0.0% (d) | ||||||||
Magnum Hunter Resources Corp. † (cost $-) | 2,980 | 417 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 1.7% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(e) (cost $3,380,113) | 3,380,113 | 3,380,113 | ||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 29.4% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (2)(e)(f) (cost $57,021,813) | 57,021,813 | 57,021,813 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 130.7% | 253,339,787 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (30.7%) (g) | (59,476,380) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 193,863,407 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 61 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP MOMENTUM FUND |
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $54,406,226; cash collateral of $57,021,813 was received with which the Fund purchased a money market fund. |
(b) | Security fair valued at as of June 30, 2013 using procedures approved by the Board of Trustees. The total value of positions fair valued was $14,729 or 0.0% of total net assets. |
(c) | Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of June 30, 2013. |
(d) | Represents less than 0.05 percent of net assets. |
(e) | Represents annualized seven-day yield as of June 30, 2013. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation on futures contracts. |
All securities are Level 1, with respect to ASC 820 unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION | |||||||||||
Long Contracts: | ||||||||||||||||
10 | E-Mini Russell 2000 Futures | September 20, 2013 | $970,634 | $974,700 | $4,066 | |||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $42,751 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. |
62 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
COMMON STOCKS - 98.7% | SHARES | VALUE (Note 2) | ||||||
Australia - 7.7% | ||||||||
ALS Ltd. | 11,725 | $ | 102,070 | |||||
Amcor Ltd. | 30,438 | 281,305 | ||||||
AMP Ltd. | 37,576 | 145,322 | ||||||
Atlas Iron Ltd. | 18,245 | 12,392 | ||||||
Aurizon Holdings Ltd. | 27,946 | 106,154 | ||||||
Australia & New Zealand Banking Group Ltd. | 27,610 | 716,738 | ||||||
Caltex Australia Ltd. | 4,085 | 67,191 | ||||||
CFS Retail Property Trust Group REIT | 41,469 | 75,605 | ||||||
Coca-Cola Amatil Ltd. | 10,216 | 118,363 | ||||||
Cochlear Ltd. | 3,817 | 214,225 | ||||||
Commonwealth Bank of Australia | 33,805 | 2,127,893 | ||||||
Commonwealth Property Office Fund REIT | 75,980 | 76,148 | ||||||
Crown Ltd. | 25,641 | 282,664 | ||||||
CSL Ltd. | 17,856 | 1,003,088 | ||||||
Dexus Property Group REIT | 90,954 | 88,698 | ||||||
Goodman Group REIT | 53,923 | 239,740 | ||||||
GPT Group REIT | 38,389 | 134,796 | ||||||
Insurance Australia Group Ltd. | 62,946 | 312,445 | ||||||
Macquarie Group Ltd. | 14,246 | 543,355 | ||||||
Mesoblast Ltd. † | 10,394 | 50,156 | ||||||
Mirvac Group REIT | 60,599 | 88,717 | ||||||
National Australia Bank Ltd. | 30,459 | 823,915 | ||||||
New Hope Corp. Ltd. | 14,557 | 47,483 | ||||||
OZ Minerals Ltd. | 4,289 | 16,097 | ||||||
Paladin Energy Ltd. † | 12,165 | 9,690 | ||||||
Ramsay Health Care Ltd. | 3,907 | 127,703 | ||||||
Shopping Centres Australasia Property Group REIT | 3,776 | 5,489 | ||||||
Sonic Healthcare Ltd. | 6,491 | 88,182 | ||||||
Suncorp Group Ltd. | 23,321 | 253,291 | ||||||
Telecom Corp of New Zealand Ltd. | 36,210 | 62,537 | ||||||
Telstra Corp. Ltd. | 375,951 | 1,634,437 | ||||||
Wesfarmers Ltd. | 32,711 | 1,183,684 | ||||||
Westfield Group REIT | 93,579 | 980,112 | ||||||
Westfield Retail Trust REIT | 145,956 | 412,777 | ||||||
Westpac Banking Corp. | 79,227 | 2,080,096 | ||||||
Woolworths Ltd. | 37,837 | 1,133,470 | ||||||
WorleyParsons Ltd. | 2,954 | 52,331 | ||||||
|
| |||||||
15,698,359 | ||||||||
|
| |||||||
Austria - 0.6% | ||||||||
Andritz AG | 3,800 | 194,969 | ||||||
Erste Group Bank AG | 14,518 | 386,959 | ||||||
Immofinanz AG NPV † | 63,665 | 237,565 | ||||||
Lenzing AG | 606 | 43,317 | ||||||
OMV AG | 4,423 | 199,527 | ||||||
Raiffeisen Bank International AG † | 3,673 | 106,935 | ||||||
|
| |||||||
1,169,272 | ||||||||
|
| |||||||
Belgium - 1.5% | ||||||||
Ageas | 11,340 | 397,903 | ||||||
Anheuser-Busch InBev NV | 17,502 | 1,575,761 | ||||||
Belgacom SA | 2,566 | 57,453 | ||||||
KBC Groep NV | 13,009 | 484,967 | ||||||
RTL Group SA | 766 | 62,711 | ||||||
Solvay SA | 944 | 123,606 | ||||||
UCB SA | 6,382 | 342,591 |
SHARES | VALUE (Note 2) | |||||||
Belgium - 1.5% (continued) | ||||||||
Umicore SA | 2,884 | $ | 119,758 | |||||
|
| |||||||
3,164,750 | ||||||||
|
| |||||||
Canada - 3.7% | ||||||||
Alimentation Couche Tard, Inc., Class B (1) | 13,400 | 795,056 | ||||||
Atco Ltd., Class I (1) | 2,000 | 82,514 | ||||||
Boardwalk Real Estate Investment Trust REIT (1) | 1,500 | 83,137 | ||||||
Brookfield Office Properties, Inc. (1) | 7,200 | 119,738 | ||||||
Calloway Real Estate Investment Trust REIT (1) | 3,200 | 78,228 | ||||||
Canadian National Railway Co. (1) | 7,800 | 759,456 | ||||||
Canadian Pacific Railway Ltd. (1) | 7,900 | 957,960 | ||||||
Canadian Utilities Ltd., Class A (1) | 3,400 | 119,325 | ||||||
CGI Group, Inc., Class A (1) † | 10,200 | 298,716 | ||||||
CI Financial Corp. (1) | 3,300 | 94,981 | ||||||
Dollarama, Inc. (1) | 4,000 | 279,966 | ||||||
Domtar Corp. (1) | 900 | 59,860 | ||||||
Emera, Inc. (1) | 2,100 | 65,953 | ||||||
Empire Co., Ltd., Class A (1) | 1,100 | 84,113 | ||||||
First Capital Realty, Inc. (1) | 3,800 | 64,496 | ||||||
First Majestic Silver Corp. (1) † | 4,300 | 45,629 | ||||||
Gildan Activewear, Inc. (1) | 3,000 | 121,660 | ||||||
Husky Energy, Inc. (1) | 8,100 | 215,805 | ||||||
Keyera Corp. (1) | 1,700 | 91,425 | ||||||
Loblaw Cos., Ltd. (1) | 5,900 | 266,754 | ||||||
Lululemon Athletica, Inc. † | 3,000 | 181,905 | ||||||
Magna International, Inc. (1) | 2,800 | 199,304 | ||||||
Methanex Corp. (1) | 2,000 | 85,671 | ||||||
Metro, Inc. (1) | 4,200 | 281,464 | ||||||
Onex Corp. (1) | 2,400 | 108,898 | ||||||
Paramount Resources Ltd., Class A (1) † | 2,400 | 81,354 | ||||||
Rogers Communications, Inc., Class B (1) | 32,300 | 1,265,342 | ||||||
Shoppers Drug Mart Corp. (1) | 200 | 9,227 | ||||||
Sun Life Financial, Inc. (1) | 11,800 | 349,501 | ||||||
Tourmaline Oil Corp. (1) † | 4,700 | 188,277 | ||||||
West Fraser Timber Co., Ltd. (1) | 2,300 | 173,861 | ||||||
|
| |||||||
7,609,576 | ||||||||
|
| |||||||
Denmark - 0.8% | ||||||||
Carlsberg A/S, Class B | 3,117 | 278,710 | ||||||
Coloplast A/S, Class B | 14,794 | 828,376 | ||||||
Danske Bank A/S † | 11,758 | 200,579 | ||||||
DSV A/S | 2,710 | 66,016 | ||||||
Novo Nordisk A/S, Class B | 2,415 | 375,442 | ||||||
|
| |||||||
1,749,123 | ||||||||
|
| |||||||
Finland - 1.0% | ||||||||
Kone OYJ, Class B | 7,497 | 594,658 | ||||||
Konecranes OYJ | 3,800 | 108,159 | ||||||
Orion OYJ, Class B | 4,687 | 109,826 | ||||||
Sampo OYJ, A Shares | 24,792 | 965,397 | ||||||
Wartsila OYJ | 8,465 | 367,762 | ||||||
|
| |||||||
2,145,802 | ||||||||
|
| |||||||
France - 7.6% | ||||||||
Air Liquide SA | 3,601 | 444,723 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 63 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
France - 7.6% (continued) | ||||||||
AXA SA | 25,427 | $ | 501,235 | |||||
BNP Paribas SA | 28,775 | 1,575,289 | ||||||
Bureau Veritas SA | 2,364 | 61,217 | ||||||
Christian Dior SA | 1,623 | 262,201 | ||||||
Cie Generale des Etablissements Michelin | 1,933 | 172,841 | ||||||
Credit Agricole SA † | 76,413 | 657,674 | ||||||
Dassault Systemes SA | 1,844 | 225,387 | ||||||
Edenred | 3,620 | 110,843 | ||||||
Essilor International SA | 3,545 | 377,677 | ||||||
European Aeronautic Defence and Space Co. NV | 14,060 | 752,221 | ||||||
Eutelsat Communications SA | 3,108 | 88,177 | ||||||
Hermes International | 1,274 | 411,207 | ||||||
Iliad SA | 1,834 | 396,232 | ||||||
Kering | 2,717 | 552,875 | ||||||
Lafarge SA | 5,316 | 326,419 | ||||||
L’Oreal SA | 7,307 | 1,201,158 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 971 | 157,646 | ||||||
Natixis | 99,537 | 417,929 | ||||||
Pernod-Ricard SA | 4,394 | 487,708 | ||||||
Publicis Groupe SA | 5,534 | 394,127 | ||||||
Renault SA | 5,669 | 381,850 | ||||||
Rexel SA | 4,367 | 98,392 | ||||||
Safran SA | 2,192 | 114,436 | ||||||
Sanofi | 27,404 | 2,833,042 | ||||||
Schneider Electric SA | 4,553 | 330,670 | ||||||
SCOR SE | 2,421 | 74,306 | ||||||
SEB SA | 592 | 47,913 | ||||||
Societe Generale SA | 19,704 | 678,123 | ||||||
Sodexo | 1,964 | 163,523 | ||||||
Technip SA | 1,542 | 156,717 | ||||||
Total SA | 6,227 | 304,147 | ||||||
Unibail-Rodamco SE REIT | 3,100 | 722,006 | ||||||
|
| |||||||
15,479,911 | ||||||||
|
| |||||||
Germany - 4.2% | ||||||||
Allianz SE | 5,550 | 810,086 | ||||||
Bayer AG | 19,718 | 2,099,388 | ||||||
Beiersdorf AG | 12,384 | 1,078,758 | ||||||
Continental AG | 211 | 28,128 | ||||||
Deutsche Lufthansa AG † | 26,823 | 543,365 | ||||||
Deutsche Post AG | 25,099 | 622,908 | ||||||
GEA Group AG | 2,796 | 98,999 | ||||||
Hannover Rueckversicherung SE | 4,457 | 320,490 | ||||||
HeidelbergCement AG | 2,298 | 153,968 | ||||||
MAN SE | 1,150 | 125,374 | ||||||
Merck KGaA | 7,198 | 1,094,671 | ||||||
Muenchener Rueckversicherungs AG | 6,099 | 1,120,464 | ||||||
SAP AG | 2,925 | 213,592 | ||||||
Suedzucker AG | 6,605 | 204,487 | ||||||
|
| |||||||
8,514,678 | ||||||||
|
| |||||||
Hong Kong - 3.7% | ||||||||
AAC Technologies Holdings, Inc. | 35,500 | 199,172 | ||||||
AIA Group Ltd. | 19,400 | 81,732 | ||||||
ASM Pacific Technology Ltd. | 9,700 | 106,484 | ||||||
BOC Hong Kong Holdings Ltd. | 123,000 | 376,268 | ||||||
Cheung Kong Holdings Ltd. | 13,000 | 175,298 |
SHARES | VALUE (Note 2) | |||||||
Hong Kong - 3.7% (continued) | ||||||||
Cheung Kong Infrastructure Holdings Ltd. | 10,000 | $ | 66,634 | |||||
CLP Holdings Ltd. | 1,500 | 12,126 | ||||||
First Pacific Co., Ltd. | 72,000 | 76,967 | ||||||
Galaxy Entertainment Group Ltd. † | 135,000 | 655,754 | ||||||
Giordano International Ltd. | 64,000 | 55,809 | ||||||
Hang Seng Bank Ltd. | 22,500 | 331,349 | ||||||
Henderson Land Development Co., Ltd. | 64,900 | 385,433 | ||||||
Hong Kong & China Gas Co., Ltd. | 193,600 | 472,395 | ||||||
Hongkong Land Holdings Ltd. | 84,000 | 575,144 | ||||||
Hopewell Holdings Ltd. | 32,000 | 106,206 | ||||||
Hutchison Whampoa Ltd. | 11,000 | 115,085 | ||||||
Hysan Development Co., Ltd. | 25,000 | 107,928 | ||||||
Lifestyle International Holdings Ltd. | 33,500 | 69,921 | ||||||
Link REIT/The REIT | 59,500 | 292,007 | ||||||
Melco International Development Ltd. | 103,000 | 193,263 | ||||||
MGM China Holdings Ltd. | 66,000 | 175,141 | ||||||
MTR Corp. Ltd. | 60,500 | 222,327 | ||||||
New World Development Co., Ltd. | 196,000 | 269,222 | ||||||
NWS Holdings Ltd. | 61,000 | 93,519 | ||||||
Orient Overseas International Ltd. | 19,000 | 121,706 | ||||||
Sands China Ltd. | 112,000 | 523,384 | ||||||
Shangri-La Asia Ltd. | 24,000 | 41,257 | ||||||
Sino Land Co., Ltd. | 168,000 | 234,893 | ||||||
SJM Holdings Ltd. | 79,000 | 191,718 | ||||||
SmarTone Telecommunications Holdings Ltd. | 31,500 | 52,046 | ||||||
Stella International Holdings Ltd. | 32,500 | 89,703 | ||||||
Swire Properties Ltd. | 50 | 147 | ||||||
Techtronic Industries Co. | 70,000 | 166,182 | ||||||
Television Broadcasts Ltd. | 10,000 | 68,440 | ||||||
Wharf Holdings Ltd. | 84,000 | 701,099 | ||||||
Wheelock & Co., Ltd. | 41,000 | 204,564 | ||||||
|
| |||||||
7,610,323 | ||||||||
|
| |||||||
Israel - 0.5% | ||||||||
Bank Hapoalim BM † | 75,018 | 338,555 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd. | 22,496 | 29,909 | ||||||
Israel Chemicals Ltd. | 25,004 | 245,550 | ||||||
Israel Corp. Ltd./The † | 62 | 36,965 | ||||||
Mellanox Technologies Ltd. † | 1,786 | 88,794 | ||||||
Teva Pharmaceutical Industries Ltd. | 5,105 | 199,798 | ||||||
|
| |||||||
939,571 | ||||||||
|
| |||||||
Italy - 1.3% | ||||||||
Davide Campari-Milano SpA | 11,007 | 79,744 | ||||||
Exor SpA | 4,986 | 147,662 | ||||||
Fiat Industrial SpA | 11,479 | 127,783 | ||||||
Gtech Spa | 13,558 | 339,257 | ||||||
Luxottica Group SpA | 15,970 | 808,008 | ||||||
Pirelli & C. SpA | 20,366 | 235,434 | ||||||
Prysmian SpA | 14,955 | 278,984 | ||||||
Salvatore Ferragamo Italia SpA | 5,363 | 166,779 | ||||||
UniCredit SpA | 104,726 | 489,582 | ||||||
|
| |||||||
2,673,233 | ||||||||
|
| |||||||
Japan - 40.8% | ||||||||
77 Bank Ltd./The | 35,000 | 166,205 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
64 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 40.8% (continued) | ||||||||
Acom Co., Ltd. † | 16,710 | $ | 531,589 | |||||
Advance Residence Investment Corp. REIT | 67 | 145,255 | ||||||
Advantest Corp. | 5,300 | 87,327 | ||||||
Aeon Credit Service Co., Ltd. | 12,200 | 345,594 | ||||||
Aeon Mall Co., Ltd. | 14,900 | 369,639 | ||||||
Aiful Corp. † | 108,650 | 909,695 | ||||||
Aozora Bank Ltd. | 58,000 | 181,138 | ||||||
Asics Corp. | 16,000 | 252,154 | ||||||
Astellas Pharma, Inc. | 17,700 | 961,537 | ||||||
Autobacs Seven Co., Ltd. | 3,300 | 50,201 | ||||||
Bank of Yokohama Ltd./The | 34,000 | 175,394 | ||||||
Bridgestone Corp. | 25,400 | 866,146 | ||||||
Calbee, Inc. | 3,600 | 341,671 | ||||||
Calsonic Kansei Corp. | 14,000 | 58,303 | ||||||
Casio Computer Co., Ltd. | 53,700 | 472,976 | ||||||
Central Japan Railway Co. | 3,900 | 475,332 | ||||||
Century Tokyo Leasing Corp. | 4,800 | 124,875 | ||||||
Chiba Bank Ltd./The | 27,000 | 184,219 | ||||||
Chiyoda Corp. | 7,000 | 82,557 | ||||||
Chugai Pharmaceutical Co., Ltd. | 21,800 | 451,245 | ||||||
Chugoku Bank Ltd./The | 5,000 | 70,062 | ||||||
Cosmos Pharmaceutical Corp. | 4,300 | 436,053 | ||||||
Credit Saison Co., Ltd. | 3,800 | 95,483 | ||||||
Daido Steel Co., Ltd. | 12,000 | 60,578 | ||||||
Dai-ichi Life Insurance Co., Ltd./The | 231 | 331,611 | ||||||
Daiichi Sankyo Co., Ltd. | 10,500 | 174,980 | ||||||
Daikin Industries Ltd. | 14,500 | 586,087 | ||||||
Dainippon Screen Manufacturing Co., Ltd. † | 7,000 | 36,979 | ||||||
Dainippon Sumitomo Pharma Co., Ltd. | 28,200 | 372,957 | ||||||
Daito Trust Construction Co., Ltd. | 1,100 | 103,642 | ||||||
Daiwa House Industry Co., Ltd. | 25,000 | 465,676 | ||||||
Daiwa Securities Group, Inc. | 170,000 | 1,423,737 | ||||||
Dena Co., Ltd. | 4,900 | 95,932 | ||||||
Denso Corp. | 25,100 | 1,180,031 | ||||||
East Japan Railway Co. | 7,900 | 614,877 | ||||||
FamilyMart Co., Ltd. | 6,000 | 256,011 | ||||||
FANUC Corp. | 300 | 43,418 | ||||||
Fast Retailing Co., Ltd. | 3,300 | 1,113,765 | ||||||
Fuji Heavy Industries Ltd. | 51,000 | 1,259,406 | ||||||
Fukuoka Financial Group, Inc. | 41,000 | 174,380 | ||||||
GungHo Online Entertainment, Inc. † | 580 | 633,664 | ||||||
Hankyu Hanshin Holdings, Inc. | 52,000 | 295,963 | ||||||
Heiwa Corp. | 3,300 | 57,834 | ||||||
Hikari Tsushin, Inc. | 2,600 | 140,544 | ||||||
Hino Motors Ltd. | 32,000 | 469,566 | ||||||
Hirose Electric Co., Ltd. | 1,400 | 184,394 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 3,400 | 172,533 | ||||||
Hitachi Capital Corp. | 8,600 | 169,952 | ||||||
Hitachi Ltd. | 660 | 4,229 | ||||||
Hitachi Transport System Ltd. | 3,200 | 52,565 | ||||||
Honda Motor Co., Ltd. | 12,600 | 468,083 | ||||||
Hoshizaki Electric Co., Ltd. | 3,200 | 102,478 | ||||||
House Foods Corp. | 3,600 | 58,712 | ||||||
Ichigo Group Holdings Co., Ltd. | 349 | 242,490 | ||||||
IHI Corp. | 27,000 | 102,155 | ||||||
Industrial & Infrastructure Fund Investment Corp. REIT | 20 | 194,513 |
SHARES | VALUE (Note 2) | |||||||
Japan - 40.8% (continued) | ||||||||
Isetan Mitsukoshi Holdings Ltd. | 12,900 | $ | 171,294 | |||||
Isuzu Motors Ltd. | 82,000 | 560,548 | ||||||
Ito En Ltd. | 8,600 | 199,078 | ||||||
Itochu Techno-Solutions Corp. | 6,900 | 285,630 | ||||||
J Front Retailing Co., Ltd. | 27,000 | 215,316 | ||||||
Jafco Co., Ltd. | 10,900 | 414,022 | ||||||
Japan Prime Realty Investment Corp. REIT | 56 | 171,359 | ||||||
Japan Real Estate Investment Corp. REIT | 32 | 357,464 | ||||||
Japan Retail Fund Investment Corp. REIT | 106 | 221,450 | ||||||
Japan Tobacco, Inc. | 52,600 | 1,856,651 | ||||||
JGC Corp. | 8,000 | 288,100 | ||||||
Joyo Bank Ltd./The | 53,000 | 289,457 | ||||||
Kakaku.com, Inc. | 12,500 | 381,714 | ||||||
Kao Corp. | 12,300 | 418,711 | ||||||
KDDI Corp. | 19,900 | 1,036,262 | ||||||
Keisei Electric Railway Co., Ltd. | 20,000 | 187,373 | ||||||
Keyence Corp. | 2,440 | 777,410 | ||||||
Kikkoman Corp. | 11,000 | 182,983 | ||||||
Kintetsu Corp. (a) | 71,000 | 311,690 | ||||||
Kirin Holdings Co., Ltd. | 23,000 | 360,279 | ||||||
Kubota Corp. | 54,000 | 785,882 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 6,000 | 67,820 | ||||||
Kyushu Electric Power Co., Inc. † | 13,400 | 201,954 | ||||||
Lawson, Inc. | 1,300 | 99,202 | ||||||
M3, Inc. | 69 | 154,765 | ||||||
Makita Corp. | 7,300 | 392,465 | ||||||
Matsui Securities Co. Ltd. | 62,200 | 550,484 | ||||||
Mazda Motor Corp. † | 221,000 | 873,710 | ||||||
Miraca Holdings, Inc. | 1,700 | 78,120 | ||||||
Mitsubishi Electric Corp. | 22,000 | 205,570 | ||||||
Mitsubishi Estate Co., Ltd. | 78,000 | 2,076,663 | ||||||
Mitsubishi Heavy Industries, Ltd. | 97,000 | 539,277 | ||||||
Mitsubishi Logistics Corp. | 21,000 | 293,034 | ||||||
Mitsubishi Motors Corp. † | 377,000 | 516,036 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 586,700 | 3,623,383 | ||||||
Mitsui Fudosan Co., Ltd. | 46,000 | 1,352,402 | ||||||
Mizuho Financial Group, Inc. | 951,000 | 1,974,935 | ||||||
MS&AD Insurance Group Holdings | 9,300 | 235,571 | ||||||
Murata Manufacturing Co., Ltd. | 4,200 | 319,473 | ||||||
Namco Bandai Holdings, Inc. | 12,300 | 199,352 | ||||||
NEC Corp. | 142,000 | 310,959 | ||||||
NHK Spring Co., Ltd. | 12,500 | 144,323 | ||||||
Nippon Building Fund, Inc. REIT | 33 | 382,190 | ||||||
Nippon Express Co., Ltd. | 39,000 | 185,195 | ||||||
Nippon Shokubai Co., Ltd. | 7,000 | 71,602 | ||||||
Nippon Television Holdings, Inc. | 5,100 | 93,186 | ||||||
Nishi-Nippon City Bank Ltd./The | 21,000 | 54,760 | ||||||
Nissan Motor Co., Ltd. | 31,100 | 311,703 | ||||||
Nitto Denko Corp. | 9,200 | 590,048 | ||||||
Nomura Holdings, Inc. | 251,100 | 1,848,289 | ||||||
Nomura Real Estate Holdings, Inc. | 16,900 | 373,316 | ||||||
Nomura Research Institute Ltd. | 3,500 | 113,668 | ||||||
NSK Ltd. | 22,000 | 209,877 | ||||||
NTT Urban Development Corp. | 340 | 417,317 | ||||||
Obayashi Corp. | 38,000 | 197,034 | ||||||
Odakyu Electric Railway Co., Ltd. | 28,000 | 273,439 | ||||||
Okasan Securities Group, Inc. | 50,000 | 413,013 | ||||||
Olympus Corp. † | 14,400 | 437,579 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 65 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 40.8% (continued) | ||||||||
Omron Corp. | 6,800 | $ | 202,728 | |||||
Ono Pharmaceutical Co., Ltd. | 2,500 | 170,175 | ||||||
Orient Corp. † | 215,500 | 517,572 | ||||||
Oriental Land Co., Ltd. | 3,400 | 526,170 | ||||||
ORIX Corp. | 77,400 | 1,056,256 | ||||||
Orix JREIT, Inc. REIT | 155 | 176,916 | ||||||
Otsuka Corp. | 2,000 | 223,059 | ||||||
Otsuka Holdings Co., Ltd. | 10,000 | 330,189 | ||||||
Park24 Co., Ltd. | 14,900 | 270,316 | ||||||
Ricoh Co., Ltd. | 13,000 | 154,054 | ||||||
Ryohin Keikaku Co., Ltd. | 2,200 | 180,343 | ||||||
Santen Pharmaceutical Co., Ltd. | 2,100 | 90,877 | ||||||
Sawai Pharmaceutical Co., Ltd. | 700 | 83,575 | ||||||
Sekisui Chemical Co., Ltd. | 27,000 | 286,700 | ||||||
Sekisui House Ltd. | 31,000 | 447,903 | ||||||
Seven & I Holdings Co., Ltd. | 10,300 | 377,221 | ||||||
Seven Bank Ltd. | 56,100 | 203,367 | ||||||
Shimamura Co., Ltd. | 2,300 | 279,202 | ||||||
Shimano, Inc. | 4,000 | 340,739 | ||||||
Shin-Etsu Chemical Co., Ltd. | 14,700 | 972,924 | ||||||
Shinsei Bank Ltd. | 170,000 | 386,044 | ||||||
Shionogi & Co., Ltd. | 18,000 | 375,361 | ||||||
SKY Perfect JSAT Holdings, Inc. | 133 | 60,809 | ||||||
SMC Corp. | 1,000 | 200,476 | ||||||
Softbank Corp. | 34,700 | 2,019,885 | ||||||
Sony Corp. | 28,200 | 595,759 | ||||||
Sugi Holdings Co., Ltd. | 2,600 | 98,891 | ||||||
Sumitomo Corp. | 18,100 | 225,591 | ||||||
Sumitomo Forestry Co., Ltd. | 9,300 | 113,373 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 62,200 | 2,847,084 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 140,000 | 653,220 | ||||||
Sumitomo Realty & Development Co., Ltd. | 27,000 | 1,076,061 | ||||||
Sumitomo Rubber Industries Ltd. | 10,900 | 177,933 | ||||||
Suruga Bank Ltd. | 31,000 | 562,169 | ||||||
Suzuki Motor Corp. | 5,800 | 133,692 | ||||||
Sysmex Corp. | 6,100 | 399,522 | ||||||
Taiheiyo Cement Corp. | 49,000 | 156,369 | ||||||
Taisei Corp. | 28,000 | 101,079 | ||||||
Takara Bio, Inc. | 10,400 | 242,232 | ||||||
Takeda Pharmaceutical Co., Ltd. | 21,800 | 983,049 | ||||||
Tobu Railway Co., Ltd. | 73,000 | 376,214 | ||||||
Toho Gas Co., Ltd. | 17,000 | 87,913 | ||||||
Tohoku Electric Power Co., Inc. † | 16,300 | 203,520 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 54,700 | 372,238 | ||||||
Tokio Marine Holdings, Inc. | 11,400 | 359,727 | ||||||
Tokyo Electric Power Co., Inc † | 173,200 | 894,121 | ||||||
Tokyo Gas Co., Ltd. | 23,000 | 126,892 | ||||||
Tokyo Tatemono Co., Ltd. | 90,000 | 748,895 | ||||||
Tokyu Corp. | 57,000 | 373,222 | ||||||
Tokyu Land Corp. | 74,000 | 677,392 | ||||||
Toshiba Corp. | 37,000 | 177,362 | ||||||
Toshiba TEC Corp. | 25,000 | 134,570 | ||||||
Toyoda Gosei Co., Ltd. | 6,000 | 146,698 | ||||||
Toyota Industries Corp. | 11,600 | 473,720 | ||||||
Toyota Motor Corp. | 117,200 | 7,069,251 | ||||||
Toyota Tsusho Corp. | 18,400 | 473,117 | ||||||
Trend Micro, Inc. | 3,500 | 111,275 | ||||||
Tsumura & Co. | 6,300 | 185,664 |
SHARES | VALUE (Note 2) | |||||||
Japan - 40.8% (continued) | ||||||||
Tsuruha Holdings, Inc. | 3,500 | $ | 330,825 | |||||
Unicharm Corp. | 4,200 | 237,545 | ||||||
United Urban Investment Corp. REIT | 112 | 151,201 | ||||||
USS Co., Ltd. | 1,250 | 158,469 | ||||||
Wacom Co., Ltd. | 18,400 | 203,394 | �� | |||||
Yahoo Japan Corp. | 1,839 | 905,551 | ||||||
Yakult Honsha Co., Ltd. | 5,200 | 215,627 | ||||||
Yamaha Motor Co., Ltd. | 15,300 | 198,165 | ||||||
Yokogawa Electric Corp. | 8,300 | 99,225 | ||||||
Yokohama Rubber Co., Ltd./The | 30,000 | 301,237 | ||||||
Zensho Holdings Co., Ltd. (a) | 4,900 | 55,916 | ||||||
|
| |||||||
83,280,610 | ||||||||
|
| |||||||
Netherlands - 1.5% | ||||||||
Aegon NV | 19,003 | 127,492 | ||||||
Akzo Nobel NV | 2,823 | 159,291 | ||||||
ASML Holding NV | 5,928 | 467,961 | ||||||
Gemalto NV | 3,241 | 293,449 | ||||||
Heineken Holding NV | 9,229 | 517,255 | ||||||
Heineken NV | 14,113 | 898,315 | ||||||
Koninklijke Philips NV | 24,631 | 671,469 | ||||||
Koninklijke Vopak NV | 762 | 44,976 | ||||||
|
| |||||||
3,180,208 | ||||||||
|
| |||||||
New Zealand - 0.1% | ||||||||
Fletcher Building Ltd. | 26,324 | 171,208 | ||||||
|
| |||||||
Norway - 0.3% | ||||||||
DNB ASA | 10,033 | 145,545 | ||||||
Golar LNG Ltd. | 2,009 | 62,514 | ||||||
Marine Harvest ASA | 140,424 | 142,742 | ||||||
Telenor ASA | 10,790 | 214,322 | ||||||
|
| |||||||
565,123 | ||||||||
|
| |||||||
Portugal - 0.1% | ||||||||
Jeronimo Martins SGPS SA | 6,068 | 127,892 | ||||||
Portugal Telecom SGPS SA | 7,413 | 28,840 | ||||||
|
| |||||||
156,732 | ||||||||
|
| |||||||
Singapore - 2.0% | ||||||||
Ascendas Real Estate Investment Trust REIT | 206,000 | 361,012 | ||||||
CapitaCommercial Trust REIT | 117,000 | 134,972 | ||||||
CapitaLand Ltd. | 58,000 | 140,127 | ||||||
CapitaMall Trust REIT | 149,000 | 233,813 | ||||||
CapitaMalls Asia Ltd. | 92,000 | 131,951 | ||||||
Dairy Farm International Holdings, Ltd. | 6,300 | 75,630 | ||||||
DBS Group Holdings Ltd. | 17,000 | 206,854 | ||||||
Global Logistic Properties Ltd. | 107,000 | 231,448 | ||||||
Jardine Cycle & Carriage Ltd. | 6,000 | 200,604 | ||||||
Jardine Matheson Holdings Ltd. | 18,000 | 1,086,338 | ||||||
Jardine Strategic Holdings Ltd. | 7,000 | 253,477 | ||||||
Keppel REIT | 200 | 204 | ||||||
Noble Group Ltd. | 19,363 | 14,726 | ||||||
Sembcorp Industries Ltd. | 13,000 | 50,576 | ||||||
Singapore Technologies Engineering Ltd. | 102,000 | 336,004 | ||||||
Singapore Telecommunications Ltd. | 40,000 | 118,473 | ||||||
StarHub Ltd. | 33,000 | 108,504 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
66 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Singapore - 2.0% (continued) | ||||||||
Suntec Real Estate Investment Trust REIT | 92,000 | $ | 114,217 | |||||
United Overseas Bank Ltd. | 16,000 | 249,858 | ||||||
|
| |||||||
4,048,788 | ||||||||
|
| |||||||
Spain - 3.8% | ||||||||
Amadeus IT Holding SA, A Shares | 12,030 | 385,022 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 325,983 | 2,739,517 | ||||||
Ferrovial SA | 40,005 | 638,681 | ||||||
Gas Natural SDG SA | 54,549 | 1,099,030 | ||||||
Grifols SA | 14,812 | 544,183 | ||||||
Inditex SA | 16,000 | 1,973,525 | ||||||
Repsol SA | 17,770 | 375,036 | ||||||
|
| |||||||
7,754,994 | ||||||||
|
| |||||||
Sweden - 1.7% | ||||||||
Elekta AB, B Shares | 6,724 | 102,195 | ||||||
Hennes & Mauritz AB, B Shares | 367 | 12,075 | ||||||
Hexagon AB, B Shares | 12,321 | 329,357 | ||||||
Investor AB, B Shares | 30,134 | 808,822 | ||||||
Meda AB, A Shares | 7,554 | 85,489 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 78,641 | 750,786 | ||||||
Svenska Handelsbanken AB, A Shares | 12,588 | 504,332 | ||||||
Swedbank AB, A Shares | 36,759 | 841,949 | ||||||
|
| |||||||
3,435,005 | ||||||||
|
| |||||||
Switzerland - 4.9% | ||||||||
Actelion Ltd. † | 6,152 | 370,582 | ||||||
Compagnie Financiere Richemont SA, Class A | 4,455 | 392,879 | ||||||
Credit Suisse Group AG † | 23,473 | 621,426 | ||||||
Geberit AG | 236 | 58,463 | ||||||
Holcim Ltd. † | 4,469 | 311,071 | ||||||
Novartis AG | 59,642 | 4,224,476 | ||||||
Partners Group Holding AG | 740 | 200,302 | ||||||
Schindler Holding AG | 1,395 | 194,098 | ||||||
SGS SA | 404 | 867,356 | ||||||
Swatch Group AG/The | 46 | 25,127 | ||||||
Swiss Re AG † | 14,143 | 1,052,252 | ||||||
Syngenta AG | 1,901 | 741,312 | ||||||
UBS AG † | 41,667 | 707,249 | ||||||
Wolseley PLC | 4,864 | 224,423 | ||||||
Zurich Insurance Group AG † | 146 | 37,844 | ||||||
|
| |||||||
10,028,860 | ||||||||
|
| |||||||
Thailand - 0.1% | ||||||||
Thai Beverage PCL | 446,000 | 207,363 | ||||||
|
| |||||||
United Kingdom - 10.4% | ||||||||
Aberdeen Asset Management PLC | 54,480 | 317,054 | ||||||
Aggreko PLC | 7,624 | 190,558 | ||||||
ARM Holdings PLC | 49,237 | 595,624 | ||||||
Associated British Foods PLC | 9,388 | 247,656 | ||||||
AstraZeneca PLC | 240 | 11,347 | ||||||
Barclays PLC | 287,794 | 1,225,641 | ||||||
BG Group PLC | 2,230 | 37,897 | ||||||
British American Tobacco PLC | 482 | 24,722 | ||||||
BT Group PLC | 130,732 | 613,754 |
SHARES | VALUE (Note 2) | |||||||
United Kingdom - 10.4% (continued) | ||||||||
Bunzl PLC | 7,883 | $ | 153,751 | |||||
Carnival PLC | 6,836 | 237,618 | ||||||
Compass Group PLC | 41,470 | 529,886 | ||||||
Croda International PLC | 3,164 | 119,315 | ||||||
Diageo PLC | 46,529 | 1,334,280 | ||||||
easyJet PLC | 20,601 | 406,065 | ||||||
Experian PLC | 34,548 | 600,436 | ||||||
Fresnillo PLC | 1,715 | 23,154 | ||||||
G4S PLC | 22,026 | 77,664 | ||||||
GlaxoSmithKline PLC | 913 | 22,822 | ||||||
Hargreaves Lansdown PLC | 13,845 | 187,009 | ||||||
HSBC Holdings PLC | 401,189 | 4,153,169 | ||||||
IMI PLC | 4,267 | 80,427 | ||||||
Imperial Tobacco Group PLC | 8,078 | 280,102 | ||||||
InterContinental Hotels Group PLC | 11,899 | 327,011 | ||||||
Intertek Group PLC | 2,171 | 96,504 | ||||||
ITV PLC | 212,597 | 453,269 | ||||||
Johnson Matthey PLC | 2,582 | 103,164 | ||||||
Kingfisher PLC | 42,770 | 222,995 | ||||||
Legal & General Group PLC | 62,913 | 163,974 | ||||||
Lloyds Banking Group PLC † | 252,352 | 242,337 | ||||||
Meggitt PLC | 17,966 | 141,548 | ||||||
Mondi PLC | 7,018 | 87,378 | ||||||
National Grid PLC | 13,628 | 154,482 | ||||||
Next PLC | 6,383 | 442,152 | ||||||
Old Mutual PLC | 139,415 | 382,709 | ||||||
Pearson PLC | 15,946 | 283,588 | ||||||
Petrofac Ltd. | 14,632 | 266,351 | ||||||
Prudential PLC | 52,638 | 859,198 | ||||||
Randgold Resources Ltd. | 303 | 19,200 | ||||||
Reckitt Benckiser Group PLC | 3,848 | 272,194 | ||||||
Reed Elsevier PLC | 9,377 | 106,637 | ||||||
Rexam PLC | 11,373 | 82,536 | ||||||
Rolls-Royce Holdings PLC † | 35,118 | 604,675 | ||||||
Royal Bank of Scotland Group PLC † | 149,501 | 620,396 | ||||||
SABMiller PLC | 32,301 | 1,548,619 | ||||||
Sage Group PLC/The | 13,549 | 70,025 | ||||||
Severn Trent PLC | 3,568 | 90,348 | ||||||
Smith & Nephew PLC | 5,401 | 60,490 | ||||||
SSE PLC | 8,866 | 205,315 | ||||||
Standard Life PLC | 68,289 | 359,383 | ||||||
Tate & Lyle PLC | 14,485 | 181,739 | ||||||
Tullow Oil PLC | 11,125 | 169,354 | ||||||
United Utilities Group PLC | 13,217 | 137,512 | ||||||
Vodafone Group PLC | 112,887 | 323,498 | ||||||
Whitbread PLC | 10,735 | 499,389 | ||||||
WPP PLC | 7,612 | 130,111 | ||||||
|
| |||||||
21,178,032 | ||||||||
|
| |||||||
United States - 0.4% | ||||||||
Valeant Pharmaceuticals International, Inc. (1)† | 9,700 | 836,356 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 201,597,877 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 67 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL MOMENTUM FUND |
PREFERRED STOCKS - 0.0% (b) | SHARES | VALUE (Note 2) | ||||||
United Kingdom - 0.0% (b) | ||||||||
Rolls-Royce Holdings PLC (3)†(c) | 4,179,042 | $ | 6,356 | |||||
|
| |||||||
RIGHTS - 0.0% (b) | ||||||||
Hong Kong - 0.0% (b) | ||||||||
New World Development Co., Ltd. (3)†(c) | 2,450 | — | ||||||
|
| |||||||
MONEY MARKET FUNDS - 2.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (d) (cost $4,756,091) | 4,756,091 | 4,756,091 | ||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.2% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (d)(e) (cost $337,165) | 337,165 | 337,165 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 101.2% | 206,697,489 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2%) (f) | (2,531,651) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 204,165,838 | ||||||
|
|
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $318,122; cash collateral of $337,165 was received with which the Fund purchased a money market fund. |
(b) | Represents less than 0.05 percent of net assets. |
(c) | Security fair valued at as of June 30, 2013 using procedures approved by the Board of Trustees. The total value of positions fair valued was $6,356 or 0.0% of total net assets. |
(d) | Represents annualized seven-day yield as of June 30, 2013. |
(e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(f) | Includes appreciation on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 33,956,606 | 16.6 | % | ||||
Consumer Staples | 20,106,424 | 9.8 | ||||||
Energy | 2,325,097 | 1.1 | ||||||
Financials | 74,252,083 | 36.4 | ||||||
Health Care | 21,734,285 | 10.6 | ||||||
Industrials | 22,693,757 | 11.1 | ||||||
Information Technology | 8,716,183 | 4.3 | ||||||
Materials | 5,838,270 | 2.9 | ||||||
Telecommunication Services | 7,961,494 | 3.9 | ||||||
Utilities | 4,020,034 | 2.0 | ||||||
Money Market Funds | 5,093,256 | 2.5 | ||||||
|
|
|
| |||||
Total Investments | 206,697,489 | 101.2 | ||||||
Liabilities in Excess of Other Assets (f) | (2,531,651) | (1.2) | ||||||
|
|
|
| |||||
Net Assets | $ | 204,165,838 | 100.0 | % | ||||
|
|
|
|
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION | |||||||||||
Long Contracts: | ||||||||||||||||
12 | MSCI EAFE Mini Index Futures | September 20, 2013 | $977,003 | $983,820 | $6,817 | |||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $44,678 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. |
68 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED MOMENTUM FUND |
COMMON STOCKS - 96.9% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 21.7% | ||||||||
Aaron’s, Inc. | 93 | $ | 2,605 | |||||
Amazon.com, Inc. † | 143 | 39,710 | ||||||
Apollo Group, Inc., Class A † | 71 | 1,258 | ||||||
AutoNation, Inc. † | 274 | 11,889 | ||||||
AutoZone, Inc. † | 16 | 6,779 | ||||||
Bed Bath & Beyond, Inc. † | 101 | 7,161 | ||||||
BorgWarner, Inc. † | 22 | 1,895 | ||||||
Carter’s, Inc. | 181 | 13,407 | ||||||
CBS Corp., Class B | 1,087 | 53,122 | ||||||
Chipotle Mexican Grill, Inc. † | 49 | 17,853 | ||||||
Cinemark Holdings, Inc. | 322 | 8,990 | ||||||
Coach, Inc. | 66 | 3,768 | ||||||
Comcast Corp., Class A | 4,304 | 180,251 | ||||||
CST Brands, Inc. † | 118 | 3,636 | ||||||
Deckers Outdoor Corp. † | 28 | 1,414 | ||||||
Dillard’s, Inc., Class A | 148 | 12,132 | ||||||
DIRECTV † | 86 | 5,299 | ||||||
Discovery Communications, Inc., Class A † | 526 | 40,612 | ||||||
DISH Network Corp., Class A | 437 | 18,581 | ||||||
Dollar General Corp. † | 490 | 24,711 | ||||||
Dollar Tree, Inc. † | 295 | 14,998 | ||||||
DR Horton, Inc. | 1,478 | 31,452 | ||||||
DSW, Inc., Class A | 165 | 12,123 | ||||||
Expedia, Inc. | 167 | 10,045 | ||||||
Express, Inc. † | 194 | 4,068 | ||||||
Family Dollar Stores, Inc. | 63 | 3,925 | ||||||
Ford Motor Co. | 3,402 | 52,629 | ||||||
GameStop Corp., Class A | 307 | 12,903 | ||||||
Gap, Inc./The | 868 | 36,222 | ||||||
General Motors Co. † | 2,072 | 69,018 | ||||||
Genuine Parts Co. | 74 | 5,777 | ||||||
GNC Holdings, Inc., Class A | 104 | 4,598 | ||||||
H&R Block, Inc. | 197 | 5,467 | ||||||
Home Depot, Inc./The | 2,065 | 159,976 | ||||||
HSN, Inc. | 187 | 10,046 | ||||||
L Brands, Inc. | 139 | 6,846 | ||||||
Las Vegas Sands Corp. | 769 | 40,703 | ||||||
Lennar Corp., Class A (a) | 1,112 | 40,076 | ||||||
Liberty Global PLC, Class A (United Kingdom) † | 258 | 19,113 | ||||||
LKQ Corp. † | 202 | 5,201 | ||||||
Lowe’s Cos., Inc. | 1,625 | 66,462 | ||||||
Macy’s, Inc. | 524 | 25,152 | ||||||
Madison Square Garden Co./The, Class A † | 191 | 11,317 | ||||||
Mattel, Inc. | 402 | 18,215 | ||||||
Mohawk Industries, Inc. † | 186 | 20,923 | ||||||
Netflix, Inc. † | 222 | 46,862 | ||||||
News Corp., Class A | 4,733 | 154,296 | ||||||
NIKE, Inc., Class B | 248 | 15,793 | ||||||
O’Reilly Automotive, Inc. † | 60 | 6,757 | ||||||
Panera Bread Co., Class A † | 24 | 4,463 | ||||||
PetSmart, Inc. | 64 | 4,287 | ||||||
Polaris Industries, Inc. | 56 | 5,320 | ||||||
priceline.com, Inc. † | 31 | 25,641 | ||||||
PulteGroup, Inc. † | 2,843 | 53,932 | ||||||
Ralph Lauren Corp. | 40 | 6,950 | ||||||
Rent-A-Center, Inc. | 182 | 6,834 | ||||||
Ross Stores, Inc. | 256 | 16,591 |
SHARES | VALUE (Note 2) | |||||||
Consumer Discretionary - 21.7% (continued) | ||||||||
Sally Beauty Holdings, Inc. † | 147 | $ | 4,572 | |||||
Sears Canada, Inc. (Canada) | 14 | 146 | ||||||
Service Corp. International | 660 | 11,900 | ||||||
Sirius XM Radio, Inc. | 10,210 | 34,203 | ||||||
Six Flags Entertainment Corp. | 266 | 9,353 | ||||||
Standard Pacific Corp. † | 4,289 | 35,727 | ||||||
Starbucks Corp. | 252 | 16,503 | ||||||
Starz, Class A † | 200 | 4,420 | ||||||
Tesla Motors, Inc. † | 439 | 47,162 | ||||||
Time Warner Cable, Inc. | 305 | 34,306 | ||||||
Time Warner, Inc. | 1,475 | 85,284 | ||||||
TJX Cos., Inc. | 1,203 | 60,222 | ||||||
Tractor Supply Co. | 49 | 5,763 | ||||||
TripAdvisor, Inc. † | 432 | 26,296 | ||||||
TRW Automotive Holdings Corp. † | 502 | 33,353 | ||||||
Tupperware Brands Corp. | 134 | 10,410 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 50 | 5,008 | ||||||
Under Armour, Inc., Class A † | 82 | 4,896 | ||||||
VF Corp. | 51 | 9,846 | ||||||
Viacom, Inc., Class B | 118 | 8,030 | ||||||
Walt Disney Co./The | 2,691 | 169,937 | ||||||
Weight Watchers International, Inc. | 51 | 2,346 | ||||||
Whirlpool Corp. | 301 | 34,422 | ||||||
Wolverine World Wide, Inc. (a) | 151 | 8,246 | ||||||
Wyndham Worldwide Corp. | 277 | 15,853 | ||||||
Yum! Brands, Inc. | 243 | 16,850 | ||||||
|
| |||||||
2,185,108 | ||||||||
|
| |||||||
Consumer Staples - 4.0% | ||||||||
Altria Group, Inc. | 445 | 15,571 | ||||||
Casey’s General Stores, Inc. | 44 | 2,647 | ||||||
Church & Dwight Co., Inc. | 85 | 5,245 | ||||||
Coca-Cola Co./The | 102 | 4,091 | ||||||
Colgate-Palmolive Co. | 310 | 17,760 | ||||||
ConAgra Foods, Inc. | 182 | 6,357 | ||||||
Constellation Brands, Inc., Class A † | 480 | 25,018 | ||||||
Costco Wholesale Corp. | 485 | 53,626 | ||||||
Estee Lauder Cos., Inc./The, Class A | 151 | 9,931 | ||||||
Flowers Foods, Inc. | 510 | 11,245 | ||||||
General Mills, Inc. | 150 | 7,280 | ||||||
Green Mountain Coffee Roasters, Inc. † | 600 | 45,036 | ||||||
Herbalife Ltd. (Cayman Islands) | 71 | 3,205 | ||||||
Hershey Co./The | 95 | 8,482 | ||||||
Hormel Foods Corp. | 136 | 5,247 | ||||||
JM Smucker Co./The | 55 | 5,673 | ||||||
Kimberly-Clark Corp. | 408 | 39,633 | ||||||
Lorillard, Inc. | 183 | 7,993 | ||||||
Mead Johnson Nutrition Co. | 82 | 6,497 | ||||||
Mondelez International, Inc., Class A | 535 | 15,264 | ||||||
Monster Beverage Corp. † | 364 | 22,120 | ||||||
Nu Skin Enterprises, Inc., Class A | 58 | 3,545 | ||||||
Philip Morris International, Inc. | 37 | 3,205 | ||||||
Pricesmart, Inc. (a) | 119 | 10,428 | ||||||
Reynolds American, Inc. | 232 | 11,222 | ||||||
TreeHouse Foods, Inc. † | 39 | 2,556 | ||||||
Tyson Foods, Inc., Class A | 192 | 4,931 | ||||||
Walgreen Co. | 741 | 32,752 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 69 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Consumer Staples - 4.0% (continued) | ||||||||
Whole Foods Market, Inc. | 270 | $ | 13,900 | |||||
|
| |||||||
400,460 | ||||||||
|
| |||||||
Energy - 6.0% | ||||||||
Anadarko Petroleum Corp. | 60 | 5,156 | ||||||
Cabot Oil & Gas Corp. | 672 | 47,726 | ||||||
CARBO Ceramics, Inc. (a) | 17 | 1,146 | ||||||
Chesapeake Energy Corp. | 102 | 2,079 | ||||||
Chevron Corp. | 66 | 7,810 | ||||||
Cobalt International Energy, Inc. † | 1,208 | 32,097 | ||||||
ConocoPhillips | 135 | 8,168 | ||||||
EOG Resources, Inc. | 141 | 18,567 | ||||||
EQT Corp. | 82 | 6,508 | ||||||
FMC Technologies, Inc. † | 64 | 3,564 | ||||||
Golar LNG Ltd. (Bermuda) | 71 | 2,264 | ||||||
Gulfport Energy Corp. † | 606 | 28,524 | ||||||
Halliburton Co. | 1,860 | 77,599 | ||||||
Helix Energy Solutions Group, Inc. † | 469 | 10,806 | ||||||
Hess Corp. | 537 | 35,705 | ||||||
HollyFrontier Corp. | 304 | 13,005 | ||||||
Key Energy Services, Inc. † | 134 | 797 | ||||||
Kinder Morgan, Inc. | 607 | 23,157 | ||||||
Kodiak Oil & Gas Corp. † | 1,503 | 13,362 | ||||||
Marathon Oil Corp. | 508 | 17,567 | ||||||
Marathon Petroleum Corp. | 1,033 | 73,405 | ||||||
Oasis Petroleum, Inc. † | 276 | 10,728 | ||||||
Oceaneering International, Inc. | 67 | 4,837 | ||||||
Phillips 66 | 552 | 32,518 | ||||||
Pioneer Natural Resources Co. | 128 | 18,528 | ||||||
Range Resources Corp. | 84 | 6,495 | ||||||
Rosetta Resources, Inc. † | 40 | 1,701 | ||||||
Seadrill Ltd. (Bermuda) | 528 | 21,511 | ||||||
SM Energy Co. | 42 | 2,519 | ||||||
Spectra Energy Corp. | 227 | 7,822 | ||||||
Targa Resources Corp. | 113 | 7,269 | ||||||
Tesoro Corp. | 112 | 5,860 | ||||||
Valero Energy Corp. | 1,350 | 46,940 | ||||||
Williams Cos., Inc./The | 269 | 8,734 | ||||||
World Fuel Services Corp. | 52 | 2,079 | ||||||
|
| |||||||
606,553 | ||||||||
|
| |||||||
Financials - 20.0% | ||||||||
American Campus Communities, Inc. REIT | 63 | 2,562 | ||||||
American Express Co. | 240 | 17,942 | ||||||
American Financial Group, Inc. | 68 | 3,326 | ||||||
American International Group, Inc. † | 2,514 | 112,376 | ||||||
American Tower Corp. REIT | 508 | 37,170 | ||||||
Arch Capital Group Ltd. (Bermuda) † | 267 | 13,726 | ||||||
AvalonBay Communities, Inc. REIT | 37 | 4,992 | ||||||
Bank of America Corp. | 18,682 | 240,251 | ||||||
BB&T Corp. | 375 | 12,705 | ||||||
Berkshire Hathaway, Inc., Class B † | 1,562 | 174,819 | ||||||
Boston Properties, Inc. REIT | 39 | 4,113 | ||||||
BRE Properties, Inc. REIT | 50 | 2,501 | ||||||
Capital One Financial Corp. | 817 | 51,316 | ||||||
Charles Schwab Corp./The | 1,947 | 41,335 | ||||||
Chubb Corp./The | 190 | 16,083 | ||||||
Citigroup, Inc. | 4,728 | 226,802 |
SHARES | VALUE (Note 2) | |||||||
Financials - 20.0% (continued) | ||||||||
Digital Realty Trust, Inc. REIT | 55 | $ | 3,355 | |||||
Discover Financial Services | 739 | 35,206 | ||||||
Equity Lifestyle Properties, Inc. REIT | 31 | 2,436 | ||||||
Erie Indemnity Co., Class A | 32 | 2,550 | ||||||
Essex Property Trust, Inc. REIT | 22 | 3,496 | ||||||
Extra Space Storage, Inc. REIT | 331 | 13,879 | ||||||
Federal Realty Investment Trust REIT | 34 | 3,525 | ||||||
Fidelity National Financial, Inc., Class A | 450 | 10,714 | ||||||
Franklin Resources, Inc. | 215 | 29,244 | ||||||
General Growth Properties, Inc. REIT | 1,839 | 36,541 | ||||||
Genworth Financial, Inc., Class A † | 3,892 | 44,408 | ||||||
Goldman Sachs Group, Inc./The | 939 | 142,024 | ||||||
Hartford Financial Services Group, Inc. | 1,615 | 49,936 | ||||||
HCP, Inc. REIT | 443 | 20,130 | ||||||
Howard Hughes Corp./The † | 181 | 20,288 | ||||||
JPMorgan Chase & Co. | 3,571 | 188,513 | ||||||
Marsh & McLennan Cos., Inc. | 196 | 7,824 | ||||||
McGraw Hill Financial, Inc. | 120 | 6,383 | ||||||
Moody’s Corp. | 113 | 6,885 | ||||||
Morgan Stanley | 4,679 | 114,308 | ||||||
Nationstar Mortgage Holdings, Inc. † | 470 | 17,597 | ||||||
Ocwen Financial Corp. † | 242 | 9,975 | ||||||
ProAssurance Corp. | 66 | 3,443 | ||||||
Prologis, Inc. REIT | 233 | 8,789 | ||||||
Public Storage REIT | 117 | 17,940 | ||||||
Regions Financial Corp. | 1,356 | 12,923 | ||||||
Simon Property Group, Inc. REIT | 311 | 49,113 | ||||||
State Street Corp. | 746 | 48,647 | ||||||
SunTrust Banks, Inc. | 695 | 21,941 | ||||||
Tanger Factory Outlet Centers REIT | 263 | 8,800 | ||||||
Taubman Centers, Inc. REIT | 130 | 9,770 | ||||||
Travelers Cos., Inc./The | 301 | 24,056 | ||||||
US Bancorp | 1,669 | 60,334 | ||||||
Ventas, Inc. REIT | 229 | 15,906 | ||||||
Wells Fargo & Co. | 110 | 4,540 | ||||||
WR Berkley Corp. | 97 | 3,963 | ||||||
|
| |||||||
2,021,401 | ||||||||
|
| |||||||
Health Care - 15.6% | ||||||||
Abbott Laboratories | 2,215 | 77,259 | ||||||
AbbVie, Inc. | 447 | 18,479 | ||||||
Accretive Health, Inc. † | 106 | 1,146 | ||||||
Actavis, Inc. † | 45 | 5,680 | ||||||
Aetna, Inc. | 150 | 9,531 | ||||||
Alexion Pharmaceuticals, Inc. † | 280 | 25,827 | ||||||
Allergan, Inc. | 105 | 8,845 | ||||||
AmerisourceBergen Corp. | 190 | 10,608 | ||||||
Amgen, Inc. | 1,052 | 103,790 | ||||||
Arena Pharmaceuticals, Inc. †(a) | 1,886 | 14,522 | ||||||
athenahealth, Inc. † | 131 | 11,098 | ||||||
Biogen Idec, Inc. † | 402 | 86,511 | ||||||
Bristol-Myers Squibb Co. | 165 | 7,374 | ||||||
Cardinal Health, Inc. | 99 | 4,673 | ||||||
Catamaran Corp. † | 375 | 18,270 | ||||||
Celgene Corp. † | 610 | 71,315 | ||||||
Cepheid, Inc. †(a) | 65 | 2,237 | ||||||
Cerner Corp. † | 78 | 7,495 | ||||||
Cigna Corp. | 215 | 15,585 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
70 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Health Care - 15.6% (continued) | ||||||||
Cubist Pharmaceuticals, Inc. † | 74 | $ | 3,574 | |||||
Eli Lilly & Co. | 1,653 | 81,195 | ||||||
Express Scripts Holding Co. † | 773 | 47,686 | ||||||
Gilead Sciences, Inc. † | 2,523 | 129,203 | ||||||
HCA Holdings, Inc. | 1,404 | 50,628 | ||||||
Health Management Associates, Inc., Class A † | 1,575 | 24,759 | ||||||
Humana, Inc. | 72 | 6,075 | ||||||
Intuitive Surgical, Inc. † | 26 | 13,171 | ||||||
Jazz Pharmaceuticals PLC (Ireland) † | 22 | 1,512 | ||||||
Johnson & Johnson | 1,912 | 164,164 | ||||||
McKesson Corp. | 63 | 7,214 | ||||||
Medivation, Inc. † | 360 | 17,712 | ||||||
Merck & Co., Inc. | 580 | 26,941 | ||||||
Omnicare, Inc. | 290 | 13,836 | ||||||
Onyx Pharmaceuticals, Inc. † | 208 | 18,059 | ||||||
Perrigo Co. | 47 | 5,687 | ||||||
Pfizer, Inc. | 7,483 | 209,599 | ||||||
Pharmacyclics, Inc. † | 502 | 39,894 | ||||||
Regeneron Pharmaceuticals, Inc. † | 211 | 47,450 | ||||||
Tenet Healthcare Corp. † | 605 | 27,891 | ||||||
Thermo Fisher Scientific, Inc. | 321 | 27,166 | ||||||
UnitedHealth Group, Inc. | 330 | 21,609 | ||||||
WellCare Health Plans, Inc. † | 53 | 2,944 | ||||||
WellPoint, Inc. | 89 | 7,284 | ||||||
Zoetis, Inc. | 2,359 | 72,860 | ||||||
|
| |||||||
1,568,358 | ||||||||
|
| |||||||
Industrials - 9.8% | ||||||||
A. O. Smith Corp. | 698 | 25,323 | ||||||
Avis Budget Group, Inc. † | 1,191 | 34,241 | ||||||
Chart Industries, Inc. † | 99 | 9,315 | ||||||
CLARCOR, Inc. | 41 | 2,141 | ||||||
Clean Harbors, Inc. †(a) | 45 | 2,274 | ||||||
Copart, Inc. † | 321 | 9,887 | ||||||
Delta Air Lines, Inc. † | 2,647 | 49,525 | ||||||
Donaldson Co., Inc. | 84 | 2,995 | ||||||
Fastenal Co. | 131 | 6,006 | ||||||
Fortune Brands Home & Security, Inc. | 1,729 | 66,981 | ||||||
Generac Holdings, Inc. | 1,255 | 46,448 | ||||||
General Electric Co. | 5,486 | 127,220 | ||||||
Hertz Global Holdings, Inc. † | 1,692 | 41,962 | ||||||
Hexcel Corp. † | 109 | 3,711 | ||||||
Honeywell International, Inc. | 795 | 63,075 | ||||||
Illinois Tool Works, Inc. | 571 | 39,496 | ||||||
Iron Mountain, Inc. | 381 | 10,138 | ||||||
Kansas City Southern | 173 | 18,331 | ||||||
Kirby Corp. †(a) | 166 | 13,204 | ||||||
Lincoln Electric Holdings, Inc. | 197 | 11,282 | ||||||
Lockheed Martin Corp. | 39 | 4,230 | ||||||
Norfolk Southern Corp. | 121 | 8,791 | ||||||
Old Dominion Freight Line, Inc. † | 256 | 10,655 | ||||||
Precision Castparts Corp. | 33 | 7,458 | ||||||
Rollins, Inc. | 380 | 9,842 | ||||||
Ryder System, Inc. | 169 | 10,274 | ||||||
Southwest Airlines Co. | 1,322 | 17,041 | ||||||
Swift Transportation Co. † | 609 | 10,073 | ||||||
Teledyne Technologies, Inc. † | 41 | 3,171 |
SHARES | VALUE (Note 2) | |||||||
Industrials - 9.8% (continued) | ||||||||
Terex Corp. † | 1,248 | $ | 32,822 | |||||
Towers Watson & Co., Class A | 39 | 3,196 | ||||||
TransDigm Group, Inc. | 32 | 5,017 | ||||||
Triumph Group, Inc. | 44 | 3,483 | ||||||
Union Pacific Corp. | 847 | 130,675 | ||||||
United Continental Holdings, Inc. † | 1,118 | 34,982 | ||||||
United Parcel Service, Inc., Class B | 166 | 14,356 | ||||||
United Rentals, Inc. †(a) | 336 | 16,770 | ||||||
USG Corp. † | 586 | 13,507 | ||||||
Verisk Analytics, Inc., Class A † | 448 | 26,746 | ||||||
Wabtec Corp. | 250 | 13,357 | ||||||
Waste Connections, Inc. | 76 | 3,127 | ||||||
WESCO International, Inc. † | 423 | 28,747 | ||||||
|
| |||||||
991,875 | ||||||||
|
| |||||||
Information Technology - 13.8% | ||||||||
3D Systems Corp. † | 660 | 28,974 | ||||||
Alliance Data Systems Corp. † | 33 | 5,974 | ||||||
AOL, Inc. † | 358 | 13,060 | ||||||
Apple, Inc. | 22 | 8,714 | ||||||
Automatic Data Processing, Inc. | 159 | 10,949 | ||||||
Cadence Design Systems, Inc. † | 803 | 11,627 | ||||||
Cisco Systems, Inc. | 2,898 | 70,450 | ||||||
CommVault Systems, Inc. † | 125 | 9,486 | ||||||
Cree, Inc. † | 564 | 36,017 | ||||||
Dell, Inc. | 606 | 8,090 | ||||||
eBay, Inc. † | 1,614 | 83,476 | ||||||
Equinix, Inc. † | 116 | 21,428 | ||||||
First Solar, Inc. † | 1,121 | 50,142 | ||||||
FleetCor Technologies, Inc. † | 196 | 15,935 | ||||||
Fortinet, Inc. † | 124 | 2,170 | ||||||
Fusion-io, Inc. †(a) | 135 | 1,922 | ||||||
Google, Inc., Class A † | 418 | 367,995 | ||||||
IAC/InterActiveCorp | 82 | 3,900 | ||||||
Intel Corp. | 648 | 15,695 | ||||||
International Business Machines Corp. | 24 | 4,587 | ||||||
Intuit, Inc. | 74 | 4,516 | ||||||
IPG Photonics Corp. | 133 | 8,077 | ||||||
Jack Henry & Associates, Inc. | 216 | 10,180 | ||||||
KLA-Tencor Corp. | 80 | 4,458 | ||||||
LinkedIn Corp., Class A † | 265 | 47,249 | ||||||
Mastercard, Inc., Class A | 135 | 77,557 | ||||||
Micron Technology, Inc. † | 3,672 | 52,620 | ||||||
Microsoft Corp. | 300 | 10,359 | ||||||
Molex, Inc. | 79 | 2,318 | ||||||
Motorola Solutions, Inc. | 138 | 7,967 | ||||||
NCR Corp. † | 290 | 9,567 | ||||||
NetSuite, Inc. † | 72 | 6,605 | ||||||
NeuStar, Inc., Class A † | 209 | 10,174 | ||||||
Nuance Communications, Inc. †(a) | 155 | 2,849 | ||||||
Oracle Corp. | 1,573 | 48,323 | ||||||
QUALCOMM, Inc. | 171 | 10,445 | ||||||
Rackspace Hosting, Inc. † | 257 | 9,738 | ||||||
Salesforce.com, Inc. † | 878 | 33,522 | ||||||
SanDisk Corp. † | 680 | 41,548 | ||||||
SolarWinds, Inc. † | 320 | 12,419 | ||||||
Teradata Corp. † | 80 | 4,018 | ||||||
TIBCO Software, Inc. † | 93 | 1,990 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 71 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 13.8% (continued) | ||||||||
Total System Services, Inc. | 143 | $ | 3,501 | |||||
Ultimate Software Group, Inc. † | 87 | 10,204 | ||||||
Universal Display Corp. † | 41 | 1,153 | ||||||
VeriFone Systems, Inc. † | 48 | 807 | ||||||
Visa, Inc., Class A | 779 | 142,362 | ||||||
VMware, Inc., Class A † | 140 | 9,379 | ||||||
Western Digital Corp. | 534 | 33,156 | ||||||
Xilinx, Inc. | 97 | 3,842 | ||||||
|
| |||||||
1,391,494 | ||||||||
|
| |||||||
Materials - 3.1% | ||||||||
Airgas, Inc. | 30 | 2,864 | ||||||
Allied Nevada Gold Corp. † | 73 | 473 | ||||||
Axiall Corp. | 400 | 17,032 | ||||||
Carpenter Technology Corp. | 51 | 2,299 | ||||||
Celanese Corp., Series A | 24 | 1,075 | ||||||
CF Industries Holdings, Inc. | 82 | 14,063 | ||||||
Chemtura Corp. † | 274 | 5,562 | ||||||
Ecolab, Inc. | 65 | 5,537 | ||||||
International Paper Co. | 1,177 | 52,153 | ||||||
Monsanto Co. | 837 | 82,696 | ||||||
NewMarket Corp. | 42 | 11,028 | ||||||
Newmont Mining Corp. | 60 | 1,797 | ||||||
PPG Industries, Inc. | 318 | 46,558 | ||||||
Praxair, Inc. | 34 | 3,915 | ||||||
Royal Gold, Inc. | 48 | 2,020 | ||||||
Sherwin-Williams Co./The | 270 | 47,682 | ||||||
WR Grace & Co. † | 153 | 12,858 | ||||||
|
| |||||||
309,612 | ||||||||
|
| |||||||
Telecommunication Services - 1.5% | ||||||||
Crown Castle International Corp. † | 380 | 27,508 | ||||||
Verizon Communications, Inc. | 2,560 | 128,870 | ||||||
|
| |||||||
156,378 | ||||||||
|
| |||||||
Utilities - 1.4% | ||||||||
AGL Resources, Inc. | 62 | 2,657 | ||||||
Ameren Corp. | 110 | 3,788 | ||||||
American Electric Power Co., Inc. | 130 | 5,821 | ||||||
American Water Works Co., Inc. | 122 | 5,030 | ||||||
Calpine Corp. † | 225 | 4,777 | ||||||
CenterPoint Energy, Inc. | 247 | 5,802 | ||||||
Cleco Corp. | 70 | 3,250 | ||||||
Consolidated Edison, Inc. | 120 | 6,997 | ||||||
Dominion Resources, Inc. | 205 | 11,648 | ||||||
DTE Energy Co. | 87 | 5,830 | ||||||
FirstEnergy Corp. | 177 | 6,609 | ||||||
ITC Holdings Corp. (a) | 37 | 3,378 | ||||||
NextEra Energy, Inc. | 56 | 4,563 | ||||||
NiSource, Inc. | 195 | 5,585 | ||||||
OGE Energy Corp. | 198 | 13,504 | ||||||
ONEOK, Inc. | 108 | 4,461 | ||||||
Pinnacle West Capital Corp. | 73 | 4,049 | ||||||
Portland General Electric Co. | 345 | 10,554 | ||||||
PPL Corp. | 242 | 7,323 | ||||||
Questar Corp. | 410 | 9,779 | ||||||
UIL Holdings Corp. | 72 | 2,754 |
SHARES | VALUE (Note 2) | |||||||
Utilities - 1.4% (continued) | ||||||||
WGL Holdings, Inc. (a) | 68 | $ | 2,939 | |||||
Wisconsin Energy Corp. | 89 | 3,648 | ||||||
Xcel Energy, Inc. | 158 | 4,478 | ||||||
|
| |||||||
139,224 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 9,770,463 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 1.2% | ||||||||
SPDR S&P 500 ETF Trust | 771 | 123,368 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 1.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b) | ||||||||
(cost $130,689) | 130,689 | 130,689 | ||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.8% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (2)(b)(c) | ||||||||
(cost $81,604) | 81,604 | 81,604 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.2% | 10,106,124 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2%) | (23,169) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 10,082,955 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $77,510; cash collateral of $81,604 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of June 30, 2013. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
72 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
COMMON STOCKS - 98.4% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 18.0% | ||||||||
AFC Enterprises, Inc. † | 273 | $ | 9,812 | |||||
American Axle & Manufacturing Holdings, Inc. † | 638 | 11,886 | ||||||
American Public Education, Inc. † | 58 | 2,155 | ||||||
America’s Car-Mart, Inc. † | 61 | 2,638 | ||||||
ANN, Inc. † | 88 | 2,922 | ||||||
Arctic Cat, Inc. | 166 | 7,467 | ||||||
Asbury Automotive Group, Inc. † | 376 | 15,078 | ||||||
Ascent Capital Group, Inc., Class A † | 63 | 4,918 | ||||||
Beazer Homes USA, Inc. † | 314 | 5,501 | ||||||
bebe stores, inc. | 410 | 2,300 | ||||||
BJ’s Restaurants, Inc. † | 57 | 2,115 | ||||||
Black Diamond, Inc. †(a) | 382 | 3,591 | ||||||
Bob Evans Farms, Inc. | 192 | 9,020 | ||||||
Bon-Ton Stores, Inc./The | 543 | 9,801 | ||||||
Brown Shoe Co., Inc. | 531 | 11,432 | ||||||
Brunswick Corp. | 116 | 3,706 | ||||||
Buffalo Wild Wings, Inc. † | 66 | 6,479 | ||||||
Cabela’s, Inc. † | 102 | 6,606 | ||||||
Carriage Services, Inc. | 352 | 5,966 | ||||||
Children’s Place Retail Stores, Inc./The † | 73 | 4,000 | ||||||
Christopher & Banks Corp. † | 1,379 | 9,295 | ||||||
Churchill Downs, Inc. | 75 | 5,914 | ||||||
Coinstar, Inc. † | 52 | 3,051 | ||||||
Comstock Holding Cos., Inc. † | 1,766 | 4,892 | ||||||
Conn’s, Inc. † | 363 | 18,789 | ||||||
Core-Mark Holding Co., Inc. | 49 | 3,112 | ||||||
Cracker Barrel Old Country Store, Inc. | 222 | 21,015 | ||||||
Dex Media, Inc. † | 540 | 9,488 | ||||||
DineEquity, Inc. | 99 | 6,818 | ||||||
Domino’s Pizza, Inc. | 176 | 10,234 | ||||||
Dorman Products, Inc. | 216 | 9,856 | ||||||
Drew Industries, Inc. | 70 | 2,752 | ||||||
Einstein Noah Restaurant Group, Inc. | 366 | 5,197 | ||||||
Entravision Communications Corp., Class A | 2,467 | 15,172 | ||||||
Ethan Allen Interiors, Inc. (a) | 121 | 3,485 | ||||||
Fiesta Restaurant Group, Inc. † | 173 | 5,950 | ||||||
Fifth & Pacific Cos., Inc. † | 513 | 11,460 | ||||||
Finish Line, Inc./The, Class A (a) | 238 | 5,203 | ||||||
Genesco, Inc. † | 38 | 2,546 | ||||||
Gentherm, Inc. † | 157 | 2,916 | ||||||
G-III Apparel Group Ltd. † | 239 | 11,501 | ||||||
Grand Canyon Education, Inc. † | 268 | 8,638 | ||||||
Gray Television, Inc. † | 1,935 | 13,932 | ||||||
Group 1 Automotive, Inc. (a) | 93 | 5,983 | ||||||
Helen of Troy Ltd. (Bermuda) † | 96 | 3,684 | ||||||
Hibbett Sports, Inc. † | 172 | 9,546 | ||||||
Hillenbrand, Inc. | 264 | 6,259 | ||||||
Hovnanian Enterprises, Inc., Class A † | 2,515 | 14,109 | ||||||
Iconix Brand Group, Inc. † | 430 | 12,646 | ||||||
iRobot Corp. †(a) | 130 | 5,170 | ||||||
Jos. A. Bank Clothiers, Inc. † | 118 | 4,876 | ||||||
K12, Inc. † | 78 | 2,049 | ||||||
KB Home | 1,248 | 24,498 | ||||||
Krispy Kreme Doughnuts, Inc. † | 625 | 10,906 | ||||||
La-Z-Boy, Inc. | 430 | 8,716 | ||||||
LeapFrog Enterprises, Inc. † | 701 | 6,898 |
SHARES | VALUE (Note 2) | |||||||
Consumer Discretionary - 18.0% (continued) | ||||||||
LIN TV Corp., Class A † | 714 | $ | 10,924 | |||||
Lions Gate Entertainment Corp. † | 298 | 8,186 | ||||||
Lithia Motors, Inc., Class A | 269 | 14,340 | ||||||
Loral Space & Communications, Inc. | 167 | 10,017 | ||||||
Lumber Liquidators Holdings, Inc. † | 305 | 23,750 | ||||||
M/I Homes, Inc. † | 386 | 8,863 | ||||||
Marriott Vacations Worldwide Corp. † | 682 | 29,490 | ||||||
MDC Holdings, Inc. | 331 | 10,761 | ||||||
Men’s Wearhouse, Inc./The | 77 | 2,914 | ||||||
Meritage Homes Corp. † | 248 | 10,753 | ||||||
Monro Muffler Brake, Inc. (a) | 114 | 5,478 | ||||||
Movado Group, Inc. | 246 | 8,322 | ||||||
Multimedia Games Holding Co., Inc. † | 490 | 12,774 | ||||||
NACCO Industries, Inc., Class A | 143 | 8,191 | ||||||
Nautilus, Inc. † | 757 | 6,578 | ||||||
New York Times Co./The, Class A † | 552 | 6,105 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 479 | 16,985 | ||||||
Orbitz Worldwide, Inc. † | 1,814 | 14,566 | ||||||
Orient-Express Hotels Ltd., Class A (Bermuda) † | 546 | 6,639 | ||||||
Overstock.com, Inc. † | 285 | 8,037 | ||||||
Oxford Industries, Inc. | 75 | 4,680 | ||||||
Papa John’s International, Inc. † | 112 | 7,321 | ||||||
Penske Automotive Group, Inc. | 131 | 4,001 | ||||||
Pier 1 Imports, Inc. (a) | 221 | 5,191 | ||||||
Pool Corp. | 199 | 10,430 | ||||||
Quiksilver, Inc. † | 2,126 | 13,691 | ||||||
ReachLocal, Inc. † | 262 | 3,212 | ||||||
Red Robin Gourmet Burgers, Inc. † | 87 | 4,801 | ||||||
Ryland Group, Inc./The (a) | 630 | 25,263 | ||||||
Shutterfly, Inc. † | 404 | 22,539 | ||||||
Sinclair Broadcast Group, Inc., Class A | 1,106 | 32,494 | ||||||
Skechers U.S.A., Inc., Class A † | 234 | 5,618 | ||||||
Smith & Wesson Holding Corp. † | 1,136 | 11,337 | ||||||
Sonic Automotive, Inc., Class A | 237 | 5,010 | ||||||
Stage Stores, Inc. | 411 | 9,659 | ||||||
Standard Motor Products, Inc. | 441 | 15,144 | ||||||
Standard Pacific Corp. † | 722 | 6,014 | ||||||
Steven Madden Ltd. † | 109 | 5,273 | ||||||
Sturm, Ruger & Co., Inc. | 220 | 10,569 | ||||||
Thor Industries, Inc. | 190 | 9,344 | ||||||
Tower International, Inc. † | 260 | 5,145 | ||||||
Valuevision Media, Inc., Class A † | 1,392 | 7,113 | ||||||
Vitamin Shoppe, Inc. † | 126 | 5,650 | ||||||
Winnebago Industries, Inc. † | 504 | 10,579 | ||||||
Zale Corp. † | 736 | 6,698 | ||||||
|
| |||||||
904,398 | ||||||||
|
| |||||||
Consumer Staples - 3.6% | ||||||||
Andersons, Inc./The | 86 | 4,574 | ||||||
B&G Foods, Inc. | 336 | 11,441 | ||||||
Boston Beer Co., Inc./The, Class A † | 72 | 12,286 | ||||||
Boulder Brands, Inc. † | 962 | 11,592 | ||||||
Calavo Growers, Inc. | 67 | 1,822 | ||||||
Cal-Maine Foods, Inc. | 101 | 4,698 | ||||||
Coca-Cola Bottling Co. Consolidated (a) | 37 | 2,263 | ||||||
Dean Foods Co. † | 707 | 7,084 | ||||||
Elizabeth Arden, Inc. † | 131 | 5,904 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 73 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Consumer Staples - 3.6% (continued) | ||||||||
Fresh Del Monte Produce, Inc. | 157 | $ | 4,377 | |||||
Hain Celestial Group, Inc./The †(a) | 80 | 5,198 | ||||||
Harbinger Group, Inc. † | 1,228 | 9,259 | ||||||
J&J Snack Foods Corp. | 84 | 6,535 | ||||||
Lancaster Colony Corp. | 40 | 3,120 | ||||||
Lifevantage Corp. † | 3,107 | 7,208 | ||||||
Medifast, Inc. † | 203 | 5,229 | ||||||
Post Holdings, Inc. † | 112 | 4,890 | ||||||
Prestige Brands Holdings, Inc. † | 333 | 9,704 | ||||||
Revlon, Inc., Class A † | 233 | 5,140 | ||||||
Rite Aid Corp. † | 4,533 | 12,964 | ||||||
Sanderson Farms, Inc. | 65 | 4,317 | ||||||
Snyders-Lance, Inc. | 152 | 4,318 | ||||||
Spartan Stores, Inc. | 107 | 1,973 | ||||||
Spectrum Brands Holdings, Inc. | 123 | 6,995 | ||||||
Star Scientific, Inc. †(a) | 1,901 | 2,642 | ||||||
Susser Holdings Corp. † | 195 | 9,337 | ||||||
Universal Corp. | 72 | 4,165 | ||||||
WD-40 Co. | 78 | 4,250 | ||||||
Weis Markets, Inc. | 80 | 3,606 | ||||||
WhiteWave Foods Co., Class A † | 56 | 910 | ||||||
WhiteWave Foods Co., Class B † | 80 | 1,216 | ||||||
|
| |||||||
179,017 | ||||||||
|
| |||||||
Energy - 4.4% | ||||||||
Alon USA Energy, Inc. | 541 | 7,823 | ||||||
Bonanza Creek Energy, Inc. † | 606 | 21,489 | ||||||
Bristow Group, Inc. | 51 | 3,331 | ||||||
C&J Energy Services, Inc. † | 308 | 5,966 | ||||||
Cheniere Energy, Inc. † | 188 | 5,219 | ||||||
Crosstex Energy, Inc. | 243 | 4,802 | ||||||
Dawson Geophysical Co. † | 173 | 6,377 | ||||||
Delek US Holdings, Inc. | 505 | 14,534 | ||||||
Enbridge Energy Management LLC † | 108 | 3,270 | ||||||
EPL Oil & Gas, Inc. † | 576 | 16,911 | ||||||
Exterran Holdings, Inc. † | 523 | 14,707 | ||||||
Geospace Technologies Corp. † | 120 | 8,290 | ||||||
Goodrich Petroleum Corp. † | 71 | 909 | ||||||
Green Plains Renewable Energy, Inc. † | 616 | 8,205 | ||||||
Gulf Island Fabrication, Inc. | 61 | 1,168 | ||||||
Halcon Resources Corp. † | 354 | 2,007 | ||||||
Hercules Offshore, Inc. † | 2,014 | 14,179 | ||||||
Hornbeck Offshore Services, Inc. † | 60 | 3,210 | ||||||
Kodiak Oil & Gas Corp. † | 259 | 2,303 | ||||||
PDC Energy, Inc. † | 184 | 9,472 | ||||||
PHI, Inc. † | 89 | 3,053 | ||||||
Renewable Energy Group, Inc. † | 381 | 5,422 | ||||||
Rentech, Inc. | 1,324 | 2,780 | ||||||
Rex Energy Corp. † | 535 | 9,405 | ||||||
SemGroup Corp., Class A | 440 | 23,698 | ||||||
Ship Finance International Ltd. (Norway) | 797 | 11,827 | ||||||
Western Refining, Inc. (a) | 170 | 4,772 | ||||||
Willbros Group, Inc. † | 758 | 4,654 | ||||||
|
| |||||||
219,783 | ||||||||
|
| |||||||
Financials - 20.4% | ||||||||
Acadia Realty Trust REIT | 188 | 4,642 | ||||||
Alexander & Baldwin, Inc. † | 121 | 4,810 |
SHARES | VALUE (Note 2) | |||||||
Financials - 20.4% (continued) | ||||||||
American Assets Trust, Inc. REIT | 405 | $ | 12,498 | |||||
American Realty Capital Properties, Inc. REIT | 512 | 7,813 | ||||||
AMERISAFE, Inc. | 115 | 3,725 | ||||||
Amtrust Financial Services, Inc. (a) | 180 | 6,426 | ||||||
Associated Estates Realty Corp. REIT (a) | 200 | 3,216 | ||||||
Bank of the Ozarks, Inc. | 413 | 17,895 | ||||||
Banner Corp. | 212 | 7,164 | ||||||
BBCN Bancorp, Inc. | 497 | 7,067 | ||||||
BofI Holding, Inc. † | 288 | 13,196 | ||||||
Boston Private Financial Holdings, Inc. (a) | 425 | 4,522 | ||||||
Brandywine Realty Trust REIT | 912 | 12,330 | ||||||
Cash America International, Inc. (a) | 26 | 1,182 | ||||||
Cedar Realty Trust, Inc. REIT | 989 | 5,123 | ||||||
Chatham Lodging Trust REIT | 230 | 3,951 | ||||||
Chesapeake Lodging Trust REIT | 332 | 6,902 | ||||||
CNO Financial Group, Inc. | 725 | 9,396 | ||||||
Cohen & Steers, Inc. | 106 | 3,602 | ||||||
Community Trust Bancorp, Inc. | 85 | 3,028 | ||||||
Consumer Portfolio Services, Inc. † | 1,124 | 8,250 | ||||||
Coresite Realty Corp. REIT | 334 | 10,625 | ||||||
CubeSmart REIT | 892 | 14,254 | ||||||
CVB Financial Corp. (a) | 482 | 5,668 | ||||||
DCT Industrial Trust, Inc. REIT | 1,582 | 11,311 | ||||||
DFC Global Corp. † | 70 | 967 | ||||||
DuPont Fabros Technology, Inc. REIT | 276 | 6,665 | ||||||
Eagle Bancorp, Inc. † | 123 | 2,757 | ||||||
EastGroup Properties, Inc. REIT | 204 | 11,479 | ||||||
Education Realty Trust, Inc. REIT | 244 | 2,496 | ||||||
eHealth, Inc. † | 349 | 7,929 | ||||||
Employers Holdings, Inc. | 119 | 2,910 | ||||||
Enstar Group Ltd. (Bermuda) † | 55 | 7,314 | ||||||
Excel Trust, Inc. REIT | 195 | 2,498 | ||||||
Ezcorp, Inc., Class A † | 144 | 2,431 | ||||||
FBL Financial Group, Inc., Class A | 141 | 6,135 | ||||||
Federal Agricultural Mortgage Corp., Class C | 183 | 5,285 | ||||||
FelCor Lodging Trust, Inc. REIT † | 1,903 | 11,247 | ||||||
Fidus Investment Corp. | 866 | 16,203 | ||||||
Financial Engines, Inc. | 399 | 18,190 | ||||||
First Cash Financial Services, Inc. † | 128 | 6,299 | ||||||
First Industrial Realty Trust, Inc. REIT | 954 | 14,472 | ||||||
First Interstate Bancsystem, Inc. | 725 | 15,029 | ||||||
Flagstar Bancorp, Inc. † | 387 | 5,403 | ||||||
FXCM, Inc., Class A | 276 | 4,529 | ||||||
Geo Group, Inc./The REIT | 357 | 12,120 | ||||||
Gladstone Investment Corp. (a) | 220 | 1,617 | ||||||
Glimcher Realty Trust REIT | 692 | 7,557 | ||||||
Golub Capital BDC, Inc. | 236 | 4,130 | ||||||
HCI Group, Inc. | 513 | 15,759 | ||||||
HFF, Inc., Class A | 152 | 2,701 | ||||||
Home BancShares, Inc. | 574 | 14,907 | ||||||
Home Loan Servicing Solutions Ltd. (Cayman Islands) | 596 | 14,286 | ||||||
HomeStreet, Inc. | 265 | 5,684 | ||||||
Hudson Pacific Properties, Inc. REIT | 458 | 9,746 | ||||||
International Bancshares Corp. | 362 | 8,174 | ||||||
Investors Bancorp, Inc. | 291 | 6,134 | ||||||
Kemper Corp. | 236 | 8,083 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
74 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Financials - 20.4% (continued) | ||||||||
Lakeland Financial Corp. | 116 | $ | 3,219 | |||||
LTC Properties, Inc. REIT | 138 | 5,389 | ||||||
Maiden Holdings Ltd. (Bermuda) | 347 | 3,893 | ||||||
Main Street Capital Corp. | 317 | 8,778 | ||||||
Manning & Napier, Inc. | 250 | 4,440 | ||||||
MarketAxess Holdings, Inc. | 166 | 7,761 | ||||||
MB Financial, Inc. | 97 | 2,600 | ||||||
MBIA, Inc. † | 175 | 2,329 | ||||||
Meadowbrook Insurance Group, Inc. (a) | 279 | 2,240 | ||||||
Medallion Financial Corp. | 191 | 2,657 | ||||||
Medley Capital Corp. | 626 | 8,501 | ||||||
MGIC Investment Corp. † | 3,492 | 21,197 | ||||||
National Penn Bancshares, Inc. | 380 | 3,861 | ||||||
Nelnet, Inc., Class A | 74 | 2,671 | ||||||
New Mountain Finance Corp. | 921 | 13,041 | ||||||
Old National Bancorp | 280 | 3,872 | ||||||
OmniAmerican Bancorp, Inc. † | 247 | 5,441 | ||||||
OneBeacon Insurance Group Ltd., Class A | 661 | 9,571 | ||||||
Oritani Financial Corp. | 260 | 4,077 | ||||||
PacWest Bancorp (a) | 303 | 9,287 | ||||||
Pebblebrook Hotel Trust REIT | 113 | 2,921 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 803 | 15,161 | ||||||
PHH Corp. † | 493 | 10,047 | ||||||
Pinnacle Financial Partners, Inc. † | 181 | 4,654 | ||||||
Platinum Underwriters Holdings Ltd. (Bermuda) | 224 | 12,817 | ||||||
Portfolio Recovery Associates, Inc. † | 112 | 17,207 | ||||||
Primerica, Inc. | 444 | 16,623 | ||||||
PrivateBancorp, Inc. | 381 | 8,081 | ||||||
Prospect Capital Corp. | 806 | 8,705 | ||||||
PS Business Parks, Inc. REIT | 143 | 10,320 | ||||||
Radian Group, Inc. | 2,402 | 27,911 | ||||||
RAIT Financial Trust REIT | 853 | 6,415 | ||||||
Ramco-Gershenson Properties Trust REIT | 567 | 8,806 | ||||||
Retail Opportunity Investments Corp. REIT | 228 | 3,169 | ||||||
Rockville Financial, Inc. | 241 | 3,152 | ||||||
Rouse Properties, Inc. REIT | 242 | 4,748 | ||||||
Ryman Hospitality Properties REIT | 294 | 11,469 | ||||||
Sabra Health Care REIT, Inc. REIT | 393 | 10,261 | ||||||
Selective Insurance Group, Inc. | 315 | 7,251 | ||||||
Solar Senior Capital Ltd. | 227 | 4,179 | ||||||
Sovran Self Storage, Inc. REIT | 310 | 20,085 | ||||||
STAG Industrial, Inc. REIT | 1,157 | 23,082 | ||||||
Stewart Information Services Corp. | 227 | 5,945 | ||||||
Strategic Hotels & Resorts, Inc. REIT † | 1,142 | 10,118 | ||||||
Sun Communities, Inc. REIT (a) | 184 | 9,156 | ||||||
Sunstone Hotel Investors, Inc. REIT † | 1,678 | 20,270 | ||||||
Susquehanna Bancshares, Inc. | 548 | 7,042 | ||||||
Symetra Financial Corp. | 671 | 10,729 | ||||||
Synovus Financial Corp. | 2,522 | 7,364 | ||||||
Taylor Capital Group, Inc. † | 206 | 3,479 | ||||||
Texas Capital Bancshares, Inc. † | 146 | 6,477 | ||||||
THL Credit, Inc. | 508 | 7,717 | ||||||
Triangle Capital Corp. | 324 | 8,913 | ||||||
Trustmark Corp. | 208 | 5,113 | ||||||
UMB Financial Corp. | 34 | 1,893 |
SHARES | VALUE (Note 2) | |||||||
Financials - 20.4% (continued) | ||||||||
Umpqua Holdings Corp. | 478 | $ | 7,175 | |||||
United Bankshares, Inc. (a) | 73 | 1,931 | ||||||
Universal Health Realty Income Trust REIT | 73 | 3,149 | ||||||
ViewPoint Financial Group, Inc. | 492 | 10,239 | ||||||
Virtus Investment Partners, Inc. † | 149 | 26,264 | ||||||
Walker & Dunlop, Inc. † | 462 | 8,085 | ||||||
Walter Investment Management Corp. † | 238 | 8,047 | ||||||
Webster Financial Corp. | 223 | 5,727 | ||||||
WesBanco, Inc. | 152 | 4,017 | ||||||
Western Alliance Bancorp † | 525 | 8,311 | ||||||
Whitestone REIT REIT | 253 | 3,987 | ||||||
WisdomTree Investments, Inc. † | 1,303 | 15,076 | ||||||
World Acceptance Corp. † | 66 | 5,738 | ||||||
|
| |||||||
1,023,583 | ||||||||
|
| |||||||
Health Care - 17.5% | ||||||||
Abaxis, Inc. | 257 | 12,210 | ||||||
ABIOMED, Inc. † | 235 | 5,067 | ||||||
Acadia Healthcare Co., Inc. † | 876 | 28,969 | ||||||
ACADIA Pharmaceuticals, Inc. † | 1,474 | 26,753 | ||||||
AcelRx Pharmaceuticals, Inc. † | 755 | 6,999 | ||||||
Achillion Pharmaceuticals, Inc. † | 345 | 2,822 | ||||||
Acorda Therapeutics, Inc. † | 209 | 6,895 | ||||||
Addus HomeCare Corp. † | 700 | 13,818 | ||||||
Aegerion Pharmaceuticals, Inc. † | 334 | 21,156 | ||||||
Akorn, Inc. † | 262 | 3,542 | ||||||
Albany Molecular Research, Inc. † | 622 | 7,383 | ||||||
Align Technology, Inc. † | 105 | 3,889 | ||||||
Alkermes PLC (Ireland) † | 155 | 4,445 | ||||||
Alnylam Pharmaceuticals, Inc. † | 394 | 12,218 | ||||||
AMN Healthcare Services, Inc. † | 443 | 6,344 | ||||||
Amsurg Corp. † | 151 | 5,300 | ||||||
Analogic Corp. | 62 | 4,515 | ||||||
Anika Therapeutics, Inc. †(a) | 394 | 6,698 | ||||||
Antares Pharma, Inc. † | 931 | 3,873 | ||||||
Arena Pharmaceuticals, Inc. † | 1,335 | 10,279 | ||||||
Ariad Pharmaceuticals, Inc. † | 118 | 2,064 | ||||||
Array BioPharma, Inc. † | 1,518 | 6,892 | ||||||
Astex Pharmaceuticals † | 1,244 | 5,113 | ||||||
Biolase, Inc. † | 1,436 | 5,141 | ||||||
Bio-Reference Labs, Inc. † | 414 | 11,902 | ||||||
BioScrip, Inc. † | 757 | 12,490 | ||||||
Cambrex Corp. † | 263 | 3,674 | ||||||
Cantel Medical Corp. | 280 | 9,484 | ||||||
Capital Senior Living Corp. † | 432 | 10,325 | ||||||
Celldex Therapeutics, Inc. † | 715 | 11,161 | ||||||
Celsion Corp. † | 4,894 | 4,992 | ||||||
Centene Corp. † | 61 | 3,200 | ||||||
Clovis Oncology, Inc. † | 263 | 17,616 | ||||||
Curis, Inc. † | 447 | 1,426 | ||||||
Cyberonics, Inc. † | 240 | 12,470 | ||||||
Cynosure, Inc., Class A † | 245 | 6,365 | ||||||
DexCom, Inc. † | 511 | 11,472 | ||||||
Dyax Corp. † | 1,187 | 4,107 | ||||||
Endocyte, Inc. † | 780 | 10,241 | ||||||
Endologix, Inc. † | 490 | 6,507 | ||||||
Exact Sciences Corp. † | 307 | 4,270 | ||||||
ExamWorks Group, Inc. † | 253 | 5,371 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 75 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Health Care - 17.5% (continued) | ||||||||
Exelixis, Inc. †(a) | 177 | $ | 804 | |||||
Furiex Pharmaceuticals, Inc. † | 216 | 7,359 | ||||||
GenMark Diagnostics, Inc. † | 694 | 7,176 | ||||||
Genomic Health, Inc. † | 224 | 7,103 | ||||||
Gentiva Health Services, Inc. † | 402 | 4,004 | ||||||
Hanger, Inc. † | 261 | 8,255 | ||||||
HealthStream, Inc. † | 255 | 6,457 | ||||||
HeartWare International, Inc. † | 87 | 8,275 | ||||||
Hi-Tech Pharmacal Co., Inc. | 77 | 2,556 | ||||||
ICU Medical, Inc. † | 259 | 18,664 | ||||||
Idenix Pharmaceuticals, Inc. †(a) | 334 | 1,206 | ||||||
ImmunoGen, Inc. † | 127 | 2,107 | ||||||
Infinity Pharmaceuticals, Inc. † | 498 | 8,092 | ||||||
Insmed, Inc. † | 690 | 8,252 | ||||||
Insulet Corp. †(a) | 205 | 6,439 | ||||||
InterMune, Inc. †(a) | 139 | 1,337 | ||||||
IPC The Hospitalist Co., Inc. † | 27 | 1,387 | ||||||
Isis Pharmaceuticals, Inc. † | 772 | 20,744 | ||||||
Jazz Pharmaceuticals PLC (Ireland) † | 72 | 4,949 | ||||||
Keryx Biopharmaceuticals, Inc. † | 1,279 | 9,554 | ||||||
Lexicon Pharmaceuticals, Inc. †(a) | 4,198 | 9,110 | ||||||
Ligand Pharmaceuticals, Inc., Class B † | 179 | 6,698 | ||||||
Luminex Corp. † | 195 | 4,019 | ||||||
Magellan Health Services, Inc. † | 46 | 2,580 | ||||||
MannKind Corp. † | 3,253 | 21,144 | ||||||
MedAssets, Inc. † | 339 | 6,014 | ||||||
Medicines Co./The † | 372 | 11,443 | ||||||
Medidata Solutions, Inc. † | 259 | 20,060 | ||||||
Medivation, Inc. † | 144 | 7,085 | ||||||
Merge Healthcare, Inc. †(a) | 546 | 1,966 | ||||||
Merit Medical Systems, Inc. † | 161 | 1,795 | ||||||
Momenta Pharmaceuticals, Inc. † | 100 | 1,506 | ||||||
MWI Veterinary Supply, Inc. † | 55 | 6,778 | ||||||
Nanosphere, Inc. † | 1,470 | 4,513 | ||||||
National Research Corp., Class B | 280 | 9,783 | ||||||
Navidea Biopharmaceuticals, Inc. † | 438 | 1,169 | ||||||
Nektar Therapeutics †(a) | 1,048 | 12,104 | ||||||
NewLink Genetics Corp. † | 309 | 6,093 | ||||||
NPS Pharmaceuticals, Inc. † | 1,089 | 16,444 | ||||||
Omeros Corp. †(a) | 747 | 3,765 | ||||||
Omnicell, Inc. † | 188 | 3,863 | ||||||
Oncothyreon, Inc. † | 759 | 1,184 | ||||||
OPKO Health, Inc. †(a) | 445 | 3,160 | ||||||
Optimer Pharmaceuticals, Inc. † | 216 | 3,126 | ||||||
OraSure Technologies, Inc. † | 284 | 1,102 | ||||||
Orexigen Therapeutics, Inc. †(a) | 1,467 | 8,582 | ||||||
Pacira Pharmaceuticals, Inc. † | 715 | 20,735 | ||||||
PAREXEL International Corp. † | 228 | 10,474 | ||||||
PDL BioPharma, Inc. | 712 | 5,497 | ||||||
Peregrine Pharmaceuticals, Inc. † | 3,139 | 4,049 | ||||||
Pharmacyclics, Inc. † | 104 | 8,265 | ||||||
Puma Biotechnology, Inc. † | 115 | 5,103 | ||||||
Quidel Corp. † | 203 | 5,183 | ||||||
Repros Therapeutics, Inc. †(a) | 959 | 17,694 | ||||||
RTI Biologics, Inc. † | 1,546 | 5,813 | ||||||
Santarus, Inc. † | 731 | 15,388 | ||||||
Sarepta Therapeutics, Inc. † | 473 | 17,998 |
SHARES | VALUE (Note 2) | |||||||
Health Care - 17.5% (continued) | ||||||||
Select Medical Holdings Corp. | 300 | $ | 2,460 | |||||
Skilled Healthcare Group, Inc., Class A † | 623 | 4,162 | ||||||
Spectranetics Corp. † | 556 | 10,386 | ||||||
Spectrum Pharmaceuticals, Inc. | 151 | 1,126 | ||||||
Staar Surgical Co. † | 228 | 2,314 | ||||||
Sunesis Pharmaceuticals, Inc. † | 1,476 | 7,690 | ||||||
Synergy Pharmaceuticals, Inc. † | 711 | 3,072 | ||||||
Synta Pharmaceuticals Corp. † | 981 | 4,895 | ||||||
TearLab Corp. † | 1,163 | 12,351 | ||||||
Threshold Pharmaceuticals, Inc. † | 1,495 | 7,864 | ||||||
Universal American Corp. | 417 | 3,707 | ||||||
Vical, Inc. †(a) | 2,009 | 6,288 | ||||||
Vivus, Inc. † | 199 | 2,503 | ||||||
West Pharmaceutical Services, Inc. | 108 | 7,588 | ||||||
Wright Medical Group, Inc. † | 352 | 9,226 | ||||||
XenoPort, Inc. † | 1,277 | 6,321 | ||||||
ZIOPHARM Oncology, Inc. †(a) | 300 | 630 | ||||||
|
| |||||||
878,046 | ||||||||
|
| |||||||
Industrials - 14.4% | ||||||||
AAON, Inc. | 131 | 4,333 | ||||||
Aceto Corp. | 644 | 8,971 | ||||||
Advisory Board Co./The † | 101 | 5,520 | ||||||
Aerovironment, Inc. † | 107 | 2,159 | ||||||
Aircastle Ltd. | 313 | 5,005 | ||||||
Albany International Corp., Class A | 105 | 3,463 | ||||||
Allegiant Travel Co. | 229 | 24,272 | ||||||
AMERCO | 85 | 13,762 | ||||||
American Railcar Industries, Inc. | 113 | 3,787 | ||||||
American Woodmark Corp. † | 270 | 9,369 | ||||||
Apogee Enterprises, Inc. | 271 | 6,504 | ||||||
Applied Industrial Technologies, Inc. | 164 | 7,926 | ||||||
Argan, Inc. | 130 | 2,028 | ||||||
Astec Industries, Inc. | 103 | 3,532 | ||||||
Astronics Corp. † | 75 | 3,065 | ||||||
Avis Budget Group, Inc. † | 469 | 13,484 | ||||||
AZZ, Inc. | 116 | 4,473 | ||||||
Barnes Group, Inc. | 224 | 6,718 | ||||||
Barrett Business Services, Inc. | 211 | 11,016 | ||||||
Beacon Roofing Supply, Inc. †(a) | 535 | 20,266 | ||||||
Brink’s Co./The | 68 | 1,735 | ||||||
Builders FirstSource, Inc. † | 1,259 | 7,529 | ||||||
Capstone Turbine Corp. † | 1,193 | 1,396 | ||||||
Chart Industries, Inc. † | 43 | 4,046 | ||||||
Coleman Cable, Inc. | 471 | 8,506 | ||||||
Colfax Corp. † | 113 | 5,888 | ||||||
Corporate Executive Board Co./The | 53 | 3,351 | ||||||
Curtiss-Wright Corp. | 66 | 2,446 | ||||||
Deluxe Corp. (a) | 367 | 12,717 | ||||||
DigitalGlobe, Inc. † | 475 | 14,730 | ||||||
Douglas Dynamics, Inc. | 179 | 2,323 | ||||||
DXP Enterprises, Inc. † | 198 | 13,187 | ||||||
Dycom Industries, Inc. † | 159 | 3,679 | ||||||
Echo Global Logistics, Inc. † | 134 | 2,612 | ||||||
Encore Wire Corp. | 111 | 3,785 | ||||||
EnerNOC, Inc. † | 398 | 5,277 | ||||||
EnerSys, Inc. | 213 | 10,446 | ||||||
Erickson Air-Crane, Inc. † | 437 | 8,220 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
76 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Industrials - 14.4% (continued) | ||||||||
Exponent, Inc. | 69 | $ | 4,079 | |||||
Forward Air Corp. | 130 | 4,976 | ||||||
Franklin Electric Co., Inc. | 202 | 6,797 | ||||||
FTI Consulting, Inc. † | 53 | 1,743 | ||||||
GATX Corp. | 58 | 2,751 | ||||||
GenCorp, Inc. †(a) | 588 | 9,561 | ||||||
Generac Holdings, Inc. | 415 | 15,359 | ||||||
Gibraltar Industries, Inc. † | 498 | 7,251 | ||||||
GP Strategies Corp. † | 152 | 3,621 | ||||||
H&E Equipment Services, Inc. | 289 | 6,089 | ||||||
Healthcare Services Group, Inc. | 518 | 12,701 | ||||||
Huron Consulting Group, Inc. † | 102 | 4,716 | ||||||
Hyster-Yale Materials Handling, Inc. | 124 | 7,786 | ||||||
ICF International, Inc. † | 68 | 2,143 | ||||||
InnerWorkings, Inc. †(a) | 264 | 2,864 | ||||||
Kaman Corp. (a) | 93 | 3,214 | ||||||
KEYW Holding Corp./The † | 619 | 8,202 | ||||||
Kimball International, Inc., Class B | 371 | 3,602 | ||||||
Lydall, Inc. †(a) | 499 | 7,285 | ||||||
Macquarie Infrastructure Co. LLC | 173 | 9,247 | ||||||
Manitex International, Inc. † | 395 | 4,325 | ||||||
Manitowoc Co., Inc./The | 444 | 7,952 | ||||||
MasTec, Inc. † | 395 | 12,996 | ||||||
Matson, Inc. | 121 | 3,025 | ||||||
McGrath RentCorp. | 83 | 2,835 | ||||||
Middleby Corp. † | 56 | 9,525 | ||||||
Mine Safety Appliances Co. | 161 | 7,495 | ||||||
Mistras Group, Inc. † | 236 | 4,149 | ||||||
Mueller Industries, Inc. | 166 | 8,371 | ||||||
Mueller Water Products, Inc., Class A | 1,356 | 9,370 | ||||||
Multi-Color Corp. | 103 | 3,125 | ||||||
Navigant Consulting, Inc. † | 256 | 3,072 | ||||||
Nortek, Inc. † | 210 | 13,530 | ||||||
On Assignment, Inc. † | 426 | 11,383 | ||||||
Patrick Industries, Inc. † | 922 | 19,168 | ||||||
PGT, Inc. † | 1,116 | 9,676 | ||||||
PowerSecure International, Inc. † | 646 | 9,709 | ||||||
Primoris Services Corp. | 239 | 4,713 | ||||||
Proto Labs, Inc. † | 285 | 18,516 | ||||||
Quad/Graphics, Inc. | 344 | 8,290 | ||||||
Quality Distribution, Inc. † | 153 | 1,353 | ||||||
RBC Bearings, Inc. † | 66 | 3,429 | ||||||
Republic Airways Holdings, Inc. † | 642 | 7,274 | ||||||
Revolution Lighting Technologies, Inc. † | 1,703 | 6,812 | ||||||
Roadrunner Transportation Systems, Inc. † | 302 | 8,408 | ||||||
Saia, Inc. † | 344 | 10,295 | ||||||
Simpson Manufacturing Co., Inc. | 89 | 2,618 | ||||||
Standex International Corp. | 60 | 3,165 | ||||||
Steelcase, Inc., Class A | 547 | 7,975 | ||||||
Sun Hydraulics Corp. | 83 | 2,596 | ||||||
Swift Transportation Co. † | 551 | 9,114 | ||||||
Taser International, Inc. † | 464 | 3,953 | ||||||
Team, Inc. † | 99 | 3,747 | ||||||
Tennant Co. | 62 | 2,993 | ||||||
Textainer Group Holdings Ltd. | 231 | 8,880 | ||||||
Thermon Group Holdings, Inc. † | 117 | 2,387 | ||||||
Titan International, Inc. | 137 | 2,311 |
SHARES | VALUE (Note 2) | |||||||
Industrials - 14.4% (continued) | ||||||||
Trex Co., Inc. † | 201 | $ | 9,545 | |||||
TriMas Corp. † | 313 | 11,669 | ||||||
United Rentals, Inc. †(a) | 89 | 4,442 | ||||||
United Stationers, Inc. (a) | 120 | 4,026 | ||||||
US Ecology, Inc. | 115 | 3,156 | ||||||
USG Corp. † | 223 | 5,140 | ||||||
Wabash National Corp. † | 826 | 8,409 | ||||||
WageWorks, Inc. † | 176 | 6,063 | ||||||
Watts Water Technologies, Inc., Class A | 58 | 2,630 | ||||||
Werner Enterprises, Inc. | 267 | 6,453 | ||||||
XPO Logistics, Inc. † | 226 | 4,088 | ||||||
|
| |||||||
719,669 | ||||||||
|
| |||||||
Information Technology - 14.0% | ||||||||
3D Systems Corp. † | 133 | 5,839 | ||||||
ACI Worldwide, Inc. † | 147 | 6,833 | ||||||
Actuate Corp. † | 330 | 2,191 | ||||||
Angie’s List, Inc. † | 553 | 14,682 | ||||||
AOL, Inc. † | 173 | 6,311 | ||||||
ARRIS Group, Inc. † | 836 | 11,997 | ||||||
Aspen Technology, Inc. † | 281 | 8,090 | ||||||
ATMI, Inc. † | 113 | 2,672 | ||||||
Blackbaud, Inc. | 186 | 6,058 | ||||||
Blucora, Inc. † | 397 | 7,360 | ||||||
Booz Allen Hamilton Holding Corp. | 759 | 13,191 | ||||||
Bottomline Technologies de, Inc. † | 106 | 2,681 | ||||||
Brooks Automation, Inc. | 216 | 2,102 | ||||||
CACI International, Inc., Class A †(a) | 39 | 2,476 | ||||||
CalAmp Corp. † | 717 | 10,468 | ||||||
Cardtronics, Inc. † | 192 | 5,299 | ||||||
Cass Information Systems, Inc. | 62 | 2,858 | ||||||
CEVA, Inc. † | 113 | 2,188 | ||||||
Cirrus Logic, Inc. † | 157 | 2,726 | ||||||
Cognex Corp. | 109 | 4,929 | ||||||
Coherent, Inc. | 68 | 3,745 | ||||||
CommVault Systems, Inc. † | 72 | 5,464 | ||||||
Computer Task Group, Inc. | 144 | 3,308 | ||||||
Comtech Telecommunications Corp. | 107 | 2,877 | ||||||
Cornerstone OnDemand, Inc. † | 570 | 24,675 | ||||||
CoStar Group, Inc. † | 108 | 13,940 | ||||||
Cray, Inc. † | 618 | 12,138 | ||||||
Dealertrack Technologies, Inc. † | 171 | 6,059 | ||||||
Electronics for Imaging, Inc. † | 183 | 5,177 | ||||||
Ellie Mae, Inc. † | 797 | 18,395 | ||||||
Entegris, Inc. † | 550 | 5,164 | ||||||
Euronet Worldwide, Inc. † | 143 | 4,556 | ||||||
ExlService Holdings, Inc. † | 162 | 4,789 | ||||||
Fair Isaac Corp. | 165 | 7,562 | ||||||
FARO Technologies, Inc. † | 79 | 2,672 | ||||||
FEI Co. | 87 | 6,350 | ||||||
Global Cash Access Holdings, Inc. † | 470 | 2,942 | ||||||
Globecomm Systems, Inc. † | 166 | 2,098 | ||||||
Glu Mobile, Inc. †(a) | 1,754 | 3,859 | ||||||
GT Advanced Technologies, Inc. † | 207 | 859 | ||||||
Guidewire Software, Inc. † | 312 | 13,120 | ||||||
Heartland Payment Systems, Inc. (a) | 174 | 6,481 | ||||||
Hutchinson Technology, Inc. † | 1,615 | 7,639 | ||||||
Immersion Corp. † | 870 | 11,527 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 77 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 14.0% (continued) | ||||||||
Insight Enterprises, Inc. † | 194 | $ | 3,442 | |||||
Integrated Silicon Solution, Inc. † | 174 | 1,907 | ||||||
Intermolecular, Inc. † | 459 | 3,337 | ||||||
Ixia †(a) | 625 | 11,500 | ||||||
j2 Global, Inc. (a) | 128 | 5,441 | ||||||
Kulicke & Soffa Industries, Inc. † | 235 | 2,599 | ||||||
Lattice Semiconductor Corp. † | 450 | 2,281 | ||||||
Liquidity Services, Inc. †(a) | 81 | 2,808 | ||||||
LivePerson, Inc. †(a) | 246 | 2,203 | ||||||
Manhattan Associates, Inc. † | 104 | 8,025 | ||||||
MAXIMUS, Inc. | 137 | 10,204 | ||||||
Measurement Specialties, Inc. † | 59 | 2,745 | ||||||
Mentor Graphics Corp. | 559 | 10,928 | ||||||
Meru Networks, Inc. † | 1,189 | 4,792 | ||||||
MicroStrategy, Inc., Class A † | 10 | 870 | ||||||
Mitek Systems, Inc. † | 1,203 | 6,953 | ||||||
MKS Instruments, Inc. | 143 | 3,795 | ||||||
Monolithic Power Systems, Inc. | 276 | 6,654 | ||||||
Monotype Imaging Holdings, Inc. | 188 | 4,777 | ||||||
MTS Systems Corp. | 53 | 3,000 | ||||||
Nanometrics, Inc. † | 125 | 1,834 | ||||||
Netscout Systems, Inc. † | 276 | 6,442 | ||||||
NetSol Technologies, Inc. † | 681 | 6,851 | ||||||
NIC, Inc. | 574 | 9,488 | ||||||
OSI Systems, Inc. † | 155 | 9,985 | ||||||
Parkervision, Inc. † | 2,090 | 9,510 | ||||||
PDF Solutions, Inc. † | 254 | 4,681 | ||||||
Pegasystems, Inc. | 54 | 1,788 | ||||||
PROS Holdings, Inc. † | 171 | 5,121 | ||||||
Rogers Corp. † | 60 | 2,839 | ||||||
Sanmina Corp. † | 591 | 8,481 | ||||||
Sapient Corp. † | 247 | 3,226 | ||||||
ScanSource, Inc. † | 78 | 2,496 | ||||||
SciQuest, Inc. † | 382 | 9,569 | ||||||
Semtech Corp. † | 117 | 4,099 | ||||||
Silicon Graphics International Corp. † | 221 | 2,957 | ||||||
Sourcefire, Inc. † | 144 | 7,999 | ||||||
Spansion, Inc., Class A † | 279 | 3,493 | ||||||
SPS Commerce, Inc. † | 373 | 20,515 | ||||||
SS&C Technologies Holdings, Inc. † | 374 | 12,305 | ||||||
Stamps.com, Inc. † | 180 | 7,090 | ||||||
Stratasys Ltd. † | 226 | 18,925 | ||||||
SunEdison, Inc. † | 2,609 | 21,316 | ||||||
SunPower Corp. † | 1,345 | 27,842 | ||||||
Super Micro Computer, Inc. † | 181 | 1,926 | ||||||
TiVo, Inc. † | 368 | 4,066 | ||||||
Tyler Technologies, Inc. † | 137 | 9,391 | ||||||
Ultimate Software Group, Inc. † | 83 | 9,735 | ||||||
Ultratech, Inc. † | 112 | 4,113 | ||||||
Uni-Pixel, Inc. † | 629 | 9,253 | ||||||
ValueClick, Inc. † | 771 | 19,028 | ||||||
VirnetX Holding Corp. † | 80 | 1,599 | ||||||
Volterra Semiconductor Corp. † | 75 | 1,059 | ||||||
Web.com Group, Inc. †(a) | 429 | 10,982 | ||||||
Yelp, Inc. † | 282 | 9,805 | ||||||
Zillow, Inc., Class A † | 341 | 19,198 | ||||||
|
| |||||||
703,615 | ||||||||
|
|
SHARES | VALUE (Note 2) | |||||||
Materials - 4.5% | ||||||||
ADA-ES, Inc. † | 175 | $ | 7,371 | |||||
AEP Industries, Inc. † | 90 | 6,695 | ||||||
