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
AQR Capital Management, LLC
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: September 30
Date of reporting