AMCOL International Corp. | 59 | 1,870 | ||||||
American Pacific Corp. † | 178 | 5,046 | ||||||
American Vanguard Corp. | 323 | 7,568 | ||||||
Axiall Corp. | 205 | 8,729 | ||||||
Balchem Corp. | 58 | 2,595 | ||||||
Boise, Inc. | 591 | 5,047 | ||||||
Calgon Carbon Corp. † | 158 | 2,635 | ||||||
Chemtura Corp. † | 320 | 6,496 | ||||||
Deltic Timber Corp. | 41 | 2,371 | ||||||
Eagle Materials, Inc. | 154 | 10,206 | ||||||
Flotek Industries, Inc. † | 274 | 4,916 | ||||||
FutureFuel Corp. | 287 | 4,067 | ||||||
Graphic Packaging Holding Co. † | 551 | 4,265 | ||||||
H.B. Fuller Co. | 215 | 8,129 | ||||||
Haynes International, Inc. | 62 | 2,968 | ||||||
Headwaters, Inc. † | 1,216 | 10,749 | ||||||
Innophos Holdings, Inc. | 147 | 6,934 | ||||||
Innospec, Inc. | 119 | 4,781 | ||||||
KapStone Paper and Packaging Corp. | 146 | 5,866 | ||||||
Kraton Performance Polymers, Inc. † | 138 | 2,926 | ||||||
Louisiana-Pacific Corp. † | 209 | 3,091 | ||||||
LSB Industries, Inc. † | 79 | 2,402 | ||||||
Myers Industries, Inc. | 203 | 3,047 | ||||||
Olin Corp. | 256 | 6,124 | ||||||
Paramount Gold and Silver Corp. †(a) | 449 | 534 | ||||||
PH Glatfelter Co. | 228 | 5,723 | ||||||
PolyOne Corp. | 556 | 13,778 | ||||||
RTI International Metals, Inc. † | 181 | 5,015 | ||||||
Stepan Co. | 84 | 4,671 | ||||||
SunCoke Energy, Inc. † | 187 | 2,622 | ||||||
Texas Industries, Inc. † | 211 | 13,745 | ||||||
Tredegar Corp. | 103 | 2,647 | ||||||
US Concrete, Inc. † | 312 | 5,123 | ||||||
US Silica Holdings, Inc. | 672 | 13,964 | ||||||
Worthington Industries, Inc. | 677 | 21,468 | ||||||
|
| |||||||
226,184 | ||||||||
|
| |||||||
Telecommunication Services - 0.6% | ||||||||
8x8, Inc. † | 552 | 4,549 | ||||||
Atlantic Tele-Network, Inc. | 74 | 3,675 | ||||||
Cincinnati Bell, Inc. † | 883 | 2,702 | ||||||
Cogent Communications Group, Inc. | 214 | 6,024 | ||||||
Consolidated Communications Holdings, Inc. | 147 | 2,559 | ||||||
inContact, Inc. † | 395 | 3,247 | ||||||
Lumos Networks Corp. | 321 | 5,489 | ||||||
Premiere Global Services, Inc. † | 278 | 3,355 | ||||||
|
| |||||||
31,600 | ||||||||
|
| |||||||
Utilities - 1.0% | ||||||||
ALLETE, Inc. (a) | 35 | 1,745 | ||||||
American States Water Co. | 332 | 17,818 | ||||||
Black Hills Corp. | 75 | 3,656 | ||||||
Chesapeake Utilities Corp. | 72 | 3,707 | ||||||
El Paso Electric Co. | 44 | 1,554 | ||||||
MGE Energy, Inc. | 78 | 4,271 | ||||||
Middlesex Water Co. | 156 | 3,108 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
78 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Utilities - 1.0% (continued) | ||||||||
Otter Tail Corp. | 366 | $ | 10,394 | |||||
South Jersey Industries, Inc. | 37 | 2,124 | ||||||
Unitil Corp. | 94 | 2,715 | ||||||
|
| |||||||
51,092 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,936,987 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.5% | ||||||||
iShares Russell 2000 Index Fund | 260 | 25,261 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 0.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(b) (cost $39,576) | 39,576 | 39,576 | ||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.9% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio - Institutional Shares, 0.046% (2)(b)(c) (cost $144,512) | 144,512 | 144,512 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 102.6% | 5,146,336 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.6%) | (130,339) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 5,015,997 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non income-producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $140,583 cash collateral of $144,512 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of June 30, 2013. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
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 2013 | 79 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
COMMON STOCKS - 98.1% | SHARES | VALUE (Note 2) | ||||||
Australia - 7.1% | ||||||||
ALS Ltd. | 295 | $ | 2,568 | |||||
Amcor Ltd. | 586 | 5,416 | ||||||
Aurizon Holdings Ltd. | 3,392 | 12,885 | ||||||
Australia & New Zealand Banking Group Ltd. | 1,377 | 35,746 | ||||||
Coca-Cola Amatil Ltd. | 386 | 4,472 | ||||||
Commonwealth Bank of Australia | 525 | 33,047 | ||||||
CSL Ltd. | 472 | 26,515 | ||||||
Dexus Property Group REIT | 4,204 | 4,100 | ||||||
Federation Centres Ltd. REIT | 6,256 | 13,559 | ||||||
GPT Group REIT | 1,253 | 4,400 | ||||||
Mirvac Group REIT | 2,298 | 3,364 | ||||||
National Australia Bank Ltd. | 1,442 | 39,006 | ||||||
New Hope Corp. Ltd. | 547 | 1,784 | ||||||
Orica Ltd. | 113 | 2,130 | ||||||
Ramsay Health Care Ltd. | 161 | 5,262 | ||||||
Santos Ltd. | 278 | 3,166 | ||||||
Telecom Corp of New Zealand Ltd. | 1,966 | 3,396 | ||||||
Telstra Corp. Ltd. | 16,142 | 70,177 | ||||||
Wesfarmers Ltd. | 1,172 | 42,410 | ||||||
Westfield Retail Trust REIT | 16,763 | 47,407 | ||||||
Westpac Banking Corp. | 3,339 | 87,665 | ||||||
Woolworths Ltd. | 945 | 28,309 | ||||||
|
| |||||||
476,784 | ||||||||
|
| |||||||
Austria - 0.8% | ||||||||
Andritz AG | 416 | 21,344 | ||||||
Erste Group Bank AG | 785 | 20,923 | ||||||
Raiffeisen Bank International AG † | 448 | 13,043 | ||||||
|
| |||||||
55,310 | ||||||||
|
| |||||||
Belgium - 1.2% | ||||||||
Ageas | 619 | 21,720 | ||||||
Anheuser-Busch InBev NV | 318 | 28,630 | ||||||
Belgacom SA | 94 | 2,104 | ||||||
KBC Groep NV | 457 | 17,037 | ||||||
RTL Group SA | 62 | 5,076 | ||||||
UCB SA | 98 | 5,261 | ||||||
|
| |||||||
79,828 | ||||||||
|
| |||||||
Bermuda - 0.1% | ||||||||
Gulf Keystone Petroleum Ltd. † | 2,240 | 4,910 | ||||||
Seadrill Ltd. | 77 | 3,101 | ||||||
|
| |||||||
8,011 | ||||||||
|
| |||||||
Canada - 4.3% | ||||||||
Alimentation Couche Tard, Inc., Class B (1) | 514 | 30,497 | ||||||
AltaGas Ltd. (1) | 100 | 3,505 | ||||||
Bank of Montreal (1) | 100 | 5,800 | ||||||
BCE, Inc. (1) | 136 | 5,576 | ||||||
Boardwalk Real Estate Investment Trust REIT (1) | 100 | 5,543 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 509 | 18,294 | ||||||
Brookfield Office Properties, Inc. (1) | 100 | 1,663 | ||||||
Calloway Real Estate Investment Trust REIT (1) | 100 | 2,445 | ||||||
Canadian Pacific Railway Ltd. (1) | 327 | 39,652 | ||||||
Canadian Utilities Ltd., Class A (1) | 200 | 7,019 |
SHARES | VALUE (Note 2) | |||||||
Canada - 4.3% (continued) | ||||||||
CGI Group, Inc., Class A (1)† | 676 | $ | 19,797 | |||||
Dollarama, Inc. (1) | 109 | 7,629 | ||||||
Empire Co., Ltd., Class A (1) | 100 | 7,647 | ||||||
Ensign Energy Services, Inc. (1) | 100 | 1,548 | ||||||
First Majestic Silver Corp. (1)† | 100 | 1,061 | ||||||
Fortis, Inc. (1) | 100 | 3,061 | ||||||
Franco-Nevada Corp. (1) | 100 | 3,580 | ||||||
IGM Financial, Inc. (1) | 100 | 4,287 | ||||||
Intact Financial Corp. (1) | 100 | 5,634 | ||||||
Jean Coutu Group PJC, Inc./The, Class A (1) | 200 | 3,377 | ||||||
Loblaw Cos., Ltd. (1) | 100 | 4,521 | ||||||
Metro, Inc. (1) | 100 | 6,702 | ||||||
National Bank of Canada (1) | 100 | 7,135 | ||||||
Onex Corp. (1) | 100 | 4,537 | ||||||
Open Text Corp. (1) | 100 | 6,837 | ||||||
Paramount Resources Ltd., Class A (1)† | 100 | 3,390 | ||||||
Pembina Pipeline Corp. (1) | 100 | 3,060 | ||||||
Precision Drilling Corp. (1) | 200 | 1,702 | ||||||
RioCan Real Estate Investment Trust REIT (1) | 242 | 5,815 | ||||||
Rogers Communications, Inc., Class B (1) | 1,049 | 41,094 | ||||||
Royal Bank of Canada (1) | 79 | 4,603 | ||||||
Shaw Communications, Inc., Class B (1) | 100 | 2,400 | ||||||
Tim Hortons, Inc. (1) | 100 | 5,408 | ||||||
TransAlta Corp. (1) | 100 | 1,370 | ||||||
Trilogy Energy Corp. (1) | 100 | 2,986 | ||||||
Vermilion Energy, Inc. (1) | 100 | 4,888 | ||||||
Yamana Gold, Inc. (1) | 300 | 2,861 | ||||||
|
| |||||||
286,924 | ||||||||
|
| |||||||
Denmark - 0.9% | ||||||||
Coloplast A/S, Class B | 90 | 5,040 | ||||||
Danske Bank A/S † | 918 | 15,660 | ||||||
Novo Nordisk A/S, Class B | 206 | 32,025 | ||||||
Novozymes A/S, B Shares | 153 | 4,901 | ||||||
William Demant Holding A/S † | 39 | 3,222 | ||||||
|
| |||||||
60,848 | ||||||||
|
| |||||||
Finland - 0.9% | ||||||||
Kone OYJ, Class B | 305 | 24,193 | ||||||
Metso OYJ | 434 | 14,701 | ||||||
Sampo OYJ, A Shares | 595 | 23,169 | ||||||
|
| |||||||
62,063 | ||||||||
|
| |||||||
France - 6.4% | ||||||||
Air Liquide SA | 161 | 19,884 | ||||||
AXA SA | 1,176 | 23,182 | ||||||
BNP Paribas SA | 957 | 52,391 | ||||||
Danone SA | 363 | 27,322 | ||||||
Dassault Systemes SA | 53 | 6,478 | ||||||
Edenred | 323 | 9,890 | ||||||
Essilor International SA | 243 | 25,889 | ||||||
European Aeronautic Defence and Space Co. NV | 496 | 26,536 | ||||||
Eutelsat Communications SA | 106 | 3,007 | ||||||
Hermes International | 35 | 11,297 | ||||||
Iliad SA | 21 | 4,537 | ||||||
L’Oreal SA | 257 | 42,247 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 196 | 31,822 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
80 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
France - 6.4% (continued) | ||||||||
Pernod-Ricard SA | 92 | $ | 10,211 | |||||
Sanofi | 811 | 83,842 | ||||||
Societe Generale SA | 493 | 16,967 | ||||||
Sodexo | 65 | 5,412 | ||||||
Technip SA | 46 | 4,675 | ||||||
Unibail-Rodamco SE REIT | 94 | 21,893 | ||||||
|
| |||||||
427,482 | ||||||||
|
| |||||||
Germany - 5.5% | ||||||||
Adidas AG | 160 | 17,296 | ||||||
Allianz SE | 216 | 31,528 | ||||||
BASF SE | 106 | 9,454 | ||||||
Bayer AG | 586 | 62,392 | ||||||
Beiersdorf AG | 64 | 5,575 | ||||||
Brenntag AG | 88 | 13,375 | ||||||
Continental AG | 125 | 16,664 | ||||||
Deutsche Bank AG | 67 | 2,809 | ||||||
Deutsche Lufthansa AG † | 730 | 14,788 | ||||||
Deutsche Post AG | 1,412 | 35,043 | ||||||
Fresenius Medical Care AG & Co. KGaA | 109 | 7,726 | ||||||
Fresenius SE & Co. KGaA | 61 | 7,508 | ||||||
GEA Group AG | 93 | 3,293 | ||||||
Hannover Rueckversicherung SE | 53 | 3,811 | ||||||
Lanxess AG | 284 | 17,103 | ||||||
Merck KGaA | 201 | 30,568 | ||||||
Muenchener Rueckversicherungs AG | 363 | 66,688 | ||||||
RWE AG | 83 | 2,646 | ||||||
SAP AG | 171 | 12,487 | ||||||
Suedzucker AG | 113 | 3,498 | ||||||
|
| |||||||
364,252 | ||||||||
|
| |||||||
Hong Kong - 3.9% | ||||||||
AIA Group Ltd. | 3,800 | 16,009 | ||||||
BOC Hong Kong Holdings Ltd. | 10,500 | 32,121 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 1,000 | 6,663 | ||||||
CLP Holdings Ltd. | 1,000 | 8,084 | ||||||
First Pacific Co., Ltd. | 12,000 | 12,828 | ||||||
Galaxy Entertainment Group Ltd. † | 6,000 | 29,145 | ||||||
Giordano International Ltd. | 2,000 | 1,744 | ||||||
Hang Seng Bank Ltd. | 1,200 | 17,672 | ||||||
Henderson Land Development Co., Ltd. | 3,300 | 19,598 | ||||||
Hong Kong & China Gas Co., Ltd. | 2,420 | 5,905 | ||||||
Link REIT/The REIT | 3,500 | 17,177 | ||||||
Luk Fook Holdings International Ltd. | 1,000 | 2,302 | ||||||
Melco International Development Ltd. | 2,000 | 3,753 | ||||||
New World Development Co., Ltd. | 9,000 | 12,362 | ||||||
Power Assets Holdings Ltd. | 1,000 | 8,608 | ||||||
Sands China Ltd. | 2,400 | 11,215 | ||||||
SJM Holdings Ltd. | 6,000 | 14,561 | ||||||
SmarTone Telecommunications Holdings Ltd. | 1,500 | 2,478 | ||||||
Stella International Holdings Ltd. | 1,000 | 2,760 | ||||||
Wharf Holdings Ltd. | 2,000 | 16,693 | ||||||
Wheelock & Co., Ltd. | 3,000 | 14,968 | ||||||
|
| |||||||
256,646 | ||||||||
|
| |||||||
Israel - 0.5% | ||||||||
Bank Hapoalim BM † | 4,981 | 22,479 | ||||||
EZchip Semiconductor Ltd. † | 308 | 8,282 |
SHARES | VALUE (Note 2) | |||||||
Israel - 0.5% (continued) | ||||||||
Mellanox Technologies Ltd. † | 77 | $ | 3,828 | |||||
|
| |||||||
34,589 | ||||||||
|
| |||||||
Italy - 1.0% | ||||||||
Davide Campari-Milano SpA | 430 | 3,115 | ||||||
Fiat Industrial SpA | 878 | 9,774 | ||||||
Gtech Spa | 157 | 3,929 | ||||||
Luxottica Group SpA | 512 | 25,905 | ||||||
Pirelli & C. SpA | 343 | 3,965 | ||||||
Saipem SpA | 71 | 1,153 | ||||||
Salvatore Ferragamo Italia SpA | 534 | 16,606 | ||||||
Tenaris SA | 152 | 3,044 | ||||||
|
| |||||||
67,491 | ||||||||
|
| |||||||
Japan - 40.6% | ||||||||
Acom Co., Ltd. † | 620 | 19,724 | ||||||
Aeon Co., Ltd. | 200 | 2,628 | ||||||
Aiful Corp. † | 3,250 | 27,211 | ||||||
Astellas Pharma, Inc. | 800 | 43,459 | ||||||
Autobacs Seven Co., Ltd. | 300 | 4,564 | ||||||
Bridgestone Corp. | 900 | 30,690 | ||||||
Calbee, Inc. | 300 | 28,473 | ||||||
Central Japan Railway Co. | 200 | 24,376 | ||||||
Chugai Pharmaceutical Co., Ltd. | 800 | 16,560 | ||||||
Cosmos Pharmaceutical Corp. | 200 | 20,282 | ||||||
CyberAgent, Inc. | 1 | 1,915 | ||||||
Dai-ichi Life Insurance Co., Ltd./The | 10 | 14,355 | ||||||
Daikin Industries Ltd. | 500 | 20,210 | ||||||
Dainippon Sumitomo Pharma Co., Ltd. | 300 | 3,968 | ||||||
Daiwa House Industry Co., Ltd. | 1,000 | 18,627 | ||||||
Daiwa Securities Group, Inc. | 5,000 | 41,875 | ||||||
Denso Corp. | 1,100 | 51,715 | ||||||
Don Quijote Co., Ltd. | 100 | 4,854 | ||||||
East Japan Railway Co. | 400 | 31,133 | ||||||
Eisai Co., Ltd. | 100 | 4,075 | ||||||
FamilyMart Co., Ltd. | 100 | 4,267 | ||||||
FANUC Corp. | 100 | 14,473 | ||||||
Fast Retailing Co., Ltd. | 100 | 33,750 | ||||||
Fuji Heavy Industries Ltd. | 2,000 | 49,388 | ||||||
GungHo Online Entertainment, Inc. † | 20 | 21,851 | ||||||
Hino Motors Ltd. | 1,000 | 14,674 | ||||||
Hiroshima Bank Ltd./The | 1,000 | 4,256 | ||||||
Hitachi Ltd. | 2,000 | 12,815 | ||||||
Hitachi Transport System Ltd. | 200 | 3,285 | ||||||
Honda Motor Co., Ltd. | 1,300 | 48,294 | ||||||
House Foods Corp. | 100 | 1,631 | ||||||
Ichigo Group Holdings Co., Ltd. | 32 | 22,234 | ||||||
ITOCHU Corp. | 1,800 | 20,815 | ||||||
Itochu Techno-Solutions Corp. | 100 | 4,140 | ||||||
Jafco Co., Ltd. | 600 | 22,790 | ||||||
Japan Retail Fund Investment Corp. REIT | 6 | 12,535 | ||||||
Japan Tobacco, Inc. | 1,900 | 67,065 | ||||||
Kajima Corp. | 1,000 | 3,315 | ||||||
Kakaku.com, Inc. | 200 | 6,107 | ||||||
KDDI Corp. | 800 | 41,659 | ||||||
Keihan Electric Railway Co., Ltd. | 1,000 | 4,172 | ||||||
Keyence Corp. | 100 | 31,861 | ||||||
Kintetsu Corp. | 3,000 | 13,170 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 81 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 40.6% (continued) | ||||||||
Kobayashi Pharmaceutical Co., Ltd. | 100 | $ | 5,270 | |||||
Komeri Co., Ltd. | 100 | 2,504 | ||||||
Kubota Corp. | 2,000 | 29,107 | ||||||
Lawson, Inc. | 300 | 22,893 | ||||||
LIXIL Group Corp. | 700 | 17,046 | ||||||
Matsui Securities Co. Ltd. | 1,700 | 15,045 | ||||||
Mazda Motor Corp. † | 10,000 | 39,534 | ||||||
Mitsubishi Estate Co., Ltd. | 3,000 | 79,872 | ||||||
Mitsubishi Heavy Industries, Ltd. | 4,000 | 22,238 | ||||||
Mitsubishi Motors Corp. † | 28,000 | 38,326 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 18,100 | 111,783 | ||||||
Mitsui Fudosan Co., Ltd. | 2,000 | 58,800 | ||||||
Mizuho Financial Group, Inc. | 27,000 | 56,071 | ||||||
Nabtesco Corp. | 100 | 2,076 | ||||||
Nikon Corp. | 600 | 14,018 | ||||||
Nippon Telegraph & Telephone Corp. | 100 | 5,212 | ||||||
Nissan Motor Co., Ltd. | 1,200 | 12,027 | ||||||
Nissin Foods Holdings Co., Ltd. | 100 | 4,044 | ||||||
Nitori Holdings Co., Ltd. | 50 | 4,025 | ||||||
Nitto Denko Corp. | 500 | 32,068 | ||||||
Nomura Holdings, Inc. | 6,900 | 50,789 | ||||||
Nomura Real Estate Holdings, Inc. | 1,000 | 22,090 | ||||||
Nomura Research Institute Ltd. | 700 | 22,734 | ||||||
NTT Urban Development Corp. | 12 | 14,729 | ||||||
Okasan Securities Group, Inc. | 3,000 | 24,781 | ||||||
Olympus Corp. † | 1,000 | 30,387 | ||||||
Ono Pharmaceutical Co., Ltd. | 100 | 6,807 | ||||||
Orient Corp. † | 5,000 | 12,009 | ||||||
Oriental Land Co., Ltd. | 100 | 15,476 | ||||||
ORIX Corp. | 3,200 | 43,670 | ||||||
Otsuka Holdings Co., Ltd. | 200 | 6,604 | ||||||
Park24 Co., Ltd. | 200 | 3,628 | ||||||
Pola Orbis Holdings, Inc. | 400 | 13,529 | ||||||
Rakuten, Inc. | 600 | 7,095 | ||||||
Sanrio Co., Ltd. | 100 | 4,639 | ||||||
Santen Pharmaceutical Co., Ltd. | 100 | 4,328 | ||||||
Sega Sammy Holdings, Inc. | 700 | 17,541 | ||||||
Seven & I Holdings Co., Ltd. | 800 | 29,299 | ||||||
Shin-Etsu Chemical Co., Ltd. | 400 | 26,474 | ||||||
Shinsei Bank Ltd. | 8,000 | 18,167 | ||||||
Shionogi & Co., Ltd. | 700 | 14,597 | ||||||
Softbank Corp. | 1,200 | 69,852 | ||||||
Sony Corp. | 1,600 | 33,802 | ||||||
Sumitomo Corp. | 200 | 2,493 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,900 | 86,969 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 8,000 | 37,327 | ||||||
Sumitomo Realty & Development Co., Ltd. | 1,000 | 39,854 | ||||||
Suruga Bank Ltd. | 3,000 | 54,403 | ||||||
Taiheiyo Cement Corp. | 4,000 | 12,765 | ||||||
Taisei Corp. | 6,000 | 21,660 | ||||||
Takara Bio, Inc. | 500 | 11,646 | ||||||
Takeda Pharmaceutical Co., Ltd. | 900 | 40,585 | ||||||
Toho Co., Ltd. | 200 | 4,114 | ||||||
Toho Gas Co., Ltd. | 1,000 | 5,171 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 4,200 | 28,581 | ||||||
Tokyo Electric Power Co., Inc † | 6,400 | 33,039 | ||||||
Tokyo Gas Co., Ltd. | 3,000 | 16,551 |
SHARES | VALUE (Note 2) | |||||||
Japan - 40.6% (continued) | ||||||||
Tokyo Tatemono Co., Ltd. | 2,000 | $ | 16,642 | |||||
Tokyu Corp. | 3,000 | 19,643 | ||||||
Tokyu Land Corp. | 3,000 | 27,462 | ||||||
Toyota Motor Corp. | 3,800 | 229,208 | ||||||
Unicharm Corp. | 400 | 22,623 | ||||||
USS Co., Ltd. | 30 | 3,803 | ||||||
West Japan Railway Co. | 100 | 4,241 | ||||||
Yahoo Japan Corp. | 74 | 36,439 | ||||||
Yakult Honsha Co., Ltd. | 100 | 4,147 | ||||||
Yamada Denki Co., Ltd. | 40 | 1,620 | ||||||
Yamato Holdings Co., Ltd. | 200 | 4,212 | ||||||
Yokohama Rubber Co., Ltd./The | 1,000 | 10,041 | ||||||
Zensho Holdings Co., Ltd. | 200 | 2,282 | ||||||
|
| |||||||
2,711,748 | ||||||||
|
| |||||||
Netherlands - 1.7% | ||||||||
Akzo Nobel NV | 301 | 16,984 | ||||||
ASML Holding NV | 171 | 13,499 | ||||||
Heineken NV | 422 | 26,861 | ||||||
Koninklijke Ahold NV | 658 | 9,787 | ||||||
Koninklijke Philips NV | 1,024 | 27,915 | ||||||
Unilever NV CVA | 377 | 14,840 | ||||||
|
| |||||||
109,886 | ||||||||
|
| |||||||
Norway - 0.6% | ||||||||
Aker Solutions ASA | 867 | 11,836 | ||||||
Gjensidige Forsikring ASA | 1,119 | 16,485 | ||||||
Golar LNG Ltd. | 70 | 2,178 | ||||||
Telenor ASA | 565 | 11,223 | ||||||
|
| |||||||
41,722 | ||||||||
|
| |||||||
Portugal - 0.1% | ||||||||
Galp Energia SGPS SA | 140 | 2,075 | ||||||
Jeronimo Martins SGPS SA | 313 | 6,597 | ||||||
|
| |||||||
8,672 | ||||||||
|
| |||||||
Singapore - 2.3% | ||||||||
CapitaLand Ltd. | 9,000 | 21,744 | ||||||
CapitaMalls Asia Ltd. | 8,000 | 11,474 | ||||||
DBS Group Holdings Ltd. | 2,000 | 24,336 | ||||||
Jardine Matheson Holdings Ltd. | 400 | 24,141 | ||||||
Jardine Strategic Holdings Ltd. | 500 | 18,105 | ||||||
Keppel Corp. Ltd. | 3,000 | 24,538 | ||||||
Keppel REIT | 600 | 612 | ||||||
Singapore Telecommunications Ltd. | 10,000 | 29,618 | ||||||
|
| |||||||
154,568 | ||||||||
|
| |||||||
Spain - 4.1% | ||||||||
Abertis Infraestructuras SA | 340 | 5,924 | ||||||
Amadeus IT Holding SA, A Shares | 895 | 28,645 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 12,260 | 103,032 | ||||||
CaixaBank | 381 | 1,170 | ||||||
Endesa SA | 148 | 3,161 | ||||||
Ferrovial SA | 390 | 6,226 | ||||||
Gas Natural SDG SA | 2,876 | 57,944 | ||||||
Inditex SA | 505 | 62,289 | ||||||
Mapfre SA | 1,513 | 4,923 | ||||||
|
| |||||||
273,314 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
82 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
SHARES | VALUE (Note 2) | |||||||
Sweden - 1.9% | ||||||||
Getinge AB, B Shares | 138 | $ | 4,190 | |||||
Hennes & Mauritz AB, B Shares | 383 | 12,601 | ||||||
Investor AB, B Shares | 780 | 20,936 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 3,931 | 37,529 | ||||||
Svenska Handelsbanken AB, A Shares | 392 | 15,705 | ||||||
Swedbank AB, A Shares | 1,359 | 31,127 | ||||||
Swedish Match AB | 114 | 4,047 | ||||||
Tele2 AB, B Shares | 227 | 2,665 | ||||||
|
| |||||||
128,800 | ||||||||
|
| |||||||
Switzerland - 3.4% | ||||||||
Credit Suisse Group AG † | 1,506 | 39,870 | ||||||
Lindt & Spruengli AG | 1 | 3,754 | ||||||
Novartis AG | 584 | 41,365 | ||||||
Roche Holding AG | 156 | 38,719 | ||||||
Schindler Holding AG | 32 | 4,452 | ||||||
SGS SA | 12 | 25,763 | ||||||
Syngenta AG | 94 | 36,656 | ||||||
UBS AG † | 1,976 | 33,540 | ||||||
Wolseley PLC | 78 | 3,599 | ||||||
|
| |||||||
227,718 | ||||||||
|
| |||||||
United Kingdom - 10.4% | ||||||||
Aggreko PLC | 133 | 3,324 | ||||||
ARM Holdings PLC | 1,727 | 20,892 | ||||||
Associated British Foods PLC | 210 | 5,540 | ||||||
AstraZeneca PLC | 50 | 2,364 | ||||||
Barclays PLC | 13,606 | 57,944 | ||||||
BG Group PLC | 687 | 11,675 | ||||||
BP PLC | 740 | 5,136 | ||||||
British American Tobacco PLC | 941 | 48,263 | ||||||
British Sky Broadcasting Group PLC | 451 | 5,433 | ||||||
BT Group PLC | 5,048 | 23,699 | ||||||
Bunzl PLC | 221 | 4,310 | ||||||
Burberry Group PLC | 203 | 4,176 | ||||||
Compass Group PLC | 1,417 | 18,106 | ||||||
Croda International PLC | 111 | 4,186 | ||||||
Diageo PLC | 1,887 | 54,112 | ||||||
Experian PLC | 1,092 | 18,979 | ||||||
Fresnillo PLC | 272 | 3,672 | ||||||
G4S PLC | 681 | 2,401 | ||||||
GlaxoSmithKline PLC | 126 | 3,150 | ||||||
HSBC Holdings PLC | 10,509 | 108,791 | ||||||
Imperial Tobacco Group PLC | 538 | 18,655 | ||||||
Intertek Group PLC | 94 | 4,178 | ||||||
Kingfisher PLC | 1,009 | 5,261 | ||||||
Land Securities Group PLC REIT | 307 | 4,123 | ||||||
Legal & General Group PLC | 1,967 | 5,127 | ||||||
Meggitt PLC | 501 | 3,947 | ||||||
National Grid PLC | 2,270 | 25,732 | ||||||
Next PLC | 241 | 16,694 | ||||||
Pearson PLC | 343 | 6,100 | ||||||
Prudential PLC | 327 | 5,338 | ||||||
Randgold Resources Ltd. | 40 | 2,535 | ||||||
Reckitt Benckiser Group PLC | 500 | 35,368 | ||||||
Rexam PLC | 474 | 3,440 | ||||||
Rolls-Royce Holdings PLC † | 1,309 | 22,539 | ||||||
Royal Bank of Scotland Group PLC † | 6,019 | 24,978 |
SHARES | VALUE (Note 2) | |||||||
United Kingdom - 10.4% (continued) | ||||||||
SABMiller PLC | 977 | $ | 46,841 | |||||
Sage Group PLC/The | 663 | 3,424 | ||||||
Severn Trent PLC | 173 | 4,381 | ||||||
Shire PLC | 214 | 6,782 | ||||||
SSE PLC | 372 | 8,615 | ||||||
Standard Life PLC | 762 | 4,010 | ||||||
Tate & Lyle PLC | 322 | 4,040 | ||||||
Tesco PLC | 1,089 | 5,484 | ||||||
Tullow Oil PLC | 321 | 4,886 | ||||||
United Utilities Group PLC | 372 | 3,870 | ||||||
Vodafone Group PLC | 1,092 | 3,129 | ||||||
Weir Group PLC/The | 123 | 4,022 | ||||||
WM Morrison Supermarkets PLC | 1,127 | 4,486 | ||||||
|
| |||||||
694,138 | ||||||||
|
| |||||||
United States - 0.4% | ||||||||
Valeant Pharmaceuticals International, Inc. (1)† | 285 | 24,573 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 6,555,367 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.0% (a) | ||||||||
United Kingdom - 0.0% (a) | ||||||||
Rolls-Royce Holdings PLC (3)†(b) | 155,771 | 237 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.8% | ||||||||
iShares MSCI EAFE Index Fund (1) (cost $53,044) | 993 | 56,978 | ||||||
|
| |||||||
RIGHTS - 0.0% (a) | ||||||||
Hong Kong - 0.0% (a) | ||||||||
(cost $-) | 112 | — | ||||||
|
| |||||||
MONEY MARKET FUNDS - 0.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c) (cost $58,493) | 58,493 | 58,493 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 99.8% | 6,671,075 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% | 12,946 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 6,684,021 | ||||||
|
|
† | Non income-producing security. |
(a) | Represents less than 0.05 percent of net assets. |
(b) | Security fair valued at as of June 30, 2013 using procedures approved by the Board of Trustees. The total value of positions fair valued was $237 or 0.0% of total net assets. |
(c) | Represents annualized seven-day yield as of June 30, 2013. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 83 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 1,017,782 | 15.2 | % | ||||
Consumer Staples | 763,360 | 11.4 | ||||||
Energy | 80,698 | 1.2 | ||||||
Financials | 2,402,221 | 36.0 | ||||||
Health Care | 604,308 | 9.0 | ||||||
Industrials | 708,612 | 10.6 | ||||||
Information Technology | 260,114 | 4.0 | ||||||
Materials | 200,269 | 3.0 | ||||||
Mutual Fund | 56,978 | 0.9 | ||||||
Telecommunication Services | 316,420 | 4.7 | ||||||
Utilities | 201,820 | 3.0 | ||||||
Money Market Funds | 58,493 | 0.8 | ||||||
|
|
|
| |||||
Total Investments | 6,671,075 | 99.8 | ||||||
Other Assets in Excess of Liabilities | 12,946 | 0.2 | ||||||
|
|
|
| |||||
Net Assets | $ | 6,684,021 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
84 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR CORE EQUITY FUND |
COMMON STOCKS - 97.1% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 18.2% | ||||||||
Aaron’s, Inc. | 273 | $ | 7,647 | |||||
Abercrombie & Fitch Co., Class A | 409 | 18,507 | ||||||
AMC Networks, Inc., Class A † | 262 | 17,137 | ||||||
American Eagle Outfitters, Inc. | 625 | 11,412 | ||||||
Best Buy Co., Inc. | 913 | 24,952 | ||||||
Brunswick Corp. | 499 | 15,943 | ||||||
Buckle, Inc./The | 268 | 13,941 | ||||||
CBS Corp., Class B | 546 | 26,683 | ||||||
Chico’s FAS, Inc. | 1,086 | 18,527 | ||||||
Choice Hotels International, Inc. | 183 | 7,263 | ||||||
Cinemark Holdings, Inc. | 404 | 11,280 | ||||||
Comcast Corp., Class A | 2,819 | 118,060 | ||||||
CST Brands, Inc. † | 36 | 1,109 | ||||||
Dana Holding Corp. | 1,214 | 23,382 | ||||||
Dillard’s, Inc., Class A | 269 | 22,050 | ||||||
DIRECTV † | 625 | 38,513 | ||||||
DISH Network Corp., Class A | 331 | 14,074 | ||||||
Domino’s Pizza, Inc. | 240 | 13,956 | ||||||
DR Horton, Inc. | 1,367 | 29,090 | ||||||
DSW, Inc., Class A | 75 | 5,510 | ||||||
Expedia, Inc. | 363 | 21,834 | ||||||
Fifth & Pacific Cos., Inc. † | 549 | 12,265 | ||||||
Foot Locker, Inc. | 161 | 5,656 | ||||||
Ford Motor Co. | 3,123 | 48,313 | ||||||
Fossil Group, Inc. † | 76 | 7,852 | ||||||
GameStop Corp., Class A | 760 | 31,943 | ||||||
Gannett Co., Inc. | 1,112 | 27,200 | ||||||
Gap, Inc./The | 1,228 | 51,244 | ||||||
General Motors Co. † | 2,782 | 92,668 | ||||||
Goodyear Tire & Rubber Co./The † | 1,291 | 19,739 | ||||||
H&R Block, Inc. | 603 | 16,733 | ||||||
Hanesbrands, Inc. | 693 | 35,634 | ||||||
Hasbro, Inc. | 407 | 18,246 | ||||||
Home Depot, Inc./The | 1,124 | 87,076 | ||||||
HSN, Inc. | 156 | 8,380 | ||||||
Jarden Corp. † | 406 | 17,763 | ||||||
Lear Corp. | 532 | 32,165 | ||||||
Leggett & Platt, Inc. | 536 | 16,664 | ||||||
Lennar Corp., Class A | 419 | 15,101 | ||||||
Live Nation Entertainment, Inc. † | 1,383 | 21,437 | ||||||
Lowe’s Cos., Inc. | 1,134 | 46,381 | ||||||
Macy’s, Inc. | 855 | 41,040 | ||||||
Mattel, Inc. | 894 | 40,507 | ||||||
Mohawk Industries, Inc. † | 197 | 22,161 | ||||||
Netflix, Inc. † | 112 | 23,642 | ||||||
Newell Rubbermaid, Inc. | 817 | 21,446 | ||||||
News Corp., Class A | 2,809 | 91,573 | ||||||
Penske Automotive Group, Inc. | 291 | 8,887 | ||||||
PetSmart, Inc. | 73 | 4,890 | ||||||
Pier 1 Imports, Inc. | 544 | 12,779 | ||||||
PulteGroup, Inc. † | 1,633 | 30,978 | ||||||
PVH Corp. | 147 | 18,382 | ||||||
Regal Entertainment Group, Class A | 553 | 9,899 | ||||||
Scripps Networks Interactive, Inc., Class A | 79 | 5,274 | ||||||
Signet Jewelers Ltd. (Bermuda) | 284 | 19,150 | ||||||
Sirius XM Radio, Inc. | 4,839 | 16,211 | ||||||
Six Flags Entertainment Corp. | 222 | 7,806 | ||||||
Target Corp. | 908 | 62,525 |
SHARES | VALUE (Note 2) | |||||||
Consumer Discretionary - 18.2% (continued) | ||||||||
Tenneco, Inc. † | 396 | $ | 17,931 | |||||
Time Warner Cable, Inc. | 190 | 21,371 | ||||||
Time Warner, Inc. | 1,234 | 71,350 | ||||||
TRW Automotive Holdings Corp. † | 544 | 36,143 | ||||||
Tupperware Brands Corp. | 205 | 15,926 | ||||||
Urban Outfitters, Inc. † | 449 | 18,059 | ||||||
Viacom, Inc., Class B | 752 | 51,174 | ||||||
Visteon Corp. † | 126 | 7,953 | ||||||
Washington Post Co./The, Class B | 21 | 10,159 | ||||||
Whirlpool Corp. | 327 | 37,396 | ||||||
Williams-Sonoma, Inc. | 326 | 18,220 | ||||||
|
| |||||||
1,816,162 | ||||||||
|
| |||||||
Consumer Staples - 6.5% | ||||||||
Coca-Cola Enterprises, Inc. | 813 | 28,585 | ||||||
ConAgra Foods, Inc. | 438 | 15,299 | ||||||
Constellation Brands, Inc., Class A † | 279 | 14,541 | ||||||
CVS Caremark Corp. | 1,488 | 85,084 | ||||||
Dean Foods Co. † | 690 | 6,914 | ||||||
Energizer Holdings, Inc. | 308 | 30,957 | ||||||
Green Mountain Coffee Roasters, Inc. † | 384 | 28,823 | ||||||
Ingredion, Inc. | 267 | 17,521 | ||||||
Kroger Co./The | 935 | 32,295 | ||||||
Nu Skin Enterprises, Inc., Class A | 138 | 8,435 | ||||||
Pilgrim’s Pride Corp. † | 1,135 | 16,957 | ||||||
Rite Aid Corp. † | 3,478 | 9,947 | ||||||
Safeway, Inc. | 928 | 21,956 | ||||||
Tyson Foods, Inc., Class A | 1,330 | 34,154 | ||||||
Walgreen Co. | 1,359 | 60,068 | ||||||
Wal-Mart Stores, Inc. | 3,200 | 238,368 | ||||||
WhiteWave Foods Co., Class A † | 53 | 861 | ||||||
|
| |||||||
650,765 | ||||||||
|
| |||||||
Energy - 7.0% | ||||||||
Bristow Group, Inc. | 235 | 15,350 | ||||||
Chevron Corp. | 1,203 | 142,363 | ||||||
Cimarex Energy Co. | 114 | 7,409 | ||||||
CVR Energy, Inc. | 482 | 22,847 | ||||||
Delek US Holdings, Inc. | 545 | 15,685 | ||||||
Halliburton Co. | 878 | 36,630 | ||||||
Helmerich & Payne, Inc. | 452 | 28,227 | ||||||
Hess Corp. | 842 | 55,985 | ||||||
HollyFrontier Corp. | 625 | 26,738 | ||||||
Marathon Oil Corp. | 1,705 | 58,959 | ||||||
Marathon Petroleum Corp. | 804 | 57,132 | ||||||
Murphy Oil Corp. | 543 | 33,063 | ||||||
Oasis Petroleum, Inc. † | 460 | 17,880 | ||||||
Oil States International, Inc. † | 185 | 17,138 | ||||||
Patterson-UTI Energy, Inc. | 1,377 | 26,652 | ||||||
Phillips 66 | 251 | 14,787 | ||||||
RPC, Inc. | 1,477 | 20,397 | ||||||
Superior Energy Services, Inc. † | 660 | 17,120 | ||||||
Valero Energy Corp. | 1,563 | 54,346 | ||||||
Western Refining, Inc. | 684 | 19,200 | ||||||
WPX Energy, Inc. † | 490 | 9,281 | ||||||
|
| |||||||
697,189 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 85 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Financials - 30.8% | ||||||||
Aflac, Inc. | 964 | $ | 56,028 | |||||
Alleghany Corp. † | 26 | 9,966 | ||||||
Allstate Corp./The | 1,121 | 53,942 | ||||||
American Capital Ltd. † | 1,510 | 19,132 | ||||||
American Financial Group, Inc. | 402 | 19,662 | ||||||
American International Group, Inc. † | 2,858 | 127,753 | ||||||
American National Insurance Co. | 103 | 10,245 | ||||||
Amtrust Financial Services, Inc. | 384 | 13,709 | ||||||
Arch Capital Group Ltd. (Bermuda) † | 388 | 19,947 | ||||||
Ares Capital Corp. | 1,032 | 17,750 | ||||||
Aspen Insurance Holdings Ltd. (Bermuda) | 573 | 21,253 | ||||||
Assurant, Inc. | 376 | 19,142 | ||||||
Assured Guaranty Ltd. (Bermuda) | 355 | 7,831 | ||||||
Axis Capital Holdings Ltd. | 473 | 21,654 | ||||||
Bank of America Corp. | 16,712 | 214,916 | ||||||
Bank of New York Mellon Corp./The | 1,805 | 50,630 | ||||||
Berkshire Hathaway, Inc., Class B † | 1,578 | 176,610 | ||||||
Chubb Corp./The | 502 | 42,494 | ||||||
Cincinnati Financial Corp. | 372 | 17,075 | ||||||
Citigroup, Inc. | 4,646 | 222,869 | ||||||
CNA Financial Corp. | 537 | 17,517 | ||||||
CNO Financial Group, Inc. | 1,709 | 22,149 | ||||||
Comerica, Inc. | 322 | 12,825 | ||||||
Credit Acceptance Corp. † | 134 | 14,077 | ||||||
Discover Financial Services | 1,017 | 48,450 | ||||||
Everest Re Group Ltd. | 289 | 37,067 | ||||||
Federated Investors, Inc., Class B | 174 | 4,769 | ||||||
Fidelity National Financial, Inc., Class A | 1,408 | 33,524 | ||||||
Fifth Third Bancorp | 2,175 | 39,259 | ||||||
First American Financial Corp. | 793 | 17,478 | ||||||
Fulton Financial Corp. | 915 | 10,504 | ||||||
Genworth Financial, Inc., Class A † | 3,750 | 42,787 | ||||||
Goldman Sachs Group, Inc./The | 832 | 125,840 | ||||||
Hartford Financial Services Group, Inc. | 1,670 | 51,636 | ||||||
HCC Insurance Holdings, Inc. | 457 | 19,701 | ||||||
Huntington Bancshares, Inc. | 1,471 | 11,591 | ||||||
JPMorgan Chase & Co. | 5,155 | 272,132 | ||||||
KeyCorp | 2,266 | 25,017 | ||||||
Legg Mason, Inc. | 391 | 12,125 | ||||||
Lincoln National Corp. | 1,487 | 54,231 | ||||||
M&T Bank Corp. | 216 | 24,138 | ||||||
MBIA, Inc. † | 758 | 10,089 | ||||||
Medical Properties Trust, Inc. REIT | 789 | 11,298 | ||||||
MetLife, Inc. | 1,484 | 67,908 | ||||||
Morgan Stanley | 3,748 | 91,564 | ||||||
NASDAQ OMX Group, Inc./The | 646 | 21,182 | ||||||
Nationstar Mortgage Holdings, Inc. † | 486 | 18,196 | ||||||
Ocwen Financial Corp. † | 449 | 18,508 | ||||||
Old Republic International Corp. | 1,348 | 17,349 | ||||||
PartnerRe Ltd. (Bermuda) | 236 | 21,372 | ||||||
Principal Financial Group, Inc. | 1,003 | 37,562 | ||||||
ProAssurance Corp. | 161 | 8,398 | ||||||
Protective Life Corp. | 511 | 19,627 | ||||||
Prudential Financial, Inc. | 612 | 44,694 | ||||||
Raymond James Financial, Inc. | 224 | 9,628 | ||||||
Regions Financial Corp. | 4,320 | 41,170 | ||||||
Reinsurance Group of America, Inc. | 202 | 13,960 | ||||||
SLM Corp. | 1,697 | 38,793 |
SHARES | VALUE (Note 2) | |||||||
Financials - 30.8% (continued) | ||||||||
State Street Corp. | 965 | $ | 62,928 | |||||
SunTrust Banks, Inc. | 1,336 | 42,178 | ||||||
Susquehanna Bancshares, Inc. | 820 | 10,537 | ||||||
Synovus Financial Corp. | 6,947 | 20,285 | ||||||
Torchmark Corp. | 309 | 20,128 | ||||||
Travelers Cos., Inc./The | 717 | 57,303 | ||||||
Unum Group | 796 | 23,379 | ||||||
Validus Holdings Ltd. (Bermuda) | 525 | 18,963 | ||||||
Wells Fargo & Co. | 5,784 | 238,706 | ||||||
White Mountains Insurance Group Ltd. | 19 | 10,924 | ||||||
WR Berkley Corp. | 245 | 10,011 | ||||||
Zions Bancorp. | 632 | 18,252 | ||||||
|
| |||||||
3,064,317 | ||||||||
|
| |||||||
Health Care - 10.9% | ||||||||
Abbott Laboratories | 2,040 | 71,155 | ||||||
Aetna, Inc. | 574 | 36,472 | ||||||
AmerisourceBergen Corp. | 238 | 13,287 | ||||||
Amgen, Inc. | 855 | 84,354 | ||||||
Baxter International, Inc. | 555 | 38,445 | ||||||
Becton Dickinson and Co. | 165 | 16,307 | ||||||
Boston Scientific Corp. † | 2,533 | 23,481 | ||||||
CareFusion Corp. † | 870 | 32,059 | ||||||
Cigna Corp. | 670 | 48,568 | ||||||
Community Health Systems, Inc. | 477 | 22,362 | ||||||
Cooper Cos., Inc./The | 34 | 4,048 | ||||||
Eli Lilly & Co. | 1,423 | 69,898 | ||||||
Gilead Sciences, Inc. † | 370 | 18,948 | ||||||
HCA Holdings, Inc. | 1,389 | 50,087 | ||||||
Health Management Associates, Inc., Class A † | 2,278 | 35,810 | ||||||
Johnson & Johnson | 270 | 23,182 | ||||||
LifePoint Hospitals, Inc. † | 288 | 14,066 | ||||||
Medtronic, Inc. | 1,376 | 70,823 | ||||||
Mylan, Inc. † | 754 | 23,397 | ||||||
Omnicare, Inc. | 172 | 8,206 | ||||||
Pfizer, Inc. | 5,475 | 153,355 | ||||||
ResMed, Inc. | 188 | 8,484 | ||||||
STERIS Corp. | 198 | 8,490 | ||||||
Stryker Corp. | 348 | 22,509 | ||||||
Team Health Holdings, Inc. † | 204 | 8,378 | ||||||
Tenet Healthcare Corp. † | 195 | 8,989 | ||||||
Thermo Fisher Scientific, Inc. | 558 | 47,224 | ||||||
United Therapeutics Corp. † | 284 | 18,693 | ||||||
Universal Health Services, Inc., Class B | 333 | 22,298 | ||||||
West Pharmaceutical Services, Inc. | 156 | 10,961 | ||||||
Zimmer Holdings, Inc. | 278 | 20,833 | ||||||
Zoetis, Inc. | 1,726 | 53,323 | ||||||
|
| |||||||
1,088,492 | ||||||||
|
| |||||||
Industrials - 9.4% | ||||||||
3M Co. | 366 | 40,022 | ||||||
A. O. Smith Corp. | 204 | 7,401 | ||||||
AECOM Technology Corp. † | 644 | 20,473 | ||||||
AGCO Corp. | 327 | 16,412 | ||||||
Alaska Air Group, Inc. † | 358 | 18,616 | ||||||
Alliant Techsystems, Inc. | 259 | 21,324 | ||||||
AMERCO | 113 | 18,295 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
86 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Industrials - 9.4% (continued) | ||||||||
Avery Dennison Corp. | 443 | $ | 18,943 | |||||
Avis Budget Group, Inc. † | 1,070 | 30,763 | ||||||
Carlisle Cos., Inc. | 289 | 18,008 | ||||||
Cintas Corp. | 292 | 13,298 | ||||||
Copa Holdings SA (Panama), Class A | 93 | 12,194 | ||||||
Crane Co. | 226 | 13,542 | ||||||
Cummins, Inc. | 96 | 10,412 | ||||||
Delta Air Lines, Inc. † | 2,443 | 45,709 | ||||||
Deluxe Corp. | 516 | 17,879 | ||||||
Dover Corp. | 454 | 35,258 | ||||||
Dun & Bradstreet Corp./The | 146 | 14,228 | ||||||
EMCOR Group, Inc. | 234 | 9,512 | ||||||
FedEx Corp. | 247 | 24,349 | ||||||
Flowserve Corp. | 357 | 19,282 | ||||||
Generac Holdings, Inc. | 488 | 18,061 | ||||||
Hertz Global Holdings, Inc. † | 1,404 | 34,819 | ||||||
Huntington Ingalls Industries, Inc. | 157 | 8,867 | ||||||
ITT Corp. | 443 | 13,029 | ||||||
Jacobs Engineering Group, Inc. † | 252 | 13,893 | ||||||
L-3 Communications Holdings, Inc. | 387 | 33,181 | ||||||
Lennox International, Inc. | 183 | 11,811 | ||||||
Lincoln Electric Holdings, Inc. | 75 | 4,295 | ||||||
Manitowoc Co., Inc./The | 533 | 9,546 | ||||||
Manpowergroup, Inc. | 303 | 16,604 | ||||||
MasTec, Inc. † | 556 | 18,292 | ||||||
Northrop Grumman Corp. | 550 | 45,540 | ||||||
Oshkosh Corp. † | 491 | 18,643 | ||||||
Pitney Bowes, Inc. | 552 | 8,103 | ||||||
Regal-Beloit Corp. | 121 | 7,846 | ||||||
Ryder System, Inc. | 286 | 17,386 | ||||||
Snap-on, Inc. | 219 | 19,574 | ||||||
Southwest Airlines Co. | 2,847 | 36,698 | ||||||
Swift Transportation Co. † | 611 | 10,106 | ||||||
Terex Corp. † | 995 | 26,169 | ||||||
Textainer Group Holdings Ltd. | 298 | 11,455 | ||||||
Timken Co. | 260 | 14,633 | ||||||
Toro Co./The | 176 | 7,992 | ||||||
Trinity Industries, Inc. | 457 | 17,567 | ||||||
Triumph Group, Inc. | 183 | 14,484 | ||||||
United Continental Holdings, Inc. † | 791 | 24,750 | ||||||
United Rentals, Inc. † | 341 | 17,019 | ||||||
URS Corp. | 165 | 7,791 | ||||||
Valmont Industries, Inc. | 109 | 15,597 | ||||||
WESCO International, Inc. † | 142 | 9,650 | ||||||
|
| |||||||
939,321 | ||||||||
|
| |||||||
Information Technology - 9.8% | ||||||||
Activision Blizzard, Inc. | 2,453 | 34,980 | ||||||
Amdocs Ltd. | 572 | 21,216 | ||||||
AOL, Inc. † | 555 | 20,246 | ||||||
Aruba Networks, Inc. † | 536 | 8,233 | ||||||
Brocade Communications Systems, Inc. † | 3,078 | 17,729 | ||||||
Cadence Design Systems, Inc. † | 1,184 | 17,144 | ||||||
Cisco Systems, Inc. | 7,660 | 186,215 | ||||||
Computer Sciences Corp. | 503 | 22,016 | ||||||
CoreLogic, Inc. † | 713 | 16,520 | ||||||
Corning, Inc. | 739 | 10,516 | ||||||
EchoStar Corp., Class A † | 456 | 17,834 |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 9.8% (continued) | ||||||||
First Solar, Inc. † | 886 | $ | 39,631 | |||||
Freescale Semiconductor Ltd. (Bermuda) † | 505 | 6,843 | ||||||
Google, Inc., Class A † | 101 | 88,917 | ||||||
Harris Corp. | 354 | 17,435 | ||||||
Hewlett-Packard Co. | 1,273 | 31,570 | ||||||
KLA-Tencor Corp. | 103 | 5,740 | ||||||
Micron Technology, Inc. † | 2,917 | 41,801 | ||||||
Motorola Solutions, Inc. | 108 | 6,235 | ||||||
NetApp, Inc. † | 254 | 9,596 | ||||||
NeuStar, Inc., Class A † | 348 | 16,941 | ||||||
Oracle Corp. | 3,253 | 99,932 | ||||||
SAIC, Inc. | 538 | 7,494 | ||||||
SanDisk Corp. † | 521 | 31,833 | ||||||
Symantec Corp. | 1,853 | 41,637 | ||||||
Teradyne, Inc. † | 736 | 12,932 | ||||||
Western Digital Corp. | 703 | 43,649 | ||||||
Xerox Corp. | 3,953 | 35,854 | ||||||
Yahoo!, Inc. † | 1,967 | 49,391 | ||||||
Zebra Technologies Corp., Class A † | 240 | 10,426 | ||||||
|
| |||||||
970,506 | ||||||||
|
| |||||||
Materials - 3.6% | ||||||||
Ashland, Inc. | 54 | 4,509 | ||||||
Axiall Corp. | 566 | 24,100 | ||||||
CF Industries Holdings, Inc. | 131 | 22,467 | ||||||
Chemtura Corp. † | 457 | 9,277 | ||||||
Eastman Chemical Co. | 311 | 21,773 | ||||||
Graphic Packaging Holding Co. † | 2,256 | 17,461 | ||||||
Huntsman Corp. | 1,049 | 17,371 | ||||||
International Paper Co. | 979 | 43,380 | ||||||
Louisiana-Pacific Corp. † | 503 | 7,439 | ||||||
NewMarket Corp. | 40 | 10,502 | ||||||
Packaging Corp. of America | 380 | 18,605 | ||||||
PPG Industries, Inc. | 280 | 40,995 | ||||||
Reliance Steel & Aluminum Co. | 316 | 20,717 | ||||||
Rock Tenn Co., Class A | 222 | 22,173 | ||||||
Sherwin-Williams Co./The | 94 | 16,600 | ||||||
Steel Dynamics, Inc. | 516 | 7,694 | ||||||
Valspar Corp./The | 188 | 12,158 | ||||||
Westlake Chemical Corp. | 244 | 23,524 | ||||||
WR Grace & Co. † | 237 | 19,918 | ||||||
|
| |||||||
360,663 | ||||||||
|
| |||||||
Telecommunication Services - 0.7% | ||||||||
AT&T, Inc. | 1,905 | 67,437 | ||||||
|
| |||||||
Utilities - 0.2% | ||||||||
Portland General Electric Co. | 195 | 5,965 | ||||||
UGI Corp. | 220 | 8,604 | ||||||
|
| |||||||
14,569 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 9,669,421 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.6% | ||||||||
SPDR S&P 500 ETF Trust | 359 | 57,444 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 87 | |||||||||||||
Schedules of Investments | June 30, 2013 (Unaudited) |
AQR CORE EQUITY FUND |
MONEY MARKET FUNDS - 1.0% | SHARES | VALUE (Note 2) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a) | ||||||||
(cost $101,514) | 101,514 | $ | 101,514 | |||||
|
| |||||||
TOTAL INVESTMENTS - 98.7% | 9,828,379 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3% | 128,661 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 9,957,040 | ||||||
|
|
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, 2013. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
88 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP CORE EQUITY FUND |
COMMON STOCKS - 99.1% | SHARES | VALUE (Note 2) | ||||||
Consumer Discretionary - 24.3% | ||||||||
1-800-Flowers.com, Inc., Class A † | 911 | $ | 5,639 | |||||
AFC Enterprises, Inc. † | 93 | 3,342 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 652 | 12,147 | ||||||
American Greetings Corp., Class A | 342 | 6,231 | ||||||
ANN, Inc. † | 381 | 12,649 | ||||||
Asbury Automotive Group, Inc. † | 180 | 7,218 | ||||||
Ascent Capital Group, Inc., Class A † | 88 | 6,870 | ||||||
Big 5 Sporting Goods Corp. | 455 | 9,987 | ||||||
Big Lots, Inc. † | 86 | 2,712 | ||||||
Bon-Ton Stores, Inc./The | 362 | 6,534 | ||||||
Bridgepoint Education, Inc. † | 438 | 5,335 | ||||||
Brown Shoe Co., Inc. | 411 | 8,849 | ||||||
Caesars Entertainment Corp. † | 272 | 3,726 | ||||||
Callaway Golf Co. | 740 | 4,869 | ||||||
Capella Education Co. † | 130 | 5,414 | ||||||
Career Education Corp. † | 1,158 | 3,358 | ||||||
Cato Corp./The, Class A | 231 | 5,766 | ||||||
Children’s Place Retail Stores, Inc./The † | 162 | 8,878 | ||||||
Christopher & Banks Corp. † | 628 | 4,233 | ||||||
Columbia Sportswear Co. | 77 | 4,824 | ||||||
Conn’s, Inc. † | 259 | 13,406 | ||||||
Corinthian Colleges, Inc. † | 1,230 | 2,755 | ||||||
Cracker Barrel Old Country Store, Inc. | 137 | 12,968 | ||||||
Crocs, Inc. † | 172 | 2,838 | ||||||
CSS Industries, Inc. | 140 | 3,490 | ||||||
Denny’s Corp. † | 799 | 4,490 | ||||||
Destination Maternity Corp. | 213 | 5,240 | ||||||
Destination XL Group, Inc. † | 934 | 5,922 | ||||||
DeVry, Inc. | 409 | 12,687 | ||||||
Dex Media, Inc. † | 887 | 15,585 | ||||||
Drew Industries, Inc. | 166 | 6,527 | ||||||
Einstein Noah Restaurant Group, Inc. | 302 | 4,288 | ||||||
Entravision Communications Corp., Class A | 1,213 | 7,460 | ||||||
EW Scripps Co., Class A † | 521 | 8,117 | ||||||
Express, Inc. † | 132 | 2,768 | ||||||
G-III Apparel Group Ltd. † | 237 | 11,404 | ||||||
Grand Canyon Education, Inc. † | 324 | 10,443 | ||||||
Gray Television, Inc. † | 1,054 | 7,589 | ||||||
Group 1 Automotive, Inc. | 135 | 8,685 | ||||||
Haverty Furniture Cos., Inc. | 275 | 6,328 | ||||||
hhgregg, Inc. † | 544 | 8,688 | ||||||
Iconix Brand Group, Inc. † | 479 | 14,087 | ||||||
Jamba, Inc. † | 175 | 2,619 | ||||||
Joe’s Jeans, Inc. † | 1,955 | 3,206 | ||||||
Jones Group, Inc./The | 751 | 10,326 | ||||||
Journal Communications, Inc., Class A † | 751 | 5,625 | ||||||
La-Z-Boy, Inc. | 138 | 2,797 | ||||||
LeapFrog Enterprises, Inc. † | 702 | 6,908 | ||||||
LIN TV Corp., Class A † | 596 | 9,119 | ||||||
Lithia Motors, Inc., Class A | 179 | 9,542 | ||||||
Lumber Liquidators Holdings, Inc. † | 110 | 8,566 | ||||||
McClatchy Co./The, Class A † | 990 | 2,257 | ||||||
Men’s Wearhouse, Inc./The | 268 | 10,144 | ||||||
Meredith Corp. | 327 | 15,598 | ||||||
Monarch Casino & Resort, Inc. † | 171 | 2,883 | ||||||
Movado Group, Inc. | 192 | 6,495 | ||||||
Multimedia Games Holding Co., Inc. † | 385 | 10,037 |
SHARES | VALUE (Note 2) | |||||||
Consumer Discretionary - 24.3% (continued) | ||||||||
NACCO Industries, Inc., Class A | 107 | $ | 6,129 | |||||
Nautilus, Inc. † | 896 | 7,786 | ||||||
New York Times Co./The, Class A † | 1,207 | 13,349 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 335 | 11,879 | ||||||
Orbitz Worldwide, Inc. † | 1,294 | 10,391 | ||||||
Overstock.com, Inc. † | 424 | 11,957 | ||||||
Pacific Sunwear of California, Inc. † | 1,621 | 5,917 | ||||||
Papa John’s International, Inc. † | 87 | 5,687 | ||||||
Perry Ellis International, Inc. | 218 | 4,428 | ||||||
PetMed Express, Inc. | 512 | 6,451 | ||||||
Pinnacle Entertainment, Inc. † | 208 | 4,091 | ||||||
Quiksilver, Inc. † | 1,454 | 9,364 | ||||||
ReachLocal, Inc. † | 328 | 4,021 | ||||||
Ruth’s Hospitality Group, Inc. | 429 | 5,178 | ||||||
Scholastic Corp. | 248 | 7,264 | ||||||
Shoe Carnival, Inc. | 236 | 5,666 | ||||||
Shutterfly, Inc. † | 79 | 4,407 | ||||||
Sinclair Broadcast Group, Inc., Class A | 541 | 15,895 | ||||||
Skechers U.S.A., Inc., Class A † | 362 | 8,692 | ||||||
Smith & Wesson Holding Corp. † | 674 | 6,727 | ||||||
Sonic Automotive, Inc., Class A | 436 | 9,217 | ||||||
Sonic Corp. † | 404 | 5,882 | ||||||
Stage Stores, Inc. | 161 | 3,784 | ||||||
Standard Motor Products, Inc. | 311 | 10,680 | ||||||
Stein Mart, Inc. | 472 | 6,443 | ||||||
Stoneridge, Inc. † | 245 | 2,852 | ||||||
Sturm, Ruger & Co., Inc. | 126 | 6,053 | ||||||
Superior Industries International, Inc. | 254 | 4,371 | ||||||
Thor Industries, Inc. | 65 | 3,197 | ||||||
Tower International, Inc. † | 149 | 2,949 | ||||||
Tuesday Morning Corp. † | 627 | 6,502 | ||||||
Unifi, Inc. † | 281 | 5,808 | ||||||
Universal Electronics, Inc. † | 259 | 7,286 | ||||||
Valassis Communications, Inc. | 258 | 6,344 | ||||||
Valuevision Media, Inc., Class A † | 931 | 4,757 | ||||||
VOXX International Corp. † | 223 | 2,736 | ||||||
Winnebago Industries, Inc. † | 332 | 6,969 | ||||||
Zale Corp. † | 1,060 | 9,646 | ||||||
|
| |||||||
671,223 | ||||||||
|
| |||||||
Consumer Staples - 3.6% | ||||||||
Chiquita Brands International, Inc. † | 277 | 3,025 | ||||||
Dean Foods Co. † | 269 | 2,695 | ||||||
Female Health Co./The | 431 | 4,250 | ||||||
Fresh Del Monte Produce, Inc. | 411 | 11,459 | ||||||
Harbinger Group, Inc. † | 1,009 | 7,608 | ||||||
Ingles Markets, Inc., Class A | 149 | 3,762 | ||||||
Inter Parfums, Inc. | 270 | 7,700 | ||||||
Medifast, Inc. † | 238 | 6,131 | ||||||
Omega Protein Corp. † | 546 | 4,903 | ||||||
Prestige Brands Holdings, Inc. † | 109 | 3,176 | ||||||
Revlon, Inc., Class A † | 292 | 6,442 | ||||||
Rite Aid Corp. † | 4,285 | 12,255 | ||||||
Seneca Foods Corp., Class A † | 38 | 1,166 | ||||||
SUPERVALU, Inc. † | 590 | 3,670 | ||||||
Universal Corp. | 200 | 11,570 | ||||||
USANA Health Sciences, Inc. † | 132 | 9,554 | ||||||
|
| |||||||
99,366 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 89 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Energy - 3.5% | ||||||||
Alon USA Energy, Inc. | 401 | $ | 5,799 | |||||
Basic Energy Services, Inc. † | 279 | 3,373 | ||||||
Bonanza Creek Energy, Inc. † | 274 | 9,716 | ||||||
C&J Energy Services, Inc. † | 351 | 6,799 | ||||||
Cloud Peak Energy, Inc. † | 178 | 2,933 | ||||||
Dawson Geophysical Co. † | 74 | 2,728 | ||||||
Delek US Holdings, Inc. | 114 | 3,281 | ||||||
EPL Oil & Gas, Inc. † | 345 | 10,129 | ||||||
Exterran Holdings, Inc. † | 540 | 15,185 | ||||||
Geospace Technologies Corp. † | 67 | 4,628 | ||||||
Green Plains Renewable Energy, Inc. † | 319 | 4,249 | ||||||
Hercules Offshore, Inc. † | 898 | 6,322 | ||||||
Newpark Resources, Inc. † | 1,111 | 12,210 | ||||||
Renewable Energy Group, Inc. † | 378 | 5,379 | ||||||
Warren Resources, Inc. † | 1,920 | 4,896 | ||||||
|
| |||||||
97,627 | ||||||||
|
| |||||||
Financials - 22.3% | ||||||||
American Equity Investment Life Holding Co. | 783 | 12,293 | ||||||
Amtrust Financial Services, Inc. | 77 | 2,749 | ||||||
Apollo Investment Corp. | 1,103 | 8,537 | ||||||
Argo Group International Holdings Ltd. (Bermuda) | 207 | 8,766 | ||||||
Arlington Asset Investment Corp., Class A | 224 | 5,990 | ||||||
Ashford Hospitality Trust, Inc. REIT | 776 | 8,885 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 383 | 8,575 | ||||||
Banner Corp. | 272 | 9,191 | ||||||
BBCN Bancorp, Inc. | 501 | 7,124 | ||||||
BlackRock Kelso Capital Corp. | 532 | 4,980 | ||||||
BofI Holding, Inc. † | 149 | 6,827 | ||||||
C&F Financial Corp. | 51 | 2,842 | ||||||
Capital Southwest Corp. | 20 | 2,757 | ||||||
CapitalSource, Inc. | 1,344 | 12,607 | ||||||
Cardinal Financial Corp. | 327 | 4,787 | ||||||
Chemical Financial Corp. | 178 | 4,626 | ||||||
Community Trust Bancorp, Inc. | 134 | 4,773 | ||||||
Cowen Group, Inc., Class A † | 1,305 | 3,784 | ||||||
DFC Global Corp. † | 90 | 1,243 | ||||||
Eagle Bancorp, Inc. † | 220 | 4,924 | ||||||
Employers Holdings, Inc. | 267 | 6,528 | ||||||
Encore Capital Group, Inc. † | 297 | 9,834 | ||||||
Endurance Specialty Holdings Ltd. (Bermuda) | 285 | 14,663 | ||||||
FBL Financial Group, Inc., Class A | 234 | 10,181 | ||||||
FBR & Co. † | 166 | 4,193 | ||||||
Federal Agricultural Mortgage Corp., Class C | 148 | 4,274 | ||||||
Fifth Street Finance Corp. | 434 | 4,535 | ||||||
First Citizens BancShares, Inc., Class A | 47 | 9,026 | ||||||
First Interstate Bancsystem, Inc. | 533 | 11,049 | ||||||
First Merchants Corp. | 327 | 5,608 | ||||||
First Midwest Bancorp, Inc. | 393 | 5,392 | ||||||
Flagstar Bancorp, Inc. † | 717 | 10,009 | ||||||
Flushing Financial Corp. | 290 | 4,771 | ||||||
Hanmi Financial Corp. † | 380 | 6,715 | ||||||
Hanover Insurance Group, Inc./The | 56 | 2,740 | ||||||
HCI Group, Inc. | 212 | 6,513 | ||||||
Heartland Financial USA, Inc. | 197 | 5,416 | ||||||
Hilltop Holdings, Inc. † | 599 | 9,824 |
SHARES | VALUE (Note 2) | |||||||
Financials - 22.3% (continued) | ||||||||
HomeStreet, Inc. | 341 | $ | 7,314 | |||||
Horace Mann Educators Corp. | 441 | 10,752 | ||||||
Investment Technology Group, Inc. † | 192 | 2,684 | ||||||
KCAP Financial, Inc. | 701 | 7,893 | ||||||
Lakeland Bancorp, Inc. | 338 | 3,525 | ||||||
Maiden Holdings Ltd. (Bermuda) | 824 | 9,245 | ||||||
Main Street Capital Corp. | 187 | 5,178 | ||||||
MBIA, Inc. † | 1,150 | 15,307 | ||||||
Medallion Financial Corp. | 295 | 4,103 | ||||||
MGIC Investment Corp. † | 1,484 | 9,008 | ||||||
Montpelier Re Holdings Ltd. (Bermuda) | 460 | 11,505 | ||||||
National Western Life Insurance Co., Class A | 18 | 3,417 | ||||||
Navigators Group, Inc./The † | 106 | 6,046 | ||||||
Nelnet, Inc., Class A | 351 | 12,668 | ||||||
New Mountain Finance Corp. | 591 | 8,369 | ||||||
NGP Capital Resources Co. | 487 | 2,985 | ||||||
PennantPark Investment Corp. | 511 | 5,647 | ||||||
PHH Corp. † | 397 | 8,091 | ||||||
Phoenix Cos., Inc./The † | 63 | 2,709 | ||||||
Piper Jaffray Cos. † | 250 | 7,903 | ||||||
Platinum Underwriters Holdings Ltd. (Bermuda) | 203 | 11,616 | ||||||
Primerica, Inc. | 480 | 17,971 | ||||||
Provident Financial Holdings, Inc. | 289 | 4,589 | ||||||
Radian Group, Inc. | 634 | 7,367 | ||||||
RAIT Financial Trust REIT | 651 | 4,896 | ||||||
Renasant Corp. | 209 | 5,087 | ||||||
Safety Insurance Group, Inc. | 125 | 6,064 | ||||||
Selective Insurance Group, Inc. | 222 | 5,110 | ||||||
Solar Capital Ltd. | 310 | 7,158 | ||||||
StanCorp Financial Group, Inc. | 342 | 16,898 | ||||||
Sterling Financial Corp. | 485 | 11,533 | ||||||
Stewart Information Services Corp. | 257 | 6,731 | ||||||
Symetra Financial Corp. | 1,136 | 18,165 | ||||||
Synovus Financial Corp. | 970 | 2,832 | ||||||
Taylor Capital Group, Inc. † | 315 | 5,320 | ||||||
Texas Capital Bancshares, Inc. † | 162 | 7,186 | ||||||
THL Credit, Inc. | 300 | 4,557 | ||||||
TICC Capital Corp. | 559 | 5,378 | ||||||
Triangle Capital Corp. | 304 | 8,363 | ||||||
Union First Market Bankshares Corp. | 269 | 5,539 | ||||||
United Fire Group, Inc. | 223 | 5,537 | ||||||
Walter Investment Management Corp. † | 271 | 9,163 | ||||||
Webster Financial Corp. | 120 | 3,082 | ||||||
WesBanco, Inc. | 242 | 6,396 | ||||||
Western Alliance Bancorp † | 511 | 8,089 | ||||||
Wilshire Bancorp, Inc. | 833 | 5,514 | ||||||
World Acceptance Corp. † | 117 | 10,172 | ||||||
WSFS Financial Corp. | 88 | 4,610 | ||||||
|
| |||||||
616,803 | ||||||||
|
| |||||||
Health Care - 6.6% | ||||||||
Addus HomeCare Corp. † | 382 | 7,541 | ||||||
Air Methods Corp. | 96 | 3,252 | ||||||
Albany Molecular Research, Inc. † | 360 | 4,273 | ||||||
Alere, Inc. † | 201 | 4,924 | ||||||
AMN Healthcare Services, Inc. † | 561 | 8,034 | ||||||
Auxilium Pharmaceuticals, Inc. † | 165 | 2,744 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
90 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Health Care - 6.6% (continued) | ||||||||
BioDelivery Sciences International, Inc. † | 814 | $ | 3,305 | |||||
Bio-Reference Labs, Inc. † | 290 | 8,338 | ||||||
Cambrex Corp. † | 412 | 5,756 | ||||||
Cardiovascular Systems, Inc. † | 131 | 2,777 | ||||||
Chemed Corp. | 41 | 2,970 | ||||||
Emergent Biosolutions, Inc. † | 135 | 1,947 | ||||||
Endocyte, Inc. † | 464 | 6,092 | ||||||
Five Star Quality Care, Inc. † | 712 | 3,994 | ||||||
Gentiva Health Services, Inc. † | 713 | 7,101 | ||||||
Greatbatch, Inc. † | 81 | 2,656 | ||||||
Hi-Tech Pharmacal Co., Inc. | 117 | 3,884 | ||||||
ICU Medical, Inc. † | 100 | 7,206 | ||||||
Kindred Healthcare, Inc. † | 681 | 8,942 | ||||||
LHC Group, Inc. † | 223 | 4,366 | ||||||
Magellan Health Services, Inc. † | 191 | 10,711 | ||||||
MedAssets, Inc. † | 509 | 9,030 | ||||||
Medical Action Industries, Inc. † | 416 | 3,203 | ||||||
Molina Healthcare, Inc. † | 321 | 11,935 | ||||||
PDL BioPharma, Inc. | 1,120 | 8,646 | ||||||
PharMerica Corp. † | 511 | 7,082 | ||||||
Providence Service Corp./The † | 218 | 6,342 | ||||||
Repligen Corp. † | 347 | 2,859 | ||||||
Santarus, Inc. † | 531 | 11,178 | ||||||
SciClone Pharmaceuticals, Inc. † | 680 | 3,373 | ||||||
Select Medical Holdings Corp. | 608 | 4,986 | ||||||
Vascular Solutions, Inc. † | 227 | 3,339 | ||||||
|
| |||||||
182,786 | ||||||||
|
| |||||||
Industrials - 15.7% | ||||||||
AAR Corp. | 376 | 8,264 | ||||||
Aegion Corp. † | 375 | 8,441 | ||||||
Alamo Group, Inc. | 124 | 5,062 | ||||||
Albany International Corp., Class A | 81 | 2,671 | ||||||
Allegiant Travel Co. | 76 | 8,055 | ||||||
Altra Holdings, Inc. | 169 | 4,627 | ||||||
American Railcar Industries, Inc. | 242 | 8,109 | ||||||
Arkansas Best Corp. | 146 | 3,351 | ||||||
AZZ, Inc. | 145 | 5,591 | ||||||
Barrett Business Services, Inc. | 87 | 4,542 | ||||||
Brink’s Co./The | 165 | 4,209 | ||||||
CAI International, Inc. † | 201 | 4,738 | ||||||
Celadon Group, Inc. | 184 | 3,358 | ||||||
CIRCOR International, Inc. | 123 | 6,256 | ||||||
Coleman Cable, Inc. | 360 | 6,502 | ||||||
Columbus McKinnon Corp. † | 368 | 7,846 | ||||||
Consolidated Graphics, Inc. † | 123 | 5,782 | ||||||
Deluxe Corp. | 80 | 2,772 | ||||||
Ducommun, Inc. † | 350 | 7,441 | ||||||
DXP Enterprises, Inc. † | 71 | 4,729 | ||||||
EnerNOC, Inc. † | 490 | 6,497 | ||||||
EnerSys, Inc. | 363 | 17,802 | ||||||
Erickson Air-Crane, Inc. † | 143 | 2,690 | ||||||
G&K Services, Inc., Class A | 128 | 6,093 | ||||||
GenCorp, Inc. † | 480 | 7,805 | ||||||
Gibraltar Industries, Inc. † | 192 | 2,796 | ||||||
H&E Equipment Services, Inc. | 258 | 5,436 | ||||||
Hardinge, Inc. | 269 | 3,976 | ||||||
Hawaiian Holdings, Inc. † | 723 | 4,418 |
SHARES | VALUE (Note 2) | |||||||
Industrials - 15.7% (continued) | ||||||||
HNI Corp. | 213 | $ | 7,683 | |||||
ICF International, Inc. † | 274 | 8,634 | ||||||
Intersections, Inc. | 316 | 2,771 | ||||||
JetBlue Airways Corp. † | 1,604 | 10,105 | ||||||
John Bean Technologies Corp. | 230 | 4,832 | ||||||
Kadant, Inc. | 170 | 5,129 | ||||||
Kelly Services, Inc., Class A | 467 | 8,158 | ||||||
Kforce, Inc. | 264 | 3,854 | ||||||
Kimball International, Inc., Class B | 564 | 5,476 | ||||||
LB Foster Co., Class A | 116 | 5,008 | ||||||
Lindsay Corp. | 55 | 4,124 | ||||||
Lydall, Inc. † | 307 | 4,482 | ||||||
Manitex International, Inc. † | 277 | 3,033 | ||||||
MYR Group, Inc. † | 222 | 4,318 | ||||||
National Presto Industries, Inc. | 55 | 3,962 | ||||||
Nortek, Inc. † | 91 | 5,863 | ||||||
Northwest Pipe Co. † | 94 | 2,623 | ||||||
Orbital Sciences Corp. † | 379 | 6,583 | ||||||
Orion Marine Group, Inc. † | 241 | 2,914 | ||||||
Park-Ohio Holdings Corp. † | 123 | 4,057 | ||||||
Patrick Industries, Inc. † | 306 | 6,362 | ||||||
PGT, Inc. † | 557 | 4,829 | ||||||
Pike Electric Corp. | 589 | 7,245 | ||||||
Powell Industries, Inc. † | 103 | 5,320 | ||||||
Quad/Graphics, Inc. | 465 | 11,206 | ||||||
Republic Airways Holdings, Inc. † | 543 | 6,152 | ||||||
RR Donnelley & Sons Co. | 602 | 8,434 | ||||||
Rush Enterprises, Inc., Class A † | 340 | 8,415 | ||||||
Saia, Inc. † | 249 | 7,463 | ||||||
SkyWest, Inc. | 427 | 5,782 | ||||||
Standex International Corp. | 106 | 5,592 | ||||||
Steelcase, Inc., Class A | 918 | 13,384 | ||||||
Swift Transportation Co. † | 404 | 6,682 | ||||||
TAL International Group, Inc. † | 197 | 8,583 | ||||||
Taser International, Inc. † | 539 | 4,592 | ||||||
TMS International Corp., Class A | 192 | 2,847 | ||||||
Tutor Perini Corp. † | 464 | 8,394 | ||||||
UniFirst Corp. | 143 | 13,049 | ||||||
United Stationers, Inc. | 304 | 10,199 | ||||||
Viad Corp. | 197 | 4,830 | ||||||
Wabash National Corp. † | 404 | 4,113 | ||||||
YRC Worldwide, Inc. † | 299 | 8,596 | ||||||
|
| |||||||
435,537 | ||||||||
|
| |||||||
Information Technology - 15.3% | ||||||||
Advanced Energy Industries, Inc. † | 346 | 6,024 | ||||||
Alliance Fiber Optic Products, Inc. | 136 | 2,721 | ||||||
ATMI, Inc. † | 239 | 5,652 | ||||||
Axcelis Technologies, Inc. † | 1,514 | 2,756 | ||||||
Benchmark Electronics, Inc. † | 501 | 10,070 | ||||||
Blucora, Inc. † | 316 | 5,859 | ||||||
Booz Allen Hamilton Holding Corp. | 959 | 16,667 | ||||||
CACI International, Inc., Class A † | 173 | 10,984 | ||||||
CalAmp Corp. † | 412 | 6,015 | ||||||
Checkpoint Systems, Inc. † | 564 | 8,003 | ||||||
Computer Task Group, Inc. | 116 | 2,665 | ||||||
Concurrent Computer Corp. | 330 | 2,525 | ||||||
Convergys Corp. | 545 | 9,499 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 91 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Information Technology - 15.3% (continued) | ||||||||
Cray, Inc. † | 256 | $ | 5,028 | |||||
CSG Systems International, Inc. † | 441 | 9,570 | ||||||
Daktronic, Inc. | 420 | 4,309 | ||||||
Electronics for Imaging, Inc. † | 390 | 11,033 | ||||||
Ellie Mae, Inc. † | 114 | 2,631 | ||||||
Entegris, Inc. † | 780 | 7,324 | ||||||
EPIQ Systems, Inc. | 295 | 3,974 | ||||||
ePlus, Inc. | 87 | 5,210 | ||||||
Global Cash Access Holdings, Inc. † | 593 | 3,712 | ||||||
Harmonic, Inc. † | 1,413 | 8,973 | ||||||
Hutchinson Technology, Inc. † | 1,699 | 8,036 | ||||||
Insight Enterprises, Inc. † | 158 | 2,803 | ||||||
InterDigital, Inc. | 268 | 11,966 | ||||||
IntraLinks Holdings, Inc. † | 547 | 3,971 | ||||||
Ixia † | 333 | 6,127 | ||||||
j2 Global, Inc. | 268 | 11,393 | ||||||
Kulicke & Soffa Industries, Inc. † | 821 | 9,080 | ||||||
Lexmark International, Inc., Class A | 270 | 8,254 | ||||||
ManTech International Corp., Class A | 108 | 2,821 | ||||||
Mentor Graphics Corp. | 733 | 14,330 | ||||||
Methode Electronics, Inc. | 388 | 6,600 | ||||||
MoneyGram International, Inc. † | 307 | 6,954 | ||||||
Monotype Imaging Holdings, Inc. | 91 | 2,312 | ||||||
Netscout Systems, Inc. † | 255 | 5,952 | ||||||
NetSol Technologies, Inc. † | 325 | 3,270 | ||||||
Newport Corp. † | 267 | 3,719 | ||||||
Novatel Wireless, Inc. † | 715 | 2,824 | ||||||
PC Connection, Inc. | 327 | 5,052 | ||||||
PDF Solutions, Inc. † | 133 | 2,451 | ||||||
Photronics, Inc. † | 612 | 4,933 | ||||||
Plantronics, Inc. | 238 | 10,453 | ||||||
Polycom, Inc. † | 759 | 8,000 | ||||||
Rosetta Stone, Inc. † | 257 | 3,788 | ||||||
Rudolph Technologies, Inc. † | 352 | 3,942 | ||||||
Sanmina Corp. † | 708 | 10,160 | ||||||
Seachange International, Inc. † | 228 | 2,670 | ||||||
Sigma Designs, Inc. † | 567 | 2,863 | ||||||
Silicon Graphics International Corp. † | 385 | 5,151 | ||||||
Spansion, Inc., Class A † | 419 | 5,246 | ||||||
SunPower Corp. † | 487 | 10,081 | ||||||
Sykes Enterprises, Inc. † | 339 | 5,343 | ||||||
Synaptics, Inc. † | 224 | 8,638 | ||||||
SYNNEX Corp. † | 70 | 2,960 | ||||||
Take-Two Interactive Software, Inc. † | 190 | 2,844 | ||||||
Telenav, Inc. † | 649 | 3,394 | ||||||
TeleTech Holdings, Inc. † | 354 | 8,294 | ||||||
Ultratech, Inc. † | 175 | 6,426 | ||||||
Unisys Corp. † | 470 | 10,373 | ||||||
United Online, Inc. | 965 | 7,315 | ||||||
ValueClick, Inc. † | 474 | 11,698 | ||||||
Virtusa Corp. † | 99 | 2,194 | ||||||
Vishay Intertechnology, Inc. † | 1,142 | 15,862 | ||||||
|
| |||||||
421,747 | ||||||||
|
| |||||||
Materials - 6.0% | ||||||||
A Schulman, Inc. | 196 | 5,257 | ||||||
A.M. Castle & Co. † | 181 | 2,852 | ||||||
AEP Industries, Inc. † | 104 | 7,736 |
SHARES | VALUE (Note 2) | |||||||
Materials - 6.0% (continued) | ||||||||
American Pacific Corp. † | 194 | $ | 5,500 | |||||
Boise, Inc. | 755 | 6,448 | ||||||
Clearwater Paper Corp. † | 134 | 6,306 | ||||||
Flotek Industries, Inc. † | 220 | 3,947 | ||||||
FutureFuel Corp. | 454 | 6,433 | ||||||
Innospec, Inc. | 159 | 6,389 | ||||||
Kaiser Aluminum Corp. | 164 | 10,158 | ||||||
KapStone Paper and Packaging Corp. | 381 | 15,309 | ||||||
Koppers Holdings, Inc. | 71 | 2,711 | ||||||
Landec Corp. † | 359 | 4,742 | ||||||
Minerals Technologies, Inc. | 259 | 10,707 | ||||||
Olin Corp. | 264 | 6,315 | ||||||
Olympic Steel, Inc. | 112 | 2,744 | ||||||
OM Group, Inc. † | 88 | 2,721 | ||||||
OMNOVA Solutions, Inc. † | 557 | 4,462 | ||||||
PH Glatfelter Co. | 202 | 5,070 | ||||||
Quaker Chemical Corp. | 141 | 8,743 | ||||||
Schweitzer-Mauduit International, Inc. | 250 | 12,470 | ||||||
Tredegar Corp. | 197 | 5,063 | ||||||
US Concrete, Inc. † | 173 | 2,841 | ||||||
US Silica Holdings, Inc. | 293 | 6,088 | ||||||
Worthington Industries, Inc. | 446 | 14,143 | ||||||
|
| |||||||
165,155 | ||||||||
|
| |||||||
Telecommunication Services - 1.7% | ||||||||
8x8, Inc. † | 750 | 6,180 | ||||||
Atlantic Tele-Network, Inc. | 119 | 5,909 | ||||||
Cbeyond, Inc. † | 584 | 4,579 | ||||||
IDT Corp., Class B | 401 | 7,495 | ||||||
Premiere Global Services, Inc. † | 432 | 5,214 | ||||||
Shenandoah Telecommunications Co. | 268 | 4,470 | ||||||
USA Mobility, Inc. | 339 | 4,600 | ||||||
Vonage Holdings Corp. † | 3,171 | 8,974 | ||||||
|
| |||||||
47,421 | ||||||||
|
| |||||||
Utilities - 0.1% | ||||||||
Consolidated Water Co. Ltd. (Cayman Islands) | 246 | 2,812 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,740,477 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 0.5% | ||||||||
iShares Russell 2000 Index Fund | 153 | 14,866 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 1.0% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a) | ||||||||
(cost $28,550) | 28,550 | 28,550 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.6% | 2,783,893 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6%) | (17,770) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,766,123 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
92 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR SMALL CAP CORE EQUITY FUND |
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, 2013. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
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 2013 | 93 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL CORE EQUITY FUND |
COMMON STOCKS - 98.1% | SHARES | VALUE (Note 2) | ||||||
Australia - 3.7% | ||||||||
Bendigo and Adelaide Bank Ltd. | 323 | $ | 2,962 | |||||
Caltex Australia Ltd. | 163 | 2,681 | ||||||
Insurance Australia Group Ltd. | 817 | 4,055 | ||||||
Macquarie Group Ltd. | 178 | 6,789 | ||||||
National Australia Bank Ltd. | 714 | 19,314 | ||||||
Seven Group Holdings Ltd. | 303 | 1,902 | ||||||
Suncorp Group Ltd. | 557 | 6,050 | ||||||
Tatts Group Ltd. | 823 | 2,377 | ||||||
Telstra Corp. Ltd. | 8,676 | 37,719 | ||||||
Wesfarmers Ltd. | 422 | 15,270 | ||||||
Westpac Banking Corp. | 419 | 11,001 | ||||||
Woolworths Ltd. | 511 | 15,308 | ||||||
|
| |||||||
125,428 | ||||||||
|
| |||||||
Austria - 2.5% | ||||||||
Andritz AG | 209 | 10,723 | ||||||
Erste Group Bank AG | 777 | 20,710 | ||||||
Mayr Melnhof Karton AG | 19 | 2,041 | ||||||
Oesterreichische Post AG | 282 | 10,975 | ||||||
OMV AG | 370 | 16,691 | ||||||
Raiffeisen Bank International AG † | 376 | 10,947 | ||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 286 | �� | 13,267 | |||||
|
| |||||||
85,354 | ||||||||
|
| |||||||
Belgium - 1.6% | ||||||||
Ageas | 184 | 6,456 | ||||||
Colruyt SA | 241 | 12,681 | ||||||
Delhaize Group SA | 203 | 12,550 | ||||||
KBC Groep NV | 399 | 14,875 | ||||||
Solvay SA | 50 | 6,547 | ||||||
|
| |||||||
53,109 | ||||||||
|
| |||||||
Canada - 6.1% | ||||||||
Agrium, Inc. (1) | 158 | 13,698 | ||||||
Alimentation Couche Tard, Inc., Class B (1) | 252 | 14,952 | ||||||
Empire Co., Ltd., Class A (1) | 622 | 47,562 | ||||||
Gildan Activewear, Inc. (1) | 90 | 3,650 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 275 | 10,878 | ||||||
Loblaw Cos., Ltd. (1) | 665 | 30,066 | ||||||
Magna International, Inc. (1) | 453 | 32,244 | ||||||
Manulife Financial Corp. (1) | 602 | 9,634 | ||||||
Research In Motion Ltd. (1)† | 583 | 6,142 | ||||||
Rogers Communications, Inc., Class B (1) | 565 | 22,134 | ||||||
Sun Life Financial, Inc. (1) | 579 | 17,149 | ||||||
|
| |||||||
208,109 | ||||||||
|
| |||||||
Denmark - 1.7% | ||||||||
Carlsberg A/S, Class B | 119 | 10,640 | ||||||
TDC A/S | 4,180 | 33,844 | ||||||
Tryg A/S | 144 | 11,864 | ||||||
|
| |||||||
56,348 | ||||||||
|
| |||||||
Finland - 1.0% | ||||||||
Huhtamaki OYJ | 563 | 10,442 | ||||||
Neste Oil OYJ | 272 | 3,969 | ||||||
Orion OYJ, Class B | 162 | 3,796 |
SHARES | VALUE (Note 2) | |||||||
Finland - 1.0% (continued) | ||||||||
Pohjola Bank PLC, A Shares | 280 | $ | 4,114 | |||||
Sampo OYJ, A Shares | 301 | 11,721 | ||||||
|
| |||||||
34,042 | ||||||||
|
| |||||||
France - 5.4% | ||||||||
AXA SA | 784 | 15,455 | ||||||
BNP Paribas SA | 584 | 31,971 | ||||||
Cap Gemini SA | 121 | 5,876 | ||||||
Cie Generale des Etablissements Michelin | 102 | 9,120 | ||||||
CNP Assurances | 318 | 4,566 | ||||||
Credit Agricole SA † | 1,242 | 10,690 | ||||||
Natixis | 1,836 | 7,709 | ||||||
Renault SA | 138 | 9,295 | ||||||
Safran SA | 219 | 11,433 | ||||||
Sanofi | 391 | 40,422 | ||||||
Societe Generale SA | 555 | 19,101 | ||||||
Vivendi SA | 931 | 17,644 | ||||||
|
| |||||||
183,282 | ||||||||
|
| |||||||
Germany - 5.0% | ||||||||
Allianz SE | 220 | 32,112 | ||||||
Bayer AG | 234 | 24,914 | ||||||
Continental AG | 167 | 22,263 | ||||||
Deutsche Lufthansa AG † | 805 | 16,307 | ||||||
Deutsche Post AG | 812 | 20,152 | ||||||
Hannover Rueckversicherung SE | 173 | 12,440 | ||||||
HeidelbergCement AG | 95 | 6,365 | ||||||
Merck KGaA | 59 | 8,973 | ||||||
Muenchener Rueckversicherungs AG | 75 | 13,778 | ||||||
Suedzucker AG | 372 | 11,517 | ||||||
|
| |||||||
168,821 | ||||||||
|
| |||||||
Hong Kong - 4.1% | ||||||||
Champion REIT | 6,000 | 2,747 | ||||||
Cheung Kong Holdings Ltd. | 1,000 | 13,484 | ||||||
Galaxy Entertainment Group Ltd. † | 4,000 | 19,430 | ||||||
Henderson Land Development Co., Ltd. | 1,100 | 6,533 | ||||||
Hongkong Land Holdings Ltd. | 2,000 | 13,694 | ||||||
Hysan Development Co., Ltd. | 1,000 | 4,317 | ||||||
Kerry Properties Ltd. | 1,000 | 3,898 | ||||||
Link REIT/The REIT | 1,500 | 7,362 | ||||||
MGM China Holdings Ltd. | 2,800 | 7,430 | ||||||
NWS Holdings Ltd. | 2,000 | 3,066 | ||||||
PCCW Ltd. | 9,000 | 4,200 | ||||||
SJM Holdings Ltd. | 6,000 | 14,561 | ||||||
Swire Properties Ltd. | 2,600 | 7,655 | ||||||
Techtronic Industries Co. | 2,000 | 4,748 | ||||||
Wharf Holdings Ltd. | 2,000 | 16,693 | ||||||
Wheelock & Co., Ltd. | 2,000 | 9,979 | ||||||
|
| |||||||
139,797 | ||||||||
|
| |||||||
Israel - 1.8% | ||||||||
Alony Hetz Properties & Investments Ltd. REIT | 384 | 2,407 | ||||||
Bank Hapoalim BM † | 3,373 | 15,222 | ||||||
Bank Leumi Le-Israel BM † | 1,529 | 5,051 | ||||||
Delek Group Ltd. | 26 | 6,712 | ||||||
Frutarom Industries Ltd. | 214 | 3,239 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
94 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Israel - 1.8% (continued) | ||||||||
Harel Insurance Investments & Financial Services Ltd. | 154 | $ | 7,583 | |||||
Israel Discount Bank Ltd., Class A † | 7,047 | 11,736 | ||||||
Mizrahi Tefahot Bank Ltd. † | 1,117 | 11,183 | ||||||
|
| |||||||
63,133 | ||||||||
|
| |||||||
Italy - 0.6% | ||||||||
Gtech Spa | 504 | 12,611 | ||||||
Mediolanum SpA | 744 | 4,612 | ||||||
Prysmian SpA | 233 | 4,347 | ||||||
|
| |||||||
21,570 | ||||||||
|
| |||||||
Japan - 34.9% | ||||||||
77 Bank Ltd./The | 3,000 | 14,246 | ||||||
Acom Co., Ltd. (1)† | 290 | 9,225 | ||||||
Aiful Corp. † | 2,000 | 16,745 | ||||||
Aisin Seiki Co., Ltd. | 200 | 7,636 | ||||||
Alfresa Holdings Corp. | 100 | 5,355 | ||||||
Aoyama Trading Co., Ltd. | 200 | 5,321 | ||||||
Aozora Bank Ltd. | 1,000 | 3,123 | ||||||
Astellas Pharma, Inc. | 200 | 10,865 | ||||||
Bridgestone Corp. | 600 | 20,460 | ||||||
Canon Marketing Japan, Inc. | 200 | 2,678 | ||||||
Central Japan Railway Co. | 200 | 24,376 | ||||||
Chugai Pharmaceutical Co., Ltd. | 300 | 6,210 | ||||||
COMSYS Holdings Corp. | 300 | 3,830 | ||||||
Daicel Corp. | 1,000 | 8,740 | ||||||
Daiichikosho Co., Ltd. | 100 | 2,740 | ||||||
Dainippon Sumitomo Pharma Co., Ltd. | 300 | 3,968 | ||||||
Daiwa Securities Group, Inc. (1) | 1,000 | 8,399 | ||||||
Denso Corp. | 600 | 28,208 | ||||||
DIC Corp. | 3,000 | 7,490 | ||||||
Don Quijote Co., Ltd. | 100 | 4,854 | ||||||
East Japan Railway Co. | 100 | 7,783 | ||||||
FamilyMart Co., Ltd. | 100 | 4,267 | ||||||
Fuji Electric Co., Ltd. | 2,000 | 7,032 | ||||||
Fuji Heavy Industries Ltd. | 1,000 | 24,694 | ||||||
Fuji Media Holdings, Inc. | 7 | 14,072 | ||||||
Fukuoka Financial Group, Inc. | 1,000 | 4,253 | ||||||
GungHo Online Entertainment, Inc. † | 10 | 10,925 | ||||||
Hakuhodo DY Holdings, Inc. | 50 | 3,502 | ||||||
Hikari Tsushin, Inc. | 100 | 5,406 | ||||||
Hino Motors Ltd. | 1,000 | 14,674 | ||||||
Hitachi Capital Corp. | 500 | 9,881 | ||||||
Hokuhoku Financial Group, Inc. | 3,000 | 6,126 | ||||||
Hoshizaki Electric Co., Ltd. | 100 | 3,202 | ||||||
IHI Corp. | 2,000 | 7,567 | ||||||
Isuzu Motors Ltd. | 2,000 | 13,672 | ||||||
Ito En Ltd. | 100 | 2,315 | ||||||
ITOCHU Corp. | 700 | 8,095 | ||||||
Izumi Co., Ltd. | 200 | 5,400 | ||||||
Japan Tobacco, Inc. | 200 | 7,060 | ||||||
Juroku Bank Ltd./The | 1,000 | 3,651 | ||||||
Kao Corp. | 200 | 6,808 | ||||||
KDDI Corp. | 400 | 20,829 | ||||||
Keiyo Bank Ltd./The | 1,000 | 5,040 | ||||||
Kirin Holdings Co., Ltd. | 1,000 | 15,664 | ||||||
Konica Minolta, Inc. | 500 | 3,763 |
SHARES | VALUE (Note 2) | |||||||
Japan - 34.9% (continued) | ||||||||
KYORIN Holdings, Inc. | 200 | $ | 4,599 | |||||
Matsumotokiyoshi Holdings Co., Ltd. | 200 | 5,774 | ||||||
Mazda Motor Corp. † | 4,000 | 15,814 | ||||||
Medipal Holdings Corp. | 200 | 2,712 | ||||||
Miraca Holdings, Inc. | 100 | 4,595 | ||||||
Mitsubishi Motors Corp. † | 14,000 | 19,163 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 10,700 | 66,082 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 2,400 | 11,387 | ||||||
Mitsui Engineering & Shipbuilding Co., Ltd. | 4,000 | 5,842 | ||||||
Mizuho Financial Group, Inc. | 20,100 | 41,742 | ||||||
MS&AD Insurance Group Holdings | 300 | 7,599 | ||||||
Namco Bandai Holdings, Inc. | 300 | 4,862 | ||||||
NEC Corp. | 2,000 | 4,380 | ||||||
Nichirei Corp. | 1,000 | 5,180 | ||||||
Nihon Kohden Corp. | 100 | 3,819 | ||||||
Nippo Corp. | 1,000 | 16,437 | ||||||
Nippon Express Co., Ltd. | 1,000 | 4,749 | ||||||
Nippon Paint Co., Ltd. | 1,000 | 12,059 | ||||||
Nippon Telegraph & Telephone Corp. | 500 | 26,060 | ||||||
Nishi-Nippon City Bank Ltd./The | 6,000 | 15,646 | ||||||
Nissan Chemical Industries Ltd. | 400 | 5,392 | ||||||
Nissan Shatai Co. Ltd. | 1,000 | 11,244 | ||||||
Nomura Holdings, Inc. | 3,100 | 22,818 | ||||||
Okasan Securities Group, Inc. | 1,000 | 8,260 | ||||||
Omron Corp. | 300 | 8,944 | ||||||
Orient Corp. † | 2,000 | 4,803 | ||||||
ORIX Corp. | 1,100 | 15,011 | ||||||
Park24 Co., Ltd. | 200 | 3,628 | ||||||
Pola Orbis Holdings, Inc. | 100 | 3,382 | ||||||
Resona Holdings, Inc. | 1,100 | 5,357 | ||||||
Ricoh Co., Ltd. | 1,000 | 11,850 | ||||||
Ryohin Keikaku Co., Ltd. | 100 | 8,197 | ||||||
Sankyu, Inc. | 1,000 | 3,768 | ||||||
SCSK Corp. | 200 | 3,848 | ||||||
Seiko Epson Corp. (1) | 600 | 8,197 | ||||||
Seino Holdings Co., Ltd. | 1,000 | 8,776 | ||||||
Sekisui Chemical Co., Ltd. | 1,000 | 10,619 | ||||||
Sekisui House Ltd. | 1,000 | 14,448 | ||||||
Seven & I Holdings Co., Ltd. | 400 | 14,649 | ||||||
Shimamura Co., Ltd. | 100 | 12,139 | ||||||
Shinsei Bank Ltd. | 2,000 | 4,542 | ||||||
Shionogi & Co., Ltd. | 300 | 6,256 | ||||||
SKY Perfect JSAT Holdings, Inc. | 8 | 3,658 | ||||||
Softbank Corp. | 700 | 40,747 | ||||||
Sony Corp. | 500 | 10,563 | ||||||
Stanley Electric Co., Ltd. | 200 | 3,886 | ||||||
Sugi Holdings Co., Ltd. | 100 | 3,803 | ||||||
Sumitomo Forestry Co., Ltd. | 300 | 3,657 | ||||||
Sumitomo Metal Mining Co., Ltd. | 1,000 | 11,139 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,300 | 59,505 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 3,000 | 13,998 | ||||||
Sumitomo Rubber Industries Ltd. | 400 | 6,530 | ||||||
Sundrug Co., Ltd. | 100 | 4,244 | ||||||
Suzuken Co., Ltd. | 100 | 3,366 | ||||||
Suzuki Motor Corp. | 300 | 6,915 | ||||||
Taisei Corp. | 1,000 | 3,610 | ||||||
Toho Holdings Co., Ltd. | 200 | 3,310 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 95 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL CORE EQUITY FUND |
SHARES | VALUE (Note 2) | |||||||
Japan - 34.9% (continued) | ||||||||
Tokai Rika Co., Ltd. | 100 | $ | 1,992 | |||||
Tokai Tokyo Financial Holdings, Inc. | 1,300 | 8,847 | ||||||
Tokyo Electric Power Co., Inc † | 3,400 | 17,552 | ||||||
Tokyo Gas Co., Ltd. | 1,000 | 5,517 | ||||||
Toshiba TEC Corp. | 1,000 | 5,383 | ||||||
TOTO Ltd. | 1,000 | 10,168 | ||||||
Toyoda Gosei Co., Ltd. | 200 | 4,890 | ||||||
Toyota Boshoku Corp. | 300 | 4,314 | ||||||
Toyota Industries Corp. | 200 | 8,168 | ||||||
Toyota Tsusho Corp. | 300 | 7,714 | ||||||
TS Tech Co., Ltd. | 200 | 6,352 | ||||||
Tsumura & Co. | 100 | 2,947 | ||||||
Tsuruha Holdings, Inc. | 100 | 9,452 | ||||||
TV Asahi Corp. | 200 | 4,324 | ||||||
Yahoo Japan Corp. | 14 | 6,894 | ||||||
Yamaguchi Financial Group, Inc. | 1,000 | 9,839 | ||||||
Yokohama Rubber Co., Ltd./The | 1,000 | 10,041 | ||||||
|
| |||||||
1,188,104 | ||||||||
|
| |||||||
Netherlands - 2.6% | ||||||||
Aegon NV | 1,086 | 7,286 | ||||||
Heineken Holding NV | 259 | 14,516 | ||||||
ING Groep NV CVA † | 1,500 | 13,709 | ||||||
Koninklijke Ahold NV | 3,259 | 48,471 | ||||||
Koninklijke Philips NV | 222 | 6,052 | ||||||
|
| |||||||
90,034 | ||||||||
|
| |||||||
New Zealand - 0.1% | ||||||||
Fletcher Building Ltd. | 510 | 3,317 | ||||||
|
| |||||||
Norway - 0.9% | ||||||||
DNB ASA | 1,144 | 16,596 | ||||||
Fred Olsen Energy ASA | 74 | 2,930 | ||||||
Gjensidige Forsikring ASA | 369 | 5,436 | ||||||
Marine Harvest ASA | 4,331 | 4,403 | ||||||
|
| |||||||
29,365 | ||||||||
|
| |||||||
Portugal - 0.5% | ||||||||
Banco BPI SA † | 3,282 | 3,885 | ||||||
EDP-Energias de Portugal SA (1) | 2,630 | 8,473 | ||||||
Portucel SA | 1,024 | 3,261 | ||||||
|
| |||||||
15,619 | ||||||||
|
| |||||||
Singapore - 1.8% | ||||||||
CapitaCommercial Trust REIT | 3,000 | 3,461 | ||||||
ComfortDelGro Corp. Ltd. | 8,000 | 11,497 | ||||||
Keppel Land Ltd. | 2,000 | 5,259 | ||||||
Keppel REIT | 10,000 | 10,195 | ||||||
Mapletree Commercial Trust REIT | 10,000 | 9,319 | ||||||
StarHub Ltd. | 4,000 | 13,152 | ||||||
Suntec Real Estate Investment Trust REIT | 3,000 | 3,724 | ||||||
Yanlord Land Group Ltd. | 6,000 | 5,796 | ||||||
|
| |||||||
62,403 | ||||||||
|
| |||||||
Spain - 7.3% | ||||||||
ACS Actividades de Construccion y Servicios SA | 273 | 7,222 | ||||||
Amadeus IT Holding SA, A Shares | 513 | 16,419 |
SHARES | VALUE (Note 2) | |||||||
Spain - 7.3% (continued) | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 5,902 | $ | 49,599 | |||||
Banco Santander SA | 3,641 | 23,300 | ||||||
Endesa SA | 1,735 | 37,053 | ||||||
Ferrovial SA | 922 | 14,720 | ||||||
Gas Natural SDG SA | 1,357 | 27,340 | ||||||
Iberdrola SA | 8,202 | 43,344 | ||||||
Mapfre SA | 3,709 | 12,068 | ||||||
Repsol SA | 801 | 16,905 | ||||||
|
| |||||||
247,970 | ||||||||
|
| |||||||
Sweden - 1.9% | ||||||||
Industrivarden AB, C Shares | 194 | 3,240 | ||||||
Investor AB, B Shares | 287 | 7,703 | ||||||
Nordea Bank AB | 1,930 | 21,553 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 1,386 | 13,232 | ||||||
Swedbank AB, A Shares | 659 | 15,094 | ||||||
Trelleborg AB, B Shares | 286 | 4,289 | ||||||
|
| |||||||
65,111 | ||||||||
|
| |||||||
Switzerland - 4.3% | ||||||||
Actelion Ltd. † | 239 | 14,397 | ||||||
Credit Suisse Group AG † | 986 | 26,103 | ||||||
Swiss Re AG † | 515 | 38,317 | ||||||
Zurich Insurance Group AG † | 263 | 68,172 | ||||||
|
| |||||||
146,989 | ||||||||
|
| |||||||
United Kingdom - 10.3% | ||||||||
3i Group PLC | 1,106 | 5,679 | ||||||
AstraZeneca PLC | 692 | 32,717 | ||||||
BAE Systems PLC | 1,601 | 9,323 | ||||||
Barclays PLC | 6,578 | 28,014 | ||||||
British Sky Broadcasting Group PLC | 1,641 | 19,769 | ||||||
BT Group PLC | 5,317 | 24,962 | ||||||
easyJet PLC | 461 | 9,087 | ||||||
GKN PLC | 3,403 | 15,577 | ||||||
HSBC Holdings PLC | 7,962 | 82,424 | ||||||
Investec PLC | 658 | 4,141 | ||||||
J Sainsbury PLC | 1,675 | 9,053 | ||||||
Legal & General Group PLC | 3,089 | 8,051 | ||||||
London Stock Exchange Group PLC | 218 | 4,431 | ||||||
Mondi PLC | 1,067 | 13,285 | ||||||
Next PLC | 126 | 8,728 | ||||||
Old Mutual PLC | 2,260 | 6,204 | ||||||
Prudential PLC | 914 | 14,919 | ||||||
Resolution Ltd. | 917 | 3,972 | ||||||
Rexam PLC | 745 | 5,407 | ||||||
RSA Insurance Group PLC | 3,201 | 5,807 | ||||||
Standard Life PLC | 1,390 | 7,315 | ||||||
TUI Travel PLC | 1,145 | 6,208 | ||||||
Whitbread PLC | 166 | 7,722 | ||||||
William Hill PLC | 1,090 | 7,309 | ||||||
WPP PLC | 572 | 9,777 | ||||||
|
| |||||||
349,881 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,337,786 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
96 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Schedule of Investments | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL CORE EQUITY FUND |
EXCHANGE-TRADED FUNDS - 1.2% | SHARES | VALUE (Note 2) | ||||||
iShares MSCI EAFE Index Fund (1) | 699 | $ | 40,109 | |||||
|
| |||||||
MONEY MARKET FUNDS - 1.0% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund-Institutional Shares, 0.000% (a) | ||||||||
(cost $34,782) | 34,782 | 34,782 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 100.3% | 3,412,677 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3%) | (9,597) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,403,080 | ||||||
|
|
† | Non income-producing security. |
(a) | Represents annualized seven-day yield as of June 30, 2013. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 523,240 | 15.4 | % | ||||
Consumer Staples | 329,588 | 9.7 | ||||||
Energy | 49,889 | 1.5 | ||||||
Financials | 1,383,890 | 40.6 | ||||||
Health Care | 183,219 | 5.4 | ||||||
Industrials | 282,348 | 8.3 | ||||||
Information Technology | 92,621 | 2.7 | ||||||
Materials | 112,420 | 3.3 | ||||||
Mutual Fund | 40,109 | 1.2 | ||||||
Telecommunication Services | 241,292 | 7.1 | ||||||
Utilities | 139,279 | 4.1 | ||||||
Money Market Funds | 34,782 | 1.0 | ||||||
|
|
|
| |||||
Total Investments | 3,412,677 | 100.3 | ||||||
Liabilities in Excess of Other Assets | (9,597) | (0.3) | ||||||
|
|
|
| |||||
Net Assets | $ | 3,403,080 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 97 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | AQR EMERGING DEFENSIVE EQUITY FUND | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $433,375,677 | $637,661,124 | $9,626,108 | |||||||||
Investments in securities, at value* | $511,109,585 | $717,659,841 | $9,496,099 | |||||||||
Foreign currency, at value | 2,195,687 | 3,443,083 | 27,960 | |||||||||
Due from brokers | 9,142,825 | 15,264,703 | — | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 95,651 | — | |||||||||
Swaps, at value | 49,037 | 165,178 | — | |||||||||
Unrealized appreciation on futures contracts | — | 150,140 | — | |||||||||
Receivables: | ||||||||||||
Securities sold | 29,058,519 | 43,424 | — | |||||||||
Foreign tax reclaim | 645,623 | 1,346,914 | — | |||||||||
Dividends and interest | 706,409 | 1,136,260 | 25,733 | |||||||||
Capital shares sold | — | 10,828,258 | 220,538 | |||||||||
Due from Investment Advisor | — | — | 13,283 | |||||||||
Prepaid expenses | 22,582 | 27,807 | 23,208 | |||||||||
Total Assets | 552,930,267 | 750,161,259 | 9,806,821 | |||||||||
LIABILITIES: | ||||||||||||
Due to custodian | 18,601 | 3,647 | — | |||||||||
Due to brokers | 47,422 | 112,305 | — | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 667,732 | — | — | |||||||||
Unrealized depreciation on futures contracts | 218,212 | — | — | |||||||||
Payables: | ||||||||||||
Securities purchased | 27,101,051 | 74 | — | |||||||||
Collateral received on securities loaned | 278,805 | 60,848 | 14 | |||||||||
Accrued Investment advisory fees | 172,242 | 276,693 | — | |||||||||
Accrued Shareholder servicing fees | 463 | 56,039 | — | |||||||||
Accrued Distribution fees—Class N | 145 | 3,554 | 220 | |||||||||
Capital shares redeemed | — | 6,762 | 63,998 | |||||||||
Other accrued expenses and liabilities | 88,642 | 164,245 | 40,822 | |||||||||
Total Liabilities | 28,593,315 | 684,167 | 105,054 | |||||||||
Net Assets | $524,336,952 | $749,477,092 | $9,701,767 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $417,349,536 | $648,183,790 | $9,871,051 | |||||||||
Undistributed (accumulated) net investment income (loss) | 4,937,921 | 8,974,756 | 81,030 | |||||||||
Undistributed (accumulated) net realized gain (loss) | 24,838,570 | 11,966,842 | (119,911) | |||||||||
Net unrealized appreciation (depreciation) | 77,210,925 | 80,351,704 | (130,403) | |||||||||
Net Assets | $524,336,952 | $749,477,092 | $9,701,767 | |||||||||
NET ASSETS: | ||||||||||||
Class I | $1,045,862 | $204,350,543 | $8,621,076 | |||||||||
Class N | 647,844 | 27,959,092 | 1,080,691 | |||||||||
Class Y | 522,643,246 | 517,167,457 | — | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I | 83,842 | 18,972,066 | 850,950 | |||||||||
Class N | 52,160 | 2,553,953 | 106,616 | |||||||||
Class Y | 41,798,708 | 45,824,565 | — | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I | $12.47 | $10.77 | $10.13 | |||||||||
Class N | $12.42 | $10.95 | $10.14 | |||||||||
Class Y | $12.50 | $11.29 | — |
Foreign currency at cost of $2,232,615, $3,475,615 and $27,786, respectively.
* | Investments in securities includes the market value of securities out on loan of $265,338, $55,655 and $13, respectively. |
The accompanying notes are an integral part of these financial statements. |
98 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND | AQR U.S. DEFENSIVE EQUITY FUND | AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $13,561,439 | $20,480,338 | $2,686,271,336 | |||||||||
Investments in securities, at value* | $13,543,354 | $21,763,245 | $2,729,224,403 | |||||||||
Cash | — | — | 2,098,058 | |||||||||
Foreign currency, at value | 56,763 | — | 5,680,134 | |||||||||
Due from brokers | — | — | 437,122,183 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 1,477,817 | |||||||||
Swaps, at value | — | — | 37,089,946 | |||||||||
Unrealized appreciation on futures contracts | — | — | 4,188,279 | |||||||||
Receivables: | ||||||||||||
Securities sold | — | — | 203,571,290 | |||||||||
Foreign tax reclaim | 5,980 | — | 27,098 | |||||||||
Dividends and interest | 49,361 | 35,031 | 9,437,431 | |||||||||
Capital shares sold | 154,614 | 218,286 | 3,947,246 | |||||||||
Due from Investment Advisor | 12,983 | 7,017 | — | |||||||||
Prepaid expenses | 23,406 | 24,462 | 100,707 | |||||||||
Total Assets | 13,846,461 | 22,048,041 | 3,433,964,592 | |||||||||
LIABILITIES: | ||||||||||||
Securities sold short, at value (proceeds $—, $— and $544,992,162, respectively) | — | — | 587,515,011 | |||||||||
Options written, at value (proceeds $—, $— and $979,837, respectively) | — | — | 4,658,960 | |||||||||
Due to custodian | 190 | — | — | |||||||||
Due to brokers | — | — | 1,630,000 | |||||||||
Swaps, at value | — | — | 4,580,074 | |||||||||
Payables: | ||||||||||||
Securities purchased | 195,878 | 401,131 | 144,999,575 | |||||||||
Collateral received on securities loaned | 42,618 | 214,750 | 115,553 | |||||||||
Accrued Investment advisory fees | — | — | 2,180,116 | |||||||||
Accrued Shareholder servicing fees | — | — | — | |||||||||
Accrued Distribution fees—Class N | 194 | 365 | 169,564 | |||||||||
Capital shares redeemed | — | — | 2,236,967 | |||||||||
Dividends and interest payable on securities sold short | — | — | 1,295,171 | |||||||||
Other accrued expenses and liabilities | 40,302 | 32,923 | 824,000 | |||||||||
Total Liabilities | 279,182 | 649,169 | 750,204,991 | |||||||||
Net Assets | $13,567,279 | $21,398,872 | $2,683,759,601 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $13,364,011 | $19,844,564 | $2,654,595,417 | |||||||||
Undistributed (accumulated) net investment income (loss) | 143,082 | 119,691 | 19,955,613 | |||||||||
Undistributed (accumulated) net realized gain (loss) | 79,126 | 151,710 | (22,007,542) | |||||||||
Net unrealized appreciation (depreciation) | (18,940) | 1,282,907 | 31,216,113 | |||||||||
Net Assets | $13,567,279 | $21,398,872 | $2,683,759,601 | |||||||||
NET ASSETS: | ||||||||||||
Class I | $12,490,975 | $19,857,986 | $1,857,940,431 | |||||||||
Class N | 1,076,304 | 1,540,886 | 825,819,170 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I | 1,134,413 | 1,699,751 | 166,217,141 | |||||||||
Class N | 97,729 | 131,861 | 74,238,204 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I | $11.01 | $11.68 | $11.18 | |||||||||
Class N | $11.01 | $11.69 | $11.12 |
Foreign currency at cost of $57,153, $— and $5,808,077, respectively.
* | Investments in securities includes the market value of securities out on loan of $39,802, $209,313 and $51,999, respectively. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 99 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND | AQR INTERNATIONAL MOMENTUM FUND | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $706,876,590 | $215,211,949 | $188,812,625 | |||||||||
Investments in securities, at value* | $817,162,499 | $253,339,787 | $206,697,489 | |||||||||
Cash | — | — | 2,101 | |||||||||
Foreign currency, at value | 456 | — | 610,398 | |||||||||
Due from brokers | 214,913 | 42,751 | 44,678 | |||||||||
Unrealized appreciation on futures contracts | — | 4,066 | 6,817 | |||||||||
Receivables: | ||||||||||||
Securities sold | 41,270,131 | 10,737,412 | 11,059,805 | |||||||||
Foreign tax reclaim | — | — | 169,270 | |||||||||
Dividends and interest | 461,994 | 165,924 | 358,093 | |||||||||
Capital shares sold | 2,537,707 | 191,587 | 303,658 | |||||||||
Prepaid expenses | 33,688 | 13,300 | 12,825 | |||||||||
Total Assets | 861,681,388 | 264,494,827 | 219,265,134 | |||||||||
LIABILITIES: | ||||||||||||
Unrealized depreciation on futures contracts | 10,558 | — | — | |||||||||
Payables: | ||||||||||||
Securities purchased | 48,632,416 | 13,381,345 | 14,520,867 | |||||||||
Collateral received on securities loaned | 121,038,716 | 57,021,813 | 337,165 | |||||||||
Accrued Investment advisory fees | 92,108 | 44,056 | 37,055 | |||||||||
Accrued Shareholder servicing fees | 84,656 | 23,753 | 25,049 | |||||||||
Accrued Distribution fees—Class N | 15,132 | 24 | 4,963 | |||||||||
Capital shares redeemed | 739,089 | 82,413 | 67,914 | |||||||||
Other accrued expenses and liabilities | 207,438 | 78,016 | 106,283 | |||||||||
Total Liabilities | 170,820,113 | 70,631,420 | 15,099,296 | |||||||||
Net Assets | $690,861,275 | $193,863,407 | $204,165,838 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $569,123,932 | $145,586,543 | $191,921,690 | |||||||||
Undistributed (accumulated) net investment income (loss) | 3,148,499 | 841,686 | 1,784,446 | |||||||||
Undistributed (accumulated) net realized gain (loss) | 8,313,463 | 9,303,274 | (7,411,451) | |||||||||
Net unrealized appreciation (depreciation) | 110,275,381 | 38,131,904 | 17,871,153 | |||||||||
Net Assets | $690,861,275 | $193,863,407 | $204,165,838 | |||||||||
NET ASSETS: | ||||||||||||
Class L | $617,118,812 | $193,738,926 | $180,168,439 | |||||||||
Class N | 73,742,463 | 124,481 | 23,997,399 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class L | 34,056,837 | 9,999,366 | 12,933,455 | |||||||||
Class N | 4,075,467 | 6,432 | 1,725,785 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class L | $18.12 | $19.38 | $13.93 | |||||||||
Class N | $18.09 | $19.35 | $13.91 |
Foreign currency at cost of $426, $— and $614,644, respectively.
* | Investments in securities includes the market value of securities out on loan of $117,442,602, $54,406,226 and $318,122, respectively. |
The accompanying notes are an integral part of these financial statements. |
100 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED MOMENTUM FUND | AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $9,072,966 | $4,223,800 | $6,029,552 | |||||||||
Investments in securities, at value* | $10,106,124 | $5,146,336 | $6,671,075 | |||||||||
Cash | — | 19 | 39 | |||||||||
Foreign currency, at value | — | — | 20,892 | |||||||||
Receivables: | ||||||||||||
Securities sold | 990,982 | 308,554 | 358,817 | |||||||||
Foreign tax reclaim | — | — | 5,768 | |||||||||
Dividends and interest | 10,325 | 2,789 | 12,769 | |||||||||
Capital shares sold | 143,369 | 37,378 | 37,378 | |||||||||
Due from Investment Advisor | 6,891 | 8,963 | 9,784 | |||||||||
Prepaid expenses | 57 | 42 | 90 | |||||||||
Total Assets | 11,257,748 | 5,504,081 | 7,116,612 | |||||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Securities purchased | 1,062,416 | 312,342 | 384,716 | |||||||||
Collateral received on securities loaned | 81,604 | 144,512 | — | |||||||||
Accrued Distribution fees—Class N | 22 | 22 | 21 | |||||||||
Other accrued expenses and liabilities | 30,751 | 31,208 | 47,854 | |||||||||
Total Liabilities | 1,174,793 | 488,084 | 432,591 | |||||||||
Net Assets | $10,082,955 | $5,015,997 | $6,684,021 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $8,967,788 | $4,032,774 | $5,793,003 | |||||||||
Undistributed (accumulated) net investment income (loss) | 44,313 | 18,451 | 65,272 | |||||||||
Undistributed (accumulated) net realized gain (loss) | 37,696 | 42,236 | 185,016 | |||||||||
Net unrealized appreciation (depreciation) | 1,033,158 | 922,536 | 640,730 | |||||||||
Net Assets | $10,082,955 | $5,015,997 | $6,684,021 | |||||||||
NET ASSETS: | ||||||||||||
Class L | $9,976,496 | $4,906,590 | $6,582,747 | |||||||||
Class N | 106,459 | 109,407 | 101,274 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class L | 794,117 | 369,297 | 549,523 | |||||||||
Class N | 8,489 | 8,251 | 8,468 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class L | $12.56 | $13.29 | $11.98 | |||||||||
Class N | $12.54 | $13.26 | $11.96 |
Foreign currency at cost of $—, $— and $21,036, respectively.
* | Investments in securities includes the market value of securities out on loan of $77,510, $140,583 and $—, respectively. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 101 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR CORE EQUITY FUND | AQR SMALL CAP CORE EQUITY FUND | AQR INTERNATIONAL CORE EQUITY FUND | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $9,873,787 | $2,613,427 | $3,427,444 | |||||||||
Investments in securities, at value | $9,828,379 | $2,783,893 | $3,412,677 | |||||||||
Foreign currency, at value | — | — | 6,267 | |||||||||
Receivables: | ||||||||||||
Securities sold | 1,094,994 | 326,536 | 394,340 | |||||||||
Foreign tax reclaim | — | — | 1,056 | |||||||||
Dividends and interest | 10,026 | 2,208 | 11,554 | |||||||||
Capital shares sold | 209,900 | — | — | |||||||||
Due from Investment Advisor | 15,420 | 17,679 | 19,792 | |||||||||
Prepaid expenses | — | — | 19 | |||||||||
Total Assets | 11,158,719 | 3,130,316 | 3,845,705 | |||||||||
LIABILITIES: | ||||||||||||
Due to custodian | — | 42 | — | |||||||||
Payables: | ||||||||||||
Securities purchased | 1,166,810 | 328,521 | 401,825 | |||||||||
Accrued Distribution fees—Class N | 115 | 226 | 291 | |||||||||
Other accrued expenses and liabilities | 34,754 | 35,404 | 40,509 | |||||||||
Total Liabilities | 1,201,679 | 364,193 | 442,625 | |||||||||
Net Assets | $9,957,040 | $2,766,123 | $3,403,080 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $9,955,024 | $2,590,575 | $3,399,223 | |||||||||
Undistributed (accumulated) net investment income (loss) | 18,874 | 2,265 | 31,337 | |||||||||
Undistributed (accumulated) net realized gain (loss) | 28,550 | 2,817 | (12,462) | |||||||||
Net unrealized appreciation (depreciation) | (45,408) | 170,466 | (15,018) | |||||||||
Net Assets | $9,957,040 | $2,766,123 | $3,403,080 | |||||||||
NET ASSETS: | ||||||||||||
Class L | $9,388,889 | $1,660,361 | $1,979,730 | |||||||||
Class N | 568,151 | 1,105,762 | 1,423,350 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class L | 898,644 | 153,898 | 193,614 | |||||||||
Class N | 54,372 | 102,553 | 139,288 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class L | $10.45 | $10.79 | $10.23 | |||||||||
Class N | $10.45 | $10.78 | $10.22 |
Foreign currency at cost of $—, $— and $6,315, respectively.
The accompanying notes are an integral part of these financial statements. |
102 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Operations | June 30, 2013 (Unaudited) |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | AQR EMERGING DEFENSIVE EQUITY FUND | ||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $6,694,093 | $12,930,440 | $119,635 | |||||||||
Securities lending income, net | 44,198 | 85,931 | 49 | |||||||||
Total Income | 6,738,291 | 13,016,371 | 119,684 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 1,025,993 | 1,651,090 | 23,329 | |||||||||
Shareholder servicing fees | 2,377 | 340,672 | 9,721 | |||||||||
Custody, administration & accounting fees | 95,089 | 144,298 | 10,428 | |||||||||
Legal fees | 7,669 | 13,645 | 2,005 | |||||||||
Audit & tax fees | 37,642 | 37,497 | 38,879 | |||||||||
Shareholder reporting fees | 1,399 | 7,349 | 2,899 | |||||||||
Transfer agent fees | 7,071 | 70,161 | 8,132 | |||||||||
Trustee fees | 12,769 | 18,731 | 214 | |||||||||
Distribution fees—Class N | 753 | 21,015 | 1,735 | |||||||||
Recoupment of waiver | — | 63,691 | — | |||||||||
Registration fees | 13,895 | 20,853 | 15,918 | |||||||||
Pricing fee | 11,372 | 9,978 | 7,056 | |||||||||
Other fees | 21,057 | 35,329 | 3,094 | |||||||||
Total Expenses | 1,237,086 | 2,434,309 | 123,410 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | (9,563) | — | (23,329) | |||||||||
Shareholder servicing fees waived | (2,377) | — | (9,721) | |||||||||
Expense reimbursements | — | — | (47,447) | |||||||||
Net Expenses | 1,225,146 | 2,434,309 | 42,913 | |||||||||
Net Investment Income (Loss) | 5,513,145 | 10,582,062 | 76,771 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | 26,020,848 | 13,275,711 | (116,063) | |||||||||
Foreign currency and foreign currency translations | (62,612) | (78,875) | 2,653 | |||||||||
Forward foreign currency exchange contracts | 6,003,449 | 7,848,867 | — | |||||||||
Futures contracts | 6,471,045 | 17,060,370 | — | |||||||||
Swap and swaps on futures contracts | (464,510) | (2,676,377) | — | |||||||||
Net realized gain (loss) | 37,968,220 | 35,429,696 | (113,410) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | 11,357,676 | (653,289) | (640,349) | |||||||||
Foreign currency and foreign currency translations | (33,093) | (73,189) | (1,778) | |||||||||
Forward foreign currency exchange contracts | (6,213,999) | (7,441,307) | — | |||||||||
Futures contracts | (391,194) | (1,062,219) | — | |||||||||
Swap and swaps on futures contracts | 137,795 | 118,618 | — | |||||||||
Net change in unrealized appreciation (depreciation) | 4,857,185 | (9,111,386) | (642,127) | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | 42,825,405 | 26,318,310 | (755,537) | |||||||||
Net increase (decrease) in net assets resulting from operations | $48,338,550 | $36,900,372 | ($678,766) | |||||||||
† Net of foreign taxes withheld of | $445,033 | $1,321,808 | $8,982 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 103 | |||||||||||||
Statements of Operations | June 30, 2013 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND | AQR U.S. DEFENSIVE EQUITY FUND | AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $182,717 | $160,868 | $21,233,852 | |||||||||
Interest income | — | — | 20,996,578 | |||||||||
Securities lending income, net | 141 | 524 | 44,758 | |||||||||
Total Income | 182,858 | 161,392 | 42,275,188 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 19,386 | 21,493 | 12,898,448 | |||||||||
Shareholder servicing fees | 12,117 | 17,911 | — | |||||||||
Custody, administration & accounting fees | 13,398 | 8,400 | 412,464 | |||||||||
Legal fees | 260 | 265 | 96,667 | |||||||||
Audit & tax fees | 38,878 | 25,901 | 122,614 | |||||||||
Shareholder reporting fees | 3,046 | 3,303 | 153,168 | |||||||||
Transfer agent fees | 9,055 | 11,145 | 1,463,733 | |||||||||
Trustee fees | 255 | 330 | 65,760 | |||||||||
Distribution fees—Class N | 1,102 | 1,946 | 987,724 | |||||||||
Dividends and interest on securities sold short | — | — | 6,194,746 | |||||||||
Recoupment of waiver | — | — | 45,569 | |||||||||
Registration fees | 15,890 | 15,945 | 132,782 | |||||||||
Pricing fee | 7,138 | 798 | 35,594 | |||||||||
Other fees | 2,844 | 2,978 | 128,288 | |||||||||
Total Expenses | 123,369 | 110,415 | 22,737,557 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | (19,386) | (21,493) | — | |||||||||
Shareholder servicing fees waived | (12,117) | (17,911) | — | |||||||||
Expense reimbursements | (52,233) | (23,583) | — | |||||||||
Net Expenses | 39,633 | 47,428 | 22,737,557 | |||||||||
Net Investment Income (Loss) | 143,225 | 113,964 | 19,537,631 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | 81,291 | 158,900 | 41,953,595 | |||||||||
Foreign currency and foreign currency translations | (4,314) | — | 14,236,687 | |||||||||
Forward foreign currency exchange contracts | — | — | 2,478,810 | |||||||||
Futures contracts | — | — | (18,997,018) | |||||||||
Securities sold short | — | — | (28,411,899) | |||||||||
Swap and swaps on futures contracts | — | — | (34,771,409) | |||||||||
Written options | — | — | 1,303,134 | |||||||||
Net realized gain (loss) | 76,977 | 158,900 | (22,208,100) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | (262,410) | 1,249,464 | 29,148,621 | |||||||||
Foreign currency and foreign currency translations | (912) | — | (13,322,911) | |||||||||
Forward foreign currency exchange contracts | — | — | 2,810,398 | |||||||||
Futures contracts | — | — | 3,366,745 | |||||||||
Securities sold short | — | — | (21,977,124) | |||||||||
Swap and swaps on futures contracts | — | — | 36,021,811 | |||||||||
Written options | — | — | (3,715,964) | |||||||||
Net change in unrealized appreciation (depreciation) | (263,322) | 1,249,464 | 32,331,576 | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | (186,345) | 1,408,364 | 10,123,476 | |||||||||
Net increase (decrease) in net assets resulting from operations | ($43,120) | $1,522,328 | $29,661,107 | |||||||||
† Net of foreign taxes withheld of | $18,789 | $— | $60,614 |
The accompanying notes are an integral part of these financial statements. |
104 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Operations | June 30, 2013 (Unaudited) |
AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND | AQR INTERNATIONAL MOMENTUM FUND | ||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $4,340,849 | $992,659 | $2,663,019 | |||||||||
Interest income | — | 27 | — | |||||||||
Securities lending income, net | 229,951 | 271,203 | 18,828 | |||||||||
Total Income | 4,570,800 | 1,263,889 | 2,681,847 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 790,624 | 303,779 | 302,485 | |||||||||
Shareholder servicing fees | 474,377 | 130,192 | 129,637 | |||||||||
Custody, administration & accounting fees | 89,328 | 29,981 | 40,709 | |||||||||
Legal fees | 11,355 | 3,465 | 3,189 | |||||||||
Audit & tax fees | 27,621 | 27,254 | 32,875 | |||||||||
Shareholder reporting fees | 34,895 | 6,313 | 15,003 | |||||||||
Transfer agent fees | 289,646 | 72,976 | 78,528 | |||||||||
Trustee fees | 16,003 | 4,218 | 4,181 | |||||||||
Distribution fees—Class N | 85,719 | 104 | 18,408 | |||||||||
Pricing fee | 2,122 | 7,492 | 10,879 | |||||||||
Other fees | 67,564 | 34,853 | 34,340 | |||||||||
Total Expenses | 1,889,254 | 620,627 | 670,234 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | — | (13,770) | (2,367) | |||||||||
Shareholder servicing fees waived | (239,840) | (38,555) | (84,201) | |||||||||
Net Expenses | 1,649,414 | 568,302 | 583,666 | |||||||||
Net Investment Income (Loss) | 2,921,386 | 695,587 | 2,098,181 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | 15,527,848 | 7,409,331 | 4,094,461 | |||||||||
Foreign currency and foreign currency translations | — | — | (29,608) | |||||||||
Futures contracts | 1,087,475 | 419,545 | 28,678 | |||||||||
Net realized gain (loss) | 16,615,323 | 7,828,876 | 4,093,531 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | 53,561,756 | 18,900,890 | 1,395,452 | |||||||||
Foreign currency and foreign currency translations | (7) | — | (22,592) | |||||||||
Futures contracts | (25,580) | (23,207) | 6,817 | |||||||||
Net change in unrealized appreciation (depreciation) | 53,536,169 | 18,877,683 | 1,379,677 | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | 70,151,492 | 26,706,559 | 5,473,208 | |||||||||
Net increase (decrease) in net assets resulting from operations | $73,072,878 | $27,402,146 | $7,571,389 | |||||||||
† Net of foreign taxes withheld of | $— | $— | $282,777 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 105 | |||||||||||||
Statements of Operations | June 30, 2013 (Unaudited) |
AQR TAX-MANAGED MOMENTUM FUND | AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | ||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $60,470 | $25,864 | $101,672 | |||||||||
Securities lending income, net | 1,772 | 3,550 | 319 | |||||||||
Total Income | 62,242 | 29,414 | 101,991 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 11,705 | 8,358 | 12,740 | |||||||||
Shareholder servicing fees | 5,853 | 3,134 | 4,777 | |||||||||
Custody, administration & accounting fees | 4,568 | 4,465 | 8,005 | |||||||||
Legal fees | 201 | 151 | 455 | |||||||||
Audit & tax fees | 27,125 | 27,105 | 32,751 | |||||||||
Shareholder reporting fees | 177 | 475 | 742 | |||||||||
Transfer agent fees | 6,763 | 6,594 | 6,703 | |||||||||
Trustee fees | 181 | 112 | 164 | |||||||||
Distribution fees—Class N | 101 | 102 | 100 | |||||||||
Registration fees | 20,555 | 20,550 | 20,556 | |||||||||
Pricing fee | 1,645 | 5,679 | 10,232 | |||||||||
Other fees | 1,764 | 1,542 | 1,554 | |||||||||
Total Expenses | 80,638 | 78,267 | 98,779 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | (11,705) | (8,358) | (12,740) | |||||||||
Shareholder servicing fees waived | (5,853) | (3,134) | (4,777) | |||||||||
Expense reimbursements | (41,697) | (51,949) | (58,727) | |||||||||
Net Expenses | 21,383 | 14,826 | 22,535 | |||||||||
Net Investment Income (Loss) | 40,859 | 14,588 | 79,456 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | 51,885 | 26,037 | 158,846 | |||||||||
Foreign currency and foreign currency translations | — | — | (173) | |||||||||
Net realized gain (loss) | 51,885 | 26,037 | 158,673 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | 742,190 | 650,447 | 129,220 | |||||||||
Foreign currency and foreign currency translations | — | — | (942) | |||||||||
Net change in unrealized appreciation (depreciation) | 742,190 | 650,447 | 128,278 | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | 794,075 | 676,484 | 286,951 | |||||||||
Net increase (decrease) in net assets resulting from operations | $834,934 | $691,072 | $366,407 | |||||||||
† Net of foreign taxes withheld of | $— | $— | $9,772 |
The accompanying notes are an integral part of these financial statements. |
106 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Operations | June 30, 2013 (Unaudited) |
AQR CORE EQUITY FUND | AQR SMALL CAP CORE EQUITY FUND | AQR INTERNATIONAL CORE EQUITY FUND | ||||||||||
FOR THE PERIOD | FOR THE PERIOD 03/26/13*-06/30/13 | FOR THE PERIOD 03/26/13*-06/30/13 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $26,225 | $7,550 | $37,455 | |||||||||
Total Income | 26,225 | 7,550 | 37,455 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 3,800 | 2,753 | 3,036 | |||||||||
Shareholder servicing fees | 1,900 | 917 | 1,138 | |||||||||
Custody, administration & accounting fees | 1,840 | 1,733 | 1,761 | |||||||||
Legal fees | 28 | 28 | 28 | |||||||||
Audit & tax fees | 20,459 | 20,459 | 25,722 | |||||||||
Shareholder reporting fees | 3,688 | 3,668 | 3,735 | |||||||||
Transfer agent fees | 4,709 | 4,048 | 4,194 | |||||||||
Trustee fees | 32 | 26 | 29 | |||||||||
Organization and offering costs | 8,572 | 8,572 | 8,572 | |||||||||
Distribution fees—Class N | 511 | 692 | 804 | |||||||||
Registration fees | 9,726 | 9,727 | 9,726 | |||||||||
Pricing fee | 785 | 2,525 | 3,982 | |||||||||
Other fees | 580 | 580 | 599 | |||||||||
Total Expenses | 56,630 | 55,728 | 63,326 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | (3,800) | (2,753) | (3,036) | |||||||||
Shareholder servicing fees waived | (1,900) | (917) | (1,138) | |||||||||
Expense reimbursements | (43,579) | (46,773) | (53,034) | |||||||||
Net Expenses | 7,351 | 5,285 | 6,118 | |||||||||
Net Investment Income (Loss) | 18,874 | 2,265 | 31,337 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | 28,550 | 2,817 | (11,862) | |||||||||
Foreign currency and foreign currency translations | — | — | (600) | |||||||||
Net realized gain (loss) | 28,550 | 2,817 | (12,462) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | (45,408) | 170,466 | (14,767) | |||||||||
Foreign currency and foreign currency translations | — | — | (251) | |||||||||
Net change in unrealized appreciation (depreciation) | (45,408) | 170,466 | (15,018) | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | (16,858) | 173,283 | (27,480) | |||||||||
Net increase (decrease) in net assets resulting from operations | $2,016 | $175,548 | $3,857 | |||||||||
† Net of foreign taxes withheld of | $— | $— | $4,156 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 107 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $5,513,145 | $9,761,325 | $10,582,062 | $14,157,497 | ||||||||||||
Net realized gain (loss) | 37,968,220 | 25,951,075 | 35,429,696 | 14,380,448 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 4,857,185 | 42,326,765 | (9,111,386) | 96,501,940 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 48,338,550 | 78,039,165 | 36,900,372 | 125,039,885 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (44,921) | — | (6,044,927) | ||||||||||||
Class N | — | (39,465) | — | (442,708) | ||||||||||||
Class Y | — | (13,830,600) | — | (14,968,277) | ||||||||||||
Total | — | (13,914,986) | — | (21,455,912) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (36,801) | — | — | ||||||||||||
Class N | — | (34,857) | — | — | ||||||||||||
Class Y | — | (9,350,410) | — | — | ||||||||||||
Total | — | (9,422,068) | — | — | ||||||||||||
Total distributions | — | (23,337,054) | — | (21,455,912) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 360,991 | 289,737 | 21,947,338 | 56,017,676 | ||||||||||||
Reinvestment of distributions | — | 81,722 | — | 5,225,139 | ||||||||||||
Cost of shares redeemed | (9,593) | (2,120,396) | (25,105,021) | (33,350,378) | ||||||||||||
Net increase (decrease) from capital transactions | 351,398 | (1,748,937) | (3,157,683) | 27,892,437 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 565,176 | 73,666 | 15,022,277 | 15,872,803 | ||||||||||||
Reinvestment of distributions | — | 74,323 | — | 442,505 | ||||||||||||
Cost of shares redeemed | (472,700) | (1,850,280) | (3,382,536) | (3,715,733) | ||||||||||||
Net increase (decrease) from capital transactions | 92,476 | (1,702,291) | 11,639,741 | 12,599,575 | ||||||||||||
CLASS Y | ||||||||||||||||
Proceeds from shares sold | — | — | 19,000,000 | 45,779,910 | ||||||||||||
Reinvestment of distributions | — | 23,181,009 | — | 14,968,276 | ||||||||||||
Cost of shares redeemed | (2,000) | (659,771) | (2,023,000) | (5,836,872) | ||||||||||||
Redemption fees | 2 | 4 | 20,704 | 32,284 | ||||||||||||
Net increase (decrease) from capital transactions | (1,998) | 22,521,242 | 16,997,704 | 54,943,598 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 441,876 | 19,070,014 | 25,479,762 | 95,435,610 | ||||||||||||
Total increase (decrease) in net assets | 48,780,426 | 73,772,125 | 62,380,134 | 199,019,583 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 475,556,526 | 401,784,401 | 687,096,958 | 488,077,375 | ||||||||||||
End of period | $524,336,952 | $475,556,526 | $749,477,092 | $687,096,958 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $4,937,921 | $(575,224) | $8,974,756 | $(1,607,306) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 109) |
108 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 55,196 | 210,532 | 19,233,566 | 16,066,790 | ||||||||||||
Shares sold | 29,394 | 25,557 | 1,976,052 | 6,218,133 | ||||||||||||
Shares issued on reinvestment of distributions | — | 7,336 | — | 524,610 | ||||||||||||
Shares redeemed | (748) | (188,229) | (2,237,552) | (3,575,967) | ||||||||||||
Shares outstanding, end of period | 83,842 | 55,196 | 18,972,066 | 19,233,566 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 45,729 | 202,461 | 1,492,563 | 133,174 | ||||||||||||
Shares sold | 44,535 | 6,817 | 1,366,473 | 1,698,841 | ||||||||||||
Shares issued on reinvestment of distributions | — | 6,690 | — | 43,639 | ||||||||||||
Shares redeemed | (38,104) | (170,239) | (305,083) | (383,091) | ||||||||||||
Shares outstanding, end of period | 52,160 | 45,729 | 2,553,953 | 1,492,563 | ||||||||||||
CLASS Y | ||||||||||||||||
Shares outstanding, beginning of period | 41,798,875 | 39,780,661 | 44,308,341 | 38,834,729 | ||||||||||||
Shares sold | — | — | 1,693,404 | 4,631,152 | ||||||||||||
Shares issued on reinvestment of distributions | — | 2,080,881 | — | 1,436,495 | ||||||||||||
Shares redeemed | (167) | (62,667) | (177,180) | (594,035) | ||||||||||||
Shares outstanding, end of period | 41,798,708 | 41,798,875 | 45,824,565 | 44,308,341 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 109 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR EMERGING DEFENSIVE EQUITY FUND | AQR INTERNATIONAL DEFENSIVE EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $76,771 | $49,290 | $143,225 | $33,252 | ||||||||||||
Net realized gain (loss) | (113,410) | 3,764 | 76,977 | 16,279 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (642,127) | 511,724 | (263,322) | 244,382 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (678,766) | 564,778 | (43,120) | 293,913 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (34,222) | — | (26,339) | ||||||||||||
Class N | — | (9,990) | — | (3,918) | ||||||||||||
Total | — | (44,212) | — | (30,257) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (11,427) | — | (16,369) | ||||||||||||
Class N | — | (4,811) | — | (4,353) | ||||||||||||
Total | — | (16,238) | — | (20,722) | ||||||||||||
Total distributions | — | (60,450) | — | (50,979) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 7,708,835 | 5,666,656 | 7,483,831 | 7,216,220 | ||||||||||||
Reinvestment of distributions | — | 45,649 | — | 42,708 | ||||||||||||
Cost of shares redeemed | (3,886,995) | (689,457) | (296,381) | (2,065,477) | ||||||||||||
Net increase (decrease) from capital transactions | 3,821,840 | 5,022,848 | 7,187,450 | 5,193,451 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 372,525 | 1,857,059 | 315,021 | 1,791,100 | ||||||||||||
Reinvestment of distributions | — | 14,801 | — | 8,271 | ||||||||||||
Cost of shares redeemed | (1,020,352) | (192,516) | (108,373) | (1,019,455) | ||||||||||||
Net increase (decrease) from capital transactions | (647,827) | 1,679,344 | 206,648 | 779,916 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 3,174,013 | 6,702,192 | 7,394,098 | 5,973,367 | ||||||||||||
Total increase (decrease) in net assets | 2,495,247 | 7,206,520 | 7,350,978 | 6,216,301 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 7,206,520 | — | 6,216,301 | — | ||||||||||||
End of period | $9,701,767 | $7,206,520 | $13,567,279 | $6,216,301 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $81,030 | $4,259 | $143,082 | $(143) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 111) |
110 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR EMERGING DEFENSIVE EQUITY FUND | AQR INTERNATIONAL DEFENSIVE EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 494,839 | — | 502,748 | — | ||||||||||||
Shares sold | 709,806 | 556,121 | 658,351 | 693,168 | ||||||||||||
Shares issued on reinvestment of distributions | — | 4,278 | — | 4,014 | ||||||||||||
Shares redeemed | (353,695) | (65,560) | (26,686) | (194,434) | ||||||||||||
Shares outstanding, end of period | 850,950 | 494,839 | 1,134,413 | 502,748 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 165,019 | — | 79,543 | — | ||||||||||||
Shares sold | 34,453 | 181,889 | 28,201 | 174,715 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,386 | — | 776 | ||||||||||||
Shares redeemed | (92,856) | (18,256) | (10,015) | (95,948) | ||||||||||||
Shares outstanding, end of period | 106,616 | 165,019 | 97,729 | 79,543 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 111 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR U.S. DEFENSIVE EQUITY FUND | AQR DIVERSIFIED ARBITRAGE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $113,964 | $44,795 | $19,537,631 | $18,967,706 | ||||||||||||
Net realized gain (loss) | 158,900 | (2,179) | (22,208,100) | 61,270,840 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 1,249,464 | 33,443 | 32,331,576 | (11,053,088) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,522,328 | 76,059 | 29,661,107 | 69,185,458 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (40,855) | — | (20,054,461) | ||||||||||||
Class N | — | (1,691) | — | (6,424,707) | ||||||||||||
Total | — | (42,546) | — | (26,479,168) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (4,695) | — | (8,252,742) | ||||||||||||
Class N | — | (316) | — | (3,609,101) | ||||||||||||
Total | — | (5,011) | — | (11,861,843) | ||||||||||||
Total distributions | — | (47,557) | — | (38,341,011) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 11,822,722 | 8,863,968 | 436,935,681 | 1,015,619,538 | ||||||||||||
Reinvestment of distributions | — | 45,549 | — | 24,177,205 | ||||||||||||
Cost of shares redeemed | (1,156,528) | (1,076,018) | (353,025,647) | (765,520,230) | ||||||||||||
Net increase (decrease) from capital transactions | 10,666,194 | 7,833,499 | 83,910,034 | 274,276,513 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 3,250,546 | 1,421,979 | 161,789,609 | 313,184,408 | ||||||||||||
Reinvestment of distributions | — | 2,007 | — | 9,826,792 | ||||||||||||
Cost of shares redeemed | (2,302,926) | (1,023,257) | (105,696,473) | (222,575,477) | ||||||||||||
Net increase (decrease) from capital transactions | 947,620 | 400,729 | 56,093,136 | 100,435,723 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 11,613,814 | 8,234,228 | 140,003,170 | 374,712,236 | ||||||||||||
Total increase (decrease) in net assets | 13,136,142 | 8,262,730 | 169,664,277 | 405,556,683 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 8,262,730 | — | 2,514,095,324 | 2,108,538,641 | ||||||||||||
End of period | $21,398,872 | $8,262,730 | $2,683,759,601 | $2,514,095,324 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $119,691 | $5,727 | $19,955,613 | $417,982 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 113) |
112 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR U.S. DEFENSIVE EQUITY FUND | AQR DIVERSIFIED ARBITRAGE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 771,572 | — | 158,688,997 | 133,778,788 | ||||||||||||
Shares sold | 1,036,840 | 872,439 | 39,234,883 | 91,852,169 | ||||||||||||
Shares issued on reinvestment of distributions | — | 4,479 | — | 2,195,928 | ||||||||||||
Shares redeemed | (108,661) | (105,346) | (31,706,739) | (69,137,888) | ||||||||||||
Shares outstanding, end of period | 1,699,751 | 771,572 | 166,217,141 | 158,688,997 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 41,347 | — | 69,181,212 | 60,071,714 | ||||||||||||
Shares sold | 288,805 | 141,350 | 14,587,767 | 28,441,266 | ||||||||||||
Shares issued on reinvestment of distributions | — | 197 | — | 894,936 | ||||||||||||
Shares redeemed | (198,291) | (100,200) | (9,530,775) | (20,226,704) | ||||||||||||
Shares outstanding, end of period | 131,861 | 41,347 | 74,238,204 | 69,181,212 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 113 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $2,921,386 | $7,340,127 | $695,587 | $1,800,500 | ||||||||||||
Net realized gain (loss) | 16,615,323 | 13,466,529 | 7,828,876 | 7,037,857 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 53,536,169 | 39,530,778 | 18,877,683 | 12,331,774 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 73,072,878 | 60,337,434 | 27,402,146 | 21,170,131 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | — | (7,610,158) | — | (1,541,164) | ||||||||||||
Total | — | (7,610,158) | — | (1,541,164) | ||||||||||||
Total distributions | — | (7,610,158) | — | (1,541,164) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 126,356,716 | 231,326,342 | 37,265,129 | 50,077,757 | ||||||||||||
Reinvestment of distributions | — | 7,604,346 | — | 1,537,931 | ||||||||||||
Cost of shares redeemed | (64,855,150) | (104,299,857) | (16,688,513) | (26,009,044) | ||||||||||||
Net increase (decrease) from capital transactions | 61,501,566 | 134,630,831 | 20,576,616 | 25,606,644 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 15,170,817 | 58,966,793(a) | 115,780 | 10,000(a) | ||||||||||||
Cost of shares redeemed | (7,747,299) | (216,871) | (11,100) | — | ||||||||||||
Net increase (decrease) from capital transactions | 7,423,518 | 58,749,922 | 104,680 | 10,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 68,925,084 | 193,380,753 | 20,681,296 | 25,616,644 | ||||||||||||
Total increase (decrease) in net assets | 141,997,962 | 246,108,029 | 48,083,442 | 45,245,611 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 548,863,313 | 302,755,284 | 145,779,965 | 100,534,354 | ||||||||||||
End of period | $690,861,275 | $548,863,313 | $193,863,407 | $145,779,965 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $3,148,499 | $227,113 | $841,686 | $146,099 | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 30,541,508 | 21,793,766 | 8,871,777 | 7,238,497 | ||||||||||||
Shares sold | 7,204,675 | 14,895,037 | 2,027,912 | 3,211,497 | ||||||||||||
Shares issued on reinvestment of distributions | — | 481,898 | — | 97,153 | ||||||||||||
Shares redeemed | (3,689,346) | (6,629,193) | (900,323) | (1,675,370) | ||||||||||||
Shares outstanding, end of period | 34,056,837 | 30,541,508 | 9,999,366 | 8,871,777 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 3,638,858 | —(a) | 622 | —(a) | ||||||||||||
Shares sold | 873,237 | 3,652,468 | 6,432 | 622 | ||||||||||||
Shares redeemed | (436,628) | (13,610) | (622) | — | ||||||||||||
Shares outstanding, end of period | 4,075,467 | 3,638,858 | 6,432 | 622 |
(a) | Commencement of offering class of shares effective December 17, 2012. |
The accompanying notes are an integral part of these financial statements. |
114 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR INTERNATIONAL MOMENTUM FUND | AQR TAX-MANAGED MOMENTUM FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 1/27/12*-12/31/12 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $2,098,181 | $2,524,674 | $40,859 | $55,098 | ||||||||||||
Net realized gain (loss) | 4,093,531 | 1,155,067 | 51,885 | 20,369 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 1,379,677 | 13,708,882 | 742,190 | 290,968 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 7,571,389 | 17,388,623 | 834,934 | 366,435 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | — | (2,965,770) | — | (58,114) | ||||||||||||
Total | — | (2,965,770) | — | (58,114) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class L | — | — | — | (35,669) | ||||||||||||
Total | — | — | — | (35,669) | ||||||||||||
Total distributions | — | (2,965,770) | — | (93,783) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 56,420,336 | 54,777,235 | 3,639,514 | 5,727,135 | ||||||||||||
Reinvestment of distributions | — | 2,965,195 | — | 93,783 | ||||||||||||
Cost of shares redeemed | (11,718,114) | (21,716,680) | (531,728) | (52,741) | ||||||||||||
Net increase (decrease) from capital transactions | 44,702,222 | 36,025,750 | 3,107,786 | 5,768,177 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 25,710,734 | 11,000(a) | 100,000 | 10,000(a) | ||||||||||||
Cost of shares redeemed | (1,503,021) | — | (10,594) | — | ||||||||||||
Net increase (decrease) from capital transactions | 24,207,713 | 11,000 | 89,406 | 10,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 68,909,935 | 36,036,750 | 3,197,192 | 5,778,177 | ||||||||||||
Total increase (decrease) in net assets | 76,481,324 | 50,459,603 | 4,032,126 | 6,050,829 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 127,684,514 | 77,224,911 | 6,050,829 | — | ||||||||||||
End of period | $204,165,838 | $127,684,514 | $10,082,955 | $6,050,829 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $1,784,446 | $(313,735) | $44,313 | $3,454 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 116) |
AQR Funds | Semi-Annual Report | June 2013 | 115 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR INTERNATIONAL MOMENTUM FUND | AQR TAX-MANAGED MOMENTUM FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 1/27/12*-12/31/12 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 9,757,051 | 6,789,578 | 542,643 | — | ||||||||||||
Shares sold | 4,003,426 | 4,490,971 | 296,192 | 538,821 | ||||||||||||
Shares issued on reinvestment of distributions | — | 229,327 | — | 8,557 | ||||||||||||
Shares redeemed | (827,022) | (1,752,825) | (44,718) | (4,735) | ||||||||||||
Shares outstanding, end of period | 12,933,455 | 9,757,051 | 794,117 | 542,643 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 849 | —(a) | 899 | —(a) | ||||||||||||
Shares sold | 1,829,529 | 849 | 8,489 | 899 | ||||||||||||
Shares redeemed | (104,593) | — | (899) | — | ||||||||||||
Shares outstanding, end of period | 1,725,785 | 849 | 8,489 | 899 |
* | Commencement of operations. |
(a) | Commencement of offering class of shares effective December 17, 2012. |
The accompanying notes are an integral part of these financial statements. |
116 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 1/27/12*-12/31/12 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 1/27/12*-12/31/12 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $14,588 | $46,220 | $79,456 | $80,248 | ||||||||||||
Net realized gain (loss) | 26,037 | 14,572 | 158,673 | 24,701 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 650,447 | 272,089 | 128,278 | 512,452 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 691,072 | 332,881 | 366,407 | 617,401 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | — | (43,740) | — | (91,118) | ||||||||||||
Total | — | (43,740) | — | (91,118) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class L | — | — | — | (8,768) | ||||||||||||
Total | — | — | — | (8,768) | ||||||||||||
Total distributions | — | (43,740) | — | (99,886) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 896,419 | 3,103,895 | 671,163 | 5,127,939 | ||||||||||||
Reinvestment of distributions | — | 43,740 | — | 99,886 | ||||||||||||
Cost of shares redeemed | (105,595) | (1,566) | (191,779) | (6,508) | ||||||||||||
Net increase (decrease) from capital transactions | 790,824 | 3,146,069 | 479,384 | 5,221,317 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 100,000 | 10,000(a) | 100,000 | 10,000(a) | ||||||||||||
Cost of shares redeemed | (11,109) | — | (10,602) | — | ||||||||||||
Net increase (decrease) from capital transactions | 88,891 | 10,000 | 89,398 | 10,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 879,715 | 3,156,069 | 568,782 | 5,231,317 | ||||||||||||
Total increase (decrease) in net assets | 1,570,787 | 3,445,210 | 935,189 | 5,748,832 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 3,445,210 | — | 5,748,832 | — | ||||||||||||
End of period | $5,015,997 | $3,445,210 | $6,684,021 | $5,748,832 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $18,451 | $3,863 | $65,272 | $(14,184) | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 307,953 | — | 510,465 | — | ||||||||||||
Shares sold | 69,749 | 304,030 | 54,812 | 502,067 | ||||||||||||
Shares issued on reinvestment of distributions | — | 4,069 | — | 8,983 | ||||||||||||
Shares redeemed | (8,405) | (146) | (15,754) | (585) | ||||||||||||
Shares outstanding, end of period | 369,297 | 307,953 | 549,523 | 510,465 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 917 | —(a) | 898 | —(a) | ||||||||||||
Shares sold | 8,251 | 917 | 8,468 | 898 | ||||||||||||
Shares redeemed | (917) | — | (898) | — | ||||||||||||
Shares outstanding, end of period | 8,251 | 917 | 8,468 | 898 |
* | Commencement of operations. |
(a) | Commencement of offering class of shares effective December 17, 2012. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 117 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2013 |
AQR CORE EQUITY FUND | AQR SMALL CAP CORE EQUITY FUND | AQR INTERNATIONAL CORE EQUITY FUND | ||||||||||
FOR THE PERIOD 3/26/13*-6/30/13 (Unaudited) | FOR THE PERIOD 3/26/13*-6/30/13 (Unaudited) | FOR THE PERIOD 3/26/13*-6/30/13 (Unaudited) | ||||||||||
OPERATIONS: | ||||||||||||
Net investment income (loss) | $18,874 | $2,265 | $31,337 | |||||||||
Net realized gain (loss) | 28,550 | 2,817 | (12,462) | |||||||||
Net change in unrealized appreciation (depreciation) | (45,408) | 170,466 | (15,018) | |||||||||
Net increase (decrease) in net assets resulting from operations | 2,016 | 175,548 | 3,857 | |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
CLASS L | ||||||||||||
Proceeds from shares sold | 10,493,206 | 2,295,029 | 2,432,245 | |||||||||
Cost of shares redeemed | (1,054,000) | (730,509) | (450,000) | |||||||||
Net increase (decrease) from capital transactions | 9,439,206 | 1,564,520 | 1,982,245 | |||||||||
CLASS N | ||||||||||||
Proceeds from shares sold | 1,415,818 | 1,026,055 | 1,416,978 | |||||||||
Cost of shares redeemed | (900,000) | — | — | |||||||||
Net increase (decrease) from capital transactions | 515,818 | 1,026,055 | 1,416,978 | |||||||||
Net increase (decrease) in net assets resulting from capital transactions | 9,955,024 | 2,590,575 | 3,399,223 | |||||||||
Total increase (decrease) in net assets | 9,957,040 | 2,766,123 | 3,403,080 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of period | — | — | — | |||||||||
End of period | $9,957,040 | $2,766,123 | $3,403,080 | |||||||||
Undistributed accumulated net investment income (loss) at end of period | $18,874 | $2,265 | $31,337 | |||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||
CLASS L | ||||||||||||
Shares outstanding, beginning of period | — | — | — | |||||||||
Shares sold | 998,644 | 222,691 | 237,208 | |||||||||
Shares redeemed | (100,000) | (68,793) | (43,594) | |||||||||
Shares outstanding, end of period | 898,644 | 153,898 | 193,614 | |||||||||
CLASS N | ||||||||||||
Shares outstanding, beginning of period | — | — | — | |||||||||
Shares sold | 139,761 | 102,553 | 139,288 | |||||||||
Shares redeemed | (85,389) | — | — | |||||||||
Shares outstanding, end of period | 54,372 | 102,553 | 139,288 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
118 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statement of Cash Flows | June 30, 2013 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net increase in net assets resulting from operations | $29,661,107 | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
Payments to purchase securities | (3,439,831,712) | |||
Payments to cover short securities | (778,827,847) | |||
Proceeds from securities sold short | 778,653,219 | |||
Proceeds from sale of securities | 3,368,796,496 | |||
Realized gain on investments in securities | (41,953,595) | |||
Realized loss on securities sold short and written options | 27,108,765 | |||
Change in unrealized appreciation on investments in securities | (29,148,621) | |||
Change in unrealized depreciation on securities sold short and written options | 25,693,088 | |||
Amortization of bond premium | 614,864 | |||
Increases (decreases) in operating assets: | ||||
Due from brokers | (21,279,696) | |||
Unrealized appreciation on forward foreign currency exchange contracts | (1,477,817) | |||
Swaps, at value | (36,811,722) | |||
Unrealized appreciation on futures contracts | (3,366,745) | |||
Receivable for securities sold | (151,103,287) | |||
Foreign tax reclaim | 846 | |||
Dividends and interest | 621,214 | |||
Prepaid expenses | 106,238 | |||
Increases (decreases) in operating liabilities | ||||
Due to custodian/broker | 1,630,000 | |||
Unrealized depreciation on forward foreign currency exchange contracts | (1,332,581) | |||
Swaps, at value | (873,060) | |||
Payable for securities purchased | 107,564,598 | |||
Collateral received on securities loaned | (46,397) | |||
Accrued Investment advisory fees | 51,808 | |||
Accrued Distribution fees—Class N | 8,443 | |||
Dividends on securities sold short | 793,990 | |||
Other accrued expenses | (112,734) | |||
Net cash used in operating activities | $(164,861,138) | |||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Proceeds from shares sold | 599,903,750 | |||
Payments on shares redeemed | (461,986,694) | |||
Net cash provided by financing activities | $137,917,056 | |||
Net change in cash | (26,944,082) | |||
Cash, beginning of period | 34,722,274 | |||
Cash, end of period | $7,778,192 |
Supplemental disclosure of cash flow information:
Cash paid during the year for interest in the amount of $1,201,187.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 119 | |||||||||||||
Financial Highlights | June 30, 2013 |
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) | 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 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.35 | 0.11 | 1.01 | 1.12 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.99 | 0.20 | 1.69 | 1.89 | (0.29) | (0.24) | (0.53) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.97 | 0.21 | (0.95) | (0.74) | (0.11) | (0.13) | (0.24) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20105 | $10.00 | 0.16 | 1.25 | 1.41 | (0.36) | (0.08) | (0.44) | |||||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.32 | 0.08 | 1.02 | 1.10 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.97 | 0.16 | 1.70 | 1.86 | (0.27) | (0.24) | (0.51) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.97 | 0.16 | (0.94) | (0.78) | (0.09) | (0.13) | (0.22) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,5 | $10.00 | 0.13 | 1.25 | 1.38 | (0.33) | (0.08) | (0.41) | |||||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)†,5 | $11.35 | 0.13 | 1.02 | 1.15 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012†,5 | $10.00 | 0.24 | 1.70 | 1.94 | (0.35) | (0.24) | (0.59) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.99 | 0.24 | (0.94) | (0.70) | (0.16) | (0.13) | (0.29) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20105 | $10.00 | 0.18 | 1.27 | 1.45 | (0.38) | (0.08) | (0.46) | |||||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.24 | 0.14 | 0.39 | 0.53 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $8.60 | 0.20 | 1.76 | 1.96 | (0.32) | — | (0.32) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.45 | 0.21 | (1.78) | (1.57) | (0.21) | (0.07) | (0.28) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,5 | $9.78 | 0.16 | 0.84 | 1.00 | (0.24) | (0.09) | (0.33) | |||||||||||||||||||||
FOR THE PERIOD ENDED 9/30/096—12/31/09†,5 | $10.00 | (0.01) | 0.22 | 0.21 | (0.14) | (0.29) | (0.43) | |||||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.43 | 0.12 | 0.40 | 0.52 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $8.76 | 0.19 | 1.76 | 1.95 | (0.28) | — | (0.28) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.61 | 0.20 | (1.83) | (1.63) | (0.15) | (0.07) | (0.22) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20105 | $9.91 | 0.14 | 0.88 | 1.02 | (0.23) | (0.09) | (0.32) | |||||||||||||||||||||
FOR THE PERIOD ENDED 9/30/096—12/31/095 | $10.00 | — | 0.20 | 0.20 | — | (0.29) | (0.29) | |||||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)†,5 | $10.71 | 0.17 | 0.41 | 0.58 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012†,5 | $8.98 | 0.25 | 1.83 | 2.08 | (0.35) | — | (0.35) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.89 | 0.28 | (1.88) | (1.60) | (0.24) | (0.07) | (0.31) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,5 | $10.16 | 0.20 | 0.89 | 1.09 | (0.27) | (0.09) | (0.36) | |||||||||||||||||||||
FOR THE PERIOD ENDED 8/28/098—12/31/09†,5 | $10.00 | 0.03 | 0.57 | 0.60 | (0.15) | (0.29) | (0.44) |
* | Annualized for periods less than one year. |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | 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. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
4 | Portfolio turnover is not annualized. |
5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
6 | Commencement of offering of shares. |
7 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses incurred by the Fund were not annualized for the period ended December 31, 2012. |
8 | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
120 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Financial Highlights | June 30, 2013 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$12.47 | 9.87 | % | $1,045,862 | 0.95 | % | 0.95 | % | 2.36 | % | 1.73 | % | 48 | % | |||||||||||||||||||
$11.35 | 18.95 | % | $626,448 | 0.95 | % | 0.94 | % | 1.41 | % | 1.83 | % | 87 | % | |||||||||||||||||||
$9.99 | (6.68 | )% | $2,102,815 | 0.96 | % | 0.95 | % | 2.03 | % | 1.90 | % | 59 | % | |||||||||||||||||||
$10.97 | 14.12 | % | $1,841,838 | 0.79 | % | 0.79 | % | 0.79 | % | 1.41 | % | 72 | % | |||||||||||||||||||
$12.42 | 9.72 | % | $647,844 | 1.25 | % | 1.25 | % | 3.15 | % | 1.37 | % | 48 | % | |||||||||||||||||||
$11.32 | 18.67 | % | $517,504 | 1.25 | % | 1.24 | % | 1.87 | % | 1.51 | % | 87 | % | |||||||||||||||||||
$9.97 | (7.03 | )% | $2,019,253 | 1.27 | % | 1.26 | % | 3.22 | % | 1.46 | % | 59 | % | |||||||||||||||||||
$10.97 | 13.83 | % | $1,497,723 | 1.10 | % | 1.10 | % | 1.10 | % | 1.28 | % | 72 | % | |||||||||||||||||||
$12.50 | 10.13 | % | $522,643,246 | 0.48 | % | 0.47 | % | 0.47 | % | 2.15 | % | 48 | % | |||||||||||||||||||
$11.35 | 19.45 | % | $474,412,574 | 0.51 | % | 0.50 | % | 0.51 | % | 2.24 | % | 87 | % | |||||||||||||||||||
$10.00 | (6.22 | )% | $397,662,333 | 0.52 | % | 0.51 | % | 0.52 | % | 2.21 | % | 59 | % | |||||||||||||||||||
$10.99 | 14.54 | % | $424,346,157 | 0.50 | % | 0.50 | % | 0.71 | % | 1.81 | % | 72 | % | |||||||||||||||||||
$10.77 | 5.18 | % | $204,350,543 | 0.90 | % | 0.90 | % | 0.90 | % | 2.65 | % | 22 | % | |||||||||||||||||||
$10.24 | 22.87 | % | $196,971,397 | 0.91 | % | 0.90 | % | 0.91 | % | 2.17 | % | 74 | % | |||||||||||||||||||
$8.60 | (15.00 | )% | $138,229,387 | 0.94 | % | 0.93 | % | 0.94 | % | 2.13 | % | 60 | % | |||||||||||||||||||
$10.45 | 10.40 | % | $85,968,655 | 0.90 | % | 0.90 | % | 1.03 | % | 1.72 | % | 93 | % | |||||||||||||||||||
$9.78 | 2.20 | % | $44,016,038 | 0.90 | % | 0.90 | % | 1.01 | % | (0.47 | )% | 29 | % | |||||||||||||||||||
$10.95 | 4.99 | % | $27,959,092 | 1.27 | % | 1.27 | % | 1.27 | % | 2.27 | % | 22 | % | |||||||||||||||||||
$10.43 | 22.41 | % | $15,561,822 | 1.28 | % | 1.27 | % | 1.28 | % | 2.00 | % | 74 | % | |||||||||||||||||||
$8.76 | (15.27 | )% | $1,166,515 | 1.35 | % | 1.34 | % | 2.18 | % | 1.96 | % | 60 | % | |||||||||||||||||||
$10.61 | 10.40 | % | $1,472,368 | 1.25 | % | 1.25 | % | 3.50 | % | 1.51 | % | 93 | % | |||||||||||||||||||
$9.91 | 2.04 | % | $5,785 | 1.25 | % | 1.25 | % | 472.86 | %7 | (0.07 | )% | 29 | % | |||||||||||||||||||
$11.29 | 5.42 | % | $517,167,457 | 0.54 | % | 0.54 | % | 0.54 | % | 3.00 | % | 22 | % | |||||||||||||||||||
$10.71 | 23.26 | % | $474,563,739 | 0.56 | % | 0.55 | % | 0.56 | % | 2.52 | % | 74 | % | |||||||||||||||||||
$8.98 | (14.66 | )% | $348,681,473 | 0.58 | % | 0.57 | % | 0.58 | % | 2.63 | % | 60 | % | |||||||||||||||||||
$10.89 | 10.84 | % | $371,799,177 | 0.55 | % | 0.55 | % | 0.77 | % | 2.02 | % | 93 | % | |||||||||||||||||||
$10.16 | 6.08 | % | $360,491,107 | 0.55 | % | 0.55 | % | 0.98 | % | 0.99 | % | 29 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 121 | |||||||||||||
Financial Highlights | June 30, 2013 |
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) | 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 EMERGING DEFENSIVE EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.92 | 0.11 | (0.90) | (0.79) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.10 | 0.94 | 1.04 | (0.09) | (0.03) | (0.12) | |||||||||||||||||||||
AQR EMERGING DEFENSIVE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.93 | 0.09 | (0.88) | (0.79) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.08 | 0.94 | 1.02 | (0.06) | (0.03) | (0.09) | |||||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.67 | 0.17 | 0.17 | 0.34 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.10 | 0.67 | 0.77 | (0.06) | (0.04) | (0.10) | |||||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.69 | 0.14 | 0.18 | 0.32 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.08 | 0.68 | 0.76 | (0.03) | (0.04) | (0.07) | |||||||||||||||||||||
AQR U.S. DEFENSIVE EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.16 | 0.09 | 1.43 | 1.52 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.14 | 7 | 0.10 | 0.24 | (0.07) | (0.01) | (0.08) | ||||||||||||||||||||
AQR U.S. DEFENSIVE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.18 | 0.07 | 1.44 | 1.51 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.08 | 7 | 0.15 | 0.23 | (0.04) | (0.01) | (0.05) | ||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.05 | 0.09 | 0.04 | 0.13 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.89 | 0.10 | 7 | 0.24 | 0.34 | (0.13) | (0.05) | (0.18) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20115 | $11.15 | 0.13 | (0.02) | 0.11 | (0.09) | (0.28) | (0.37) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.80 | 0.06 | 0.46 | 0.52 | (0.04) | (0.13) | (0.17) | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/15/096—12/31/09†,5 | $10.00 | 0.13 | 0.79 | 0.92 | (0.03) | (0.09) | (0.12) | |||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.01 | 0.07 | 0.04 | 0.11 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.85 | 0.06 | 7 | 0.24 | 0.30 | (0.09) | (0.05) | (0.14) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $11.12 | 0.10 | (0.02) | 0.08 | (0.07) | (0.28) | (0.35) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.78 | 0.05 | 0.43 | 0.48 | (0.01) | (0.13) | (0.14) | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/15/096—12/31/09†,5 | $10.00 | 0.10 | 0.79 | 0.89 | (0.02) | (0.09) | (0.11) |
* | Annualized for periods less than one year. |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | 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. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
4 | Portfolio turnover is not annualized. |
5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
6 | Commencement of operations. |
7 | For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR U.S. Defensive Equity Fund—Class I | $ | 0.11 | 2.58 | % | ||||
AQR U.S. Defensive Equity Fund—Class N | 0.05 | 1.38 | ||||||
AQR Diversified Arbitrage Fund—Class I | 0.08 | 0.73 | ||||||
AQR Diversified Arbitrage Fund—Class N | 0.04 | 0.42 |
8 | For the year ended December 31, 2010, the Adviser contributed $544,199 into the Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Adviser’s contribution increased the total return by 0.08%. |
The accompanying notes are an integral part of these financial statements. |
122 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Financial Highlights | June 30, 2013 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$10.13 | (7.23 | )% | $8,621,076 | 1.05 | % | 1.05 | % | 2.71 | % | 2.05 | % | 44 | % | |||||||||||||||||||
$10.92 | 10.39 | % | $5,402,251 | 1.15 | % | 1.15 | % | 4.14 | % | 1.92 | % | 38 | % | |||||||||||||||||||
$10.14 | (7.23 | )% | $1,080,691 | 1.34 | % | 1.33 | % | 3.82 | % | 1.65 | % | 44 | % | |||||||||||||||||||
$10.93 | 10.22 | % | $1,804,269 | 1.40 | % | 1.40 | % | 5.41 | % | 1.67 | % | 38 | % | |||||||||||||||||||
$11.01 | 3.19 | % | $12,490,975 | 0.79 | % | 0.79 | % | 2.16 | % | 2.99 | % | 75 | % | |||||||||||||||||||
$10.67 | 7.69 | % | $5,366,031 | 0.90 | % | 0.90 | % | 5.00 | % | 1.91 | % | 81 | % | |||||||||||||||||||
$11.01 | 2.99 | % | $1,076,304 | 1.06 | % | 1.06 | % | 4.04 | % | 2.58 | % | 75 | % | |||||||||||||||||||
$10.69 | 7.62 | % | $850,270 | 1.15 | % | 1.15 | % | 6.96 | % | 1.61 | % | 81 | % | |||||||||||||||||||
$11.68 | 14.96 | % | $19,857,986 | 0.63 | % | 0.63 | % | 1.32 | % | 1.63 | % | 87 | % | |||||||||||||||||||
$10.16 | 2.34 | % | $7,841,840 | 0.75 | % | 0.75 | % | 3.90 | % | 2.90 | %7 | 141 | % | |||||||||||||||||||
$11.69 | 14.83 | % | $1,540,886 | 0.90 | % | 0.90 | % | 2.42 | % | 1.26 | % | 87 | % | |||||||||||||||||||
$10.18 | 2.29 | % | $420,890 | 1.00 | % | 1.00 | % | 9.36 | % | 1.70 | %7 | 141 | % | |||||||||||||||||||
$11.18 | 1.18 | % | $1,857,940,431 | 1.69 | % | 1.20 | % | 1.69 | % | 1.59 | % | 217 | % | |||||||||||||||||||
$11.05 | 3.13 | % | $1,752,723,858 | 2.30 | % | 1.21 | % | 2.32 | % | 0.88 | %7 | 312 | % | |||||||||||||||||||
$10.89 | 0.99 | % | $1,456,748,122 | 2.75 | % | 1.20 | % | 2.84 | % | 1.18 | % | 298 | % | |||||||||||||||||||
$11.15 | 4.81 | %8 | $824,237,659 | 2.59 | % | 1.20 | % | 2.62 | % | 1.13 | % | 361 | % | |||||||||||||||||||
$10.80 | 9.24 | % | $160,026,814 | 2.46 | % | 1.20 | % | 3.25 | % | 1.30 | % | 482 | % | |||||||||||||||||||
$11.12 | 1.00 | % | $825,819,170 | 1.94 | % | 1.45 | % | 1.94 | % | 1.33 | % | 217 | % | |||||||||||||||||||
$11.01 | 2.83 | % | $761,371,466 | 2.62 | % | 1.52 | % | 2.62 | % | 0.57 | %7 | 312 | % | |||||||||||||||||||
$10.85 | 0.68 | % | $651,790,519 | 3.05 | % | 1.50 | % | 3.08 | % | 0.89 | % | 298 | % | |||||||||||||||||||
$11.12 | 4.52 | %8 | $382,758,131 | 2.89 | % | 1.50 | % | 2.92 | % | 0.85 | % | 361 | % | |||||||||||||||||||
$10.78 | 8.88 | % | $79,054,890 | 2.69 | % | 1.50 | % | 3.42 | % | 0.98 | % | 482 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 123 | |||||||||||||
Financial Highlights | June 30, 2013 |
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) | 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 MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.06 | 0.08 | 1.98 | 2.06 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $13.89 | 0.26 | 9 | 2.16 | 2.42 | (0.25) | — | (0.25) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $14.40 | 0.15 | (0.54) | (0.39) | (0.09) | (0.03) | (0.12) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $12.19 | 0.06 | 2.21 | 2.27 | (0.02) | (0.04) | (0.06) | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5 | $10.00 | 0.07 | 2.48 | 2.55 | (0.05) | (0.31) | (0.36) | |||||||||||||||||||||
AQR MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.05 | 0.06 | 1.98 | 2.04 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 12/17/126—12/31/125 | $16.02 | 0.01 | 9 | 0.02 | 0.03 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.43 | 0.07 | 2.88 | 2.95 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $13.89 | 0.22 | 9 | 2.50 | 2.72 | (0.18) | — | (0.18) | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $14.39 | 0.04 | (0.42) | (0.38) | (0.02) | (0.10) | (0.12) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $11.40 | 0.03 | 3.13 | 3.16 | (0.03) | (0.14) | (0.17) | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5 | $10.00 | 0.04 | 2.06 | 2.10 | (0.03) | (0.67) | (0.70) | |||||||||||||||||||||
AQR SMALL CAP MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.43 | 0.06 | 2.86 | 2.92 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 12/17/126—12/31/125 | $16.09 | 0.02 | 9 | 0.32 | 0.34 | — | — | — | ||||||||||||||||||||
AQR INTERNATIONAL MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $13.09 | 0.17 | 0.67 | 0.84 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $11.37 | 0.29 | 1.74 | 2.03 | (0.31) | — | (0.31) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $13.62 | 0.29 | (2.26) | (1.97) | (0.28) | — | (0.28) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $11.98 | 0.08 | 1.62 | 1.70 | (0.05) | (0.01) | (0.06) | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5 | $10.00 | 0.04 | 2.26 | 2.30 | (0.09) | (0.23) | (0.32) | |||||||||||||||||||||
AQR INTERNATIONAL MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $13.08 | 0.22 | 0.61 | 0.83 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 12/17/126—12/31/125 | $12.95 | — | 0.13 | 0.13 | — | — | — | |||||||||||||||||||||
AQR TAX-MANAGED MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.13 | 0.06 | 1.37 | 1.43 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/27/128—12/31/125 | $10.00 | 0.19 | 9 | 1.17 | 1.36 | (0.14) | (0.09) | (0.23) | ||||||||||||||||||||
AQR TAX-MANAGED MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.13 | 0.05 | 1.36 | 1.41 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 12/17/126—12/31/125 | $11.12 | 0.01 | 9 | — | 0.01 | — | — | — |
* | Annualized for periods less than one year. |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | 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. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
4 | Portfolio turnover is not annualized. |
5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
6 | Commencement of offering of shares. |
7 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses incurred by the Fund were not annualized for the period ended December 31, 2012. |
8 | Commencement of operations. |
9 | For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Momentum Fund—Class L | $ | 0.24 | 1.57 | % | ||||
AQR Momentum Fund—Class N | 0.01 | 1.07 | ||||||
AQR Small Cap Momentum Fund—Class L | 0.15 | 1.01 | ||||||
AQR Small Cap Momentum Fund—Class N | 0.02 | 2.93 | ||||||
AQR Tax-Managed Momentum Fund—Class L | 0.17 | 1.76 | ||||||
AQR Tax-Managed Momentum Fund—Class N | 0.01 | 2.28 |
The accompanying notes are an integral part of these financial statements. |
124 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Financial Highlights | June 30, 2013 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3 | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$18.12 | 12.83 | % | $617,118,812 | 0.49 | % | 0.49 | % | 0.56 | % | 0.95 | % | 40 | % | |||||||||||||||||||
$16.06 | 17.49 | % | $490,441,577 | 0.50 | % | 0.49 | % | 0.58 | % | 1.69 | %9 | 68 | % | |||||||||||||||||||
$13.89 | (2.68 | )% | $302,755,284 | 0.50 | % | 0.49 | % | 0.67 | % | 1.07 | % | 162 | % | |||||||||||||||||||
$14.40 | 18.60 | % | $124,491,353 | 0.49 | % | 0.49 | % | 0.98 | % | 1.37 | % | 180 | % | |||||||||||||||||||
$12.19 | 25.58 | % | $6,932,575 | 0.49 | % | 0.49 | % | 5.08 | % | 1.23 | % | 163 | % | |||||||||||||||||||
$18.09 | 12.71 | % | $73,742,463 | 0.74 | % | 0.74 | % | 0.86 | % | 0.70 | % | 40 | % | |||||||||||||||||||
$16.05 | 0.19 | % | $58,421,736 | 0.75 | % | 0.74 | % | 0.82 | % | 1.19 | %9 | 68 | % | |||||||||||||||||||
$19.38 | 17.95 | % | $193,738,926 | 0.65 | % | 0.65 | % | 0.69 | % | 0.80 | % | 34 | % | |||||||||||||||||||
$16.43 | 19.62 | % | $145,769,751 | 0.66 | % | 0.65 | % | 0.72 | % | 1.44 | %9 | 73 | % | |||||||||||||||||||
$13.89 | (2.62 | )% | $100,534,354 | 0.66 | % | 0.65 | % | 0.85 | % | 0.26 | % | 121 | % | |||||||||||||||||||
$14.39 | 27.69 | % | $54,504,582 | 0.65 | % | 0.65 | % | 1.85 | % | 0.66 | % | 380 | % | |||||||||||||||||||
$11.40 | 21.24 | % | $3,239,605 | 0.65 | % | 0.65 | % | 7.53 | % | 0.65 | % | 136 | % | |||||||||||||||||||
$19.35 | 17.77 | % | $124,481 | 0.90 | % | 0.90 | % | 34.08 | % | 0.63 | % | 34 | % | |||||||||||||||||||
$16.43 | 2.11 | % | $10,214 | 0.90 | % | 0.90 | % | 135.33 | %7 | 3.36 | %9 | 73 | % | |||||||||||||||||||
$13.93 | 6.42 | % | $180,168,439 | 0.65 | % | 0.65 | % | 0.73 | % | 2.37 | % | 67 | % | |||||||||||||||||||
$13.09 | 17.92 | % | $127,673,412 | 0.66 | % | 0.65 | % | 0.80 | % | 2.41 | % | 116 | % | |||||||||||||||||||
$11.37 | (14.42 | )% | $77,224,911 | 0.66 | % | 0.65 | % | 0.97 | % | 2.23 | % | 203 | % | |||||||||||||||||||
$13.62 | 14.20 | % | $62,091,379 | 0.65 | % | 0.65 | % | 1.46 | % | 1.44 | % | 269 | % | |||||||||||||||||||
$11.98 | 23.08 | % | $29,762,053 | 0.65 | % | 0.65 | % | 2.22 | % | 0.63 | % | 160 | % | |||||||||||||||||||
$13.91 | 6.35 | % | $23,997,399 | 0.90 | % | 0.90 | % | 1.07 | % | 3.04 | % | 67 | % | |||||||||||||||||||
$13.08 | 1.00 | % | $11,102 | 0.90 | % | 0.90 | % | 132.42 | %7 | 0.25 | % | 116 | % | |||||||||||||||||||
$12.56 | 12.85 | % | $9,976,496 | 0.55 | % | 0.54 | % | 1.65 | % | 1.05 | % | 83 | % | |||||||||||||||||||
$11.13 | 13.67 | % | $6,040,821 | 0.55 | % | 0.54 | % | 4.57 | % | 1.89 | %9 | 93 | % | |||||||||||||||||||
$12.54 | 12.67 | % | $106,459 | 0.79 | % | 0.79 | % | 24.46 | % | 0.77 | % | 83 | % | |||||||||||||||||||
$11.13 | 0.09 | % | $10,008 | 0.79 | % | 0.79 | % | 15.32 | %7 | 2.41 | %9 | 93 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 125 | |||||||||||||
Financial Highlights | June 30, 2013 |
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) | 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 TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.15 | 0.04 | 2.10 | 2.14 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/27/128—12/31/125 | $10.00 | 0.19 | 9 | 1.11 | 1.30 | (0.15) | — | (0.15) | ||||||||||||||||||||
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.15 | 0.03 | 2.08 | 2.11 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 12/17/126—12/31/125 | $10.91 | 0.02 | 9 | 0.22 | 0.24 | — | — | — | ||||||||||||||||||||
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.24 | 0.15 | 0.59 | 0.74 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/27/128—12/31/125 | $10.00 | 0.23 | 1.22 | 1.45 | (0.19) | (0.02) | (0.21) | |||||||||||||||||||||
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.24 | 0.18 | 0.54 | 0.72 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 12/17/126—12/31/125 | $11.14 | — | 0.10 | 0.10 | — | — | — | |||||||||||||||||||||
AQR CORE EQUITY FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.05 | 0.40 | 10 | 0.45 | — | — | — | ||||||||||||||||||||
AQR CORE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.02 | 0.43 | 10 | 0.45 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP CORE EQUITY FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.01 | 0.78 | 0.79 | — | — | — | |||||||||||||||||||||
AQR SMALL CAP CORE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.01 | 0.77 | 0.78 | — | — | — | |||||||||||||||||||||
AQR INTERNATIONAL CORE EQUITY FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.12 | 0.11 | 10 | 0.23 | — | — | — | ||||||||||||||||||||
AQR INTERNATIONAL CORE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.11 | 0.11 | 10 | 0.22 | — | — | — |
* | Annualized for periods less than one year. |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | 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. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
4 | Portfolio turnover is not annualized. |
5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
6 | Commencement of offering of shares. |
7 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses incurred by the Fund were not annualized for the period ended December 31, 2012. |
8 | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
126 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Financial Highlights | June 30, 2013 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net End of | Total Return1,2 | Net Assets, End of Period | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3 | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$13.29 | 19.19 | % | $4,906,590 | 0.70 | % | 0.70 | % | 2.97 | % | 0.70 | % | 40 | % | |||||||||||||||||||
$11.15 | 13.01 | % | $3,434,992 | 0.71 | % | 0.70 | % | 5.77 | % | 1.91 | %9 | 93 | % | |||||||||||||||||||
$13.26 | 18.92 | % | $109,407 | 0.95 | % | 0.95 | % | 25.34 | % | 0.49 | % | 40 | % | |||||||||||||||||||
$11.15 | 2.20 | % | $10,218 | 0.95 | % | 0.95 | % | 12.32 | %7 | 4.19 | %9 | 93 | % | |||||||||||||||||||
$11.98 | 6.58 | % | $6,582,747 | 0.70 | % | 0.70 | % | 2.55 | % | 2.49 | % | 39 | % | |||||||||||||||||||
$11.24 | 14.46 | % | $5,738,743 | 0.71 | % | 0.70 | % | 5.28 | % | 2.38 | % | 131 | % | |||||||||||||||||||
$11.96 | 6.41 | % | $101,274 | 0.95 | % | 0.95 | % | 25.55 | % | 2.92 | % | 39 | % | |||||||||||||||||||
$11.24 | 0.90 | % | $10,089 | 0.95 | % | 0.95 | % | 15.82 | %7 | 0.15 | % | 131 | % | |||||||||||||||||||
$10.45 | 4.50 | % | $9,388,889 | 0.54 | % | 0.54 | % | 2.68 | % | 1.62 | % | 185 | % | |||||||||||||||||||
$10.45 | 4.50 | % | $568,151 | 0.79 | % | 0.79 | % | 6.00 | % | 0.80 | % | 185 | % | |||||||||||||||||||
$10.79 | 7.90 | % | $1,660,361 | 0.75 | % | 0.75 | % | 6.26 | % | 0.51 | % | 41 | % | |||||||||||||||||||
$10.78 | 7.80 | % | $1,105,762 | 1.00 | % | 1.00 | % | 6.81 | % | 0.20 | % | 41 | % | |||||||||||||||||||
$10.23 | 2.30 | % | $1,979,730 | 0.70 | % | 0.70 | % | 5.62 | % | 4.30 | % | 63 | % | |||||||||||||||||||
$10.22 | 2.20 | % | $1,423,350 | 0.95 | % | 0.95 | % | 6.32 | % | 3.90 | % | 63 | % |
9 | For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Tax-Managed Small Cap Momentum Fund—Class L | $ | 0.12 | 1.26 | % | ||||
AQR Tax-Managed Small Cap Momentum Fund—Class N | 0.02 | 3.54 |
10 | The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 127 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
1. Organization
AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2013, the Trust consists of twenty-one active series, of which fifteen of the active series are presented in this book and the remaining six active series are reported in a separate book, (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund, AQR U.S. Defensive Equity Fund, AQR Diversified Arbitrage Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund. AQR Capital Management, LLC (“the Advisor”) serves as the investment advisor of each Fund. The Advisor has retained CNH Partners, LLC (“the Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund.
The investment objective of the AQR Global Equity Fund is to seek long-term capital appreciation. The principal investment strategies of the AQR Global Equity Fund include seeking to outperform, after expenses, the MSCI World Index (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 Fund offers Class I, Class N and Class Y shares.
The investment objective of the AQR International Equity Fund is to seek long-term capital appreciation. The principal investment strategies of the AQR International Equity Fund include seeking to outperform, after expenses, the MSCI EAFE Index (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. The Fund offers Class I, Class N and Class Y shares.
The investment objective of the AQR Emerging Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to emerging stock markets. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR International Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to international stock markets. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR U.S. Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to the U.S. stock market. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR Diversified Arbitrage Fund is to seek positive absolute returns. The principal investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform, after expenses, the BofA Merrill Lynch 3-Month Treasury Bill Index (the “Absolute Return Benchmark”) using arbitrage and 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 Fund offers Class I and Class N shares.
128 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
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, equity index futures, and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to have positive momentum. The Advisor considers a security to have positive momentum primarily if it has a return over the prior twelve months that ranks in the top third of its relevant universe at the time of purchase. The Fund offers Class L and Class N 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, equity index futures and depositary receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to have positive momentum. The Fund offers Class L and Class N 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 Advisor determines to have positive momentum. The Fund offers Class L and Class N shares.
The investment objective of the AQR Tax-Managed Momentum Fund is to seek long-term after-tax 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 large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to have positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L and Class N shares.
The investment objective of the AQR Tax-Managed Small Cap Momentum Fund is to seek long-term after-tax 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 small cap companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to have positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L and Class N shares.
The investment objective of the AQR Tax-Managed International Momentum Fund is to seek long-term after-tax 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 Advisor determines to have positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L and Class N shares.
The investment objective of the AQR Core Equity 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, equity index swaps and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class L and Class N shares.
The investment objective of the AQR Small Cap Core Equity 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
AQR Funds | Semi-Annual Report | June 2013 | 129 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
futures, equity index swaps and depositary receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class I and Class N shares.
The investment objective of the AQR International Core Equity 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, equity index swaps and depositary receipts) of non-U.S. companies that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class I and Class N shares.
2. 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, if any, 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 and such differences could be material.
Valuation of Investments: 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 and warrants, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. The value of securities listed on the NASDAQ Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an independent pricing service, unless the Advisor 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 Funds calculate their 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 evaluated quotes furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. 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 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. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Total return swap contracts are valued at fair value, based on the price of the underlying referenced instrument. 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 reflect fair value, 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, which may include the use of proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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 prices used by other mutual funds to calculate their net assets.
130 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed, these differences could be material.
Loan Participations and Assignments: The Diversified Arbitrage Fund invests in loan participations and assignments. When the Fund purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when the Fund purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. The Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
Convertible Securities: Certain 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. 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 some of their 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 they 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 also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
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 Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules 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 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 amount of fees of $1,016,586, incurred by the Diversified Arbitrage Fund is included in dividend and interest on securities sold short in the Statements of Operations.
AQR Funds | Semi-Annual Report | June 2013 | 131 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
Futures Contracts: Certain Funds invest in futures contracts. The Funds invest in futures in order to hedge their investments or equitize their cash flows against fluctuations in value caused by changes in prevailing interest rates or market conditions. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to 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 to and from the broker, will be made on a periodic basis as the price of the underlying instruments fluctuates. Changes in market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, represent the difference between the value of the contract at the time it was opened and the value at the time it was closed, and are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is presented as Due from Broker on the Statements of Assets and Liabilities. The 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 contract amount of the futures contracts. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange 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 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 foreign currency exchange 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 Funds record 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 Funds 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return 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. Total return swap contracts are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an total return 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. Total return swaps are derivatives and their value can be very volatile. To the extent that the Advisor or Sub-Advisor, 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 exceed the related amounts shown in the Statements of Assets and Liabilities. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: The AQR Diversified Arbitrage Fund enters into credit default swap 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
132 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An up-front payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. 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 up-front payment, is recorded as a realized gain or loss.
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 Statements 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. The Fund’s risk of loss associated with these instruments may exceed their value as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.
Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
High Yield Securities: The AQR Diversified Arbitrage Fund invests in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
Master Agreements: Certain 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 (includes Total Return, Credit Default and Interest Rate Swaps) 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 for the benefit of a Fund is held in a segregated account by a custodian of 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 and money market funds as agreed to by the Fund and the applicable counterparty. Collateral requirements are generally 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 a Fund’s future derivative activity. The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net by derivative type and counterparty when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
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Notes to Financial Statements (Unaudited) | June 30, 2013 |
Options: The AQR Diversified Arbitrage Fund may write and purchase put and call options from time to time. 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, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium. 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 and put options written during the period ended June 30, 2013 for the AQR Diversified Arbitrage Fund were as follows:
CALL OPTIONS | ||||||||
SHARES SUBJECT TO CALL | PREMIUM | |||||||
Options outstanding, December 31, 2012 | (3,986 | ) | $ | (183,593 | ) | |||
Options written | (114,508 | ) | (2,103,803 | ) | ||||
Options expired | 26,728 | 1,147,203 | ||||||
Options exercised | 12,509 | 160,356 | ||||||
Options outstanding, June 30, 2013 | (79,257 | ) | $ | (979,837 | ) |
Securities Lending: Certain Funds may lend securities to brokers approved by the Advisor in order to generate additional income. Securities loaned are collateralized by cash, which is invested in various JPMorgan Money Market Funds. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time. Securities lending income is comprised of income earned on cash collateral investments, net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Securities lending income, net on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Funds and the lending agent.
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 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.
134 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
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 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 prior three fiscal years, or since inception if shorter, are open for examination. As of June 30, 2013, the Funds had no examinations in progress.
The Funds have concluded that there is no tax liability/benefit 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 the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income/expense 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 Fund, such as advisory fees and registration costs. Trust level expenses are allocated among the Funds based on the ratio of average net assets or some other reasonable methodology.
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 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, capital 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.
Organization and Offering Costs: Costs incurred by the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund in connection with the organization of those Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal year. Offering costs, including professional fees, printing fees and the offering of the initial registration, are amortized over a twelve month period from the date the Funds commenced operations.
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 and forward foreign currency exchange contracts, currency gains or losses realized between the trade and settlement dates on securities
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Notes to Financial Statements (Unaudited) | June 30, 2013 |
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.
Cash and Cash Equivalents: Cash and cash equivalents include U.S. 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.
Due to/from Broker: Due to/from Broker represents cash balances on deposit with the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Distributions to Shareholders: The Funds intend to declare and distribute substantially all of their net investment income and 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. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
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.
3. Federal Income Tax Matters
At June 30, 2013, the cost of long security 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 UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
AQR Global Equity Fund | $ | 437,012,156 | $ | 82,767,040 | $ | (8,669,611 | ) | $ | 74,097,429 | |||||||
AQR International Equity Fund | 640,319,367 | 104,146,466 | (26,805,992 | ) | 77,340,474 | |||||||||||
AQR Emerging Defensive Equity Fund | 9,631,544 | 520,732 | (656,177 | ) | (135,445 | ) | ||||||||||
AQR International Defensive Equity Fund | 13,587,028 | 553,776 | (597,450 | ) | (43,674 | ) | ||||||||||
AQR U.S. Defensive Equity Fund | 20,508,885 | 1,413,032 | (158,672 | ) | 1,254,360 | |||||||||||
AQR Diversified Arbitrage Fund | 2,687,478,057 | 110,438,807 | (68,692,461 | ) | 41,746,346 | |||||||||||
AQR Momentum Fund | 707,283,368 | 115,815,353 | (5,936,222 | ) | 109,879,131 | |||||||||||
AQR Small Cap Momentum Fund | 215,267,349 | 42,448,345 | (4,375,907 | ) | 38,072,438 | |||||||||||
AQR International Momentum Fund | 188,891,857 | 23,392,991 | (5,587,359 | ) | 17,805,632 | |||||||||||
AQR Tax-Managed Momentum Fund | 9,077,785 | 1,108,366 | (80,027 | ) | 1,028,339 | |||||||||||
AQR Tax-Managed Small Cap Momentum Fund | 4,224,617 | 1,020,724 | (99,005 | ) | 921,719 | |||||||||||
AQR Tax-Managed International Momentum Fund | 6,034,410 | 832,222 | (195,557 | ) | 636,665 | |||||||||||
AQR Core Equity Fund | 9,876,327 | 170,022 | (217,970 | ) | (47,948 | ) | ||||||||||
AQR Small Cap Core Equity Fund | 2,616,095 | 223,624 | (55,826 | ) | 167,798 | |||||||||||
AQR International Core Equity Fund | 3,430,250 | 120,939 | (138,512 | ) | (17,573 | ) |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
The AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund commenced operations on January 27, 2012.
136 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
The AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund commenced operations on July 9, 2012.
The AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund commenced operations on March 26, 2013.
As of December 31, 2012, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the Treasury regulations.
FUND | SHORT-TERM | LONG TERM | YEAR OF EXPIRATION | |||||||||
AQR International Equity Fund | $ | 4,938,860 | $ | — | N/A | |||||||
AQR Momentum Fund | 7,901,396 | — | N/A | |||||||||
AQR International Momentum Fund | 107,993 | — | 2018 | |||||||||
AQR International Momentum Fund | 10,946,594 | 219,017 | N/A |
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.
4. 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:
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)
Valuation methodology and inputs
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds use to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.
Equities traded outside North America are fair valued daily based on the application of a fair value factor and therefore are considered Level 2 (Note 2). Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value based on quotations (including evaluated quotes) from an independent pricing service, as well as quotations from counterparties and other market participants. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on
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Notes to Financial Statements (Unaudited) | June 30, 2013 |
available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors. The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.
The Funds invest in derivative instruments. Derivative instruments can be exchange traded or privately negotiated over-the-counter (“OTC”). Exchange-traded derivatives, such as futures contracts and exchange traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market. OTC derivatives, including forwards, total return and credit default swaps, are valued by the Funds using observable inputs, such as quotations received from the counterparty, or dealers and brokers, whenever available and considered reliable. Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Equity total return swap transactions are valued at fair value, based on the price of the underlying security.
Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap contract increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
Securities for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced and all other assets of the Funds are valued at fair value using valuation procedures for the Funds, which have been approved by the Board of Trustees. The Advisor has established a Valuation Committee (the “VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds�� Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing any securities or other assets for which prices or valuations are not readily determinable by the Funds’ pricing services. The VC considers time-sensitive valuation issues, including those relating to market closures, changes in illiquid security values, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis
138 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade executions prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, model prices are reviewed against available third party model prices.
Quantitative Information
These tables include a description of unobservable and quantitative inputs and the relationship of such inputs, as used in determining the value of Level 3 financial instruments, except for Level 3 instruments for which prior transaction or third party pricing information was used without adjustment.
Transfers
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
The following summarizes inputs used as of June 30, 2013 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† | $ | 281,062,318 | $ | 190,818,490 | $ | — | $ | 471,880,808 | ||||||||
Preferred Stocks† | — | 5,086,308 | — | 5,086,308 | ||||||||||||
Rights† | — | 813 | — | 813 | ||||||||||||
Money Market Funds | — | 34,141,656 | — | 34,141,656 | ||||||||||||
Total Return Swap Contracts* | — | 49,037 | — | 49,037 | ||||||||||||
Total Assets | $ | 281,062,318 | $ | 230,096,304 | $ | — | $ | 511,158,622 | ||||||||
LIABILITIES | ||||||||||||||||
Forward Foreign Currency Exchange Contracts* | $ | — | $ | (667,732 | ) | $ | — | $ | (667,732 | ) | ||||||
Futures Contracts* | (218,212 | ) | — | — | (218,212 | ) | ||||||||||
Total Liabilities | $ | (218,212 | ) | $ | (667,732 | ) | $ | — | $ | (885,944 | ) | |||||
* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. † Please refer to the Schedule of Investments to view securities segregated by country. |
|
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Notes to Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.
AQR INTERNATIONAL EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | — | $ | 656,532,735 | $ | — | $ | 656,532,735 | ||||||||
Preferred Stocks† | — | 10,222,425 | — | 10,222,425 | ||||||||||||
Rights† | — | 3,078 | — | 3,078 | ||||||||||||
Money Market Funds | — | 50,901,603 | — | 50,901,603 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 95,651 | — | 95,651 | ||||||||||||
Futures Contracts* | 150,140 | — | — | 150,140 | ||||||||||||
Total Return Swap Contracts* | — | 165,178 | — | 165,178 | ||||||||||||
Total Assets | $ | 150,140 | $ | 717,920,670 | $ | — | $ | 718,070,810 | ||||||||
* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. † Please refer to the Schedule of Investments to view securities segregated by country. |
|
There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.
AQR EMERGING DEFENSIVE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 2,750,298 | $ | 6,353,261 | $ | — | $ | 9,103,559 | ||||||||
Exchange-Traded Funds | 256,876 | — | — | 256,876 | ||||||||||||
Preferred Stocks† | 84,182 | — | — | 84,182 | ||||||||||||
Money Market Funds | — | 51,482 | — | 51,482 | ||||||||||||
Total Assets | $ | 3,091,356 | $ | 6,404,743 | $ | — | $ | 9,496,099 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by country. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR INTERNATIONAL DEFENSIVE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 2,135,900 | $ | 10,103,919 | $ | — | $ | 12,239,819 | ||||||||
Exchange-Traded Funds | 931,794 | — | — | 931,794 | ||||||||||||
Preferred Stocks† | — | 75,128 | — | 75,128 | ||||||||||||
Rights† | — | 364 | — | 364 | ||||||||||||
Money Market Funds | — | 296,249 | — | 296,249 | ||||||||||||
Total Assets | $ | 3,067,694 | $ | 10,475,660 | $ | — | $ | 13,543,354 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by country. |
|
140 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR U.S. DEFENSIVE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 19,175,342 | $ | — | $ | — | $ | 19,175,342 | ||||||||
Exchange-Traded Funds | 1,788,592 | — | — | 1,788,592 | ||||||||||||
Money Market Funds | — | 799,311 | — | 799,311 | ||||||||||||
Total Assets | $ | 20,963,934 | $ | 799,311 | $ | — | $ | 21,763,245 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 1,116,651,989 | $ | 42,012,342 | $ | 30,744,150 | $ | 1,189,408,481 | ||||||||
Convertible Preferred Stocks† | 8,295,524 | 10,101,663 | 25,062,334 | 43,459,521 | ||||||||||||
Corporate Bonds† | — | 282,105,354 | 34,930,601 | 317,035,955 | ||||||||||||
Convertible Bonds† | — | 204,564,254 | 3,365,351 | 207,929,605 | ||||||||||||
Bank Loans† | — | 21,500,824 | — | 21,500,824 | ||||||||||||
Closed End Funds | 65,179,286 | — | — | 65,179,286 | ||||||||||||
Preferred Stocks† | 617,625 | 3,819,070 | 20,183,807 | 24,620,502 | ||||||||||||
Rights† | — | — | 2,835 | 2,835 | ||||||||||||
Short-Term Investments | — | 120,664,273 | — | 120,664,273 | ||||||||||||
Warrants† | 22,198,750 | 2,605,825 | 3,256,149 | 28,060,724 | ||||||||||||
Money Market Funds | — | 679,448,713 | — | 679,448,713 | ||||||||||||
Purchased Options | 31,854,174 | — | 59,510 | 31,913,684 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 1,477,817 | — | 1,477,817 | ||||||||||||
Futures Contracts* | 4,188,279 | — | — | 4,188,279 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 37,089,946 | — | 37,089,946 | ||||||||||||
Total Assets | $ | 1,248,985,627 | $ | 1,405,390,081 | $ | 117,604,737 | $ | 2,771,980,445 | ||||||||
AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (546,033,484 | ) | $ | (6,109,532 | ) | $ | — | $ | (552,143,016 | ) | |||||
Closed End Funds (Sold Short) | (1,373 | ) | — | — | (1,373 | ) | ||||||||||
Exchange-Traded Funds (Sold Short) | (21,798,327 | ) | — | — | (21,798,327 | ) | ||||||||||
Preferred Stocks (Sold Short)† | — | (13,572,295 | ) | — | (13,572,295 | ) | ||||||||||
Written Options (Sold Short)* | (4,622,142 | ) | (36,274 | ) | (544 | ) | (4,658,960 | ) | ||||||||
Credit Default Swap Contracts* | — | (4,580,074 | ) | — | (4,580,074 | ) | ||||||||||
Total Liabilities | $ | (572,455,326 | ) | $ | (24,298,175 | ) | $ | (544 | ) | $ | (596,754,045 | ) | ||||
* Derivative instruments, including futures, total return basket swaps and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap and option contracts are reported at market value. † Please refer to the Schedule of Investments to view securities segregated by industry type. |
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Notes to Financial Statements (Unaudited) | June 30, 2013 |
Quantitative Information about Level 3 Fair Value Measurements**
FAIR VALUE AT 6/30/2013 | VALUATION TECHNIQUE(S) | UNOBSERVABLE INPUT(S) | RANGE | |||||||
Common Stocks | $5,686,950 | Liquidity Discount | Underlying Price Liquidity Discount | $0.008 — $4.20 41.95% — 50.00% | ||||||
Preferred Stocks | $2,759,291 | Jump Diffussion Model* | Credit Spread Liquidity Discount | 790 — 920 bps 1.73% — 5.53% | ||||||
Convertible Preferred Stocks | $157,920 | Jump Diffussion Model* | Underlying Price Volatility Credit Spread Liquidity Discount | $0.25 150.0% | ||||||
Corporate Bonds | $1,304,826 | Discounted Cash Flow Model | Volitility Credit Spread Liquidity Discount | 40.0% 1000 — 2500 bps 5.0% — 10.0% | ||||||
Convertible Bonds | $3,326,611 | Jump Diffussion Model* | Underlying Price Volatility Credit Spread Liquidity Discount | $0.0035 — $4.80 42.0% — 75.0% 1200 — 5000 bps 1.5% — 72.5% | ||||||
Warrants | $1,944,664 | Black Scholes Model | Underlying Price Volatility Liquidity Discount | $0.0029 — $6.9 40.0% — 150.0% 10.0% — 77.5% |
* | The Jump Diffusion Model extends the classical Black-Scholes Model by taking bankruptcy into consideration, and derives a partial differential equation for pricing a convertible bond or stock. The essential inputs to the model are stock volatility and default probability, which is typically approximated with credit spread. |
** | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2013, the value of these securities was $102,364,966. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
Level 3 values are based on significant unobservable inputs that reflect the Advisor’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of the Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discount, theoretical value, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
142 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
The following is a reconciliation of assets and liabilities in which significant unobservable inputs (Level 3) were used in determining fair value:
AQR DIVERSIFIED ARBITRAGE FUND | COMMON STOCKS | CONVERTIBLE PREFERRED STOCK | CORPORATE BONDS | CONVERTIBLE BONDS | PREFERRED STOCK | |||||||||||||||
Balance as of December 31, 2012 | $ | 24,333,266 | $ | 8,469,674 | $ | 89,519,605 | $ | 26,292,911 | $ | — | ||||||||||
Accrued discounts/(premiums) | — | — | (14,836 | ) | 1,683 | — | ||||||||||||||
Realized gain/(loss) | 712,956 | (123,854 | ) | (299,778 | ) | (208,994 | ) | 3 | ||||||||||||
Change in unrealized appreciation/ | (195,118 | ) | 926,740 | 1,609,011 | (1,248,958 | ) | 113,147 | |||||||||||||
Purchases | 15,216,533 | 11,682,707 | 7,685,183 | 164,160 | 19,850,663 | |||||||||||||||
Sales | (28,330,194 | ) | (8,066,284 | ) | (27,761,793 | ) | (21,635,451 | ) | (6 | ) | ||||||||||
Transfers in to Level 3 | 19,629,936 | 12,173,351 | 12,209,158 | — | 220,000 | |||||||||||||||
Transfers out of Level 3 | (623,229 | ) | — | (48,015,949 | ) | — | — | |||||||||||||
Balance as of June 30, 2013 | $ | 30,744,150 | $ | 25,062,334 | $ | 34,930,601 | $ | 3,365,351 | $ | 20,183,807 | ||||||||||
Change in Unrealized appreciation/ | $ | 281,578 | $ | 1,119,299 | $ | 1,237,207 | $ | (1,403,091 | ) | $ | 113,147 |
AQR DIVERSIFIED ARBITRAGE FUND | RIGHTS | WARRANTS | PURCHASED OPTIONS | SHORT COMMON STOCK | WRITTEN OPTION | |||||||||||||||
Balance as of December 31, 2012 | $ | 2,835 | $ | 2,824,399 | $ | — | $ | (32,207 | ) | $ | — | |||||||||
Accrued discounts/(premiums) | — | — | — | — | — | |||||||||||||||
Realized gain/(loss) | — | 771,463 | — | 890,422 | — | |||||||||||||||
Change in unrealized appreciation/ | — | 168,977 | (1,216,682 | ) | (858,215 | ) | (408 | ) | ||||||||||||
Purchases | — | 347 | 1,276,192 | — | — | |||||||||||||||
Sales | — | (778,051 | ) | — | — | — | ||||||||||||||
Transfers in to Level 3 | — | 728,418 | — | — | (136 | ) | ||||||||||||||
Transfers out of Level 3 | — | (459,404 | ) | — | — | — | ||||||||||||||
Balance as of June 30, 2013 | $ | 2,835 | $ | 3,256,149 | $ | 59,510 | $ | — | $ | (544 | ) | |||||||||
Change in Unrealized appreciation/ | $ | — | $ | 637,018 | $ | (1,216,682 | ) | $ | — | $ | (408 | ) |
AQR MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 682,771,618 | $ | — | $ | — | $ | 682,771,618 | ||||||||
Money Market Funds | — | 134,390,881 | — | 134,390,881 | ||||||||||||
Total Assets | $ | 682,771,618 | $ | 134,390,881 | $ | — | $ | 817,162,499 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts* | $ | (10,558 | ) | $ | — | $ | — | $ | (10,558 | ) | ||||||
Total Liabilities | $ | (10,558 | ) | $ | — | $ | — | $ | (10,558 | ) | ||||||
* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument. † Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
AQR Funds | Semi-Annual Report | June 2013 | 143 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR SMALL CAP MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 192,818,211 | $ | 57,304 | $ | 14,729 | $ | 192,890,244 | ||||||||
Preferred Stocks† | — | 47,200 | — | 47,200 | ||||||||||||
Rights† | — | — | — | — | ||||||||||||
Warrants† | 417 | — | — | 417 | ||||||||||||
Money Market Funds | — | 60,401,926 | — | 60,401,926 | ||||||||||||
Futures Contracts* | 4,066 | — | — | 4,066 | ||||||||||||
Total Assets | $ | 192,822,694 | $ | 60,506,430 | $ | 14,729 | $ | 253,343,853 | ||||||||
* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument. † Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total market value of $14,729 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $0.
AQR INTERNATIONAL MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 8,264,027 | $ | 193,333,850 | $ | — | $ | 201,597,877 | ||||||||
Preferred Stocks† | — | — | 6,356 | 6,356 | ||||||||||||
Rights† | — | — | — | — | ||||||||||||
Money Market Funds | — | 5,093,256 | — | 5,093,256 | ||||||||||||
Futures Contracts* | 6,817 | — | — | 6,817 | ||||||||||||
Total Assets | $ | 8,270,844 | $ | 198,427,106 | $ | 6,356 | $ | 206,704,306 | ||||||||
* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument. † Please refer to the Schedule of Investments to view securities segregated by country. |
|
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total market value of $6,356 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $2,020.
AQR TAX-MANAGED MOMENTUM FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 9,770,463 | $ | — | $ | — | $ | 9,770,463 | ||||||||
Exchange-Traded Funds | 123,368 | — | — | 123,368 | ||||||||||||
Money Market Funds | — | 212,293 | — | 212,293 | ||||||||||||
Total Assets | $ | 9,893,831 | $ | 212,293 | $ | — | $ | 10,106,124 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
144 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 4,936,987 | $ | — | $ | — | $ | 4,936,987 | ||||||||
Exchange-Traded Funds | 25,261 | — | — | 25,261 | ||||||||||||
Money Market Funds | — | 184,088 | — | 184,088 | ||||||||||||
Total Assets | $ | 4,962,248 | $ | 184,088 | $ | — | $ | 5,146,336 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 311,497 | $ | 6,243,870 | $ | — | $ | 6,555,367 | ||||||||
Exchange-Traded Funds | 56,978 | — | — | 56,978 | ||||||||||||
Preferred Stocks† | — | — | 237 | 237 | ||||||||||||
Rights† | — | — | — | — | ||||||||||||
Money Market Funds | — | 58,493 | — | 58,493 | ||||||||||||
Total Assets | $ | 368,475 | $ | 6,302,363 | $ | 237 | $ | 6,671,075 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by country. |
|
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total market value of $237 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $75.
AQR CORE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 9,669,421 | $ | — | $ | — | $ | 9,669,421 | ||||||||
Exchange-Traded Funds | 57,444 | — | — | 57,444 | ||||||||||||
Money Market Funds | — | 101,514 | — | 101,514 | ||||||||||||
Total Assets | $ | 9,726,865 | $ | 101,514 | $ | — | $ | 9,828,379 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
AQR Funds | Semi-Annual Report | June 2013 | 145 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR SMALL CAP CORE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 2,740,477 | $ | — | $ | — | $ | 2,740,477 | ||||||||
Exchange-Traded Funds | 14,866 | — | — | 14,866 | ||||||||||||
Money Market Funds | — | 28,550 | — | 28,550 | ||||||||||||
Total Assets | $ | 2,755,343 | $ | 28,550 | $ | — | $ | 2,783,893 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by industry type. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR INTERNATIONAL CORE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 242,403 | $ | 3,095,383 | $ | — | $ | 3,337,786 | ||||||||
Exchange-Traded Funds | 40,109 | — | — | 40,109 | ||||||||||||
Money Market Funds | — | 34,782 | — | 34,782 | ||||||||||||
Total Assets | $ | 282,512 | $ | 3,130,165 | $ | — | $ | 3,412,677 | ||||||||
† Please refer to the Schedule of Investments to view securities segregated by country. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
5. Investment Transactions
During the period ended June 30, 2013, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange 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 | $ | 237,918,435 | $ | 223,306,631 | $ | — | $ | — | ||||||||
AQR International Equity Fund | 205,994,836 | 145,974,751 | — | — | ||||||||||||
AQR Emerging Defensive Equity Fund | 6,577,622 | 3,476,852 | — | — | ||||||||||||
AQR International Defensive Equity Fund | 14,447,582 | 7,180,208 | — | — | ||||||||||||
AQR U.S. Defensive Equity Fund | 23,777,597 | 12,408,368 | — | — | ||||||||||||
AQR Diversified Arbitrage Fund | 4,147,275,720 | 3,224,770,674 | 776,549,416 | 775,812,213 | ||||||||||||
AQR Momentum Fund | 319,485,852 | 250,054,881 | — | — | ||||||||||||
AQR Small Cap Momentum Fund | 82,396,956 | 58,755,662 | — | — | ||||||||||||
AQR International Momentum Fund | 183,680,586 | 114,426,384 | — | — | ||||||||||||
AQR Tax-Managed Momentum Fund | 10,597,499 | 6,294,535 | — | — | ||||||||||||
AQR Tax-Managed Small Cap Momentum Fund | 2,509,367 | 1,655,886 | — | — | ||||||||||||
AQR Tax-Managed International Momentum Fund | 3,086,800 | 2,501,562 | — | — | ||||||||||||
AQR Core Equity Fund | 17,565,186 | 7,821,438 | — | — | ||||||||||||
AQR Small Cap Core Equity Fund | 3,508,694 | 926,634 | — | — | ||||||||||||
AQR International Core Equity Fund | 5,064,886 | 1,659,881 | — | — |
146 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
6. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30, 2013 are as follows:
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | | UNREALIZED APPRECIATION ON FUTURES CONTRACTS | | | SWAPS AT VALUE | | | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | | | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | | | SWAPS AT VALUE | | | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | | | WRITTEN OPTIONS AT MARKET VALUE | | |||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Global Equity Fund | $1,689,373 | $49,037 | $— | $1,907,585 | $— | $— | $— | |||||||||||||||||||||
AQR International Equity Fund | 3,058,956 | 165,178 | — | 2,908,816 | — | — | — | |||||||||||||||||||||
AQR Diversified Arbitrage Fund | 3,231,280 | 37,089,946 | — | — | — | — | 4,658,960 | |||||||||||||||||||||
AQR Momentum Fund | — | — | — | 10,558 | — | — | — | |||||||||||||||||||||
AQR Small Cap Momentum Fund | 4,066 | — | — | — | — | — | — | |||||||||||||||||||||
AQR International Momentum Fund | 6,817 | — | — | — | — | — | — | |||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Global Equity Fund | — | — | 2,384,546 | — | — | 3,052,278 | — | |||||||||||||||||||||
AQR International Equity Fund | — | — | 4,697,213 | — | — | 4,601,562 | — | |||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | 1,790,160 | — | — | 312,343 | — | |||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | 956,999 | — | — | — | — | — | — | |||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | — | — | 4,580,074 | — | — | |||||||||||||||||||||
Netting: | ||||||||||||||||||||||||||||
AQR Global Equity Fund | (1,689,373) | — | (2,384,546) | (1,689,373) | — | (2,384,546) | — | |||||||||||||||||||||
AQR International Equity Fund | (2,908,816) | — | (4,601,562) | (2,908,816) | — | (4,601,562) | — | |||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | (4,580,074) | (312,779) | — | (4,580,074) | (312,779) | — | |||||||||||||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
AQR Global Equity Fund | — | 49,037 | — | 218,212 | — | 667,732 | — | |||||||||||||||||||||
AQR International Equity Fund | 150,140 | 165,178 | 95,651 | — | — | — | — | |||||||||||||||||||||
AQR Diversified Arbitrage Fund | 4,188,279 | 32,509,872 | 1,477,817 | — | — | — | 4,658,960 | |||||||||||||||||||||
AQR Momentum Fund | — | — | — | 10,558 | — | — | — | |||||||||||||||||||||
AQR Small Cap Momentum Fund | 4,066 | — | — | — | — | — | — | |||||||||||||||||||||
AQR International Momentum Fund | 6,817 | — | — | — | — | — | — |
AQR Funds | Semi-Annual Report | June 2013 | 147 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2013:
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | | | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | | |||||||||||||||||||||||||||
FUND | | FUTURES CONTRACTS | | | SWAPS AND SWAPS ON FUTURES CONTRACTS | * | | FORWARD CURRENCY EXCHANGE CONTRACTS | | | WRITTEN OPTIONS | | | FUTURES CONTRACTS | | | SWAPS AND SWAPS ON FUTURES CONTRACTS | * | | FORWARD CURRENCY EXCHANGE CONTRACTS | | | WRITTEN OPTIONS | | ||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Global Equity Fund | $6,471,045 | $(464,510) | $— | $— | $(391,194) | $137,795 | $— | $— | ||||||||||||||||||||||||
AQR International Equity Fund | 17,060,370 | (2,676,377) | — | — | (1,062,219) | 118,618 | — | — | ||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | (19,038,269) | (28,570,794) | — | 1,303,134 | 2,338,583 | 41,351,470 | — | (3,715,964) | ||||||||||||||||||||||||
AQR Momentum Fund | 1,087,475 | — | — | — | (25,580) | — | — | — | ||||||||||||||||||||||||
AQR Small Cap Momentum Fund | 419,545 | — | — | — | (23,207) | — | — | — | ||||||||||||||||||||||||
AQR International Momentum Fund | 28,678 | — | — | — | 6,817 | — | — | — | ||||||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Global Equity Fund | — | — | 6,003,449 | — | — | — | (6,213,999) | — | ||||||||||||||||||||||||
AQR International Equity Fund | — | — | 7,848,867 | — | — | — | (7,441,307) | — | ||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | — | 2,478,810 | — | — | — | 2,810,398 | — | ||||||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | 41,251 | — | — | — | 1,028,162 | — | — | — | ||||||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | — | (6,200,615) | — | — | — | (5,329,659) | — | — |
* | Swaps and swaps on futures are combined for financial reporting purposes. |
For swaps, futures and forward foreign currency exchange contracts, the Funds may be required to post collateral if a Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate the position if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2011-11: Disclosures about Offsetting Assets and Liabilities (“netting”) on the Statements of Assets and Liabilities that are subject to master netting arrangements or similar agreements. ASU 2011-11, as amended by ASU No. 2013-01 clarifying which investments and transactions are subject to the netting disclosure. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions to the extent they are subject to an enforceable master netting arrangement or similar agreement. This information will enable users of the Funds’ financial statements to evaluate the effect or potential effect of netting arrangements on the Funds’ financial position. The ASU is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Funds adopted the disclosure requirements for the current reporting period.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities.
148 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR GLOBAL EQUITY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $1,689,373 | $(1,689,373) | $ — | $ — | $ — | $ — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 2,384,546 | (2,384,546) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 49,037 | — | 49,037 | (49,037) | — | — | ||||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 4,122,956 | (4,073,919) | 49,037 | (49,037) | — | — | ||||||||||||||||||||
J.P. Morgan | Securities Lending | 265,338 | — | 265,338 | — | (265,338) | — | |||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | 265,338 | — | 265,338 | — | (265,338) | — | ||||||||||||||||||||
Total financial instruments | $4,388,294 | $(4,073,919) | $314,375 | $(49,037) | $(265,338) | $ — | ||||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $1,907,585 | $(1,689,373) | $218,212 | $ — | $(218,212) | $ — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 3,052,278 | (2,384,546) | 667,732 | (49,037) | (618,695) | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 4,959,863 | (4,073,919) | 885,944 | (49,037) | (836,907) | — | ||||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $4,959,863 | $(4,073,919) | $885,944 | $(49,037) | $(836,907) | $ — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $13,467. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $9,276,010. |
AQR Funds | Semi-Annual Report | June 2013 | 149 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR INTERNATIONAL EQUITY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $3,058,956 | $(2,908,816) | $150,140 | $ — | $ — | $150,140 | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 4,697,213 | (4,601,562) | 95,651 | — | — | 95,651 | |||||||||||||||||||
Total Return Swap Contracts | 165,178 | — | 165,178 | — | — | 165,178 | ||||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 7,921,347 | (7,510,378) | 410,969 | — | — | 410,969 | ||||||||||||||||||||
J.P. Morgan | Securities Lending | 55,655 | — | 55,655 | — | (55,655) | — | |||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | 55,655 | — | 55,655 | — | (55,655) | — | ||||||||||||||||||||
Total financial instruments | $7,977,002 | $(7,510,378) | $466,624 | $ — | $(55,655) | $410,969 | ||||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $2,908,816 | $(2,908,816) | $ — | $ — | $ — | $ — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 4,601,562 | (4,601,562) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 7,510,378 | (7,510,378) | — | — | — | — | ||||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $7,510,378 | $(7,510,378) | $ — | $ — | $ — | $ — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $5,193. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $16,304,766. |
150 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR DIVERSIFIED ARBITRAGE FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $ | 3,231,280 | $ | — | $ | 3,231,280 | $ | — | $ | — | $ | 3,231,280 | |||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 98,082 | — | 98,082 | — | — | 98,082 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 956,999 | — | 956,999 | — | — | 956,999 | |||||||||||||||||||
Total Return Basket Swaps Contracts | 36,991,864 | — | 36,991,864 | — | — | 36,991,864 | ||||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 1,790,160 | (312,343) | 1,477,817 | — | (1,477,817) | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 43,068,385 | (312,343) | 42,756,042 | — | (1,477,817) | 41,278,225 | ||||||||||||||||||||
J.P. Morgan | Securities Lending | 51,999 | — | 51,999 | — | (51,999) | — | |||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | 51,999 | — | 51,999 | — | (51,999) | — | ||||||||||||||||||||
Total financial instruments | $ | 43,120,384 | $ | (312,343) | $ | 42,808,041 | $ | — | $ | (1,529,816) | $ | 41,278,225 | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Bank of America | Credit Default Swap Contracts | $ | 38,115 | $ | — | $ | 38,115 | $ | — | $ | (622) | $ | 37,493 | |||||||||||||
CitiBank | Credit Default Swap Contracts | 4,541,959 | — | 4,541,959 | — | (4,541,959) | — | |||||||||||||||||||
J.P. Morgan | Written Options | 4,658,960 | — | 4,658,960 | — | — | 4,658,960 | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 312,343 | (312,343) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 9,551,377 | (312,343) | 9,239,034 | — | (4,542,581) | 4,696,453 | ||||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 9,551,377 | $ | (312,343) | $ | 9,239,034 | $ | — | $ | (4,542,581) | $ | 4,696,453 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $215,737. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $316,176,051. |
AQR Funds | Semi-Annual Report | June 2013 | 151 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR MOMENTUM FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
J.P. Morgan | Securities Lending | $117,442,602 | $ — | $117,442,602 | $ — | $(117,442,602) | $ — | |||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | 117,442,602 | — | 117,442,602 | — | (117,442,602) | — | ||||||||||||||||||||
Total financial instruments | $117,442,602 | $ — | $117,442,602 | $ — | $(117,442,602) | $ — | ||||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $10,558 | $ — | $10,558 | $ — | $(10,558) | $ — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 10,558 | — | 10,558 | — | (10,558) | — | ||||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $10,558 | $ — | $10,558 | $ — | $(10,558) | $ — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $3,596,114. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $204,355. |
152 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR SMALL CAP MOMENTUM FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $ | 4,066 | $ | — | $ | 4,066 | $ | — | $ | — | $ | 4,066 | |||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 4,066 | — | 4,066 | — | — | 4,066 | ||||||||||||||||||||
J.P. Morgan | Securities Lending | 54,406,226 | — | 54,406,226 | — | (54,406,226) | — | |||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | 54,406,226 | — | 54,406,226 | — | (54,406,226) | — | ||||||||||||||||||||
Total financial instruments | $ | 54,410,292 | $ | — | $ | 54,410,292 | $ | — | $ | (54,406,226) | $ | 4,066 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,615,587. In addition, collateral pledged to the counterparty was $42,751. |
AQR INTERNATIONAL MOMENTUM FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $ | 6,817 | $ | — | $ | 6,817 | $ | — | $ | — | $ | 6,817 | |||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 6,817 | — | 6,817 | — | — | 6,817 | ||||||||||||||||||||
J.P. Morgan | Securities Lending | 318,122 | — | 318,122 | — | (318,122) | — | |||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | 318,122 | — | 318,122 | — | (318,122) | — | ||||||||||||||||||||
Total financial instruments | $ | 324,939 | $ | — | $ | 324,939 | $ | — | $ | (318,122) | $ | 6,817 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $19,043. In addition, collateral pledged to the counterparty was $44,678. |
AQR Funds | Semi-Annual Report | June 2013 | 153 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
For the period ended June 30, 2013, the quarterly average values of the derivatives held by the Funds were as follows:
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | AQR DIVERSIFIED ARBITRAGE FUND | AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND | AQR INTERNATIONAL MOMENTUM FUND | |||||||||||||||||||
Futures Contracts* | ||||||||||||||||||||||||
Average Notional Balance Long | $ | 107,679,878 | $ | 163,172,307 | $ | — | $ | 5,233,702 | $ | 1,533,070 | $ | 983,820 | ||||||||||||
Average Notional Balance Short | 69,678,060 | 79,270,580 | 521,801,169 | — | — | — | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts* | ||||||||||||||||||||||||
Average Value Purchased | 191,665,990 | 332,633,102 | 25,934,488 | — | — | — | ||||||||||||||||||
Average Value Sold | 185,639,706 | 268,426,038 | 144,454,262 | — | — | — | ||||||||||||||||||
Exchange-Traded Options* |
| |||||||||||||||||||||||
Average Value of Contracts Written | — | — | 1,839,724 | — | — | — | ||||||||||||||||||
Credit Default Swaps* | ||||||||||||||||||||||||
Average Notional Balance — Buy Protection | — | — | 276,570,250 | — | — | — | ||||||||||||||||||
Average Notional Balance — Sell Protection | — | — | 114,796,833 | — | — | — | ||||||||||||||||||
Total Return Swaps* | ||||||||||||||||||||||||
Average Notional Balance —Long | 8,649,410 | — | — | — | — | — | ||||||||||||||||||
Average Notional Balance —Short | 5,038,391 | 13,150,085 | — | — | — | — | ||||||||||||||||||
Total Return Basket Swaps* |
| |||||||||||||||||||||||
Average Notional of Underlying Positions — Long | — | — | 1,188,104,717 | — | — | — | ||||||||||||||||||
Average Notional of Underlying Positions — Short | — | — | 877,061,105 | — | — | — |
* | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2013, are not accounted for as hedging instruments under GAAP.
7. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, or an Investment Management Agreement, dated June 10, 2010, as amended, entered into by the Trust, on behalf of the Funds (together, the “Advisory Agreement”). Under the Advisory Agreement, the Advisor 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 Advisor 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 Advisor provides persons satisfactory to
154 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND | RATIO | |||
AQR Global Equity Fund | 0.40 | % | ||
AQR International Equity Fund | 0.45 | |||
AQR Emerging Defensive Equity Fund | 0.60 | * | ||
AQR International Defensive Equity Fund | 0.40 | ** | ||
AQR U.S. Defensive Equity Fund | 0.30 | *** | ||
AQR Diversified Arbitrage Fund | 1.00 | |||
AQR Momentum Fund | 0.25 | |||
AQR Small Cap Momentum Fund | 0.35 | |||
AQR International Momentum Fund | 0.35 | |||
AQR Tax-Managed Momentum Fund | 0.30 | |||
AQR Tax-Managed Small Cap Momentum Fund | 0.40 | |||
AQR Tax-Managed International Momentum Fund | 0.40 | |||
AQR Core Equity Fund | 0.30 | |||
AQR Small Cap Core Equity Fund | 0.45 | |||
AQR International Core Equity Fund | 0.40 |
* | The AQR Emerging Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion. |
** | The AQR International Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.40% on the first $1 billion of net assets; the second tier charges 0.375% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.35% on net assets in excess of $3 billion. |
*** | The AQR U.S. Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.30% on the first $1 billion of net assets; the second tier charges 0.275% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.25% on net assets in excess of $3 billion. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2014, unless otherwise noted. The Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND | CLASS I | CLASS L | CLASS N | |||||||||
AQR Global Equity Fund | 0.95 | % | — | % | 1.25 | % | ||||||
AQR International Equity Fund | — | — | 1.30 | |||||||||
AQR Emerging Defensive Equity Fund | 0.90 | — | 1.15 | |||||||||
AQR International Defensive Equity Fund | 0.65 | — | 0.90 | |||||||||
AQR U.S. Defensive Equity Fund | 0.49 | — | 0.74 | |||||||||
AQR Diversified Arbitrage Fund | 1.20 | — | 1.50 | |||||||||
AQR Momentum Fund | — | 0.49 | 0.74 | |||||||||
AQR Small Cap Momentum Fund | — | 0.65 | 0.90 | |||||||||
AQR International Momentum Fund | — | 0.65 | 0.90 | |||||||||
AQR Tax-Managed Momentum Fund | — | 0.54 | 0.79 | |||||||||
AQR Tax-Managed Small Cap Momentum Fund | — | 0.70 | 0.95 | |||||||||
AQR Tax-Managed International Momentum Fund | — | 0.70 | 0.95 | |||||||||
AQR Core Equity Fund* | — | 0.54 | 0.79 | |||||||||
AQR Small Cap Core Equity Fund* | — | 0.75 | 1.00 | |||||||||
AQR International Core Equity Fund* | — | 0.70 | 0.95 |
* | This arrangement will continue at least through April 30, 2015 for Class L and N. |
AQR Funds | Semi-Annual Report | June 2013 | 155 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
The Trust and the Advisor had previously entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor had agreed to waive its fee and/or reimburse each Fund from January 1, 2013 through April 30, 2013 for AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund. The Advisor had agreed to waive and/or reimburse the Funds 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 ratios:
FUND | CLASS I | CLASS L | ||||||
AQR International Equity Fund | 1.00 | % | — | % | ||||
AQR Emerging Defensive Equity Fund | 1.15 | 1.40 | ||||||
AQR International Defensive Equity Fund | 0.90 | 1.15 | ||||||
AQR U.S. Defensive Equity Fund | 0.75 | 1.00 |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. 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 when the waiver was generated. 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 Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 2013, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at June 30, 2013 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 | TOTAL POTENTIAL RECOUPMENT AMOUNT | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
AQR GLOBAL EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | 6,227 | $ | 46,214 | $ | — | $ | 30,212 | $ | 9,775 | $ | 6,227 | ||||||||||||
Class N | 5,713 | 47,569 | — | 31,920 | 9,936 | 5,713 | ||||||||||||||||||
Class Y | — | 196,805 | 196,805 | — | — | — | ||||||||||||||||||
Totals | $ | 11,940 | $ | 290,588 | $ | 196,805 | $ | 62,132 | $ | 19,711 | $ | 11,940 | ||||||||||||
AQR INTERNATIONAL EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 9,533 | $ | 9,533 | $ | — | $ | — | $ | — | ||||||||||||
Class N | — | 31,222 | 19,745 | 11,477 | — | — | ||||||||||||||||||
Class Y | — | 199,346 | 199,346 | — | — | — | ||||||||||||||||||
Totals | $ | — | $ | 240,101 | $ | 228,624 | $ | 11,477 | $ | — | $ | — | ||||||||||||
AQR EMERGING DEFENSIVE EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | 61,425 | $ | 153,185 | $ | — | $ | — | $ | 91,760 | $ | 61,425 | ||||||||||||
Class N | 19,072 | 51,787 | — | — | 32,715 | 19,072 | ||||||||||||||||||
Totals | $ | 80,497 | $ | 204,972 | $ | — | $ | — | $ | 124,475 | $ | 80,497 | ||||||||||||
AQR INTERNATIONAL DEFENSIVE EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | 69,660 | $ | 149,601 | $ | — | $ | — | $ | 79,941 | $ | 69,660 | ||||||||||||
Class N | 14,076 | 57,551 | — | — | 43,475 | 14,076 | ||||||||||||||||||
Totals | $ | 83,736 | $ | 207,152 | $ | — | $ | — | $ | 123,416 | $ | 83,736 |
156 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 | TOTAL POTENTIAL RECOUPMENT AMOUNT | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
AQR U.S. DEFENSIVE EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | 50,409 | $ | 115,747 | $ | — | $ | — | $ | 65,338 | $ | 50,409 | ||||||||||||
Class N | 12,578 | 51,407 | — | — | 38,829 | 12,578 | ||||||||||||||||||
Totals | $ | 62,987 | $ | 167,154 | $ | — | $ | — | $ | 104,167 | $ | 62,987 | ||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 1,384,501 | $ | 129,192 | $ | 1,027,719 | $ | 227,590 | $ | — | ||||||||||||
Class N | — | 8,388 | 8,388 | — | — | — | ||||||||||||||||||
Totals | $ | — | $ | 1,392,889 | $ | 137,580 | $ | 1,027,719 | $ | 227,590 | $ | — | ||||||||||||
AQR MOMENTUM FUND | ||||||||||||||||||||||||
Class L | $ | 199,932 | $ | 1,118,067 | $ | 165,059 | $ | 418,356 | $ | 334,720 | $ | 199,932 | ||||||||||||
Class N | 39,908 | 41,064 | — | — | 1,156 | 39,908 | ||||||||||||||||||
Totals | $ | 239,840 | $ | 1,159,131 | $ | 165,059 | $ | 418,356 | $ | 335,876 | $ | 239,840 | ||||||||||||
AQR SMALL CAP MOMENTUM FUND | ||||||||||||||||||||||||
Class L | $ | 38,492 | $ | 452,837 | $ | 168,573 | $ | 171,630 | $ | 74,142 | $ | 38,492 | ||||||||||||
Class N | 13,833 | 14,353 | — | — | 520 | 13,833 | ||||||||||||||||||
Totals | $ | 52,325 | $ | 467,190 | $ | 168,573 | $ | 171,630 | $ | 74,662 | $ | 52,325 | ||||||||||||
AQR INTERNATIONAL MOMENTUM FUND | ||||||||||||||||||||||||
Class L | $ | 73,156 | $ | 710,163 | $ | 266,187 | $ | 230,607 | $ | 140,213 | $ | 73,156 | ||||||||||||
Class N | 13,412 | 13,932 | — | — | 520 | 13,412 | ||||||||||||||||||
Totals | $ | 86,568 | $ | 724,095 | $ | 266,187 | $ | 230,607 | $ | 140,733 | $ | 86,568 | ||||||||||||
AQR TAX-MANAGED MOMENTUM FUND | ||||||||||||||||||||||||
Class L | $ | 49,587 | $ | 172,703 | $ | — | $ | — | $ | 123,116 | $ | 49,587 | ||||||||||||
Class N | 9,668 | 9,729 | — | — | 61 | 9,668 | ||||||||||||||||||
Totals | $ | 59,255 | $ | 182,432 | $ | — | $ | — | $ | 123,177 | $ | 59,255 | ||||||||||||
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | ||||||||||||||||||||||||
Class L | $ | 53,341 | $ | 181,216 | $ | — | $ | — | $ | 127,875 | $ | 53,341 | ||||||||||||
Class N | 10,100 | 10,152 | — | — | 52 | 10,100 | ||||||||||||||||||
Totals | $ | 63,441 | $ | 191,368 | $ | — | $ | — | $ | 127,927 | $ | 63,441 | ||||||||||||
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | ||||||||||||||||||||||||
Class L | $ | 66,278 | $ | 227,212 | $ | — | $ | — | $ | 160,934 | $ | 66,278 | ||||||||||||
Class N | 9,966 | 10,029 | — | — | 63 | 9,966 | ||||||||||||||||||
Totals | $ | 76,244 | $ | 237,241 | $ | — | $ | — | $ | 160,997 | $ | 76,244 | ||||||||||||
AQR CORE EQUITY FUND | ||||||||||||||||||||||||
Class L | $ | 34,947 | $ | 34,947 | $ | — | $ | — | $ | — | $ | 34,947 | ||||||||||||
Class N | 14,332 | 14,332 | — | — | — | 14,332 | ||||||||||||||||||
Totals | $ | 49,279 | $ | 49,279 | $ | — | $ | — | $ | — | $ | 49,279 |
AQR Funds | Semi-Annual Report | June 2013 | 157 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 | TOTAL POTENTIAL RECOUPMENT AMOUNT | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
AQR SMALL CAP CORE EQUITY FUND | ||||||||||||||||||||||||
Class L | $ | 27,213 | $ | 27,213 | $ | — | $ | — | $ | — | $ | 27,213 | ||||||||||||
Class N | 23,230 | 23,230 | — | — | — | 23,230 | ||||||||||||||||||
Totals | $ | 50,443 | $ | 50,443 | $ | — | $ | — | $ | — | $ | 50,443 | ||||||||||||
AQR INTERNATIONAL CORE EQUITY FUND | ||||||||||||||||||||||||
Class L | $ | 32,104 | $ | 32,104 | $ | — | $ | — | $ | — | $ | 32,104 | ||||||||||||
Class N | 25,104 | 25,104 | — | — | — | 25,104 | ||||||||||||||||||
Totals | $ | 57,208 | $ | 57,208 | $ | — | $ | — | $ | — | $ | 57,208 |
The Advisor 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 $429,810 for the AQR Global Equity Fund and AQR International Equity Fund, respectively.
During the period ended June 30, 2013, the Funds recouped amounts as follows:
FUND | CLASS I | CLASS N | CLASS Y | |||||||||
AQR International Equity Fund | $ | 16,887 | $ | — | $ | 46,804 | ||||||
AQR Diversified Arbitrage Fund | — | 45,569 | — |
Pursuant to the Sub-Advisory Agreement between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% of the average daily net assets for AQR Diversified Arbitrage Fund.
J.P. Morgan Investor Services Co., serves as the Funds’ Administrator and Accounting Agent and JPMorgan Chase Bank, N.A., serves as Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
8. Distribution Plan
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.
9. Shareholder Service Plan
Pursuant to a Shareholder Services Agreement, between the Trust (excluding the AQR Diversified Arbitrage Fund) and the Advisor, the Advisor provides a wide range of services to the Funds and their shareholders. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this agreement the Advisor receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
FUND | CLASS I | CLASS L | CLASS N | |||||||||
AQR Global Equity Fund | 0.30 | % | — | % | 0.35 | % | ||||||
AQR International Equity Fund | 0.30 | — | 0.35 |
158 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
FUND | CLASS I | CLASS L | CLASS N | |||||||||
AQR Emerging Defensive Equity Fund | 0.25 | % | — | % | 0.25 | % | ||||||
AQR International Defensive Equity Fund | 0.25 | — | 0.25 | |||||||||
AQR U.S. Defensive Equity Fund | 0.25 | — | 0.25 | |||||||||
AQR Momentum Fund | — | 0.15 | 0.15 | |||||||||
AQR Small Cap Momentum Fund | — | 0.15 | 0.15 | |||||||||
AQR International Momentum Fund | — | 0.15 | 0.15 | |||||||||
AQR Tax-Managed Momentum Fund | — | 0.15 | 0.15 | |||||||||
AQR Tax-Managed Small Cap Momentum Fund | — | 0.15 | 0.15 | |||||||||
AQR Tax-Managed International Momentum Fund | — | 0.15 | 0.15 | |||||||||
AQR Core Equity Fund | — | 0.15 | 0.15 | |||||||||
AQR Small Cap Core Equity Fund | — | 0.15 | 0.15 | |||||||||
AQR International Core Equity Fund | — | 0.15 | 0.15 |
In addition, the Advisor may, from time to time, compensate third parties (including financial intermediaries) from the fees the Advisor 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, 2013, were as follows:
FUND | CLASS I | CLASS L | CLASS N | |||||||||
AQR Global Equity Fund | $ | 1,323 | $ | — | $ | 1,054 | ||||||
AQR International Equity Fund | 311,251 | — | 29,421 | |||||||||
AQR Emerging Defensive Equity Fund | 7,986 | — | 1,735 | |||||||||
AQR International Defensive Equity Fund | 11,015 | — | 1,102 | |||||||||
AQR U.S. Defensive Equity Fund | 15,965 | — | 1,946 | |||||||||
AQR Momentum Fund | — | 422,945 | 51,432 | |||||||||
AQR Small Cap Momentum Fund | — | 130,129 | 63 | |||||||||
AQR International Momentum Fund | — | 118,592 | 11,045 | |||||||||
AQR Tax-Managed Momentum Fund | — | 5,792 | 61 | |||||||||
AQR Tax-Managed Small Cap Momentum Fund | — | 3,073 | 61 | |||||||||
AQR Tax-Managed International Momentum Fund | — | 4,717 | 60 | |||||||||
AQR Core Equity Fund | — | 1,594 | 306 | |||||||||
AQR Small Cap Core Equity Fund | — | 502 | 415 | |||||||||
AQR International Core Equity Fund | — | 656 | 482 |
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. 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. Prior to May 1, 2011, the Funds reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Class I, Class N and Class L Shares.
11. Risks and Concentrations
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and entering into other forms of direct and indirect borrowing.
There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limits access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be the Funs best interest to do so.
AQR Funds | Semi-Annual Report | June 2013 | 159 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
The counterparties to the Funds’ currency forward, futures, option and swap contracts and repurchase and reverse repurchase agreements include affiliates of the Funds clearing brokers and other major financial institutions. While the Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held and transactions with a limited number of clearing brokers and counterparties.
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 Statements 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 U.S. companies.
Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.
The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined price at which the convertible security could be exchanged for the associated stock.
Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
Credit risk is the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status. The Funds’ investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends.
As of June 30, 2013, a substantial portion of the AQR Global Equity, AQR International Equity, AQR Emerging Defensive Equity, AQR International Defensive Equity, AQR International Momentum, AQR Tax-Managed International Momentum and AQR International Core Equity 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, 2013, the AQR Diversified Arbitrage Fund had pledged a substantial portion of its assets for securities sold short to JPMorgan Chase Bank, N.A.
160 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2013 |
12. Line of Credit
Effective March 1, 2013 and terminating on March 1, 2014, the Trust had renewed a committed, $150,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent. Borrowings, if any, under this arrangement bore interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate and (ii) the Eurodollar Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and did not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid in full. For the period ended June 30, 2013, the Funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 2013, the Funds had individual shareholder accounts owning more than 5% of the total shares outstanding of the Fund as follows:
FUND | NUMBER OF SHAREHOLDERS | TOTAL PERCENTAGE INTEREST HELD | ||||||
AQR Global Equity Fund | 3 | 93.35 | % | |||||
AQR International Equity Fund | 3 | 58.04 | % | |||||
AQR Tax-Managed Momentum Fund | 2 | 21.06 | % | |||||
AQR Tax-Managed Small Cap Momentum Fund | 3 | 54.09 | % | |||||
AQR Tax-Managed International Momentum Fund | 3 | 36.71 | % |
Significant shareholder transactions by these shareholders, if any, may impact the Fund’s performance.
14. Subsequent Events
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 accrual or disclosure.
15. Change in Fiscal Year End
In May 2013, the Board of Trustees approved a change in the fiscal year end for the AQR Global Equity Fund, AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund, AQR U.S. Defensive Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund from December 31 to September 30, effective September 30, 2013.
AQR Funds | Semi-Annual Report | June 2013 | 161 | |||||||||||||
Fund Expense Examples (Unaudited) |
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 6/30/13” 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 6/30/13 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 | |||||||||||||
AQR Global Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,098.70 | 0.95% | $4.94 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,097.20 | 1.25% | $6.50 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.60 | 1.25% | $6.26 | ||||||||||||
Class Y | ||||||||||||||||
Actual Return | $1,000.00 | $1,101.30 | 0.47% | $2.50 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,022.41 | 0.47% | $2.41 | ||||||||||||
AQR International Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,051.80 | 0.90% | $4.58 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,049.90 | 1.27% | $6.45 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.50 | 1.27% | $6.36 | ||||||||||||
Class Y | ||||||||||||||||
Actual Return | $1,000.00 | $1,054.20 | 0.54% | $2.80 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,022.07 | 0.54% | $2.76 |
162 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/13 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 | |||||||||||||
AQR Emerging Defensive Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $927.70 | 1.05% | $5.02 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,019.59 | 1.05% | $5.26 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $927.70 | 1.35% | $6.40 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.15 | 1.35% | $6.71 | ||||||||||||
AQR International Defensive Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,031.90 | 0.79% | $3.98 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.88 | 0.79% | $3.96 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.90 | 1.06% | $5.34 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,019.54 | 1.06% | $5.31 | ||||||||||||
AQR U.S. Defensive Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,149.60 | 0.63% | $3.36 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,021.67 | 0.63% | $3.16 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,148.30 | 0.90% | $4.79 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
AQR Diversified Arbitrage Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,011.80 | 1.20% | $5.99 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,010.00 | 1.45% | $7.28 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,017.55 | 1.45% | $7.30 | ||||||||||||
AQR Momentum Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,128.30 | 0.49% | $2.59 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,022.36 | 0.49% | $2.46 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,127.10 | 0.74% | $3.90 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,021.12 | 0.74% | $3.71 | ||||||||||||
AQR Small Cap Momentum Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,179.50 | 0.65% | $3.51 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,021.57 | 0.65% | $3.26 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,177.70 | 0.90% | $4.86 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.33 | 0.90% | $4.51 |
AQR Funds | Semi-Annual Report | June 2013 | 163 | |||||||||||||
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/13 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 | |||||||||||||
AQR International Momentum Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,064.20 | 0.65% | $3.33 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,021.57 | 0.65% | $3.26 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,063.50 | 0.90% | $4.60 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
AQR Tax-Managed Momentum Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,128.50 | 0.54% | $2.90 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,022.07 | 0.54% | $2.76 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,126.70 | 0.79% | $4.22 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.83 | 0.79% | $4.01 | ||||||||||||
AQR Tax-Managed Small Cap Momentum Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,191.90 | 0.70% | $3.80 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,021.32 | 0.70% | $3.51 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,189.20 | 0.95% | $5.16 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
AQR Tax-Managed International Momentum Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,065.80 | 0.70% | $3.59 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,021.32 | 0.70% | $3.51 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,064.10 | 0.95% | $4.86 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
AQR Core Equity Fund | ||||||||||||||||
Class L (1) | ||||||||||||||||
Actual Return | $1,000.00 | $1,045.00 | 0.54% | $1.47 | (a) | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.12 | 0.54% | $2.71 | ||||||||||||
Class N (1) | ||||||||||||||||
Actual Return | $1,000.00 | $1,045.00 | 0.79% | $2.15 | (a) | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.88 | 0.79% | $3.96 | ||||||||||||
AQR Small Cap Core Equity Fund | ||||||||||||||||
Class L (1) | ||||||||||||||||
Actual Return | $1,000.00 | $1,079.00 | 0.75% | $2.07 | (a) | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.08 | 0.75% | $3.76 | ||||||||||||
Class N (1) | ||||||||||||||||
Actual Return | $1,000.00 | $1,078.00 | 1.00% | $2.76 | (a) | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.84 | 1.00% | $5.01 |
164 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/13 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 | |||||||||||||
AQR International Core Equity Fund | ||||||||||||||||
Class L (1) | ||||||||||||||||
Actual Return | $1,000.00 | $1,023.00 | 0.70% | $1.88 | (a) | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.32 | 0.70% | $3.51 | ||||||||||||
Class N (1) | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.00 | 0.95% | $2.55 | (a) | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.08 | 0.95% | $4.76 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise). |
(1) | Commencement of operations was March 26, 2013. |
(a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multipled by 97/365 (to reflect the period since commencement of operations). |
AQR Funds | Semi-Annual Report | June 2013 | 165 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
AQR Global Equity Fund, AQR International Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum 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 in person on February 21-22, 2013, to consider the continuation of the Investment Advisory Agreement between the Trust, on behalf of AQR Global Equity Fund, AQR International Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had had a separate call in advance of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Investment Advisory Agreement. These materials included: (i) memoranda and materials prepared by AQR, describing personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Investment Advisory Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses; (iv) a discussion of the financial statements of AQR; and (v) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Advisor”.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members, unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period. In approving the continuation of the Investment Advisory Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Advisor; (b) the investment performance of the Funds and the Advisor’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor 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, direct and indirect benefits to the Advisor and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. 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 Investment Advisory Agreement:
The Nature, Extent and Quality of the Services Provided by the Advisor. The Board Members reviewed the services that the Advisor provides to the Funds under the Investment Advisory Agreement. The Board considered the size and experience of the Advisor’s staff, its use of technology, and the Funds’ investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Advisor regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Advisor regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks. The Board considered information about how portfolio managers are compensated by the Advisor.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, fund accounting, and 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 Members reviewed the compliance and administrative services to be provided to the Funds by AQR. The Board also reviewed a wide range of services to be provided to certain of the Funds’ shareholders under a shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
166 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
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 Investment Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the continuation of the Investment Advisory Agreement was in the best interests of the Funds.
Investment Performance of the Funds and the Advisor’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Advisor’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Advisor’s performance in managing other registered investment companies and private funds, noting that other funds the Advisor 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 to be Realized by the Advisor from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Advisor pursuant to the Investment Advisory Agreement. The Board examined this information 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 materials independently prepared by Morningstar (“Morningstar Report”). The Morningstar Report illustrated comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual management fees and actual net expenses. The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related activities and the Advisor’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 Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’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 management fees are reasonable.
Economies of Scale. The Advisor provided to the Board 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 none of the Funds currently 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 Advisor presented information to show that the fees were set at a level that is competitive relative to comparable funds. 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 Advisor’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Advisor or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor 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 Advisor does not presently intend to make use of soft dollars to acquire third-party research.
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 Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor 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. 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. The Independent Board Members were represented by counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | June 2013 | 167 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund |
Additionally, the Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on February 21-22, 2013, to consider the approval of the investment advisory agreement between the Trust, on behalf of the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund (together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had a separate call in advance of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the Investment Advisory Agreement. These materials included: (1) memoranda and materials provided by AQR, describing the personnel and services to be provided to the Funds; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Advisory Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial statements of AQR and the regulatory exam history; and (5) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Advisor,” as applicable.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members, unanimously approved the Investment Advisory Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Advisor; (b) the investment performance of the Advisor and the Advisor’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor 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 the services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Advisor and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings 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 Investment Advisory Agreement:
The Nature, Extent and Quality of the Services to be Provided by the Advisor. The Board Members reviewed the services that the Advisor would provide to the Funds under the Investment Advisory Agreement. The Board considered the size and experience of the Advisor’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Advisor regarding the management of the Funds’ investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that would be entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Advisor regarding the formulation and proposed implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services to be provided to the Funds, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance and administrative services to be provided to the Funds by AQR. The Board also reviewed a wide range of services to be provided to certain of the Funds’ shareholders under a shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
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 Investment Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the Funds by AQR pursuant to the Investment Advisory Agreement were likely to be of a high quality and would benefit the Funds.
168 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
Investment Performance and the Advisor’s Portfolio Management. Because the Funds are newly formed, the Board did not consider the investment performance of the Funds. The Board based its review of the Advisor’s performance primarily on the experience of the Advisor in managing other registered investment companies and private funds, noting that other funds the Advisor manages might have investment objectives, policies or restrictions different from those of the Funds. The Board also considered the experience, resources and strengths of the Advisor and its affiliates with respect to the investment strategies proposed for the Funds. Based on these factors, the Board Members determined that the Advisor would be an appropriate investment adviser for the Funds.
The Advisory Fee and the Cost of the Services and Profits to be Realized by the Advisor from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Advisor pursuant to the Investment Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.
The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related activities. The Board took into consideration the Advisor’s profits from the management of other private accounts. The Board also reviewed the Advisor’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 Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’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 proposed management fees are reasonable.
Economies of Scale. Because the Funds are newly formed and had not commenced operations as of February 22, 2013, and the eventual aggregate amount of the Funds’ assets was uncertain, the Advisor was not able to provide the Board Members with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. The Advisor presented information to show that the fees were set at a level that is competitive relative to comparable funds of similar, actual or anticipated size. 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 Advisor’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall out” benefits that the Advisor or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor 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 firm’s various advisory clients. The Board noted that the Advisor does not presently intend to make use of soft dollars to acquire third-party research.
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 proposed advisory fee rates and projected total expense ratios are reasonable in relation to the services to be provided by the Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor in providing such services, including the investment advisory and administrative components. The Board also found the proposed 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 Investment Advisory Agreement with respect to the Funds. The Independent Board Members were represented by counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | June 2013 | 169 | |||||||||||||
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 1st Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
J.P. Morgan Investor Services Co.
70 Fargo Street
Boston, MA 02210
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.
P.O. Box 2248
Denver, CO 80201-2248
1-866-290-2688
www.aqrfunds.com
Consolidated Schedule of Investments | ||||
2 | ||||
10 | ||||
14 | ||||
27 | ||||
34 | ||||
41 | ||||
Financial Statements and Notes | 79 | |||
Fund Expense Examples | 118 | |||
Board Approval of Investment Advisory Agreements | 120 |
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
MONEY MARKET FUNDS - 87.0% | SHARES | VALUE (Note 3) | ||||||
BlackRock Liquidity Funds TempFund Portfolio, Series I, Institutional, Shares, 0.046% (a) | 190,957,366 | $ | 190,957,366 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a) | 763,829,463 | 763,829,463 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) | 1,473,180,907 | 1,473,180,907 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a) | 937,905,103 | 937,905,103 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 3,365,872,839 | |||||||
|
|
SHORT-TERM INVESTMENTS - 7.0% | PRINCIPAL AMOUNT (000'S) | VALUE (Note 3) | ||||||
U.S. Treasury Bill, 0.000%, 12/12/2013 (c) | $ | 269,100 | $ | 269,020,347 | ||||
|
| |||||||
TOTAL INVESTMENTS - 94.0% | 3,634,893,186 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.0% (d) | 233,992,311 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 3,868,885,497 | ||||||
|
|
(a) | Represents annualized seven-day yield as of June 30, 2013. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/depreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 4,721,150 | $(284,862) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (4,721,150) | (45,636) | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (1,853,831) | 92,981 | |||||||||||
Bank of America | Euro - SCHATZ Futures | 9/6/2013 | EUR | (586,644,882) | (720,140) | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (198,681,061) | 23,808,223 | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 90,096,520 | (3,727,749) | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (89,525,043) | (7,405,623) | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 89,525,043 | 5,616,055 | |||||||||||
Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 24,046,500 | (73,800) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 32,194,100 | (3,089,937) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (103,301,412) | 7,009,981 | |||||||||||
Bank of America | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 25,154,447 | 894,953 | |||||||||||
Barclays Capital | Silver Futures | 9/26/2013 | USD | (37,912,470) | 3,839,970 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | 142,504,948 | (5,849,148) | |||||||||||
Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 7,420,830 | (389,630) | |||||||||||
Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | (25,428,662) | 1,199,222 | |||||||||||
The Royal Bank of Scotland | Swiss Market Index Futures | 9/20/2013 | CHF | 12,232,512 | (146,563) | |||||||||||
Bank of America | U.S. Treasury 2-Year Note Futures | 9/30/2013 | USD | (843,660,831) | (259,170) | |||||||||||
Barclays Capital | Wheat Futures | 9/13/2013 | USD | (44,907,065) | 2,120,427 | |||||||||||
|
| |||||||||||||||
$22,589,554 | ||||||||||||||||
|
|
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $12,901,634. Additional collateral for positions held at Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.
The accompanying notes are an integral part of these financial statements. | (Continued) |
2 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
21 | Cocoa Futures | September 13, 2013 | $486,770 | $454,440 | $(32,330) | |||||||||||
455 | Corn Futures | September 13, 2013 | 13,404,040 | 12,449,938 | (954,102) | |||||||||||
266 | Cotton No. 2 Futures | December 6, 2013 | 11,708,424 | 11,173,330 | (535,094) | |||||||||||
295 | Crude Oil Financial Futures | July 19, 2013 | 28,872,810 | 28,485,200 | (387,610) | |||||||||||
3 | Globex Brent FCL Futures | July 15, 2013 | 308,130 | 306,480 | (1,650) | |||||||||||
247 | Globex RBOB Gas Futures | July 30, 2013 | 29,252,845 | 28,171,635 | (1,081,210) | |||||||||||
353 | Lean Hogs Futures | August 14, 2013 | 13,869,226 | 13,759,940 | (109,286) | |||||||||||
123 | LME Aluminum Futures | July 2, 2013 | 5,838,084 | 5,318,981 | (519,103) | |||||||||||
20 | LME Aluminum Futures | July 3, 2013 | 935,657 | 865,125 | (70,532) | |||||||||||
55 | LME Aluminum Futures | July 12, 2013 | 2,575,463 | 2,385,281 | (190,182) | |||||||||||
285 | LME Aluminum Futures | August 2, 2013 | 13,101,906 | 12,435,690 | (666,216) | |||||||||||
91 | LME Aluminum Futures | September 27, 2013 | 4,045,892 | 4,033,575 | (12,317) | |||||||||||
45 | LME Copper Futures | July 2, 2013 | 8,403,822 | 7,572,375 | (831,447) | |||||||||||
74 | LME Copper Futures | July 3, 2013 | 13,736,368 | 12,453,423 | (1,282,945) | |||||||||||
7 | LME Copper Futures | July 5, 2013 | 1,304,111 | 1,178,231 | (125,880) | |||||||||||
31 | LME Copper Futures | July 9, 2013 | 5,835,800 | 5,219,370 | (616,430) | |||||||||||
139 | LME Copper Futures | August 2, 2013 | 24,301,266 | 23,430,709 | (870,557) | |||||||||||
47 | LME Copper Futures | August 21, 2013 | 8,705,254 | 7,929,194 | (776,060) | |||||||||||
19 | LME Copper Futures | August 22, 2013 | 3,533,523 | 3,205,419 | (328,104) | |||||||||||
70 | LME Copper Futures | August 23, 2013 | 12,764,681 | 11,809,438 | (955,243) | |||||||||||
19 | LME Copper Futures | August 30, 2013 | 3,471,893 | 3,205,893 | (266,000) | |||||||||||
14 | LME Copper Futures | September 4, 2013 | 2,576,731 | 2,362,458 | (214,273) | |||||||||||
34 | LME Copper Futures | September 5, 2013 | 6,342,060 | 5,737,500 | (604,560) | |||||||||||
6 | LME Copper Futures | September 6, 2013 | 1,107,846 | 1,012,520 | (95,326) | |||||||||||
23 | LME Copper Futures | September 12, 2013 | 4,094,037 | 3,881,756 | (212,281) | |||||||||||
66 | LME Copper Futures | September 13, 2013 | 11,668,886 | 11,139,150 | (529,736) | |||||||||||
73 | LME Copper Futures | September 16, 2013 | 13,486,742 | 12,320,575 | (1,166,167) | |||||||||||
19 | LME Copper Futures | September 17, 2013 | 3,361,130 | 3,206,725 | (154,405) | |||||||||||
44 | LME Copper Futures | September 19, 2013 | 7,690,445 | 7,425,550 | (264,895) | |||||||||||
104 | LME Copper Futures | September 20, 2013 | 17,696,166 | 17,551,092 | (145,074) | |||||||||||
12 | LME Nickel Futures | July 9, 2013 | 1,165,483 | 982,735 | (182,748) | |||||||||||
36 | LME Nickel Futures | July 11, 2013 | 3,470,098 | 2,948,552 | (521,546) | |||||||||||
48 | LME Nickel Futures | July 12, 2013 | 4,623,571 | 3,931,632 | (691,939) | |||||||||||
70 | LME Nickel Futures | July 16, 2013 | 6,663,412 | 5,734,974 | (928,438) | |||||||||||
37 | LME Nickel Futures | July 17, 2013 | 3,454,379 | 3,031,521 | (422,858) | |||||||||||
37 | LME Nickel Futures | July 19, 2013 | 3,393,329 | 3,031,838 | (361,491) | |||||||||||
38 | LME Nickel Futures | July 22, 2013 | 3,477,061 | 3,114,268 | (362,793) | |||||||||||
17 | LME Nickel Futures | July 23, 2013 | 1,545,327 | 1,393,298 | (152,029) | |||||||||||
19 | LME Nickel Futures | July 24, 2013 | 1,743,888 | 1,557,297 | (186,591) | |||||||||||
14 | LME Nickel Futures | July 29, 2013 | 1,287,994 | 1,147,781 | (140,213) | |||||||||||
16 | LME Nickel Futures | August 2, 2013 | 1,426,022 | 1,312,025 | (113,997) | |||||||||||
25 | LME Nickel Futures | September 5, 2013 | 2,307,095 | 2,053,875 | (253,220) | |||||||||||
17 | LME Nickel Futures | September 6, 2013 | 1,544,185 | 1,396,722 | (147,463) | |||||||||||
42 | LME Nickel Futures | September 16, 2013 | 3,844,220 | 3,453,282 | (390,938) | |||||||||||
94 | LME Zinc Futures | July 2, 2013 | 4,404,050 | 4,279,350 | (124,700) | |||||||||||
76 | LME Zinc Futures | July 3, 2013 | 3,532,222 | 3,460,793 | (71,429) | |||||||||||
187 | LME Zinc Futures | July 5, 2013 | 8,814,324 | 8,519,720 | (294,604) | |||||||||||
38 | LME Zinc Futures | July 8, 2013 | 1,803,161 | 1,732,610 | (70,551) | |||||||||||
56 | LME Zinc Futures | July 11, 2013 | 2,646,090 | 2,555,280 | (90,810) | |||||||||||
13 | LME Zinc Futures | July 12, 2013 | 609,721 | 593,343 | (16,378) | |||||||||||
106 | LME Zinc Futures | July 16, 2013 | 5,040,470 | 4,842,955 | (197,515) | |||||||||||
152 | LME Zinc Futures | August 2, 2013 | 7,046,004 | 6,971,594 | (74,410) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 3 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
79 | LME Zinc Futures | August 7, 2013 | $3,723,528 | $3,627,482 | $(96,046) | |||||||||||
70 | LME Zinc Futures | August 8, 2013 | 3,326,242 | 3,214,942 | (111,300) | |||||||||||
82 | LME Zinc Futures | August 9, 2013 | 3,866,494 | 3,766,937 | (99,557) | |||||||||||
86 | LME Zinc Futures | August 30, 2013 | 4,104,100 | 3,969,330 | (134,770) | |||||||||||
73 | LME Zinc Futures | September 3, 2013 | 3,547,148 | 3,372,308 | (174,840) | |||||||||||
102 | LME Zinc Futures | September 5, 2013 | 4,998,246 | 4,714,083 | (284,163) | |||||||||||
226 | LME Zinc Futures | September 6, 2013 | 10,976,026 | 10,447,246 | (528,780) | |||||||||||
37 | LME Zinc Futures | September 10, 2013 | 1,739,916 | 1,711,906 | (28,010) | |||||||||||
524 | LME Zinc Futures | September 16, 2013 | 25,374,328 | 24,287,400 | (1,086,928) | |||||||||||
15 | LME Zinc Futures | September 20, 2013 | 690,024 | 695,141 | 5,117 | |||||||||||
21 | LME Zinc Futures | September 25, 2013 | 967,609 | 972,978 | 5,369 | |||||||||||
199 | Natural Gas Swap Futures | July 29, 2013 | 1,866,123 | 1,773,588 | (92,535) | |||||||||||
37 | Soybean Futures | November 14, 2013 | 2,396,108 | 2,316,200 | (79,908) | |||||||||||
1,365 | Soybean Meal Futures | December 13, 2013 | 53,471,809 | 51,051,000 | (2,420,809) | |||||||||||
359 | Amsterdam Index Futures | July 19, 2013 | 32,795,957 | 32,224,480 | (571,477) | |||||||||||
1,078 | CAC40 10 Euro Futures | July 19, 2013 | 53,728,686 | 52,401,708 | (1,326,978) | |||||||||||
170 | DAX Index Futures | September 20, 2013 | 45,420,722 | 44,070,777 | (1,349,945) | |||||||||||
1,133 | DJIA Mini E-CBOT Futures | September 20, 2013 | 85,851,303 | 83,977,960 | (1,873,343) | |||||||||||
726 | E-Mini Russell 2000 Futures | September 20, 2013 | 71,616,864 | 70,763,220 | (853,644) | |||||||||||
351 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 12,248,558 | 12,358,617 | 110,059 | |||||||||||
645 | FTSE/MIB Index Futures | September 20, 2013 | 67,809,106 | 64,067,147 | (3,741,959) | |||||||||||
5 | Hang Seng Index Futures | July 30, 2013 | 643,184 | 668,156 | 24,972 | |||||||||||
243 | IBEX 35 Index Futures | July 19, 2013 | 25,536,937 | 24,256,803 | (1,280,134) | |||||||||||
143 | MSCI Singapore Index Futures | July 30, 2013 | 7,859,667 | 7,974,154 | 114,487 | |||||||||||
1,370 | NASDAQ 100 E-Mini Futures | September 20, 2013 | 81,403,796 | 79,494,250 | (1,909,546) | |||||||||||
959 | S&P 500 E-Mini Futures | September 20, 2013 | 78,407,233 | 76,686,435 | (1,720,798) | |||||||||||
411 | S&P MID 400 E-Mini Futures | September 20, 2013 | 48,503,981 | 47,589,690 | (914,291) | |||||||||||
62 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 8,296,942 | 8,168,413 | (128,529) | |||||||||||
2,190 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 24,586,794 | 25,522,260 | 935,466 | |||||||||||
146 | SPI 200 Index Futures | September 19, 2013 | 16,017,856 | 15,919,434 | (98,422) | |||||||||||
359 | TOPIX Index Futures | September 12, 2013 | 39,652,494 | 40,938,596 | 1,286,102 | |||||||||||
|
|
|
|
|
| |||||||||||
1,169,749,895 | 1,131,529,079 | (38,220,816) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
1,259 | Coffee ‘C’ Futures | September 18, 2013 | (60,654,484) | (56,843,850) | 3,810,634 | |||||||||||
27 | Globex Heat Oil Futures | July 30, 2013 | (3,243,307) | (3,241,879) | 1,428 | |||||||||||
258 | ICE Euro Gasoil Futures | July 10, 2013 | (22,175,100) | (22,787,850) | (612,750) | |||||||||||
123 | LME Aluminum Futures | July 2, 2013 | (5,837,366) | (5,318,982) | 518,384 | |||||||||||
20 | LME Aluminum Futures | July 3, 2013 | (936,127) | (865,125) | 71,002 | |||||||||||
55 | LME Aluminum Futures | July 12, 2013 | (2,605,606) | (2,385,281) | 220,325 | |||||||||||
285 | LME Aluminum Futures | August 2, 2013 | (13,073,919) | (12,435,690) | 638,229 | |||||||||||
91 | LME Aluminum Futures | September 16, 2013 | (4,036,842) | (4,025,044) | 11,798 | |||||||||||
91 | LME Aluminum Futures | September 27, 2013 | (4,030,985) | (4,033,575) | (2,590) | |||||||||||
45 | LME Copper Futures | July 2, 2013 | (8,407,878) | (7,572,375) | 835,503 | |||||||||||
74 | LME Copper Futures | July 3, 2013 | (13,720,562) | (12,453,423) | 1,267,139 | |||||||||||
7 | LME Copper Futures | July 5, 2013 | (1,299,769) | (1,178,231) | 121,538 | |||||||||||
31 | LME Copper Futures | July 9, 2013 | (5,840,009) | (5,219,369) | 620,640 | |||||||||||
139 | LME Copper Futures | August 2, 2013 | (24,178,641) | (23,430,708) | 747,933 | |||||||||||
47 | LME Copper Futures | August 21, 2013 | (8,678,475) | (7,929,194) | 749,281 | |||||||||||
19 | LME Copper Futures | August 22, 2013 | (3,541,807) | (3,205,419) | 336,388 | |||||||||||
70 | LME Copper Futures | August 23, 2013 | (12,824,938) | (11,809,437) | 1,015,501 | |||||||||||
19 | LME Copper Futures | August 30, 2013 | (3,453,457) | (3,205,894) | 247,563 | |||||||||||
14 | LME Copper Futures | September 4, 2013 | (2,583,678) | (2,362,458) | 221,220 | |||||||||||
34 | LME Copper Futures | September 5, 2013 | (6,338,396) | (5,737,500) | 600,896 | |||||||||||
6 | LME Copper Futures | September 6, 2013 | (1,102,490) | (1,012,519) | 89,971 | |||||||||||
23 | LME Copper Futures | September 12, 2013 | (4,073,621) | (3,881,756) | 191,865 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
4 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
66 | LME Copper Futures | September 13, 2013 | $(11,735,489) | $(11,139,150) | $596,339 | |||||||||||
708 | LME Copper Futures | September 16, 2013 | (128,649,939) | (119,492,700) | 9,157,239 | |||||||||||
19 | LME Copper Futures | September 17, 2013 | (3,394,996) | (3,206,725) | 188,271 | |||||||||||
44 | LME Copper Futures | September 19, 2013 | (7,720,317) | (7,425,550) | 294,767 | |||||||||||
104 | LME Copper Futures | September 20, 2013 | (17,771,309) | (17,551,092) | 220,217 | |||||||||||
12 | LME Nickel Futures | July 9, 2013 | (1,166,135) | (982,735) | 183,400 | |||||||||||
36 | LME Nickel Futures | July 11, 2013 | (3,469,667) | (2,948,551) | 521,116 | |||||||||||
48 | LME Nickel Futures | July 12, 2013 | (4,659,796) | (3,931,632) | 728,164 | |||||||||||
70 | LME Nickel Futures | July 16, 2013 | (6,530,936) | (5,734,974) | 795,962 | |||||||||||
37 | LME Nickel Futures | July 17, 2013 | (3,471,755) | (3,031,521) | 440,234 | |||||||||||
37 | LME Nickel Futures | July 19, 2013 | (3,431,694) | (3,031,838) | 399,856 | |||||||||||
38 | LME Nickel Futures | July 22, 2013 | (3,447,045) | (3,114,268) | 332,777 | |||||||||||
17 | LME Nickel Futures | July 23, 2013 | (1,549,812) | (1,393,299) | 156,513 | |||||||||||
19 | LME Nickel Futures | July 24, 2013 | (1,739,476) | (1,557,297) | 182,179 | |||||||||||
14 | LME Nickel Futures | July 29, 2013 | (1,281,310) | (1,147,781) | 133,529 | |||||||||||
16 | LME Nickel Futures | August 2, 2013 | (1,426,534) | (1,312,025) | 114,509 | |||||||||||
25 | LME Nickel Futures | September 5, 2013 | (2,306,960) | (2,053,875) | 253,085 | |||||||||||
17 | LME Nickel Futures | September 6, 2013 | (1,534,053) | (1,396,722) | 137,331 | |||||||||||
574 | LME Nickel Futures | September 16, 2013 | (52,996,154) | (47,194,854) | 5,801,300 | |||||||||||
94 | LME Zinc Futures | July 2, 2013 | (4,441,519) | (4,279,350) | 162,169 | |||||||||||
76 | LME Zinc Futures | July 3, 2013 | (3,526,909) | (3,460,793) | 66,116 | |||||||||||
187 | LME Zinc Futures | July 5, 2013 | (8,771,987) | (8,519,720) | 252,267 | |||||||||||
38 | LME Zinc Futures | July 8, 2013 | (1,805,234) | (1,732,610) | 72,624 | |||||||||||
56 | LME Zinc Futures | July 11, 2013 | (2,664,110) | (2,555,280) | 108,830 | |||||||||||
13 | LME Zinc Futures | July 12, 2013 | (617,015) | (593,343) | 23,672 | |||||||||||
106 | LME Zinc Futures | July 16, 2013 | (4,982,090) | (4,842,954) | 139,136 | |||||||||||
152 | LME Zinc Futures | August 2, 2013 | (7,058,969) | (6,971,594) | 87,375 | |||||||||||
79 | LME Zinc Futures | August 7, 2013 | (3,712,874) | (3,627,483) | 85,391 | |||||||||||
70 | LME Zinc Futures | August 8, 2013 | (3,335,388) | (3,214,942) | 120,446 | |||||||||||
82 | LME Zinc Futures | August 9, 2013 | (3,849,014) | (3,766,937) | 82,077 | |||||||||||
86 | LME Zinc Futures | August 30, 2013 | (4,114,962) | (3,969,330) | 145,632 | |||||||||||
73 | LME Zinc Futures | September 3, 2013 | (3,547,683) | (3,372,308) | 175,375 | |||||||||||
102 | LME Zinc Futures | September 5, 2013 | (5,009,312) | (4,714,083) | 295,229 | |||||||||||
226 | LME Zinc Futures | September 6, 2013 | (10,896,388) | (10,447,245) | 449,143 | |||||||||||
37 | LME Zinc Futures | September 10, 2013 | (1,741,716) | (1,711,907) | 29,809 | |||||||||||
1,154 | LME Zinc Futures | September 16, 2013 | (56,569,026) | (53,487,900) | 3,081,126 | |||||||||||
15 | LME Zinc Futures | September 20, 2013 | (689,218) | (695,141) | (5,923) | |||||||||||
21 | LME Zinc Futures | September 25, 2013 | (963,262) | (972,977) | (9,715) | |||||||||||
527 | Silver Futures | September 26, 2013 | (52,198,155) | (51,303,450) | 894,705 | |||||||||||
2,272 | Soybean Oil Futures | December 13, 2013 | (63,890,059) | (61,507,584) | 2,382,475 | |||||||||||
7,859 | Sugar #11 (World Markets) Futures | September 30, 2013 | (146,347,288) | (148,931,193) | (2,583,905) | |||||||||||
2,378 | Wheat Futures | September 13, 2013 | (81,301,667) | (78,206,475) | 3,095,192 | |||||||||||
86 | FTSE 100 Index Futures | September 20, 2013 | (8,059,401) | (8,059,346) | 55 | |||||||||||
431 | H-SHARES Index Futures | July 30, 2013 | (24,948,321) | (25,684,233) | (735,912) | |||||||||||
162 | KOSPI Index 200 Futures | September 12, 2013 | (17,591,850) | (17,163,872) | 427,978 | |||||||||||
604 | 3-Month Euro Euribor Futures | December 16, 2013 | (195,707,581) | (195,880,882) | (173,301) | |||||||||||
748 | 3-Month Euro Euribor Futures | March 17, 2014 | (242,158,645) | (242,398,403) | (239,758) | |||||||||||
881 | 3-Month Euro Euribor Futures | June 16, 2014 | (285,017,990) | (285,312,307) | (294,317) | |||||||||||
888 | 3-Month Euro Euribor Futures | September 15, 2014 | (287,031,773) | (287,391,432) | (359,659) | |||||||||||
904 | 3-Month Euro Euribor Futures | December 15, 2014 | (291,928,508) | (292,349,026) | (420,518) | |||||||||||
906 | 3-Month Euro Euribor Futures | March 16, 2015 | (292,332,278) | (292,759,958) | (427,680) | |||||||||||
849 | 3-Month Euro Euribor Futures | June 15, 2015 | (273,645,780) | (274,092,637) | (446,857) | |||||||||||
273 | 90-Day EURODollar Futures | December 16, 2013 | (67,983,399) | (67,994,063) | (10,664) | |||||||||||
760 | 90-Day EURODollar Futures | March 17, 2014 | (189,109,852) | (189,183,000) | (73,148) | |||||||||||
1,046 | 90-Day EURODollar Futures | June 16, 2014 | (260,062,996) | (260,218,649) | (155,653) | |||||||||||
1,378 | 90-Day EURODollar Futures | September 15, 2014 | (342,300,058) | (342,553,575) | (253,517) | |||||||||||
1,808 | 90-Day EURODollar Futures | December 15, 2014 | (448,796,444) | (448,949,000) | (152,556) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 5 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
2,063 | 90-Day EURODollar Futures | March 16, 2015 | $(511,451,283) | $(511,495,063) | $(43,780) | |||||||||||
2,011 | 90-Day EURODollar Futures | June 15, 2015 | (498,018,061) | (497,647,088) | 370,973 | |||||||||||
2,054 | 90-Day GBP LIBOR Futures | December 18, 2013 | (388,140,352) | (388,082,782) | 57,570 | |||||||||||
2,320 | 90-Day Sterling Futures | March 19, 2014 | (438,383,037) | (438,076,180) | 306,857 | |||||||||||
2,581 | 90-Day Sterling Futures | June 18, 2014 | (487,511,961) | (487,114,402) | 397,559 | |||||||||||
2,584 | 90-Day Sterling Futures | September 17, 2014 | (487,804,223) | (487,385,834) | 418,389 | |||||||||||
2,428 | 90-Day Sterling Futures | December 17, 2014 | (457,951,427) | (457,638,486) | 312,941 | |||||||||||
2,315 | 90-Day Sterling Futures | March 18, 2015 | (436,171,787) | (435,943,713) | 228,074 | |||||||||||
2,256 | 90-Day Sterling Futures | June 17, 2015 | (424,680,088) | (424,340,024) | 340,064 | |||||||||||
1,406 | Australia 10-Year Bond Futures | September 16, 2013 | (152,260,235) | (152,232,648) | 27,587 | |||||||||||
3,937 | Australia 3-Year Bond Futures | September 16, 2013 | (392,392,451) | (393,208,624) | (816,173) | |||||||||||
1,771 | Canadian 10-Year Bond Futures | September 19, 2013 | (226,969,057) | (221,286,593) | 5,682,464 | |||||||||||
1,266 | Canadian 3-Month Bank Acceptance Futures | December 16, 2013 | (296,940,176) | (296,968,908) | (28,732) | |||||||||||
1,505 | Canadian 3-Month Bank Acceptance Futures | March 17, 2014 | (352,863,942) | (352,674,004) | 189,938 | |||||||||||
1,589 | Euro - Bobl Futures | September 6, 2013 | (259,145,968) | (258,953,894) | 192,074 | |||||||||||
913 | Euro - Bund Futures | September 6, 2013 | (168,479,437) | (168,183,280) | 296,157 | |||||||||||
4,350 | Euro - SCHATZ Futures | September 6, 2013 | (625,534,887) | (624,849,595) | 685,292 | |||||||||||
2,217 | Euro CHF 3-Month LIFFE Futures | December 16, 2013 | (586,680,831) | (586,611,323) | 69,508 | |||||||||||
2,032 | Euro CHF 3-Month LIFFE Futures | March 17, 2014 | (537,587,977) | (537,553,332) | 34,645 | |||||||||||
1,005 | Euro-Buxl 30-Year Bond Futures | September 6, 2013 | (170,103,357) | (168,150,660) | 1,952,697 | |||||||||||
1,140 | Long Gilt Futures | September 26, 2013 | (198,941,685) | (194,021,505) | 4,920,180 | |||||||||||
157 | Mini Japanese 10-Year Treasury Bond | September 10, 2013 | (225,759,601) | (225,891,309) | (131,708) | |||||||||||
1,312 | U.S. Long Bond Futures | September 19, 2013 | (183,471,659) | (178,227,000) | 5,244,659 | |||||||||||
2,141 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | (274,670,621) | (270,970,313) | 3,700,308 | |||||||||||
3,194 | U.S. Treasury 5-Year Note Futures | September 30, 2013 | (389,950,418) | (386,623,719) | 3,326,699 | |||||||||||
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| |||||||||||
(13,341,494,076) | (13,275,587,409) | 65,906,667 | ||||||||||||||
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|
|
| |||||||||||
$(12,171,744,181) | $(12,144,058,330) | $27,685,851 | ||||||||||||||
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Cash held as collateral with broker for futures contracts was $182,563,087 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | 153,251,000 | $142,485,916 | $139,340,241 | $(3,145,675) | ||||||||||||||
Brazilian Real, Expiring 09/18/13* | The Royal Bank of Scotland | BRL | 21,000,000 | 9,175,354 | 9,259,835 | 84,481 | ||||||||||||||
Canadian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | CAD | 198,751,000 | 192,264,017 | 188,616,295 | (3,647,722) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
6 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 1,012,000 | $1,060,719 | $1,072,178 | $11,459 | ||||||||||||||
Chilean Peso, Expiring 09/23/13* | The Royal Bank of Scotland | CLP | 13,352,000,000 | 26,274,776 | 25,932,014 | (342,762) | ||||||||||||||
Columbian Peso, Expiring 09/18/13* | The Royal Bank of Scotland | COP | 9,970,000,000 | 5,204,556 | 5,147,052 | (57,504) | ||||||||||||||
Czech Republic Koruna, Expiring 09/18/13 | The Royal Bank of Scotland | CZK | 3,380,000,000 | 173,900,348 | 169,189,307 | (4,711,041) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 1,553,304,974 | 2,040,339,322 | 2,022,570,810 | (17,768,512) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 265,871,000 | 409,337,115 | 404,162,995 | (5,174,120) | ||||||||||||||
Hungarian Forint, Expiring 09/18/13 | The Royal Bank of Scotland | HUF | 26,526,000,000 | 116,714,666 | 116,143,056 | (571,610) | ||||||||||||||
Indonesian Rupiah, Expiring 09/18/13* | The Royal Bank of Scotland | IDR | 136,900,000,000 | 13,504,982 | 13,652,216 | 147,234 | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | 388,610,000 | 106,961,385 | 106,643,225 | (318,160) | ||||||||||||||
Indian Rupee, Expiring 09/18/13* | The Royal Bank of Scotland | INR | 6,852,400,000 | 118,861,925 | 113,744,687 | (5,117,238) | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | 100,287,117,000 | 1,028,802,965 | 1,011,538,684 | (17,264,281) | ||||||||||||||
Korean Won, Expiring 09/23/13* | The Royal Bank of Scotland | KRW | 187,833,720,000 | 166,385,131 | 163,849,232 | (2,535,899) | ||||||||||||||
Mexican Peso, Expiring 09/18/13 | The Royal Bank of Scotland | MXN | 1,767,000,000 | 136,786,235 | 135,403,547 | (1,382,688) | ||||||||||||||
Malaysian Ringgit, Expiring 09/18/13* | The Royal Bank of Scotland | MYR | 179,690,000 | 57,161,128 | 56,579,641 | (581,487) | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | 1,171,021,000 | 200,435,519 | 192,234,386 | (8,201,133) | ||||||||||||||
New Zealand Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | NZD | 858,890,000 | 682,551,971 | 661,824,463 | (20,727,508) | ||||||||||||||
Philippine Peso, Expiring 09/18/13* | The Royal Bank of Scotland | PHP | 724,500,000 | 17,148,450 | 16,753,963 | (394,487) | ||||||||||||||
Poland Zloty, Expiring 09/18/13 | The Royal Bank of Scotland | PLN | 518,510,000 | 159,527,984 | 155,284,469 | (4,243,515) | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | 5,038,200,000 | 153,498,393 | 151,197,108 | (2,301,285) | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | 1,686,050,000 | 257,857,951 | 250,971,540 | (6,886,411) | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | 63,790,000 | 50,980,477 | 50,335,000 | (645,477) | ||||||||||||||
Turkish Lira, Expiring 09/18/13 | The Royal Bank of Scotland | TRY | 111,910,000 | 58,903,100 | 57,308,307 | (1,594,793) | ||||||||||||||
Taiwanese Dollar, Expiring 09/18/13* | The Royal Bank of Scotland | TWD | 990,000,000 | 32,953,793 | 33,060,613 | 106,820 | ||||||||||||||
South African Rand, Expiring 09/18/13 | The Royal Bank of Scotland | ZAR | 401,000,000 | 39,316,313 | 40,101,172 | 784,859 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$6,398,394,491 | $6,291,916,036 | $(106,478,455) | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 7 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | (917,602,000) | $(871,986,146) | $(834,310,276) | $37,675,870 | ||||||||||||||
Brazilian Real, Expiring 09/18/13* | The Royal Bank of Scotland | BRL | (145,060,000) | (66,979,367) | (63,963,411) | 3,015,956 | ||||||||||||||
Canadian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | CAD | (635,068,000) | (609,595,071) | (602,684,628) | 6,910,443 | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (2,536,000) | (2,693,151) | (2,686,803) | 6,348 | ||||||||||||||
Chilean Peso, Expiring 09/23/13* | The Royal Bank of Scotland | CLP | (9,900,000,000) | (19,450,652) | (19,227,601) | 223,051 | ||||||||||||||
Columbian Peso, Expiring 09/18/13* | The Royal Bank of Scotland | COP | (30,000,000,000) | (15,602,836) | (15,487,620) | 115,216 | ||||||||||||||
Czech Republic Koruna, Expiring 09/18/13 | The Royal Bank of Scotland | CZK | (3,709,832,000) | (188,746,697) | (185,699,382) | 3,047,315 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (80,163,000) | (105,817,436) | (104,380,881) | 1,436,555 | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (201,982,001) | (309,872,704) | (307,042,326) | 2,830,378 | ||||||||||||||
Hungarian Forint, Expiring 09/18/13 | The Royal Bank of Scotland | HUF | (8,200,000,000) | (35,687,644) | (35,903,380) | (215,736) | ||||||||||||||
Indonesian Rupiah, Expiring 09/18/13* | The Royal Bank of Scotland | IDR | (389,000,000,000) | (37,367,848) | (38,792,636) | (1,424,788) | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | (146,000,000) | (40,177,332) | (40,065,646) | 111,686 | ||||||||||||||
Indian Rupee, Expiring 09/18/13* | The Royal Bank of Scotland | INR | (8,510,000,000) | (146,037,458) | (141,259,600) | 4,777,858 | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | (150,488,049,000) | (1,520,629,034) | (1,517,886,721) | 2,742,313 | ||||||||||||||
Korean Won, Expiring 09/23/13* | The Royal Bank of Scotland | KRW | (151,300,000,000) | (132,681,451) | (131,980,503) | 700,948 | ||||||||||||||
Mexican Peso, Expiring 09/18/13 | The Royal Bank of Scotland | MXN | (1,748,000,000) | (135,070,710) | (133,947,596) | 1,123,114 | ||||||||||||||
Malaysian Ringgit, Expiring 09/18/13* | The Royal Bank of Scotland | MYR | (182,000,000) | (56,606,147) | (57,306,998) | (700,851) | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | (2,587,347,000) | (432,809,723) | (424,737,952) | 8,071,771 | ||||||||||||||
New Zealand Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | NZD | (695,598,000) | (547,956,359) | (535,998,527) | 11,957,832 | ||||||||||||||
Philippine Peso, Expiring 09/18/13* | The Royal Bank of Scotland | PHP | (2,240,000,000) | (52,439,124) | (51,799,692) | 639,432 | ||||||||||||||
Poland Zloty, Expiring 09/18/13 | The Royal Bank of Scotland | PLN | (423,000,000) | (127,764,211) | (126,680,934) | 1,083,277 | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | (5,060,000,000) | (154,791,054) | (151,851,328) | 2,939,726 | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | (2,138,148,000) | (319,984,042) | (318,267,131) | 1,716,911 | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | (125,700,000) | (99,535,848) | (99,186,544) | 349,304 | ||||||||||||||
Turkish Lira, Expiring 09/18/13 | The Royal Bank of Scotland | TRY | (264,000,000) | (138,301,550) | (135,192,503) | 3,109,047 | ||||||||||||||
Taiwanese Dollar, Expiring 09/18/13* | The Royal Bank of Scotland | TWD | (4,243,700,000) | (142,330,640) | (141,716,490) | 614,150 | ||||||||||||||
South African Rand, Expiring 09/18/13 | The Royal Bank of Scotland | ZAR | (1,580,600,000) | (156,599,131) | (158,064,620) | (1,465,489) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(6,467,513,366) | (6,376,121,729) | 91,391,637 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(69,118,875) | $(84,205,693) | $(15,086,818) | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
8 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $49,570,000.
* | Non deliverable forward. See Note 3 in the Notes to Schedule of Investments. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
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 2013 | 9 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
MONEY MARKET FUNDS - 100.7% | SHARES | VALUE (Note 3) | ||||||
BlackRock Liquidity Funds TempFund Portfolio, Series I, Institutional Shares, 0.046% (a) | 4,187,800 | $ | 4,187,800 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a) | 16,751,200 | 16,751,200 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) | 14,477,513 | 14,477,513 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a) | 20,939,001 | 20,939,001 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 56,355,514 | |||||||
|
|
SHORT-TERM INVESTMENTS - 4.7% | PRINCIPAL AMOUNT (000’S) | VALUE (Note 3) | ||||||
U.S. Treasury Bill, | $ | 2,600 | $ | 2,599,230 | ||||
|
| |||||||
TOTAL INVESTMENTS - 105.4% | ||||||||
(cost $58,954,754) | 58,954,744 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.4%) (d) | (2,995,003) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 55,959,741 | ||||||
|
|
(a) | Represents annualized seven-day yield as of June 30, 2013. |
(b) | A portion of the security is pledged as collateral to the brokers for futures and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes depreciation on futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 434,960 | $(23,793) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (92,120) | 1,190 | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | 2,293,219 | (171,107) | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (785,100) | 1,330 | |||||||||||
Barclays Capital | Corn Futures | 9/13/2013 | USD | 3,350,275 | (258,192) | |||||||||||
Barclays Capital | Corn Futures | 9/13/2013 | USD | (380,387) | 31,673 | |||||||||||
Deutsche Bank | Corn Futures | 9/13/2013 | USD | 29,987 | (2,625) | |||||||||||
Barclays Capital | Cotton No. 2 Futures | 12/6/2013 | USD | 720,340 | (6,248) | |||||||||||
Barclays Capital | Cotton No. 2 Futures | 12/6/2013 | USD | (168,880) | 3,561 | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 9,398,845 | (876,106) | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (2,391,475) | 63,044 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 373,711 | 21,297 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (373,711) | (31,605) | |||||||||||
Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 354,764 | (3,944) | |||||||||||
Deutsche Bank | Lean Hogs Futures | 8/14/2013 | USD | (1,131,290) | 870 | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 4,542,766 | 45,030 | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | (1,115,028) | (17,145) | |||||||||||
Deutsche Bank | Live Cattle Futures | 8/30/2013 | USD | 532,400 | 4,510 | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (7,224,631) | 589,944 | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 7,337,738 | (703,050) | |||||||||||
Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | (594,650) | 6,806 | |||||||||||
Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | 4,210,700 | (321,888) | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (15,592,175) | 1,246,300 | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | 16,178,250 | (1,832,375) | |||||||||||
Barclays Capital | LME Copper Futures | 12/16/2013 | USD | (2,063,550) | 34,650 | |||||||||||
Barclays Capital | LME Copper Futures | 12/16/2013 | USD | 6,474,488 | (387,788) | |||||||||||
Barclays Capital | LME Lead Futures | 9/16/2013 | USD | (1,784,175) | 41,463 | |||||||||||
Barclays Capital | LME Lead Futures | 9/16/2013 | USD | 1,880,500 | (137,788) | |||||||||||
Barclays Capital | LME Lead Futures | 12/16/2013 | USD | (50,900) | (688) | |||||||||||
Barclays Capital | LME Lead Futures | 12/16/2013 | USD | 758,275 | (36,050) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
10 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (2,203,476) | $230,172 | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | 2,385,384 | (412,080) | |||||||||||
Barclays Capital | LME Nickel Futures | 12/16/2013 | USD | (348,540) | 18,108 | |||||||||||
Barclays Capital | LME Nickel Futures | 12/16/2013 | USD | 1,264,200 | (107,688) | |||||||||||
Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | (3,459,675) | 76,125 | |||||||||||
Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | 3,663,438 | (279,887) | |||||||||||
Barclays Capital | LME Zinc Futures | 12/16/2013 | USD | (281,025) | (300) | |||||||||||
Barclays Capital | LME Zinc Futures | 12/16/2013 | USD | 2,250,963 | (47,250) | |||||||||||
Barclays Capital | Silver Futures | 9/26/2013 | USD | 2,248,860 | (107,106) | |||||||||||
Barclays Capital | Silver Futures | 9/26/2013 | USD | (217,160) | 4,098 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | 3,464,477 | 101,860 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | (361,163) | (13,517) | |||||||||||
Barclays Capital | Soybean Futures | 1/14/2014 | USD | (1,346,238) | 26,634 | |||||||||||
Barclays Capital | Soybean Futures | 1/14/2014 | USD | 65,700 | (1,959) | |||||||||||
Deutsche Bank | Soybean Futures | 11/14/2013 | USD | 181,800 | 6,000 | |||||||||||
Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | 2,215,728 | (51,483) | |||||||||||
Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | (618,782) | (26,248) | |||||||||||
Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 78,945 | (4,145) | |||||||||||
Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | 3,276,363 | (47,700) | |||||||||||
Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | (2,621,625) | 12,656 | |||||||||||
Deutsche Bank | Soybean Oil Futures | 12/13/2013 | USD | 199,206 | (9,702) | |||||||||||
Barclays Capital | Sugar #11 (World Markets) Futures | 9/30/2013 | USD | (1,220,856) | (10,805) | |||||||||||
Barclays Capital | Sugar #11 (World Markets) Futures | 9/30/2013 | USD | 3,360,168 | 31,933 | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | 609,120 | (37,153) | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | (251,300) | 16,254 | |||||||||||
Barclays Capital | Wheat Futures | 9/13/2013 | USD | 2,510,546 | (208,422) | |||||||||||
Deutsche Bank | Wheat Futures | 9/13/2013 | USD | 181,750 | (17,312) | |||||||||||
|
| |||||||||||||||
$(3,577,641) | ||||||||||||||||
|
|
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $7,261,375.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
31 | Cocoa Futures | September 13, 2013 | $715,721 | $670,840 | $(44,881) | |||||||||||
9 | Corn Futures | September 13, 2013 | 257,378 | 246,263 | (11,115) | |||||||||||
22 | Gas Oil Futures | September 12, 2013 | 1,918,992 | 1,922,800 | 3,808 | |||||||||||
38 | Globex Brent FCL Futures | September 12, 2013 | 3,862,700 | 3,847,880 | (14,820) | |||||||||||
13 | Globex Heat Oil Futures | August 29, 2013 | 1,587,113 | 1,563,362 | (23,751) | |||||||||||
12 | Globex RBOB Gas Futures | August 29, 2013 | 1,414,224 | 1,360,195 | (54,029) | |||||||||||
10 | Heating Oil Futures | August 30, 2013 | 1,219,126 | 1,202,586 | (16,540) | |||||||||||
17 | ICE Euro Gasoil Futures | September 11, 2013 | 1,476,960 | 1,485,800 | 8,840 | |||||||||||
36 | Lean Hogs Futures | August 14, 2013 | 1,412,626 | 1,403,280 | (9,346) | |||||||||||
59 | LME Aluminum Futures | July 16, 2013 | 2,795,282 | 2,561,706 | (233,576) | |||||||||||
8 | LME Aluminum Futures | July 18, 2013 | 376,013 | 347,552 | (28,461) | |||||||||||
3 | LME Aluminum Futures | July 19, 2013 | 142,130 | 130,370 | (11,760) | |||||||||||
23 | LME Aluminum Futures | July 29, 2013 | 1,083,912 | 1,002,420 | (81,492) | |||||||||||
9 | LME Aluminum Futures | August 2, 2013 | 412,890 | 392,706 | (20,184) | |||||||||||
7 | LME Aluminum Futures | August 9, 2013 | 332,182 | 306,059 | (26,123) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 11 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
2 | LME Aluminum Futures | August 16, 2013 | $92,003 | $87,623 | $(4,380) | |||||||||||
10 | LME Aluminum Futures | September 6, 2013 | 489,401 | 440,785 | (48,616) | |||||||||||
66 | LME Aluminum Futures | September 16, 2013 | 3,171,419 | 2,919,262 | (252,157) | |||||||||||
9 | LME Aluminum Futures | September 20, 2013 | 405,240 | 398,268 | (6,972) | |||||||||||
2 | LME Aluminum Futures | September 27, 2013 | 88,503 | 88,650 | 147 | |||||||||||
31 | LME Aluminum Futures | December 16, 2013 | 1,491,651 | 1,401,781 | (89,870) | |||||||||||
2 | LME Copper Futures | August 23, 2013 | 364,594 | 337,413 | (27,181) | |||||||||||
1 | LME Copper Futures | August 30, 2013 | 181,827 | 168,732 | (13,095) | |||||||||||
1 | LME Copper Futures | September 13, 2013 | 177,002 | 168,775 | (8,227) | |||||||||||
3 | LME Copper Futures | September 16, 2013 | 563,680 | 506,325 | (57,355) | |||||||||||
2 | LME Copper Futures | December 16, 2013 | 355,736 | 338,150 | (17,586) | |||||||||||
5 | LME Lead Futures | July 5, 2013 | 257,449 | 255,162 | (2,287) | |||||||||||
2 | LME Lead Futures | July 11, 2013 | 104,103 | 102,145 | (1,958) | |||||||||||
1 | LME Lead Futures | July 16, 2013 | 51,352 | 51,106 | (246) | |||||||||||
3 | LME Lead Futures | July 17, 2013 | 153,605 | 153,338 | (267) | |||||||||||
1 | LME Lead Futures | July 22, 2013 | 50,520 | 51,116 | 596 | |||||||||||
1 | LME Lead Futures | July 29, 2013 | 50,620 | 51,122 | 502 | |||||||||||
1 | LME Lead Futures | August 2, 2013 | 49,458 | 51,125 | 1,667 | |||||||||||
3 | LME Lead Futures | August 9, 2013 | 152,330 | 153,465 | 1,135 | |||||||||||
3 | LME Lead Futures | August 30, 2013 | 163,430 | 153,728 | (9,702) | |||||||||||
3 | LME Lead Futures | September 13, 2013 | 156,980 | 153,797 | (3,183) | |||||||||||
9 | LME Lead Futures | September 16, 2013 | 468,098 | 461,306 | (6,792) | |||||||||||
1 | LME Lead Futures | September 20, 2013 | 50,510 | 51,260 | 750 | |||||||||||
4 | LME Lead Futures | December 16, 2013 | 214,956 | 206,350 | (8,606) | |||||||||||
7 | LME Nickel Futures | July 5, 2013 | 676,767 | 573,127 | (103,640) | |||||||||||
8 | LME Nickel Futures | July 11, 2013 | 771,613 | 655,234 | (116,379) | |||||||||||
2 | LME Nickel Futures | July 17, 2013 | 186,783 | 163,866 | (22,917) | |||||||||||
1 | LME Nickel Futures | July 18, 2013 | 92,006 | 81,938 | (10,068) | |||||||||||
2 | LME Nickel Futures | July 22, 2013 | 183,003 | 163,909 | (19,094) | |||||||||||
1 | LME Nickel Futures | July 26, 2013 | 92,342 | 81,972 | (10,370) | |||||||||||
2 | LME Nickel Futures | August 9, 2013 | 184,803 | 164,063 | (20,740) | |||||||||||
18 | LME Nickel Futures | September 16, 2013 | 1,799,039 | 1,479,978 | (319,061) | |||||||||||
5 | LME Zinc Futures | July 5, 2013 | 235,853 | 227,800 | (8,053) | |||||||||||
7 | LME Zinc Futures | July 17, 2013 | 329,011 | 319,900 | (9,111) | |||||||||||
1 | LME Zinc Futures | July 18, 2013 | 46,452 | 45,711 | (741) | |||||||||||
3 | LME Zinc Futures | July 22, 2013 | 140,772 | 137,255 | (3,517) | |||||||||||
2 | LME Zinc Futures | July 26, 2013 | 95,954 | 91,587 | (4,367) | |||||||||||
9 | LME Zinc Futures | July 29, 2013 | 426,277 | 412,418 | (13,859) | |||||||||||
3 | LME Zinc Futures | August 2, 2013 | 138,817 | 137,597 | (1,220) | |||||||||||
3 | LME Zinc Futures | August 16, 2013 | 136,355 | 138,032 | 1,677 | |||||||||||
3 | LME Zinc Futures | August 23, 2013 | 139,880 | 138,249 | (1,631) | |||||||||||
42 | LME Zinc Futures | September 16, 2013 | 2,040,849 | 1,946,700 | (94,149) | |||||||||||
12 | LME Zinc Futures | December 16, 2013 | 563,801 | 562,650 | (1,151) | |||||||||||
201 | Natural Gas Swap Futures | August 28, 2013 | 1,937,022 | 1,788,397 | (148,625) | |||||||||||
47 | Wheat Futures | September 13, 2013 | 1,670,504 | 1,545,712 | (124,792) | |||||||||||
|
|
|
|
|
| |||||||||||
40,199,619 | 38,050,698 | (2,148,921) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
7 | Crude Oil Financial Futures | August 19, 2013 | (665,270) | (675,080) | (9,810) | |||||||||||
59 | LME Aluminum Futures | July 16, 2013 | (2,799,454) | (2,561,706) | 237,748 | |||||||||||
8 | LME Aluminum Futures | July 18, 2013 | (376,518) | (347,552) | 28,966 | |||||||||||
3 | LME Aluminum Futures | July 19, 2013 | (143,383) | (130,370) | 13,013 | |||||||||||
23 | LME Aluminum Futures | July 29, 2013 | (1,082,645) | (1,002,421) | 80,224 | |||||||||||
9 | LME Aluminum Futures | August 2, 2013 | (412,684) | (392,706) | 19,978 | |||||||||||
7 | LME Aluminum Futures | August 9, 2013 | (332,139) | (306,060) | 26,079 | |||||||||||
2 | LME Aluminum Futures | August 16, 2013 | (91,966) | (87,623) | 4,343 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
12 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
10 | LME Aluminum Futures | September 6, 2013 | $(489,984) | $(440,785) | $49,199 | |||||||||||
66 | LME Aluminum Futures | September 16, 2013 | (3,107,473) | (2,919,262) | 188,211 | |||||||||||
9 | LME Aluminum Futures | September 20, 2013 | (404,406) | (398,268) | 6,138 | |||||||||||
2 | LME Aluminum Futures | September 27, 2013 | (88,766) | (88,650) | 116 | |||||||||||
11 | LME Aluminum Futures | December 16, 2013 | (503,567) | (497,406) | 6,161 | |||||||||||
2 | LME Copper Futures | August 23, 2013 | (365,897) | (337,413) | 28,484 | |||||||||||
1 | LME Copper Futures | August 30, 2013 | (182,998) | (168,731) | 14,267 | |||||||||||
1 | LME Copper Futures | September 13, 2013 | (177,209) | (168,775) | 8,434 | |||||||||||
3 | LME Copper Futures | September 16, 2013 | (548,070) | (506,325) | 41,745 | |||||||||||
2 | LME Copper Futures | December 16, 2013 | (360,183) | (338,150) | 22,033 | |||||||||||
5 | LME Lead Futures | July 5, 2013 | (257,267) | (255,163) | 2,104 | |||||||||||
2 | LME Lead Futures | July 11, 2013 | (104,284) | (102,145) | 2,139 | |||||||||||
1 | LME Lead Futures | July 16, 2013 | (51,255) | (51,106) | 149 | |||||||||||
3 | LME Lead Futures | July 17, 2013 | (153,158) | (153,338) | (180) | |||||||||||
1 | LME Lead Futures | July 22, 2013 | (50,373) | (51,116) | (743) | |||||||||||
1 | LME Lead Futures | July 29, 2013 | (50,898) | (51,122) | (224) | |||||||||||
1 | LME Lead Futures | August 2, 2013 | (49,823) | (51,125) | (1,302) | |||||||||||
3 | LME Lead Futures | August 9, 2013 | (152,602) | (153,465) | (863) | |||||||||||
3 | LME Lead Futures | August 30, 2013 | (163,720) | (153,728) | 9,992 | |||||||||||
3 | LME Lead Futures | September 13, 2013 | (157,914) | (153,797) | 4,117 | |||||||||||
9 | LME Lead Futures | September 16, 2013 | (462,947) | (461,306) | 1,641 | |||||||||||
1 | LME Lead Futures | September 20, 2013 | (50,623) | (51,260) | (637) | |||||||||||
3 | LME Lead Futures | December 16, 2013 | (157,870) | (154,762) | �� | 3,108 | ||||||||||
7 | LME Nickel Futures | July 5, 2013 | (674,677) | (573,128) | 101,549 | |||||||||||
8 | LME Nickel Futures | July 11, 2013 | (771,479) | (655,233) | 116,246 | |||||||||||
2 | LME Nickel Futures | July 17, 2013 | (187,233) | (163,866) | 23,367 | |||||||||||
1 | LME Nickel Futures | July 18, 2013 | (91,624) | (81,937) | 9,687 | |||||||||||
2 | LME Nickel Futures | July 22, 2013 | (181,869) | (163,909) | 17,960 | |||||||||||
1 | LME Nickel Futures | July 26, 2013 | (92,842) | (81,971) | 10,871 | |||||||||||
2 | LME Nickel Futures | August 9, 2013 | (184,972) | (164,063) | 20,909 | |||||||||||
18 | LME Nickel Futures | September 16, 2013 | (1,708,405) | (1,479,978) | 228,427 | |||||||||||
5 | LME Zinc Futures | July 5, 2013 | (235,992) | (227,800) | 8,192 | |||||||||||
7 | LME Zinc Futures | July 17, 2013 | (329,082) | (319,900) | 9,182 | |||||||||||
1 | LME Zinc Futures | July 18, 2013 | (46,186) | (45,710) | 476 | |||||||||||
3 | LME Zinc Futures | July 22, 2013 | (140,658) | (137,256) | 3,402 | |||||||||||
2 | LME Zinc Futures | July 26, 2013 | (95,997) | (91,587) | 4,410 | |||||||||||
9 | LME Zinc Futures | July 29, 2013 | (425,910) | (412,418) | 13,492 | |||||||||||
3 | LME Zinc Futures | August 2, 2013 | (138,820) | (137,597) | 1,223 | |||||||||||
3 | LME Zinc Futures | August 16, 2013 | (137,058) | (138,033) | (975) | |||||||||||
3 | LME Zinc Futures | August 23, 2013 | (139,126) | (138,249) | 877 | |||||||||||
42 | LME Zinc Futures | September 16, 2013 | (2,009,026) | (1,946,700) | 62,326 | |||||||||||
29 | Soybean Meal Futures | December 13, 2013 | (1,114,457) | (1,084,599) | 29,858 | |||||||||||
20 | Wheat Futures | December 13, 2013 | (691,583) | (671,500) | 20,083 | |||||||||||
|
|
|
|
|
| |||||||||||
(23,392,342) | (21,926,150) | 1,466,192 | ||||||||||||||
|
|
|
|
|
| |||||||||||
$16,807,277 | $16,124,548 | $(682,729) | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $1,759,503 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 13 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
GOVERNMENT RELATED OBLIGATIONS - 7.0% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||||||||
Sovereign Debt - 7.0% | ||||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.500% | 04/15/16 | EUR | 15,635 | $ | 21,408,948 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 15,175 | 22,248,799 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 2,073 | 2,728,625 | |||||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 5,524 | 7,726,365 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 8,000 | 10,887,917 | |||||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 8,856 | 16,476,331 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS | 81,476,985 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 7.0% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 7.0% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 01/15/22 | USD | 23,800 | 23,949,236 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/17 | USD | 23,800 | 24,999,869 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 1.375% | 07/15/18 | USD | 8,200 | 9,657,460 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 1.625% | 01/15/18 | USD | 8,900 | 10,813,155 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 2.625% | 07/15/17 | USD | 9,600 | 12,218,876 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 81,638,596 | |||||||||||||||||||
|
|
MONEY MARKET FUNDS - 70.3% | SHARES | VALUE (Note 3) | ||||||
BlackRock Liquidity Funds TempFund Portfolio, Series I, Institutional Shares, 0.046% (a) | 22,354,606 | 22,354,606 | ||||||
Dreyfus Treasury Cash Management, Series I, Class I, 0.010% (a) | 89,418,425 | 89,418,425 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) | 595,241,550 | 595,241,550 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Series I, Class I, 0.010% (a) | 111,773,876 | 111,773,876 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 818,788,457 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT - 7.8% | PRINCIPAL AMOUNT (000’s) | |||||||
U.S. Treasury Bill, | ||||||||
0.000%, 12/12/2013 (c) | $ | 91,472 | 91,472,916 | |||||
|
| |||||||
TOTAL INVESTMENTS - 92.1% | 1,073,376,954 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.9% (d) | 91,729,959 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,165,106,913 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Represents annualized seven-day yield as of June 30, 2013. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes depreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. | (Continued) |
14 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
Credit default swap contracts sell protection as of June 30, 2013:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||||
CitiBank | iTraxx Europe Crossover Series 19.V1 | 0.000% | EUR | 0.478% | 2,500,000 | $30,931 | 06/20/2018 | $(30,931) | ||||||||||||||||||||
CitiBank | iTraxx Europe Crossover Series 19.V1 | 5.000% | EUR | 0.478% | 28,225,000 | 378,909 | 06/20/2018 | 10,388 | ||||||||||||||||||||
CitiBank | iTraxx Europe Series 19.V1 | 0.000% | EUR | 0.120% | 3,250,000 | (38,253) | 06/20/2018 | 38,253 | ||||||||||||||||||||
CitiBank | iTraxx Europe Series 19.V1 | 1.000% | EUR | 0.120% | 51,250,000 |
| (608,174) |
| 06/20/2018 | 10,768 | ||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 20 | 0.000% | USD | 0.435% | 4,000,000 | 136,389 | 06/20/2018 | (136,389) | ||||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 20 | 5.000% | USD | 4.290% | 58,300,000 | 1,830,389 | 06/20/2018 | 7,197 | ||||||||||||||||||||
CitiBank | Markit CDX North America Investment Grade Index Series 20 | 0.000% | USD | 0.088% | 12,250,000 | 80,709 | 06/20/2018 | (80,709) | ||||||||||||||||||||
CitiBank | Markit CDX North America Investment Grade Index Series 20 | 1.000% | USD | 0.870% | 125,625,000 | 600,975 | 06/20/2018 | 202,183 | ||||||||||||||||||||
Over the Counter | ||||||||||||||||||||||||||||
Bank of America | Markit CMBX North America AJ 3 | 1.470% | USD | 1.160% | 25,000 | (8,158) | 12/13/2049 | 893 | ||||||||||||||||||||
CitiBank | Markit CDX Emerging Market Index Series 19 | 5.000% | USD | 3.200% | 16,625,000 | 1,816,218 | 06/20/2018 | (469,863) | ||||||||||||||||||||
Deutsche Bank | Markit CMBX North America AJ 3 | 1.470% | USD | 1.160% | 1,250,000 | (381,131) | 12/13/2049 | 17,897 | ||||||||||||||||||||
Deutsche Bank | Markit CMBX North America AJ 4 | 0.960% | USD | 1.022% | 1,450,000 | (460,864) | 02/17/2051 | 27,459 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 3 | 1.470% | USD | 1.160% | 350,000 | (100,539) | 12/13/2049 | (1,166) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 4 | 0.960% | USD | 1.022% | 400,000 | (119,936) | 02/15/2051 | 376 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 5 | 0.980% | USD | 0.966% | 125,000 | (36,073) | 02/15/2051 | (1,379) | ||||||||||||||||||||
The Royal Bank of Scotland | Markit CMBX North America AJ 5 | 0.980% | USD | 0.966% | 175,000 | (58,256) | 02/17/2051 | 5,822 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$3,063,136 | $(399,201) | |||||||||||||||||||||||||||
|
|
|
|
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $12,562,376. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts. Additional cash held as collateral for CitiBank was $6,745,042 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 15 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
Interest rate swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.020% | CZK | 570,000,000 | 09/19/2018 | $(828,065) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.295% | CZK | 60,000,000 | 09/19/2018 | (46,633) | ||||||||||||||
The Royal Bank of Scotland | 0.900% | (1) | CZK | 10,000,000 | 09/19/2018 | 17,475 | ||||||||||||||
The Royal Bank of Scotland | 1.145% | (1) | CZK | 60,000,000 | 09/19/2018 | 68,741 | ||||||||||||||
The Royal Bank of Scotland | 1.255% | (1) | CZK | 90,000,000 | 09/19/2018 | 78,793 | ||||||||||||||
The Royal Bank of Scotland | 1.315% | (1) | CZK | 100,000,000 | 09/19/2018 | 72,810 | ||||||||||||||
The Royal Bank of Scotland | 1.540% | (1) | CZK | 60,000,000 | 09/19/2018 | 10,524 | ||||||||||||||
The Royal Bank of Scotland | 1.685% | (1) | CZK | 70,000,000 | 09/19/2018 | (12,655) | ||||||||||||||
The Royal Bank of Scotland | 1.740% | (1) | CZK | 40,000,000 | 09/19/2018 | (12,636) | ||||||||||||||
The Royal Bank of Scotland | 1.790% | (1) | CZK | 60,000,000 | 09/19/2018 | (26,323) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 0.875% | HKD | 72,000,000 | 09/19/2018 | (390,432) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.020% | HKD | 271,000,000 | 09/19/2018 | (1,221,364) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.045% | HKD | 100,000,000 | 09/19/2018 | (434,898) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.357% | HKD | 44,000,000 | 09/19/2018 | (104,652) | ||||||||||||||
The Royal Bank of Scotland | 1.045% | (2) | HKD | 45,000,000 | 09/19/2018 | 123,230 | ||||||||||||||
The Royal Bank of Scotland | 1.338% | (2) | HKD | 64,000,000 | 09/19/2018 | 159,901 | ||||||||||||||
The Royal Bank of Scotland | 1.360% | (2) | HKD | 76,000,000 | 09/19/2018 | 179,322 | ||||||||||||||
The Royal Bank of Scotland | 1.703% | (2) | HKD | 50,000,000 | 09/19/2018 | 9,817 | ||||||||||||||
The Royal Bank of Scotland | 1.815% | (2) | HKD | 27,000,000 | 09/19/2018 | (13,883) | ||||||||||||||
The Royal Bank of Scotland | 1.850% | (2) | HKD | 53,000,000 | 09/19/2018 | (38,968) | ||||||||||||||
The Royal Bank of Scotland | 1.870% | (2) | HKD | 59,000,000 | 09/19/2018 | (50,832) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 4.520% | HUF | 600,000,000 | 09/19/2018 | (76,400) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 4.655% | HUF | 2,200,000,000 | 09/19/2018 | (221,721) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 4.815% | HUF | 400,000,000 | 09/19/2018 | (27,726) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 4.890% | HUF | 4,800,000,000 | 09/19/2018 | (261,904) | ||||||||||||||
The Royal Bank of Scotland | 4.740% | (3) | HUF | 1,200,000,000 | 09/19/2018 | 100,878 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
16 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
The Royal Bank of Scotland | 4.770% | (3) | HUF | 1,200,000,000 | 09/19/2018 | $93,797 | ||||||||||||||
The Royal Bank of Scotland | 4.930% | (3) | HUF | 1,000,000,000 | 09/19/2018 | 46,696 | ||||||||||||||
The Royal Bank of Scotland | 5.560% | (3) | HUF | 600,000,000 | 09/19/2018 | (46,326) | ||||||||||||||
The Royal Bank of Scotland | 5.750% | (3) | HUF | 400,000,000 | 09/19/2018 | (45,831) | ||||||||||||||
The Royal Bank of Scotland | 5.860% | (3) | HUF | 900,000,000 | 09/19/2018 | (122,591) | ||||||||||||||
The Royal Bank of Scotland | 6.350% | (3) | HUF | 700,000,000 | 09/19/2018 | (162,809) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.733% | KRW | 15,000,000,000 | 03/21/2018 | (161,720) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.778% | KRW | 35,000,000,000 | 09/19/2018 | (404,301) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.780% | KRW | 35,000,000,000 | 09/19/2018 | (400,782) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.798% | KRW | 42,000,000,000 | 03/21/2018 | (346,969) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.800% | KRW | 41,000,000,000 | 03/21/2018 | (334,734) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.806% | KRW | 42,000,000,000 | 03/21/2018 | (332,639) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.820% | KRW | 35,000,000,000 | 09/19/2018 | (344,469) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.828% | KRW | 37,000,000,000 | 09/19/2018 | (352,991) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 2.966% | KRW | 14,000,000,000 | 09/19/2018 | (55,459) | ||||||||||||||
The Royal Bank of Scotland | 2.650% | (4) | KRW | 3,000,000,000 | 09/19/2018 | 50,040 | ||||||||||||||
The Royal Bank of Scotland | 2.655% | (4) | KRW | 5,000,000,000 | 09/19/2018 | 82,394 | ||||||||||||||
The Royal Bank of Scotland | 2.753% | (4) | KRW | 35,000,000,000 | 03/21/2018 | 350,207 | ||||||||||||||
The Royal Bank of Scotland | 2.760% | (4) | KRW | 35,000,000,000 | 03/21/2018 | 340,029 | ||||||||||||||
The Royal Bank of Scotland | 2.800% | (4) | KRW | 35,000,000,000 | 03/21/2018 | 285,748 | ||||||||||||||
The Royal Bank of Scotland | 2.808% | (4) | KRW | 36,000,000,000 | 03/21/2018 | 283,444 | ||||||||||||||
The Royal Bank of Scotland | 2.869% | (4) | KRW | 13,000,000,000 | 09/19/2018 | 102,324 | ||||||||||||||
The Royal Bank of Scotland | 2.888% | (4) | KRW | 20,000,000,000 | 09/19/2018 | 142,538 | ||||||||||||||
The Royal Bank of Scotland | 2.890% | (4) | KRW | 24,000,000,000 | 09/19/2018 | 168,633 | ||||||||||||||
The Royal Bank of Scotland | 3.140% | (4) | KRW | 15,000,000,000 | 09/19/2018 | (45,441) | ||||||||||||||
The Royal Bank of Scotland | 3.200% | (4) | KRW | 8,000,000,000 | 09/19/2018 | (43,542) | ||||||||||||||
The Royal Bank of Scotland | 3.215% | (4) | KRW | 18,000,000,000 | 09/19/2018 | (108,831) | ||||||||||||||
The Royal Bank of Scotland | 3.220% | (4) | KRW | 16,000,000,000 | 09/19/2018 | (99,956) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 17 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 3.420% | PLN | 17,000,000 | 09/19/2018 | $(107,101) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 3.604% | PLN | 220,000,000 | 09/19/2018 | (831,369) | ||||||||||||||
The Royal Bank of Scotland | 3.265% | (5) | PLN | 28,000,000 | 09/19/2018 | 235,933 | ||||||||||||||
The Royal Bank of Scotland | 3.280% | (5) | PLN | 3,000,000 | 09/19/2018 | 24,661 | ||||||||||||||
The Royal Bank of Scotland | 3.310% | (5) | PLN | 36,000,000 | 09/19/2018 | 281,121 | ||||||||||||||
The Royal Bank of Scotland | 3.320% | (5) | PLN | 18,000,000 | 09/19/2018 | 138,092 | ||||||||||||||
The Royal Bank of Scotland | 3.445% | (5) | PLN | 24,000,000 | 09/19/2018 | 142,972 | ||||||||||||||
The Royal Bank of Scotland | 3.860% | (5) | PLN | 19,000,000 | 09/19/2018 | 5,030 | ||||||||||||||
The Royal Bank of Scotland | 3.975% | (5) | PLN | 27,000,000 | 09/19/2018 | (35,443) | ||||||||||||||
The Royal Bank of Scotland | 4.010% | (5) | PLN | 12,000,000 | 09/19/2018 | (21,513) | ||||||||||||||
The Royal Bank of Scotland | 4.205% | (5) | PLN | 21,000,000 | 09/19/2018 | (93,819) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 0.890% | SGD | 25,000,000 | 09/19/2018 | (849,057) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 0.930% | SGD | 19,000,000 | 09/19/2018 | (615,864) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 0.945% | SGD | 6,000,000 | 09/19/2018 | (191,000) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 0.980% | SGD | 24,000,000 | 09/19/2018 | (731,482) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.008% | SGD | 23,000,000 | 09/19/2018 | (676,520) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.090% | SGD | 46,000,000 | 09/19/2018 | (1,206,138) | ||||||||||||||
The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.503% | SGD | 9,000,000 | 09/19/2018 | (92,274) | ||||||||||||||
The Royal Bank of Scotland | 1.245% | (6) | SGD | 14,000,000 | 09/19/2018 | 283,086 | ||||||||||||||
The Royal Bank of Scotland | 1.383% | (6) | SGD | 22,000,000 | 09/19/2018 | 327,753 | ||||||||||||||
The Royal Bank of Scotland | 1.470% | (6) | SGD | 18,000,000 | 09/19/2018 | 207,194 | ||||||||||||||
The Royal Bank of Scotland | 1.735% | (6) | SGD | 15,000,000 | 09/19/2018 | 18,792 | ||||||||||||||
The Royal Bank of Scotland | 1.905% | (6) | SGD | 19,000,000 | 09/19/2018 | (101,229) | ||||||||||||||
The Royal Bank of Scotland | 1.910% | (6) | SGD | 17,000,000 | 09/19/2018 | (93,864) | ||||||||||||||
The Royal Bank of Scotland | 1.920% | (6) | SGD | 9,000,000 | 09/19/2018 | (53,176) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.190% | ZAR | 549,000,000 | 09/19/2018 | (2,657,506) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.310% | ZAR | 66,000,000 | 09/19/2018 | (285,591) | ||||||||||||||
The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.410% | ZAR | 54,000,000 | 09/19/2018 | 20,514 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
18 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND | CURRENCY | NOTIONAL AMOUNT | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
The Royal Bank of Scotland | 7.130% | (7) | ZAR | 30,000,000 | 09/19/2018 | $24,548 | ||||||||||||||
The Royal Bank of Scotland | 7.190% | (7) | ZAR | 104,000,000 | 09/19/2018 | 58,398 | ||||||||||||||
The Royal Bank of Scotland | 7.570% | (7) | ZAR | 60,000,000 | 09/19/2018 | (63,873) | ||||||||||||||
The Royal Bank of Scotland | 7.650% | (7) | ZAR | 100,000,000 | 09/19/2018 | (140,688) | ||||||||||||||
The Royal Bank of Scotland | 7.650% | (7) | ZAR | 40,000,000 | 09/19/2018 | (56,275) | ||||||||||||||
The Royal Bank of Scotland | 7.700% | (7) | ZAR | 71,000,000 | 09/19/2018 | (115,079) | ||||||||||||||
The Royal Bank of Scotland | 7.840% | (7) | ZAR | 80,000,000 | 09/19/2018 | (177,593) | ||||||||||||||
|
| |||||||||||||||||||
$(11,839,502) | ||||||||||||||||||||
|
|
(1) | 6 month Prague Interbank Offered Rate |
(2) | 3 month Hong Kong Interbank Offered Rate |
(3) | 6 month Budapest Interbank Offered Rate |
(4) | 3 month Korean Certificate of Deposit |
(5) | 6 month Warsaw Interbank Offered Rate |
(6) | 6 month Singapore Interbank Offered Rate |
(7) | 3 month Johannesburg Interbank Agreed Rate |
Money Market Fund pledged as collateral to broker is included in the forward foreign currency exchange contracts.
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Bank of America | Australia 10-Year Bond Futures | 9/16/2013 | AUD | 355,558 | $(355) | |||||||||||
Morgan Stanley and Co., International PLC | Bovespa Index | 8/14/2013 | BRL | 8,495,052 | (219,979) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 138,180 | (8,340) | |||||||||||
Bank of America | Euro - Bund Futures | 9/6/2013 | EUR | 48,765,724 | (860,501) | |||||||||||
Morgan Stanley and Co., International PLC | H-SHARES Index Futures | 7/30/2013 | HKD | 11,544,858 | 60,887 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 1,281,897 | 54,924 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (1,281,897) | (14,320) | |||||||||||
Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 1,290,300 | (3,959) | |||||||||||
Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | (195,500) | 1,000 | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 2,349,634 | 42,056 | |||||||||||
Morgan Stanley and Co., International PLC | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 4,791,984 | 183,116 | |||||||||||
Morgan Stanley and Co., International PLC | Russian Depository Index | 6/15/2050 | USD | — | (8,230) | |||||||||||
Morgan Stanley and Co., International PLC | Russian Trading System Index Futures | 9/16/2013 | USD | 3,976,059 | 59,284 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | 1,029,920 | 34,281 | |||||||||||
Barclays Capital | Soybean Futures | 1/14/2014 | USD | (320,425) | 6,237 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 19 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 2,055,180 | $(110,380) | |||||||||||
Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | 113,983 | (5,695) | |||||||||||
Morgan Stanley and Co., International PLC | Swiss Market Index Futures | 9/20/2013 | CHF | 5,082,671 | (31,442) | |||||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2013 | USD | 158,770,487 | (3,478,300) | |||||||||||
Barclays Capital | Wheat Futures | 9/13/2013 | USD | 4,131,668 | (382,493) | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | 4,024,025 | (196,227) | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | (2,184,025) | 94,710 | |||||||||||
|
| |||||||||||||||
$(4,783,726) | ||||||||||||||||
|
|
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,222,206. Additional collateral for positions held at Bank of America is included in collateral for credit default swap contracts. Additional cash held as collateral for Deutsche Bank was $400,000 at June 30, 2013.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
3 | Cattle Feeder Futures | August 29, 2013 | $224,771 | $224,175 | $(596) | |||||||||||
71 | Cocoa Futures | September 13, 2013 | 1,623,862 | 1,536,440 | (87,422) | |||||||||||
39 | Coffee ‘C’ Futures | September 18, 2013 | 1,850,630 | 1,760,850 | (89,780) | |||||||||||
251 | Corn Futures | September 13, 2013 | 7,147,961 | 6,867,988 | (279,973) | |||||||||||
31 | Cotton No. 2 Futures | December 6, 2013 | 1,353,792 | 1,302,155 | (51,637) | |||||||||||
224 | Crude Oil Financial Futures | August 19, 2013 | 21,797,780 | 21,602,560 | (195,220) | |||||||||||
206 | Globex Brent FCL Futures | September 12, 2013 | 20,950,180 | 20,859,560 | (90,620) | |||||||||||
87 | Globex Heat Oil Futures | August 29, 2013 | 10,743,650 | 10,462,498 | (281,152) | |||||||||||
53 | Globex RBOB Gas Futures | August 29, 2013 | 6,252,977 | 6,007,529 | (245,448) | |||||||||||
83 | Gold 100 OZ Futures | August 28, 2013 | 11,170,410 | 10,156,710 | (1,013,700) | |||||||||||
120 | ICE Euro Gasoil Futures | September 11, 2013 | 10,437,330 | 10,488,000 | 50,670 | |||||||||||
32 | Lean Hogs Futures | August 14, 2013 | 1,259,677 | 1,247,360 | (12,317) | |||||||||||
93 | Live Cattle Futures | August 30, 2013 | 4,481,069 | 4,539,331 | 58,262 | |||||||||||
3 | LME Aluminum Futures | July 5, 2013 | 140,980 | 129,844 | (11,136) | |||||||||||
39 | LME Aluminum Futures | July 11, 2013 | 1,843,056 | 1,690,894 | (152,162) | |||||||||||
139 | LME Aluminum Futures | July 16, 2013 | 6,542,683 | 6,035,206 | (507,477) | |||||||||||
37 | LME Aluminum Futures | July 19, 2013 | 1,772,722 | 1,607,890 | (164,832) | |||||||||||
19 | LME Aluminum Futures | July 24, 2013 | 904,170 | 826,880 | (77,290) | |||||||||||
13 | LME Aluminum Futures | July 26, 2013 | 627,921 | 566,088 | (61,833) | |||||||||||
77 | LME Aluminum Futures | August 2, 2013 | 3,532,498 | 3,359,818 | (172,680) | |||||||||||
52 | LME Aluminum Futures | August 9, 2013 | 2,470,112 | 2,273,583 | (196,529) | |||||||||||
12 | LME Aluminum Futures | August 16, 2013 | 552,019 | 525,738 | (26,281) | |||||||||||
2 | LME Aluminum Futures | August 22, 2013 | 93,253 | 87,775 | (5,478) | |||||||||||
5 | LME Aluminum Futures | August 23, 2013 | 232,192 | 219,502 | (12,690) | |||||||||||
9 | LME Aluminum Futures | August 30, 2013 | 427,357 | 395,905 | (31,452) | |||||||||||
37 | LME Aluminum Futures | September 6, 2013 | 1,815,427 | 1,630,905 | (184,522) | |||||||||||
26 | LME Aluminum Futures | September 10, 2013 | 1,254,542 | 1,147,367 | (107,175) | |||||||||||
24 | LME Aluminum Futures | September 13, 2013 | 1,112,738 | 1,060,026 | (52,712) | |||||||||||
510 | LME Aluminum Futures | September 16, 2013 | 24,814,174 | 22,557,938 | (2,256,236) | |||||||||||
5 | LME Aluminum Futures | September 17, 2013 | 229,383 | 221,092 | (8,291) | |||||||||||
59 | LME Aluminum Futures | September 20, 2013 | 2,648,694 | 2,610,868 | (37,826) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
20 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
63 | LME Aluminum Futures | September 24, 2013 | $2,797,301 | $2,790,506 | $(6,795) | |||||||||||
29 | LME Aluminum Futures | September 25, 2013 | 1,288,371 | 1,284,823 | (3,548) | |||||||||||
50 | LME Aluminum Futures | September 26, 2013 | 2,220,080 | 2,215,725 | (4,355) | |||||||||||
15 | LME Aluminum Futures | September 27, 2013 | 663,879 | 664,875 | 996 | |||||||||||
383 | LME Aluminum Futures | December 16, 2013 | 18,191,535 | 17,318,781 | (872,754) | |||||||||||
10 | LME Copper Futures | July 5, 2013 | 1,841,391 | 1,683,187 | (158,204) | |||||||||||
24 | LME Copper Futures | July 11, 2013 | 4,531,414 | 4,041,378 | (490,036) | |||||||||||
19 | LME Copper Futures | July 16, 2013 | 3,439,980 | 3,200,559 | (239,421) | |||||||||||
9 | LME Copper Futures | July 19, 2013 | 1,568,264 | 1,516,259 | (52,005) | |||||||||||
7 | LME Copper Futures | July 24, 2013 | 1,225,052 | 1,179,500 | (45,552) | |||||||||||
16 | LME Copper Futures | July 26, 2013 | 2,860,186 | 2,696,236 | (163,950) | |||||||||||
8 | LME Copper Futures | August 2, 2013 | 1,383,013 | 1,348,530 | (34,483) | |||||||||||
34 | LME Copper Futures | August 9, 2013 | 6,248,338 | 5,733,004 | (515,334) | |||||||||||
4 | LME Copper Futures | August 16, 2013 | 720,934 | 674,678 | (46,256) | |||||||||||
11 | LME Copper Futures | August 22, 2013 | 2,045,724 | 1,855,769 | (189,955) | |||||||||||
5 | LME Copper Futures | August 23, 2013 | 908,325 | 843,532 | (64,793) | |||||||||||
8 | LME Copper Futures | August 30, 2013 | 1,454,763 | 1,349,850 | (104,913) | |||||||||||
7 | LME Copper Futures | September 6, 2013 | 1,285,386 | 1,181,273 | (104,113) | |||||||||||
27 | LME Copper Futures | September 10, 2013 | 4,826,293 | 4,556,675 | (269,618) | |||||||||||
8 | LME Copper Futures | September 13, 2013 | 1,415,013 | 1,350,200 | (64,813) | |||||||||||
248 | LME Copper Futures | September 16, 2013 | 46,780,564 | 41,856,200 | (4,924,364) | |||||||||||
1 | LME Copper Futures | September 17, 2013 | 177,202 | 168,775 | (8,427) | |||||||||||
34 | LME Copper Futures | September 20, 2013 | 5,801,279 | 5,737,857 | (63,422) | |||||||||||
16 | LME Copper Futures | September 24, 2013 | 2,672,026 | 2,700,100 | 28,074 | |||||||||||
7 | LME Copper Futures | September 25, 2013 | 1,186,511 | 1,181,280 | (5,231) | |||||||||||
10 | LME Copper Futures | September 26, 2013 | 1,682,516 | 1,687,520 | 5,004 | |||||||||||
4 | LME Copper Futures | September 27, 2013 | 674,872 | 675,000 | 128 | |||||||||||
149 | LME Copper Futures | December 16, 2013 | 26,502,907 | 25,192,175 | (1,310,732) | |||||||||||
2 | LME Lead Futures | July 11, 2013 | 104,103 | 102,145 | (1,958) | |||||||||||
11 | LME Lead Futures | July 16, 2013 | 564,868 | 562,164 | (2,704) | |||||||||||
9 | LME Lead Futures | July 19, 2013 | 450,014 | 460,026 | 10,012 | |||||||||||
5 | LME Lead Futures | July 26, 2013 | 258,825 | 255,598 | (3,227) | |||||||||||
6 | LME Lead Futures | August 2, 2013 | 297,368 | 306,750 | 9,382 | |||||||||||
2 | LME Lead Futures | August 9, 2013 | 101,553 | 102,310 | 757 | |||||||||||
3 | LME Lead Futures | August 22, 2013 | 154,281 | 153,618 | (663) | |||||||||||
2 | LME Lead Futures | August 23, 2013 | 101,022 | 102,413 | 1,391 | |||||||||||
1 | LME Lead Futures | September 6, 2013 | 55,239 | 51,269 | (3,970) | |||||||||||
10 | LME Lead Futures | September 10, 2013 | 532,766 | 512,687 | (20,079) | |||||||||||
1 | LME Lead Futures | September 13, 2013 | 52,677 | 51,266 | (1,411) | |||||||||||
94 | LME Lead Futures | September 16, 2013 | 5,108,902 | 4,818,087 | (290,815) | |||||||||||
30 | LME Lead Futures | September 20, 2013 | 1,520,973 | 1,537,815 | 16,842 | |||||||||||
3 | LME Lead Futures | September 24, 2013 | 150,089 | 153,806 | 3,717 | |||||||||||
4 | LME Lead Futures | September 25, 2013 | 203,306 | 205,083 | 1,777 | |||||||||||
4 | LME Lead Futures | September 26, 2013 | 204,506 | 205,092 | 586 | |||||||||||
3 | LME Lead Futures | September 27, 2013 | 153,330 | 153,825 | 495 | |||||||||||
76 | LME Lead Futures | December 16, 2013 | 4,024,725 | 3,920,650 | (104,075) | |||||||||||
3 | LME Nickel Futures | July 5, 2013 | 289,686 | 245,626 | (44,060) | |||||||||||
21 | LME Nickel Futures | July 11, 2013 | 2,025,484 | 1,719,989 | (305,495) | |||||||||||
2 | LME Nickel Futures | July 16, 2013 | 189,843 | 163,856 | (25,987) | |||||||||||
5 | LME Nickel Futures | July 19, 2013 | 458,558 | 409,708 | (48,850) | |||||||||||
7 | LME Nickel Futures | July 26, 2013 | 646,391 | 573,801 | (72,590) | |||||||||||
13 | LME Nickel Futures | August 2, 2013 | 1,158,643 | 1,066,020 | (92,623) | |||||||||||
14 | LME Nickel Futures | August 9, 2013 | 1,293,622 | 1,148,442 | (145,180) | |||||||||||
1 | LME Nickel Futures | August 16, 2013 | 89,258 | 82,062 | (7,196) | |||||||||||
7 | LME Nickel Futures | September 10, 2013 | 626,693 | 575,262 | (51,431) | |||||||||||
10 | LME Nickel Futures | September 13, 2013 | 856,816 | 821,956 | (34,860) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 21 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
88 | LME Nickel Futures | September 16, 2013 | $8,698,944 | $7,235,448 | $(1,463,496) | |||||||||||
6 | LME Nickel Futures | September 20, 2013 | 499,647 | 493,344 | (6,303) | |||||||||||
3 | LME Nickel Futures | September 25, 2013 | 250,187 | 246,749 | (3,438) | |||||||||||
4 | LME Nickel Futures | September 26, 2013 | 328,998 | 329,019 | 21 | |||||||||||
43 | LME Nickel Futures | December 16, 2013 | 3,688,484 | 3,552,144 | (136,340) | |||||||||||
24 | LME Zinc Futures | July 11, 2013 | 1,142,892 | 1,095,120 | (47,772) | |||||||||||
11 | LME Zinc Futures | July 16, 2013 | 522,518 | 502,571 | (19,947) | |||||||||||
3 | LME Zinc Futures | July 19, 2013 | 140,630 | 137,162 | (3,468) | |||||||||||
14 | LME Zinc Futures | July 26, 2013 | 673,596 | 641,105 | (32,491) | |||||||||||
55 | LME Zinc Futures | August 2, 2013 | 2,549,261 | 2,522,617 | (26,644) | |||||||||||
42 | LME Zinc Futures | August 9, 2013 | 1,971,967 | 1,929,406 | (42,561) | |||||||||||
12 | LME Zinc Futures | August 22, 2013 | 559,519 | 552,873 | (6,646) | |||||||||||
37 | LME Zinc Futures | September 10, 2013 | 1,746,459 | 1,711,907 | (34,552) | |||||||||||
254 | LME Zinc Futures | September 16, 2013 | 12,288,489 | 11,772,900 | (515,589) | |||||||||||
38 | LME Zinc Futures | September 20, 2013 | 1,750,959 | 1,761,025 | 10,066 | |||||||||||
25 | LME Zinc Futures | September 24, 2013 | 1,137,540 | 1,158,394 | 20,854 | |||||||||||
14 | LME Zinc Futures | September 25, 2013 | 645,772 | 648,651 | 2,879 | |||||||||||
21 | LME Zinc Futures | September 26, 2013 | 967,084 | 972,899 | 5,815 | |||||||||||
3 | LME Zinc Futures | September 27, 2013 | 138,455 | 138,975 | 520 | |||||||||||
194 | LME Zinc Futures | December 16, 2013 | 9,102,954 | 9,096,175 | (6,779) | |||||||||||
430 | Natural Gas Swap Futures | August 28, 2013 | 4,157,945 | 3,825,925 | (332,020) | |||||||||||
24 | Silver Futures | September 26, 2013 | 2,352,232 | 2,336,400 | (15,832) | |||||||||||
34 | Soybean Futures | January 14, 2014 | 2,203,567 | 2,136,475 | (67,092) | |||||||||||
4 | Soybean Meal Futures | December 13, 2013 | 153,528 | 149,600 | (3,928) | |||||||||||
45 | Soybean Oil Futures | December 13, 2013 | 1,269,820 | 1,218,240 | (51,580) | |||||||||||
141 | Sugar #11 (World Markets) Futures | September 30, 2013 | 2,642,163 | 2,672,007 | 29,844 | |||||||||||
305 | Wheat Futures | September 13, 2013 | 10,917,655 | 10,030,688 | (886,967) | |||||||||||
9 | Amsterdam Index Futures | July 19, 2013 | 821,701 | 807,856 | (13,845) | |||||||||||
97 | CAC40 10 Euro Futures | July 19, 2013 | 4,828,500 | 4,715,182 | (113,318) | |||||||||||
19 | DAX Index Futures | September 20, 2013 | 5,057,872 | 4,925,557 | (132,315) | |||||||||||
67 | E-Mini Russell 2000 Futures | September 20, 2013 | 6,615,854 | 6,530,491 | (85,363) | |||||||||||
315 | Euro Stoxx 50 Index | September 20, 2013 | 10,973,876 | 10,652,313 | (321,563) | |||||||||||
140 | FTSE 100 Index Futures | September 20, 2013 | 13,416,387 | 13,119,866 | (296,521) | |||||||||||
81 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 2,916,024 | 2,851,989 | (64,035) | |||||||||||
16 | FTSE/MIB Index Futures | September 20, 2013 | 1,663,584 | 1,589,263 | (74,321) | |||||||||||
17 | Hang Seng Index Futures | July 30, 2013 | 2,201,525 | 2,271,730 | 70,205 | |||||||||||
90 | H-SHARES Index Futures | July 30, 2013 | 5,261,095 | 5,363,297 | 102,202 | |||||||||||
22 | IBEX 35 Index Futures | July 19, 2013 | 2,311,943 | 2,196,089 | (115,854) | |||||||||||
34 | KOSPI Index 200 Futures | September 12, 2013 | 3,688,401 | 3,602,294 | (86,107) | |||||||||||
48 | MSCI Taiwan Stock Index Futures | July 30, 2013 | 1,318,075 | 1,341,600 | 23,525 | |||||||||||
907 | S&P 500 E-Mini Futures | September 20, 2013 | 74,306,754 | 72,528,255 | (1,778,499) | |||||||||||
61 | S&P MID 400 E-Mini Futures | September 20, 2013 | 7,178,784 | 7,063,190 | (115,594) | |||||||||||
16 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 2,143,861 | 2,107,978 | (35,883) | |||||||||||
184 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 2,086,119 | 2,144,336 | 58,217 | |||||||||||
38 | SPI 200 Index Futures | September 19, 2013 | 4,164,925 | 4,143,414 | (21,511) | |||||||||||
128 | TOPIX Index Futures | September 12, 2013 | 14,000,639 | 14,596,491 | 595,852 | |||||||||||
108 | Australia 10-Year Bond Futures | September 16, 2013 | 11,878,403 | 11,693,546 | (184,857) | |||||||||||
128 | Canadian 10-Year Bond Futures | September 19, 2013 | 16,458,798 | 15,993,610 | (465,188) | |||||||||||
60 | Euro - Bund Futures | September 6, 2013 | 11,062,301 | 11,052,571 | (9,730) | |||||||||||
462 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | 59,274,364 | 58,471,875 | (802,489) | |||||||||||
|
|
|
|
|
| |||||||||||
654,505,720 | 629,778,660 | (24,727,060) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
3 | LME Aluminum Futures | July 5, 2013 | (140,822) | (129,844) | 10,978 | |||||||||||
39 | LME Aluminum Futures | July 11, 2013 | (1,849,887) | (1,690,894) | 158,993 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
22 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
139 | LME Aluminum Futures | July 16, 2013 | $(6,595,328) | $(6,035,207) | $560,121 | |||||||||||
37 | LME Aluminum Futures | July 19, 2013 | (1,752,816) | (1,607,891) | 144,925 | |||||||||||
19 | LME Aluminum Futures | July 24, 2013 | (906,745) | (826,880) | 79,865 | |||||||||||
13 | LME Aluminum Futures | July 26, 2013 | (627,033) | (566,088) | 60,945 | |||||||||||
77 | LME Aluminum Futures | August 2, 2013 | (3,540,376) | (3,359,818) | 180,558 | |||||||||||
52 | LME Aluminum Futures | August 9, 2013 | (2,467,317) | (2,273,583) | 193,734 | |||||||||||
12 | LME Aluminum Futures | August 16, 2013 | (551,430) | (525,738) | 25,692 | |||||||||||
2 | LME Aluminum Futures | August 22, 2013 | (93,313) | (87,775) | 5,538 | |||||||||||
5 | LME Aluminum Futures | August 23, 2013 | (232,992) | (219,503) | 13,489 | |||||||||||
9 | LME Aluminum Futures | August 30, 2013 | (428,611) | (395,906) | 32,705 | |||||||||||
37 | LME Aluminum Futures | September 6, 2013 | (1,812,941) | (1,630,905) | 182,036 | |||||||||||
26 | LME Aluminum Futures | September 10, 2013 | (1,257,579) | (1,147,367) | 110,212 | |||||||||||
24 | LME Aluminum Futures | September 13, 2013 | (1,114,883) | (1,060,026) | 54,857 | |||||||||||
510 | LME Aluminum Futures | September 16, 2013 | (23,942,707) | (22,557,937) | 1,384,770 | |||||||||||
5 | LME Aluminum Futures | September 17, 2013 | (232,009) | (221,093) | 10,916 | |||||||||||
59 | LME Aluminum Futures | September 20, 2013 | (2,652,585) | (2,610,868) | 41,717 | |||||||||||
63 | LME Aluminum Futures | September 24, 2013 | (2,799,508) | (2,790,506) | 9,002 | |||||||||||
29 | LME Aluminum Futures | September 25, 2013 | (1,290,768) | (1,284,823) | 5,945 | |||||||||||
50 | LME Aluminum Futures | September 26, 2013 | (2,222,140) | (2,215,725) | 6,415 | |||||||||||
15 | LME Aluminum Futures | September 27, 2013 | (667,101) | (664,875) | 2,226 | |||||||||||
256 | LME Aluminum Futures | December 16, 2013 | (11,774,809) | (11,576,000) | 198,809 | |||||||||||
10 | LME Copper Futures | July 5, 2013 | (1,846,734) | (1,683,187) | 163,547 | |||||||||||
24 | LME Copper Futures | July 11, 2013 | (4,531,162) | (4,041,378) | 489,784 | |||||||||||
19 | LME Copper Futures | July 16, 2013 | (3,437,031) | (3,200,559) | 236,472 | |||||||||||
9 | LME Copper Futures | July 19, 2013 | (1,571,171) | (1,516,260) | 54,911 | |||||||||||
7 | LME Copper Futures | July 24, 2013 | (1,221,139) | (1,179,500) | 41,639 | |||||||||||
16 | LME Copper Futures | July 26, 2013 | (2,847,974) | (2,696,236) | 151,738 | |||||||||||
8 | LME Copper Futures | August 2, 2013 | (1,369,230) | (1,348,530) | 20,700 | |||||||||||
34 | LME Copper Futures | August 9, 2013 | (6,306,096) | (5,733,004) | 573,092 | |||||||||||
4 | LME Copper Futures | August 16, 2013 | (714,494) | (674,678) | 39,816 | |||||||||||
11 | LME Copper Futures | August 22, 2013 | (2,047,426) | (1,855,769) | 191,657 | |||||||||||
5 | LME Copper Futures | August 23, 2013 | (914,742) | (843,531) | 71,211 | |||||||||||
8 | LME Copper Futures | August 30, 2013 | (1,459,017) | (1,349,850) | 109,167 | |||||||||||
7 | LME Copper Futures | September 6, 2013 | (1,291,828) | (1,181,273) | 110,555 | |||||||||||
27 | LME Copper Futures | September 10, 2013 | (4,838,919) | (4,556,675) | 282,244 | |||||||||||
8 | LME Copper Futures | September 13, 2013 | (1,421,179) | (1,350,200) | 70,979 | |||||||||||
248 | LME Copper Futures | September 16, 2013 | (44,894,025) | (41,856,200) | 3,037,825 | |||||||||||
1 | LME Copper Futures | September 17, 2013 | (178,684) | (168,775) | 9,909 | |||||||||||
34 | LME Copper Futures | September 20, 2013 | (5,801,154) | (5,737,857) | 63,297 | |||||||||||
16 | LME Copper Futures | September 24, 2013 | (2,665,697) | (2,700,100) | (34,403) | |||||||||||
7 | LME Copper Futures | September 25, 2013 | (1,173,184) | (1,181,280) | (8,096) | |||||||||||
10 | LME Copper Futures | September 26, 2013 | (1,672,759) | (1,687,520) | (14,761) | |||||||||||
4 | LME Copper Futures | September 27, 2013 | (678,581) | (675,000) | 3,581 | |||||||||||
117 | LME Copper Futures | December 16, 2013 | (20,359,731) | (19,781,775) | 577,956 | |||||||||||
2 | LME Lead Futures | July 11, 2013 | (104,555) | (102,145) | 2,410 | |||||||||||
11 | LME Lead Futures | July 16, 2013 | (561,152) | (562,164) | (1,012) | |||||||||||
9 | LME Lead Futures | July 19, 2013 | (454,317) | (460,026) | (5,709) | |||||||||||
5 | LME Lead Futures | July 26, 2013 | (258,117) | (255,597) | 2,520 | |||||||||||
6 | LME Lead Futures | August 2, 2013 | (298,940) | (306,750) | (7,810) | |||||||||||
2 | LME Lead Futures | August 9, 2013 | (102,607) | (102,310) | 297 | |||||||||||
3 | LME Lead Futures | August 22, 2013 | (153,895) | (153,619) | 276 | |||||||||||
2 | LME Lead Futures | August 23, 2013 | (101,647) | (102,413) | (766) | |||||||||||
1 | LME Lead Futures | September 6, 2013 | (55,073) | (51,268) | 3,805 | |||||||||||
10 | LME Lead Futures | September 10, 2013 | (531,788) | (512,688) | 19,100 | |||||||||||
1 | LME Lead Futures | September 13, 2013 | (52,534) | (51,266) | 1,268 | |||||||||||
94 | LME Lead Futures | September 16, 2013 | (4,918,192) | (4,818,087) | 100,105 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 23 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
30 | LME Lead Futures | September 20, 2013 | $(1,515,447) | $(1,537,815) | $(22,368) | |||||||||||
3 | LME Lead Futures | September 24, 2013 | (149,995) | (153,806) | (3,811) | |||||||||||
4 | LME Lead Futures | September 25, 2013 | (200,269) | (205,083) | (4,814) | |||||||||||
4 | LME Lead Futures | September 26, 2013 | (202,454) | (205,092) | (2,638) | |||||||||||
3 | LME Lead Futures | September 27, 2013 | (154,299) | (153,825) | 474 | |||||||||||
50 | LME Lead Futures | December 16, 2013 | (2,580,589) | (2,579,375) | 1,214 | |||||||||||
3 | LME Nickel Futures | July 5, 2013 | (288,895) | (245,626) | 43,269 | |||||||||||
21 | LME Nickel Futures | July 11, 2013 | (2,023,972) | (1,719,988) | 303,984 | |||||||||||
2 | LME Nickel Futures | July 16, 2013 | (186,598) | (163,856) | 22,742 | |||||||||||
5 | LME Nickel Futures | July 19, 2013 | (463,742) | (409,707) | 54,035 | |||||||||||
7 | LME Nickel Futures | July 26, 2013 | (650,025) | (573,801) | 76,224 | |||||||||||
13 | LME Nickel Futures | August 2, 2013 | (1,159,293) | (1,066,020) | 93,273 | |||||||||||
14 | LME Nickel Futures | August 9, 2013 | (1,287,274) | (1,148,442) | 138,832 | |||||||||||
1 | LME Nickel Futures | August 16, 2013 | (89,428) | (82,061) | 7,367 | |||||||||||
7 | LME Nickel Futures | September 10, 2013 | (627,094) | (575,263) | 51,831 | |||||||||||
10 | LME Nickel Futures | September 13, 2013 | (848,630) | (821,956) | 26,674 | |||||||||||
88 | LME Nickel Futures | September 16, 2013 | (7,970,121) | (7,235,448) | 734,673 | |||||||||||
6 | LME Nickel Futures | September 20, 2013 | (496,505) | (493,344) | 3,161 | |||||||||||
3 | LME Nickel Futures | September 25, 2013 | (247,335) | (246,750) | 585 | |||||||||||
4 | LME Nickel Futures | September 26, 2013 | (330,189) | (329,020) | 1,169 | |||||||||||
25 | LME Nickel Futures | December 16, 2013 | (2,157,514) | (2,065,200) | 92,314 | |||||||||||
24 | LME Zinc Futures | July 11, 2013 | (1,133,400) | (1,095,120) | 38,280 | |||||||||||
11 | LME Zinc Futures | July 16, 2013 | (517,009) | (502,570) | 14,439 | |||||||||||
3 | LME Zinc Futures | July 19, 2013 | (141,489) | (137,162) | 4,327 | |||||||||||
14 | LME Zinc Futures | July 26, 2013 | (671,978) | (641,106) | 30,872 | |||||||||||
55 | LME Zinc Futures | August 2, 2013 | (2,545,037) | (2,522,616) | 22,421 | |||||||||||
42 | LME Zinc Futures | August 9, 2013 | (1,977,979) | (1,929,406) | 48,573 | |||||||||||
12 | LME Zinc Futures | August 22, 2013 | (559,451) | (552,873) | 6,578 | |||||||||||
37 | LME Zinc Futures | September 10, 2013 | (1,738,234) | (1,711,906) | 26,328 | |||||||||||
254 | LME Zinc Futures | September 16, 2013 | (11,874,556) | (11,772,900) | 101,656 | |||||||||||
38 | LME Zinc Futures | September 20, 2013 | (1,745,129) | (1,761,025) | (15,896) | |||||||||||
25 | LME Zinc Futures | September 24, 2013 | (1,140,556) | (1,158,394) | (17,838) | |||||||||||
14 | LME Zinc Futures | September 25, 2013 | (642,175) | (648,652) | (6,477) | |||||||||||
21 | LME Zinc Futures | September 26, 2013 | (961,759) | (972,899) | (11,140) | |||||||||||
3 | LME Zinc Futures | September 27, 2013 | (139,345) | (138,975) | 370 | |||||||||||
117 | LME Zinc Futures | December 16, 2013 | (5,499,063) | (5,485,838) | 13,225 | |||||||||||
262 | Wheat Futures | December 13, 2013 | (9,268,862) | (8,796,650) | 472,212 | |||||||||||
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(253,974,164) | (241,796,292) | 12,177,872 | ||||||||||||||
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$400,531,556 | $387,982,368 | $(12,549,188) | ||||||||||||||
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|
Cash held as collateral with broker for futures contracts was $31,269,829 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | 6,000 | $5,501 | $5,455 | $(46) | ||||||||||||||
Brazilian Real, Expiring 09/18/13* | The Royal Bank of Scotland | BRL | 74,075,000 | 33,892,167 | 32,662,965 | (1,229,202) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
24 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 77,000 | $83,327 | $81,579 | $(1,748) | ||||||||||||||
Czech Republic Koruna, Expiring 09/18/13 | The Royal Bank of Scotland | CZK | 21,928,000 | 1,116,761 | 1,097,628 | (19,133) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 258,168,062 | 339,385,934 | 336,162,695 | (3,223,239) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 60,281,305 | 92,883,612 | 91,636,445 | (1,247,167) | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | 6,356,000 | 819,041 | 819,740 | 699 | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | $292,494,000 | 77,974,481 | 77,880,755 | (93,726) | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | 3,494,000 | 35,406 | 35,242 | (164) | ||||||||||||||
Korean Won, Expiring 09/23/13* | The Royal Bank of Scotland | KRW | 55,917,856,000 | 49,472,735 | 48,777,705 | (695,030) | ||||||||||||||
Mexican Peso, Expiring 09/18/13 | The Royal Bank of Scotland | MXN | 1,024,031,000 | 79,198,339 | 78,470,532 | (727,807) | ||||||||||||||
Poland Zloty, Expiring 09/18/13 | The Royal Bank of Scotland | PLN | 6,110,000 | 1,849,218 | 1,829,836 | (19,382) | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | 137,444,000 | 4,149,173 | 4,124,714 | (24,459) | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | 52,777,000 | 42,054,900 | 41,644,936 | (409,964) | ||||||||||||||
Turkish Lira, Expiring 09/18/13 | The Royal Bank of Scotland | TRY | 64,449,000 | 33,917,171 | 33,003,870 | (913,301) | ||||||||||||||
Taiwanese Dollar, Expiring 09/18/13* | The Royal Bank of Scotland | TWD | 1,183,034,000 | 39,674,368 | 39,506,899 | (167,469) | ||||||||||||||
South African Rand, Expiring 09/18/13 | The Royal Bank of Scotland | ZAR | 122,070,000 | 12,157,821 | 12,207,356 | 49,535 | ||||||||||||||
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| |||||||||||||||
808,669,955 | 799,948,352 | (8,721,603) | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | (24,000) | $(22,886) | $(21,821) | $1,065 | ||||||||||||||
Brazilian Real, Expiring 09/18/13* | The Royal Bank of Scotland | BRL | (54,284,000) | (24,345,739) | (23,936,231) | 409,508 | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (130,000) | (137,960) | (137,730) | 230 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (344,387,811) | (452,283,576) | (448,430,118) | 3,853,458 | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (72,216,232) | (111,201,561) | (109,779,286) | 1,422,275 | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | (520,000) | (67,022) | (67,065) | (43) | ||||||||||||||
Hungarian Forint, Expiring 09/18/13 | The Royal Bank of Scotland | HUF | (202,866,000) | (892,466) | (888,241) | 4,225 | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | (199,533,000) | (54,794,705) | (54,756,291) | 38,414 | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | (116,374,000) | (1,176,450) | (1,173,798) | 2,652 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 25 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Korean Won, Expiring 09/23/13* | The Royal Bank of Scotland | KRW | (42,436,931,000) | $(36,957,588) | $(37,018,160) | $(60,572) | ||||||||||||||
Mexican Peso, Expiring 09/18/13 | The Royal Bank of Scotland | MXN | (764,173,000) | (58,119,163) | (58,557,857) | (438,694) | ||||||||||||||
Poland Zloty, Expiring 09/18/13 | The Royal Bank of Scotland | PLN | (8,514,000) | (2,608,389) | (2,549,791) | 58,598 | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | (275,882,000) | (8,415,945) | (8,279,258) | 136,687 | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | (35,783,000) | (28,210,803) | (28,235,419) | (24,616) | ||||||||||||||
Turkish Lira, Expiring 09/18/13 | The Royal Bank of Scotland | TRY | (51,333,000) | (26,628,860) | (26,287,261) | 341,599 | ||||||||||||||
Taiwanese Dollar, Expiring 09/18/13* | The Royal Bank of Scotland | TWD | (821,674,000) | (27,346,247) | (27,439,441) | (93,194) | ||||||||||||||
South African Rand, Expiring 09/18/13 | The Royal Bank of Scotland | ZAR | (65,370,000) | (6,348,730) | (6,537,190) | (188,460) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(839,558,090) | (834,094,958) | 5,463,132 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(30,888,135) | $(34,146,606) | $(3,258,471) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $18,370,000.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
AUD - Australian Dollar
BRL - Brazilian Real
CHF - Swiss Franc
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
PLN - Poland Zloty
RUB - Russian Ruble
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. |
26 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
GOVERNMENT RELATED OBLIGATIONS - 10.3% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’S) | VALUE (Note 3) | |||||||||||||||
Sovereign Debt - 10.3% | ||||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.500% | 04/15/16 | EUR | 1,621 | $ | 2,220,194 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 1,638 | 2,400,950 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 207 | 272,870 | |||||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 531 | 742,923 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 757 | 1,029,954 | |||||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 849 | 1,579,922 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS | 8,246,813 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 10.8% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 10.8% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 01/15/22 | USD | 2,500 | 2,515,676 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/17 | USD | 2,500 | 2,626,037 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 1.375% | 07/15/18 | USD | 900 | 1,059,965 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 1.625% | 01/15/18 | USD | 1,000 | 1,214,961 | |||||||||||||||
U.S. Treasury Inflation Protected Securities | 2.625% | 07/15/17 | USD | 1,000 | 1,272,800 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 8,689,439 | |||||||||||||||||||
|
| |||||||||||||||||||
MONEY MARKET FUNDS - 62.1% | SHARES | |||||||||||||||||||
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.046% (a) | 1,445,033 | 1,445,033 | ||||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a) | 5,780,132 | 5,780,132 | ||||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) | 35,297,223 | 35,297,223 | ||||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a) | 7,225,166 | 7,225,166 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL MONEY MARKET FUNDS | 49,747,554 | |||||||||||||||||||
|
| |||||||||||||||||||
SHORT-TERM INVESTMENTS - 2.4% | PRINCIPAL AMOUNT (000’S) | |||||||||||||||||||
U.S. Treasury Bill, 0.000%, 12/12/2013 (c) | $ | 1,899 | 1,899,438 | |||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS - 85.6% | 68,583,244 | |||||||||||||||||||
|
| |||||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 14.4% (d) | 11,577,969 | |||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS - 100.0% | $ | 80,161,213 | ||||||||||||||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Represents annualized seven-day yield as of June 30, 2013. |
(b) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/depreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 27 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Goldman Sachs | Bovespa Index | 8/14/2013 | BRL | 1,293,408 | $(52,662) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 138,180 | (8,337) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (23,030) | (120) | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | 343,481 | (27,421) | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (98,138) | 75 | |||||||||||
Barclays Capital | Corn Futures | 9/13/2013 | USD | 652,850 | (50,851) | |||||||||||
Barclays Capital | Corn Futures | 9/13/2013 | USD | (296,750) | 17,082 | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 1,686,125 | (217,629) | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (562,700) | 10,757 | |||||||||||
Goldman Sachs | H-SHARES Index Futures | 7/30/2013 | HKD | 1,332,238 | 7,008 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 152,045 | 9,994 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (152,045) | (1,736) | |||||||||||
Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 156,400 | (480) | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 1,161,775 | 9,662 | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | (484,795) | (3,869) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 391,150 | (37,300) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (383,550) | 29,700 | |||||||||||
Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | 294,900 | (23,588) | |||||||||||
Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | (90,850) | 413 | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | 778,100 | (103,000) | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (717,800) | 42,700 | |||||||||||
Barclays Capital | LME Copper Futures | 12/16/2013 | USD | 720,350 | (44,050) | |||||||||||
Barclays Capital | LME Copper Futures | 12/16/2013 | USD | (169,625) | 550 | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | 100,266 | (18,045) | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (94,620) | 12,399 | |||||||||||
Goldman Sachs | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 430,376 | 16,824 | |||||||||||
Bank of America | Russian Trading System Index Futures | 9/16/2013 | USD | 397,832 | 2,180 | |||||||||||
Barclays Capital | Silver Futures | 9/26/2013 | USD | 108,580 | (11,230) | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | 607,403 | 18,545 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | (60,550) | (2,048) | |||||||||||
Barclays Capital | Soybean Futures | 1/14/2014 | USD | (255,888) | 4,538 | |||||||||||
Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | 731,448 | (20,822) | |||||||||||
Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | (497,318) | 8,859 | |||||||||||
Barclays Capital | Sugar #11 (World Markets) Futures | 9/30/2013 | USD | 18,782 | 168 | |||||||||||
Goldman Sachs | Swiss Market Index Futures | 9/20/2013 | CHF | 617,163 | (5,025) | |||||||||||
Barclays Capital | Wheat Futures | 9/13/2013 | USD | 938,468 | (83,393) | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | 35,900 | (2,322) | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | (248,500) | 13,458 | |||||||||||
|
| |||||||||||||||
$(509,016) | ||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
28 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,100,000.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
1 | Cattle Feeder Futures | August 29, 2013 | $72,816 | $74,725 | $1,909 | |||||||||||
2 | Cocoa Futures | September 13, 2013 | 45,306 | 43,279 | (2,027) | |||||||||||
1 | Coffee ‘C’ Futures | September 18, 2013 | 46,582 | 45,150 | (1,432) | |||||||||||
15 | Corn Futures | September 13, 2013 | 423,793 | 410,438 | (13,355) | |||||||||||
4 | Cotton No. 2 Futures | December 6, 2013 | 170,746 | 168,020 | (2,726) | |||||||||||
22 | Crude Oil Financial Futures | August 19, 2013 | 2,123,110 | 2,121,680 | (1,430) | |||||||||||
21 | Globex Brent FCL Futures | September 12, 2013 | 2,134,420 | 2,126,460 | (7,960) | |||||||||||
8 | Globex Heat Oil Futures | August 29, 2013 | 978,008 | 962,069 | (15,939) | |||||||||||
6 | Globex RBOB Gas Futures | August 29, 2013 | 706,041 | 680,098 | (25,943) | |||||||||||
12 | ICE Euro Gasoil Futures | September 11, 2013 | 1,042,630 | 1,048,800 | 6,170 | |||||||||||
2 | Lean Hogs Futures | August 14, 2013 | 78,625 | 77,960 | (665) | |||||||||||
1 | Live Cattle Futures | August 30, 2013 | 47,903 | 48,810 | 907 | |||||||||||
2 | LME Aluminum Futures | July 11, 2013 | 94,516 | 86,713 | (7,803) | |||||||||||
12 | LME Aluminum Futures | July 16, 2013 | 564,836 | 521,025 | (43,811) | |||||||||||
1 | LME Aluminum Futures | July 19, 2013 | 47,911 | 43,456 | (4,455) | |||||||||||
2 | LME Aluminum Futures | July 24, 2013 | 95,176 | 87,040 | (8,136) | |||||||||||
1 | LME Aluminum Futures | July 26, 2013 | 48,302 | 43,546 | (4,756) | |||||||||||
10 | LME Aluminum Futures | August 2, 2013 | 460,766 | 436,340 | (24,426) | |||||||||||
7 | LME Aluminum Futures | August 9, 2013 | 332,515 | 306,059 | (26,456) | |||||||||||
2 | LME Aluminum Futures | August 15, 2013 | 92,503 | 87,598 | (4,905) | |||||||||||
1 | LME Aluminum Futures | August 16, 2013 | 46,089 | 43,811 | (2,278) | |||||||||||
1 | LME Aluminum Futures | August 23, 2013 | 46,438 | 43,900 | (2,538) | |||||||||||
2 | LME Aluminum Futures | August 30, 2013 | 94,968 | 87,979 | (6,989) | |||||||||||
2 | LME Aluminum Futures | September 6, 2013 | 98,131 | 88,157 | (9,974) | |||||||||||
43 | LME Aluminum Futures | September 16, 2013 | 2,086,041 | 1,901,944 | (184,097) | |||||||||||
8 | LME Aluminum Futures | September 20, 2013 | 359,838 | 354,016 | (5,822) | |||||||||||
4 | LME Aluminum Futures | September 24, 2013 | 177,606 | 177,175 | (431) | |||||||||||
2 | LME Aluminum Futures | September 25, 2013 | 88,853 | 88,608 | (245) | |||||||||||
6 | LME Aluminum Futures | September 26, 2013 | 266,410 | 265,887 | (523) | |||||||||||
1 | LME Aluminum Futures | September 27, 2013 | 44,570 | 44,325 | (245) | |||||||||||
30 | LME Aluminum Futures | December 16, 2013 | 1,424,339 | 1,356,563 | (67,776) | |||||||||||
1 | LME Copper Futures | July 11, 2013 | 188,809 | 168,391 | (20,418) | |||||||||||
2 | LME Copper Futures | July 16, 2013 | 362,103 | 336,901 | (25,202) | |||||||||||
2 | LME Copper Futures | July 26, 2013 | 357,523 | 337,029 | (20,494) | |||||||||||
1 | LME Copper Futures | August 2, 2013 | 172,877 | 168,567 | (4,310) | |||||||||||
2 | LME Copper Futures | August 9, 2013 | 367,549 | 337,235 | (30,314) | |||||||||||
1 | LME Copper Futures | August 15, 2013 | 179,858 | 168,662 | (11,196) | |||||||||||
1 | LME Copper Futures | August 22, 2013 | 185,975 | 168,706 | (17,269) | |||||||||||
2 | LME Copper Futures | September 13, 2013 | 354,003 | 337,550 | (16,453) | |||||||||||
14 | LME Copper Futures | September 16, 2013 | 2,642,254 | 2,362,850 | (279,404) | |||||||||||
1 | LME Copper Futures | September 20, 2013 | 169,327 | 168,761 | (566) | |||||||||||
2 | LME Copper Futures | September 24, 2013 | 334,003 | 337,512 | 3,509 | |||||||||||
1 | LME Copper Futures | September 25, 2013 | 169,502 | 168,755 | (747) | |||||||||||
1 | LME Copper Futures | September 26, 2013 | 168,252 | 168,752 | 500 | |||||||||||
8 | LME Copper Futures | December 16, 2013 | 1,426,294 | 1,352,600 | (73,694) | |||||||||||
1 | LME Lead Futures | July 16, 2013 | 51,352 | 51,106 | (246) | |||||||||||
1 | LME Lead Futures | August 2, 2013 | 49,561 | 51,125 | 1,564 | |||||||||||
1 | LME Lead Futures | August 9, 2013 | 50,777 | 51,155 | 378 | |||||||||||
1 | LME Lead Futures | August 15, 2013 | 49,102 | 51,181 | 2,079 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 29 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
8 | LME Lead Futures | September 16, 2013 | $431,613 | $410,050 | $(21,563) | |||||||||||
2 | LME Lead Futures | September 20, 2013 | 101,403 | 102,521 | 1,118 | |||||||||||
1 | LME Lead Futures | September 25, 2013 | 50,827 | 51,271 | 444 | |||||||||||
1 | LME Lead Futures | September 26, 2013 | 50,658 | 51,273 | 615 | |||||||||||
1 | LME Lead Futures | September 27, 2013 | 51,077 | 51,275 | 198 | |||||||||||
7 | LME Lead Futures | December 16, 2013 | 370,376 | 361,113 | (9,263) | |||||||||||
1 | LME Nickel Futures | July 16, 2013 | 94,922 | 81,929 | (12,993) | |||||||||||
1 | LME Nickel Futures | July 26, 2013 | 92,342 | 81,972 | (10,370) | |||||||||||
3 | LME Nickel Futures | August 2, 2013 | 268,278 | 246,004 | (22,274) | |||||||||||
1 | LME Nickel Futures | August 9, 2013 | 92,402 | 82,032 | (10,370) | |||||||||||
7 | LME Nickel Futures | September 16, 2013 | 685,133 | 575,547 | (109,586) | |||||||||||
1 | LME Nickel Futures | September 27, 2013 | 82,802 | 82,260 | (542) | |||||||||||
3 | LME Nickel Futures | December 16, 2013 | 258,530 | 247,824 | (10,706) | |||||||||||
1 | LME Zinc Futures | July 5, 2013 | 46,377 | 45,560 | (817) | |||||||||||
2 | LME Zinc Futures | July 11, 2013 | 95,241 | 91,260 | (3,981) | |||||||||||
2 | LME Zinc Futures | July 16, 2013 | 95,003 | 91,376 | (3,627) | |||||||||||
1 | LME Zinc Futures | July 24, 2013 | 47,343 | 45,772 | (1,571) | |||||||||||
1 | LME Zinc Futures | July 26, 2013 | 48,114 | 45,793 | (2,321) | |||||||||||
4 | LME Zinc Futures | August 2, 2013 | 185,401 | 183,463 | (1,938) | |||||||||||
3 | LME Zinc Futures | August 9, 2013 | 140,855 | 137,815 | (3,040) | |||||||||||
1 | LME Zinc Futures | August 15, 2013 | 46,058 | 46,000 | (58) | |||||||||||
1 | LME Zinc Futures | August 16, 2013 | 45,452 | 46,011 | 559 | |||||||||||
1 | LME Zinc Futures | August 22, 2013 | 46,627 | 46,073 | (554) | |||||||||||
20 | LME Zinc Futures | September 16, 2013 | 972,189 | 927,000 | (45,189) | |||||||||||
1 | LME Zinc Futures | September 20, 2013 | 45,940 | 46,342 | 402 | |||||||||||
2 | LME Zinc Futures | September 24, 2013 | 91,003 | 92,671 | 1,668 | |||||||||||
3 | LME Zinc Futures | September 26, 2013 | 138,155 | 138,986 | 831 | |||||||||||
1 | LME Zinc Futures | September 27, 2013 | 46,002 | 46,325 | 323 | |||||||||||
14 | LME Zinc Futures | December 16, 2013 | 657,623 | 656,425 | (1,198) | |||||||||||
49 | Natural Gas Swap Futures | August 28, 2013 | 472,207 | 435,977 | (36,230) | |||||||||||
2 | Silver Futures | September 26, 2013 | 197,738 | 194,700 | (3,038) | |||||||||||
1 | Soybean Futures | January 14, 2014 | 65,427 | 62,837 | (2,590) | |||||||||||
6 | Soybean Oil Futures | December 13, 2013 | 170,889 | 162,432 | (8,457) | |||||||||||
14 | Sugar #11 (World Markets) Futures | September 30, 2013 | 262,063 | 265,306 | 3,243 | |||||||||||
18 | Wheat Futures | September 13, 2013 | 641,797 | 591,975 | (49,822) | |||||||||||
1 | Amsterdam Index Futures | July 19, 2013 | 91,354 | 89,762 | (1,592) | |||||||||||
8 | CAC40 10 Euro Futures | July 19, 2013 | 399,733 | 388,881 | (10,852) | |||||||||||
2 | DAX Index Futures | September 20, 2013 | 537,623 | 518,480 | (19,143) | |||||||||||
8 | E-Mini Russell 2000 Futures | September 20, 2013 | 791,732 | 779,760 | (11,972) | |||||||||||
34 | Euro Stoxx 50 Index | September 20, 2013 | 1,187,365 | 1,149,773 | (37,592) | |||||||||||
16 | FTSE 100 Index Futures | September 20, 2013 | 1,537,335 | 1,499,414 | (37,921) | |||||||||||
9 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 331,209 | 316,887 | (14,322) | |||||||||||
1 | FTSE/MIB Index Futures | September 20, 2013 | 105,071 | 99,329 | (5,742) | |||||||||||
2 | Hang Seng Index Futures | July 30, 2013 | 256,063 | 267,262 | 11,199 | |||||||||||
11 | H-SHARES Index Futures | July 30, 2013 | 638,165 | 655,514 | 17,349 | |||||||||||
3 | IBEX 35 Index Futures | July 19, 2013 | 315,330 | 299,466 | (15,864) | |||||||||||
4 | KOSPI Index 200 Futures | September 12, 2013 | 441,785 | 423,799 | (17,986) | |||||||||||
10 | MSCI Taiwan Stock Index Futures | July 30, 2013 | 269,955 | 279,500 | 9,545 | |||||||||||
108 | S&P 500 E-Mini Futures | September 20, 2013 | 8,846,816 | 8,636,220 | (210,596) | |||||||||||
7 | S&P MID 400 E-Mini Futures | September 20, 2013 | 826,454 | 810,530 | (15,924) | |||||||||||
2 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 268,462 | 263,497 | (4,965) | |||||||||||
24 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 269,349 | 279,696 | 10,347 | |||||||||||
4 | SPI 200 Index Futures | September 19, 2013 | 438,845 | 436,149 | (2,696) | |||||||||||
15 | TOPIX Index Futures | September 12, 2013 | 1,650,773 | 1,710,526 | 59,753 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
30 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
16 | 10-Year Japanese Government Bond Futures | September 9, 2013 | $2,305,843 | $2,300,625 | $(5,218) | |||||||||||
13 | Australia 10-Year Bond Futures | September 16, 2013 | 1,446,502 | 1,407,557 | (38,945) | |||||||||||
14 | Canadian 10-Year Bond Futures | September 19, 2013 | 1,812,282 | 1,749,301 | (62,981) | |||||||||||
53 | Euro - Bund Futures | September 6, 2013 | 9,899,030 | 9,763,103 | (135,927) | |||||||||||
202 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | 26,150,662 | 25,565,625 | (585,037) | |||||||||||
|
|
|
|
|
| |||||||||||
89,624,514 | 87,174,295 | (2,450,219) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
2 | LME Aluminum Futures | July 11, 2013 | (94,866) | (86,713) | 8,153 | |||||||||||
12 | LME Aluminum Futures | July 16, 2013 | (569,381) | (521,025) | 48,356 | |||||||||||
1 | LME Aluminum Futures | July 19, 2013 | (47,373) | (43,456) | 3,917 | |||||||||||
2 | LME Aluminum Futures | July 24, 2013 | (95,447) | (87,040) | 8,407 | |||||||||||
1 | LME Aluminum Futures | July 26, 2013 | (48,233) | (43,545) | 4,688 | |||||||||||
10 | LME Aluminum Futures | August 2, 2013 | (460,259) | (436,340) | 23,919 | |||||||||||
7 | LME Aluminum Futures | August 9, 2013 | (332,139) | (306,060) | 26,079 | |||||||||||
2 | LME Aluminum Futures | August 15, 2013 | (92,558) | (87,598) | 4,960 | |||||||||||
1 | LME Aluminum Futures | August 16, 2013 | (45,998) | (43,811) | 2,187 | |||||||||||
1 | LME Aluminum Futures | August 23, 2013 | (46,598) | (43,900) | 2,698 | |||||||||||
2 | LME Aluminum Futures | August 30, 2013 | (95,247) | (87,979) | 7,268 | |||||||||||
2 | LME Aluminum Futures | September 6, 2013 | (97,997) | (88,157) | 9,840 | |||||||||||
43 | LME Aluminum Futures | September 16, 2013 | (2,016,905) | (1,901,943) | 114,962 | |||||||||||
8 | LME Aluminum Futures | September 20, 2013 | (360,812) | (354,016) | 6,796 | |||||||||||
4 | LME Aluminum Futures | September 24, 2013 | (177,747) | (177,176) | 571 | |||||||||||
2 | LME Aluminum Futures | September 25, 2013 | (89,019) | (88,609) | 410 | |||||||||||
6 | LME Aluminum Futures | September 26, 2013 | (266,657) | (265,887) | 770 | |||||||||||
1 | LME Aluminum Futures | September 27, 2013 | (44,248) | (44,325) | (77) | |||||||||||
20 | LME Aluminum Futures | December 16, 2013 | (910,430) | (904,375) | 6,055 | |||||||||||
1 | LME Copper Futures | July 11, 2013 | (188,798) | (168,390) | 20,408 | |||||||||||
2 | LME Copper Futures | July 16, 2013 | (361,793) | (336,901) | 24,892 | |||||||||||
2 | LME Copper Futures | July 26, 2013 | (355,997) | (337,030) | 18,967 | |||||||||||
1 | LME Copper Futures | August 2, 2013 | (171,154) | (168,566) | 2,588 | |||||||||||
2 | LME Copper Futures | August 9, 2013 | (370,947) | (337,236) | 33,711 | |||||||||||
1 | LME Copper Futures | August 15, 2013 | (179,498) | (168,662) | 10,836 | |||||||||||
1 | LME Copper Futures | August 22, 2013 | (186,130) | (168,707) | 17,423 | |||||||||||
2 | LME Copper Futures | September 13, 2013 | (355,928) | (337,550) | 18,378 | |||||||||||
14 | LME Copper Futures | September 16, 2013 | (2,538,602) | (2,362,850) | 175,752 | |||||||||||
1 | LME Copper Futures | September 20, 2013 | (171,409) | (168,760) | 2,649 | |||||||||||
2 | LME Copper Futures | September 24, 2013 | (333,212) | (337,512) | (4,300) | |||||||||||
1 | LME Copper Futures | September 25, 2013 | (167,598) | (168,755) | (1,157) | |||||||||||
1 | LME Copper Futures | September 26, 2013 | (167,276) | (168,752) | (1,476) | |||||||||||
7 | LME Copper Futures | December 16, 2013 | (1,199,012) | (1,183,525) | 15,487 | |||||||||||
1 | LME Lead Futures | July 16, 2013 | (51,014) | (51,106) | (92) | |||||||||||
1 | LME Lead Futures | August 2, 2013 | (49,823) | (51,125) | (1,302) | |||||||||||
1 | LME Lead Futures | August 9, 2013 | (51,304) | (51,155) | 149 | |||||||||||
1 | LME Lead Futures | August 15, 2013 | (49,148) | (51,180) | (2,032) | |||||||||||
8 | LME Lead Futures | September 16, 2013 | (419,581) | (410,050) | 9,531 | |||||||||||
2 | LME Lead Futures | September 20, 2013 | (101,005) | (102,521) | (1,516) | |||||||||||
1 | LME Lead Futures | September 25, 2013 | (50,067) | (51,270) | (1,203) | |||||||||||
1 | LME Lead Futures | September 26, 2013 | (51,048) | (51,273) | (225) | |||||||||||
1 | LME Lead Futures | September 27, 2013 | (51,253) | (51,275) | (22) | |||||||||||
4 | LME Lead Futures | December 16, 2013 | (204,556) | (206,350) | (1,794) | |||||||||||
1 | LME Nickel Futures | July 16, 2013 | (93,299) | (81,928) | 11,371 | |||||||||||
1 | LME Nickel Futures | July 26, 2013 | (92,861) | (81,972) | 10,889 | |||||||||||
3 | LME Nickel Futures | August 2, 2013 | (267,913) | (246,005) | 21,908 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 31 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
1 | LME Nickel Futures | August 9, 2013 | $(91,948) | $(82,031) | $9,917 | |||||||||||
7 | LME Nickel Futures | September 16, 2013 | (627,739) | (575,547) | 52,192 | |||||||||||
1 | LME Nickel Futures | September 27, 2013 | (82,544) | (82,260) | 284 | |||||||||||
1 | LME Nickel Futures | December 16, 2013 | (83,164) | (82,608) | 556 | |||||||||||
1 | LME Zinc Futures | July 5, 2013 | (46,998) | (45,560) | 1,438 | |||||||||||
2 | LME Zinc Futures | July 11, 2013 | (94,450) | (91,260) | 3,190 | |||||||||||
2 | LME Zinc Futures | July 16, 2013 | (94,002) | (91,377) | 2,625 | |||||||||||
1 | LME Zinc Futures | July 24, 2013 | (47,373) | (45,772) | 1,601 | |||||||||||
1 | LME Zinc Futures | July 26, 2013 | (47,998) | (45,793) | 2,205 | |||||||||||
4 | LME Zinc Futures | August 2, 2013 | (185,094) | (183,463) | 1,631 | |||||||||||
3 | LME Zinc Futures | August 9, 2013 | (141,284) | (137,815) | 3,469 | |||||||||||
1 | LME Zinc Futures | August 15, 2013 | (45,973) | (46,000) | (27) | |||||||||||
1 | LME Zinc Futures | August 16, 2013 | (45,911) | (46,011) | (100) | |||||||||||
1 | LME Zinc Futures | August 22, 2013 | (46,621) | (46,073) | 548 | |||||||||||
20 | LME Zinc Futures | September 16, 2013 | (932,705) | (927,000) | 5,705 | |||||||||||
1 | LME Zinc Futures | September 20, 2013 | (45,898) | (46,342) | (444) | |||||||||||
2 | LME Zinc Futures | September 24, 2013 | (91,244) | (92,671) | (1,427) | |||||||||||
3 | LME Zinc Futures | September 26, 2013 | (137,394) | (138,985) | (1,591) | |||||||||||
1 | LME Zinc Futures | September 27, 2013 | (46,273) | (46,325) | (52) | |||||||||||
6 | LME Zinc Futures | December 16, 2013 | (279,053) | (281,325) | (2,272) | |||||||||||
17 | Wheat Futures | December 13, 2013 | (597,793) | (570,775) | 27,018 | |||||||||||
|
|
|
|
|
| |||||||||||
(17,983,599) | (17,217,354) | 766,245 | ||||||||||||||
|
|
|
|
|
| |||||||||||
$71,640,915 | $69,956,941 | $(1,683,974) | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $3,726,133 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 13,000 | $13,920 | $13,773 | $(147) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 11,492,653 | 15,044,588 | 14,964,675 | (79,913) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 4,792,404 | 7,347,684 | 7,285,159 | (62,525) | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | 11,439,000 | 343,966 | 343,286 | (680) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
22,750,158 | 22,606,893 | (143,265) | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (33,000) | $(34,963) | $(34,962) | $1 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (16,812,213) | (22,071,389) | (21,891,317) | 180,072 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
32 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (5,955,136) | $(9,169,966) | $(9,052,682) | $117,284 | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | (288,000) | (37,132) | (37,143) | (11) | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | (27,923,000) | (850,728) | (837,973) | 12,755 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(32,164,178) | (31,854,077) | 310,101 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(9,414,020) | $(9,247,184) | $166,836 | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for forward currency exchange contracts was $190,000 at June 30, 2013.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
RUB - Russian Ruble
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 33 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
GOVERNMENT RELATED OBLIGATIONS - 14.9% | INTEREST RATE | MATURITY DATE | CURRENCY | PRINCIPAL AMOUNT (000’S) | VALUE (Note 3) | |||||||||||||||
Sovereign Debt - 14.9% | ||||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.500% | 04/15/16 | EUR | 927 | $ | 1,268,683 | ||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 983 | 1,440,576 | |||||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 104 | 136,436 | |||||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 319 | 445,750 | |||||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 432 | 588,548 | |||||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 485 | 902,813 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS | 4,782,806 | |||||||||||||||||||
|
| |||||||||||||||||||
U.S. TREASURY OBLIGATIONS - 17.1% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 17.1% | ||||||||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 01/15/22 | USD | 1,600 | 1,610,033 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/17 | USD | 1,600 | 1,680,663 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 1.375% | 07/15/18 | USD | 600 | 706,643 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 1.625% | 01/15/18 | USD | 600 | 728,977 | |||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 2.625% | 07/15/17 | USD | 600 | 763,680 | |||||||||||||||
|
| |||||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 5,489,996 | |||||||||||||||||||
|
|
MONEY MARKET FUNDS - 29.1% | SHARES | VALUE | ||||||
BlackRock Liquidity Funds TempFund Portfolio, Series I, Institutional Shares, 0.046% (b) | 326,747 | $ | 240,010 | |||||
Dreyfus Treasury Cash Management, Class I, 0.010% (b) | 1,306,989 | 960,042 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)(c) | 2,969,529 | 2,969,529 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b) | 3,969,218 | 3,969,218 | ||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (b) | 1,633,736 | 1,200,052 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 9,338,851 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 6.5% | PRINCIPAL AMOUNT (000’S) | |||||||
U.S. Treasury Bill, 0.000%, 12/12/2013 (d) (cost $2,099,348) | $ | 2,099 | 2,099,379 | |||||
|
|
REPURCHASE AGREEMENTS - 8.3% | PRINCIPAL AMOUNT (000’S) | VALUE (Note 3) | ||||||
Barclays Capital, 0.06%, dated 06/28/13, due 07/17/13, repurchase price $1,209,038, collateralized by U.S. Treasury Inflation Indexed Note, 0.125%, due 01/15/22, with a value of $1,173,937 (a). | $ | 1,209 | $ | 1,209,000 | ||||
Morgan Stanley & Co., Inc., 0.13%, dated 06/27/13, due 07/17/13, repurchase price $514,371, collateralized by U.S. Treasury Inflation Indexed Note, 2.625%, due 07/15/17, with a value of $656,109 (a). | 514 | 514,000 | ||||||
Morgan Stanley & Co., Inc., 0.13%, dated 06/28/13, due 07/17/13, repurchase price $453,656, collateralized by U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/17, with a value of $923,133 (a). | 945 | 945,000 | ||||||
|
| |||||||
TOTAL REPURCHASE AGREEMENTS | 2,668,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 75.9% | 24,379,032 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 24.1% (e) | 7,728,198 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 32,107,230 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
(a) | On June 30, 2013, securities valued at $8,157,996 were pledged as collateral for reverse repurchase agreements outstanding. |
(b) | Represents annualized seven-day yield as of June 30, 2013. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
34 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
(c) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR | - Euro |
GBP | - British Pound |
USD | - United States Dollar |
Open reverse repurchase agreements at June 30, 2013:
Counterparty | Trade Date | Rate | Due Date | Principal Amount of Reverse Repurchase Agreement | ||||||||
Barclays Capital | 6/26/2013 | 0.18% | 7/17/2013 | $2,789,500 | ||||||||
Morgan Stanley & Co., Inc. | 6/26/2013 | 0.16% | 7/17/2013 | 5,341,375 | ||||||||
|
| |||||||||||
$8,130,875 | ||||||||||||
|
|
Additional cash held as collateral with Barclays Capital for open reverse repurchase agreements was $90,000 at June 30, 2013.
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Goldman Sachs | Bovespa Index | 8/14/2013 | BRL | 517,363 | $(21,065) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 69,090 | (4,169) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (23,030) | (223) | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | 294,413 | (23,504) | |||||||||||
Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (196,275) | 187 | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 1,406,750 | (183,003) | |||||||||||
Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (703,375) | 31,422 | |||||||||||
Goldman Sachs | H-SHARES Index Futures | 7/30/2013 | HKD | 88,158 | 4,672 | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 968,281 | 7,917 | |||||||||||
Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | (630,233) | (6,578) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 195,800 | (18,875) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (195,200) | 18,275 | |||||||||||
Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | 147,450 | (11,794) | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | 1,337,800 | (156,375) | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (1,258,425) | 77,000 | |||||||||||
Barclays Capital | LME Copper Futures | 12/16/2013 | USD | 1,080,525 | (66,075) | |||||||||||
Barclays Capital | LME Copper Futures | 12/16/2013 | USD | (684,325) | 8,025 | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | 102,000 | (19,779) | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (90,120) | 7,899 | |||||||||||
Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | 50,838 | (4,488) | |||||||||||
Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | (47,700) | 1,350 | |||||||||||
Goldman Sachs | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 322,782 | 12,618 | |||||||||||
Bank of America | Russian Trading System Index Futures | 9/16/2013 | USD | 197,665 | 1,083 | |||||||||||
Barclays Capital | Silver Futures | 9/26/2013 | USD | 217,160 | (22,449) | |||||||||||
Barclays Capital | Silver Futures | 9/26/2013 | USD | (108,580) | 12,080 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | 908,235 | 30,039 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | (241,638) | (8,754) | |||||||||||
Barclays Capital | Soybean Futures | 1/14/2014 | USD | (512,475) | 9,774 | |||||||||||
Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | 647,662 | (12,468) | |||||||||||
Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | (530,597) | 13,698 | |||||||||||
Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | 56,991 | (2,847) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 35 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Goldman Sachs | Swiss Market Index Futures | 9/20/2013 | CHF | 308,582 | $(2,512) | |||||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2013 | USD | 10,707,165 | (202,477) | |||||||||||
Barclays Capital | Wheat Futures | 9/13/2013 | USD | 828,930 | (68,473) | |||||||||||
Barclays Capital | Wheat Futures | 9/13/2013 | USD | (140,950) | 6,151 | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | 35,900 | (2,322) | |||||||||||
Barclays Capital | Wheat Futures | 12/13/2013 | USD | (384,948) | 15,620 | |||||||||||
|
| |||||||||||||||
$(580,420) | ||||||||||||||||
|
|
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,260,000.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
1 | Cocoa Futures | September 13, 2013 | $22,912 | $21,640 | $(1,272) | |||||||||||
13 | Corn Futures | September 13, 2013 | 366,776 | 355,712 | (11,064) | |||||||||||
2 | Cotton No. 2 Futures | December 6, 2013 | 86,446 | 84,010 | (2,436) | |||||||||||
11 | Crude Oil Financial Futures | August 19, 2013 | 1,063,710 | 1,060,840 | (2,870) | |||||||||||
10 | Globex Brent FCL Futures | September 12, 2013 | 1,016,500 | 1,012,600 | (3,900) | |||||||||||
4 | Globex Heat Oil Futures | August 29, 2013 | 486,931 | 481,034 | (5,897) | |||||||||||
3 | Globex RBOB Gas Futures | August 29, 2013 | 353,745 | 340,049 | (13,696) | |||||||||||
6 | ICE Euro Gasoil Futures | September 11, 2013 | 521,280 | 524,400 | 3,120 | |||||||||||
4 | Lean Hogs Futures | August 14, 2013 | 157,096 | 155,920 | (1,176) | |||||||||||
2 | LME Aluminum Futures | July 11, 2013 | 94,516 | 86,713 | (7,803) | |||||||||||
9 | LME Aluminum Futures | July 16, 2013 | 423,627 | 390,769 | (32,858) | |||||||||||
1 | LME Aluminum Futures | July 19, 2013 | 47,911 | 43,456 | (4,455) | |||||||||||
9 | LME Aluminum Futures | August 2, 2013 | 414,890 | 392,705 | (22,185) | |||||||||||
7 | LME Aluminum Futures | August 9, 2013 | 332,515 | 306,059 | (26,456) | |||||||||||
1 | LME Aluminum Futures | August 16, 2013 | 46,002 | 43,812 | (2,190) | |||||||||||
1 | LME Aluminum Futures | August 21, 2013 | 46,677 | 43,875 | (2,802) | |||||||||||
1 | LME Aluminum Futures | August 30, 2013 | 47,484 | 43,989 | (3,495) | |||||||||||
1 | LME Aluminum Futures | September 4, 2013 | 48,377 | 44,054 | (4,323) | |||||||||||
1 | LME Aluminum Futures | September 12, 2013 | 46,877 | 44,155 | (2,722) | |||||||||||
4 | LME Aluminum Futures | September 13, 2013 | 185,706 | 176,671 | (9,035) | |||||||||||
35 | LME Aluminum Futures | September 16, 2013 | 1,699,788 | 1,548,094 | (151,694) | |||||||||||
3 | LME Aluminum Futures | September 20, 2013 | 134,892 | 132,756 | (2,136) | |||||||||||
2 | LME Aluminum Futures | September 24, 2013 | 88,803 | 88,587 | (216) | |||||||||||
2 | LME Aluminum Futures | September 25, 2013 | 88,853 | 88,608 | (245) | |||||||||||
5 | LME Aluminum Futures | September 26, 2013 | 222,008 | 221,572 | (436) | |||||||||||
2 | LME Aluminum Futures | September 27, 2013 | 88,728 | 88,650 | (78) | |||||||||||
24 | LME Aluminum Futures | December 16, 2013 | 1,136,469 | 1,085,250 | (51,219) | |||||||||||
1 | LME Copper Futures | July 11, 2013 | 188,809 | 168,391 | (20,418) | |||||||||||
1 | LME Copper Futures | July 16, 2013 | 181,052 | 168,451 | (12,601) | |||||||||||
1 | LME Copper Futures | July 26, 2013 | 178,762 | 168,515 | (10,247) | |||||||||||
1 | LME Copper Futures | August 2, 2013 | 172,877 | 168,567 | (4,310) | |||||||||||
2 | LME Copper Futures | August 9, 2013 | 367,549 | 337,235 | (30,314) | |||||||||||
1 | LME Copper Futures | August 21, 2013 | 185,218 | 168,706 | (16,512) | |||||||||||
2 | LME Copper Futures | September 4, 2013 | 369,003 | 337,494 | (31,509) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
36 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
2 | LME Copper Futures | September 12, 2013 | $356,003 | $337,544 | $(18,459) | |||||||||||
9 | LME Copper Futures | September 16, 2013 | 1,703,371 | 1,518,975 | (184,396) | |||||||||||
2 | LME Copper Futures | September 20, 2013 | 342,178 | 337,521 | (4,657) | |||||||||||
5 | LME Copper Futures | December 16, 2013 | 883,012 | 845,375 | (37,637) | |||||||||||
1 | LME Lead Futures | July 5, 2013 | 51,377 | 51,033 | (344) | |||||||||||
1 | LME Lead Futures | July 16, 2013 | 51,352 | 51,106 | (246) | |||||||||||
1 | LME Lead Futures | July 26, 2013 | 51,765 | 51,120 | (645) | |||||||||||
1 | LME Lead Futures | September 12, 2013 | 53,377 | 51,269 | (2,108) | |||||||||||
7 | LME Lead Futures | September 16, 2013 | 381,568 | 358,794 | (22,774) | |||||||||||
2 | LME Lead Futures | September 20, 2013 | 101,403 | 102,521 | 1,118 | |||||||||||
1 | LME Lead Futures | September 24, 2013 | 50,030 | 51,269 | 1,239 | |||||||||||
2 | LME Lead Futures | September 25, 2013 | 101,653 | 102,541 | 888 | |||||||||||
6 | LME Lead Futures | December 16, 2013 | 315,727 | 309,525 | (6,202) | |||||||||||
2 | LME Nickel Futures | July 16, 2013 | 189,843 | 163,856 | (25,987) | |||||||||||
1 | LME Nickel Futures | August 2, 2013 | 89,126 | 82,001 | (7,125) | |||||||||||
1 | LME Nickel Futures | September 12, 2013 | 86,162 | 82,191 | (3,971) | |||||||||||
1 | LME Nickel Futures | September 13, 2013 | 85,682 | 82,196 | (3,486) | |||||||||||
5 | LME Nickel Futures | September 16, 2013 | 492,284 | 411,105 | (81,179) | |||||||||||
1 | LME Nickel Futures | September 20, 2013 | 83,177 | 82,224 | (953) | |||||||||||
1 | LME Nickel Futures | September 27, 2013 | 82,802 | 82,260 | (542) | |||||||||||
4 | LME Nickel Futures | December 16, 2013 | 341,439 | 330,432 | (11,007) | |||||||||||
1 | LME Zinc Futures | July 5, 2013 | 46,377 | 45,560 | (817) | |||||||||||
3 | LME Zinc Futures | July 11, 2013 | 142,862 | 136,889 | (5,973) | |||||||||||
2 | LME Zinc Futures | July 16, 2013 | 95,003 | 91,376 | (3,627) | |||||||||||
2 | LME Zinc Futures | July 26, 2013 | 96,228 | 91,586 | (4,642) | |||||||||||
3 | LME Zinc Futures | August 2, 2013 | 139,051 | 137,598 | (1,453) | |||||||||||
2 | LME Zinc Futures | August 9, 2013 | 93,903 | 91,876 | (2,027) | |||||||||||
1 | LME Zinc Futures | September 4, 2013 | 48,602 | 46,207 | (2,395) | |||||||||||
3 | LME Zinc Futures | September 12, 2013 | 139,505 | 138,866 | (639) | |||||||||||
1 | LME Zinc Futures | September 13, 2013 | 46,690 | 46,299 | (391) | |||||||||||
16 | LME Zinc Futures | September 16, 2013 | 775,213 | 741,600 | (33,613) | |||||||||||
1 | LME Zinc Futures | September 25, 2013 | 46,127 | 46,333 | 206 | |||||||||||
3 | LME Zinc Futures | September 26, 2013 | 138,155 | 138,986 | 831 | |||||||||||
1 | LME Zinc Futures | September 27, 2013 | 46,302 | 46,325 | 23 | |||||||||||
13 | LME Zinc Futures | December 16, 2013 | 610,565 | 609,537 | (1,028) | |||||||||||
23 | Natural Gas Swap Futures | August 28, 2013 | 222,300 | 204,642 | (17,658) | |||||||||||
1 | Soybean Oil Futures | December 13, 2013 | 28,481 | 27,071 | (1,410) | |||||||||||
9 | Sugar #11 (World Markets) Futures | September 30, 2013 | 167,877 | 170,553 | 2,676 | |||||||||||
8 | Wheat Futures | September 13, 2013 | 287,089 | 263,100 | (23,989) | |||||||||||
1 | Amsterdam Index Futures | July 19, 2013 | 91,354 | 89,762 | (1,592) | |||||||||||
5 | CAC40 10 Euro Futures | July 19, 2013 | 249,907 | 243,051 | (6,856) | |||||||||||
1 | DAX Index Futures | September 20, 2013 | 268,857 | 259,240 | (9,617) | |||||||||||
4 | E-Mini Russell 2000 Futures | September 20, 2013 | 396,395 | 389,880 | (6,515) | |||||||||||
16 | Euro Stoxx 50 Index | September 20, 2013 | 558,760 | 541,070 | (17,690) | |||||||||||
8 | FTSE 100 Index Futures | September 20, 2013 | 768,365 | 749,707 | (18,658) | |||||||||||
5 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 184,251 | 176,049 | (8,202) | |||||||||||
1 | FTSE/MIB Index Futures | September 20, 2013 | 105,071 | 99,329 | (5,742) | |||||||||||
1 | Hang Seng Index Futures | July 30, 2013 | 128,637 | 133,631 | 4,994 | |||||||||||
5 | H-SHARES Index Futures | July 30, 2013 | 290,687 | 297,961 | 7,274 | |||||||||||
1 | IBEX 35 Index Futures | July 19, 2013 | 105,110 | 99,822 | (5,288) | |||||||||||
2 | KOSPI Index 200 Futures | September 12, 2013 | 219,469 | 211,899 | (7,570) | |||||||||||
52 | S&P 500 E-Mini Futures | September 20, 2013 | 4,263,421 | 4,158,180 | (105,241) | |||||||||||
3 | S&P MID 400 E-Mini Futures | September 20, 2013 | 353,977 | 347,370 | (6,607) | |||||||||||
1 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 134,231 | 131,749 | (2,482) | |||||||||||
13 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 145,849 | 151,502 | 5,653 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 37 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
2 | SPI 200 Index Futures | September 19, 2013 | $219,423 | $218,075 | $(1,348) | |||||||||||
7 | TOPIX Index Futures | September 12, 2013 | 761,863 | 798,245 | 36,382 | |||||||||||
10 | 10-Year Japanese Government Bond Futures | September 9, 2013 | 1,440,895 | 1,437,891 | (3,004) | |||||||||||
6 | Australia 10-Year Bond Futures | September 16, 2013 | 667,387 | 649,642 | (17,745) | |||||||||||
7 | Canadian 10-Year Bond Futures | September 19, 2013 | 906,718 | 874,651 | (32,067) | |||||||||||
26 | Euro - Bund Futures | September 6, 2013 | 4,854,065 | 4,789,447 | (64,618) | |||||||||||
13 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | 1,683,148 | 1,645,312 | (37,836) | |||||||||||
|
|
|
|
|
| |||||||||||
38,774,290 | 37,476,066 | (1,298,224) | ||||||||||||||
|
|
|
|
|
| |||||||||||
Short Contracts: | ||||||||||||||||
2 | LME Aluminum Futures | July 11, 2013 | (94,866) | (86,713) | 8,153 | |||||||||||
9 | LME Aluminum Futures | July 16, 2013 | (427,036) | (390,769) | 36,267 | |||||||||||
1 | LME Aluminum Futures | July 19, 2013 | (47,373) | (43,456) | 3,917 | |||||||||||
9 | LME Aluminum Futures | August 2, 2013 | (414,280) | (392,706) | 21,574 | |||||||||||
7 | LME Aluminum Futures | August 9, 2013 | (332,139) | (306,060) | 26,079 | |||||||||||
1 | LME Aluminum Futures | August 16, 2013 | (45,953) | (43,812) | 2,141 | |||||||||||
1 | LME Aluminum Futures | August 21, 2013 | (46,623) | (43,875) | 2,748 | |||||||||||
1 | LME Aluminum Futures | August 30, 2013 | (47,623) | (43,989) | 3,634 | |||||||||||
1 | LME Aluminum Futures | September 4, 2013 | (48,064) | (44,053) | 4,011 | |||||||||||
1 | LME Aluminum Futures | September 12, 2013 | (47,405) | (44,155) | 3,250 | |||||||||||
4 | LME Aluminum Futures | September 13, 2013 | (186,478) | (176,671) | 9,807 | |||||||||||
35 | LME Aluminum Futures | September 16, 2013 | (1,631,146) | (1,548,094) | 83,052 | |||||||||||
3 | LME Aluminum Futures | September 20, 2013 | (135,228) | (132,757) | 2,471 | |||||||||||
2 | LME Aluminum Futures | September 24, 2013 | (88,873) | (88,587) | 286 | |||||||||||
2 | LME Aluminum Futures | September 25, 2013 | (89,019) | (88,609) | 410 | |||||||||||
5 | LME Aluminum Futures | September 26, 2013 | (222,214) | (221,573) | 641 | |||||||||||
2 | LME Aluminum Futures | September 27, 2013 | (88,859) | (88,650) | 209 | |||||||||||
20 | LME Aluminum Futures | December 16, 2013 | (921,599) | (904,375) | 17,224 | |||||||||||
1 | LME Copper Futures | July 11, 2013 | (188,798) | (168,390) | 20,408 | |||||||||||
1 | LME Copper Futures | July 16, 2013 | (180,896) | (168,450) | 12,446 | |||||||||||
1 | LME Copper Futures | July 26, 2013 | (177,998) | (168,514) | 9,484 | |||||||||||
1 | LME Copper Futures | August 2, 2013 | (171,154) | (168,566) | 2,588 | |||||||||||
2 | LME Copper Futures | August 9, 2013 | (370,947) | (337,236) | 33,711 | |||||||||||
1 | LME Copper Futures | August 21, 2013 | (184,623) | (168,706) | 15,917 | |||||||||||
2 | LME Copper Futures | September 4, 2013 | (368,134) | (337,494) | 30,640 | |||||||||||
2 | LME Copper Futures | September 12, 2013 | (354,228) | (337,544) | 16,684 | |||||||||||
9 | LME Copper Futures | September 16, 2013 | (1,636,048) | (1,518,975) | 117,073 | |||||||||||
2 | LME Copper Futures | September 20, 2013 | (339,869) | (337,521) | 2,348 | |||||||||||
5 | LME Copper Futures | December 16, 2013 | (898,815) | (845,375) | 53,440 | |||||||||||
1 | LME Lead Futures | July 5, 2013 | (51,353) | (51,032) | 321 | |||||||||||
1 | LME Lead Futures | July 16, 2013 | (51,014) | (51,106) | (92) | |||||||||||
1 | LME Lead Futures | July 26, 2013 | (51,623) | (51,119) | 504 | |||||||||||
1 | LME Lead Futures | September 12, 2013 | (52,668) | (51,269) | 1,399 | |||||||||||
7 | LME Lead Futures | September 16, 2013 | (367,126) | (358,794) | 8,332 | |||||||||||
2 | LME Lead Futures | September 20, 2013 | (101,005) | (102,521) | (1,516) | |||||||||||
1 | LME Lead Futures | September 24, 2013 | (49,998) | (51,268) | (1,270) | |||||||||||
2 | LME Lead Futures | September 25, 2013 | (100,135) | (102,542) | (2,407) | |||||||||||
5 | LME Lead Futures | December 16, 2013 | (257,953) | (257,937) | 16 | |||||||||||
2 | LME Nickel Futures | July 16, 2013 | (186,598) | (163,856) | 22,742 | |||||||||||
1 | LME Nickel Futures | August 2, 2013 | (89,176) | (82,001) | 7,175 | |||||||||||
1 | LME Nickel Futures | September 12, 2013 | (86,183) | (82,191) | 3,992 | |||||||||||
1 | LME Nickel Futures | September 13, 2013 | (84,863) | (82,196) | 2,667 | |||||||||||
5 | LME Nickel Futures | September 16, 2013 | (447,550) | (411,105) | 36,445 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
38 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
1 | LME Nickel Futures | September 20, 2013 | $(82,798) | $(82,224) | $574 | |||||||||||
1 | LME Nickel Futures | September 27, 2013 | (82,544) | (82,260) | 284 | |||||||||||
3 | LME Nickel Futures | December 16, 2013 | (256,244) | (247,824) | 8,420 | |||||||||||
1 | LME Zinc Futures | July 5, 2013 | (46,998) | (45,560) | 1,438 | |||||||||||
3 | LME Zinc Futures | July 11, 2013 | (141,675) | (136,890) | 4,785 | |||||||||||
2 | LME Zinc Futures | July 16, 2013 | (94,002) | (91,377) | 2,625 | |||||||||||
2 | LME Zinc Futures | July 26, 2013 | (95,997) | (91,587) | 4,410 | |||||||||||
3 | LME Zinc Futures | August 2, 2013 | (138,820) | (137,597) | 1,223 | |||||||||||
2 | LME Zinc Futures | August 9, 2013 | (94,190) | (91,877) | 2,313 | |||||||||||
1 | LME Zinc Futures | September 4, 2013 | (48,242) | (46,206) | 2,036 | |||||||||||
3 | LME Zinc Futures | September 12, 2013 | (139,248) | (138,866) | 382 | |||||||||||
1 | LME Zinc Futures | September 13, 2013 | (46,073) | (46,298) | (225) | |||||||||||
16 | LME Zinc Futures | September 16, 2013 | (746,405) | (741,600) | 4,805 | |||||||||||
1 | LME Zinc Futures | September 25, 2013 | (45,870) | (46,333) | (463) | |||||||||||
3 | LME Zinc Futures | September 26, 2013 | (137,394) | (138,985) | (1,591) | |||||||||||
1 | LME Zinc Futures | September 27, 2013 | (46,355) | (46,325) | 30 | |||||||||||
9 | LME Zinc Futures | December 16, 2013 | (424,408) | (421,987) | 2,421 | |||||||||||
7 | Wheat Futures | December 13, 2013 | (247,838) | (235,025) | 12,813 | |||||||||||
|
|
|
|
|
| |||||||||||
(14,678,634) | (14,013,433) | 665,201 | ||||||||||||||
|
|
|
|
|
| |||||||||||
$24,095,656 | $23,462,633 | $(633,023) | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $1,807,807 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 11,000 | $11,723 | $11,654 | $(69) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 11,880,333 | 15,611,506 | 15,469,477 | (142,029) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 4,864,255 | 7,486,147 | 7,394,382 | (91,765) | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | 13,773,000 | 417,327 | 413,330 | (3,997) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
23,526,703 | 23,288,843 | (237,860) | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (18,000) | $(19,094) | $(19,070) | $24 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (14,977,487) | (19,662,665) | (19,502,305) | 160,360 | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (5,537,900) | (8,527,489) | (8,418,422) | 109,067 | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | (191,000) | (24,626) | (24,634) | (8) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 39 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | (12,000) | $(121) | $(121) | $— | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | (22,708,000) | (691,843) | (681,470) | 10,373 | ||||||||||||||
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(28,925,838) | (28,646,022) | 279,816 | ||||||||||||||||||
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$(5,399,135) | $(5,357,179) | $41,956 | ||||||||||||||||||
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Money Market Fund held as collateral with broker for forward foreign currency exchange contracts was $60,000 at June 30, 2013.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
RUB - Russian Ruble
The accompanying notes are an integral part of these financial statements. |
40 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
LONG INVESTMENTS - 107.5% | SHARES | VALUE (Note 3) | ||||||
COMMON STOCKS - 44.2% | ||||||||
Belgium - 0.5% | ||||||||
Anheuser-Busch InBev NV | 16,846 | $ | 1,516,700 | |||||
Solvay SA | 16,277 | 2,131,297 | ||||||
UCB SA | 23,206 | 1,245,717 | ||||||
Umicore SA | 36,126 | 1,500,126 | ||||||
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6,393,840 | ||||||||
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| |||||||
Brazil - 1.2% | ||||||||
Banco Bradesco SA ADR (1)(a) | 94,660 | 1,231,526 | ||||||
Banco do Brasil SA (1) | 138,900 | 1,376,332 | ||||||
BM&FBovespa SA (1) | 29,600 | 162,900 | ||||||
BR Malls Participacoes SA (1) | 21,800 | 195,007 | ||||||
Braskem SA ADR (1)†(a) | 22,100 | 328,848 | ||||||
CCR SA (1) | 134,100 | 1,067,944 | ||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (1)(a) | 41,000 | 1,863,860 | ||||||
Cia de Bebidas das Americas ADR (1)(a) | 31,800 | 1,187,730 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1)(a) | 67,200 | 699,552 | ||||||
Cia Energetica de Minas Gerais ADR (1)(a) | 35 | 314 | ||||||
Cia Paranaense de Energia ADR (1) | 11,700 | 145,314 | ||||||
Cielo SA (1) | 96 | 2,407 | ||||||
Duratex SA (1) | 54,600 | 312,231 | ||||||
Embraer SA ADR (1)(a) | 19,700 | 726,733 | ||||||
Fibria Celulose SA ADR (1)†(a) | 32,400 | 359,316 | ||||||
Itau Unibanco Holding SA ADR (1)(a) | 43,340 | 559,953 | ||||||
JBS SA (1) | 103,693 | 298,344 | ||||||
Multiplan Empreendimentos Imobiliarios SA (1) | 1,400 | 32,632 | ||||||
Natura Cosmeticos SA (1) | 35,500 | 776,550 | ||||||
Petroleo Brasileiro SA ADR (1)(a) | 153,400 | 2,248,844 | ||||||
Porto Seguro SA (1) | 96,500 | 1,044,856 | ||||||
Telefonica Brasil SA ADR (1)(a) | 50,500 | 1,152,410 | ||||||
Ultrapar Participacoes SA ADR (1)(a) | 11,400 | 272,916 | ||||||
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16,046,519 | ||||||||
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| |||||||
Chile - 0.1% | ||||||||
Banco Santander Chile ADR (1)(a) | 36 | 880 | ||||||
Enersis SA ADR (1)(a) | 27,300 | 446,628 | ||||||
ENTEL Chile SA (1) | 57,607 | 963,802 | ||||||
SACI Falabella (1) | 14,803 | 160,253 | ||||||
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1,571,563 | ||||||||
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China - 1.3% | ||||||||
Agricultural Bank of China Ltd., H Shares | 225,000 | 91,977 | ||||||
Air China Ltd., H Shares | 538,000 | 385,146 | ||||||
Anta Sports Products Ltd. | 232,000 | 202,276 | ||||||
Bank of China Ltd., H Shares | 5,054,000 | 2,070,447 | ||||||
Bank of Communications Co., Ltd., H Shares | 596,000 | 381,919 | ||||||
China BlueChemical Ltd., H Shares | 700,000 | 425,559 | ||||||
China CITIC Bank Corp. Ltd., H Shares | 1,033,000 | 474,542 | ||||||
China Construction Bank Corp., H Shares | 4,752,000 | 3,339,319 | ||||||
China Gas Holdings Ltd. | 552,000 | 561,068 | ||||||
China Longyuan Power Group Corp., H Shares | 315,000 | 323,867 |
SHARES | VALUE (Note 3) | |||||||
China - 1.3% (continued) | ||||||||
China Merchants Bank Co. Ltd., H Shares | 151,500 | $ | 251,539 | |||||
China Oilfield Services Ltd., H Shares | 336,000 | 653,482 | ||||||
China Petroleum & Chemical Corp. ADR (1)(a) | 4,400 | 402,600 | ||||||
China Railway Construction Corp. Ltd., H Shares | 353,000 | 305,261 | ||||||
China Railway Group Ltd., H Shares | 1,839,000 | 844,932 | ||||||
China Shanshui Cement Group Ltd. | 399,000 | 178,163 | ||||||
China Southern Airlines Co. Ltd., H Shares | 566,000 | 226,872 | ||||||
China Telecom Corp. Ltd., H Shares | 678,000 | 323,359 | ||||||
China Zhongwang Holdings Ltd. † | 186 | 56 | ||||||
Chongqing Rural Commercial Bank, H Shares | 598,000 | 251,364 | ||||||
CNOOC Ltd. ADR (1)(a) | 8,600 | 1,440,328 | ||||||
Country Garden Holdings Co., Ltd. | 83,000 | 43,133 | ||||||
Datang International Power Generation Co. Ltd., H Shares † | 412,000 | 165,736 | ||||||
Dongfeng Motor Group Co., Ltd., H Shares | 388,000 | 514,612 | ||||||
Evergrande Real Estate Group Ltd. † | 295,000 | 108,123 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 1,997,000 | 1,251,584 | ||||||
Intime Department Store Group Co. Ltd. | 261,000 | 252,771 | ||||||
Jiangxi Copper Co. Ltd., H Shares | 184,000 | 310,893 | ||||||
Longfor Properties Co., Ltd. | 73,000 | 108,018 | ||||||
PICC Property & Casualty Co., Ltd., H Shares | 242,000 | 271,344 | ||||||
Sino-Ocean Land Holdings Ltd. | 136,500 | 73,582 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., H Shares | 1,758,000 | 585,099 | ||||||
SOHO China Ltd. | 39,000 | 30,908 | ||||||
Tencent Holdings Ltd. | 2,600 | 101,523 | ||||||
Zhejiang Expressway Co., Ltd., H Shares | 394,000 | 320,792 | ||||||
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17,272,194 | ||||||||
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Denmark - 1.2% | ||||||||
AP Moeller - Maersk A/S, Class B | 184 | 1,316,265 | ||||||
Carlsberg A/S, Class B | 13,791 | 1,233,138 | ||||||
Chr Hansen Holding A/S | 6,272 | 214,577 | ||||||
Coloplast A/S, Class B | 26,961 | 1,509,656 | ||||||
DSV A/S | 36,888 | 898,596 | ||||||
GN Store Nord A/S | 91,950 | 1,736,529 | ||||||
Novo Nordisk A/S, Class B | 21,929 | 3,409,136 | ||||||
Vestas Wind Systems A/S † | 321,866 | 4,549,697 | ||||||
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14,867,594 | ||||||||
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Finland - 0.5% | ||||||||
Fortum OYJ | 44,109 | 826,309 | ||||||
Kone OYJ, Class B | 15,569 | 1,234,925 | ||||||
Konecranes OYJ | 10,553 | 300,367 | ||||||
Metso OYJ | 57,007 | 1,930,993 | ||||||
Neste Oil OYJ | 47,622 | 694,920 | ||||||
Sampo OYJ, A Shares | 717 | 27,920 | ||||||
Stora Enso OYJ, R Shares | 53,365 | 357,346 | ||||||
UPM-Kymmene OYJ | 16,738 | 164,048 | ||||||
Wartsila OYJ | 5,432 | 235,994 | ||||||
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5,772,822 | ||||||||
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The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 41 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Germany - 3.9% | ||||||||
Adidas AG | 4,972 | $ | 537,468 | |||||
Aurubis AG | 51,559 | 2,764,007 | ||||||
Bayer AG | 42,393 | 4,513,610 | ||||||
Beiersdorf AG | 9,265 | 807,065 | ||||||
Bilfinger SE | 31,224 | 2,877,952 | ||||||
Brenntag AG | 15,525 | 2,359,686 | ||||||
Continental AG | 3,650 | 486,578 | ||||||
Deutsche Lufthansa AG † | 220,838 | 4,473,607 | ||||||
Deutsche Post AG | 171,434 | 4,254,657 | ||||||
E.ON SE | 118,271 | 1,938,304 | ||||||
Freenet AG † | 92,865 | 2,024,868 | ||||||
GEA Group AG | 50,273 | 1,780,028 | ||||||
Hannover Rueckversicherung SE | 9,743 | 700,592 | ||||||
HeidelbergCement AG | 42,258 | 2,831,325 | ||||||
Hochtief AG | 12,424 | 809,337 | ||||||
Kabel Deutschland Holding AG | 11,065 | 1,214,952 | ||||||
Lanxess AG | 24,060 | 1,448,946 | ||||||
Leoni AG | 44,146 | 2,189,311 | ||||||
Merck KGaA | 39,991 | 6,081,826 | ||||||
Muenchener Rueckversicherungs AG | 7,130 | 1,309,872 | ||||||
Rheinmetall AG | 18,754 | 872,317 | ||||||
Rhoen Klinikum AG | 25,239 | 582,829 | ||||||
SAP AG | 8,240 | 601,710 | ||||||
Suedzucker AG | 14,353 | 444,360 | ||||||
ThyssenKrupp AG † | 35,979 | 705,271 | ||||||
TUI AG † | 119,458 | 1,417,175 | ||||||
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50,027,653 | ||||||||
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Hong Kong - 0.7% | ||||||||
China Agri-Industries Holdings Ltd. | 354,000 | 154,260 | ||||||
China Mengniu Dairy Co., Ltd. | 388,000 | 1,384,996 | ||||||
China Mobile Ltd. ADR (1)(a) | 42,300 | 2,189,871 | ||||||
China Overseas Land & Investment Ltd. | 226,000 | 588,380 | ||||||
China Resources Land Ltd. | 112,000 | 304,287 | ||||||
China Resources Power Holdings Co. Ltd. | 386,000 | 922,284 | ||||||
COSCO Pacific Ltd. | 152,000 | 195,909 | ||||||
Geely Automobile Holdings Ltd. | 2,150,000 | 923,089 | ||||||
GOME Electrical Appliances Holding Ltd. † | 6,556,000 | 587,579 | ||||||
Shimao Property Holdings Ltd. | 38,000 | 74,751 | ||||||
Shougang Fushan Resources Group Ltd. | 3,198,000 | 1,234,935 | ||||||
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8,560,341 | ||||||||
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India - 0.4% | ||||||||
Dr Reddy’s Laboratories Ltd. ADR (1)†(a) | 9,600 | 363,072 | ||||||
HDFC Bank Ltd. ADR (1)(a) | 47,100 | 1,706,904 | ||||||
ICICI Bank Ltd. ADR (1)(a) | 15,100 | 577,575 | ||||||
Infosys Ltd. ADR (1)(a) | 33,400 | 1,375,746 | ||||||
Tata Motors Ltd. ADR (1)(a) | 33,300 | 780,552 | ||||||
Wipro Ltd. ADR (1)(a) | 21,257 | 154,751 | ||||||
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4,958,600 | ||||||||
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Indonesia - 0.4% | ||||||||
Astra Agro Lestari Tbk PT | 11,000 | 21,757 | ||||||
Bank Negara Indonesia Persero Tbk PT | 740,500 | 318,722 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 349,500 | 271,352 | ||||||
Bumi Resources Tbk PT † | 1,392,500 | 76,472 |
SHARES | VALUE (Note 3) | |||||||
Indonesia - 0.4% (continued) | ||||||||
Indo Tambangraya Megah Tbk PT | 24,500 | $ | 69,217 | |||||
Indocement Tunggal Prakarsa Tbk PT | 153,500 | 376,919 | ||||||
Indofood Sukses Makmur Tbk PT | 1,934,500 | 1,426,932 | ||||||
Kalbe Farma Tbk PT | 3,462,000 | 499,764 | ||||||
Perusahaan Gas Negara Persero Tbk PT | 1,537,000 | 888,525 | ||||||
Telekomunikasi Indonesia Persero Tbk PT ADR (1)(a) | 25,600 | 1,094,144 | ||||||
Unilever Indonesia Tbk PT | 231,500 | 714,972 | ||||||
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5,758,776 | ||||||||
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Ireland - 0.0% (b) | ||||||||
Elan Corp. PLC ADR (1)† | 12,000 | 169,680 | ||||||
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Italy - 1.3% | ||||||||
A2A SpA | 197,792 | 147,037 | ||||||
Banca Popolare dell’Emilia Romagna Scrl † | 146,747 | 852,291 | ||||||
Buzzi Unicem SpA | 28,158 | 422,362 | ||||||
Enel SpA | 1,565,841 | 4,913,562 | ||||||
Eni SpA | 159,460 | 3,272,754 | ||||||
Fiat SpA † | 31,716 | 221,188 | ||||||
Gtech Spa | 18,571 | 464,695 | ||||||
Mediolanum SpA | 88,080 | 546,012 | ||||||
Prysmian SpA | 148,422 | 2,768,799 | ||||||
Telecom Italia SpA | 3,533,168 | 2,462,626 | ||||||
Terna Rete Elettrica Nazionale SpA | 163,802 | 680,657 | ||||||
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16,751,983 | ||||||||
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Japan - 19.1% | ||||||||
Air Water, Inc. | 7,000 | 98,405 | ||||||
Aisin Seiki Co., Ltd. | 14,000 | 534,554 | ||||||
Ajinomoto Co., Inc. | 161,000 | 2,361,751 | ||||||
All Nippon Airways Co., Ltd. | 287,000 | 596,772 | ||||||
Alps Electric Co., Ltd. | 48,400 | 361,025 | ||||||
Amada Co., Ltd. | 149,000 | 980,960 | ||||||
Anritsu Corp. | 88,700 | 1,050,884 | ||||||
Asahi Group Holdings Ltd. | 5,100 | 126,336 | ||||||
Asahi Kasei Corp. | 297,000 | 1,959,644 | ||||||
Astellas Pharma, Inc. | 87,900 | 4,775,089 | ||||||
Azbil Corp. | 62,600 | 1,342,706 | ||||||
Bank of Yokohama Ltd./The | 55,000 | 283,726 | ||||||
Benesse Holdings, Inc. | 5,300 | 191,208 | ||||||
Bridgestone Corp. | 44,600 | 1,520,870 | ||||||
Brother Industries Ltd. | 34,600 | 388,248 | ||||||
Calsonic Kansei Corp. | 327,000 | 1,361,788 | ||||||
Casio Computer Co., Ltd. | 69,600 | 613,019 | ||||||
Central Japan Railway Co. | 21,000 | 2,559,481 | ||||||
Chiba Bank Ltd./The | 158,000 | 1,078,022 | ||||||
Chiyoda Corp. | 231,000 | 2,724,371 | ||||||
Chubu Electric Power Co., Inc. | 235,200 | 3,331,611 | ||||||
Chugai Pharmaceutical Co., Ltd. | 108,500 | 2,245,877 | ||||||
Citizen Holdings Co., Ltd. | 198,500 | 1,107,181 | ||||||
COMSYS Holdings Corp. | 181,300 | 2,314,691 | ||||||
Dai Nippon Printing Co., Ltd. | 107,000 | 976,351 | ||||||
Daicel Corp. | 172,000 | 1,503,274 | ||||||
Daido Steel Co., Ltd. | 20,000 | 100,964 | ||||||
Daihatsu Motor Co., Ltd. | 63,000 | 1,193,267 | ||||||
Daiichi Sankyo Co., Ltd. | 66,200 | 1,103,210 | ||||||
Denki Kagaku Kogyo KK | 150,852 | 546,066 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
42 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Japan - 19.1% (continued) | ||||||||
Denso Corp. | 43,900 | $ | 2,063,879 | |||||
Dentsu, Inc. | 95,200 | 3,293,405 | ||||||
DIC Corp. | 930,000 | 2,321,814 | ||||||
Dowa Holdings Co., Ltd. | 54,000 | 482,538 | ||||||
East Japan Railway Co. | 31,300 | 2,436,159 | ||||||
Ebara Corp. | 599,000 | 3,197,503 | ||||||
Exedy Corp. | 4,500 | 113,016 | ||||||
FamilyMart Co., Ltd. | 8,900 | 379,749 | ||||||
Fuji Electric Co., Ltd. | 761,000 | 2,675,734 | ||||||
Fuji Heavy Industries Ltd. | 309,000 | 7,630,518 | ||||||
Fuji Media Holdings, Inc. | 2,071 | 4,163,252 | ||||||
Fujikura Ltd. | 385,000 | 1,362,815 | ||||||
Fujitsu Ltd. | 804,000 | 3,326,143 | ||||||
Fukuoka Financial Group, Inc. | 693,000 | 2,947,444 | ||||||
Hamamatsu Photonics KK | 4,000 | 144,453 | ||||||
Hino Motors Ltd. | 195,000 | 2,861,415 | ||||||
Hirose Electric Co., Ltd. | 1,800 | 237,078 | ||||||
Hitachi High-Technologies Corp. | 72,700 | 1,753,212 | ||||||
Hitachi Ltd. | 496,000 | 3,178,120 | ||||||
Hokuetsu Kishu Paper Co., Ltd. | 160,000 | 682,273 | ||||||
Hoya Corp. | 24,400 | 501,864 | ||||||
Idemitsu Kosan Co., Ltd. | 3,600 | 275,965 | ||||||
IHI Corp. | 981,000 | 3,711,632 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 63,700 | 845,849 | ||||||
Isuzu Motors Ltd. | 201,000 | 1,374,026 | ||||||
ITOCHU Corp. | 16,000 | 185,022 | ||||||
Itochu Techno-Solutions Corp. | 3,000 | 124,187 | ||||||
J Front Retailing Co., Ltd. | 237,000 | 1,889,996 | ||||||
Japan Petroleum Exploration Co. | 4,800 | 194,353 | ||||||
Japan Tobacco, Inc. | 130,400 | 4,602,801 | ||||||
JGC Corp. | 240,000 | 8,642,991 | ||||||
Joyo Bank Ltd./The | 16,000 | 87,383 | ||||||
JSR Corp. | 8,900 | 180,079 | ||||||
JTEKT Corp. | 230,100 | 2,579,160 | ||||||
Kajima Corp. | 808,000 | 2,678,801 | ||||||
Kaken Pharmaceutical Co., Ltd. | 173 | 2,563 | ||||||
Kandenko Co., Ltd. | 292 | 1,245 | ||||||
Kansai Electric Power Co., Inc./The † | 5,600 | 76,655 | ||||||
Kao Corp. | 48,200 | 1,640,802 | ||||||
KDDI Corp. | 13,200 | 687,370 | ||||||
Keio Corp. | 65,000 | 446,580 | ||||||
Keisei Electric Railway Co., Ltd. | 123,000 | 1,152,342 | ||||||
Keyence Corp. | 2,900 | 923,971 | ||||||
Konami Corp. | 11,700 | 248,382 | ||||||
Konica Minolta, Inc. | 412,500 | 3,104,773 | ||||||
Kurita Water Industries Ltd. | 22,800 | 482,589 | ||||||
KYB Co., Ltd. | 254,000 | 1,266,911 | ||||||
Kyocera Corp. | 12,100 | 1,231,125 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 156,000 | 1,763,324 | ||||||
Lintec Corp. | 24,000 | 433,050 | ||||||
Marubeni Corp. | 26,000 | 173,767 | ||||||
Marui Group Co., Ltd. | 82,900 | 825,818 | ||||||
Miraca Holdings, Inc. | 34,700 | 1,594,567 | ||||||
Mitsubishi Chemical Holdings Corp. | 18,500 | 86,704 | ||||||
Mitsubishi Corp. | 5,800 | 99,085 | ||||||
Mitsubishi Electric Corp. | 166,000 | 1,551,122 | ||||||
Mitsubishi Heavy Industries, Ltd. | 750,000 | 4,169,670 | ||||||
Mitsubishi Materials Corp. | 448,000 | 1,577,222 |
SHARES | VALUE (Note 3) | |||||||
Japan - 19.1% (continued) | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 12,100 | $ | 74,728 | |||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 319,800 | 1,517,303 | ||||||
Mitsui & Co., Ltd. | 87,300 | 1,094,760 | ||||||
Mitsui Engineering & Shipbuilding Co., Ltd. | 666,000 | �� | 972,681 | |||||
Mitsui Mining & Smelting Co., Ltd. | 427,000 | 905,282 | ||||||
Mizuho Financial Group, Inc. | 352,400 | 731,827 | ||||||
MS&AD Insurance Group Holdings | 9,800 | 248,236 | ||||||
Namco Bandai Holdings, Inc. | 202,400 | 3,280,389 | ||||||
NET One Systems Co., Ltd. | 269,600 | 2,077,869 | ||||||
NGK Spark Plug Co., Ltd. | 9,000 | 180,134 | ||||||
NHK Spring Co., Ltd. | 183,800 | 2,122,125 | ||||||
Nippon Express Co., Ltd. | 196,000 | 930,725 | ||||||
Nippon Kayaku Co., Ltd. | 128,000 | 1,594,724 | ||||||
Nippon Meat Packers, Inc. | 40,000 | 611,850 | ||||||
Nippon Paper Industries Co. Ltd. | 10,800 | 154,200 | ||||||
Nippon Shokubai Co., Ltd. | 111,000 | 1,135,400 | ||||||
Nippon Television Holdings, Inc. | 83,200 | 1,520,219 | ||||||
Nissan Chemical Industries Ltd. | 26,700 | 359,918 | ||||||
Nisshin Seifun Group, Inc. | 50,500 | 605,136 | ||||||
Nisshinbo Holdings, Inc. | 80,000 | 569,476 | ||||||
Nitto Denko Corp. | 5,800 | 371,987 | ||||||
North Pacific Bank Ltd. | 34 | �� | 125 | |||||
NSK Ltd. | 39,000 | 372,054 | ||||||
NTT DOCOMO, Inc. | 775 | 1,205,672 | ||||||
Obayashi Corp. | 601,000 | 3,116,245 | ||||||
Odakyu Electric Railway Co., Ltd. | 33,000 | 322,267 | ||||||
Okinawa Electric Power Co., Inc./The | 2 | 76 | ||||||
OKUMA Corp. | 131,000 | 987,446 | ||||||
Omron Corp. | 27,100 | 807,933 | ||||||
Osaka Gas Co., Ltd. | 926,000 | 3,909,949 | ||||||
Otsuka Holdings Co., Ltd. | 33,700 | 1,112,738 | ||||||
Pacific Metals Co., Ltd. | 152,000 | 630,952 | ||||||
Panasonic Corp. † | 230,500 | 1,855,998 | ||||||
Pioneer Corp. † | 223,000 | 433,165 | ||||||
Rengo Co., Ltd. | 49,000 | 235,138 | ||||||
Resona Holdings, Inc. | 876,000 | 4,266,292 | ||||||
Rohm Co., Ltd. | 27,900 | 1,133,054 | ||||||
Ryohin Keikaku Co., Ltd. | 20,500 | 1,680,471 | ||||||
Sankyo Co., Ltd. | 11,100 | 524,513 | ||||||
Santen Pharmaceutical Co., Ltd. | 26,300 | 1,138,127 | ||||||
Sapporo Holdings Ltd. | 121,000 | 444,063 | ||||||
Secom Co., Ltd. | 41,100 | 2,234,632 | ||||||
Sega Sammy Holdings, Inc. | 28,400 | 711,651 | ||||||
Seiko Epson Corp. | 46,600 | 636,464 | ||||||
Sekisui Chemical Co., Ltd. | 240,000 | 2,548,446 | ||||||
Seven & I Holdings Co., Ltd. | 173,800 | 6,365,139 | ||||||
Shimamura Co., Ltd. | 19,600 | 2,379,286 | ||||||
Shimizu Corp. | 266,000 | 1,069,310 | ||||||
Shinko Electric Industries Co., Ltd. | 20,900 | 245,515 | ||||||
Shinsei Bank Ltd. | 107,000 | 242,981 | ||||||
Shionogi & Co., Ltd. | 58,000 | 1,209,497 | ||||||
Shizuoka Bank Ltd./The | 18,000 | 194,144 | ||||||
Softbank Corp. | 14,300 | 832,402 | ||||||
Sojitz Corp. | 476,300 | 790,265 | ||||||
Sony Financial Holdings, Inc. | 11,600 | 182,637 | ||||||
Square Enix Holdings Co., Ltd. | 41,000 | 494,226 | ||||||
Sumco Corp. | 1,300 | 14,240 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 43 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Japan - 19.1% (continued) | ||||||||
Sumitomo Bakelite Co., Ltd. | 154,000 | $ | 574,088 | |||||
Sumitomo Corp. | 2,900 | 36,144 | ||||||
Sumitomo Electric Industries Ltd. | 83,700 | 996,369 | ||||||
Sumitomo Heavy Industries Ltd. | 586,000 | 2,460,689 | ||||||
Sumitomo Metal Mining Co., Ltd. | 196,000 | 2,183,180 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 22,900 | 1,048,203 | ||||||
Sumitomo Osaka Cement Co., Ltd. | 500,000 | 1,590,617 | ||||||
Suzuki Motor Corp. | 116,700 | 2,689,973 | ||||||
T&D Holdings, Inc. | 44,800 | 599,270 | ||||||
Taisei Corp. | 1,419,000 | 5,122,558 | ||||||
Takara Holdings, Inc. | 24 | 209 | ||||||
Takashimaya Co., Ltd. | 320,000 | 3,243,302 | ||||||
Teijin Ltd. | 40,000 | 87,619 | ||||||
THK Co., Ltd. | 23,700 | 497,298 | ||||||
Tobu Railway Co., Ltd. | 19,000 | 97,919 | ||||||
Tokyo Electron Ltd. | 9,800 | 495,483 | ||||||
Tokyo Gas Co., Ltd. | 623,000 | 3,437,125 | ||||||
Tokyo Steel Manufacturing Co., Ltd. | 334,400 | 1,108,431 | ||||||
Tokyu Corp. | 145,000 | 949,424 | ||||||
Toppan Printing Co., Ltd. | 222,000 | 1,540,041 | ||||||
Tosoh Corp. | 805,000 | 2,787,292 | ||||||
Toyo Seikan Kaisha Ltd. | 53,400 | 821,978 | ||||||
Toyo Suisan Kaisha Ltd. | 19,000 | 632,182 | ||||||
Toyota Boshoku Corp. | 51,800 | 744,816 | ||||||
Toyota Tsusho Corp. | 77,300 | 1,987,607 | ||||||
Trend Micro, Inc. | 1,100 | 34,972 | ||||||
Ube Industries Ltd. | 380,000 | 703,026 | ||||||
UNY Group Holdings Co. Ltd. | 202,100 | 1,359,201 | ||||||
Ushio, Inc. | 71,100 | 938,785 | ||||||
USS Co., Ltd. | 10,070 | 1,276,623 | ||||||
West Japan Railway Co. | 48,800 | 2,069,622 | ||||||
Yamaguchi Financial Group, Inc. | 56 | 551 | ||||||
Yamaha Corp. | 87,100 | 997,952 | ||||||
Yamazaki Baking Co., Ltd. | 38,000 | 445,973 | ||||||
Yokohama Rubber Co., Ltd./The | 184,000 | 1,847,589 | ||||||
|
| |||||||
246,787,810 | ||||||||
|
| |||||||
Korea, Republic of - 1.0% | ||||||||
BS Financial Group, Inc. | 11,900 | 149,749 | ||||||
Daelim Industrial Co., Ltd. | 9,423 | 710,288 | ||||||
Daewoo International Corp. | 8,680 | 267,011 | ||||||
DGB Financial Group, Inc. | 6,960 | 94,599 | ||||||
Dongbu Insurance Co., Ltd. | 5,516 | 232,620 | ||||||
Hana Financial Group, Inc. | 1,981 | 57,314 | ||||||
Hanwha Corp. | 7,850 | 200,673 | ||||||
Hanwha Life Insurance Co., Ltd. | 45,280 | 260,633 | ||||||
Hyosung Corp. | 13,816 | 709,996 | ||||||
Hyundai Wia Corp. | 11,364 | 1,679,841 | ||||||
KB Financial Group, Inc. | 2,900 | 86,007 | ||||||
KCC Corp. | 278 | 79,472 | ||||||
Kia Motors Corp. | 5,038 | 272,063 | ||||||
Korea Gas Corp. | 3,240 | 149,052 | ||||||
Korean Air Lines Co., Ltd. † | 2 | 54 | ||||||
KT Corp. ADR (1)(a) | 81,500 | 1,264,880 | ||||||
LG Chem Ltd. | 1,460 | 321,517 | ||||||
LG Corp. | 1,777 | 98,383 | ||||||
LG Display Co., Ltd. ADR (1)†(a) | 79,200 | 940,104 | ||||||
LG Electronics, Inc. | 5,486 | 348,683 |
SHARES | VALUE (Note 3) | |||||||
Korea, Republic of - 1.0% (continued) | ||||||||
LG Uplus Corp. † | 31,000 | $ | 324,124 | |||||
Lotte Chemical Corp. | 44 | 5,465 | ||||||
Mirae Asset Securities Co., Ltd. | 780 | 28,298 | ||||||
NHN Corp. | 3,591 | 911,703 | ||||||
Samsung Card Co., Ltd. | 10,177 | 345,342 | ||||||
Samsung Heavy Industries Co., Ltd. | 9,240 | 287,518 | ||||||
SK Holdings Co., Ltd. | 5,566 | 823,214 | ||||||
SK Telecom Co., Ltd. ADR (1)(a) | 104,200 | 2,118,386 | ||||||
Woori Finance Holdings Co., Ltd. | 42,830 | 393,290 | ||||||
|
| |||||||
13,160,279 | ||||||||
|
| |||||||
Luxembourg - 0.1% | ||||||||
APERAM | 64,935 | 706,640 | ||||||
|
| |||||||
Malaysia - 0.4% | ||||||||
Alliance Financial Group Bhd | 200,700 | 336,237 | ||||||
AMMB Holdings Bhd | 142,400 | 330,100 | ||||||
DiGi.Com Bhd | 132,400 | 199,127 | ||||||
Hong Leong Bank Bhd | 19,200 | 84,215 | ||||||
Malayan Banking Bhd | 171,900 | 563,975 | ||||||
Petronas Chemicals Group Bhd | 52,800 | 110,569 | ||||||
RHB Capital Bhd | 9,600 | 26,153 | ||||||
Tenaga Nasional Bhd | 431,100 | 1,131,177 | ||||||
UMW Holdings Bhd | 370,200 | 1,706,034 | ||||||
|
| |||||||
4,487,587 | ||||||||
|
| |||||||
Mexico - 0.7% | ||||||||
Alfa SAB de CV, Class A (1) | 834,400 | 2,011,712 | ||||||
America Movil SAB de CV, Series L ADR (1)(a) | 29,400 | 639,450 | ||||||
Arca Continental SAB de CV (1) | 163,200 | 1,250,313 | ||||||
Coca-Cola Femsa SAB de CV ADR (1)(a) | 4,800 | 673,392 | ||||||
Fomento Economico Mexicano SAB de CV ADR (1)(a) | 7,700 | 794,563 | ||||||
Grupo Bimbo SAB de CV, Series A (1) | 121,744 | 368,780 | ||||||
Grupo Financiero Banorte SAB de CV O Shares (1) | 259,300 | 1,535,294 | ||||||
Grupo Mexico SAB de CV, Series B (1) | 95,400 | 275,949 | ||||||
Grupo Televisa SAB ADR (1)(a) | 6,000 | 149,040 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1) | 442,400 | 1,429,547 | ||||||
|
| |||||||
9,128,040 | ||||||||
|
| |||||||
Netherlands - 2.0% | ||||||||
Aegon NV | 795,887 | 5,339,654 | ||||||
Akzo Nobel NV | 54,616 | 3,081,766 | ||||||
DE Master Blenders 1753 NV † | 74,683 | 1,195,149 | ||||||
Delta Lloyd NV | 36,028 | 722,002 | ||||||
Heineken NV | 6,764 | 430,539 | ||||||
Koninklijke Ahold NV | 175,532 | 2,610,681 | ||||||
Koninklijke Boskalis Westminster NV | 20,391 | 742,820 | ||||||
Koninklijke DSM NV | 28,333 | 1,847,126 | ||||||
Koninklijke Philips NV | 270,518 | 7,374,622 | ||||||
Nutreco NV | 68,505 | 2,900,933 | ||||||
TNT Express NV | 16,472 | 123,414 | ||||||
|
| |||||||
26,368,706 | ||||||||
|
| |||||||
Norway - 0.7% | ||||||||
DNB ASA | 131,834 | 1,912,471 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
44 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Norway - 0.7% (continued) | ||||||||
Orkla ASA | 41,814 | $ | 342,353 | |||||
Petroleum Geo-Services ASA | 84,298 | 1,029,279 | ||||||
Statoil ASA | 83,614 | 1,727,304 | ||||||
Telenor ASA | 63,725 | 1,265,770 | ||||||
Yara International ASA | 76,552 | 3,052,821 | ||||||
|
| |||||||
9,329,998 | ||||||||
|
| |||||||
Peru - 0.0% (b) | ||||||||
Cia de Minas Buenaventura SAA ADR (1)(a) | 7,400 | 109,224 | ||||||
Credicorp Ltd. (1)(a) | 1,300 | 166,348 | ||||||
|
| |||||||
275,572 | ||||||||
|
| |||||||
Poland - 0.2% | ||||||||
Grupa Lotos SA † | 24,886 | 268,395 | ||||||
Jastrzebska Spolka Weglowa SA | 8,625 | 166,440 | ||||||
PGE SA | 109,777 | 508,538 | ||||||
Powszechny Zaklad Ubezpieczen SA | 15,235 | 1,877,146 | ||||||
Tauron Polska Energia SA | 201,361 | 260,736 | ||||||
|
| |||||||
3,081,255 | ||||||||
|
| |||||||
South Africa - 0.9% | ||||||||
ABSA Group Ltd. | 6,007 | 90,143 | ||||||
African Rainbow Minerals Ltd. | 15,370 | 232,443 | ||||||
Bidvest Group Ltd. | 7,298 | 180,815 | ||||||
FirstRand Ltd. | 569,225 | 1,665,658 | ||||||
Growthpoint Properties Ltd. | 53,458 | 142,648 | ||||||
Harmony Gold Mining Co. Ltd. ADR (1)(a) | 112,700 | 429,387 | ||||||
Imperial Holdings Ltd. | 57,771 | 1,226,371 | ||||||
Investec Ltd. | 107,728 | 696,304 | ||||||
Liberty Holdings Ltd. | 67,496 | 817,596 | ||||||
MMI Holdings Ltd. | 306,819 | 686,990 | ||||||
Naspers Ltd., N Shares | 15,533 | 1,146,517 | ||||||
Nedbank Group Ltd. | 4,640 | 82,369 | ||||||
Redefine Properties Ltd. | 150,124 | 159,278 | ||||||
RMB Holdings Ltd. | 162,799 | 649,760 | ||||||
Sanlam Ltd. | 111,259 | 517,054 | ||||||
Sasol Ltd. ADR (1) (a) | 15,500 | 671,305 | ||||||
Woolworths Holdings Ltd. | 267,808 | 1,745,618 | ||||||
|
| |||||||
11,140,256 | ||||||||
|
| |||||||
Spain - 1.1% | ||||||||
Distribuidora Internacional de Alimentacion SA | 87,514 | 661,105 | ||||||
Enagas SA | 147,613 | 3,648,414 | ||||||
Endesa SA | 69,751 | 1,489,614 | ||||||
Ferrovial SA | 65,478 | 1,045,359 | ||||||
Fomento de Construcciones y Contratas SA | 52,066 | 484,871 | ||||||
Gas Natural SDG SA | 126,146 | 2,541,534 | ||||||
Iberdrola SA | 294,004 | 1,553,695 | ||||||
Inditex SA | 7,671 | 946,182 | ||||||
Mediaset Espana Comunicacion SA † | 1,667 | 14,521 | ||||||
Repsol SA | 4,625 | 97,610 | ||||||
Tecnicas Reunidas SA | 37,455 | 1,720,436 | ||||||
|
| |||||||
14,203,341 | ||||||||
|
| |||||||
Sweden - 2.0% | ||||||||
Boliden AB | 292,279 | 3,622,887 |
SHARES | VALUE (Note 3) | |||||||
Sweden - 2.0% (continued) | ||||||||
Electrolux AB, Series B | 118,871 | $ | 2,999,684 | |||||
Meda AB, A Shares | 90,195 | 1,020,746 | ||||||
NCC AB, B Shares | 37,416 | 851,624 | ||||||
Nordea Bank AB | 120,589 | 1,346,650 | ||||||
Securitas AB, B Shares | 82,131 | 718,009 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 301,219 | 2,875,740 | ||||||
Skanska AB, B Shares | 6,651 | 110,222 | ||||||
SKF AB, B Shares | 12,794 | 299,727 | ||||||
Svenska Cellulosa AB, B Shares | 110,538 | 2,772,153 | ||||||
Swedbank AB, A Shares | 118,184 | 2,706,952 | ||||||
Swedish Match AB | 61,317 | 2,176,418 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 213,810 | 2,424,569 | ||||||
Trelleborg AB, B Shares | 124,587 | 1,868,420 | ||||||
|
| |||||||
25,793,801 | ||||||||
|
| |||||||
Switzerland - 2.3% | ||||||||
ABB Ltd. † | 14,864 | 321,983 | ||||||
Aryzta AG † | 10,611 | 595,631 | ||||||
Baloise Holding AG | 5,909 | 573,913 | ||||||
Dufry AG † | 1,222 | 148,029 | ||||||
Galenica AG | 587 | 368,929 | ||||||
Georg Fischer AG † | 280 | 123,298 | ||||||
Logitech International SA | 24,231 | 166,542 | ||||||
Nestle SA | 23,389 | 1,534,795 | ||||||
Novartis AG | 36,296 | 2,570,866 | ||||||
OC Oerlikon Corp. AG † | 336,829 | 3,990,548 | ||||||
Roche Holding AG | 34,298 | 8,512,672 | ||||||
Schindler Holding AG | 1,154 | 160,565 | ||||||
SGS SA | 179 | 384,299 | ||||||
Sulzer AG | 19,427 | 3,102,163 | ||||||
Swiss Life Holding AG † | 11,811 | 1,917,187 | ||||||
Swiss Re AG † | 26,474 | 1,969,689 | ||||||
Syngenta AG | 6,850 | 2,671,218 | ||||||
UBS AG † | 28,898 | 490,510 | ||||||
|
| |||||||
29,602,837 | ||||||||
|
| |||||||
Taiwan - 1.1% | ||||||||
Asustek Computer, Inc. | 220 | 1,882 | ||||||
AU Optronics Corp. † | 2,665,000 | 946,416 | ||||||
Cheng Shin Rubber Industry Co. Ltd. | 56,000 | 175,926 | ||||||
Chicony Electronics Co. Ltd. | 242,000 | 628,914 | ||||||
China Motor Corp. | 211,000 | 185,645 | ||||||
China Petrochemical Development Corp. | 932 | 473 | ||||||
Delta Electronics, Inc. | 113,000 | 513,187 | ||||||
E.Sun Financial Holding Co., Ltd. | 750 | 456 | ||||||
Eva Airways Corp. † | 352,500 | 200,509 | ||||||
Far EasTone Telecommunications Co. Ltd. | 321,000 | 860,314 | ||||||
Foxconn Technology Co., Ltd. | 550 | 1,324 | ||||||
Fubon Financial Holding Co., Ltd. | 48,297 | 65,602 | ||||||
Hon Hai Precision Industry Co., Ltd. | 357,900 | 874,718 | ||||||
Innolux Corp. † | 2,824,000 | 1,394,470 | ||||||
Kinsus Interconnect Technology Corp. | 88,000 | 332,529 | ||||||
Largan Precision Co. Ltd. | 17,000 | 539,392 | ||||||
Lite-On Technology Corp. | 102,510 | 179,183 | ||||||
MStar Semiconductor, Inc. | 4,000 | 28,676 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 45 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Taiwan - 1.1% (continued) | ||||||||
President Chain Store Corp. | 28,000 | $ | 183,031 | |||||
Realtek Semiconductor Corp. | 450,281 | 1,060,350 | ||||||
SinoPac Financial Holdings Co., Ltd. | 613 | 290 | ||||||
Taiwan Business Bank † | 480 | 142 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 102,250 | 56,488 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)(a) | 228,200 | 4,180,624 | ||||||
Tripod Technology Corp. | 330 | 708 | ||||||
Uni-President Enterprises Corp. | 1,110,237 | 2,158,155 | ||||||
Walsin Lihwa Corp. † | 486,000 | 136,779 | ||||||
Yang Ming Marine Transport Corp. † | 100 | 41 | ||||||
|
| |||||||
14,706,224 | ||||||||
|
| |||||||
Thailand - 0.2% | ||||||||
Advanced Info Service PCL NVDR | 115,700 | 1,045,978 | ||||||
Bangkok Bank PCL NVDR | 1,000 | 6,528 | ||||||
CP ALL PCL NVDR | 935,800 | 1,172,283 | ||||||
Krung Thai Bank PCL NVDR | 18,500 | 12,023 | ||||||
Thai Oil PCL NVDR | 95,900 | 193,368 | ||||||
|
| |||||||
2,430,180 | ||||||||
|
| |||||||
Turkey - 0.4% | ||||||||
Arcelik AS | 34,062 | 224,993 | ||||||
TAV Havalimanlari Holding AS | 90,378 | 528,612 | ||||||
Turk Hava Yollari | 712,591 | 2,768,613 | ||||||
Turkcell Iletisim Hizmetleri AS † | 52,301 | 300,874 | ||||||
Turkiye Halk Bankasi AS | 85,910 | 727,915 | ||||||
Turkiye Is Bankasi, Class C | 218,358 | 644,484 | ||||||
|
| |||||||
5,195,491 | ||||||||
|
| |||||||
United Kingdom - 0.0%(b) | ||||||||
Liberty Global PLC, Class A (1)† | — | 21 | ||||||
Liberty Global PLC, Class C (1)† | — | 24 | ||||||
|
| |||||||
45 | ||||||||
|
|
SHARES | VALUE (Note 3) | |||||||
United States - 0.5% | ||||||||
Clearwire Corp., Class A (1)†(a) | 478,700 | $ | 2,383,926 | |||||
Dell, Inc. (1)(a) | 22,500 | 300,375 | ||||||
Knight Capital Group, Inc., Class A (1)†(a) | 31,100 | 114,897 | ||||||
Southern Copper Corp. (1)(a) | 6,301 | 174,034 | ||||||
Sprint Nextel Corp. (1)†(a) | 511,429 | 3,590,231 | ||||||
|
| |||||||
6,563,463 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 571,113,090 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.4% | ||||||||
Brazil - 0.1% | ||||||||
Banco do Estado do Rio Grande do Sul SA, Series B (1) | 4,900 | 32,742 | ||||||
Cia Energetica de Sao Paulo, B Shares (1) | 41,700 | 361,617 | ||||||
Lojas Americanas SA (1) | 34,549 | 241,542 | ||||||
Usinas Siderurgicas de Minas Gerais SA, Series A (1)† | 287,429 | 964,817 | ||||||
|
| |||||||
1,600,718 | ||||||||
|
| |||||||
Germany - 0.3% | ||||||||
Henkel AG & Co. KGaA | 4,763 | 447,292 | ||||||
Porsche Automobil Holding SE | 25,687 | 1,983,618 | ||||||
ProSiebenSat.1 Media AG † | 32,065 | 1,375,277 | ||||||
Volkswagen AG | 339 | 68,472 | ||||||
|
| |||||||
3,874,659 | ||||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 5,475,377 | |||||||
|
|
CONVERTIBLE PREFERRED STOCKS - 0.7% | ||||||||
United States - 0.7% | ||||||||
2010 Swift Mandatory Common Exchange Security Trust 144A, $11.00 par, 6.000% 12/31/13 †(a)(c) | 36,800 | 507,770 | ||||||
Cliffs Natural Resources, Inc., $25.00 par, 7.000% (1) 02/01/16 †(a) | 6,900 | 122,406 | ||||||
Dominion Resources, Inc., Series B, $50.00 par, 6.000% (1) 07/01/16 †(a) | 11,750 | 588,087 | ||||||
NextEra Energy, Inc., $50.00 par, 5.599% (1) 06/01/15 (a) | 43,975 | 2,480,190 | ||||||
NextEra Energy, Inc., $50.00 par, 5.599% (1) 06/01/15 † | 842,500 | 475,170 | ||||||
PPL Corp., $50.00 par, 9.500% (1) 07/01/13 (a) | 91,050 | 4,771,931 | ||||||
|
| |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 8,945,554 | |||||||
|
|
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | ||||||||||||||
CORPORATE BONDS - 11.0% | ||||||||||||||||
Mexico - 0.6% | ||||||||||||||||
Cemex SAB de CV (a) | 3.250% | 03/15/16 | $ | 6,225 | 7,555,594 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
46 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||||||
United Kingdom - 0.2% | ||||||||||||||||
Virgin Media Finance PLC | 4.875% | 02/15/22 | $ | 3,125 | $ | 2,875,000 | ||||||||||
|
| |||||||||||||||
United States - 10.2% | ||||||||||||||||
American Airlines, Inc. (d) | 10.500% | 10/15/12 | 500 | 598,750 | ||||||||||||
American Airlines, Inc. 144A (a)(c)(d) | 7.500% | 03/15/16 | 2,825 | 3,284,062 | ||||||||||||
Annaly Capital Management, Inc. (a) | 5.000% | 05/15/15 | 425 | 428,719 | ||||||||||||
Archer-Daniels-Midland Co. (a) | 0.875% | 02/15/14 | 600 | 604,875 | ||||||||||||
Chart Industries, Inc. (a) | 2.000% | 08/01/18 | 2,275 | 3,411,078 | ||||||||||||
Clearwire Communications LLC/Clearwire Finance, Inc. 144A (a)(c) | 12.000% | 12/01/17 | 1,904 | 2,203,880 | ||||||||||||
Copano Energy LLC/Copano Energy Finance Corp. | 7.125% | 04/01/21 | 125 | 139,062 | ||||||||||||
General Cable Corp. (a)(e) | 4.500% | 11/15/29 | 3,475 | 3,831,188 | ||||||||||||
Gilead Sciences, Inc., Series D (a) | 1.625% | 05/01/16 | 8,800 | 19,915,500 | ||||||||||||
Health Care REIT, Inc. (a) | 3.000% | 12/01/29 | 5,175 | 6,847,172 | ||||||||||||
L-3 Communications Holdings, Inc. (a) | 3.000% | 08/01/35 | 2,850 | 2,898,094 | ||||||||||||
Microchip Technology, Inc. (a) | 2.125% | 12/15/37 | 11,725 | 17,008,578 | ||||||||||||
Micron Technology, Inc., Series C 144A (a)(c) | 2.375% | 05/01/32 | 4,750 | 7,588,125 | ||||||||||||
Omnicare, Inc. (a) | 3.750% | 12/15/25 | 725 | 1,341,250 | ||||||||||||
PHH Corp. (a) | 6.000% | 06/15/17 | 14,402 | 25,851,590 | ||||||||||||
Plains Exploration & Production Co. (a) | 6.875% | 02/15/23 | 1,025 | 1,096,650 | ||||||||||||
Salesforce.com, Inc. (a) | 0.750% | 01/15/15 | 4,650 | 8,419,406 | ||||||||||||
Smithfield Foods, Inc. (a) | 4.000% | 06/30/13 | 4,625 | 6,100,306 | ||||||||||||
Vishay Intertechnology, Inc. 144A (a)(c) | 2.250% | 11/15/40 | 2,425 | 2,682,656 | ||||||||||||
Xilinx, Inc. (a) | 3.125% | 03/15/37 | 12,425 | 17,146,500 | ||||||||||||
|
| |||||||||||||||
131,397,441 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CORPORATE BONDS | 141,828,035 | |||||||||||||||
|
| |||||||||||||||
CONVERTIBLE BONDS - 16.3% | ||||||||||||||||
Canada - 0.0% (b) | ||||||||||||||||
Petrominerales Ltd. | 3.250% | 06/12/17 | 400 | 310,400 | ||||||||||||
Silver Standard Resources, Inc. 144A (a)(c) | 2.875% | 02/01/33 | 125 | 93,984 | ||||||||||||
|
| |||||||||||||||
404,384 | ||||||||||||||||
|
| |||||||||||||||
India - 0.0% (b) | ||||||||||||||||
Sterlite Industries India Ltd. (a) | 4.000% | 10/30/14 | 225 | 218,672 | ||||||||||||
|
| |||||||||||||||
Malta - 0.1% | ||||||||||||||||
Lufthansa Malta Blues LP, Series JBLU 144A (c) | 0.750% | 04/05/17 | 475 | 725,123 | ||||||||||||
|
| |||||||||||||||
Mexico - 0.1% | ||||||||||||||||
Cemex SAB de CV | 4.875% | 03/15/15 | 1,100 | 1,258,125 | ||||||||||||
|
| |||||||||||||||
Netherlands - 0.2% | ||||||||||||||||
Volkswagen International Finance NV 144A (c) | 5.500% | 11/09/15 | 2,000 | 2,670,205 | ||||||||||||
|
| |||||||||||||||
United States - 15.9% | ||||||||||||||||
Alcoa, Inc. (a) | 5.250% | 03/15/14 | 975 | 1,237,031 | ||||||||||||
Alpha Natural Resources, Inc. (a) | 3.750% | 12/15/17 | 250 | 212,500 | ||||||||||||
Amkor Technology, Inc. (a) | 6.000% | 04/15/14 | 3,475 | 5,014,859 | ||||||||||||
Ares Capital Corp. 144A (a)(c) | 5.750% | 02/01/16 | 1,625 | 1,775,312 | ||||||||||||
Avis Budget Group, Inc. (a) | 3.500% | 10/01/14 | 8,575 | 15,692,250 | ||||||||||||
Cadence Design Systems, Inc. (a) | 2.625% | 06/01/15 | 2,900 | 5,633,250 | ||||||||||||
Ciena Corp., Series WI (a) | 4.000% | 12/15/20 | 1,166 | 1,520,901 | ||||||||||||
Cobalt International Energy, Inc. (a) | 2.625% | 12/01/19 | 825 | 875,016 | ||||||||||||
DDR Corp. (a) | 1.750% | 11/15/40 | 2,070 | 2,414,137 | ||||||||||||
Digital Realty Trust LP 144A (a)(c) | 5.500% | 04/15/29 | 1,650 | 2,561,625 | ||||||||||||
DR Horton, Inc., Series DHI | 2.000% | 05/15/14 | 2,350 | 3,899,531 | ||||||||||||
Electronic Arts, Inc. (a) | 0.750% | 07/15/16 | 1,475 | 1,535,844 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 47 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE | MATURITY DATE | PRINCIPAL AMOUNT (000’s) | VALUE (Note 3) | |||||||||||||
United States - 15.9% (continued) | ||||||||||||||||
Equinix, Inc. (a) | 4.750% | 06/15/16 | $ | 4,450 | $ | 10,104,281 | ||||||||||
Exelixis, Inc. (a) | 4.250% | 08/15/19 | 650 | 628,875 | ||||||||||||
Exterran Holdings, Inc. (a) | 4.250% | 06/15/14 | 1,825 | 2,346,266 | ||||||||||||
Gaylord Entertainment Co. 144A (a)(c) | 3.750% | 10/01/14 | 2,800 | 4,991,000 | ||||||||||||
General Cable Corp. (a) | 0.875% | 11/15/13 | 1,925 | 1,920,187 | ||||||||||||
Hertz Global Holdings, Inc. (a) | 5.250% | 06/01/14 | 5,775 | 17,368,313 | ||||||||||||
Hornbeck Offshore Services, Inc. (a)(e) | 1.625% | 11/15/26 | 2,250 | 2,595,825 | ||||||||||||
Host Hotels & Resorts LP 144A (a)(c) | 2.500% | 10/15/29 | 6,575 | 8,917,344 | ||||||||||||
Jefferies Group LLC (a) | 3.875% | 11/01/29 | — | — | ||||||||||||
Knight Capital Group, Inc. (a) | 3.500% | 03/15/15 | 325 | 324,797 | ||||||||||||
Lennar Corp. 144A (a)(c) | 3.250% | 11/15/21 | 4,800 | 8,058,000 | ||||||||||||
Lennar Corp. 144A (a)(c) | 2.750% | 12/15/20 | 4,800 | 8,217,000 | ||||||||||||
MGIC Investment Corp. (a) | 2.000% | 04/01/20 | 1,750 | 1,981,875 | ||||||||||||
MGM Resorts International (a) | 4.250% | 04/15/15 | 1,150 | 1,287,281 | ||||||||||||
Micron Technology, Inc. (a) | 1.875% | 06/01/14 | 6,075 | 6,910,313 | ||||||||||||
Micron Technology, Inc., Series D 144A (a)(c) | 3.125% | 05/01/32 | 1,375 | 2,193,984 | ||||||||||||
Navistar International Corp. (a) | 3.000% | 10/15/14 | 50 | 48,563 | ||||||||||||
PHH Corp. (a) | 4.000% | 09/01/14 | 600 | 634,500 | ||||||||||||
Radian Group, Inc. (a) | 2.250% | 03/01/19 | 3,950 | 5,038,719 | ||||||||||||
Radian Group, Inc. (a) | 3.000% | 11/15/17 | 3,025 | 3,781,250 | ||||||||||||
Regeneron Pharmaceuticals, Inc. (a) | 1.875% | 10/01/16 | 6,550 | 17,549,906 | ||||||||||||
Salesforce.com, Inc. 144A (a)(c) | 0.250% | 04/01/18 | 3,050 | 2,903,219 | ||||||||||||
SL Green Operating Partnership LP 144A (a)(c) | 3.000% | 10/15/17 | 5,325 | 6,419,953 | ||||||||||||
Standard Pacific Corp. (a) | 1.250% | 08/01/32 | 350 | 446,469 | ||||||||||||
Stillwater Mining Co., Series SWC (a) | 1.750% | 10/15/32 | 200 | 205,125 | ||||||||||||
SunPower Corp. (a) | 4.500% | 03/15/15 | 875 | 1,021,016 | ||||||||||||
Theravance, Inc. (a) | 2.125% | 01/15/23 | 325 | 500,906 | ||||||||||||
Tyson Foods, Inc. | 3.250% | 10/15/13 | 2,175 | 3,315,516 | ||||||||||||
United States Steel Corp. (a) | 4.000% | 05/15/14 | 1,425 | 1,457,063 | ||||||||||||
VeriSign, Inc. (a) | 3.250% | 08/15/37 | 19,969 | 28,093,887 | ||||||||||||
Virgin Media, Inc. (a) | 6.500% | 11/15/16 | 725 | 1,925,781 | ||||||||||||
XM Satellite Radio, Inc. 144A (a)(c) | 7.000% | 12/01/14 | 6,500 | 12,358,125 | ||||||||||||
|
| |||||||||||||||
205,917,595 | ||||||||||||||||
|
| |||||||||||||||
TOTAL CONVERTIBLE BONDS | 211,194,104 | |||||||||||||||
|
|
PURCHASED OPTIONS - 0.0% (b) | CONTRACTS/ NOTIONAL | VALUE (Note 3) | ||||||
Put - Knight Capital Group, Inc., Expires 07/20/2013, Strike $5.00 | 28 | $ | 3,920 | |||||
Put - Knight Capital Group, Inc., Expires 07/20/2013, Strike $4.00 | 76 | 3,040 | ||||||
|
| |||||||
Put - Sprint Nextel Corp., Expires 01/18/2014, Strike $10.00 | 1,432 | 438,192 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS | 445,152 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 33.1% | ||||||||
BlackRock Liquidity Funds TempFund Portfolio, Institutional Shares, 0.046% (f) | 1,855,097 | 1,855,097 | ||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (f) | 7,420,387 | 7,420,387 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (f)(g) | 409,351,758 | 409,351,758 |
CONTRACTS/ NOTIONAL | VALUE (Note 3) | |||||||
MONEY MARKET FUNDS - 33.1% (continued) | ||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (f) | 9,275,817 | $ | 9,275,817 | |||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 427,903,059 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT (000’s) | | ||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||
U.S. Treasury Bill, 0.000%, 12/12/2013 (h) | ||||||||
(Cost $22,592,905) | $ | 22,600 | 22,593,310 | |||||
|
| |||||||
TOTAL INVESTMENTS, BEFORE |
| 1,389,497,681 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
48 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
SECURITIES SOLD SHORT- (59.4)% | ||||||||
COMMON STOCKS - (54.0)% | ||||||||
Belgium - (0.3)% | ||||||||
Belgacom SA | (26,455) | $ | (592,331) | |||||
Colruyt SA | (967) | (50,882) | ||||||
Delhaize Group SA | (43,539) | (2,691,686) | ||||||
Mobistar SA | (8,162) | (169,653) | ||||||
Telenet Group Holding NV | (11,467) | (525,805) | ||||||
|
| |||||||
(4,030,357) | ||||||||
|
| |||||||
Bermuda - (0.2)% | ||||||||
Seadrill Ltd. (cost $2,557,329) | (68,069) | (2,741,574) | ||||||
|
| |||||||
Canada - 0.0% (b) | ||||||||
Petrominerales Ltd. (1) | (14,896) | (84,691) | ||||||
Silver Standard Resources, Inc. (1)† | (2,875) | (18,228) | ||||||
|
| |||||||
(102,919) | ||||||||
|
| |||||||
Denmark - (0.8)% | ||||||||
FLSmidth & Co. A/S | (87,789) | (3,986,952) | ||||||
Novozymes A/S, B Shares | (168,877) | (5,409,167) | ||||||
TDC A/S | (84,507) | (684,233) | ||||||
|
| |||||||
(10,080,352) | ||||||||
|
| |||||||
Finland - (0.7)% | ||||||||
Cargotec OYJ, B Shares | (27,668) | (739,359) | ||||||
Elisa OYJ | (33,872) | (661,381) | ||||||
Nokia OYJ † | (268,789) | (1,002,029) | ||||||
Nokian Renkaat OYJ | (140,620) | (5,722,007) | ||||||
Outotec OYJ | (46,918) | (560,601) | ||||||
Rautaruukki OYJ | (3,404) | (19,574) | ||||||
|
| |||||||
(8,704,951) | ||||||||
|
| |||||||
Germany - (3.8)% | ||||||||
Aixtron SE † | (146,863) | (2,463,990) | ||||||
Allianz SE | (15,348) | (2,240,215) | ||||||
BASF SE | (23,046) | (2,055,555) | ||||||
Bayerische Motoren Werke AG | (27,713) | (2,418,687) | ||||||
Commerzbank AG † | (191,178) | (1,660,811) | ||||||
Daimler AG | (82,214) | (4,963,170) | ||||||
Deutsche Telekom AG | (84,797) | (987,932) | ||||||
Dialog Semiconductor plc † | (26,397) | (329,629) | ||||||
Fraport AG Frankfurt Airport Services Worldwide | (26,057) | (1,574,567) | ||||||
Fresenius Medical Care AG & Co. KGaA | (49,187) | (3,486,435) | ||||||
Hugo Boss AG | (3,077) | (338,344) | ||||||
Infineon Technologies AG | (938,239) | (7,853,923) | ||||||
K+S AG | (126,373) | (4,670,384) | ||||||
Kloeckner & Co. SE † | (19,882) | (212,213) | ||||||
Linde AG | (577) | (107,522) | ||||||
MAN SE | (38,529) | (4,200,449) | ||||||
Metro AG | (31,458) | (994,010) | ||||||
MTU Aero Engines AG | (310) | (29,858) | ||||||
RWE AG | (93,670) | (2,986,016) | ||||||
Salzgitter AG | (2,462) | (81,025) | ||||||
Siemens AG | (3,241) | (328,195) | ||||||
Sky Deutschland AG † | (253,324) | (1,759,547) | ||||||
Software AG | (22,132) | (661,364) | ||||||
Stada Arzneimittel AG | (53,422) | (2,296,131) |
SHARES | VALUE (Note 3) | |||||||
Germany - (3.8)% (continued) | ||||||||
Symrise AG | (11,958) | $ | (483,998) | |||||
Wacker Chemie AG | (2,000) | (149,888) | ||||||
|
| |||||||
(49,333,858) | ||||||||
|
| |||||||
Italy - (1.7)% | ||||||||
Atlantia SpA | (117,240) | (1,912,215) | ||||||
Enel Green Power SpA | (369,990) | (767,868) | ||||||
Fiat Industrial SpA | (56,123) | (624,754) | ||||||
Finmeccanica SpA † | (509,101) | (2,547,015) | ||||||
Luxottica Group SpA | (14,704) | (743,955) | ||||||
Mediaset SpA † | (1,254,504) | (4,725,385) | ||||||
Pirelli & C. SpA | (308,436) | (3,565,565) | ||||||
Saipem SpA | (16,659) | (270,393) | ||||||
Salvatore Ferragamo Italia SpA | (33,424) | (1,039,420) | ||||||
Snam SpA | (4,726) | (21,519) | ||||||
Tenaris SA | (214,694) | (4,299,983) | ||||||
Tod’s SpA | (14,047) | (1,981,880) | ||||||
|
| |||||||
(22,499,952) | ||||||||
|
| |||||||
Japan - (17.1)% | ||||||||
ABC-Mart, Inc. | (46,660) | (1,818,608) | ||||||
Acom Co., Ltd. † | (18,653) | (593,401) | ||||||
Advantest Corp. | (284,996) | (4,695,820) | ||||||
Aeon Co., Ltd. | (41,900) | (550,619) | ||||||
Aeon Credit Service Co., Ltd. | (131,500) | (3,725,055) | ||||||
Aozora Bank Ltd. | (64,230) | (200,595) | ||||||
Asahi Glass Co., Ltd. | (265,000) | (1,717,676) | ||||||
Asics Corp. | (124,300) | (1,958,924) | ||||||
Canon, Inc. | (10,400) | (340,842) | ||||||
Capcom Co., Ltd. | (46,487) | (749,866) | ||||||
Chugoku Electric Power Co., Inc./The | (69,600) | (1,091,343) | ||||||
Credit Saison Co., Ltd. | (25,100) | (630,689) | ||||||
CyberAgent, Inc. | (217) | (415,512) | ||||||
Dai-ichi Life Insurance Co., Ltd./The | (308) | (442,148) | ||||||
Daikin Industries Ltd. | (59,400) | (2,400,936) | ||||||
Dainippon Screen Manufacturing Co., Ltd. † | (290,000) | (1,532,004) | ||||||
Dainippon Sumitomo Pharma Co., Ltd. | (29,900) | (395,440) | ||||||
Daiwa Securities Group, Inc. | (1,000) | (8,375) | ||||||
Dena Co., Ltd. | (79,400) | (1,554,495) | ||||||
Disco Corp. | (40,300) | (2,779,607) | ||||||
Don Quijote Co., Ltd. | (31,700) | (1,538,860) | ||||||
Eisai Co., Ltd. | (11,000) | (448,296) | ||||||
Electric Power Development Co., Ltd. | (58,700) | (1,835,236) | ||||||
FANUC Corp. | (13,300) | (1,924,868) | ||||||
Fast Retailing Co., Ltd. | (10,900) | (3,678,800) | ||||||
FUJIFILM Holdings Corp. | (12,600) | (277,120) | ||||||
Furukawa Electric Co., Ltd. | (423,000) | (978,599) | ||||||
GS Yuasa Corp. | (1,070,853) | (4,456,214) | ||||||
Hankyu Hanshin Holdings, Inc. | (26,000) | (147,981) | ||||||
Hisamitsu Pharmaceutical Co., Inc. | (10,400) | (527,747) | ||||||
Hitachi Chemical Co., Ltd. | (14,500) | (226,996) | ||||||
Hitachi Construction Machinery Co., Ltd. | (106,000) | (2,138,010) | ||||||
Hitachi Metals Ltd. | (385,000) | (4,312,252) | ||||||
Hokkaido Electric Power Co., Inc. † | (84,408) | (1,151,899) | ||||||
Hokuriku Electric Power Co. | (59,224) | (929,305) | ||||||
Honda Motor Co., Ltd. | (21,600) | (802,428) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 49 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Japan - (17.1)% (continued) | ||||||||
Ibiden Co., Ltd. | (48,900) | $ | (761,114) | |||||
Inpex Corp. | (137) | (569,399) | ||||||
JFE Holdings, Inc. | (86,800) | (1,901,611) | ||||||
JX Holdings, Inc. | (14,000) | (67,598) | ||||||
Kakaku.com, Inc. | (138,600) | (4,232,445) | ||||||
Kansai Paint Co., Ltd. | (114,000) | (1,455,228) | ||||||
Kawasaki Heavy Industries Ltd. | (190,868) | (585,773) | ||||||
Kawasaki Kisen Kaisha Ltd. | (650,646) | (1,322,584) | ||||||
Keikyu Corp. | (48,000) | (412,081) | ||||||
Kikkoman Corp. | (50,000) | (831,739) | ||||||
Kobe Steel Ltd. † | (1,192,116) | (1,474,259) | ||||||
Komatsu Ltd. | (239,800) | (5,523,059) | ||||||
K’s Holdings Corp. | (38,504) | (1,219,966) | ||||||
Kubota Corp. | (6,000) | (87,320) | ||||||
Kyushu Electric Power Co., Inc. † | (120,000) | (1,808,539) | ||||||
Lawson, Inc. | (23,700) | (1,808,531) | ||||||
LIXIL Group Corp. | (105,900) | (2,578,741) | ||||||
Mabuchi Motor Co., Ltd. | (700) | (37,340) | ||||||
Makita Corp. | (107,300) | (5,768,694) | ||||||
Mazda Motor Corp. † | (305,941) | (1,209,518) | ||||||
MEIJI Holdings Co., Ltd. | (3,500) | (168,077) | ||||||
Minebea Co., Ltd. | (766,649) | (2,788,931) | ||||||
Mitsubishi Gas Chemical Co., Inc. | (279,000) | (2,045,513) | ||||||
Mitsubishi Motors Corp. † | (289,240) | (395,910) | ||||||
Mitsubishi Tanabe Pharma Corp. | (7,500) | (97,038) | ||||||
Mitsui Chemicals, Inc. | (392,000) | (882,428) | ||||||
Mitsui OSK Lines Ltd. † | (811,000) | (3,151,656) | ||||||
Mori Seiki Co., Ltd. | (177,400) | (2,000,795) | ||||||
Murata Manufacturing Co., Ltd. | (56,573) | (4,303,221) | ||||||
Nabtesco Corp. | (199,179) | (4,135,505) | ||||||
Nachi-Fujikoshi Corp. | (345,000) | (1,547,463) | ||||||
NGK Insulators Ltd. | (248,000) | (3,064,677) | ||||||
Nidec Corp. | (98,900) | (6,919,260) | ||||||
Nikon Corp. | (100,490) | (2,347,848) | ||||||
Nintendo Co., Ltd. | (4,700) | (553,373) | ||||||
Nippon Electric Glass Co., Ltd. | (120,000) | (584,145) | ||||||
Nippon Sheet Glass Co., Ltd. † | (1,090,589) | (1,020,023) | ||||||
Nippon Steel & Sumitomo Metal | (831,071) | (2,239,115) | ||||||
Nippon Yusen KK | (451,000) | (1,193,288) | ||||||
Nissan Motor Co., Ltd. | (456,500) | (4,575,322) | ||||||
Nissin Foods Holdings Co., Ltd. | (4,200) | (169,851) | ||||||
Nitori Holdings Co., Ltd. | (31,400) | (2,527,984) | ||||||
NKSJ Holdings, Inc. | (21,050) | (500,246) | ||||||
NOK Corp. | (42,600) | (675,409) | ||||||
Nomura Research Institute Ltd. | (19,900) | (646,283) | ||||||
NTN Corp. | (1,550,402) | (4,774,621) | ||||||
NTT Data Corp. | (228) | (812,126) | ||||||
Oji Holdings Corp. | (16,000) | (64,493) | ||||||
Oriental Land Co., Ltd. | (3,600) | (557,121) | ||||||
OSAKA Titanium Technologies Co. | (7,800) | (139,101) | ||||||
Rakuten, Inc. | (543,768) | (6,430,048) | ||||||
Ricoh Co., Ltd. | (230,000) | (2,725,574) | ||||||
Rinnai Corp. | (9,600) | (682,613) | ||||||
Saizeriya Co., Ltd. | (5) | (68) | ||||||
Sanrio Co., Ltd. | (14,700) | (681,901) | ||||||
Sawai Pharmaceutical Co., Ltd. | (13,400) | (1,599,873) | ||||||
Seven Bank Ltd. | (72) | (261) | ||||||
Sharp Corp. † | (234,000) | (942,195) |
SHARES | VALUE (Note 3) | |||||||
Japan - (17.1)% (continued) | ||||||||
Shikoku Electric Power Co., Inc. † | (254,700) | $ | (4,599,408) | |||||
Shimadzu Corp. | (62,000) | (499,073) | ||||||
Shimano, Inc. | (8,100) | (689,997) | ||||||
Shiseido Co., Ltd. | (9,300) | (138,373) | ||||||
Showa Denko KK | (7,000) | (9,232) | ||||||
Showa Shell Sekiyu KK | (34,900) | (286,333) | ||||||
SMC Corp. | (23,500) | (4,711,177) | ||||||
Sony Corp. | (136,000) | (2,873,166) | ||||||
Start Today Co., Ltd. | (149,764) | (2,932,617) | ||||||
Sumitomo Chemical Co., Ltd. | (1,561,362) | (4,897,178) | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | (250,000) | (1,166,464) | ||||||
Sumitomo Rubber Industries Ltd. | (28,200) | (460,340) | ||||||
Suruga Bank Ltd. | (60,000) | (1,088,069) | ||||||
Sysmex Corp. | (31,400) | (2,056,557) | ||||||
Taiheiyo Cement Corp. | (1,281,923) | (4,090,870) | ||||||
Taiyo Nippon Sanso Corp. | (355,680) | (2,452,770) | ||||||
Takeda Pharmaceutical Co., Ltd. | (7,700) | (347,224) | ||||||
TDK Corp. | (108,800) | (3,749,265) | ||||||
Terumo Corp. | (62,300) | (3,096,739) | ||||||
Toho Gas Co., Ltd. | (3,000) | (15,514) | ||||||
Toho Titanium Co., Ltd. | (14,600) | (109,693) | ||||||
Tokai Carbon Co., Ltd. | (328,000) | (868,633) | ||||||
Tokio Marine Holdings, Inc. | (4,500) | (141,997) | ||||||
Tokuyama Corp. | (150,068) | (477,177) | ||||||
TonenGeneral Sekiyu KK | (36,000) | (348,354) | ||||||
Toshiba Corp. | (88,000) | (421,835) | ||||||
TOTO Ltd. | (44,000) | (447,394) | ||||||
Toyota Industries Corp. | (7,400) | (302,201) | ||||||
Toyota Motor Corp. | (49,400) | (2,979,702) | ||||||
Tsumura & Co. | (40,600) | (1,196,498) | ||||||
Unicharm Corp. | (22,100) | (1,249,941) | ||||||
Yahoo Japan Corp. | (7,508) | (3,697,052) | ||||||
Yakult Honsha Co., Ltd. | (10,400) | (431,254) | ||||||
Yamada Denki Co., Ltd. | (158,557) | (6,419,858) | ||||||
Yamaha Motor Co., Ltd. | (294,700) | (3,816,948) | ||||||
Yaskawa Electric Corp. | (252,000) | (3,058,426) | ||||||
Yokogawa Electric Corp. | (11,500) | (137,480) | ||||||
Zeon Corp. | (25,000) | (293,058) | ||||||
|
| |||||||
(221,133,328) | ||||||||
|
| |||||||
Luxembourg - (0.6)% | ||||||||
ArcelorMittal | (699,352) | (7,827,373) | ||||||
Oriflame Cosmetics SA SDR | (16,649) | (527,151) | ||||||
|
| |||||||
(8,354,524) | ||||||||
|
| |||||||
Mexico - (0.4)% | ||||||||
Cemex SAB de CV ADR (1) (cost $5,963,244) | (523,457) | (5,538,175) | ||||||
|
| |||||||
Netherlands - (1.9)% | ||||||||
ASML Holding NV | (121,191) | (9,566,914) | ||||||
Fugro NV CVA | (115,200) | (6,259,549) | ||||||
Koninklijke KPN NV | (1,823,659) | (3,783,723) | ||||||
Koninklijke Vopak NV | (4,087) | (241,229) | ||||||
PostNL NV † | (447,426) | (1,246,722) | ||||||
Randstad Holding NV | (29,959) | (1,231,566) | ||||||
Royal Imtech NV † | (31,976) | (235,376) | ||||||
SBM Offshore NV † | (80,910) | (1,364,070) | ||||||
Wolters Kluwer NV | (11,897) | (251,996) | ||||||
|
| |||||||
(24,181,145) | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
50 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
Norway - (0.5)% | ||||||||
Aker Solutions ASA | (23,143) | $ | (315,948) | |||||
Marine Harvest ASA | (1,361,822) | (1,384,301) | ||||||
Norsk Hydro ASA | (452,250) | (1,813,494) | ||||||
Schibsted ASA | (9,735) | (421,654) | ||||||
Storebrand ASA † | (280,024) | (1,351,886) | ||||||
TGS Nopec Geophysical Co. ASA | (17,443) | (506,887) | ||||||
|
| |||||||
(5,794,170) | ||||||||
|
| |||||||
Spain - (0.9)% | ||||||||
Abertis Infraestructuras SA | (107,814) | (1,878,510) | ||||||
Acciona SA | (26,929) | (1,419,758) | ||||||
Acerinox SA | (8,028) | (74,776) | ||||||
ACS Actividades de Construccion y Servicios SA | (12,321) | (325,942) | ||||||
Amadeus IT Holding SA, A Shares | (18,101) | (579,326) | ||||||
Indra Sistemas SA | (13,844) | (178,815) | ||||||
Obrascon Huarte Lain SA | (26,953) | (915,848) | ||||||
Red Electrica Corp. SA | (29,409) | (1,617,123) | ||||||
Telefonica SA | (357,509) | (4,599,497) | ||||||
|
| |||||||
(11,589,595) | ||||||||
|
| |||||||
Sweden - (1.9)% | ||||||||
Alfa Laval AB | (56,065) | (1,145,146) | ||||||
Assa Abloy AB, Class B | (30,367) | (1,186,796) | ||||||
Atlas Copco AB, A Shares | (26,839) | (646,869) | ||||||
Elekta AB, B Shares | (250,246) | (3,803,378) | ||||||
Getinge AB, B Shares | (14,750) | (447,824) | ||||||
Hennes & Mauritz AB, B Shares | (51,914) | (1,708,042) | ||||||
Hexagon AB, B Shares | (132,458) | (3,540,785) | ||||||
Husqvarna AB, B Shares | (337,754) | (1,783,736) | ||||||
Lundin Petroleum AB † | (32,180) | (636,478) | ||||||
Modern Times Group AB, B Shares | (41,092) | (1,753,143) | ||||||
Sandvik AB | (90,558) | (1,081,564) | ||||||
Scania AB, B Shares | (37,947) | (759,203) | ||||||
SSAB AB, A Shares | (721,969) | (4,311,916) | ||||||
Svenska Handelsbanken AB, A Shares | (27,358) | (1,096,083) | ||||||
Volvo AB, B Shares | (51,023) | (680,874) | ||||||
|
| |||||||
(24,581,837) | ||||||||
|
| |||||||
Switzerland - (1.9)% | ||||||||
Adecco SA † | (686) | (39,069) | ||||||
Clariant AG † | (156,807) | (2,210,415) | ||||||
Compagnie Financiere Richemont SA, Class A | (16,068) | (1,417,010) | ||||||
Credit Suisse Group AG † | (216,778) | (5,738,999) | ||||||
Geberit AG | (1,918) | (475,134) | ||||||
Givaudan SA † | (1,076) | (1,386,507) | ||||||
Holcim Ltd. † | (8,006) | (557,268) | ||||||
Julius Baer Group Ltd. † | (44,658) | (1,742,930) | ||||||
Kuehne + Nagel International AG | (27,471) | (3,013,984) | ||||||
Sika AG | (59) | (152,559) | ||||||
Sonova Holding AG † | (39,828) | (4,213,629) | ||||||
Swatch Group AG/The | (5,832) | (3,185,666) | ||||||
Swisscom AG | (571) | (249,967) | ||||||
|
| |||||||
(24,383,137) | ||||||||
|
| |||||||
United Kingdom - (0.3)% | ||||||||
Liberty Global PLC, Class A (1)† | (9,447) | (699,855) | ||||||
Liberty Global PLC, Class C (1)† | (7,054) | (478,920) |
SHARES | VALUE (Note 3) | |||||||
United Kingdom - (0.3)% (continued) | ||||||||
Subsea 7 SA † | (173,265) | $ | (3,048,275) | |||||
|
| |||||||
(4,227,050) | ||||||||
|
| |||||||
United States - (21.0)% | ||||||||
Alcoa, Inc. (1) | (123,557) | (966,216) | ||||||
Alpha Natural Resources, Inc. (1)† | (15,478) | (81,105) | ||||||
Amkor Technology, Inc. (1)† | (998,127) | (4,202,115) | ||||||
Annaly Capital Management, Inc. REIT (1) | (337) | (4,236) | ||||||
Archer-Daniels-Midland Co. (1) | (1,538) | (52,154) | ||||||
Ares Capital Corp. (1) | (20,813) | (357,984) | ||||||
Avis Budget Group, Inc. (1)† | (501,308) | (14,412,605) | ||||||
Boston Properties, Inc. REIT (1) | (675) | (71,192) | ||||||
Cadence Design Systems, Inc. (1)† | (370,859) | (5,370,038) | ||||||
Chart Industries, Inc. (1)† | (29,002) | (2,728,798) | ||||||
Ciena Corp. (1)† | (38,323) | (744,233) | ||||||
Clearwire Corp., Class A (1)† | (6,700) | (33,366) | ||||||
Cliffs Natural Resources, Inc. (1) | (4,699) | (76,359) | ||||||
Cobalt International Energy, Inc. (1)† | (17,224) | (457,642) | ||||||
CVR Energy, Inc. (1) | (1,538) | (72,901) | ||||||
CVR Energy, Inc. (3)†(i) | (3,362) | — | ||||||
DDR Corp. REIT (1) | (87,856) | (1,462,802) | ||||||
Digital Realty Trust, Inc. REIT (1) | (40,157) | (2,449,577) | ||||||
DR Horton, Inc. (1) | (168,677) | (3,589,446) | ||||||
Electronic Arts, Inc. (1)† | (21,378) | (491,053) | ||||||
Equinix, Inc. (1)† | (51,721) | (9,553,903) | ||||||
Exelixis, Inc. (1)† | (99,771) | (452,960) | ||||||
Exterran Holdings, Inc. (1)† | (64,247) | (1,806,626) | ||||||
General Cable Corp. (1) | (83,092) | (2,555,079) | ||||||
Gilead Sciences, Inc. (1)† | (370,136) | (18,954,664) | ||||||
Health Care REIT, Inc. REIT (1) | (94,752) | (6,351,227) | ||||||
Hertz Global Holdings, Inc. (1)† | (696,833) | (17,281,458) | ||||||
Hornbeck Offshore Services, Inc. (1)† | (31,558) | (1,688,353) | ||||||
Host Hotels & Resorts, Inc. REIT (1) | (368,409) | (6,215,060) | ||||||
JetBlue Airways Corp. (1)† | (62,708) | (395,060) | ||||||
L-3 Communications Holdings, Inc. (1) | (9,374) | (803,727) | ||||||
Lennar Corp., Class A (1) | (367,591) | (13,247,980) | ||||||
MGIC Investment Corp. (1)† | (203,884) | (1,237,576) | ||||||
MGM Resorts International (1)† | (27,857) | (411,726) | ||||||
Microchip Technology, Inc. (1) | (417,751) | (15,561,225) | ||||||
Micron Technology, Inc. (1)† | (764,939) | (10,961,576) | ||||||
Navistar International Corp. (1)† | (278) | (7,717) | ||||||
NextEra Energy, Inc. (1) | (22,800) | (1,857,744) | ||||||
Omnicare, Inc. (1) | (24,867) | (1,186,405) | ||||||
PHH Corp. (1)† | (1,022,467) | (20,837,877) | ||||||
PPL Corp. (1) | (158,481) | (4,795,635) | ||||||
Prologis, Inc. REIT (1) | (247) | (9,317) | ||||||
Radian Group, Inc. (1) | (506,740) | (5,888,319) | ||||||
Regeneron Pharmaceuticals, Inc. (1)† | (75,620) | (17,005,426) | ||||||
Ryman Hospitality Properties REIT (1) | (124,970) | (4,875,080) | ||||||
Salesforce.com, Inc. (1)† | (220,774) | (8,429,151) | ||||||
Sirius XM Radio, Inc. (1) | (3,362,635) | (11,264,827) | ||||||
SL Green Realty Corp. REIT (1) | (44,040) | (3,883,888) | ||||||
Smithfield Foods, Inc. (1)† | (44,853) | (1,468,936) | ||||||
Standard Pacific Corp. (1)† | (32,922) | (274,240) | ||||||
Stillwater Mining Co. (1)† | (12,583) | (135,141) | ||||||
SunPower Corp. (1)† | (24,856) | (514,519) | ||||||
Swift Transportation Co. (1)† | (25,797) | (426,682) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 51 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SHARES | VALUE (Note 3) | |||||||
United States - (21.0)% (continued) | ||||||||
Theravance, Inc. (1)† | (10,937) | $ | (421,403) | |||||
Tyson Foods, Inc., Class A (1) | (128,305) | (3,294,872) | ||||||
United States Steel Corp. (1) | (4,024) | (70,541) | ||||||
VeriSign, Inc. (1)† | (517,120) | (23,094,579) | ||||||
Vishay Intertechnology, Inc. (1)† | (164,199) | (2,280,724) | ||||||
Xilinx, Inc. (1) | (349,422) | (13,840,605) | ||||||
|
| |||||||
(270,965,650) | ||||||||
|
| |||||||
TOTAL COMMON STOCKS SOLD SHORT | ||||||||
(proceeds $636,026,683) | (698,242,574) | |||||||
|
| |||||||
PREFERRED STOCKS - (0.2)% | ||||||||
Germany - (0.2)% | ||||||||
Volkswagen AG | ||||||||
(proceeds $2,048,390) | (9,954) | (2,010,546) | ||||||
|
| |||||||
EXCHANGE TRADED FUNDS - (5.2)% | ||||||||
iShares MSCI Emerging Markets Index Fund (1) | (1,421,500) | (54,827,255) | ||||||
SPDR S&P 500 ETF Trust (1) | (1,333) | (213,293) | ||||||
Vanguard FTSE Emerging Markets ETF (1) | (321,703) | (12,475,643) | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT | ||||||||
(proceeds $70,597,629) | (67,516,191) | |||||||
|
| |||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(proceeds $708,672,702) | (767,769,311) | |||||||
|
| |||||||
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 48.1% | ||||||||
(Cost $580,668,096) | 621,728,370 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 51.9% (j) | 670,875,898 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,292,604,268 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | (8,212,521) | (0.6 | %) | ||||
Consumer Staples | 49,311,285 | 3.8 | ||||||
Energy | (2,020,892) | (0.2) | ||||||
Exchange Traded Fund | (67,516,190) | (5.1) | ||||||
Financials | 59,237,274 | 4.7 | ||||||
Health Care | 20,023,629 | 1.5 | ||||||
Industrials | 55,760,152 | 4.3 | ||||||
Information Technology | 1,070,071 | 0.1 | ||||||
Materials | 12,052,114 | 0.9 | ||||||
Telecommunication Services | 32,604,507 | 2.5 | ||||||
Utilities | 18,477,420 | 1.4 | ||||||
Money Market Funds | 427,903,059 | 33.1 | ||||||
Other Investments | 23,038,462 | 1.7 | ||||||
|
|
|
| |||||
Total Investments | 621,728,370 | 48.1 | ||||||
Other Assets in Excess of Liabilities (j) | 670,875,898 | 51.9 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,292,604,268 | 100.0 | % | ||||
|
|
|
|
† | Non income-producing security. |
(a) | 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, 2013, the value of these securities was $362,475,183. In addition, $568,708,631 of cash collateral was pledged. |
(b) | Represents less than 0.05 percent of net assets. |
(c) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Advisor has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(d) | Defaulted security. |
(e) | Represents a step bond. The rate shown reflects the yield at June 30, 2013. |
(f) | Represents annualized seven-day yield as of June 30, 2013. |
(g) | A portion of the security is pledged as collateral to the brokers for forward foreign exchange, futures and swap contracts. |
(h) | The rate shown is the effective yield at the date of purchase. |
(i) | Security fair valued at as of June 30, 2013 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
(j) | Includes appreciation/depreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, 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:
144A - Restricted Security
ADR - American Depositary Receipt
CVA - Dutch Certification
NVDR - Non-Voting Depository Receipt
REIT - Real Estate Investment Trust
SDR - Special Drawing Rights
The accompanying notes are an integral part of these financial statements. | (Continued) |
52 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts sell protection as of June 30, 2013:
Exchange Cleared
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND | CURRENCY | CREDIT SPREAD | NOTIONAL AMOUNT | UPFRONT PREMIUM (RECEIVED) PAID | TERMINATION DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 20 | 5.000% | USD | 4.290% | 46,550,000 | $1,547,022 | 06/20/2018 | $(79,790) | ||||||||||||||||||||
|
|
|
|
Cash held as collateral for CitiBank was $2,246,452 at June 30, 2013.
Open written options contracts outstanding at June 30, 2013:
Call Options Written
SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
3,414 | Clearwire Corp. (Exercise price $3) (1) | J.P. Morgan | September 21, 2013 | $(143,388) | $(665,730) | $(522,342) | ||||||||||||||||
5,306 | Clearwire Corp. (Exercise price $4) (1) | J.P. Morgan | December 21, 2013 | (42,086) | (504,070) | (461,984) | ||||||||||||||||
447 | Dell, Inc. (Exercise price $13) (1) | J.P. Morgan | August 17, 2013 | (32,631) | (27,714) | 4,917 | ||||||||||||||||
76 | Knight Capital Group, Inc. (Exercise price $4) | J.P. Morgan | July 20, 2013 | (104) | (304) | (200) | ||||||||||||||||
28 | Knight Capital Group, Inc. (Exercise price $5) (3) | J.P. Morgan | July 20, 2013 | – | (112) | (112) | ||||||||||||||||
1,432 | Sprint Nextel Corp. (Exercise price $10) (1) | J.P. Morgan | January 18, 2014 | (10,238) | (5,728) | 4,510 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$(228,447) | $(1,203,658) | $(975,211) | ||||||||||||||||||||
|
|
|
|
|
|
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 53 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Bank of America | 10-Year Japanese Government Bond Futures | 9/10/2013 | JPY | (142,231,500) | $(4,767) | |||||||||||
Morgan Stanley and Co., International PLC | Bovespa Index | 8/14/2013 | BRL | (33,807,943) | 1,342,603 | |||||||||||
Bank of America | Canadian 10-Year Bond Futures | 9/19/2013 | CAD | (14,390,131) | 316,851 | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 552,720 | (33,350) | |||||||||||
Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (460,600) | (4,452) | |||||||||||
Barclays Capital | Corn Futures | 9/13/2013 | USD | (1,305,700) | 101,750 | |||||||||||
Deutsche Bank | Corn Futures | 9/13/2013 | USD | 2,399,000 | (210,000) | |||||||||||
Bank of America | Euro - Bobl Futures | 9/6/2013 | EUR | (13,142,458) | (3,854) | |||||||||||
Bank of America | Euro - Bund Futures | 9/6/2013 | EUR | 60,517,490 | (1,055,544) | |||||||||||
Bank of America | Euro - SCHATZ Futures | 9/6/2013 | EUR | (76,934,490) | 23,977 | |||||||||||
Bank of America | Euro-Buxl 30-Year Bond Futures | 9/6/2013 | EUR | (8,299,008) | 96,635 | |||||||||||
Merrill Lynch | Gold 100 OZ Futures | 8/28/2013 | USD | (2,400,740) | 320,450 | |||||||||||
Morgan Stanley and Co., International PLC | H-SHARES Index Futures | 7/30/2013 | HKD | 11,100,825 | 58,548 | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (9,430,644) | (779,259) | |||||||||||
Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 9,430,644 | 593,022 | |||||||||||
Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 2,541,500 | (7,800) | |||||||||||
Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (942,809) | 58,184 | |||||||||||
Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (365,750) | 28,200 | |||||||||||
Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (633,150) | 57,603 | |||||||||||
Bank of America | Long Gilt Futures | 9/26/2013 | GBP | (72,032,018) | 4,433,101 | |||||||||||
Morgan Stanley and Co., International PLC | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 2,342,150 | 89,500 | |||||||||||
Morgan Stanley and Co., International PLC | Russian Trading System Index Futures | 9/16/2013 | USD | 14,100,494 | 209,376 | |||||||||||
Merrill Lynch | Silver Futures | 9/26/2013 | USD | (434,340) | 44,940 | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | 7,243,305 | (294,413) | |||||||||||
Barclays Capital | Soybean Futures | 11/14/2013 | USD | (9,424,245) | 261,231 | |||||||||||
Deutsche Bank | Soybean Futures | 11/14/2013 | USD | 2,209,150 | (80,750) | |||||||||||
Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 750,195 | (39,595) | |||||||||||
Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | (2,329,691) | 109,787 | |||||||||||
Morgan Stanley and Co., International PLC | Swiss Market Index Futures | 9/20/2013 | CHF | (16,203,895) | (29,439) | |||||||||||
Bank of America | U.S. Long Bond Futures | 9/19/2013 | USD | (11,886,793) | 340,074 | |||||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2013 | USD | 205,327,900 | (3,966,962) | |||||||||||
Bank of America | U.S. Treasury 2-Year Note Futures | 9/30/2013 | USD | (85,580,690) | 690 | |||||||||||
Bank of America | U.S. Treasury 5-Year Note Futures | 9/30/2013 | USD | (27,882,495) | 283,808 | |||||||||||
|
| |||||||||||||||
$2,260,145 | ||||||||||||||||
|
|
Money Market is pledged as collateral to brokers for total return swap contracts in the amount of $12,088,453. Additional cash held as collateral for Bank of America and Deutsche Bank was $350,000 and $400,000, respectively.
The accompanying notes are an integral part of these financial statements. | (Continued) |
54 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: | ||||||||||||||||
3 | Cocoa Futures | September 13, 2013 | $69,539 | $64,920 | $(4,619) | |||||||||||
336 | Corn Futures | September 13, 2013 | 9,648,644 | 9,193,800 | (454,844) | |||||||||||
43 | Cotton No. 2 Futures | December 6, 2013 | 1,898,057 | 1,806,215 | (91,842) | |||||||||||
19 | Globex Brent FCL Futures | July 15, 2013 | 1,986,110 | 1,941,040 | (45,070) | |||||||||||
25 | Globex RBOB Gas Futures | July 30, 2013 | 2,953,264 | 2,851,380 | (101,884) | |||||||||||
35 | Lean Hogs Futures | August 14, 2013 | 1,375,248 | 1,364,300 | (10,948) | |||||||||||
33 | LME Aluminum Futures | July 2, 2013 | 1,566,315 | 1,427,043 | (139,272) | |||||||||||
6 | LME Aluminum Futures | July 3, 2013 | 280,697 | 259,537 | (21,160) | |||||||||||
2 | LME Aluminum Futures | July 26, 2013 | 96,737 | 87,090 | (9,647) | |||||||||||
6 | LME Aluminum Futures | July 29, 2013 | 282,110 | 261,501 | (20,609) | |||||||||||
135 | LME Aluminum Futures | August 2, 2013 | 6,232,186 | 5,890,590 | (341,596) | |||||||||||
7 | LME Aluminum Futures | August 8, 2013 | 331,824 | 305,972 | (25,852) | |||||||||||
8 | LME Aluminum Futures | August 9, 2013 | 379,783 | 349,782 | (30,001) | |||||||||||
7 | LME Aluminum Futures | August 16, 2013 | 322,811 | 306,680 | (16,131) | |||||||||||
9 | LME Aluminum Futures | August 20, 2013 | 414,239 | 394,760 | (19,479) | |||||||||||
4 | LME Aluminum Futures | August 21, 2013 | 186,706 | 175,500 | (11,206) | |||||||||||
11 | LME Aluminum Futures | August 22, 2013 | 512,893 | 482,766 | (30,127) | |||||||||||
16 | LME Aluminum Futures | August 30, 2013 | 759,747 | 703,832 | (55,915) | |||||||||||
10 | LME Aluminum Futures | September 3, 2013 | 482,852 | 440,405 | (42,447) | |||||||||||
8 | LME Aluminum Futures | September 4, 2013 | 385,346 | 352,426 | (32,920) | |||||||||||
17 | LME Aluminum Futures | September 5, 2013 | 837,322 | 749,117 | (88,205) | |||||||||||
24 | LME Aluminum Futures | September 6, 2013 | 1,177,985 | 1,057,884 | (120,101) | |||||||||||
2 | LME Aluminum Futures | September 10, 2013 | 96,607 | 88,259 | (8,348) | |||||||||||
26 | LME Aluminum Futures | September 13, 2013 | 1,205,442 | 1,148,362 | (57,080) | |||||||||||
77 | LME Aluminum Futures | September 16, 2013 | 3,757,817 | 3,405,806 | (352,011) | |||||||||||
4 | LME Aluminum Futures | September 19, 2013 | 183,606 | 176,967 | (6,639) | |||||||||||
26 | LME Aluminum Futures | September 20, 2013 | 1,166,442 | 1,150,552 | (15,890) | |||||||||||
3 | LME Aluminum Futures | September 27, 2013 | 133,381 | 132,975 | (406) | |||||||||||
7 | LME Copper Futures | July 2, 2013 | 1,307,261 | 1,177,925 | (129,336) | |||||||||||
7 | LME Copper Futures | July 3, 2013 | 1,299,386 | 1,178,026 | (121,360) | |||||||||||
6 | LME Copper Futures | July 5, 2013 | 1,106,960 | 1,009,913 | (97,047) | |||||||||||
14 | LME Copper Futures | July 16, 2013 | 2,537,758 | 2,358,307 | (179,451) | |||||||||||
15 | LME Copper Futures | July 19, 2013 | 2,617,149 | 2,527,099 | (90,050) | |||||||||||
5 | LME Copper Futures | August 2, 2013 | 866,714 | 842,831 | (23,883) | |||||||||||
2 | LME Copper Futures | August 22, 2013 | 371,950 | 337,413 | (34,537) | |||||||||||
4 | LME Copper Futures | August 23, 2013 | 728,379 | 674,825 | (53,554) | |||||||||||
6 | LME Copper Futures | August 29, 2013 | 1,087,060 | 1,012,367 | (74,693) | |||||||||||
5 | LME Copper Futures | August 30, 2013 | 912,802 | 843,657 | (69,145) | |||||||||||
1 | LME Copper Futures | September 4, 2013 | 184,052 | 168,747 | (15,305) | |||||||||||
5 | LME Copper Futures | September 5, 2013 | 932,656 | 843,750 | (88,906) | |||||||||||
5 | LME Copper Futures | September 6, 2013 | 907,758 | 843,766 | (63,992) | |||||||||||
6 | LME Copper Futures | September 12, 2013 | 1,068,010 | 1,012,632 | (55,378) | |||||||||||
16 | LME Copper Futures | September 13, 2013 | 2,828,333 | 2,700,400 | (127,933) | |||||||||||
10 | LME Copper Futures | September 16, 2013 | 1,845,003 | 1,687,750 | (157,253) | |||||||||||
3 | LME Copper Futures | September 17, 2013 | 530,705 | 506,325 | (24,380) | |||||||||||
5 | LME Copper Futures | September 19, 2013 | 873,914 | 843,812 | (30,102) | |||||||||||
10 | LME Copper Futures | September 20, 2013 | 1,701,416 | 1,687,605 | (13,811) | |||||||||||
7 | LME Nickel Futures | July 8, 2013 | 682,511 | 573,228 | (109,283) | |||||||||||
5 | LME Nickel Futures | July 16, 2013 | 475,958 | 409,641 | (66,317) | |||||||||||
2 | LME Nickel Futures | July 17, 2013 | 186,723 | 163,866 | (22,857) | |||||||||||
5 | LME Nickel Futures | July 19, 2013 | 458,558 | 409,708 | (48,850) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 55 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts: (continued) | ||||||||||||||||
3 | LME Nickel Futures | July 22, 2013 | $274,505 | $245,863 | $(28,642) | |||||||||||
1 | LME Nickel Futures | July 24, 2013 | 91,784 | 81,963 | (9,821) | |||||||||||
3 | LME Nickel Futures | July 29, 2013 | 275,999 | 245,953 | (30,046) | |||||||||||
4 | LME Nickel Futures | August 2, 2013 | 356,506 | 328,007 | (28,499) | |||||||||||
11 | LME Zinc Futures | July 2, 2013 | 515,368 | 500,775 | (14,593) | |||||||||||
10 | LME Zinc Futures | July 3, 2013 | 464,766 | 455,368 | (9,398) | |||||||||||
34 | LME Zinc Futures | July 5, 2013 | 1,602,079 | 1,549,040 | (53,039) | |||||||||||
21 | LME Zinc Futures | August 2, 2013 | 973,468 | 963,181 | (10,287) | |||||||||||
14 | LME Zinc Futures | August 8, 2013 | 665,248 | 642,988 | (22,260) | |||||||||||
25 | LME Zinc Futures | August 9, 2013 | 1,178,498 | 1,148,456 | (30,042) | |||||||||||
5 | LME Zinc Futures | September 3, 2013 | 242,955 | 230,980 | (11,975) | |||||||||||
11 | LME Zinc Futures | September 4, 2013 | 532,592 | 508,269 | (24,323) | |||||||||||
9 | LME Zinc Futures | September 5, 2013 | 441,022 | 415,949 | (25,073) | |||||||||||
14 | LME Zinc Futures | September 6, 2013 | 680,107 | 647,174 | (32,933) | |||||||||||
1 | LME Zinc Futures | September 10, 2013 | 47,025 | 46,268 | (757) | |||||||||||
40 | LME Zinc Futures | September 16, 2013 | 1,947,034 | 1,854,000 | (93,034) | |||||||||||
810 | Natural Gas Swap Futures | July 29, 2013 | 7,841,330 | 7,219,125 | (622,205) | |||||||||||
106 | Soybean Futures | November 14, 2013 | 6,858,244 | 6,635,600 | (222,644) | |||||||||||
144 | Soybean Meal Futures | December 13, 2013 | 5,658,475 | 5,385,600 | (272,875) | |||||||||||
453 | CAC40 10 Euro Futures | July 19, 2013 | 22,619,617 | 22,020,384 | (599,233) | |||||||||||
155 | DAX Index Futures | September 20, 2013 | 40,891,750 | 40,182,179 | (709,571) | |||||||||||
82 | DJIA Mini E-CBOT Futures | September 20, 2013 | 6,213,374 | 6,077,840 | (135,534) | |||||||||||
696 | Euro Stoxx 50 Index | September 20, 2013 | 24,360,482 | 23,536,539 | (823,943) | |||||||||||
143 | FTSE 100 Index Futures | September 20, 2013 | 13,742,549 | 13,401,007 | (341,542) | |||||||||||
382 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 14,027,469 | 13,450,119 | (577,350) | |||||||||||
260 | H-SHARES Index Futures | July 30, 2013 | 14,948,874 | 15,493,969 | 545,095 | |||||||||||
88 | IBEX 35 Index Futures | July 19, 2013 | 9,244,868 | 8,784,357 | (460,511) | |||||||||||
33 | MSCI Taiwan Stock Index Futures | July 30, 2013 | 888,267 | 922,350 | 34,083 | |||||||||||
99 | NASDAQ 100 E-Mini Futures | September 20, 2013 | 5,881,758 | 5,744,475 | (137,283) | |||||||||||
29 | S&P MID 400 E-Mini Futures | September 20, 2013 | 3,422,793 | 3,357,910 | (64,883) | |||||||||||
4 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 536,007 | 526,995 | (9,012) | |||||||||||
302 | TOPIX Index Futures | September 12, 2013 | 33,456,154 | 34,438,597 | 982,443 | |||||||||||
787 | 3-Month Euro Euribor Futures | December 16, 2013 | 255,420,738 | 255,228,897 | (191,841) | |||||||||||
264 | 3-Month Euro Euribor Futures | March 17, 2014 | 85,689,558 | 85,552,378 | (137,180) | |||||||||||
185 | 3-Month Euro Euribor Futures | June 16, 2014 | 59,919,507 | 59,912,346 | (7,161) | |||||||||||
1,705 | 90-Day EURODollar Futures | December 16, 2013 | 424,757,036 | 424,651,562 | (105,474) | |||||||||||
590 | 90-Day EURODollar Futures | March 17, 2014 | 146,914,183 | 146,865,750 | (48,433) | |||||||||||
262 | 90-Day EURODollar Futures | June 16, 2014 | 65,213,778 | 65,179,050 | (34,728) | |||||||||||
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1,323,030,493 | 1,314,814,317 | (8,216,176) | ||||||||||||||
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Short Contracts: | ||||||||||||||||
137 | Coffee ‘C’ Futures | September 18, 2013 | (6,623,471) | (6,185,550) | 437,921 | |||||||||||
65 | Crude Oil Financial Futures | July 19, 2013 | (6,191,240) | (6,276,400) | (85,160) | |||||||||||
3 | Globex Heat Oil Futures | July 30, 2013 | (360,310) | (360,209) | 101 | |||||||||||
54 | Gold 100 OZ Futures | August 28, 2013 | (7,548,193) | (6,607,980) | 940,213 | |||||||||||
25 | ICE Euro Gasoil Futures | July 10, 2013 | (2,148,750) | (2,208,125) | (59,375) | |||||||||||
33 | LME Aluminum Futures | July 2, 2013 | (1,566,122) | (1,427,043) | 139,079 | |||||||||||
6 | LME Aluminum Futures | July 3, 2013 | (280,838) | (259,537) | 21,301 | |||||||||||
2 | LME Aluminum Futures | July 26, 2013 | (96,697) | (87,091) | 9,606 | |||||||||||
6 | LME Aluminum Futures | July 29, 2013 | (282,590) | (261,501) | 21,089 | |||||||||||
135 | LME Aluminum Futures | August 2, 2013 | (6,220,096) | (5,890,590) | 329,506 | |||||||||||
7 | LME Aluminum Futures | August 8, 2013 | (334,239) | (305,972) | 28,267 | |||||||||||
8 | LME Aluminum Futures | August 9, 2013 | (378,062) | (349,782) | 28,280 | |||||||||||
7 | LME Aluminum Futures | August 16, 2013 | (322,639) | (306,681) | 15,958 | |||||||||||
9 | LME Aluminum Futures | August 20, 2013 | (414,021) | (394,760) | 19,261 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
56 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
4 | LME Aluminum Futures | August 21, 2013 | $(186,561) | $(175,500) | $11,061 | |||||||||||
11 | LME Aluminum Futures | August 22, 2013 | (513,222) | (482,765) | 30,457 | |||||||||||
16 | LME Aluminum Futures | August 30, 2013 | (762,774) | (703,832) | 58,942 | |||||||||||
10 | LME Aluminum Futures | September 3, 2013 | (481,234) | (440,405) | 40,829 | |||||||||||
8 | LME Aluminum Futures | September 4, 2013 | (386,987) | (352,426) | 34,561 | |||||||||||
17 | LME Aluminum Futures | September 5, 2013 | (840,623) | (749,118) | 91,505 | |||||||||||
24 | LME Aluminum Futures | September 6, 2013 | (1,175,962) | (1,057,884) | 118,078 | |||||||||||
2 | LME Aluminum Futures | September 10, 2013 | (96,497) | (88,259) | 8,238 | |||||||||||
26 | LME Aluminum Futures | September 13, 2013 | (1,209,784) | (1,148,362) | 61,422 | |||||||||||
223 | LME Aluminum Futures | September 16, 2013 | (10,779,493) | (9,863,568) | 915,925 | |||||||||||
4 | LME Aluminum Futures | September 19, 2013 | (184,072) | (176,967) | 7,105 | |||||||||||
26 | LME Aluminum Futures | September 20, 2013 | (1,169,710) | (1,150,552) | 19,158 | |||||||||||
3 | LME Aluminum Futures | September 27, 2013 | (132,890) | (132,975) | (85) | |||||||||||
7 | LME Copper Futures | July 2, 2013 | (1,307,892) | (1,177,925) | 129,967 | |||||||||||
7 | LME Copper Futures | July 3, 2013 | (1,297,891) | (1,178,027) | 119,864 | |||||||||||
6 | LME Copper Futures | July 5, 2013 | (1,109,608) | (1,009,912) | 99,696 | |||||||||||
14 | LME Copper Futures | July 16, 2013 | (2,532,578) | (2,358,307) | 174,271 | |||||||||||
15 | LME Copper Futures | July 19, 2013 | (2,616,213) | (2,527,099) | 89,114 | |||||||||||
5 | LME Copper Futures | August 2, 2013 | (864,758) | (842,832) | 21,926 | |||||||||||
2 | LME Copper Futures | August 22, 2013 | (372,822) | (337,413) | 35,409 | |||||||||||
4 | LME Copper Futures | August 23, 2013 | (732,719) | (674,825) | 57,894 | |||||||||||
6 | LME Copper Futures | August 29, 2013 | (1,087,436) | (1,012,366) | 75,070 | |||||||||||
5 | LME Copper Futures | August 30, 2013 | (909,273) | (843,656) | 65,617 | |||||||||||
1 | LME Copper Futures | September 4, 2013 | (184,548) | (168,747) | 15,801 | |||||||||||
5 | LME Copper Futures | September 5, 2013 | (932,117) | (843,750) | 88,367 | |||||||||||
5 | LME Copper Futures | September 6, 2013 | (917,882) | (843,766) | 74,116 | |||||||||||
6 | LME Copper Futures | September 12, 2013 | (1,062,684) | (1,012,632) | 50,052 | |||||||||||
16 | LME Copper Futures | September 13, 2013 | (2,838,926) | (2,700,400) | 138,526 | |||||||||||
106 | LME Copper Futures | September 16, 2013 | (19,274,379) | (17,890,150) | 1,384,229 | |||||||||||
3 | LME Copper Futures | September 17, 2013 | (536,052) | (506,325) | 29,727 | |||||||||||
5 | LME Copper Futures | September 19, 2013 | (877,309) | (843,813) | 33,496 | |||||||||||
10 | LME Copper Futures | September 20, 2013 | (1,707,996) | (1,687,605) | 20,391 | |||||||||||
7 | LME Nickel Futures | July 8, 2013 | (677,533) | (573,229) | 104,304 | |||||||||||
5 | LME Nickel Futures | July 16, 2013 | (466,495) | (409,641) | 56,854 | |||||||||||
2 | LME Nickel Futures | July 17, 2013 | (187,662) | (163,866) | 23,796 | |||||||||||
5 | LME Nickel Futures | July 19, 2013 | (463,742) | (409,707) | 54,035 | |||||||||||
3 | LME Nickel Futures | July 22, 2013 | (272,135) | (245,863) | 26,272 | |||||||||||
1 | LME Nickel Futures | July 24, 2013 | (91,551) | (81,963) | 9,588 | |||||||||||
3 | LME Nickel Futures | July 29, 2013 | (274,567) | (245,954) | 28,613 | |||||||||||
4 | LME Nickel Futures | August 2, 2013 | (356,634) | (328,007) | 28,627 | |||||||||||
54 | LME Nickel Futures | September 16, 2013 | (4,985,764) | (4,439,934) | 545,830 | |||||||||||
11 | LME Zinc Futures | July 2, 2013 | (519,752) | (500,775) | 18,977 | |||||||||||
10 | LME Zinc Futures | July 3, 2013 | (464,067) | (455,368) | 8,699 | |||||||||||
34 | LME Zinc Futures | July 5, 2013 | (1,592,757) | (1,549,040) | 43,717 | |||||||||||
21 | LME Zinc Futures | August 2, 2013 | (975,404) | (963,181) | 12,223 | |||||||||||
14 | LME Zinc Futures | August 8, 2013 | (667,078) | (642,989) | 24,089 | |||||||||||
25 | LME Zinc Futures | August 9, 2013 | (1,173,094) | (1,148,457) | 24,637 | |||||||||||
5 | LME Zinc Futures | September 3, 2013 | (242,992) | (230,980) | 12,012 | |||||||||||
11 | LME Zinc Futures | September 4, 2013 | (534,857) | (508,268) | 26,589 | |||||||||||
9 | LME Zinc Futures | September 5, 2013 | (441,998) | (415,948) | 26,050 | |||||||||||
14 | LME Zinc Futures | September 6, 2013 | (675,428) | (647,175) | 28,253 | |||||||||||
1 | LME Zinc Futures | September 10, 2013 | (47,073) | (46,267) | 806 | |||||||||||
113 | LME Zinc Futures | September 16, 2013 | (5,549,984) | (5,237,550) | 312,434 | |||||||||||
122 | Silver Futures | September 26, 2013 | (12,079,482) | (11,876,700) | 202,782 | |||||||||||
244 | Soybean Oil Futures | December 13, 2013 | (6,897,620) | (6,605,568) | 292,052 | |||||||||||
807 | Sugar #11 (World Markets) Futures | September 30, 2013 | (15,028,263) | (15,292,972) | (264,709) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 57 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Short Contracts: (continued) | ||||||||||||||||
379 | Wheat Futures | September 13, 2013 | $(13,007,688) | $(12,464,363) | $543,325 | |||||||||||
323 | Amsterdam Index Futures | July 19, 2013 | (28,903,308) | (28,993,056) | (89,748) | |||||||||||
504 | E-Mini Russell 2000 Futures | September 20, 2013 | (48,877,612) | (49,124,880) | (247,268) | |||||||||||
167 | FTSE/MIB Index Futures | September 20, 2013 | (17,392,865) | (16,587,928) | 804,937 | |||||||||||
157 | KOSPI Index 200 Futures | September 12, 2013 | (17,123,317) | (16,634,123) | 489,194 | |||||||||||
15 | MSCI Singapore Index Futures | July 30, 2013 | (833,545) | (836,450) | (2,905) | |||||||||||
633 | S&P 500 E-Mini Futures | September 20, 2013 | (51,551,466) | (50,617,845) | 933,621 | |||||||||||
1,404 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | (15,752,909) | (16,362,216) | (609,307) | |||||||||||
24 | SPI 200 Index Futures | September 19, 2013 | (2,629,334) | (2,616,893) | 12,441 | |||||||||||
28 | 10-Year Japanese Government Bond Futures | September 9, 2013 | (4,033,588) | (4,026,094) | 7,494 | |||||||||||
85 | 3-Month Euro Euribor Futures | September 15, 2014 | (27,474,933) | (27,509,315) | (34,382) | |||||||||||
86 | 3-Month Euro Euribor Futures | December 15, 2014 | (27,771,720) | (27,811,965) | (40,245) | |||||||||||
87 | 3-Month Euro Euribor Futures | March 16, 2015 | (28,071,281) | (28,112,711) | (41,430) | |||||||||||
81 | 3-Month Euro Euribor Futures | June 15, 2015 | (26,107,191) | (26,150,181) | (42,990) | |||||||||||
132 | 90-Day EURODollar Futures | September 15, 2014 | (32,789,491) | (32,813,550) | (24,059) | |||||||||||
173 | 90-Day EURODollar Futures | December 15, 2014 | (42,943,457) | (42,958,062) | (14,605) | |||||||||||
197 | 90-Day EURODollar Futures | March 16, 2015 | (48,839,337) | (48,843,687) | (4,350) | |||||||||||
192 | 90-Day EURODollar Futures | June 15, 2015 | (47,549,397) | (47,512,800) | 36,597 | |||||||||||
2,892 | 90-Day GBP LIBOR Futures | December 18, 2013 | (547,167,439) | (546,414,511) | 752,928 | |||||||||||
2,179 | 90-Day Sterling Futures | March 19, 2014 | (412,106,892) | (411,451,722) | 655,170 | |||||||||||
1,325 | 90-Day Sterling Futures | June 18, 2014 | (250,307,276) | (250,068,416) | 238,860 | |||||||||||
246 | 90-Day Sterling Futures | September 17, 2014 | (46,439,807) | (46,399,735) | 40,072 | |||||||||||
231 | 90-Day Sterling Futures | December 17, 2014 | (43,569,324) | (43,539,741) | 29,583 | |||||||||||
220 | 90-Day Sterling Futures | March 18, 2015 | (41,449,050) | (41,428,776) | 20,274 | |||||||||||
215 | 90-Day Sterling Futures | June 17, 2015 | (40,471,114) | (40,440,206) | 30,908 | |||||||||||
1,172 | Australia 10-Year Bond Futures | September 16, 2013 | (129,285,789) | (126,896,631) | 2,389,158 | |||||||||||
284 | Australia 3-Year Bond Futures | September 16, 2013 | (28,306,976) | (28,364,554) | (57,578) | |||||||||||
121 | Canadian 3-Month Bank Acceptance Futures | December 16, 2013 | (28,380,687) | (28,383,284) | (2,597) | |||||||||||
291 | Canadian 3-Month Bank Acceptance Futures | March 17, 2014 | (68,216,706) | (68,191,452) | 25,254 | |||||||||||
211 | Euro CHF 3-Month LIFFE Futures | December 16, 2013 | (55,836,559) | (55,829,945) | 6,614 | |||||||||||
195 | Euro CHF 3-Month LIFFE Futures | March 17, 2014 | (51,589,568) | (51,586,073) | 3,495 | |||||||||||
71 | Mini Japanese 10-Year Treasury Bond | September 10, 2013 | (102,220,410) | (102,154,668) | 65,742 | |||||||||||
10 | U.S. Treasury 2-Year Note Futures | September 30, 2013 | (2,203,577) | (2,200,000) | 3,577 | |||||||||||
7 | U.S. Treasury 5-Year Note Futures | September 30, 2013 | (862,081) | (847,328) | 14,753 | |||||||||||
|
|
|
|
|
| |||||||||||
(2,476,581,786) | (2,463,095,947) | 13,485,839 | ||||||||||||||
|
|
|
|
|
| |||||||||||
$(1,153,551,293) | $(1,148,281,630) | $5,269,663 | ||||||||||||||
|
|
|
|
|
|
Cash held as collateral with broker for futures contracts was $39,516,885 at June 30, 2013.
The accompanying notes are an integral part of these financial statements. | (Continued) |
58 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | 83,685,000 | $78,157,557 | $76,088,822 | $(2,068,735) | ||||||||||||||
Brazilian Real, Expiring 09/18/13* | The Royal Bank of Scotland | BRL | 58,600,000 | 26,281,147 | 25,839,348 | (441,799) | ||||||||||||||
Canadian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | CAD | 95,506,000 | 92,239,695 | 90,635,961 | (1,603,734) | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | 102,203,000 | 108,629,527 | 108,280,459 | (349,068) | ||||||||||||||
Chilean Peso, Expiring 09/23/13* | The Royal Bank of Scotland | CLP | 732,092,000 | 1,440,650 | 1,421,856 | (18,794) | ||||||||||||||
Columbian Peso, Expiring 09/18/13* | The Royal Bank of Scotland | COP | 486,000,000 | 253,702 | 250,899 | (2,803) | ||||||||||||||
Czech Republic Koruna, Expiring 09/18/13 | The Royal Bank of Scotland | CZK | 489,000,000 | 25,130,216 | 24,477,388 | (652,828) | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | 150,861,000 | 198,063,504 | 196,437,313 | (1,626,191) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | 44,223,000 | 68,098,574 | 67,225,459 | (873,115) | ||||||||||||||
Hungarian Forint, Expiring 09/18/13 | The Royal Bank of Scotland | HUF | 15,042,400,000 | 66,166,629 | 65,862,562 | (304,067) | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | 60,175,000 | 16,530,732 | 16,513,358 | (17,374) | ||||||||||||||
Indian Rupee, Expiring 09/18/13* | The Royal Bank of Scotland | INR | 274,698,000 | 4,741,609 | 4,559,780 | (181,829) | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | 14,122,608,000 | 144,114,753 | 142,446,655 | (1,668,098) | ||||||||||||||
Korean Won, Expiring 09/23/13* | The Royal Bank of Scotland | KRW | 42,552,211,000 | 37,693,207 | 37,118,719 | (574,488) | ||||||||||||||
Mexican Peso, Expiring 09/18/13 | The Royal Bank of Scotland | MXN | 455,634,000 | 35,269,160 | 34,914,805 | (354,355) | ||||||||||||||
Malaysian Ringgit, Expiring 09/18/13* | The Royal Bank of Scotland | MYR | 218,420,000 | 69,477,625 | 68,774,694 | (702,931) | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | 524,532,000 | 89,898,582 | 86,106,984 | (3,791,598) | ||||||||||||||
New Zealand Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | NZD | 172,391,000 | 136,997,540 | 132,837,245 | (4,160,295) | ||||||||||||||
Poland Zloty, Expiring 09/18/13 | The Royal Bank of Scotland | PLN | 254,189,000 | 77,956,852 | 76,125,058 | (1,831,794) | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | 411,409,000 | 12,781,028 | 12,346,443 | (434,585) | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | 395,708,000 | 60,616,908 | 58,901,839 | (1,715,069) | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | 33,100,000 | 26,253,241 | 26,118,334 | (134,907) | ||||||||||||||
Thailand Baht, Expiring 09/18/13 | The Royal Bank of Scotland | THB | 4,317,000 | 137,702 | 138,617 | 915 | ||||||||||||||
Turkish Lira, Expiring 09/18/13 | The Royal Bank of Scotland | TRY | 64,000,000 | 32,789,457 | 32,773,940 | (15,517) | ||||||||||||||
Taiwanese Dollar, Expiring 09/18/13* | The Royal Bank of Scotland | TWD | 534,363,000 | 17,881,830 | 17,844,817 | (37,013) | ||||||||||||||
South African Rand, Expiring 09/18/13 | The Royal Bank of Scotland | ZAR | 384,000,000 | 37,757,017 | 38,401,123 | 644,106 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
1,465,358,444 | 1,442,442,478 | (22,915,966) | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 59 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | AUD | (167,379,000) | $(158,865,389) | $(152,185,828) | $6,679,561 | ||||||||||||||
Brazilian Real, Expiring 09/18/13* | The Royal Bank of Scotland | BRL | (112,911,000) | (51,929,849) | (49,787,485) | 2,142,364 | ||||||||||||||
Canadian Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | CAD | (151,721,000) | (145,992,771) | (143,984,447) | 2,008,324 | ||||||||||||||
Swiss Franc, Expiring 09/18/13 | The Royal Bank of Scotland | CHF | (122,754,000) | (130,328,780) | (130,053,516) | 275,264 | ||||||||||||||
Chilean Peso, Expiring 09/23/13* | The Royal Bank of Scotland | CLP | (816,464,000) | (1,602,093) | (1,585,722) | 16,371 | ||||||||||||||
Columbian Peso, Expiring 09/18/13* | The Royal Bank of Scotland | COP | (2,300,000,000) | (1,194,482) | (1,187,384) | 7,098 | ||||||||||||||
Czech Republic Koruna, Expiring 09/18/13 | The Royal Bank of Scotland | CZK | (487,946,000) | (24,859,833) | (24,424,629) | 435,204 | ||||||||||||||
Danish Krone, Expiring 09/18/13 | The Royal Bank of Scotland | DKK | (7,867,000) | (1,402,356) | (1,374,106) | 28,250 | ||||||||||||||
Euro, Expiring 09/06/13 | The Royal Bank of Scotland | EUR | (933,538) | (1,218,712) | (1,215,500) | 3,212 | ||||||||||||||
Euro, Expiring 09/18/13 | The Royal Bank of Scotland | EUR | (51,087,391) | (67,087,737) | (66,521,300) | 566,437 | ||||||||||||||
Euro, Expiring 04/07/14 | The Royal Bank of Scotland | EUR | (3,562) | (4,704) | (4,644) | 60 | ||||||||||||||
Euro, Expiring 06/09/14 | The Royal Bank of Scotland | EUR | (110,000) | (141,336) | (143,472) | (2,136) | ||||||||||||||
Euro, Expiring 04/07/15 | The Royal Bank of Scotland | EUR | (3,562) | (4,716) | (4,660) | 56 | ||||||||||||||
Euro, Expiring 06/09/15 | The Royal Bank of Scotland | EUR | (110,000) | (141,776) | (143,988) | (2,212) | ||||||||||||||
Euro, Expiring 11/09/15 | The Royal Bank of Scotland | EUR | (46,110) | (59,500) | (60,617) | (1,117) | ||||||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | (3,562) | (4,730) | (4,703) | 27 | ||||||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | (3,562) | (4,751) | (4,754) | (3) | ||||||||||||||
British Pound, Expiring 09/18/13 | The Royal Bank of Scotland | GBP | (77,648,000) | (119,486,463) | (118,036,372) | 1,450,091 | ||||||||||||||
Hong Kong Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | HKD | (97,945,000) | (12,621,805) | (12,632,066) | (10,261) | ||||||||||||||
Hungarian Forint, Expiring 09/18/13 | The Royal Bank of Scotland | HUF | (2,630,000,000) | (11,532,944) | (11,515,352) | 17,592 | ||||||||||||||
Indonesian Rupiah, Expiring 09/18/13 | The Royal Bank of Scotland | IDR | (50,908,522,000) | (4,933,822) | (5,076,801) | (142,979) | ||||||||||||||
Israeli Shekel, Expiring 09/18/13 | The Royal Bank of Scotland | ILS | (44,100,000) | (12,132,142) | (12,102,021) | 30,121 | ||||||||||||||
Indian Rupee, Expiring 09/18/13* | The Royal Bank of Scotland | INR | (1,876,926,000) | (32,034,170) | (31,155,560) | 878,610 | ||||||||||||||
Japanese Yen, Expiring 09/18/13 | The Royal Bank of Scotland | JPY | (20,559,598,000) | (207,664,056) | (207,372,884) | 291,172 | ||||||||||||||
Korean Won, Expiring 09/23/13* | The Royal Bank of Scotland | KRW | (21,943,904,000) | (19,122,326) | (19,141,887) | (19,561) | ||||||||||||||
Mexican Peso, Expiring 09/18/13 | The Royal Bank of Scotland | MXN | (520,000,000) | (40,076,309) | (39,847,111) | 229,198 | ||||||||||||||
Malaysian Ringgit, Expiring 09/18/13* | The Royal Bank of Scotland | MYR | (156,585,000) | (49,192,484) | (49,304,484) | (112,000) | ||||||||||||||
Norwegian Krone, Expiring 09/18/13 | The Royal Bank of Scotland | NOK | (333,636,000) | (55,597,705) | (54,769,566) | 828,139 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
60 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT JUNE 30, 2013 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
New Zealand Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | NZD | (118,400,000) | $(93,163,852) | $(91,234,054) | $1,929,798 | ||||||||||||||
Peru Nuevo Sol, Expiring 09/18/13* | The Royal Bank of Scotland | PEN | (632,000) | (229,314) | (225,615) | 3,699 | ||||||||||||||
Philippine Peso, Expiring 09/18/13 | The Royal Bank of Scotland | PHP | (1,372,500,000) | (32,442,063) | (31,738,874) | 703,189 | ||||||||||||||
Poland Zloty, Expiring 09/18/13 | The Royal Bank of Scotland | PLN | (50,362,000) | (15,245,426) | (15,082,518) | 162,908 | ||||||||||||||
Russian Ruble, Expiring 09/18/13* | The Royal Bank of Scotland | RUB | (987,140,000) | (30,127,328) | (29,624,214) | 503,114 | ||||||||||||||
Swedish Krona, Expiring 09/18/13 | The Royal Bank of Scotland | SEK | (292,953,000) | (43,782,493) | (43,606,575) | 175,918 | ||||||||||||||
Singapore Dollar, Expiring 09/18/13 | The Royal Bank of Scotland | SGD | (113,368,000) | (90,384,778) | (89,455,689) | 929,089 | ||||||||||||||
Thailand Baht, Expiring 09/18/13 | The Royal Bank of Scotland | THB | (38,733,000) | (1,274,531) | (1,243,699) | 30,832 | ||||||||||||||
Turkish Lira, Expiring 09/18/13 | The Royal Bank of Scotland | TRY | (137,869,000) | (72,464,484) | (70,601,724) | 1,862,760 | ||||||||||||||
Taiwanese Dollar, Expiring 09/18/13* | The Royal Bank of Scotland | TWD | (198,822,000) | (6,644,739) | (6,639,571) | 5,168 | ||||||||||||||
South African Rand, Expiring 09/18/13 | The Royal Bank of Scotland | ZAR | (752,181,000) | (74,519,911) | (75,220,299) | (700,388) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(1,609,516,660) | (1,588,313,691) | 21,202,969 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$(144,158,216) | $(145,871,213) | $(1,712,997) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral with broker for forward foreign currency exchange contracts in the amount of $13,458,380 at June 30, 2013.
* | Non deliverable forward. See Note 3 in the Notes to Schedule of Investments. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Nuevo Sol
PHP - Philippine Peso
PLN - Poland Zloty
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 61 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thailand Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. | (Continued) |
62 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | VALUE (Note 3) | |||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swaps. | 12/20/2013 — 05/12/2014 | $4,503,448 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
France | ||||||||||||
Air France-KLM | 70,579 | $ | 654,866 | $ | (21,400) | |||||||
Arkema SA | 65,197 | 6,708,969 | (732,661) | |||||||||
AtoS | 58,542 | 4,039,892 | 310,844 | |||||||||
Bureau Veritas SA | 1,184 | 35,029 | (4,369) | |||||||||
Cap Gemini SA | 38,124 | 1,719,831 | 131,540 | |||||||||
Casino Guichard Perrachon SA | 1,258 | 123,076 | (5,194) | |||||||||
Cie Generale des Etablissements Michelin | 60,982 | 5,539,472 | (86,706) | |||||||||
Cie Generale d’Optique Essilor International SA | 771 | 75,750 | 6,391 | |||||||||
Dassault Systemes SA | 9,461 | 1,040,884 | 115,507 | |||||||||
Edenred | 1 | 33 | (3) | |||||||||
Etablissements Maurel et Prom | 19,578 | 319,249 | (28,201) | |||||||||
Iliad SA | 3,329 | 659,324 | 59,899 | |||||||||
Lagardere SCA | 73,303 | 2,318,471 | (273,183) | |||||||||
L’Oreal SA | 57 | 9,497 | (127) | |||||||||
PPR | 7,742 | 1,525,852 | 49,547 | |||||||||
Publicis Groupe SA | 11,404 | 791,538 | 20,646 | |||||||||
Renault SA | 103,638 | 6,305,354 | 675,446 | |||||||||
Rexel SA | 65,640 | 1,352,136 | 126,785 | |||||||||
Safran SA | 2,846 | 152,324 | (3,745) | |||||||||
Sanofi | 47,261 | 4,342,883 | 542,987 | |||||||||
Schneider Electric SA | 2,229 | 158,487 | 3,398 | |||||||||
Societe BIC SA | 17,920 | 2,077,497 | (279,782) | |||||||||
Suez Environnement Co. | 249,986 | 3,104,554 | 126,389 | |||||||||
Thales SA | 8,989 | 344,411 | 75,051 | |||||||||
Total SA | 53,133 | 2,704,666 | (109,480) | |||||||||
Valeo SA | 67,375 | 3,553,976 | 673,744 | |||||||||
Vivendi SA | 231,007 | 5,052,888 | (674,931) | |||||||||
|
| |||||||||||
698,392 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Netherlands | ||||||||||||
European Aeronautic Defence and Space Co NV | 92,518 | $ | 4,211,987 | $ | 737,798 | |||||||
|
| |||||||||||
Switzerland | ||||||||||||
Wolseley PLC | 111,388 | 5,017,578 | 121,815 | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Alent PLC | 27,200 | 128,109 | 6,835 | |||||||||
AMEC PLC | 33,654 | 525,128 | (10,417) | |||||||||
Anglo American PLC | 33,361 | 830,050 | (187,163) | |||||||||
AstraZeneca PLC | 5,277 | 233,992 | 15,498 | |||||||||
Aveva Group PLC | 7,955 | 262,736 | 9,976 | |||||||||
Aviva PLC | 79,563 | 432,239 | (22,160) | |||||||||
Babcock International Group PLC | 385,061 | 5,881,140 | 584,386 | |||||||||
Banca Popolare di Crema SpA | 41,780 | 523,953 | (20,631) | |||||||||
Barclays PLC | 313,715 | 1,316,564 | 19,468 | |||||||||
Barratt Developments PLC | 536,567 | 2,161,271 | 362,951 | |||||||||
BP PLC | 357,597 | 2,523,756 | (42,052) | |||||||||
BT Group PLC | 895,880 | 3,380,775 | 825,160 | |||||||||
Bundesrepublik Deutschland | 435,558 | 2,277,615 | (84,225) | |||||||||
Centrica PLC | 167,114 | 965,027 | (50,961) | |||||||||
Depfa Funding III LP | 1,283 | 16,987 | (1,441) | |||||||||
Drax Group PLC | 101,790 | 840,969 | 62,336 | |||||||||
Dresdner Bank AG | 87,747 | 351,186 | (1,914) | |||||||||
Experian PLC | 70,420 | 1,153,420 | 70,464 | |||||||||
FIH Erhvervsbank A/S | 45,018 | 556,927 | 18,294 | |||||||||
GAS PLC | 263,137 | 989,443 | (61,623) | |||||||||
GKN PLC | 948,497 | 3,484,552 | 857,095 | |||||||||
GlaxoSmithKline PLC | 61,732 | 1,515,093 | 27,975 | |||||||||
HSBC Holdings PLC | 113,553 | 1,126,616 | 48,902 | |||||||||
Inchcape PLC | 318,826 | 2,128,228 | 299,162 | |||||||||
Inmarsat PLC | 22,523 | 229,570 | 1,089 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 63 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Invensys PLC | 2,839 | $ | 17,783 | $ | (5) | |||||||
Investec PLC | 254,881 | 1,750,977 | (146,978) | |||||||||
ITV PLC | 565,548 | 928,528 | 277,251 | |||||||||
J Sainsbury PLC | 302,475 | 1,610,300 | 24,532 | |||||||||
John Wood Group PLC | 179,193 | 2,151,261 | 58,757 | |||||||||
Kazakhmys PLC | 275,300 | 1,282,650 | (196,009) | |||||||||
Kesa Electricals PLC | 140,277 | 119,542 | 3,506 | |||||||||
Kingfisher PLC | 462,297 | 1,999,418 | 410,914 | |||||||||
Legal & General Group SA | 986,673 | 2,244,647 | 326,971 | |||||||||
Lloyds Banking Group PLC | 4,464,428 | 3,523,593 | 763,653 | |||||||||
Michael Page International PLC | 77,763 | 484,639 | (44,780) | |||||||||
Mondi PLC | 29,050 | 347,343 | 14,346 | |||||||||
National Grid PLC | 75,003 | 859,347 | (9,140) | |||||||||
Next PLC | 67,047 | 4,103,822 | 540,538 | |||||||||
Northwest Equity Corp. | 360,891 | 1,944,940 | 156,704 | |||||||||
Reckitt Benckiser Group PLC | 5,424 | 328,087 | 55,588 | |||||||||
Rexam PLC | 54,995 | 434,743 | (35,632) | |||||||||
Rolls-Royce Holdings PLC | 28,771 | 384,748 | 110,642 | |||||||||
Rolls-Royce Holdings PLC | 3,423,749 | (19) | 5,227 | |||||||||
Rolls-Royce Holdings PLC | 3,831 | 6 | – | |||||||||
Sanyo Shinpan Finance Co. Ltd. | 1,312,986 | 2,459,474 | (77,461) | |||||||||
Serco Group PLC | 139,950 | 1,168,281 | 147,819 | |||||||||
Severn Trent PLC | 22,691 | 588,832 | (14,256) | |||||||||
Shinsei Bank Ltd. | 30,283 | 1,097,150 | (47,099) | |||||||||
Smith & Nephew PLC | 16,885 | 174,925 | 14,185 | |||||||||
SSE PLC | 1 | 22 | 1 | |||||||||
Standard Life PLC | 261,078 | 1,403,516 | (29,548) | |||||||||
Tate & Lyle PLC | 239,612 | 2,801,899 | 204,435 | |||||||||
UBS AG | 44,464 | 981,501 | 3,034 | |||||||||
United Utilities Group PLC | 6,382 | 68,067 | (1,668) | |||||||||
Vesusius PLC | 10,908 | 57,186 | 3,932 | |||||||||
William Hill PLC | 755,783 | 4,145,605 | 922,578 | |||||||||
WPP PLC | 9,596 | 128,418 | 35,605 | |||||||||
|
| |||||||||||
6,204,646 | ||||||||||||
|
| |||||||||||
United States | ||||||||||||
Gazprom OAO | 103,467 | 975,176 | (295,738) | |||||||||
Lukoil OAO | 32,288 | 2,123,335 | (272,962) | |||||||||
Magnit OJSC | 14,877 | 657,860 | 191,414 | |||||||||
MMC Norilsk Nickel OJSC | 931 | 16,269 | (2,854) | |||||||||
Reliance Industries Ltd. | 27,237 | 778,189 | 4,458 | |||||||||
Rosneft Oil Co. | 96,141 | 812,186 | (154,351) | |||||||||
Samsung Electronics Co., Ltd. | 10,902 | 7,422,406 | (1,086,748) | |||||||||
State Bank of India | 9,423 | 825,139 | (196,629) | |||||||||
Surgutneftegaz ADR | 81,327 | 611,948 | 24,189 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Tatneft | 24,610 | $ | 968,559 | $ | (74,789) | |||||||
|
| |||||||||||
(1,864,010) | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 5,898,641 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
France | ||||||||||||
Accor SA | (50,186) | (1,737,129) | (26,946) | |||||||||
Air Liquide SA | (910) | (108,750) | (3,635) | |||||||||
Alcatel-Lucent | (3,468,780) | (5,158,749) | (1,138,184) | |||||||||
Alstom SA | (2,931) | (113,996) | 17,848 | |||||||||
Bouygues SA | (105,317) | (3,017,035) | 333,362 | |||||||||
Carrefour SA | (61,531) | (1,523,493) | (166,559) | |||||||||
Christian Dior SA | (493) | (82,189) | 2,543 | |||||||||
Cie de St-Gobain | (18,597) | (769,243) | 15,683 | |||||||||
Cie Generale de Geophysique – Veritas | (9,964) | (248,659) | 27,886 | |||||||||
Danone SA | (5,304) | (351,059) | (48,165) | |||||||||
Electricite de France SA | (85,544) | (1,627,483) | (357,702) | |||||||||
Eutelsat Communications SA | (62,248) | (2,055,320) | 289,278 | |||||||||
Faurecia | (36,474) | (707,339) | (99,537) | |||||||||
France Telecom SA | (168,078) | (1,711,709) | 120,110 | |||||||||
GDF Suez | (33,059) | (677,811) | 29,363 | |||||||||
Hermes International | (5,013) | (1,622,697) | 4,659 | |||||||||
Lafarge SA | (44,202) | (2,941,199) | 227,060 | |||||||||
Legrand SA | (22,840) | (941,549) | (117,433) | |||||||||
LVMH Moet Hennessy Louis Vuitton SA | (25,238) | (4,477,877) | 380,375 | |||||||||
Neopost SA | (14,241) | (739,584) | (203,337) | |||||||||
Nexans SA | (13,106) | (605,355) | (16,545) | |||||||||
Pernod-Ricard SA | (5,901) | (683,740) | 28,765 | |||||||||
Peugeot SA | (142,811) | (1,117,599) | (60,303) | |||||||||
Remy Cointreau SA | (6,859) | (775,555) | 47,742 | |||||||||
SES SA | (1,049) | (29,331) | (724) | |||||||||
Sodexo | (3,851) | (318,905) | (1,729) | |||||||||
Technip SA | (13,119) | (1,365,455) | 32,141 | |||||||||
Vallourec SA | (196,666) | (9,992,417) | 12,301 | |||||||||
Veolia Environnement SA | (500,250) | (5,749,266) | 37,815 | |||||||||
Zodiac Aerospace | (798) | (93,027) | (12,638) | |||||||||
|
| |||||||||||
(646,506) | ||||||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Admiral Group PLC | (120,974) | (2,163,210) | (273,685) | |||||||||
Aggreko PLC | (175,926) | (4,578,387) | 181,207 | |||||||||
Barloworld Ltd. | (260,836) | (6,135,015) | 472,164 | |||||||||
BG Group PLC | (218,987) | (3,504,771) | (216,708) | |||||||||
British American Tobacco PLC | (8,354) | (398,308) | (30,165) | |||||||||
Bunzl PLC | (12,431) | (239,686) | (2,769) | |||||||||
Burberry Group PLC | (252,054) | (4,910,671) | (274,708) | |||||||||
Capita Group PLC/The | (338,769) | (4,026,607) | (952,961) | |||||||||
Carnival PLC | (49,949) | (1,812,017) | 75,797 | |||||||||
Cascade Bancorp | (64,691) | (376,776) | (132,904) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
64 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United Kingdom (continued) | ||||||||||||
Cobham PLC | (64,827) | $ | (224,194) | $ | (34,274) | |||||||
Diageo PLC | (88,593) | (2,461,203) | (79,318) | |||||||||
Eurasian Natural Resources Corp. PLC | (533,399) | (2,272,102) | 609,291 | |||||||||
Home Retail Group PLC | (123,421) | (238,180) | (13,222) | |||||||||
ICAP PLC | (429,510) | (2,000,248) | (371,224) | |||||||||
IMI PLC | (159,321) | (2,770,151) | (232,813) | |||||||||
Informa PLC | (9,089) | (69,592) | 1,882 | |||||||||
InterContinental Hotels Group PLC | (88,413) | (2,497,564) | 67,779 | |||||||||
Intertek Group PLC | (40,056) | (1,953,396) | 172,842 | |||||||||
Johnson Matthey PLC | (47,050) | (1,651,971) | (227,909) | |||||||||
Kotak Mahindra Prime Ltd. | (205,428) | (5,954,420) | (762,838) | |||||||||
Lonmin PLC | (144,906) | (618,448) | 56,675 | |||||||||
Man Group PLC | (683,739) | (891,896) | 28,183 | |||||||||
Marks & Spencer Group PLC | (570,427) | (3,370,584) | (361,852) | |||||||||
Mitchells & Butlers PLC | (22,864) | (111,894) | (17,239) | |||||||||
Old Mutual PLC | (749,631) | (2,233,891) | 176,072 | |||||||||
Pennon Group PLC | (63,626) | (621,181) | (2,384) | |||||||||
Petrofac Ltd | (93,897) | (1,965,982) | 256,746 | |||||||||
ProLogis LP | (21,321) | (854,383) | 50,365 | |||||||||
Prudential PLC | (72,434) | (948,513) | (233,812) | |||||||||
Royal Bank of Scotland Group PLC | (192,119) | (934,190) | 136,938 | |||||||||
Royal Dutch Shell PLC | (27,749) | (926,728) | 7,710 | |||||||||
SABMiller PLC | (75,685) | (3,303,493) | (325,101) | |||||||||
Shire PLC | (73,765) | (2,188,138) | (149,490) | |||||||||
Signature Metals Ltd. | (21,267) | (569,529) | 8,504 | |||||||||
Smiths Group PLC | (22,444) | (406,062) | (40,457) | |||||||||
Sumitomo Bakelite Co., Ltd. | (59,915) | (1,070,426) | 4,880 | |||||||||
Vedanta Resources PLC | (40,948) | (724,486) | 88,035 | |||||||||
Vodafone Group PLC | (127,039) | (323,353) | (40,700) | |||||||||
Whitbread PLC | (13,807) | (511,862) | (130,435) | |||||||||
|
| |||||||||||
(2,511,898) | ||||||||||||
|
| |||||||||||
Total of Short Equity Positions | (3,158,404) | |||||||||||
|
| |||||||||||
Total of Long and | 2,740,237 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/(Payables) (b) | 1,763,211 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 4,503,448 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund held as collateral was $20,012,220 at June 30,2013.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 65 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | VALUE (Note 3) | |||||
Morgan Stanley | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swaps. | 07/24/2013 | $34,991,775 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Bermuda | ||||||||||||
RenaissanceRe Holdings Ltd. | 5,500 | $ | 451,954 | $ | 25,391 | |||||||
|
| |||||||||||
Canada | ||||||||||||
Sears Canada, Inc. | 3,983 | 39,203 | 2,221 | |||||||||
|
| |||||||||||
United States | ||||||||||||
3M Co. | 6,500 | 659,418 | 51,357 | |||||||||
Abbott Laboratories | 154,300 | 5,213,528 | 168,456 | |||||||||
Abercrombie & Fitch Co. | 34,500 | 1,671,425 | (110,300) | |||||||||
Accenture PLC | 34,400 | 2,412,608 | 62,816 | |||||||||
ACE Ltd. | 25,900 | 2,155,657 | 161,875 | |||||||||
Actavis, Inc. | 12,100 | 1,171,324 | 355,938 | |||||||||
Activision Blizzard, Inc. | 118,900 | 1,727,205 | (31,691) | |||||||||
Advance Auto Parts, Inc. | 36,800 | 2,769,964 | 217,092 | |||||||||
AECOM Technology Corp. | 120,501 | 3,230,371 | 600,356 | |||||||||
Aeropostale, Inc. | 109,188 | 1,462,027 | 44,767 | |||||||||
AES Corp./The | 83,086 | 919,762 | 76,439 | |||||||||
Aflac, Inc. | 13,500 | 694,440 | 90,180 | |||||||||
AGCO Corp. | 30,000 | 1,555,800 | (50,100) | |||||||||
Agilent Technologies, Inc. | 8,100 | 354,147 | (7,791) | |||||||||
Airgas, Inc. | 704 | 65,697 | 1,507 | |||||||||
AK Steel Holding Corp. | 349,600 | 1,419,308 | (356,524) | |||||||||
Alaska Air Group, Inc. | 69,800 | 3,569,338 | 60,262 | |||||||||
Albemarle Corp. | 19,000 | 1,221,753 | (38,243) | |||||||||
Alliant Energy Corp. | 2,000 | 92,499 | 8,341 | |||||||||
Alliant Techsystems, Inc. | 33,600 | 2,188,032 | 578,256 | |||||||||
Allied World Assuarance | 21,854 | 1,799,774 | 200,086 | |||||||||
Allscripts Healthcare | 40,500 | 523,290 | 780 | |||||||||
Allstate Corp. | 26,400 | 1,154,692 | 115,676 | |||||||||
Alpha Natural Resources, Inc. | 620,400 | 5,342,597 | (2,091,701) | |||||||||
Altria Group, Inc. | 28,100 | 937,192 | 46,027 | |||||||||
Amazon.com, Inc. | 8,900 | 2,342,807 | 128,634 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
AMDOCS Ltd. | 48,100 | $ | 1,702,092 | $ | 81,937 | |||||||
Ameren Corp. | 34,597 | 1,092,168 | 99,353 | |||||||||
American Capital Ltd. | 627,260 | 8,504,740 | (557,356) | |||||||||
American Eagle Outfitters, Inc. | 272,700 | 5,581,555 | (602,053) | |||||||||
American Electric Power Co., Inc. | 57,800 | 2,611,134 | (22,850) | |||||||||
American Financial Group, Inc. | 49,500 | 2,063,958 | 357,087 | |||||||||
American Water Works Co., Inc. | 23,200 | 902,486 | 54,050 | |||||||||
Ameriprise Financial, Inc. | 67,100 | 4,391,866 | 1,035,183 | |||||||||
Amgen, Inc. | 72,000 | 6,428,820 | 674,700 | |||||||||
Anadarko Petroleum Corp. | 26,400 | 2,192,846 | 75,706 | |||||||||
Analog Devices, Inc. | 19,800 | 861,770 | 30,418 | |||||||||
Anixter International, Inc. | 14,100 | 992,560 | 76,361 | |||||||||
AON PLC | 8,800 | 502,782 | 63,498 | |||||||||
Applied Industrial Technologies, Inc. | 11,900 | 515,270 | 59,857 | |||||||||
Applied Materials, Inc. | 198,400 | 2,747,864 | 210,280 | |||||||||
Archer-Daniels-Midland Co. | 155,200 | 4,538,139 | 724,693 | |||||||||
ARES Captial Corp. | 43,400 | 768,180 | (21,700) | |||||||||
Armstrong World Industries, Inc. | 15,200 | 833,720 | (107,312) | |||||||||
ARRIS Group, Inc. | 147,200 | 2,368,133 | (255,813) | |||||||||
Arrow Electronics, Inc. | 49,800 | 1,891,902 | 92,628 | |||||||||
Arthur J. & Gallager Corp. | 1,600 | 57,898 | 12,006 | |||||||||
Ascena Retail Group | 26,051 | 437,229 | 17,361 | |||||||||
Associated Banc-Corp. | 73,000 | 1,037,059 | 98,091 | |||||||||
Assurant, Inc. | 81,200 | 3,072,519 | 1,061,373 | |||||||||
AT&T, Inc. | 57,100 | 1,895,720 | 125,620 | |||||||||
Atmos Energy Corp. | 7,300 | 295,421 | 4,317 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
66 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Autodesk, Inc. | 18,800 | $ | 709,201 | $ | (71,129) | |||||||
Autoliv, Inc. | 30,200 | 2,023,306 | 313,872 | |||||||||
Avago Technologies Ltd. | 92,500 | 3,223,522 | 234,128 | |||||||||
Avnet, Inc. | 102,600 | 3,294,486 | 152,874 | |||||||||
Axis Capital Holdings Co. | 41,500 | 1,531,841 | 368,029 | |||||||||
Ball Corp. | 27,500 | 1,267,349 | (124,999) | |||||||||
Baxter International, Inc. | 13,200 | 929,848 | (15,484) | |||||||||
BE Aerospace, Inc. | 13,400 | 670,402 | 174,870 | |||||||||
Beam, Inc. | 20,300 | 1,270,372 | 10,761 | |||||||||
Becton Dickinson | 1,200 | 99,432 | 19,164 | |||||||||
Bemis Co., Inc. | 3,100 | 110,143 | 11,191 | |||||||||
Berry Petroleum Co. | 400 | 17,360 | (432) | |||||||||
Best Buy Co., Inc. | 319,900 | 5,670,282 | 3,072,585 | |||||||||
Big Lots, Inc. | 51,187 | 1,599,480 | 14,446 | |||||||||
Biogen Idec, Inc. | 33,900 | 5,396,789 | 1,898,491 | |||||||||
BMC Software, Inc. | 51,800 | 2,230,900 | 107,352 | |||||||||
Boston Scientific Corp. | 495,700 | 3,845,306 | 749,833 | |||||||||
Brinker International, Inc. | 28,900 | 965,926 | 173,601 | |||||||||
Bristow Group, Inc. | 22,500 | 1,283,829 | 185,871 | |||||||||
Broadridge Financial Solutions, Inc. | 32,000 | 738,578 | 111,982 | |||||||||
Brocade Communications Systems, Inc. | 1,253,600 | 7,103,941 | 116,795 | |||||||||
Brown & Brown, Inc. | 28,200 | 779,672 | 129,496 | |||||||||
Buckle, Inc./The | 18,400 | 828,771 | 128,397 | |||||||||
Bunge Ltd. | 24,100 | 1,765,067 | (59,510) | |||||||||
CA, Inc. | 148,700 | 3,658,057 | 599,224 | |||||||||
Cabot Corp. | 20,161 | 855,834 | (101,410) | |||||||||
Cabot Oil & Gas Corp. | 67,500 | 3,975,220 | 818,630 | |||||||||
Cameron International Corp. | 15,400 | 965,470 | (23,606) | |||||||||
Capital One Financial Corp. | 51,500 | 3,146,744 | 87,971 | |||||||||
CapitalSource, Inc. | 128,396 | 1,206,644 | (2,290) | |||||||||
Cardinal Health, Inc. | 61,300 | 2,707,008 | 186,352 | |||||||||
Career Education Corp. | 194,592 | 614,940 | (50,623) | |||||||||
Carefusion Corp. | 103,400 | 3,435,899 | 374,391 | |||||||||
Carlisle Cos, Inc. | 18,600 | 1,150,175 | 8,791 | |||||||||
Carpenter Technology Corp. | 2,500 | 128,825 | (16,150) | |||||||||
Carter’s, Inc. | 31,000 | 1,907,452 | 388,718 | |||||||||
CBS Corp. | 30,900 | 1,265,355 | 244,728 | |||||||||
Celanese Corp. | 19,800 | 931,194 | (44,154) | |||||||||
Celgene Corp. | 5,700 | 677,112 | (10,725) | |||||||||
CenterPoint Energy, Inc. | 49,600 | 1,026,209 | 138,895 | |||||||||
CF Industries Holdings, Inc. | 25,500 | 5,437,399 | (1,064,149) | |||||||||
Charles River Laboratories International, Inc. | 24,400 | 1,029,512 | (28,380) | |||||||||
Chemed Corp. | 20,800 | 1,494,490 | 12,054 | |||||||||
Chevron Corp. | 55,300 | 6,433,435 | 110,767 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Chicos’s, Inc. | 245,600 | $ | 4,472,513 | $ | (282,577) | |||||||
Church & Dwight Co., Inc. | 5,400 | 307,145 | 26,089 | |||||||||
CIGNA Corp. | 37,100 | 2,127,012 | 562,367 | |||||||||
Cinemark Holdings, Inc. | 33,000 | 928,472 | (7,112) | |||||||||
Cintas Corp. | 24,400 | 1,029,924 | 81,252 | |||||||||
Cisco Systems, Inc. | 65,730 | 1,379,067 | 218,830 | |||||||||
Citigroup, Inc. | 25,100 | 1,247,235 | (43,188) | |||||||||
CLARCOR, Inc. | 400 | 19,892 | 992 | |||||||||
Cleco Corp. | 3,400 | 140,692 | 17,170 | |||||||||
Coca-Cola Enterprises, Inc. | 126,900 | 4,423,291 | 38,513 | |||||||||
Colgate-Palmolive Co. | 1,800 | 98,046 | 5,076 | |||||||||
Comcast Corp. | 93,300 | 3,717,807 | 189,597 | |||||||||
Commercial Metals Co. | 197,500 | 3,127,033 | (209,958) | |||||||||
Community Health Systems, Inc. | 122,400 | 4,959,716 | 778,396 | |||||||||
Commvault Systems, Inc. | 27,300 | 1,943,301 | 128,496 | |||||||||
Computer Sciences Corp. | 139,400 | 6,094,298 | 7,240 | |||||||||
Compuware Corp. | 103,455 | 1,151,607 | (80,848) | |||||||||
Comtech Telecommunications Corp. | 9,700 | 257,238 | 3,595 | |||||||||
ConAgra Foods, Inc. | 13,600 | 428,536 | 46,512 | |||||||||
ConocoPhillips | 100,200 | 5,959,989 | 102,111 | |||||||||
Consolidated Edison, Inc. | 21,300 | 1,191,523 | 50,480 | |||||||||
Convergys Corp. | 57,934 | 976,988 | 32,802 | |||||||||
Con-way, Inc. | 52,600 | 1,642,530 | 406,766 | |||||||||
Cooper Cos., Inc./The | 18,800 | 1,831,435 | 406,705 | |||||||||
Copa Holdings SA | 7,000 | 736,949 | 180,891 | |||||||||
Corning, Inc. | 8,900 | 109,470 | 17,177 | |||||||||
Corrections Corp. of America | 63,833 | 2,123,716 | 38,307 | |||||||||
Costco Wholesale Corp. | 7,200 | 726,912 | 69,192 | |||||||||
Covance, Inc. | 16,600 | 1,072,316 | 191,608 | |||||||||
Covidien PLC | 36,900 | 2,244,213 | 74,583 | |||||||||
Crane Co. | 36,753 | 1,796,761 | 405,478 | |||||||||
Crocs, Inc. | 122,851 | 1,804,720 | 222,321 | |||||||||
Crown Holdings, Inc. | 45,100 | 1,734,264 | 120,699 | |||||||||
CSX Corp. | 16,400 | 342,596 | 37,720 | |||||||||
Cummins, Inc. | 25,200 | 2,877,840 | (144,648) | |||||||||
CVS Caremark Corp. | 56,300 | 2,937,489 | 281,745 | |||||||||
Cytec Industries, Inc. | 43,200 | 3,205,326 | (40,926) | |||||||||
Darling International | 40,300 | 707,883 | 44,115 | |||||||||
DaVita, Inc. | 35,600 | 4,053,512 | 246,968 | |||||||||
Dean Foods Co. | 174,138 | 1,492,130 | 252,733 | |||||||||
Delta Air Lines, Inc. | 309,100 | 4,449,788 | 1,333,473 | |||||||||
Devon Energy Corp. | 14,900 | 815,745 | (42,733) | |||||||||
Diamond Offshore Drill | 391 | 28,997 | (2,100) | |||||||||
Diebold, Inc. | 33,700 | 1,078,064 | 57,289 | |||||||||
Dillards, Inc. | 67,800 | 5,604,602 | (47,036) | |||||||||
Discover Financial Services | 163,000 | 6,618,635 | 1,146,685 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 67 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
DISH Network Corp. | 187,732 | $ | 6,978,200 | $ | 1,004,165 | |||||||
Dolby Laboratories, Inc. | 31,300 | 936,912 | 110,073 | |||||||||
Dollar General Corp. | 23,997 | 1,132,769 | 77,400 | |||||||||
Dollar Tree, Inc. | 33,948 | 1,341,160 | 384,756 | |||||||||
Dominos Pizza, Inc. | 62,400 | 2,927,244 | 701,316 | |||||||||
Domtar Corp. | 1,671 | 128,273 | (17,151) | |||||||||
Donaldson Co., Inc. | 5,700 | 208,582 | (5,320) | |||||||||
Dover Corp. | 6,800 | 464,032 | 64,056 | |||||||||
DR Horton, Inc. | 32,000 | 688,960 | (8,000) | |||||||||
Dr Pepper Snapple Group, Inc. | 19,200 | 865,533 | 16,323 | |||||||||
Dresser-Rand Group, Inc. | 19,500 | 1,122,308 | 47,302 | |||||||||
DST Systems, Inc. | 21,900 | 1,391,088 | 39,639 | |||||||||
DTE Energy Co. | 63,000 | 4,038,780 | 182,850 | |||||||||
Dun & Bradstreet Corp./The | 3,800 | 303,924 | 66,386 | |||||||||
East West BanCorp., Inc. | 21,900 | 507,837 | 94,413 | |||||||||
Eastman Chemical Co. | 4,600 | 328,992 | (6,946) | |||||||||
Edison International | 64,900 | 3,055,106 | 70,478 | |||||||||
Eli Lilly & Co. | 76,600 | 4,109,677 | (347,085) | |||||||||
EMCOR Group, Inc. | 32,000 | 1,130,752 | 170,048 | |||||||||
Endo Pharmaceuticals Holdings, Inc. | 10,611 | 282,040 | 108,338 | |||||||||
Energizer Holdings, Inc. | 6,400 | 579,282 | 63,982 | |||||||||
Energy XXI, Inc. | 12,012 | 388,788 | (122,362) | |||||||||
Entergy Corp. | 14,400 | 911,527 | 91,865 | |||||||||
EOG Resources, Inc. | 8,800 | 1,121,044 | 37,740 | |||||||||
Equifax, Inc. | 33,500 | 1,895,431 | 78,724 | |||||||||
Era Group, Inc. | 8,776 | 169,993 | 59,500 | |||||||||
Esterline Technologies Corp. | 11,500 | 804,791 | 26,544 | |||||||||
Everest Re Group Ltd. | 38,300 | 4,446,544 | 465,814 | |||||||||
EXCO Resources, Inc. | 8,100 | 57,241 | 4,643 | |||||||||
Expedia, Inc. | 62,600 | 3,926,034 | (160,644) | |||||||||
Express Scripts PLC | 46,700 | 2,751,905 | 129,018 | |||||||||
Exxon Mobil Corp. | 12,300 | 1,095,759 | 15,546 | |||||||||
EzCorp., Inc. | 38,700 | 806,110 | (152,854) | |||||||||
Fair Isaac Corp. | 14,723 | 657,183 | 17,572 | |||||||||
FedEx Corp. | 9,400 | 952,980 | (26,328) | |||||||||
Fidelity National Information Services, Inc. | 43,100 | 1,602,727 | 243,677 | |||||||||
Fifth Third BanCorp. | 139,567 | 2,274,754 | 244,431 | |||||||||
First Solar, Inc. | 117,200 | 3,964,281 | 1,278,075 | |||||||||
Fiserv, Inc. | 10,700 | 864,974 | 70,313 | |||||||||
Flextronics, Inc. | 882,300 | 5,939,117 | 889,885 | |||||||||
Foot Locker, Inc. | 133,500 | 4,502,806 | 187,049 | |||||||||
Forest Laboratories, Inc. | 138,700 | 5,167,996 | 518,704 | |||||||||
Forest Oil Corp. | 31,700 | 141,296 | (11,643) | |||||||||
Fortinet, Inc. | 18,860 | 372,815 | (42,765) | |||||||||
Frontier Communications Corp. | 102,300 | 424,902 | (10,587) | |||||||||
Fulton Financial Corp. | 48,300 | 508,116 | 46,368 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
GameStop Corp. | 118,200 | $ | 2,785,721 | $ | 2,182,225 | |||||||
Gap, Inc./The | 213,400 | 6,978,352 | 1,926,830 | |||||||||
Gartner, Inc. | 31,100 | 1,553,235 | 219,154 | |||||||||
General Cable Corp. | 41,300 | 1,343,902 | (73,927) | |||||||||
General Dynamics Corp. | 5,400 | 383,508 | 39,474 | |||||||||
General Electric Co. | 45,000 | 958,500 | 85,050 | |||||||||
Genuine Parts Co. | 19,300 | 1,307,037 | 199,714 | |||||||||
Genworth Financial, Inc. | 329,300 | 2,932,766 | 824,547 | |||||||||
Goldman Sachs Group, Inc./The | 53,000 | 7,904,713 | 111,537 | |||||||||
Goodyear Tire & Rubber Co./The | 226,300 | 3,051,997 | 408,130 | |||||||||
Graco, Inc. | 3,300 | 187,246 | 21,347 | |||||||||
Guess?, Inc. | 92,500 | 2,475,715 | 394,560 | |||||||||
Hanover Insurance Group, Inc./The | 11,400 | 456,738 | 101,064 | |||||||||
Harman International Industries, Inc. | 87,800 | 4,379,055 | 379,705 | |||||||||
Harris Corp. | 4,400 | 221,606 | (4,906) | |||||||||
Harris Teeter Supe Co. | 6,000 | 223,260 | 57,900 | |||||||||
Harsco Corp. | 22,186 | 538,408 | (23,914) | |||||||||
Hartford Financial Services Group, Inc. | 33,000 | 947,061 | 73,299 | |||||||||
Hasbro, Inc. | 28,100 | 1,066,114 | 193,609 | |||||||||
HCC Insurance Holdings, Inc. | 23,900 | 925,886 | 104,443 | |||||||||
Health Net, Inc. | 57,800 | 1,536,282 | 302,914 | |||||||||
HealthSouth Corp. | 5,910 | 178,068 | (7,860) | |||||||||
Helix Energy Solutions Group, Inc. | 160,900 | 3,711,562 | (4,426) | |||||||||
Henry Schein, Inc. | 3,100 | 262,291 | 34,534 | |||||||||
Hershey Co./The | 8,500 | 704,201 | 54,679 | |||||||||
Hess Corp. | 85,600 | 5,322,621 | 368,923 | |||||||||
Hill-Rom Holdings, Inc. | 52,800 | 1,651,808 | 126,496 | |||||||||
Hillshire Brands Co. | 99,600 | 3,016,599 | 278,169 | |||||||||
Hittite Microwave Corp. | 400 | 24,188 | (988) | |||||||||
HollyFrontier Corp. | 49,848 | 2,327,152 | (194,654) | |||||||||
Home Depot, Inc. | 56,500 | 3,869,286 | 507,769 | |||||||||
Honeywell International, Inc. | 8,800 | 617,484 | 80,708 | |||||||||
Hormel Foods Corp. | 18,700 | 753,282 | (31,836) | |||||||||
Hubbell, Inc. | 12,000 | 1,062,867 | 125,133 | |||||||||
Humana, Inc. | 45,900 | 3,277,076 | 595,966 | |||||||||
Huntington Bancshares, Inc. | 105,700 | 740,448 | 92,468 | |||||||||
Huntsman Corp. | 30,600 | 549,439 | (42,703) | |||||||||
IAC/InterActiveCorp. | 92,800 | 3,917,418 | 496,150 | |||||||||
Ingersoll-Rand PLC | 79,300 | 4,086,019 | 316,717 | |||||||||
Ingram Micro, Inc. | 158,725 | 2,849,114 | 165,074 | |||||||||
Ingredion, Inc. | 54,900 | 3,793,609 | (191,071) | |||||||||
Integrys Energy Group, Inc. | 1,629 | 89,177 | 6,168 | |||||||||
InterDigital, Inc. | 5,073 | 217,844 | 8,665 | |||||||||
International Flavors & Fragrances, Inc. | 200 | 14,300 | 732 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
68 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
International Game Technology | 2,200 | $ | 33,418 | $ | 3,344 | |||||||
International Paper Co. | 5,300 | 220,692 | 14,151 | |||||||||
Interoil Corp. | 9,600 | 711,838 | (44,542) | |||||||||
Interpublic Group of Cos., Inc./The | 208,500 | 2,489,490 | 544,185 | |||||||||
Intuit, Inc. | 13,300 | 846,412 | (34,713) | |||||||||
InvesCo., Ltd. | 72,500 | 2,008,003 | 297,497 | |||||||||
Itron, Inc. | 34,500 | 1,539,317 | (75,482) | |||||||||
ITT Corp. | 101,400 | 2,593,121 | 389,053 | |||||||||
ITT Educational Services, Inc. | 26,026 | 331,548 | 303,486 | |||||||||
Jabil Circuit, Inc. | 348,500 | 6,850,386 | 252,044 | |||||||||
Jack Henry & Associates, Inc. | 5,300 | 227,143 | 22,646 | |||||||||
Jacobs Engineering Group, Inc. | 1 | 46 | 9 | |||||||||
Jarden Corp. | 16,600 | 632,040 | 94,210 | |||||||||
JDS Uniphase Corp. | 126,200 | 1,737,707 | 77,049 | |||||||||
JM Smucker Co./The | 6,800 | 648,606 | 52,814 | |||||||||
Jones Lang LaSalle, Inc. | 8,200 | 748,185 | (837) | |||||||||
JPMorgan Chase & Co. | 76,800 | 3,566,592 | 487,680 | |||||||||
Kansas City Southern | 4,100 | 446,531 | (12,095) | |||||||||
KBR, Inc. | 175,500 | 5,403,091 | 300,659 | |||||||||
KeyCorp. | 294,400 | 2,753,938 | 496,238 | |||||||||
Kimberly-Clark Corp. | 38,500 | 3,442,137 | 297,753 | |||||||||
KLA-Tencor Corp. | 43,800 | 2,348,204 | 92,770 | |||||||||
Kroger Co./The | 56,600 | 1,831,316 | 123,648 | |||||||||
L-3 Communications Holdings, Inc. | 38,800 | 3,077,693 | 249,019 | |||||||||
Landstar System, Inc. | 14,600 | 830,667 | (78,767) | |||||||||
Lender Processing Services, Inc. | 81,900 | 2,028,950 | 620,515 | |||||||||
Lennox International, Inc. | 13,400 | 778,014 | 86,822 | |||||||||
Lexmark International, Inc. | 32,965 | 1,012,595 | (4,855) | |||||||||
Lincoln National Corp. | 44,500 | 1,251,946 | 370,969 | |||||||||
Loews Corp. | 63,300 | 2,721,037 | 89,483 | |||||||||
Lowe’s Cos, Inc. | 127,400 | 4,726,715 | 483,945 | |||||||||
LSI Corp. | 642,000 | 4,666,549 | (82,669) | |||||||||
Lyondellbasell Industries, Inc. | 223,000 | 13,926,924 | 849,056 | |||||||||
M&T Bank Corp. | 400 | 39,225 | 5,475 | |||||||||
Macy’s, Inc. | 76,400 | 2,945,862 | 721,338 | |||||||||
Magellan Health Services, Inc. | 14,479 | 728,393 | 83,589 | |||||||||
Manpower, Inc. | 68,700 | 3,382,288 | 382,472 | |||||||||
Marathon Oil Corp. | 144,500 | 4,888,342 | 108,468 | |||||||||
Marsh & McLennan Cos, Inc. | 17,800 | 621,398 | 89,178 | |||||||||
Marvell Technology Group Ltd. | 293,200 | 2,682,824 | 750,548 | |||||||||
Masco Corp. | 3,700 | 78,792 | (6,679) | |||||||||
Mattel, Inc. | 39,800 | 1,547,917 | 255,421 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Maxim Integrated Products, Inc. | 93,200 | $ | 2,893,268 | $ | (304,172) | |||||||
McDermott International, Inc. | 146,020 | 1,713,439 | (518,996) | |||||||||
McGraw-Hill Cos, Inc./The | 23,700 | 1,041,013 | 219,590 | |||||||||
McKesson Corp. | 32,200 | 3,333,044 | 353,856 | |||||||||
MeadWestvaco Corp. | 29,600 | 964,438 | 45,218 | |||||||||
Medtronic, Inc. | 5,600 | 296,559 | (8,327) | |||||||||
Merck & Co., Inc. | 15,580 | 722,914 | 777 | |||||||||
MGM Resorts International | 45,237 | 586,270 | 82,333 | |||||||||
Micron Technology, Inc. | 177,800 | 1,402,546 | 1,145,328 | |||||||||
Microsoft Corp. | 6,800 | 237,572 | (2,768) | |||||||||
MKS Instruments, Inc. | 75,272 | 2,042,631 | (44,913) | |||||||||
Mohawk Industries, Inc. | 19,700 | 1,965,709 | 250,344 | |||||||||
Molex, Inc. | 18,800 | 535,029 | 16,563 | |||||||||
Mondelez International, Inc. | 73,200 | 2,116,822 | (28,426) | |||||||||
Monsanto Co. | 33,900 | 3,486,963 | (137,643) | |||||||||
Motorola Solutions, Inc. | 31,600 | 1,834,064 | (9,796) | |||||||||
Murphy Oil Corp. | 40,500 | 2,496,638 | (30,593) | |||||||||
Nabors Industries Ltd. | 145,534 | 2,267,043 | (38,917) | |||||||||
National Oilwell Varco, Inc. | 17,400 | 1,217,028 | (18,168) | |||||||||
NCR Corp. | 164,917 | 4,532,760 | 907,852 | |||||||||
Neustar, Inc. | 2,700 | 118,357 | 13,079 | |||||||||
Newell Rubbermaid, Inc. | 64,600 | 1,481,278 | 214,472 | |||||||||
Newfield Exploration Co. | 35,700 | 852,121 | 752 | |||||||||
News Corp. | 234,400 | 6,437,829 | 1,203,611 | |||||||||
NiSource, Inc. | 14,400 | 386,851 | 25,565 | |||||||||
Noble Energy, Inc. | 14,400 | 849,782 | 14,794 | |||||||||
Norfolk Southern Corp. | 4,900 | 369,714 | (13,729) | |||||||||
Northrop Grumman Corp. | 74,200 | 5,024,406 | 1,119,354 | |||||||||
NorthWestern Corp. | 1,500 | 54,752 | 5,098 | |||||||||
NV Energy, Inc. | 12,000 | 243,621 | 37,899 | |||||||||
NVIDIA Corp. | 203,300 | 2,704,864 | 147,435 | |||||||||
NVR, Inc. | 100 | 97,800 | (5,600) | |||||||||
Oceaneering International, Inc. | 52,600 | 3,252,946 | 544,774 | |||||||||
OGE Energy Corp. | 11,600 | 716,713 | 74,407 | |||||||||
Old Dominion Freight Line, Inc. | 37,200 | 1,375,227 | 173,037 | |||||||||
Old Republic International Corp. | 53,646 | 699,167 | (8,743) | |||||||||
Olin Corp. | 6,800 | 155,788 | 6,868 | |||||||||
Omnicare, Inc. | 40,100 | 1,625,534 | 287,637 | |||||||||
Omnicom Group, Inc. | 3,500 | 186,130 | 33,915 | |||||||||
ON Semiconductor Corp. | 386,100 | 3,105,147 | 14,541 | |||||||||
Oracle Corp. | 19,800 | 662,461 | (54,205) | |||||||||
Orchard Supply Hardware | 99 | 181 | (167) | |||||||||
O’Reilly Automotive, Inc. | 17,000 | 1,678,030 | 236,510 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 69 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Oshkosh Corp. | 20,900 | $ | 821,160 | $ | (27,587) | |||||||
Owens-Illinois, Inc. | 100,000 | 2,349,536 | 429,464 | |||||||||
Packaging Corp. of America | 25,300 | 1,144,356 | 94,332 | |||||||||
Pall Corp. | 7,400 | 490,916 | 666 | |||||||||
Panera Bread Co. | 5,300 | 866,020 | 119,462 | |||||||||
Parker Hannifin Corp. | 15,100 | 1,379,536 | 61,004 | |||||||||
Patterson Cos, Inc. | 26,900 | 950,673 | 60,767 | |||||||||
Patterson-UTI Energy, Inc. | 104,900 | 2,083,904 | (53,564) | |||||||||
Paychex, Inc. | 8,100 | 259,362 | 36,450 | |||||||||
PerkinElmer, Inc. | 25,347 | 873,340 | (49,563) | |||||||||
PetSmart, Inc. | 44,400 | 3,011,249 | (36,893) | |||||||||
Pfizer, Inc. | 72,586 | 2,014,887 | 18,247 | |||||||||
PG&E Corp. | 28,500 | 1,183,872 | 119,433 | |||||||||
Pinnacle West Capital Corp. | 28,200 | 1,521,806 | 42,448 | |||||||||
PMC—Sierra, Inc. | 22,169 | 127,250 | 13,523 | |||||||||
PNC Financial Services Group, Inc. | 24,900 | 1,585,090 | 230,618 | |||||||||
PNM Resources, Inc. | 28,000 | 571,481 | 49,839 | |||||||||
Polaris Industries, Inc. | 16,800 | 1,508,017 | 87,983 | |||||||||
Polycom, Inc. | 288,600 | 3,292,990 | (251,146) | |||||||||
Popular, Inc. | 79,126 | 1,994,096 | 405,795 | |||||||||
Portland General Electric Co. | 23,300 | 679,717 | 33,030 | |||||||||
PPG Industries, Inc. | 30,742 | 4,390,327 | 110,610 | |||||||||
ProAssurance Corp. | 11,900 | 519,892 | 100,812 | |||||||||
Procter & Gamble Co. | 22,300 | 1,637,220 | 79,657 | |||||||||
Protective Life Corp. | 54,701 | 1,693,473 | 407,593 | |||||||||
Prudential Financial, Inc. | 4,100 | 291,920 | 7,503 | |||||||||
Public Service Enterprise Group, Inc. | 19,400 | 578,581 | 55,023 | |||||||||
Pulte Group, Inc. | 257,800 | 5,143,814 | (253,348) | |||||||||
PVH Corp. | 19,683 | 2,318,100 | 143,259 | |||||||||
QLogic Corp. | 46,676 | 526,505 | (80,283) | |||||||||
Quest Diagnostics, Inc. | 10,300 | 604,605 | 19,884 | |||||||||
RadioShack Corp. | 141,696 | 356,333 | 91,426 | |||||||||
Raytheon Co. | 67,500 | 3,931,875 | 531,225 | |||||||||
Regal Entertainment Group | 37,800 | 559,780 | 116,840 | |||||||||
Regal-Beloit Corp. | 7,900 | 584,205 | (71,969) | |||||||||
Regions Financial Corp. | 116,100 | 865,091 | 241,342 | |||||||||
Reinsurance Group of America, Inc. | 41,400 | 2,301,426 | 559,728 | |||||||||
Reliance Steel & Aluminum Co. | 93,900 | 6,111,896 | 44,188 | |||||||||
Reynolds American, Inc. | 2,100 | 89,613 | 11,964 | |||||||||
Robert Half International, Inc. | 81,200 | 2,776,715 | (78,439) | |||||||||
Rock-Tenn Co. | 9,400 | 955,527 | (16,655) | |||||||||
Rockwell Automation, Inc. | 5,300 | 462,827 | (22,185) | |||||||||
Rockwood Holdings, Inc. | 2,796 | 141,841 | 37,187 | |||||||||
Ross Stores, Inc. | 51,779 | 3,038,427 | 317,370 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
RPC, Inc. | 79,484 | $ | 1,124,885 | $ | (27,211) | |||||||
RPM International, Inc. | 39,000 | 1,227,816 | 17,844 | |||||||||
Ryder System, Inc. | 32,700 | 1,791,960 | 195,873 | |||||||||
Safeway, Inc. | 28,600 | 561,951 | 114,725 | |||||||||
Sally Beauty Holdings, Inc. | 73,878 | 1,869,786 | 427,820 | |||||||||
Sanderson Farms, Inc. | 15,805 | 795,146 | 254,622 | |||||||||
SEACOR Holdings, Inc. | 15,900 | 1,082,500 | 237,995 | |||||||||
Seagate Technology PLC | 118,000 | 4,171,485 | 1,118,455 | |||||||||
Sears Holdings Corp. | 15,513 | 723,535 | (70,748) | |||||||||
SEI Investments Co. | 19,200 | 508,344 | 37,512 | |||||||||
Sempra Energy | 800 | 58,807 | 6,601 | |||||||||
Service Corp. International | 190,400 | 2,884,318 | 548,594 | |||||||||
Sherwin-Williams Co./The | 12,500 | 2,038,477 | 169,023 | |||||||||
Signet Jewelers Ltd. | 60,300 | 3,809,227 | 256,802 | |||||||||
SLM Corp. | 140,900 | 2,414,160 | 806,814 | |||||||||
SM Energy Co. | 16,200 | 936,682 | 34,994 | |||||||||
Smith Corp. | 49,000 | 1,651,124 | 126,596 | |||||||||
Snap-on, Inc. | 14,200 | 1,148,638 | 120,558 | |||||||||
Sohu.com, Inc. | 22,200 | 1,276,059 | 91,905 | |||||||||
Sonoco Products Co. | 827 | 25,546 | 3,043 | |||||||||
Southwest Airlines Co. | 26,100 | 351,158 | (14,729) | |||||||||
Spirit Aerosystems Holdings, Inc. | 18,600 | 404,251 | (4,723) | |||||||||
SPX Corp. | 7,600 | 539,068 | 7,980 | |||||||||
St. Jude Medical, Inc. | 13,600 | 541,192 | 79,376 | |||||||||
Starbucks Corp. | 8,500 | 511,379 | 45,286 | |||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,600 | 283,249 | 7,425 | |||||||||
Steel Dynamics, Inc. | 403,300 | 6,106,294 | (93,091) | |||||||||
STERIS Corp. | 5,700 | 222,600 | 21,816 | |||||||||
SunTrust Banks, Inc. | 50,796 | 1,469,125 | 134,504 | |||||||||
Swift Energy Co. | 20,100 | 323,206 | (82,207) | |||||||||
Symantec Corp. | 313,400 | 6,787,203 | 254,895 | |||||||||
Synopsys, Inc. | 60,600 | 1,997,527 | 168,923 | |||||||||
TE Connectivity Ltd. | 123,900 | 4,992,487 | 649,919 | |||||||||
Tech Data Corp. | 44,732 | 2,182,083 | (75,653) | |||||||||
Teleflex, Inc. | 15,500 | 1,178,343 | 22,752 | |||||||||
Telephone & Data System | 62,900 | 1,405,609 | 144,876 | |||||||||
Tellabs, Inc. | 582,081 | 1,295,129 | (142,609) | |||||||||
Tesoro Corp. | 66,600 | 3,769,324 | (284,812) | |||||||||
Thermo Fisher Scientific, Inc. | 48,300 | 3,556,112 | 531,517 | |||||||||
Thoratec Corp. | 59,364 | 2,153,244 | (294,557) | |||||||||
TIBCO Software, Inc. | 35,000 | 727,148 | 21,852 | |||||||||
Time Warner Cable, Inc. | 38,300 | 3,621,158 | 686,826 | |||||||||
Timken Co. | 101,900 | 5,287,647 | 447,285 | |||||||||
TJX Cos, Inc. | 70,100 | 3,131,106 | 378,100 | |||||||||
T-Mobile US, Inc. | 21,988 | 438,157 | 107,365 | |||||||||
Toll Brothers, Inc. | 7,126 | 257,238 | (24,716) | |||||||||
Torchmark Corp. | 16,200 | 869,181 | 186,087 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
70 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Total System Services, Inc. | 57,100 | $ | 1,362,977 | $ | 34,831 | |||||||
Towers Watson & Co. | 8,600 | 496,564 | 208,120 | |||||||||
Tractor Supply Co. | 17,760 | 1,728,297 | 360,457 | |||||||||
Transdigm, Inc. | 7,376 | 1,124,432 | 31,903 | |||||||||
Transocean Ltd. | 72,200 | 4,019,425 | (557,435) | |||||||||
Travelers Cos, Inc./The | 21,400 | 1,717,457 | (7,169) | |||||||||
TRW Automotive Holdings Corp. | 53,800 | 3,251,697 | 322,775 | |||||||||
Tupperware Brands Corp. | 25,900 | 1,736,738 | 275,433 | |||||||||
Tyco International Ltd. | 256,500 | 8,199,584 | 252,091 | |||||||||
Tyson Foods, Inc. | 76,100 | 1,778,557 | 175,691 | |||||||||
UGI Corp. | 6,400 | 232,732 | 17,572 | |||||||||
Union Pacific Corp. | 15,500 | 2,115,980 | 275,360 | |||||||||
Unit Corp. | 28,200 | 1,291,861 | (91,105) | |||||||||
United Parcel Service, Inc. | 9,300 | 748,232 | 56,032 | |||||||||
United States Steel Corp. | 75,503 | 1,864,924 | (541,357) | |||||||||
United Technologies Corp. | 200 | 18,088 | 500 | |||||||||
Universal Health Services, Inc. | 45,800 | 2,810,208 | 256,560 | |||||||||
Unum Group | 91,800 | 2,066,418 | 629,748 | |||||||||
URS Corp. | 32,100 | 1,298,766 | 216,996 | |||||||||
US BanCorp. | 19,600 | 642,096 | 66,444 | |||||||||
Valero Energy Corp. | 12,400 | 516,359 | (85,211) | |||||||||
Validus Holding Ltd. | 23,601 | 830,755 | 21,713 | |||||||||
Valmont Industries, Inc. | 8,700 | 1,351,358 | (106,475) | |||||||||
Valspar Corp. | 32,800 | 2,192,104 | (70,928) | |||||||||
Verisk Analytics, Inc. | 23,700 | 1,295,677 | 119,213 | |||||||||
Verizon Communications, Inc. | 28,500 | 1,200,705 | 233,985 | |||||||||
Vertex Pharmaceuticals, Inc. | 100,373 | 4,730,119 | 3,286,673 | |||||||||
Viacom, Inc. | 24,100 | 1,512,405 | 127,601 | |||||||||
Vishay Intertechnology, Inc. | 48,254 | 595,049 | 75,199 | |||||||||
WABCO Holdings, Inc. | 47,100 | 3,131,209 | 386,690 | |||||||||
Wabtec Corp. | 10,000 | 449,303 | 84,997 | |||||||||
Wal-Mart Stores, Inc. | 12,400 | 913,345 | 10,331 | |||||||||
Walt Disney Co./The | 12,400 | 649,884 | 133,176 | |||||||||
Warner Chilcott PLC | 501,327 | 6,888,746 | 3,077,635 | |||||||||
Washington Post Co./The | 1,832 | 700,523 | 185,744 | |||||||||
Waste Management, Inc. | 12,700 | 470,641 | 41,550 | |||||||||
Waters Corp. | 500 | 45,285 | 4,740 | |||||||||
Webster Financial Corp. | 9,786 | 222,358 | 28,946 | |||||||||
Wells Fargo & Co. | 59,300 | 2,100,412 | 346,899 | |||||||||
Werner Enterprises, Inc. | 6,100 | 142,396 | 5,041 | |||||||||
Western Digital Corp. | 132,200 | 6,464,778 | 1,743,520 | |||||||||
WGL Holdings, Inc. | 900 | 35,964 | 2,934 | |||||||||
Whirlpool Corp. | 44,700 | 4,814,646 | 297,246 | |||||||||
WhiteWave Foods Co. | 104,610 | 433,427 | 1,156,645 | |||||||||
WhiteWave Foods Co. | 73,440 | 2,444,430 | (1,251,030) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Whiting Petroleum Corp. | 39,600 | $ | 1,917,887 | $ | (92,723) | |||||||
Whole Foods Market, Inc. | 13,400 | 703,751 | (13,919) | |||||||||
Williams-Sonoma, Inc. | 44,200 | 2,057,703 | 412,635 | |||||||||
Wisconsin Energy Corp. | 18,100 | 686,895 | 55,024 | |||||||||
Wolverine World Wide, Inc. | 3,100 | 132,246 | 37,045 | |||||||||
Worthington Industries, Inc. | 30,600 | 919,149 | 51,177 | |||||||||
WR Grace & Co. | 46,500 | 3,375,373 | 532,487 | |||||||||
Wyndham Worldwide Corp. | 73,600 | 4,229,827 | (17,699) | |||||||||
Xcel Energy, Inc. | 12,800 | 349,053 | 13,699 | |||||||||
Xerox Corp. | 148,700 | 1,242,425 | 106,284 | |||||||||
Yahoo!, Inc. | 465,900 | 9,720,144 | 1,978,605 | |||||||||
Zimmer Holdings, Inc. | 17,400 | 1,270,200 | 33,756 | |||||||||
Zoetis, Inc. | 22,878 | 637,301 | 69,400 | |||||||||
|
| |||||||||||
77,626,808 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 77,654,420 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Canada | ||||||||||||
Brookfield Assets | (10,700) | (387,196) | 1,781 | |||||||||
|
| |||||||||||
Switzerland | ||||||||||||
Pentair Ltd. | (45,610) | (2,364,878) | (266,362) | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Liberty Global PLC | (73,000) | (5,088,915) | (318,925) | |||||||||
|
| |||||||||||
United States | ||||||||||||
Actuant Corp. | (31,101) | (911,424) | (113,976) | |||||||||
Adobe Systems, Inc. | (24,500) | (924,385) | (191,835) | |||||||||
ADTRAN, Inc. | (196,800) | (4,174,508) | (668,740) | |||||||||
Advanced Micro Device | (1,131,300) | (3,308,536) | (1,307,168) | |||||||||
Aetna, Inc. | (14,600) | (755,426) | (172,258) | |||||||||
Air Products & Chemicals, Inc. | (6,500) | (574,622) | (20,583) | |||||||||
Akamai Technologies, Inc. | (43,029) | (1,990,658) | 159,774 | |||||||||
Alcoa, Inc. | (10,900) | (88,965) | 3,727 | |||||||||
Alere, Inc. | (94,600) | (2,097,133) | (220,567) | |||||||||
Allegheny Technologies, Inc. | (104,600) | (3,113,906) | 361,880 | |||||||||
Allergan, Inc. | (14,721) | (1,545,820) | 305,723 | |||||||||
Alliance Data Systems Corp. | (20,500) | (3,251,842) | (459,273) | |||||||||
Altera Corp. | (74,200) | (2,626,556) | 178,698 | |||||||||
American Express Co. | (60,600) | (3,748,439) | (782,017) | |||||||||
AmerisourceBergen Corp. | (29,322) | (1,421,439) | (215,609) | |||||||||
AMETEK, Inc. | (5,300) | (207,495) | (16,695) | |||||||||
Amphenol Corp. | (23,999) | (1,627,852) | (242,630) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 71 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
ANSYS, Inc. | (6,100) | $ | (448,716) | $ | 2,806 | |||||||
Apache Corp. | (13,600) | (1,067,244) | (72,844) | |||||||||
Apollo Group, Inc. | (192,000) | (3,677,513) | 275,273 | |||||||||
Apple, Inc. | (22,500) | (10,127,989) | 1,216,189 | |||||||||
ARCH Capital Group, Inc. | (14,100) | (630,411) | (94,470) | |||||||||
Arch Coal, Inc. | (619,600) | (3,988,415) | 1,646,327 | |||||||||
Aruba Networks, Inc. | (219,000) | (4,903,033) | 1,539,193 | |||||||||
Ashland, Inc. | (37,100) | (3,117,428) | 19,578 | |||||||||
Assured Guaranty Ltd. | (84,400) | (1,479,901) | (381,963) | |||||||||
athenahealth, Inc. | (24,400) | (2,150,471) | 83,303 | |||||||||
Atmel Corp. | (478,600) | (3,221,475) | (296,235) | |||||||||
Atwood Oceanics, Inc. | (40,400) | (2,044,590) | (58,230) | |||||||||
Automatic Data Processing, Inc. | (5,787) | (342,417) | (56,076) | |||||||||
Autonation, Inc. | (12,600) | (556,710) | 9,996 | |||||||||
Avery Dennison Corp. | (4,971) | (178,857) | (33,703) | |||||||||
Avon Products, Inc. | (176,300) | (2,904,719) | (802,870) | |||||||||
Baker Hughes, Inc. | (111,400) | (4,863,604) | (275,278) | |||||||||
Bally Technologies, Inc. | (45,400) | (2,223,553) | (337,915) | |||||||||
Bank of America Corp | (198,400) | (2,462,622) | (88,802) | |||||||||
Bank of Hawaii | (4,300) | (201,627) | (14,749) | |||||||||
Bank of New York Mellon Corp./The | (41,965) | (1,109,692) | (67,427) | |||||||||
Barnes Group, Inc. | (18,900) | (437,610) | (129,201) | |||||||||
Baytex Energy Corp. | (9,900) | (417,991) | 61,195 | |||||||||
BB&T Corp. | (900) | (27,801) | (2,691) | |||||||||
Bed Bath & Beyond, Inc. | (17,600) | (1,067,495) | (180,345) | |||||||||
Bill Barrett Corp. | (108,134) | (2,047,778) | (138,691) | |||||||||
BioMarin Pharmaceutical, Inc. | (64,900) | (3,489,373) | (131,398) | |||||||||
Black Hills Corp. | (16,783) | (656,551) | (161,620) | |||||||||
Boeing Co./The | (18,100) | (1,379,765) | (474,399) | |||||||||
BorgWarner, Inc. | (19,900) | (1,497,886) | (216,499) | |||||||||
Bristol-Myers Squibb Co. | (215,300) | (7,795,678) | (1,826,079) | |||||||||
Broadcom Corp. | (11,100) | (390,054) | 15,318 | |||||||||
Brookdale Senior Living | (50,500) | (1,390,659) | 55,439 | |||||||||
Cablevision Systems Corp. | (91,700) | (1,406,338) | (136,056) | |||||||||
CACI International, Inc. | (200) | (11,462) | (1,236) | |||||||||
Cadence Design Systems, Inc. | (17,900) | (244,396) | (14,796) | |||||||||
Calpine Corp. | (755) | (14,232) | (1,797) | |||||||||
Campbell Soup Co. | (23,600) | (980,142) | (76,902) | |||||||||
CARBO Ceramics, Inc. | (16,500) | (1,433,684) | 321,089 | |||||||||
CarMax, Inc. | (204,801) | (7,938,484) | (1,515,130) | |||||||||
Carnival Corp. | (23,900) | (912,741) | 93,210 | |||||||||
Casey’s General Stores, Inc. | (2,200) | (118,426) | (13,926) | |||||||||
Cash America International, Inc. | (37,913) | (1,662,467) | (61,058) | |||||||||
Caterpillar, Inc. | (67,200) | (6,307,328) | 764,000 | |||||||||
Cavium, Inc. | (132,900) | (4,290,179) | (410,494) | |||||||||
CBRE Group, Inc. | (15,500) | (387,241) | 25,161 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Centene Corp. | (38,600) | $ | (1,653,731) | $ | (371,225) | |||||||
CenturyLink, Inc. | (107,600) | (4,057,492) | 253,832 | |||||||||
Cepheid, Inc. | (121,900) | (4,411,578) | 215,780 | |||||||||
Cerner Corp. | (6,900) | (551,655) | (111,366) | |||||||||
CH Robinson Worldwide, Inc. | (45,100) | (2,826,162) | 286,581 | |||||||||
Charles Schwab Corp./The | (751,100) | (11,894,454) | (4,051,399) | |||||||||
Chart Industries, Inc. | (48,700) | (3,480,579) | (1,101,604) | |||||||||
Check Point Software | (29,800) | (1,459,120) | (21,344) | |||||||||
Cheesecake Factory, Inc. | (10,689) | (360,358) | (87,405) | |||||||||
Chesapeake Energy Corp. | (348,800) | (6,361,856) | (746,688) | |||||||||
Childrens Place Retail Stores, Inc./The | (31,200) | (1,552,846) | (156,914) | |||||||||
Chipotle Mexican Grill, Inc. | (26,700) | (7,938,314) | (1,789,831) | |||||||||
Ciena Corp. | (264,800) | (4,309,527) | (832,889) | |||||||||
Cimarex Energy Co. | (14,700) | (926,750) | (28,603) | |||||||||
Cinncinnati Financial Corp. | (35,800) | (1,487,457) | (155,763) | |||||||||
Citrix Systems, Inc. | (21,600) | (1,381,767) | 78,639 | |||||||||
City National Corp. | (6,200) | (326,616) | (66,278) | |||||||||
Clean Harbors, Inc. | (17,700) | (978,923) | 84,542 | |||||||||
Cliffs Natural Resources, Inc. | (373,600) | (12,055,166) | 5,984,166 | |||||||||
Clorox Co. | (8,200) | (630,580) | (51,168) | |||||||||
CMS Energy Corp. | (2,000) | (49,820) | (4,520) | |||||||||
Coach, Inc. | (325,100) | (18,135,867) | (424,092) | |||||||||
Coca-Cola Co./The | (73,100) | (2,745,647) | (186,394) | |||||||||
Cognizant Technology Solutions Corp. | (22,225) | (1,745,107) | 353,600 | |||||||||
Comerica, Inc. | (83,500) | (2,824,625) | (501,180) | |||||||||
Compass Minerals International, Inc. | (8,000) | (591,422) | (84,817) | |||||||||
Concho Resources, Inc. | (35,200) | (3,058,799) | 111,855 | |||||||||
Concur Technologies, Inc. | (69,000) | (4,898,512) | (716,708) | |||||||||
Consol Energy, Inc. | (259,100) | (8,018,813) | 997,203 | |||||||||
Continental Resources, Inc. | (44,300) | (3,730,768) | (81,690) | |||||||||
Copart, Inc. | (18,913) | (600,589) | 18,069 | |||||||||
Core Laboratories NV | (34,000) | (4,110,796) | (1,045,644) | |||||||||
Cree, Inc. | (55,067) | (1,832,289) | (1,684,290) | |||||||||
Crown Castle International Corp. | (41,100) | (2,987,364) | 12,135 | |||||||||
Cubist Pharmaceutical Co. | (10,552) | (459,645) | (50,016) | |||||||||
Cullen Frost Bankers | (5,300) | (308,055) | (45,826) | |||||||||
CVR Energy, Inc. | (27,100) | (1,464,636) | 180,096 | |||||||||
Cypress Semiconductor | (155,800) | (1,656,728) | (15,006) | |||||||||
Dana Holding Corp. | (14,913) | (240,690) | (46,534) | |||||||||
Danaher Corp. | (37,399) | (2,270,493) | (96,863) | |||||||||
Darden Restaurants, Inc. | (35,500) | (1,648,326) | (143,714) | |||||||||
Deckers Outdoor Corp. | (73,300) | (3,107,238) | (595,145) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
72 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Deere & Co. | (2,900) | $ | (261,290) | $ | 25,665 | |||||||
Dell, Inc. | (310,200) | (4,089,355) | (51,815) | |||||||||
Denbury Resources, Inc. | (1,399) | (25,892) | 1,661 | |||||||||
DENTSPLY International, Inc. | (33,200) | (1,363,642) | 3,770 | |||||||||
DeVry, Inc. | (118,300) | (3,124,472) | (545,194) | |||||||||
Dick’s Sporting Goods, Inc. | (34,500) | (1,665,431) | (61,639) | |||||||||
Discovery Communications, Inc. | (23,000) | (1,549,050) | (226,780) | |||||||||
Dominion Resources, Inc. | (43,500) | (2,279,835) | (191,835) | |||||||||
Dow Chemical Co./The | (200,500) | (6,764,892) | 314,807 | |||||||||
DreamWorks Animation SKG, Inc. | (49,200) | (915,396) | (347,076) | |||||||||
Dril-Quip, Inc. | (4,800) | (374,605) | (58,787) | |||||||||
DSW, Inc. | (13,400) | (943,318) | (41,180) | |||||||||
E*Trade Financial Corp. | (36,000) | (407,531) | (48,229) | |||||||||
Eagle Materials, Inc. | (2,400) | (152,784) | (6,264) | |||||||||
eBay, Inc. | (6,759) | (383,222) | 33,647 | |||||||||
Ecolab, Inc. | (39,500) | (2,895,811) | (469,194) | |||||||||
Edwards Lifesciences Corp. | (3,800) | (347,738) | 92,378 | |||||||||
EI du Pont de Nemours & Co. | (44,900) | (2,124,982) | (232,268) | |||||||||
Electronic Arts, Inc. | (73,127) | (1,121,426) | (558,301) | |||||||||
EMC Corp. | (133,100) | (3,304,846) | 161,024 | |||||||||
Emerson Electric Co. | (20,600) | (1,140,210) | 16,686 | |||||||||
Enerplus Corp. | (39,200) | (540,495) | (39,273) | |||||||||
EQT Corp. | (15,300) | (903,618) | (310,743) | |||||||||
Equinix, Inc. | (22,100) | (4,810,489) | 728,177 | |||||||||
Estee Lauder Cos., Inc./The | (6,100) | (394,590) | (6,607) | |||||||||
Exelon Corp. | (273,400) | (8,478,846) | 36,254 | |||||||||
Expeditors International of Washington, Inc. | (10,100) | (431,670) | 47,769 | |||||||||
F5 Networks, Inc. | (30,900) | (3,001,861) | 875,941 | |||||||||
Factset Research Systems, Inc. | (8,300) | (756,462) | (89,640) | |||||||||
Fairchild Semiconductor Co. | (70,600) | (1,030,793) | 56,513 | |||||||||
Family Dollar Stores, Inc. | (28,700) | (1,701,252) | (87,045) | |||||||||
Fastenal Co. | (137,900) | (6,521,497) | 198,782 | |||||||||
Federated Investors, Inc. | (29,200) | (724,559) | (75,813) | |||||||||
Fidelity National Financial, Inc. | (12,900) | (333,336) | 26,187 | |||||||||
Finisar Corp. | (349,737) | (5,473,113) | (454,929) | |||||||||
First Horizon National Corp. | (195,600) | (2,014,563) | (176,157) | |||||||||
FirstEnergy Corp. | (34,100) | (1,323,576) | 50,282 | |||||||||
FirstMerit Corp. | (23,700) | (403,269) | (71,442) | |||||||||
FLIR Systems, Inc. | (94,400) | (2,222,012) | (323,956) | |||||||||
Flowers Foods, Inc. | (68,250) | (1,249,086) | (255,826) | |||||||||
Flowserve Corp. | (3,300) | (171,050) | (7,183) | |||||||||
Fluor Corp. | (5,200) | (327,158) | 18,746 | |||||||||
FMC Corp. | (7,100) | (426,942) | (6,584) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
FMC Technologies, Inc. | (102,800) | $ | (4,789,064) | $ | (934,840) | |||||||
Forest City Enterprises, Inc. | (269,000) | (4,644,035) | (173,755) | |||||||||
Fossil Group, Inc. | (29,100) | (3,047,777) | 41,456 | |||||||||
Foster Wheeler AG | (16,400) | (403,409) | 47,365 | |||||||||
Franklin Resources, Inc. | (1,050) | (142,674) | (147) | |||||||||
Freeport-McMoRan Copper & Gold, Inc. | (329,000) | (10,765,511) | 1,681,821 | |||||||||
FTI Consulting, Inc. | (68,306) | (2,253,419) | 6,834 | |||||||||
Gannett Co., Inc. | (51,434) | (1,012,221) | (245,855) | |||||||||
Garmin, Ltd. | (22,400) | (782,687) | (27,297) | |||||||||
GATX Corp. | (16,500) | (769,560) | (13,035) | |||||||||
General Mills, Inc. | (9,700) | (399,155) | (71,586) | |||||||||
Genesee & Wyoming, Inc. | (9,700) | (804,408) | (18,540) | |||||||||
Gentex Corp. | (153,810) | (2,995,145) | (550,175) | |||||||||
Geo Group, Inc./The | (19,151) | (685,547) | 35,371 | |||||||||
Gilead Sciences, Inc. | (124,300) | (4,858,006) | (1,507,397) | |||||||||
Global Payments, Inc. | (15,000) | (707,689) | 12,890 | |||||||||
Google, Inc. | (3,000) | (2,331,052) | (310,058) | |||||||||
GrafTech International Ltd. | (134,600) | (1,098,885) | 118,997 | |||||||||
Great Plains Energy, Inc. | (4,600) | (95,680) | (8,004) | |||||||||
Green Mountain Coffee Roasters, Inc. | (148,188) | (6,267,254) | (4,855,738) | |||||||||
Greenhill & Co., Inc. | (58,500) | (3,234,337) | 558,547 | |||||||||
Gulfport Energy Corp. | (122,400) | (5,269,421) | (491,947) | |||||||||
H&R Block, Inc. | (143,700) | (3,314,247) | (673,428) | |||||||||
Hain Celestial Group, Inc./The | (45,200) | (2,595,093) | (341,551) | |||||||||
Halliburton Co. | (23,400) | (928,281) | (47,967) | |||||||||
Hancock Holding Co. | (25,900) | (832,520) | 53,707 | |||||||||
Hanesbrands, Inc. | (11,811) | (449,645) | (157,677) | |||||||||
Harley-Davidson, Inc. | (32,100) | (1,694,970) | (64,752) | |||||||||
Hawaiian Electric Industries, Inc. | (2,658) | (68,337) | 1,063 | |||||||||
Helmerich & Payne, Inc. | (16,200) | (983,512) | (28,178) | |||||||||
Hertz Global Holdings, Inc. | (264,200) | (4,787,051) | (1,765,109) | |||||||||
Hewlett-Packard Co. | (200,100) | (3,617,702) | (1,344,778) | |||||||||
Hexcel Corp. | (73,600) | (2,030,366) | (475,714) | |||||||||
Hologic, Inc. | (119,600) | (2,638,895) | 330,615 | |||||||||
Hospira, Inc. | (75,700) | (2,586,921) | (313,146) | |||||||||
IDEX Corp. | (7,022) | (348,151) | (29,703) | |||||||||
IDEXX Laboratories, Inc. | (9,000) | (827,065) | 19,045 | |||||||||
IHS, Inc. | (13,600) | (1,397,388) | (22,180) | |||||||||
Illinois Tool Works, Inc. | (10,399) | (658,257) | (61,042) | |||||||||
Informatica Corp. | (101,400) | (3,328,963) | (218,009) | |||||||||
Intel Corp. | (132,400) | (2,970,782) | (235,946) | |||||||||
International Business Machines Corp. | (2,400) | (464,760) | 6,096 | |||||||||
Intersil Corp. | (112,958) | (953,489) | 70,157 | |||||||||
Intrepid Potash, Inc. | (211,100) | (4,349,267) | 327,812 | |||||||||
Intuitive Surgical, Inc. | (16,300) | (8,291,418) | 34,164 | |||||||||
IPG Photonics Corp. | (58,700) | (3,909,060) | 344,209 | |||||||||
Iron Mountain, Inc. | (17,497) | (592,623) | 127,028 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 73 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
ITC Holdings Corp. | (12,300) | $ | (949,313) | $ | (173,677) | |||||||
Jazz Pharmaceuticals Co. | (102,800) | (5,825,076) | (1,240,368) | |||||||||
JB Hunt Transport Services, Inc. | (11,617) | (729,315) | (109,897) | |||||||||
JC Penney Co., Inc. | (118,800) | (2,118,145) | 89,041 | |||||||||
JetBlue Airways Corp. | (208,300) | (1,291,640) | (20,650) | |||||||||
Johnson & Johnson | (6,000) | (437,400) | (77,760) | |||||||||
Johnson Controls, Inc. | (208,700) | (6,762,722) | (706,651) | |||||||||
Joy Global, Inc. | (60,400) | (3,882,294) | 951,082 | |||||||||
Juniper Networks, Inc. | (191,900) | (4,024,454) | 318,865 | |||||||||
Kellogg Co. | (30,600) | (1,767,456) | (197,982) | |||||||||
Kennametal, Inc. | (22,400) | (925,050) | 55,258 | |||||||||
Kirby Corp. | (50,600) | (3,282,988) | (741,736) | |||||||||
Knight Transportation, Inc. | (23,900) | (373,907) | (28,091) | |||||||||
Kohl’s Corp. | (67,500) | (3,069,607) | (339,818) | |||||||||
L Brands, Inc. | (84,800) | (4,067,293) | (109,107) | |||||||||
Laboratory Corp. of America Holdings | (9,000) | (795,281) | (105,619) | |||||||||
Lam Research Corp. | (56,300) | (2,362,383) | (133,959) | |||||||||
Lamar Advertising Co. | (62,600) | (2,701,391) | (15,449) | |||||||||
Las Vegas Sands Corp. | (112,300) | (5,867,282) | (76,757) | |||||||||
Leap Wireless International, Inc. | (265,175) | (1,554,628) | (230,000) | |||||||||
Legg Mason, Inc. | (97,800) | (2,844,565) | (188,213) | |||||||||
Leggett & Platt, Inc. | (33,400) | (956,174) | (82,232) | |||||||||
Lennar Corp. | (66,000) | (2,751,258) | 372,618 | |||||||||
Leucadia National Corp. | (54,825) | (1,295,217) | (142,295) | |||||||||
Level 3 Communications, Inc. | (40,000) | (908,057) | 64,857 | |||||||||
Life Time Fitness, Inc. | (43,803) | (2,084,327) | (110,642) | |||||||||
LifePoint Hospitals, Inc. | (5,200) | (249,952) | (4,016) | |||||||||
Linear Technology Corp. | (10,100) | (367,687) | (4,397) | |||||||||
LKQ Corp. | (9,900) | (261,128) | 6,203 | |||||||||
Lockheed Martin Corp. | (8,500) | (765,699) | (156,211) | |||||||||
Lorillard, Inc. | (18,800) | (771,767) | (49,417) | |||||||||
Lufkin Industries, Inc. | (19,500) | (1,242,498) | (482,667) | |||||||||
Lululemon Athletica, Inc. | (103,600) | (7,047,563) | 259,691 | |||||||||
Manitowoc Co., Inc./The | (147,701) | (2,458,165) | (187,159) | |||||||||
Markel Corp. | (2,000) | (935,340) | (118,560) | |||||||||
Marriott International, Inc. | (37,600) | (1,491,279) | (26,633) | |||||||||
Martin Marietta Materials, Inc. | (36,200) | (3,545,555) | (17,249) | |||||||||
Masimo Corp. | (63,100) | (1,306,149) | (31,571) | |||||||||
Mastercard, Inc. | (1,700) | (898,202) | (78,448) | |||||||||
McCormick & Co., Inc. | (8,800) | (583,352) | (35,816) | |||||||||
McDonald’s Corp. | (18,062) | (1,669,924) | (118,214) | |||||||||
MDU Resources Group, Inc. | (21,421) | (468,691) | (86,327) | |||||||||
Mednax, Inc. | (35,600) | (3,050,061) | (210,187) | |||||||||
Men’s Wearhouse, Inc./The | (46,665) | (1,546,989) | (219,281) | |||||||||
MetLife, Inc. | (50,100) | (1,826,608) | (465,968) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Mettler-Toledo International, Inc. | (6,900) | $ | (1,433,682) | $ | 45,402 | |||||||
Micro Devices, Inc. | (190,974) | (944,226) | (77,485) | |||||||||
Microchip Technology | (27,600) | (942,205) | (85,895) | |||||||||
MICROS Systems, Inc. | (65,600) | (2,941,358) | 110,718 | |||||||||
Monster Beverage Corp. | (80,100) | (4,360,662) | (507,015) | |||||||||
Monster Worldwide, Inc. | (22,100) | (1,470,092) | (280,891) | |||||||||
Monster Worldwide, Inc. | (268,300) | (1,486,816) | 169,463 | |||||||||
Mosaic Co./The | (39,752) | (2,358,931) | 219,876 | |||||||||
MSC Industrial Direct Co., Inc. | (14,899) | (1,147,552) | (6,525) | |||||||||
Mylan, Inc. | (180,900) | (5,333,521) | (279,806) | |||||||||
National Fuel Gas Co. | (5,600) | (283,864) | (40,656) | |||||||||
Navistar International Corp. | (158,400) | (4,948,780) | 551,596 | |||||||||
NetApp, Inc. | (27,900) | (1,087,815) | 33,753 | |||||||||
Netflix, Inc. | (2,300) | (429,339) | (56,168) | |||||||||
NextEra Energy, Inc. | (2,999) | (213,169) | (31,190) | |||||||||
NII Holdings, Inc. | (257,300) | (1,693,313) | (22,878) | |||||||||
NIKE, Inc. | (40,600) | (2,172,827) | (412,581) | |||||||||
Noble Corp. | (3,100) | (122,791) | 6,293 | |||||||||
Nordson Corp. | (7,400) | (488,844) | (24,050) | |||||||||
Nordstrom, Inc. | (104,000) | (5,724,844) | (508,916) | |||||||||
Northeast Utilities | (18,900) | (731,430) | (62,748) | |||||||||
Northern Trust Corp. | (9,800) | (490,490) | (76,930) | |||||||||
NRG Energy, Inc. | (72,806) | (1,724,046) | (219,874) | |||||||||
Nu Skin Enterprises | (39,669) | (1,793,642) | (630,928) | |||||||||
Nuance Communications, Inc. | (467,500) | (9,968,572) | 1,375,922 | |||||||||
Nucor Corp. | (45,400) | (2,067,167) | 100,439 | |||||||||
Occidental Petroleum Corp. | (5,899) | (481,079) | (45,289) | |||||||||
Oil States International, Inc. | (1,700) | (127,926) | (29,562) | |||||||||
Oneok, Inc. | (16,400) | (760,632) | 83,148 | |||||||||
Onyx Pharmaceuticals, Inc. | (46,600) | (3,633,345) | (412,467) | |||||||||
Owens & Minor, Inc. | (600) | (20,731) | 434 | |||||||||
Owens Corning | (83,400) | (3,351,942) | 92,670 | |||||||||
PACCAR, Inc. | (4,099) | (190,399) | (29,554) | |||||||||
Peabody Energy Corp. | (14,576) | (369,793) | 156,400 | |||||||||
Penn National Gaming, Inc. | (9,400) | (495,325) | (1,559) | |||||||||
Penn West Petroleum Corp. | (124,400) | (1,341,674) | 25,522 | |||||||||
Penske Automotive Group, Inc. | (57,100) | (1,777,873) | 34,039 | |||||||||
Pepco Holdings, Inc. | (15,240) | (296,679) | (10,559) | |||||||||
PepsiCo, Inc. | (10,400) | (753,272) | (97,344) | |||||||||
Perrigo Co. | (26,100) | (2,784,848) | (373,252) | |||||||||
Philip Morris International, Inc. | (17,800) | (1,620,661) | 78,825 | |||||||||
Pioneer Natural Resources Co. | (26,500) | (3,024,710) | (811,165) | |||||||||
Pitney Bowes, Inc. | (93,900) | (1,211,550) | (166,902) | |||||||||
Plantronics, Inc. | (12,000) | (507,475) | (19,565) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
74 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Polypore International, Inc. | (7,700) | $ | (306,579) | $ | (3,731) | |||||||
PPL Corp. | (61,000) | (1,774,678) | (71,182) | |||||||||
Praxair, Inc. | (7,800) | (883,194) | (15,054) | |||||||||
Precision Castparts Corp. | (5,900) | (1,098,993) | (234,466) | |||||||||
priceline.com, Inc. | (5,400) | (4,053,639) | (412,863) | |||||||||
Principal Financial Group, Inc. | (50,800) | (1,727,408) | (175,052) | |||||||||
Progressive Corp./The | (185,400) | (4,197,616) | (515,252) | |||||||||
Prosperity Bancshares, Inc. | (3,200) | (145,600) | (20,128) | |||||||||
PTC, Inc. | (5,800) | (136,822) | (5,452) | |||||||||
QEP Resources, Inc. | (55,600) | (1,629,328) | 84,760 | |||||||||
QUALCOMM, Inc. | (82,100) | (5,351,270) | 336,602 | |||||||||
Quality Systems, Inc. | (48,821) | (907,834) | (5,607) | |||||||||
Quanta Services, Inc. | (40,700) | (1,161,447) | 84,525 | |||||||||
Questar Corp. | (7,400) | (160,950) | (15,540) | |||||||||
Quicksilver Resources, Inc. | (67,600) | (128,852) | 15,284 | |||||||||
Rackspace Hosting, Inc. | (165,900) | (9,271,806) | 2,985,855 | |||||||||
Ralph Lauren Corp. | (408) | (71,790) | 904 | |||||||||
Rambus, Inc. | (77,632) | (432,090) | (234,769) | |||||||||
Range Resources Corp. | (66,700) | (4,499,582) | (657,662) | |||||||||
Red Hat, Inc. | (500) | (23,208) | (702) | |||||||||
Rent-A-Center, Inc. | (17,737) | (651,825) | (14,199) | |||||||||
Republic Services, Inc. | (16,600) | (504,474) | (58,930) | |||||||||
ResMed, Inc. | (5,883) | (261,029) | (4,471) | |||||||||
Riverbed Technology, Inc. | (8,900) | (147,936) | 9,452 | |||||||||
Rockwell Collins, Inc. | (34,400) | (2,067,927) | (113,377) | |||||||||
Roper Industries, Inc. | (7,900) | (910,238) | (71,100) | |||||||||
Rosetta Resources, Inc. | (38,600) | (1,903,024) | 261,752 | |||||||||
Rovi Corp. | (59,700) | (992,469) | (371,079) | |||||||||
Rowan Co. | (34,000) | (1,151,569) | (6,811) | |||||||||
SAIC, Inc. | (39,500) | (537,414) | (12,820) | |||||||||
Saks, Inc. | (123,600) | (1,523,524) | (162,380) | |||||||||
Salesforce.com, Inc. | (205,700) | (8,639,685) | 786,059 | |||||||||
Salix Pharmaceutical Corp. | (93,852) | (4,409,373) | (1,798,937) | |||||||||
SanDisk Corp. | (103,770) | (5,021,430) | (1,318,917) | |||||||||
SBA Communications Corp. | (19,400) | (1,402,759) | (35,169) | |||||||||
SCANA Corp. | (1,200) | (55,008) | (3,912) | |||||||||
Schlumberger Ltd. | (31,600) | (2,318,492) | 54,036 | |||||||||
Schnitzer Steel Industries, Inc. | (17,200) | (460,711) | 58,575 | |||||||||
Scotts Miracle-Gro Co. | (16,500) | (735,233) | (61,882) | |||||||||
Scripps Networks Interactive, Inc. | (11,800) | (695,020) | (92,748) | |||||||||
Sealed Air Corp. | (169,400) | (3,201,543) | (855,587) | |||||||||
Sensata Technologies | (76,400) | (2,551,772) | (114,588) | |||||||||
Sigma-Aldrich Corp. | (10,100) | (774,771) | (36,865) | |||||||||
Signature Bank Co. | (9,500) | (712,500) | (76,190) | |||||||||
Silicon Laboratories, Inc. | (2,303) | (97,240) | 1,873 | |||||||||
Skyworks Solutions, Inc. | (153,700) | (3,408,047) | 43,554 |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Smithfield Foods, Inc. | (30,624) | $ | (751,652) | $ | (251,284) | |||||||
Solera Holdings, Inc. | (10,400) | (575,296) | (3,464) | |||||||||
Sotheby’s | (104,300) | (3,956,950) | 2,937 | |||||||||
Southern Co. | (38,000) | (1,634,000) | (42,940) | |||||||||
Southwestern Energy Co. | (122,700) | (4,127,677) | (354,554) | |||||||||
Spectra Energy Corp. | (14,600) | (404,920) | (98,196) | |||||||||
Stanley Black & Decker, Inc. | (37,300) | (2,875,916) | (7,374) | |||||||||
Staples, Inc. | (103,955) | (1,342,227) | (306,500) | |||||||||
State Street Corp. | (8,000) | (410,708) | (110,972) | |||||||||
Stericycle, Inc. | (4,000) | (376,600) | (65,120) | |||||||||
Stifel Financial Corp. | (50,881) | (1,741,281) | (73,645) | |||||||||
Strayer Education, Inc. | (23,800) | (1,259,441) | 97,287 | |||||||||
Stryker Corp. | (712) | (43,161) | (2,891) | |||||||||
SunEdison, Inc. | (312,100) | (1,567,756) | (982,101) | |||||||||
Superior Energy Services, Inc. | (800) | (20,463) | (289) | |||||||||
SUPERVALU, Inc. | (62,300) | (418,299) | 30,794 | |||||||||
SVB Financial Group | (14,500) | (924,426) | (283,714) | |||||||||
Synovus Financial Corp. | (1,665,900) | (4,370,927) | (493,501) | |||||||||
Sysco Corp. | (27,900) | (900,048) | (53,016) | |||||||||
T Rowe Price Group, Inc. | (30,500) | (2,140,770) | (90,305) | |||||||||
Take-Two Interactive Software, Inc. | (27,126) | (351,760) | (54,317) | |||||||||
Target Corp. | (28,300) | (1,823,350) | (125,388) | |||||||||
TCF Financial Corp. | (189,000) | (2,549,059) | (130,961) | |||||||||
TECO Energy, Inc. | (48,200) | (822,012) | (6,546) | |||||||||
Tempur Pedic Co. | (31,100) | (1,429,665) | 64,375 | |||||||||
Tenet Healthcare Corp. | (130,275) | (5,211,219) | (794,458) | |||||||||
Tenneco, Inc. | (14,974) | (539,813) | (138,210) | |||||||||
Teradata Corp. | (34,600) | (2,048,662) | 310,704 | |||||||||
Teradyne, Inc. | (42,500) | (708,465) | (38,260) | |||||||||
Terex Corp. | (9,900) | (302,703) | 42,333 | |||||||||
Texas Instruments, Inc. | (61,400) | (2,035,410) | (105,608) | |||||||||
Textron, Inc. | (11,003) | (303,675) | 17,047 | |||||||||
Tidewater, Inc. | (19,800) | (966,336) | (161,670) | |||||||||
Tiffany & Co. | (124,800) | (7,981,352) | (1,109,080) | |||||||||
Time Warner, Inc. | (8,775) | (433,485) | (73,885) | |||||||||
TreeHouse Foods, Inc. | (17,601) | (933,512) | (220,058) | |||||||||
Trimble Navigation Ltd. | (116,200) | (3,278,295) | 255,933 | |||||||||
Trinity Industries, Inc. | (2,300) | (86,664) | (1,748) | |||||||||
Triumph Group, Inc. | (27,200) | (1,982,504) | (170,376) | |||||||||
Ultra Petroleum Corp. | (124,900) | (2,375,643) | (99,875) | |||||||||
Ultra Salon, Inc. | (26,900) | (2,531,662) | (162,642) | |||||||||
Under Armour, Inc. | (91,200) | (4,337,511) | (1,108,041) | |||||||||
United Continental Holdings, Inc. | (74,400) | (1,909,909) | (418,067) | |||||||||
United Natural Foods, Inc. | (13,247) | (682,935) | (32,270) | |||||||||
UnitedHealth Group, Inc. | (35,300) | (2,022,875) | (288,569) | |||||||||
Universal Corp. | (4,100) | (215,619) | (21,566) | |||||||||
Urban Outfitters, Inc. | (95,718) | (4,130,991) | 281,213 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 75 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRCIATION) | |||||||||
United States (continued) | ||||||||||||
Vail Resorts, Inc. | (13,900) | $ | (731,907) | $ | (123,221) | |||||||
Valley National Bancorp. | (61,099) | (608,620) | 30,012 | |||||||||
ValueClick, Inc. | (44,931) | (1,215,453) | 106,556 | |||||||||
Varian Medical Systems, Inc. | (32,800) | (2,445,408) | 233,048 | |||||||||
VCA Antech, Inc. | (96,500) | (2,105,814) | (411,871) | |||||||||
Vectren Corp. | (400) | (12,220) | (1,312) | |||||||||
VeriSign, Inc. | (55,600) | (2,393,065) | (90,031) | |||||||||
VF Corp. | (4,100) | (621,380) | (170,166) | |||||||||
Viropharma, Inc. | (800) | (20,398) | (2,522) | |||||||||
Visa, Inc. | (600) | (95,928) | (13,722) | |||||||||
Volcano Corp. | (125,200) | (2,779,191) | 509,315 | |||||||||
Waddell & Reed Financial, Inc. | (25,600) | (988,160) | (125,440) | |||||||||
Walgreen Co. | (18,457) | (738,006) | (77,793) | |||||||||
Walter Energy, Inc. | (178,220) | (5,664,083) | 3,810,595 | |||||||||
Waste Connections, Inc. | (2,700) | (92,988) | (18,090) | |||||||||
Watsco, Inc. | (15,000) | (1,132,800) | (126,600) | |||||||||
Weatherford International Ltd. | (129,900) | (1,744,614) | (35,016) | |||||||||
Weight Watchers International, Inc. | (22,167) | (980,901) | (38,781) | |||||||||
WellPoint, Inc. | (5,400) | (352,943) | (88,993) | |||||||||
Wendy’s Company/The | (25,200) | (128,095) | (18,821) | |||||||||
WESCO International, Inc. | (14,900) | (1,024,785) | 12,182 | |||||||||
Westar Energy, Inc. | (9,101) | (280,377) | (10,491) | |||||||||
Western Union Co./The | (502,300) | (7,164,887) | (1,429,466) | |||||||||
Williams Cos, Inc./The | (38,000) | (1,265,076) | 31,216 | |||||||||
Windstream Corp. | (31,700) | (297,505) | 53,098 | |||||||||
WMS Industries, Inc. | (10,713) | (241,216) | (32,073) | |||||||||
Woodward, Inc. | (31,000) | (1,207,984) | (32,016) | |||||||||
World Fuel Services | (6,110) | (228,020) | (16,258) | |||||||||
WR Berkley Corp. | (7,901) | (316,845) | (5,990) | |||||||||
WW Grainger, Inc. | (1,900) | (399,646) | (79,496) | |||||||||
Wynn Resorts Ltd. | (6,400) | (792,026) | (27,174) | |||||||||
Xilinx, Inc. | (11,800) | (429,992) | (37,406) | |||||||||
Yum! Brands, Inc. | (13,300) | (869,987) | (52,235) | |||||||||
Zions BanCorp. | (172,000) | (3,870,422) | (1,096,939) | |||||||||
|
| |||||||||||
(42,142,211) | ||||||||||||
|
| |||||||||||
Total of Short Equity |
| (42,725,717) | ||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 34,928,703 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/ (Payables) (b) | 63,072 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 34,991,775 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund held as collateral was $103,868,327 for both Morgan Stanley total return basket swaps at June 30, 2013.
The accompanying notes are an integral part of these financial statements. | (Continued) |
76 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | VALUE (Note 3) | |||||
Morgan Stanley | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the swaps. | 07/24/2013 — 06/29/2015 | $3,934,675 | |||||
|
|
* | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Long Positions | ||||||||||||
Canada | ||||||||||||
Astral Media, Inc. | 105,283 | $ | 4,710,567 | $ | 290,801 | |||||||
CML HealthCare, Inc. | 164,698 | 1,656,563 | (2,849) | |||||||||
Platino Energy Corp. | 68,808 | 83,469 | (1,687) | |||||||||
Uranium One, Inc. | 1,967,808 | 5,156,955 | (30,214) | |||||||||
|
| |||||||||||
256,051 | ||||||||||||
|
| |||||||||||
Germany | ||||||||||||
Kabel Deutschland Holding AG | 12,500 | 1,379,640 | (7,123) | |||||||||
|
| |||||||||||
Ireland | ||||||||||||
Elan Corp. PLC | 75,924 | 916,279 | 157,286 | |||||||||
|
| |||||||||||
Netherlands | ||||||||||||
DE Master Blenders 1753 NV | 192,413 | 3,045,571 | 33,606 | |||||||||
|
| |||||||||||
United Kingdom | ||||||||||||
Liberty Global PLC | 27 | 1,943 | 57 | |||||||||
|
| |||||||||||
United States | ||||||||||||
American Greetings Corp. | 141,867 | 2,273,690 | 311,127 | |||||||||
Ameristar Casinos, Inc. | 165,232 | 4,336,367 | 7,582 | |||||||||
Arbitron, Inc. | 185,332 | 8,669,457 | (60,786) | |||||||||
Belo Corp. | 25,339 | 346,138 | 7,341 | |||||||||
BMC Software, Inc. | 123,813 | 5,594,222 | (5,303) | |||||||||
Buckeye Technologies, Inc. | 99,860 | 3,725,412 | (26,598) | |||||||||
CapLease, Inc. | 124,434 | 1,060,019 | (9,796) | |||||||||
Clearwire Corp. | 980,593 | 3,102,678 | 1,780,675 | |||||||||
Colonial Properties Trust | 91,563 | 2,130,558 | 77,942 | |||||||||
CommonWealth REIT | 72,355 | 1,651,343 | 21,505 | |||||||||
Compuware Corp. | 110,554 | 1,229,360 | (85,127) | |||||||||
Cooper Tire & Rubber Co. | 11,047 | 380,969 | (14,540) | |||||||||
CVR Energy, Inc. | 4,900 | 248,381 | (16,121) | |||||||||
Dell, Inc. | 579,598 | 7,768,519 | (30,886) |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
United States (continued) | ||||||||||||
Ebix, Inc. | 78,599 | $ | 1,549,456 | $ | (821,629) | |||||||
ExactTarget, Inc. | 56,593 | 1,904,051 | 4,265 | |||||||||
Gardner Denver, Inc. | 74,040 | 5,555,207 | 11,120 | |||||||||
Hudson City BanCorp., Inc. | 1,697,452 | 14,594,158 | 954,502 | |||||||||
Intermec, Inc. | 456,199 | 4,501,663 | (17,226) | |||||||||
Lender Processing Services, Inc. | 178,445 | 5,834,217 | (61,521) | |||||||||
Life Technologies Corp. | 117,048 | 8,645,505 | 17,218 | |||||||||
Lufkin Industries, Inc. | 48,753 | 4,290,273 | 22,905 | |||||||||
National Financial Partners Corp. | 172,713 | 4,331,547 | 39,819 | |||||||||
Netspend Holdings, Inc. | 178,638 | 2,841,911 | 10,938 | |||||||||
NV Energy, Inc. | 246,815 | 5,800,562 | (10,282) | |||||||||
NYSE Euronext | 329,526 | 11,834,603 | 1,807,773 | |||||||||
Power-One, Inc. | 209,046 | 1,318,524 | 2,647 | |||||||||
rue21, Inc. | 31,551 | 1,311,734 | 1,103 | |||||||||
Smithfield Foods, Inc. | 263,232 | 8,641,849 | (21,001) | |||||||||
Stewart Enterprises, Inc. | 167,415 | 2,183,404 | 8,059 | |||||||||
True Religion Apparel, Inc. | 151,577 | 4,787,955 | 10,973 | |||||||||
Vanguard Health Systems, Inc. | 104,567 | 2,168,372 | 347 | |||||||||
Warner Chilcott PLC | 593,022 | 11,629,449 | 159,828 | |||||||||
WMS Industries, Inc. | 279,268 | 7,041,657 | 82,470 | |||||||||
|
| |||||||||||
4,159,323 | ||||||||||||
|
| |||||||||||
Total of Long Equity Positions | 4,599,200 | |||||||||||
|
| |||||||||||
Short Positions | ||||||||||||
Actavis, Inc. | (95,062) | (11,927,689) | (71,036) | |||||||||
Fidelity National Financial, Inc. | (52,972) | (1,307,413) | 46,150 | |||||||||
IntercontinentalExchange, Inc. | (58,120) | (8,577,260) | (1,754,151) | |||||||||
M&T Bank Corp. | (143,004) | (14,794,021) | �� | (1,186,677) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2013 | 77 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Short Positions (continued) |
| |||||||||||
Mid-America Apartment Communities, Inc. | (32,520) | $ | (2,129,421) | $ | (74,460) | |||||||
|
| |||||||||||
Total of Short Equity Positions | (3,040,174) | |||||||||||
|
| |||||||||||
Total of Long and Short Equity Positions | 1,559,026 | |||||||||||
|
| |||||||||||
Net Cash and Other Receivables/(Payables) (b) | 2,375,649 | |||||||||||
|
| |||||||||||
Swaps, at Value | $ | 3,934,675 | ||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Additional collateral for this position held with Morgan Stanley is included in the collateral noted in the other Morgan Stanley total return basket swap.
The accompanying notes are an integral part of these financial statements. |
78 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | AQR RISK PARITY FUND** | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $3,634,889,190 | $58,954,754 | $1,075,580,901 | |||||||||
Investments in securities, at value | $3,634,893,186 | $58,954,744 | $1,073,376,954 | |||||||||
Cash | — | — | 7,952,193 | |||||||||
Foreign currency, at value | 6,321,633 | — | 3,075,360 | |||||||||
Due from brokers | 194,354,975 | 2,092,761 | 38,444,871 | |||||||||
Swaps, at value | 23,210,104 | — | 3,778,990 | |||||||||
Unrealized appreciation on futures contracts | 27,685,851 | — | — | |||||||||
Receivables: | ||||||||||||
Securities sold | — | 156,847 | 98,174,149 | |||||||||
Dividends and interest | 21,548 | 478 | 976,109 | |||||||||
Capital shares sold | 15,581,536 | 9,980 | 3,602,120 | |||||||||
Prepaid expenses | 211,151 | 26,203 | 51,739 | |||||||||
Total Assets | 3,902,279,984 | 61,241,013 | 1,229,432,485 | |||||||||
LIABILITIES: | ||||||||||||
Due to custodian | 1,195,982 | — | — | |||||||||
Due to brokers | 4,393,969 | 896,865 | 3,892,655 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 15,086,818 | — | 3,258,471 | |||||||||
Swaps, at value | 620,550 | 3,577,641 | 17,738,283 | |||||||||
Unrealized depreciation on futures contracts | — | 682,729 | 12,549,188 | |||||||||
Payables: | ||||||||||||
Securities purchased | 5,313,947 | — | 24,137,641 | |||||||||
Accrued Investment advisory fees | 3,269,730 | 12,288 | 770,931 | |||||||||
Accrued Shareholder servicing fees | — | 12,054 | — | |||||||||
Accrued Distribution fees—Class N | 198,122 | 875 | 34,470 | |||||||||
Capital shares redeemed | 1,546,802 | 15,988 | 1,677,742 | |||||||||
Other accrued expenses and liabilities | 1,768,567 | 82,832 | 266,191 | |||||||||
Total Liabilities | 33,394,487 | 5,281,272 | 64,325,572 | |||||||||
Net Assets | $3,868,885,497 | $55,959,741 | $1,165,106,913 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $3,740,513,797 | $68,716,961 | $1,193,775,170 | |||||||||
Undistributed (accumulated) net investment income (loss) | (22,443,931) | (344,334) | 8,680,423 | |||||||||
Undistributed (accumulated) net realized gain (loss) | 115,779,806 | (8,152,506) | (2,462,224) | |||||||||
Net unrealized appreciation (depreciation) | 35,035,825 | (4,260,380) | (34,886,456) | |||||||||
Net Assets | $3,868,885,497 | $55,959,741 | $1,165,106,913 | |||||||||
NET ASSETS: | ||||||||||||
Class I | $2,870,618,577 | $51,880,415 | $1,035,712,169 | |||||||||
Class N | 998,266,920 | 4,079,326 | 129,394,744 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I | 284,004,343 | 6,222,474 | 95,213,276 | |||||||||
Class N | 99,369,796 | 490,334 | 11,935,886 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I | $10.11 | $8.34 | $10.88 | |||||||||
Class N | $10.05 | $8.32 | $10.84 |
Foreign currency at cost of $6,351,715, $— and $3,042,784, respectively.
** | 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. |
AQR Funds | Semi-Annual Report | June 2013 | 79 | |||||||||||||
Consolidated Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND** | AQR RISK PARITY II HV FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** | ||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost | $69,523,114 | $22,146,955 | $1,289,340,798 | |||||||||
Repurchase agreements, at cost | — | 2,668,000 | — | |||||||||
Investments in securities, at value | $68,583,244 | $21,711,032 | $1,389,497,681 | |||||||||
Repurchase agreements, at value | — | 2,668,000 | — | |||||||||
Cash | 1,166,302 | 4,888,201 | — | |||||||||
Foreign currency, at value | 89,133 | 105,180 | 6,298,104 | |||||||||
Due from brokers | 3,726,133 | 2,064,610 | 612,817,640 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 166,836 | 41,956 | — | |||||||||
Swaps, at value | 2,180 | — | 47,157,275 | |||||||||
Unrealized appreciation on futures contracts | — | — | 5,269,663 | |||||||||
Receivables: | ||||||||||||
Securities sold | 11,419,778 | 7,138,671 | 3,718,444 | |||||||||
Foreign tax reclaim | — | — | 520,640 | |||||||||
Dividends and interest | 109,518 | 67,884 | 1,825,098 | |||||||||
Capital shares sold | 155,754 | 5,005,289 | 4,761,712 | |||||||||
Prepaid expenses | 31,119 | 18,190 | 67,558 | |||||||||
Total Assets | 85,449,997 | 43,709,013 | 2,071,933,815 | |||||||||
LIABILITIES: | ||||||||||||
Securities sold short, at value (proceeds $—, $— and $708,672,702, respectively) | — | — | 767,769,311 | |||||||||
Options written, at value (proceeds $—, $— and $228,447, respectively) | — | — | 1,203,658 | |||||||||
Reverse repurchase agreements, at value | — | 8,130,875 | — | |||||||||
Due to custodian | — | — | 1,371,811 | |||||||||
Due to brokers | 433,563 | 635,628 | 2,364,385 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | — | 1,712,997 | |||||||||
Swaps, at value | 511,196 | 580,420 | — | |||||||||
Unrealized depreciation on futures contracts | 1,683,974 | 633,023 | — | |||||||||
Payables: | ||||||||||||
Securities purchased | 2,082,272 | 1,155,499 | 823,204 | |||||||||
Accrued Investment advisory fees | 24,005 | 3,438 | 1,872,435 | |||||||||
Accrued Shareholder servicing fees | 20,114 | 8,809 | — | |||||||||
Accrued Distribution fees—Class N | 4,487 | 3,982 | 10,960 | |||||||||
Capital shares redeemed | 460,434 | 386,766 | 567,231 | |||||||||
Dividends and interest payable on securities sold short | — | — | 1,034,602 | |||||||||
Interest payable for reverse repurchase agreements | — | 1,667 | — | |||||||||
Other accrued expenses and liabilities | 68,739 | 61,676 | 598,953 | |||||||||
Total Liabilities | 5,288,784 | 11,601,783 | 779,329,547 | |||||||||
Net Assets | $80,161,213 | $32,107,230 | $1,292,604,268 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $87,792,664 | $37,504,106 | $1,252,593,831 | |||||||||
Undistributed (accumulated) net investment income (loss) | (157,201) | (37,385) | (13,650,099) | |||||||||
Undistributed (accumulated) net realized gain (loss) | (4,544,841) | (3,801,960) | (30,486,908) | |||||||||
Net unrealized appreciation (depreciation) | (2,929,409) | (1,557,531) | 84,147,444 | |||||||||
Net Assets | $80,161,213 | $32,107,230 | $1,292,604,268 | |||||||||
NET ASSETS: | ||||||||||||
Class I | $61,079,411 | $18,913,036 | $1,238,583,303 | |||||||||
Class N | 19,081,802 | 13,194,194 | 54,020,965 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I | 6,417,619 | 2,050,146 | 122,149,259 | |||||||||
Class N | 2,006,310 | 1,427,815 | 5,341,525 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I | $9.52 | $9.23 | $10.14 | |||||||||
Class N | $9.51 | $9.24 | $10.11 |
Foreign currency at cost of $65,915, $62,830 and $6,296,410, respectively.
** | 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. |
80 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Statements of Operations | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | AQR RISK PARITY FUND** | ||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $75,359 | $1,129 | $7,729 | |||||||||
Interest income | 90,478 | 1,222 | 1,844,104 | |||||||||
Total Income | 165,837 | 2,351 | 1,851,833 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 16,720,985 | 194,681 | 4,568,747 | |||||||||
Shareholder servicing fees | — | 81,117 | — | |||||||||
Custody, administration & accounting fees | 729,180 | 15,855 | 275,290 | |||||||||
Legal fees | 70,527 | 14,417 | 33,237 | |||||||||
Audit & tax fees | 58,478 | 55,971 | 70,228 | |||||||||
Shareholder reporting fees | 138,614 | 6,729 | 12,627 | |||||||||
Transfer agent fees | 1,674,812 | 37,836 | 379,386 | |||||||||
Trustee fees | 78,425 | 2,315 | 31,269 | |||||||||
Distribution fees—Class N | 874,019 | 4,937 | 224,700 | |||||||||
Recoupment of waiver | 203,367 | — | 18,483 | |||||||||
Pricing fee | — | — | 16,908 | |||||||||
Other fees | 273,280 | 31,357 | 98,826 | |||||||||
Total Expenses | 20,821,687 | 445,215 | 5,729,701 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | (7,299) | (17,413) | — | |||||||||
Shareholder servicing fees waived | — | (81,117) | — | |||||||||
Net Expenses | 20,814,388 | 346,685 | 5,729,701 | |||||||||
Net Investment Income (Loss) | (20,648,551) | (344,334) | (3,877,868) | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | (450,142) | 117 | (17,395,689) | |||||||||
Foreign currency and foreign currency translations | (65,447) | — | (174,900) | |||||||||
Forward foreign currency exchange contracts | 101,650,223 | — | (2,579,587) | |||||||||
Futures contracts | (4,576,975) | (420,069) | (7,907,609) | |||||||||
Swap and swaps on futures contracts | 34,644,131 | (7,732,554) | 3,283,827 | |||||||||
Net realized gain (loss) | 131,201,790 | (8,152,506) | (24,773,958) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | 14,601 | 101 | (23,214,046) | |||||||||
Foreign currency and foreign currency translations | (272,370) | — | 35,007 | |||||||||
Forward foreign currency exchange contracts | (76,934,726) | — | 94,077 | |||||||||
Futures contracts | 14,759,785 | (944,264) | (10,178,590) | |||||||||
Swap and swaps on futures contracts | 20,738,394 | (1,885,027) | (15,895,803) | |||||||||
Net change in unrealized appreciation (depreciation) | (41,694,316) | (2,829,190) | (49,159,355) | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | 89,507,474 | (10,981,696) | (73,933,313) | |||||||||
Net increase (decrease) in net assets resulting from operations | $68,858,923 | $(11,326,030) | $(77,811,181) | |||||||||
† Net of foreign taxes withheld of | $— | $— | $192 |
** | 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. |
AQR Funds | Semi-Annual Report | June 2013 | 81 | |||||||||||||
Consolidated Statements of Operations | June 30, 2013 (Unaudited) |
AQR RISK PARITY II MV FUND** | AQR RISK PARITY II HV FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** | ||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income† | $500 | $334 | $9,791,565 | |||||||||
Interest income | 189,718 | 183,899 | 2,204,739 | |||||||||
Securities lending income, net | — | — | 1,032 | |||||||||
Total Income | 190,218 | 184,233 | 11,997,336 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 207,674 | 153,041 | 9,918,469 | |||||||||
Shareholder servicing fees | 103,837 | 54,658 | — | |||||||||
Custody, administration & accounting fees | 20,806 | 17,606 | 276,439 | |||||||||
Legal fees | 12,008 | 12,156 | 31,850 | |||||||||
Audit & tax fees | 49,433 | 49,432 | 85,568 | |||||||||
Shareholder reporting fees | 4,172 | 4,477 | 25,703 | |||||||||
Transfer agent fees | 27,525 | 20,032 | 396,809 | |||||||||
Trustee fees | 2,160 | 1,535 | 27,158 | |||||||||
Organization and offering costs | 17,878 | 18,773 | — | |||||||||
Distribution fees—Class N | 16,173 | 19,263 | 61,227 | |||||||||
Dividends and interest on securities sold short and reverse repurchase agreement | — | 23,618 | 9,731,965 | |||||||||
Pricing fee | 252 | 252 | 15,081 | |||||||||
Other fees | 35,403 | 34,076 | 102,425 | |||||||||
Total Expenses | 497,321 | 408,919 | 20,672,694 | |||||||||
Less waivers: | ||||||||||||
Investment advisory fees waived | (3,674) | (59,360) | (218,761) | |||||||||
Shareholder servicing fees waived | (82,091) | (54,658) | — | |||||||||
Net Expenses | 411,556 | 294,901 | 20,453,933 | |||||||||
Net Investment Income (Loss) | (221,338) | (110,668) | (8,456,597) | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities | (2,771,524) | (2,147,310) | 3,525,349 | |||||||||
Foreign currency and foreign currency translations | (55,611) | (2,239) | 762,071 | |||||||||
Forward foreign currency exchange contracts | 341,090 | 40,613 | 15,839,847 | |||||||||
Futures contracts | (1,201,000) | (328,335) | (11,746,040) | |||||||||
Securities sold short | — | — | (29,344,926) | |||||||||
Swap and swaps on futures contracts | (923,882) | (1,514,415) | 4,365,624 | |||||||||
Written options | — | — | 279,584 | |||||||||
Net realized gain (loss) | (4,610,927) | (3,951,686) | (16,318,491) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities | (1,062,403) | (614,002) | 38,492,798 | |||||||||
Foreign currency and foreign currency translations | 35,285 | 47,889 | (5,571,047) | |||||||||
Forward foreign currency exchange contracts | 211,234 | 140,187 | (9,847,950) | |||||||||
Futures contracts | (1,675,695) | (617,597) | 1,324,904 | |||||||||
Securities sold short | — | — | (18,843,293) | |||||||||
Swap and swaps on futures contracts | (502,299) | (524,624) | 44,302,816 | |||||||||
Written options | — | — | (982,271) | |||||||||
Net change in unrealized appreciation (depreciation) | (2,993,878) | (1,568,147) | 48,875,957 | |||||||||
Net gain (loss) and change in unrealized appreciation (depreciation) | (7,604,805) | (5,519,833) | 32,557,466 | |||||||||
Net increase (decrease) in net assets resulting from operations | $(7,826,143) | $(5,630,501) | $24,100,869 | |||||||||
† Net of foreign taxes withheld of | $— | $— | $843,320 |
** | 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. |
82 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Statements of Changes in Net Assets | June 30, 2013 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND** | AQR RISK-BALANCED COMMODITIES STRATEGY FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 7/09/12*-12/31/12 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(20,648,551) | $(23,819,486) | $(344,334) | $(169,935) | ||||||||||||
Net realized gain (loss) | 131,201,790 | 43,049,129 | (8,152,506) | (749,368) | ||||||||||||
Net change in unrealized appreciation (depreciation) | (41,694,316) | 49,331,383 | (2,829,190) | (1,431,190) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 68,858,923 | 68,561,026 | (11,326,030) | (2,350,493) | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (13,405,142) | — | — | ||||||||||||
Class N | — | (3,993,493) | — | — | ||||||||||||
Total | — | (17,398,635) | — | — | ||||||||||||
Total distributions | — | (17,398,635) | — | — | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 1,126,830,383 | 1,395,656,377 | 13,389,354 | 77,004,032 | ||||||||||||
Reinvestment of distributions | — | 10,360,005 | — | — | ||||||||||||
Cost of shares redeemed | (456,426,861) | (387,573,411) | (14,309,390) | (11,390,971) | ||||||||||||
Net increase (decrease) from capital transactions | 670,403,522 | 1,018,442,971 | (920,036) | 65,613,061 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 554,096,183 | 330,844,230 | 3,877,453 | 3,507,402 | ||||||||||||
Reinvestment of distributions | — | 3,925,643 | — | — | ||||||||||||
Cost of shares redeemed | (88,750,328) | (295,614,412) | (1,208,761) | (1,232,855) | ||||||||||||
Net increase (decrease) from capital transactions | 465,345,855 | 39,155,461 | 2,668,692 | 2,274,547 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 1,135,749,377 | 1,057,598,432 | 1,748,656 | 67,887,608 | ||||||||||||
Total increase (decrease) in net assets | 1,204,608,300 | 1,108,760,823 | (9,577,374) | 65,537,115 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 2,664,277,197 | 1,555,516,374 | 65,537,115 | — | ||||||||||||
End of period | $3,868,885,497 | $2,664,277,197 | $55,959,741 | $65,537,115 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $(22,443,931) | $(1,795,380) | $(344,334) | $— | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 218,555,645 | 112,731,031 | 6,413,854 | — | ||||||||||||
Shares sold | 110,261,734 | 145,328,092 | 1,413,621 | 7,499,229 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,075,795 | — | — | ||||||||||||
Shares redeemed | (44,813,036) | (40,579,273) | (1,605,001) | (1,085,375) | ||||||||||||
Shares outstanding, end of period | 284,004,343 | 218,555,645 | 6,222,474 | 6,413,854 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 54,190,271 | 49,946,509 | 223,691 | — | ||||||||||||
Shares sold | 53,965,595 | 34,790,824 | 402,551 | 340,691 | ||||||||||||
Shares issued on reinvestment of distributions | — | 409,770 | — | — | ||||||||||||
Shares redeemed | (8,786,070) | (30,956,832) | (135,908) | (117,000) | ||||||||||||
Shares outstanding, end of period | 99,369,796 | 54,190,271 | 490,334 | 223,691 |
* | 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. |
AQR Funds | Semi-Annual Report | June 2013 | 83 | |||||||||||||
Consolidated Statements of Changes in Net Assets | June 30, 2013 (Unaudited) |
AQR RISK PARITY FUND** | AQR RISK PARITY II MV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 11/05/12*-12/31/12 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(3,877,868) | $(476,291) | $(221,338) | $2,578 | ||||||||||||
Net realized gain (loss) | (24,773,958) | 81,873,863 | (4,610,927) | 160,027 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (49,159,355) | 7,410,873 | (2,993,878) | 64,469 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (77,811,181) | 88,808,445 | (7,826,143) | 227,074 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (9,796,702) | — | (16,427) | ||||||||||||
Class N | — | (1,584,812) | — | — | ||||||||||||
Total | — | (11,381,514) | — | (16,427) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | (32,256,921) | — | — | ||||||||||||
Class N | — | (6,624,667) | — | — | ||||||||||||
Total | — | (38,881,588) | — | — | ||||||||||||
Total distributions | — | (50,263,102) | — | (16,427) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 393,415,528 | 669,000,824 | 72,071,695 | 38,864,832 | ||||||||||||
Reinvestment of distributions | — | 35,264,133 | — | 16,427 | ||||||||||||
Cost of shares redeemed | (158,230,885) | (206,439,327) | (35,234,164) | (9,067,579) | ||||||||||||
Net increase (decrease) from capital transactions | 235,184,643 | 497,825,630 | 36,837,531 | 29,813,680 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 31,331,246 | 132,332,404 | 26,324,779 | 3,242,604 | ||||||||||||
Reinvestment of distributions | — | 8,172,729 | — | — | ||||||||||||
Cost of shares redeemed | (63,211,910) | (26,348,713) | (7,427,519) | (1,014,366) | ||||||||||||
Net increase (decrease) from capital transactions | (31,880,664) | 114,156,420 | 18,897,260 | 2,228,238 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 203,303,979 | 611,982,050 | 55,734,791 | 32,041,918 | ||||||||||||
Total increase (decrease) in net assets | 125,492,798 | 650,527,393 | 47,908,648 | 32,252,565 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,039,614,115 | 389,086,722 | 32,252,565 | — | ||||||||||||
End of period | $1,165,106,913 | $1,039,614,115 | $80,161,213 | $32,252,565 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $8,680,423 | $12,558,291 | $(157,201) | $64,137 | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 75,596,068 | 31,791,062 | 2,950,196 | — | ||||||||||||
Shares sold | 33,337,061 | 58,917,029 | 6,987,387 | 3,844,193 | ||||||||||||
Shares issued on reinvestment of distributions | — | 3,071,788 | — | 1,620 | ||||||||||||
Shares redeemed | (13,719,853) | (18,183,811) | (3,519,964) | (895,617) | ||||||||||||
Shares outstanding, end of period | 95,213,276 | 75,596,068 | 6,417,619 | 2,950,196 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 14,906,004 | 4,868,266 | 221,957 | — | ||||||||||||
Shares sold | 2,660,830 | 11,658,773 | 2,525,375 | 321,962 | ||||||||||||
Shares issued on reinvestment of distributions | — | 713,153 | — | — | ||||||||||||
Shares redeemed | (5,630,948) | (2,334,188) | (741,022) | (100,005) | ||||||||||||
Shares outstanding, end of period | 11,935,886 | 14,906,004 | 2,006,310 | 221,957 |
* | 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. |
84 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Consolidated Statements of Changes in Net Assets |
AQR RISK PARITY II HV FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE PERIOD 11/05/12*-12/31/12 | FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) | FOR THE YEAR ENDED DECEMBER 31, 2012 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $(110,668) | $5,591 | $(8,456,597) | $(9,845,563) | ||||||||||||
Net realized gain (loss) | (3,951,686) | 290,719 | (16,318,491) | (11,666,874) | ||||||||||||
Net change in unrealized appreciation (depreciation) | (1,568,147) | 10,616 | 48,875,957 | 34,480,693 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | (5,630,501) | 306,926 | 24,100,869 | 12,968,256 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | — | (36,666) | — | (1,085,248) | ||||||||||||
Class N | — | (4,075) | — | — | ||||||||||||
Total | — | (40,741) | — | (1,085,248) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I | — | — | — | (1,191,421) | ||||||||||||
Class N | — | — | — | (54,608) | ||||||||||||
Total | — | — | — | (1,246,029) | ||||||||||||
Total distributions | — | (40,741) | — | (2,331,277) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 48,747,234 | 15,978,772 | 504,082,968 | 682,299,842 | ||||||||||||
Reinvestment of distributions | — | 36,666 | — | 1,825,572 | ||||||||||||
Cost of shares redeemed | (43,239,485) | (1,270) | (96,765,043) | (142,988,282) | ||||||||||||
Net increase (decrease) from capital transactions | 5,507,749 | 16,014,168 | 407,317,925 | 541,137,132 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 23,119,886 | 6,140,990 | 19,263,162 | 39,666,094 | ||||||||||||
Reinvestment of distributions | — | 4,075 | — | 54,570 | ||||||||||||
Cost of shares redeemed | (12,948,378) | (366,944) | (9,443,715) | (41,973,512) | ||||||||||||
Net increase (decrease) from capital transactions | 10,171,508 | 5,778,121 | 9,819,447 | (2,252,848) | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 15,679,257 | 21,792,289 | 417,137,372 | 538,884,284 | ||||||||||||
Total increase (decrease) in net assets | 10,048,756 | 22,058,474 | 441,238,241 | 549,521,263 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 22,058,474 | — | 851,366,027 | 301,844,764 | ||||||||||||
End of period | $32,107,230 | $22,058,474 | $1,292,604,268 | $851,366,027 | ||||||||||||
Undistributed accumulated net investment income (loss) at end of period | $(37,385) | $73,283 | $(13,650,099) | $(5,193,502) | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 1,591,812 | — | 81,626,174 | 26,521,933 | ||||||||||||
Shares sold | 4,686,628 | 1,588,338 | 50,148,060 | 69,512,527 | ||||||||||||
Shares issued on reinvestment of distributions | — | 3,599 | — | 184,399 | ||||||||||||
Shares redeemed | (4,228,294) | (125) | (9,624,975) | (14,592,685) | ||||||||||||
Shares outstanding, end of period | 2,050,146 | 1,591,812 | 122,149,259 | 81,626,174 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 567,306 | — | 4,359,055 | 4,608,787 | ||||||||||||
Shares sold | 2,171,495 | 602,901 | 1,922,703 | 4,042,219 | ||||||||||||
Shares issued on reinvestment of distributions | — | 399 | — | 5,529 | ||||||||||||
Shares redeemed | (1,310,986) | (35,994) | (940,233) | (4,297,480) | ||||||||||||
Shares outstanding, end of period | 1,427,815 | 567,306 | 5,341,525 | 4,359,055 |
* | 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. |
AQR Funds | Semi-Annual Report | June 2013 | 85 | |||||||||||||
Statement of Cash Flows | June 30, 2013 (Unaudited) |
AQR RISK PARITY II HV FUND | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net increase in net assets resulting from operations | $(5,630,501) | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
Payments to purchase securities | (42,783,147) | |||
Proceeds from sale of securities | 49,802,608 | |||
Realized loss on investments in securities | 2,147,310 | |||
Change in unrealized depreciation on investments in securities | 614,002 | |||
Amortization of bond premium | 162,689 | |||
(Increases) decreases in operating assets: | ||||
Repurchase agreements, at value | (2,668,000) | |||
Due from brokers | (138,665) | |||
Unrealized appreciation on forward foreign currency exchange contracts | (41,956) | |||
Swaps, at value | 4,706 | |||
Receivable for securities sold | (7,138,671) | |||
Dividends and interest | 21,433 | |||
Expense reimbursement due from Advisor | 90,647 | |||
Prepaid expenses | 11,111 | |||
Increases (decreases) in operating liabilities | ||||
Due to custodian/broker | 635,628 | |||
Unrealized depreciation on forward foreign currency exchange contracts | (98,231) | |||
Swaps, at value | 519,918 | |||
Unrealized depreciation on futures contracts | 617,597 | |||
Payable for securities purchased | (1,144,957) | |||
Accrued Investment advisory fees | 3,438 | |||
Accrued Shareholder servicing fees | 8,809 | |||
Accrued Distribution fees—Class N | 3,099 | |||
Interest Payable | 777 | |||
Other accrued expenses | 11,363 | |||
Net cash used in operating activities | $(4,988,993) | |||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Proceeds from shares sold | 66,941,313 | |||
Net change in reverse repurchase agreements | (2,459,015) | |||
Payments on shares redeemed | (55,801,097) | |||
Net cash provided by financing activities | $8,681,201 | |||
Net change in cash | 3,692,208 | |||
Cash, beginning of period | 1,301,173 | |||
Cash, end of period | $4,993,381 |
The accompanying notes are an integral part of these financial statements. |
86 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Statement of Cash Flows | June 30, 2013 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net increase in net assets resulting from operations | $24,100,869 | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
Payments to purchase securities | (564,442,388) | |||
Payments to cover short securities | (195,354,446) | |||
Proceeds from securities sold short | 396,904,448 | |||
Proceeds from sale of securities | 171,425,674 | |||
Realized gain on investments in securities | (3,525,349) | |||
Realized loss on securities sold short and written options | 29,065,342 | |||
Change in unrealized appreciation on investments in securities | (38,492,798) | |||
Change in unrealized depreciation on securities sold short and written options | 19,825,564 | |||
Amortization of bond premium | 159,832 | |||
Increases (decreases) in operating assets: | ||||
Due from brokers | (214,284,101) | |||
Unrealized appreciation on forward foreign currency exchange contracts | 8,134,953 | |||
Swaps, at value | (42,534,035) | |||
Unrealized appreciation on futures contracts | (1,324,904) | |||
Receivable for securities sold | (3,148,557) | |||
Foreign tax reclaim | (357,340) | |||
Dividends and interest | (925,493) | |||
Prepaid expenses | (21,723) | |||
Increases (decreases) in operating liabilities | ||||
Due to custodian/broker | 968,188 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 1,712,997 | |||
Swaps, at value | (1,948,199) | |||
Payable for securities purchased | (3,370,915) | |||
Collateral received on securities loaned | (1,238,191) | |||
Accrued Investment advisory fees | 584,079 | |||
Accrued Distribution fees—Class N | 3,259 | |||
Dividends on securities sold short | 760,133 | |||
Other accrued expenses | 178,552 | |||
Net cash used in operating activities | $(417,144,549) | |||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||
Proceeds from shares sold | 528,166,355 | |||
Payments on shares redeemed | (106,552,422) | |||
Net cash provided by financing activities | $421,613,933 | |||
Net change in cash | 4,469,384 | |||
Cash, beginning of period | 1,828,720 | |||
Cash, end of period | $6,298,104 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $2,286,005.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 87 | |||||||||||||
Financial Highlights | June 30, 2013 |
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) | 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 MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.78 | (0.06) | 0.39 | 0.33 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.57 | (0.12) | 0.40 | 0.28 | (0.07) | — | (0.07) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.30 | (0.12) | (0.53) | (0.65) | (0.04) | (0.04) | (0.08) | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/06/106—12/31/10†,5 | $10.00 | (0.12) | 0.66 | 0.54 | (0.09) | (0.15) | (0.24) | |||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.73 | (0.08) | 0.40 | 0.32 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.55 | (0.14) | 0.39 | 0.25 | (0.07) | — | (0.07) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.28 | (0.15) | (0.52) | (0.67) | (0.02) | (0.04) | (0.06) | |||||||||||||||||||||
FOR THE PERIOD ENDED 1/06/106—12/31/10†,5 | $10.00 | (0.15) | 0.66 | 0.51 | (0.08) | (0.15) | (0.23) | |||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.87 | (0.05) | (1.48) | (1.53) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | (0.05) | (0.08) | (0.13) | — | — | — | |||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.86 | (0.06) | (1.48) | (1.54) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | (0.06) | (0.08) | (0.14) | — | — | — | |||||||||||||||||||||
AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.49 | (0.03) | (0.58) | (0.61) | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.62 | — | 1.49 | 1.49 | (0.14) | (0.48) | (0.62) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.28 | 0.04 | 0.51 | 0.55 | (0.21) | — | (0.21) | |||||||||||||||||||||
FOR THE PERIOD ENDED 9/30/106—12/31/10 | $10.00 | 0.02 | 0.38 | 0.40 | (0.12) | — | (0.12) | |||||||||||||||||||||
AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.47 | (0.06) | (0.57) | (0.63) | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.59 | (0.03) | 1.50 | 1.47 | (0.11) | (0.48) | (0.59) | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.27 | 0.03 | 0.49 | 0.52 | (0.20) | — | (0.20) | |||||||||||||||||||||
FOR THE PERIOD ENDED 9/30/106—12/31/10† | $10.00 | 0.01 | 0.38 | 0.39 | (0.12) | — | (0.12) | |||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.17 | (0.03) | (0.62) | (0.65) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | — | 0.19 | 0.19 | (0.02) | — | (0.02) | |||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.18 | (0.02) | (0.65) | (0.67) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | — | 0.18 | 0.18 | — | — | — | |||||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.21 | (0.03) | (0.95) | (0.98) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | 0.01 | 0.23 | 0.24 | (0.03) | — | (0.03) | |||||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.23 | (0.03) | (0.96) | (0.99) | — | — | — | |||||||||||||||||||||
FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | (0.01) | 0.25 | 0.24 | (0.01) | — | (0.01) | |||||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.90 | (0.08) | 0.32 | 0.24 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.70 | (0.17) | 0.40 | 0.23 | (0.01) | (0.02) | (0.03) | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/18/116—12/31/115 | $10.00 | (0.05) | (0.21) | (0.26) | (0.04) | — | (0.04) | |||||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.89 | (0.09) | 0.31 | 0.22 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.69 | (0.23) | 0.45 | 0.22 | — | (0.02) | (0.02) | |||||||||||||||||||||
FOR THE PERIOD ENDED 7/18/116—12/31/115 | $10.00 | (0.06) | (0.21) | (0.27) | (0.04) | — | (0.04) |
* | Annualized for periods less than one year. |
† | Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | 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. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
4 | Portfolio turnover is not annualized. |
5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
6 | Commencement of operations. |
7 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
8 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%. |
The accompanying notes are an integral part of these financial statements. |
88 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Financial Highlights | June 30, 2013 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3 | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$10.11 | 3.37 | % | $2,870,618,577 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
$9.78 | 2.99 | % | $2,136,959,054 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
$9.57 | (6.37 | )% | $1,078,662,373 | 1.25 | % | 1.25 | % | 1.30 | % | (1.22 | )% | 0 | % | |||||||||||||||||||
$10.30 | 5.41 | % | $657,237,349 | 1.25 | % | 1.25 | % | 1.28 | % | (1.27 | )% | 0 | % | |||||||||||||||||||
$10.05 | 3.29 | % | $998,266,920 | 1.50 | % | 1.50 | % | 1.50 | % | (1.50 | )% | 0 | % | |||||||||||||||||||
$9.73 | 2.68 | % | $527,318,143 | 1.50 | % | 1.50 | % | 1.52 | % | (1.48 | )% | 0 | % | |||||||||||||||||||
$9.55 | (6.59 | )% | $476,854,001 | 1.50 | % | 1.50 | % | 1.57 | % | (1.47 | )% | 0 | % | |||||||||||||||||||
$10.28 | 5.12 | % | $271,043,038 | 1.50 | % | 1.50 | % | 1.56 | % | (1.54 | )% | 0 | % | |||||||||||||||||||
$8.34 | (15.50 | )% | $51,880,415 | 1.05 | % | 1.05 | % | 1.34 | % | (1.05 | )% | 0 | % | |||||||||||||||||||
$9.87 | (1.30 | )% | $63,330,812 | 1.05 | % | 1.05 | % | 1.72 | % | (1.04 | )% | 0 | % | |||||||||||||||||||
$8.32 | (15.62 | )% | $4,079,326 | 1.30 | % | 1.30 | % | 1.96 | % | (1.30 | )% | 0 | % | |||||||||||||||||||
$9.86 | (1.40 | )% | $2,206,303 | 1.30 | % | 1.30 | % | 4.00 | % | (1.30 | )% | 0 | % | |||||||||||||||||||
$10.88 | (5.31 | )% | $1,035,712,169 | 0.88 | % | 0.88 | % | 0.88 | % | (0.56 | )% | 50 | % | |||||||||||||||||||
$11.49 | 14.05 | % | $868,660,662 | 0.95 | % | 0.95 | % | 0.95 | % | (0.03 | )% | 72 | % | |||||||||||||||||||
$10.62 | 5.45 | %7 | $337,526,380 | 0.95 | % | 0.95 | % | 1.06 | % | 0.41 | % | 66 | % | |||||||||||||||||||
$10.28 | 3.98 | % | $12,747,565 | 0.95 | % | 0.95 | % | 3.80 | % | 0.44 | % | 19 | % | |||||||||||||||||||
$10.84 | (5.49 | )% | $129,394,744 | 1.20 | % | 1.20 | % | 1.20 | % | (1.01 | )% | 50 | % | |||||||||||||||||||
$11.47 | 13.89 | % | $170,953,453 | 1.20 | % | 1.20 | % | 1.23 | % | (0.26 | )% | 72 | % | |||||||||||||||||||
$10.59 | 5.12 | %7 | $51,560,342 | 1.20 | % | 1.20 | % | 1.42 | % | 0.30 | % | 66 | % | |||||||||||||||||||
$10.27 | 3.88 | % | $11,234,980 | 1.20 | % | 1.20 | % | 3.96 | % | 0.22 | % | 19 | % | |||||||||||||||||||
$9.52 | (6.39 | )% | $61,079,411 | 0.95 | % | 0.95 | % | 1.14 | % | (0.57 | )% | 112 | % | |||||||||||||||||||
$10.17 | 1.87 | % | $29,993,223 | 0.95 | % | 0.95 | % | 2.07 | % | 0.18 | % | 0 | % | |||||||||||||||||||
$9.51 | (6.58 | )% | $19,081,802 | 1.20 | % | 1.20 | % | 1.51 | % | (0.35 | )% | 112 | % | |||||||||||||||||||
$10.18 | 1.80 | % | $2,259,342 | 1.20 | % | 1.20 | % | 2.81 | % | (0.29 | )% | 0 | % | |||||||||||||||||||
$9.23 | (9.60 | )% | $18,913,036 | 1.26 | % | 1.15 | % | 1.70 | % | (0.49 | )% | 114 | % | |||||||||||||||||||
$10.21 | 2.44 | % | $16,253,630 | 1.28 | % | 1.15 | % | 2.26 | % | 0.53 | % | 0 | % | |||||||||||||||||||
$9.24 | (9.68 | )% | $13,194,194 | 1.51 | % | 1.40 | % | 2.18 | % | (0.54 | )% | 114 | % | |||||||||||||||||||
$10.23 | 2.38 | % | $5,804,844 | 1.53 | % | 1.40 | % | 3.44 | % | (0.62 | )% | 0 | % | |||||||||||||||||||
$10.14 | 2.42 | % | $1,238,583,303 | 3.79 | % | 1.98 | % | 3.83 | % | (1.56 | )% | 73 | % | |||||||||||||||||||
$9.90 | 2.36 | % | $808,261,775 | 3.52 | % | 1.98 | % | 3.60 | % | (1.73 | )% | 208 | % | |||||||||||||||||||
$9.70 | (2.57 | )%8 | $257,168,435 | 2.23 | % | 1.98 | % | 2.59 | % | (1.09 | )% | 133 | % | |||||||||||||||||||
$10.11 | 2.22 | % | $54,020,965 | 4.04 | % | 2.23 | % | 4.13 | % | (1.88 | )% | 73 | % | |||||||||||||||||||
$9.89 | 2.22 | % | $43,104,252 | 3.76 | % | 2.23 | % | 3.93 | % | (2.32 | )% | 208 | % | |||||||||||||||||||
$9.69 | (2.73 | )%8 | $44,676,329 | 2.48 | % | 2.23 | % | 2.85 | % | (1.37 | )% | 133 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2013 | 89 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
1. Organization
AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2013, the Trust consists of twenty-one active series, of which six of the active series are presented in this book and the remaining fifteen active series are reported in a separate book, (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund and AQR Multi-Strategy Alternative Fund. AQR Capital Management, LLC (“the Advisor”) serves as the investment Advisor of each Fund. The Advisor has retained CNH Partners, LLC (“the Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-Advisor to the AQR Multi-Strategy Alternative Fund.
The investment objective of the AQR Managed Futures Strategy Fund is to seek positive absolute returns. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests primarily in a portfolio of futures contracts, futures-related instruments and total return swaps. The Fund’s universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts, and total return swaps across four major asset classes (commodities, currencies, fixed-income and equities); however this universe of investments is subject to change under varying market conditions as these instruments evolve over time. The Fund offers Class I and Class N shares.
The investment objective of the AQR Risk-Balanced Commodities Strategy Fund is to seek total return. The Fund pursues its investment objective by investing in a portfolio of commodity futures contracts. The Fund seeks to balance risks across commodity sectors, managing risk over time through volatility targeting and drawdown control, and improving returns using information on commodity fundamentals and trends. The fund can go long or short individual commodity contracts, but will always be net long commodities as a whole. The Fund offers Class I and Class N shares.
The investment objective of the AQR Risk Parity Fund is to seek total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among major liquid asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, emerging market fixed income, sovereign debt, the credit spreads of mortgage-backed securities and corporate and sovereign debt, developed and emerging market currencies, and commodities). The Fund offers Class I and Class N shares.
The investment objective of the AQR Risk Parity II MV Fund is to seek total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among major liquid asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, developed and emerging market currencies, and commodities). The “MV” in the Fund’s name reflects its “moderate volatility” approach. On average, the Advisor will target an annualized volatility level of 10% and expects the Fund’s targeted annualized volatility will typically range from 7% to 13%. The Fund offers Class I and Class N shares.
The investment objective of the AQR Risk Parity II HV Fund is to seek total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among major liquid asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, developed and emerging market currencies, and commodities). The “HV” in the Fund’s name reflects its “high volatility” approach. On average, the Advisor, will target an annualized volatility level of 15% and expects that the Fund’s targeted annualized volatility will typically range from 10% to 20%. The Fund offers Class I and Class N shares.
The investment objective of the AQR Multi-Strategy Alternative Fund is to seek positive absolute returns. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, bonds, currencies, commodities, credit derivatives, convertible securities, futures, forwards, options and swaps. The Fund offers Class I and Class N shares.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows and the Financial Highlights of the AQR Managed Futures Strategy Fund, AQR Risk-Balanced
90 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund and AQR Multi-Strategy Alternative Fund include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., and AQR Multi-Strategy Alternative Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All inter-company accounts and transactions have been eliminated in consolidation for the Funds. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”). Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or future periods.
AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, and AQR Multi-Strategy Alternative Fund may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to effect certain investments consistent with the Funds’ investment objectives and policies.
INCEPTION DATE OF SUBSIDIARY | SUBSIDIARY NET ASSETS AT JUNE 30, 2013 | % OF TOTAL NET ASSETS AT JUNE 30, 2013 | ||||||||||
AQR Managed Futures Strategy Offshore Fund, Ltd. | January 6, 2010 | 890,237,889 | 23.0% | |||||||||
AQR Risk-Balanced Commodities Strategy Offshore Fund, Ltd. | July 9, 2012 | 12,418,044 | 22.2% | |||||||||
AQR Risk Parity Offshore Fund, Ltd. | September 30, 2010 | 232,024,781 | 19.9% | |||||||||
AQR Risk Parity II MV Offshore Fund, Ltd. | November 5, 2012 | 11,986,406 | 15.0% | |||||||||
AQR Risk Parity II HV Offshore Fund, Ltd. | November 5, 2012 | 6,291,380 | 19.6% | |||||||||
AQR Multi-Strategy Alternative Offshore Fund, Ltd. | July 18, 2011 | 203,641,918 | 15.8% |
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, if any, 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 and such differences could be material.
Valuation of Investments: 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 and warrants, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. The value of securities listed on the NASDAQ Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an independent pricing service, unless the Advisor 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 Funds calculate their 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 evaluated quotes furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. 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
AQR Funds | Semi-Annual Report | June 2013 | 91 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts 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. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Equity, total return and commodity swap contracts are valued at fair value, based on the price of the underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or market makers. Interest rate swap contracts are valued at fair value as determined by an independent pricing service based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.
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 reflect fair value, 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, which may include the use of proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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 prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed, these differences could be material.
Convertible Securities: Certain 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. 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 some of their investments in convertible debt securities by selling short the issuer’s common stock.
Short Sales: The AQR Multi-Strategy Alternative 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 they 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 also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
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 Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules 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 deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security
92 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
and a variable rate that is dependent on the availability of the security. The net amount of fees of $1,135,360, incurred by the AQR Multi-Strategy Alternative Fund is included in dividend and interest on securities sold short in the Statements of Operations.
Futures Contracts: The Funds invest in futures contracts as part of their primary investment strategy. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to 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 to and from the broker, will be made on a periodic basis as the price of the underlying instruments fluctuates. Changes in market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, represent the difference between the value of the contract at the time it was opened and the value at the time it was closed, and are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is presented as Due from Broker on the Statements of Assets and Liabilities. The 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 contract amount of the futures contracts. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange 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 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 foreign currency exchange 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 Funds record 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 Funds 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return 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. Total return swap contracts are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an total return 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. Total return swaps are derivatives and their value can be very volatile. To the extent that the Advisor or Sub-Advisor, 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 exceed the related amounts shown in the Statements of Assets and Liabilities. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: Certain Funds enter into credit default swap 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
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Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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 up-front payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. 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 up-front payment, is recorded as a realized gain or loss.
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 Statements 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. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.
Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Interest Rate Swaps: The AQR Risk Parity Fund enters into interest rate swaps as part of its investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Periodic payments received or paid by the Fund are recorded as realized gains and losses. Interest rate swaps are marked to market daily based on quotations as provided by an independent pricing service and the change is recorded as unrealized gain or loss. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments. Non-deliverable interest rate swaps are settled with the counterparty in cash without the delivery of foreign currency.
High Yield Securities: The AQR Multi-Strategy Alternative Fund invests in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
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 (includes Total Return, Credit Default and Interest Rate swaps) 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 for the benefit of a Fund is held in a segregated account by a custodian of the Fund 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
94 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
securities issued by the U.S. Government or related agencies or other securities and money market funds as agreed to by the Fund and the applicable counterparty. Collateral requirements are generally 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 a Fund’s future derivative activity. The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net by derivative type and counterparty when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
Repurchase Agreements: The AQR Risk Parity II HV Fund may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Master repurchase agreements govern transactions between a Fund and select counterparties. The master repurchase agreements maintain provisions for, among other things, initiation, income payments, events of default, maintenance of collateral for repurchase agreements and the disposition of such collateral following an event of default. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.
Reverse Repurchase Agreements: The AQR Risk Parity II HV Fund enters into under the terms of the Master Repurchase Agreement reverse repurchase agreements, the Fund sells to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are valued based on the amount of cash received plus accrued interest, which represents fair value. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited.
Options: The AQR Multi-Strategy Alternative Fund may write and purchase put and call options from time to time. 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, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium. 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.
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Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
Transactions in call and put options written during the period ended June 30, 2013 for the AQR Multi-Strategy Alternative Fund were as follows:
CALL OPTIONS | ||||||||
SHARES SUBJECT TO CALL | PREMIUM | |||||||
Options outstanding, December 31, 2012 | (725 | ) | $ | (35,916 | ) | |||
Options written | (16,764 | ) | (472,527 | ) | ||||
Options exercised | 6,786 | 279,996 | ||||||
Options outstanding, June 30, 2013 | (10,703 | ) | $ | (228,447 | ) |
Securities Lending: The AQR Multi-Strategy Alternative Fund may lend securities to brokers approved by the Advisor in order to generate additional income. Securities loaned are collateralized by cash, which is invested in various JPMorgan Money Market Funds. Upon termination of a loan, the Fund is required to return to the borrower the posted cash collateral. Loans are subject to termination by the Fund or the borrower at any time. Securities lending income is comprised of income earned on cash collateral investments, net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Securities lending income, net on the Statements of Operations. The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Funds and the lending agent.
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 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 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 prior three fiscal years, or since inception if shorter, are open for examination. As of June 30, 2013, the Funds had no examinations in progress.
The Funds have concluded that there is no tax liability/benefit 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.
96 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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 the effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income/expense 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 Fund, such as advisory fees and registration costs. Trust level expenses are allocated among the Funds based on the ratio of average net assets or some other reasonable methodology.
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 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, capital 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.
Organization and Offering Costs: Costs incurred by the AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund in connection with the organization of those Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal year. Offering costs, including professional fees, printing fees and the offering of the initial registration are amortized over a period not longer than twelve months from the date the Funds commenced operations.
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 and forward foreign currency exchange contracts, 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.
Cash and Cash Equivalents: Cash and cash equivalents include U.S. 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.
Due to/from Broker: Due to/from Broker represents cash balances on deposit with the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
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Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
Distributions to Shareholders: The Funds intend to declare and distribute substantially all of their net investment income and 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. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
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, 2013, the cost of long security 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 UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
AQR Managed Futures Strategy Fund | $ | 3,634,889,190 | $ | 3,996 | $ | — | $ | 3,996 | ||||||||
AQR Risk-Balanced Commodities Strategy Fund | 58,954,754 | — | (10 | ) | (10 | ) | ||||||||||
AQR Risk Parity Fund | 1,075,968,272 | 1,830,442 | (4,421,760 | ) | (2,591,318 | ) | ||||||||||
AQR Risk Parity II MV Fund | 69,523,704 | 21 | (940,481 | ) | (940,460 | ) | ||||||||||
AQR Risk Parity II HV Fund | 24,815,404 | 30 | (436,402 | ) | (436,372 | ) | ||||||||||
AQR Multi-Strategy Alternative Fund | 1,289,496,919 | 121,250,795 | (21,250,033 | ) | 100,000,762 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
As of December 31, 2012, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the Treasury regulations.
FUND | SHORT-TERM | LONG TERM | ||||||
AQR Managed Futures Strategy Fund | $ | 49,365,405 | $ | 20,410,226 | ||||
AQR Multi-Strategy Alternative Fund | 561,141 | 1,234,913 |
FUND | LATE YEAR ORDINARY LOSS DEFERRALS | |||
AQR Managed Futures Strategy Fund | $ | 1,744,460 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.
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:
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Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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)
Valuation methodology and inputs
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds use to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.
Equities traded outside North America (including those as underlying reference instruments for total return swaps) are fair valued daily based on the application of a fair value factor and therefore are considered Level 2 (Note 3). Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value based on quotations (including evaluated quotes) from an independent pricing service, counterparties and other market participants. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors. The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.
The Funds invest in derivative instruments. Derivative instruments can be exchange traded or privately negotiated over-the-counter (“OTC”). Exchange-traded derivatives, such as futures contracts and exchange traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market. OTC derivatives, including forwards, credit default swaps, total return swaps, and interest rate swaps, are valued by the Funds using observable inputs, such as quotations received from the counterparty, or dealers and brokers, whenever available and considered reliable. Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market
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Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Equity total return swap transactions are valued at fair value, based on the price of the underlying security. Interest rate swap contracts are valued at estimated fair value as determined by the Funds based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.
Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap contract increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
Securities, for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced and all other assets of the Funds are valued at fair value using valuation procedures for the Funds, which have been approved by the Board of Trustees. The Advisor has established a Valuation Committee (the “VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing any securities or other assets for which prices or valuations are not readily determinable by the Funds’ pricing services. The VC considers time-sensitive valuation issues, including those relating to market closures, changes in illiquid security values, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade executions prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, model prices are reviewed against available third party model prices.
Quantitative Information
These tables include a description of unobservable and quantitative inputs and the interrelationship of such inputs, as used in determining the value of Level 3 financial instruments, except for Level 3 instruments for which prior transaction or third party pricing information was used without adjustment.
Transfers
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
100 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
The following summarizes inputs used as of June 30, 2013 in valuing the Funds’ assets carried at fair value:
AQR MANAGED FUTURES STRATEGY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Short-Term Investments | $ | — | $ | 269,020,347 | $ | — | $ | 269,020,347 | ||||||||
Money Market Funds | �� | — | 3,365,872,839 | — | 3,365,872,839 | |||||||||||
Futures Contracts* | 27,685,851 | – | — | 27,685,851 | ||||||||||||
Total Return Swap Contracts* | — | 23,210,104 | — | 23,210,104 | ||||||||||||
Total Assets | $ | 27,685,851 | $ | 3,658,103,290 | $ | — | $ | 3,685,789,141 | ||||||||
LIABILITIES | ||||||||||||||||
Forward Foreign Currency Exchange Contracts* | $ | — | $ | (15,086,818 | ) | $ | — | $ | (15,086,818 | ) | ||||||
Total Return Swap Contracts* | — | (620,550 | ) | — | (620,550 | ) | ||||||||||
Total Liabilities | $ | — | $ | (15,707,368 | ) | $ | — | $ | (15,707,368 | ) | ||||||
* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Short-Term Investments | $ | — | $ | 2,599,230 | $ | — | $ | 2,599,230 | ||||||||
Money Market Funds | — | 56,355,514 | — | 56,355,514 | ||||||||||||
Total Assets | $ | — | $ | 58,954,744 | $ | — | $ | 58,954,744 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (682,729 | ) | $ | — | $ | — | $ | (682,729 | ) | ||||||
Total Return Swap Contracts* | — | (3,577,641 | ) | — | (3,577,641 | ) | ||||||||||
Total Liabilities | $ | (682,729 | ) | $ | (3,577,641 | ) | $ | — | $ | (4,260,370 | ) | |||||
* Derivative instruments, including futures and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR RISK PARITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Government Related Obligations | $ | — | $ | 81,476,985 | $ | — | $ | 81,476,985 | ||||||||
Short-Term Investments | — | 91,472,916 | — | 91,472,916 | ||||||||||||
U.S. Treasury Obligations | — | 81,638,596 | — | 81,638,596 | ||||||||||||
Money Market Funds | — | 818,788,457 | — | 818,788,457 | ||||||||||||
Credit Default Swap Contracts* | — | 3,778,990 | — | 3,778,990 | ||||||||||||
Total Return Swap Contracts* | — | 43,636 | — | 43,636 | ||||||||||||
Total Assets | $ | — | $ | 1,077,199,580 | $ | — | $ | 1,077,199,580 |
AQR Funds | Semi-Annual Report | June 2013 | 101 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Forward Foreign Currency Exchange Contracts* | $ | — | $ | (3,258,471 | ) | $ | — | $ | (3,258,471 | ) | ||||||
Futures Contracts* | (12,549,188 | ) | – | — | (12,549,188 | ) | ||||||||||
Credit Default Swap Contracts* | — | (1,115,055 | ) | — | (1,115,055 | ) | ||||||||||
Interest Rate Swap Contracts* | — | (11,839,502 | ) | — | (11,839,502 | ) | ||||||||||
Total Return Swap Contracts* | — | (4,827,362 | ) | — | (4,827,362 | ) | ||||||||||
Total Liabilities | $ | (12,549,188 | ) | $ | (21,040,390 | ) | $ | — | $ | (33,589,578 | ) | |||||
* Derivative instruments, including futures, forward foreign currency exchange, interest rate swap and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap contracts are reported at market value. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR RISK PARITY II MV FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Government Related Obligations | $ | — | $ | 8,246,813 | $ | — | $ | 8,246,813 | ||||||||
Short-Term Investments | — | 1,899,438 | — | 1,899,438 | ||||||||||||
U.S. Treasury Obligations | — | 8,689,439 | — | 8,689,439 | ||||||||||||
Money Market Funds | — | 49,747,554 | — | 49,747,554 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 166,836 | — | 166,836 | ||||||||||||
Total Return Swap Contracts* | — | 2,180 | — | 2,180 | ||||||||||||
Total Assets | $ | — | $ | 68,752,260 | $ | — | $ | 68,752,260 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (1,683,974 | ) | $ | — | $ | — | $ | (1,683,974 | ) | ||||||
Total Return Swap Contracts* | — | (511,196 | ) | — | (511,196 | ) | ||||||||||
Total Liabilities | $ | (1,683,974 | ) | $ | (511,196 | ) | $ | — | $ | (2,195,170 | ) | |||||
* Derivative instruments, including futures, total return swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
102 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY II HV FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS |
| |||||||||||||||
Government Related Obligations | $ | — | $ | 4,782,806 | $ | — | $ | 4,782,806 | ||||||||
Repurchase Agreements | — | 2,668,000 | — | 2,668,000 | ||||||||||||
Short-Term Investments | — | 2,099,379 | — | 2,099,379 | ||||||||||||
U.S. Treasury Obligations | — | 5,489,996 | — | 5,489,996 | ||||||||||||
Money Market Funds | — | 9,338,851 | — | 9,338,851 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 41,956 | — | 41,956 | ||||||||||||
Total Assets | $ | — | $ | 24,420,988 | $ | — | $ | 24,420,988 | ||||||||
LIABILITIES | ||||||||||||||||
Reverse Repurchase Agreements (Sold Short) | $ | — | $ | (8,130,875) | $ | — | $ | (8,130,875 | ) | |||||||
Futures Contracts* | (633,023 | ) | — | — | (633,023 | ) | ||||||||||
Total Return Swap Contracts* | — | (580,420 | ) | — | (580,420 | ) | ||||||||||
Total Liabilities | $ | (633,023 | ) | $ | (8,711,295 | ) | $ | — | $ | (9,344,318 | ) | |||||
* Derivative instruments, including futures, total return swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
AQR MULTI-STRATEGY ALTERNATIVE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 53,445,111 | $ | 517,667,979 | $ | — | $ | 571,113,090 | ||||||||
Convertible Preferred Stocks† | 8,437,784 | 507,770 | — | 8,945,554 | ||||||||||||
Corporate Bonds† | — | 141,828,035 | — | 141,828,035 | ||||||||||||
Convertible Bonds† | — | 211,194,104 | — | 211,194,104 | ||||||||||||
Preferred Stocks† | 1,600,718 | 3,874,659 | — | 5,475,377 | ||||||||||||
Short-Term Investments | — | 22,593,310 | — | 22,593,310 | ||||||||||||
Money Market Funds | — | 427,903,059 | — | 427,903,059 | ||||||||||||
Purchased Options | 445,152 | — | — | 445,152 | ||||||||||||
Futures Contracts* | 5,269,663 | — | — | 5,269,663 | ||||||||||||
Credit Default Swap Contracts* | — | 1,467,232 | — | 1,467,232 | ||||||||||||
Total Return Swap Contracts* | — | 2,590,490 | — | 2,590,490 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 43,429,898 | — | 43,429,898 | ||||||||||||
Total Assets | $ | 69,198,428 | $ | 1,373,056,536 | $ | — | $ | 1,442,254,964 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short)† | $ | (277,785,519 | ) | $ | (420,457,055 | ) | $ | — | $ | (698,242,574 | ) | |||||
Exchange-Traded Funds (Sold Short) | (67,516,191 | ) | — | — | (67,516,191 | ) | ||||||||||
Preferred Stocks (Sold Short)† | — | (2,010,546 | ) | — | (2,010,546 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (1,712,997 | ) | — | (1,712,997 | ) | ||||||||||
Written Options (Sold Short)* | (1,203,242 | ) | (304 | ) | (112 | ) | (1,203,658 | ) | ||||||||
Total Return Swap Contracts* | — | (330,345 | ) | — | (330,345 | ) | ||||||||||
Total Liabilities | $ | (346,504,952 | ) | $ | (424,511,247 | ) | $ | (112 | ) | $ | (771,016,311) | |||||
* Derivative instruments, including futures, total return swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap, written options and total return basket swap contracts are reported at market value. † Please refer to the Schedule of Investments to view securities segregated by country. |
|
AQR Funds | Semi-Annual Report | June 2013 | 103 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total market value of $(112) are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $(84).
6. Investment Transactions
During the period ended June 30, 2013, the cost of purchases and the proceeds from sales of investments (excluding short-term investments) were as follows:
FUND | PURCHASES | SALES | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||||
AQR Managed Futures Strategy Fund | $ | — | $ | — | $ | — | $ | — | ||||||||
AQR Risk-Balanced Commodities Strategy Fund | — | — | — | — | ||||||||||||
AQR Risk Parity Fund | 319,013,403 | 713,145,720 | — | — | ||||||||||||
AQR Risk Parity II MV Fund | 53,117,371 | 47,196,760 | — | — | ||||||||||||
AQR Risk Parity II HV Fund | 41,449,640 | 48,141,608 | — | — | ||||||||||||
AQR Multi-Strategy Alternative Fund | 407,211,797 | 170,373,629 | 403,661,921 | 202,234,446 |
During the period ended June 30, 2013, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
FUND | PURCHASES | SALES | ||||||
AQR Risk Parity Fund | $ | 173,706,075 | $ | 360,857,637 | ||||
AQR Risk Parity II MV Fund | 27,280,667 | 24,608,756 | ||||||
AQR Risk Parity II HV Fund | 21,023,552 | 24,465,445 |
7. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30, 2013 are as follows:
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS | SWAPS AT VALUE | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | SWAPS AT VALUE | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS AT MARKET VALUE | |||||||||||||||||||||
Equity Risk Exposure | ||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | $2,899,119 | $894,953 | $— | $16,504,977 | $146,563 | $— | $— | |||||||||||||||||||||
AQR Risk Parity Fund | 850,001 | 303,287 | — | 3,254,729 | 259,651 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 108,193 | 26,012 | — | 407,167 | 57,687 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 54,303 | 18,373 | — | 203,408 | 23,577 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 3,801,813 | 45,129,925 | — | 4,808,090 | 29,439 | — | 1,203,658 | |||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
Managed Futures Strategy Fund | — | — | 96,333,354 | — | — | 111,420,172 | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | — | 6,318,945 | — | — | 9,577,416 | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | 310,112 | — | — | 143,276 | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | 279,824 | — | — | 237,868 | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | 22,838,647 | — | — | 24,551,644 | — | |||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 28,754,636 | — | — | 4,028,020 | 979,310 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | 4,535,435 | — | 1,462,265 | 20,714,093 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | — | 828,108 | — | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | — | 155,270 | 202,477 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 4,320,478 | 5,495,136 | — | 787,056 | 5,031,127 | — | — |
104 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS | SWAPS AT VALUE | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | SWAPS AT VALUE | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS AT MARKET VALUE | |||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||
AQR Risk Parity Fund | $— | $4,376,396 | $— | $— | $1,712,461 | $— | $— | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | 1,467,232 | — | — | — | — | — | |||||||||||||||||||||
Commodity Exposure: | ||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 44,713,300 | 43,686,859 | — | 28,148,207 | 20,866,385 | — | — | |||||||||||||||||||||
AQR Risk Balanced Commodities Strategy Fund | 1,500,048 | 2,615,508 | — | 2,182,777 | 6,193,149 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | 12,593,503 | 233,208 | — | 21,275,698 | 721,414 | — | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 813,771 | 178,900 | — | 1,370,663 | 656,241 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 682,866 | 239,437 | — | 1,011,514 | 612,176 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 8,545,964 | 1,575,167 | — | 5,803,446 | 1,449,619 | — | — | |||||||||||||||||||||
Netting: | ||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | (48,681,204) | (21,992,258) | (96,333,354) | (48,681,204) | (21,992,258) | (96,333,354) | — | |||||||||||||||||||||
AQR Risk Balanced Commodities Strategy Fund | (1,500,048) | (2,615,508) | — | (1,500,048) | (2,615,508) | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | (13,443,504) | (9,448,326) | (6,318,945) | (13,443,504) | (9,448,326) | (6,318,945) | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | (921,964) | (204,912) | (143,276) | (921,964) | (204,912) | (143,276) | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | (737,169) | (257,810) | (237,868) | (737,169) | (257,810) | (237,868) | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (11,398,592) | (6,510,185) | (22,838,647) | (11,398,592) | (6,510,185) | (22,838,647) | — | |||||||||||||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 27,685,851 | 22,589,554 | — | — | — | 15,086,818 | — | |||||||||||||||||||||
AQR Risk Balanced Commodities Strategy Fund | — | — | — | 682,729 | 3,577,641 | — | — | |||||||||||||||||||||
AQR Risk Parity Fund | — | — | — | 12,549,188 | 13,959,293 | 3,258,471 | — | |||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | 166,836 | 1,683,974 | 509,016 | — | — | |||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | 41,956 | 633,023 | 580,420 | — | — | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 5,269,663 | 47,157,275 | — | — | — | 1,712,997 | 1,203,658 |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2013:
REALIZED GAIN (LOSS) ON AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAPS AND SWAPS ON FUTURES CONTRACTS* | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | FUTURES CONTRACTS | SWAPS AND SWAPS ON FUTURES CONTRACTS* | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | ||||||||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | $59,464,114 | $13,153,674 | $— | $— | $(23,875,276) | $1,846,157 | $— | $— | ||||||||||||||||||||||||
AQR Risk Parity Fund | 27,242,573 | (1,737,210) | — | — | (4,253,443) | (196,666) | — | — | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | 1,715,981 | (355,006) | — | — | (355,740) | (34,505) | — | — | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | 1,620,964 | (228,235) | — | — | (243,228) | (12,646) | — | — | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (30,401,027) | 10,755,591 | — | 279,584 | (3,581,715) | 42,528,953 | — | (982,271) |
AQR Funds | Semi-Annual Report | June 2013 | 105 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
REALIZED GAIN (LOSS) ON AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAPS AND SWAPS ON FUTURES CONTRACTS* | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | FUTURES CONTRACTS | SWAPS AND SWAPS ON FUTURES CONTRACTS* | FORWARD CURRENCY EXCHANGE CONTRACTS | WRITTEN OPTIONS | ||||||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | $— | $— | $101,650,223 | $— | $— | $— | $(76,934,726) | $— | ||||||||||||||||||||||||
AQR Risk Parity Fund | — | — | (2,579,587) | — | — | — | 94,077 | — | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | — | — | 341,090 | — | — | — | 211,234 | — | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | — | — | 40,613 | — | — | — | 140,187 | — | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | — | 15,839,847 | — | — | — | (9,847,950) | — | ||||||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | (71,249,380) | (15,169,377) | — | — | 27,431,130 | (3,387,293) | — | — | ||||||||||||||||||||||||
AQR Risk Parity Fund | (12,313,610) | (5,485,145) | — | — | (417,753) | (19,320,332) | — | — | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | (1,199,699) | (301,405) | — | — | (801,999) | 320 | — | — | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | (756,834) | (824,212) | — | — | (92,147) | (178,362) | — | — | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 1,761,293 | (8,153,119) | — | — | 3,235,656 | 506,026 | — | — | ||||||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Risk Parity Fund | — | 10,336,884 | — | — | — | 4,064,555 | — | — | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | — | 2,585,658 | — | — | — | 1,103,039 | — | — | ||||||||||||||||||||||||
Commodity Exposure: | ||||||||||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 7,208,291 | 36,659,834 | — | — | 11,203,931 | 22,279,530 | — | — | ||||||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | (420,069) | (7,732,554) | — | — | (944,264) | (1,885,027) | — | — | ||||||||||||||||||||||||
AQR Risk Parity Fund | (22,836,572) | 169,298 | — | — | (5,507,394) | (443,360) | — | — | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | (1,717,282) | (267,471) | — | — | (517,956) | (468,114) | — | — | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | (1,192,465) | (461,968) | — | — | (282,222) | (333,616) | — | — | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 16,893,694 | (822,506) | — | — | 1,670,963 | 164,798 | — | — |
For swaps, futures and forward foreign currency exchange contracts, the Funds may be required to post collateral if a Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate the position if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2011-11: Disclosures about Offsetting Assets and Liabilities (“netting”) on the Statements of Assets and Liabilities that are subject to master netting arrangements or similar agreements. ASU 2011-11, as amended by ASU No. 2013-01 clarifying which investments and transactions are subject to the netting disclosure. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions to the extent they are subject to an enforceable master netting arrangement or similar agreement. This information will enable users of the Funds’ financial statements to evaluate the effect or potential effect of netting arrangements on the Funds’ financial position. The ASU is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Funds adopted the disclosure requirements for the current reporting period.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities.
106 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR MANAGED FUTURES STRATEGY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 894,953 | $ | (894,953) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Barclays Capital | Futures Contracts | 2,789,060 | (2,789,060) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 43,686,859 | (20,476,755) | 23,210,104 | — | — | 23,210,104 | ||||||||||||||||||||
Goldman Sachs | Futures Contracts | 10,183,006 | (6,715,434) | 3,467,572 | — | — | 3,467,572 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 63,393,561 | (23,285,037) | 40,108,524 | — | — | 40,108,524 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 1,428 | (1,428) | — | — | — | — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 96,333,354 | (96,333,354) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 217,282,221 | (150,496,021) | 66,786,200 | — | — | 66,786,200 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 217,282,221 | $ | (150,496,021) | $ | 66,786,200 | $ | — | $ | — | $ | 66,786,918 | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 979,310 | $ | (894,953) | $ | 84,357 | $ | — | $ | (84,357) | $ | — | |||||||||||||
Barclays Capital | Futures Contracts | 16,504,978 | (2,789,060) | 13,715,918 | — | 13,715,918 | — | |||||||||||||||||||
Total Return Swap Contracts | 20,476,755 | (20,476,755) | — | — | — | — | ||||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 389,630 | — | 389,630 | — | (389,630) | — | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 6,715,434 | (6,715,434) | — | — | — | — | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 23,285,037 | (23,285,037) | — | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 2,175,755 | (1,428) | 2,174,327 | — | (2,174,327) | — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 111,420,172 | (96,333,354) | 15,086,818 | — | (15,086,818) | — | |||||||||||||||||||
Total Return Swap Contracts | 146,563 | — | 146,563 | — | (146,563) | — | ||||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 182,093,634 | (150,496,021) | 31,597,613 | — | (31,597,613) | — | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 182,093,634 | $ | (150,496,021) | $ | 31,597,613 | $ | — | $ | (31,597,613) | $ | — |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $213,437,108. |
AQR Funds | Semi-Annual Report | June 2013 | 107 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED | | | NET AMOUNT | | |||||||
Barclays Capital | Total Return Swap Contracts | $ | 2,604,128 | $ | (2,604,128) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Deutsche Bank | Total Return Swap Contracts | 11,380 | (11,380) | — | — | — | — | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 53,749 | (53,749) | — | — | — | — | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 1,437,459 | (1,437,459) | — | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 8,840 | (8,840) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 4,115,556 | (4,115,556) | — | — | — | — | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 4,115,556 | $ | (4,115,556) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Barclays Capital | Total Return Swap Contracts | $ | 6,159,365 | $ | (2,604,128) | $ | 3,555,237 | $ | — | $ | (3,555,237) | $ | — | |||||||||||||
Deutsche Bank | Total Return Swap Contracts | 33,784 | (11,380) | 22,404 | — | — | 22,404 | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 206,674 | (53,749) | 152,925 | — | (152,925) | — | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 1,725,068 | (1,437,459) | 287,609 | — | (287,609) | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 251,035 | (8,840) | 242,195 | — | (242,195) | — | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 8,375,926 | (4,115,556) | 4,260,370 | — | (4,237,966) | 22,404 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 8,375,926 | $ | (4,115,556) | $ | 4,260,370 | $ | — | $ | (4,237,966) | $ | 22,404 |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,782,912. |
108 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $ | 850,001 | $ | (850,001) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Total Return Swap Contracts | 233,208 | (233,208) | — | — | — | — | ||||||||||||||||||||
CitiBank | Credit Default Swap Contracts | 4,376,396 | (597,406) | 3,778,990 | — | (430,000) | 3,348,990 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 11,982,515 | (11,982,515) | — | — | — | — | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 560,318 | (560,318) | — | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 50,670 | (50,670) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 303,287 | (259,651) | 43,636 | (43,636) | — | — | ||||||||||||||||||||
Royal Bank of Scotland | Interest Rate Swap Contracts | 4,535,435 | (4,535,435) | — | — | — | — | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts | 6,318,945 | (6,318,945) | — | — | — | — | ||||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 29,210,775 | (25,388,149) | 3,822,626 | (43,636) | (430,000) | 3,348,990 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 29,210,775 | $ | (25,388,149) | $ | 3,822,626 | $ | (43,636) | $ | (430,000) | $ | 3,348,990 | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Bank of America | Credit Default Swap Contracts | $ | 7,265 | $ | — | $ | 7,265 | $ | — | $ | (7,265) | $ | — | |||||||||||||
Total Return Swap Contracts | 4,339,156 | — | 4,339,156 | — | (4,322,735) | 16,421 | ||||||||||||||||||||
Barclays Capital | Futures Contracts | 3,190,694 | (850,001) | 2,340,693 | — | (2,340,693) | — | |||||||||||||||||||
Total Return Swap Contracts | 611,034 | (233,208) | 377,826 | — | (377,826) | — | ||||||||||||||||||||
CitiBank | Credit Default Swap Contracts | 597,406 | (597,406) | — | — | — | — | |||||||||||||||||||
Deutsche Bank | Credit Default Swap Contracts | 796,639 | — | 796,639 | — | (796,639) | — | |||||||||||||||||||
Total Return Swap Contracts | 110,380 | — | 110,380 | — | (110,380) | — | ||||||||||||||||||||
Goldman Sachs | Futures Contracts | 2,560,824 | (560,318) | 2,000,506 | — | (2,000,506) | — | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 19,096,714 | (11,982,515) | 7,114,199 | — | (7,114,199) | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Credit Default Swap Contracts | 258,717 | — | 258,717 | (43,636) | (215,081) | — | |||||||||||||||||||
Futures Contracts | 1,144,460 | (50,670) | 1,093,790 | — | (1,093,790) | — | ||||||||||||||||||||
Total Return Swap Contracts | 259,651 | (259,651) | — | — | — | — | ||||||||||||||||||||
Royal Bank of Scotland | Credit Default Swap Contracts | 52,434 | — | 52,434 | — | (52,434) | — | |||||||||||||||||||
Interest Rate Swap Contracts | 16,374,937 | (4,535,435) | 11,839,502 | — | (11,839,502) | — | ||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | 9,577,416 | (6,318,945) | 3,258,471 | — | (3,258,471) | — | ||||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 58,977,727 | (25,388,149) | 33,589,578 | (43,636) | (33,529,521) | 16,421 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 58,977,727 | $ | (25,388,149) | $ | 33,589,578 | $ | (43,636) | $ | (33,529,521) | $ | 16,421 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $400,000. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $37,069,932. |
AQR Funds | Semi-Annual Report | June 2013 | 109 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY II MV FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 2,180 | $ | — | $ | 2,180 | $ | — | $ | — | $ | 2,180 | |||||||||||||
Barclays Capital | Futures Contracts | 108,193 | (108,193) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 178,900 | (178,900) | — | — | — | — | ||||||||||||||||||||
Goldman Sachs | Futures Contracts | 33,077 | (33,077) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 23,832 | (23,832) | — | — | — | — | ||||||||||||||||||||
J.P. Morgan | Futures Contracts | 774,524 | (774,524) | — | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 6,170 | (6,170) | — | — | — | — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 310,112 | (143,276) | 166,836 | — | (166,836) | — | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 1,436,988 | (1,267,972) | 169,016 | — | (166,836) | 2,180 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 1,436,988 | $ | (1,267,972) | $ | 169,016 | $ | — | $ | (166,836) | $ | 2,180 | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Barclays Capital | Futures Contracts | $ | 392,845 | $ | (108,193) | $ | 284,652 | $ | — | $ | (284,652) | $ | — | |||||||||||||
Total Return Swap Contracts | 656,241 | (178,900) | 477,341 | — | (210,000) | 267,341 | ||||||||||||||||||||
Goldman Sachs | Futures Contracts | 84,112 | (33,077) | 51,035 | — | (51,035) | — | |||||||||||||||||||
Total Return Swap Contracts | 57,687 | (23,832) | 33,855 | — | (33,855) | — | ||||||||||||||||||||
J.P. Morgan | Futures Contracts | 2,041,479 | (774,524) | 1,266,955 | — | (1,266,955) | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 87,502 | (6,170) | 81,332 | — | (81,332) | — | |||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 143,276 | (143,276) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 3,463,142 | (1,267,972) | 2,195,170 | — | (1,927,829) | 267,341 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 3,463,142 | $ | (1,267,972) | $ | 2,195,170 | $ | — | $ | (1,927,829) | $ | 267,341 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $23,164. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,898,304. |
110 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY II HV FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 1,083 | $ | (1,083) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Barclays Capital | Futures Contracts | 54,303 | (54,303) | — | — | — | — | |||||||||||||||||||
Repurchase Agreements | 1,209,000 | — | 1,209,000 | (1,209,000) | — | — | ||||||||||||||||||||
Total Return Swap Contracts | 239,437 | (239,437) | — | — | — | — | ||||||||||||||||||||
Goldman Sachs | Futures Contracts | 15,489 | (15,489) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 17,290 | (17,290) | — | — | — | — | ||||||||||||||||||||
J.P. Morgan | Futures Contracts | 664,257 | (664,257) | — | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 3,120 | (3,120) | — | — | — | — | |||||||||||||||||||
Repurchase Agreements | 1,459,000 | — | 1,459,000 | (1,459,000) | — | — | ||||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 279,824 | (237,868) | 41,956 | — | — | 41,956 | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 3,942,803 | (1,232,847) | 2,709,956 | (2,668,000) | — | 41,956 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 3,942,803 | $ | (1,232,847) | $ | 2,709,956 | $ | (2,668,000) | $ | — | $ | 41,956 | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 202,477 | $ | (1,083) | $ | 201,394 | $ | — | $ | (201,394) | $ | — | |||||||||||||
Barclays Capital | Futures Contracts | 195,206 | (54,303) | 140,903 | — | (140,903) | — | |||||||||||||||||||
Reverse Repurchase Agreements | 2,789,500 | — | 2,789,500 | (2,783,970) | (5,530) | — | ||||||||||||||||||||
Total Return Swap Contracts | 612,176 | (239,437) | 372,739 | — | (220,000) | 152,739 | ||||||||||||||||||||
Goldman Sachs | Futures Contracts | 204,819 | (15,489) | 189,330 | — | (138,452) | 50,878 | |||||||||||||||||||
Total Return Swap Contracts | 23,577 | (17,290) | 6,287 | — | (6,287) | — | ||||||||||||||||||||
J.P. Morgan | Futures Contracts | 926,146 | (664,257) | 261,889 | — | (261,889) | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 44,021 | (3,120) | 40,901 | — | (40,901) | — | |||||||||||||||||||
Reverse Repurchase Agreements | 5,341,375 | — | 5,341,375 | (5,338,963) | — | 2,412 | ||||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 237,868 | (237,868) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 10,577,165 | (1,232,847) | 9,344,318 | (8,122,933) | (1,015,356) | 206,029 | ||||||||||||||||||||
Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 10,577,165 | $ | (1,232,847) | $ | 9,344,318 | $ | (8,122,933) | $ | (1,015,356) | $ | 206,029 |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,202,451. |
AQR Funds | Semi-Annual Report | June 2013 | 111 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR MULTI-STRATEGY ALTERNATIVE FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED ASSETS | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL RECEIVED (a) | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 5,495,136 | $ | (5,031,127) | $ | 464,009 | $ | — | $ | (350,000) | $ | 114,009 | |||||||||||||
Barclays Capital | Futures Contracts | 3,801,814 | (3,801,814) | — | — | — | — | |||||||||||||||||||
Total Return Swap Contracts | 1,209,777 | (1,119,274) | 90,503 | — | — | 90,503 | ||||||||||||||||||||
Citibank | Credit Default Swap Contracts | 1,467,232 | — | 1,467,232 | — | — | 1,467,232 | |||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 4,503,448 | — | 4,503,448 | (330,345) | — | 4,173,103 | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 2,416,293 | (1,322,481) | 1,093,812 | — | — | 1,093,812 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 10,450,045 | (4,931,675) | 5,518,370 | — | — | 5,518,370 | |||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 365,390 | — | 365,390 | — | — | 365,390 | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 101 | (101) | — | — | — | — | |||||||||||||||||||
Total Return Basket Swaps Contracts | 38,926,450 | — | 38,926,450 | — | — | 38,926,450 | ||||||||||||||||||||
Total Return Swap Contracts | 1,700,027 | (29,439) | 1,670,588 | — | — | 1,670,588 | ||||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 22,838,647 | (22,838,647) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 93,174,360 | (39,074,558) | 54,099,802 | (330,345) | (350,000) | 53,419,457 | ||||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 93,174,360 | $ | (39,074,558) | $ | 54,099,802 | $ | (330,345) | $ | (350,000) | $ | 53,419,457 | ||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | ||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | | | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | | | FINANCIAL INSTRUMENTS | | | COLLATERAL PLEDGED (b) | | | NET AMOUNT | | |||||||
Bank of America | Total Return Swap Contracts | $ | 5,031,127 | $ | (5,031,127) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Barclays Capital | Futures Contracts | 4,230,740 | (3,801,814) | 428,926 | — | (428,926) | — | |||||||||||||||||||
Total Return Swap Contracts | 1,119,274 | (1,119,274) | — | — | — | — | ||||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 330,345 | — | 330,345 | (330,345) | — | — | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 1,322,481 | (1,322,481) | — | — | — | — | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 4,931,675 | (4,931,675) | — | — | — | — | |||||||||||||||||||
Written Options | 1,203,658 | — | 1,203,658 | — | — | 1,203,658 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Futures Contracts | 913,694 | (101) | 913,593 | — | (913,593) | — | |||||||||||||||||||
Total Return Swap Contracts | 29,439 | (29,439) | — | — | — | — | ||||||||||||||||||||
Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 24,551,644 | (22,838,647) | 1,712,997 | — | (1,712,997) | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 43,664,077 | (39,074,558) | 4,589,519 | (330,345) | (3,055,516) | 1,203,658 | ||||||||||||||||||||
Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
Total financial instruments | $ | 43,664,077 | $ | (39,074,558) | $ | 4,589,519 | $ | (330,345) | $ | (3,055,516) | $ | 1,203,658 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $400,000. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $188,135,201. |
112 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
For the period ended June 30, 2013, the quarterly average values of the derivatives held by the Funds were as follows:
AQR MANAGED FUTURES STRATEGY FUND | AQR RISK BALANCED COMMODITIES STRATEGY FUND | AQR RISK PARITY FUND | AQR RISK MV | AQR RISK HV | AQR MULTI- FUND | |||||||||||||||||||
Futures Contracts * | ||||||||||||||||||||||||
Average Notional Balance Long | $ | 7,292,225,695 | $ | 45,823,456 | $ | 1,161,908,299 | $ | 107,107,639 | $ | 76,776,200 | $ | 1,496,311,960 | ||||||||||||
Average Notional Balance Short | 5,451,014,269 | 21,222,356 | 151,844,928 | 9,197,664 | 7,469,062 | 1,698,191,796 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts * | ||||||||||||||||||||||||
Average Value Purchased | 4,413,086,991 | — | 508,620,822 | 8,380,357 | 7,768,017 | 1,025,644,559 | ||||||||||||||||||
Average Value Sold | 4,177,303,197 | — | 612,554,700 | 22,136,369 | 20,413,169 | 1,105,234,465 | ||||||||||||||||||
Exchange-Traded Options * | ||||||||||||||||||||||||
Average Value of Contracts Written | — | — | — | — | — | 444,758 | ||||||||||||||||||
Credit Default Swaps * | ||||||||||||||||||||||||
Average Notional Balance — Buy Protection | — | — | 639,285,117 | — | — | 46,736,500 | ||||||||||||||||||
Average Notional Balance — Sell Protection | — | — | 826,715,351 | — | — | 57,595,500 | ||||||||||||||||||
Total Return Swaps* | ||||||||||||||||||||||||
Average Notional Balance — Long | 877,926,331 | 104,312,985 | 392,958,787 | 11,209,584 | 23,635,892 | 267,294,928 | ||||||||||||||||||
Average Notional Balance — Short | 860,127,779 | 41,933,295 | 2,291,169 | 2,737,420 | 3,677,611 | 239,686,976 | ||||||||||||||||||
Interest Rate-Related Swaps * | ||||||||||||||||||||||||
Average Notional Balance | — | — | 880,838,729 | — | — | — | ||||||||||||||||||
Total Return Basket Swaps * | ||||||||||||||||||||||||
Average Notional of Underlying Positions — Long | — | — | — | — | — | 1,046,516,757 | ||||||||||||||||||
Average Notional of Underlying Positions — Short | — | — | — | — | — | 842,558,073 |
* | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2013, are not accounted for as hedging instruments under GAAP.
8. Investment Advisory and Other Agreements
The Advisor serves as the investment Advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, or an Investment Management Agreement, dated June 10, 2010, as amended, entered into by the Trust, on behalf of the Funds (together, the “Advisory Agreement”). Under the Advisory Agreement, the Advisor 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 Advisor 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 Advisor provides persons satisfactory to the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND | RATIO | |||
AQR Managed Futures Strategy Fund | 1.05 | % | ||
AQR Risk-Balanced Commodities Strategy Fund | 0.60 | * | ||
AQR Risk Parity Fund | 0.75 | ** | ||
AQR Risk Parity II MV Fund | 0.50 | *** | ||
AQR Risk Parity II HV Fund | 0.70 | **** | ||
AQR Multi-Strategy Alternative Fund | 1.85 | ***** |
AQR Funds | Semi-Annual Report | June 2013 | 113 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
* | The AQR Risk-Balanced Commodities Strategy Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion. |
** | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
*** | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.50% on the first $1 billion of net assets; the second tier charges 0.475% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.45% on net assets in excess of $3 billion. |
**** | The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.70% on the first $1 billion of net assets; the second tier charges 0.675% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.65% on net assets in excess of $3 billion. |
***** | The AQR Multi-Strategy Alternative Fund Advisory Fee is based on the following two tier structure. The first tier charges 1.85% on the first $1 billion of net assets and the second tier charges 1.80% on net assets in excess of $1 billion. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2014. The Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND | CLASS I | CLASS N | ||||||
AQR Managed Futures Strategy Fund | 1.25 | % | 1.50 | % | ||||
AQR Risk-Balanced Commodities Strategy Fund | 1.05 | % | 1.30 | % | ||||
AQR Risk Parity Fund | 0.95 | % | 1.20 | % | ||||
AQR Risk Parity II MV Fund | 0.95 | % | 1.20 | % | ||||
AQR Risk Parity II HV Fund | 1.15 | % | 1.40 | % | ||||
AQR Multi-Strategy Alternative Fund | 1.98 | % | 2.23 | % |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. 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 when the waiver was generated. 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 Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 2013, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at June 30, 2013 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 | TOTAL POTENTIAL | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 182,898 | $ | 13,457 | $ | 169,441 | $ | — | $ | — | ||||||||||||
Class N | 7,299 | 445,355 | 52,983 | 307,475 | 77,598 | 7,299 | ||||||||||||||||||
Totals | $ | 7,299 | $ | 628,253 | $ | 66,440 | $ | 476,916 | $ | 77,598 | $ | 7,299 | ||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | ||||||||||||||||||||||||
Class I | $ | 85,617 | $ | 267,427 | $ | — | $ | — | $ | 181,810 | $ | 85,617 | ||||||||||||
Class N | 12,913 | 32,013 | — | — | 19,100 | 12,913 | ||||||||||||||||||
Totals | $ | 98,530 | $ | 299,440 | $ | — | $ | — | $ | 200,910 | $ | 98,530 |
114 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 | TOTAL POTENTIAL | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 | ||||||||||||||||||||||
2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
AQR RISK PARITY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 1,760 | $ | 1,760 | $ | — | $ | — | $ | — | ||||||||||||
Class N | — | 191,754 | 60,257 | 96,564 | 34,933 | — | ||||||||||||||||||
Totals | $ | — | $ | 193,514 | $ | 62,017 | $ | 96,564 | $ | 34,933 | $ | — | ||||||||||||
AQR RISK PARITY II MV FUND | ||||||||||||||||||||||||
Class I | $ | 65,918 | $ | 168,256 | $ | — | $ | — | $ | 102,338 | $ | 65,918 | ||||||||||||
Class N | 19,847 | 33,404 | — | — | 13,557 | 19,847 | ||||||||||||||||||
Totals | $ | 85,765 | $ | 201,660 | $ | — | $ | — | $ | 115,895 | $ | 85,765 | ||||||||||||
AQR RISK PARITY II HV FUND | ||||||||||||||||||||||||
Class I | $ | 62,404 | $ | 142,057 | $ | — | $ | — | $ | 79,653 | $ | 62,404 | ||||||||||||
Class N | 51,614 | 87,886 | — | — | 36,272 | 51,614 | ||||||||||||||||||
Totals | $ | 114,018 | $ | 229,943 | $ | — | $ | — | $ | 115,925 | $ | 114,018 | ||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | ||||||||||||||||||||||||
Class I | $ | 196,679 | $ | 969,612 | $ | — | $ | 322,982 | $ | 449,951 | $ | 196,679 | ||||||||||||
Class N | 22,082 | 137,130 | — | 59,491 | 55,557 | 22,082 | ||||||||||||||||||
Totals | $ | 218,761 | $ | 1,106,742 | $ | — | $ | 382,473 | $ | 505,508 | $ | 218,761 |
During the period ended June 30, 2013, the Funds recouped amounts as follows:
FUND | CLASS I | CLASS N | ||||||
AQR Managed Futures Strategy Fund | $ | 203,367 | $ | — | ||||
AQR Risk Parity Fund | 14,138 | 4,345 |
Pursuant to the Sub-Advisory Agreement between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 0.35% of the average daily net assets for AQR Multi-Strategy Alternative Fund.
J.P. Morgan Investor Services Co., serves as the Funds’ Administrator and Accounting Agent and JPMorgan Chase Bank, N.A., serves as Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
9. Distribution Plan
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.
10. Shareholder Service Plan
Pursuant to a Shareholder Services Agreement, between the Trust (excluding the AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund) and the Advisor, the Advisor provides a wide range of services to the Funds and their shareholders. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this
AQR Funds | Semi-Annual Report | June 2013 | 115 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
agreement the Advisor receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
FUND | CLASS I | CLASS N | ||||||
AQR Risk-Balanced Commodities Strategy Fund | 0.25 | % | 0.25 | % | ||||
AQR Risk Parity II MV Fund | 0.25 | 0.25 | ||||||
AQR Risk Parity II HV Fund | 0.25 | 0.25 |
In addition, the Advisor may, from time to time, compensate third parties (including financial intermediaries) from the fees the Advisor 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, 2013, were as follows:
FUND | CLASS I | CLASS N | ||||||
AQR Risk-Balanced Commodities Strategy Fund | $ | 76,180 | $ | 4,937 | ||||
AQR Risk Parity II MV Fund | 87,664 | 16,173 | ||||||
AQR Risk Parity II HV Fund | 35,395 | 19,263 |
11. Risks and Concentrations
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and entering into other forms of direct and indirect borrowing.
There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limits access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be the Funs best interest to do so.
The counterparties to the Funds securities sold short, currency forward, futures, option and swap contracts and reverse repurchase agreements include affiliates of the Funds clearing brokers and other major financial institutions. While the Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held and transactions with a limited number of clearing brokers and counterparties.
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 Statements 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 U.S. companies.
Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of
116 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.
The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined price at which the convertible security could be exchanged for the associated stock.
Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
Credit risk is the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status. The Funds’ investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends.
As of June 30, 2013, the AQR Multi-Strategy Alternative Fund pledged a substantial portion of its assets for securities sold short to JPMorgan Chase Bank, N.A.
12. Line of Credit
Effective March 1, 2013 and terminating on March 1, 2014, the Trust had renewed a committed, $150,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent. Borrowings, if any, under this arrangement bore interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate and (ii) the Eurodollar Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and did not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid in full. For the period ended June 30, 2013, the Funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 2013, the Funds had individual shareholder accounts owning more than 5% of the total shares outstanding of the Fund as follows:
FUND | NUMBER OF SHAREHOLDERS | TOTAL PERCENTAGE INTEREST HELD | ||||||
AQR Risk Parity II HV Fund | 1 | 9.37 | % |
* | The percentage shown is owned by the Advisor and its affiliates. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. Subsequent Events
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 accrual or disclosure.
AQR Funds | Semi-Annual Report | June 2013 | 117 | |||||||||||||
Fund Expense Examples (Unaudited) |
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 6/30/13” 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 6/30/13 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 | |||||||||||||
AQR Managed Futures Strategy Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,033.70 | 1.25% | $6.30 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.60 | 1.25% | $6.26 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,032.90 | 1.50% | $7.56 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,017.36 | 1.50% | $7.50 | ||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $845.00 | 1.05% | $4.80 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,019.59 | 1.05% | $5.26 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $843.80 | 1.30% | $5.94 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.35 | 1.30% | $6.51 |
118 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 6/30/13 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 | |||||||||||||
AQR Risk Parity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $946.90 | 0.88% | $4.25 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.43 | 0.88% | $4.41 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $945.10 | 1.20% | $5.79 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
AQR Risk Parity II MV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $936.10 | 0.95% | $4.56 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $934.20 | 1.20% | $5.75 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
AQR Risk Parity II HV Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $904.00 | 1.15% | $5.43 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,019.09 | 1.15% | $5.76 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $903.20 | 1.40% | $6.61 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,017.85 | 1.40% | $7.00 | ||||||||||||
AQR Multi-Strategy Alternative Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,024.20 | 1.98% | $9.99 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,014.93 | 1.98% | $9.94 | ||||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.20 | 2.23% | $11.18 | ||||||||||||
Hypothetical Return | $1,000.00 | $1,013.74 | 2.23% | $11.13 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise). |
AQR Funds | Semi-Annual Report | June 2013 | 119 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on February 21-22, 2013, to consider the continuation of the: (i) Investment Advisory Agreement between the Trust, on behalf of the AQR Managed Futures Strategy Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”); (ii) Investment Management Agreement between the Trust, on behalf of AQR Diversified Arbitrage Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund, and AQR (the “Investment Management Agreement”); (iii) Amended and Restated Investment Sub-Advisory Agreement for the AQR Diversified Arbitrage Fund between CNH Partners, LLC (“CNH”) and AQR (the “Investment Sub-Advisory Agreement”); and (iv) the Investment Sub-Advisory Agreement for the AQR Multi-Strategy Alternative Fund between CNH and AQR, (together with the Investment Sub-Advisory Agreement, the “Sub-Advisory Agreements”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had had a separate call in advance of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of 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 Investment Advisory Agreement, the Investment Management Agreement and the Sub-Advisory Agreements. 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 the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Investment Advisory Agreement, Investment Management Agreement and Sub-Advisory Agreements; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses; (v) a discussion of the financial statements of AQR; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Advisor,” as applicable. The Investment Advisory Agreement, the Investment Management Agreement and the Sub-Advisory Agreements are referred to collectively herein as the “Advisory Agreement,” as applicable.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for an additional one-year period. In approving the continuation of the Advisory Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Advisor; (b) the investment performance of the Funds and the Advisor’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor 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, direct and indirect benefits to the Advisor and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. 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 Advisor. The Board Members reviewed the services that the Advisor provides to the Funds under the Advisory Agreement. The Board considered the size and experience of the Advisor’s staff, its use of technology, and the Funds’ investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Advisor regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Advisor regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks. The Board considered information about how portfolio managers are compensated by the Advisor.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH, with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, fund accounting, and marketing services, as well as
120 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance and administrative services to be provided to the Funds by AQR.
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 and materials at the Meetings, the Board concluded that the continuation of the Advisory Agreement was in the best interests of the Funds.
Investment Performance of the Funds and the Advisor’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Advisor’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Advisor’s performance in managing other registered investment companies and private funds, noting that other funds the Advisor 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 to be Realized by the Advisor from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Advisor pursuant to the Advisory Agreement. The Board examined this information 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 materials independently prepared by Morningstar (“Morningstar Report”). The Morningstar Report illustrated comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual management fees and actual net expenses. The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related activities and the Advisor’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 Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’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 management fees are reasonable.
Economies of Scale. The Advisor provided to the Board 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 none of the Funds, except for the AQR Risk Parity Fund and the AQR Multi-Strategy Alternative Fund, currently 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 Advisor presented information to show that the fees were set at a level that is competitive relative to comparable funds. 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 Advisor’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Advisor or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor 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 Advisor does not presently intend to make use of soft dollars to acquire third-party research.
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 Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor
AQR Funds | Semi-Annual Report | June 2013 | 121 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
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. As a result, all of the Board Members, including the Independent Board Members, approved the continuation of the Advisory Agreement with respect to the Funds. The Independent Board Members were represented by counsel who assisted them in their deliberations.
122 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 1st Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
J.P. Morgan Investor Services Co.
70 Fargo Street
Boston, MA 02210
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.
P.O. Box 2248
Denver, CO 80201-2248
1-866-290-2688
www.aqrfunds.com
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
(a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
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 Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not required for this filing. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is 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.
AQR Funds
By: /s/ Marco Hanig |
Marco Hanig, |
Principal Executive Officer |
September 5, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Marco Hanig |
Marco Hanig, |
Principal Executive Officer |
Date: September 5, 2013 |
By: /s/ John Howard |
John Howard, |
Principal Financial Officer |
Date: September 5, 2013 |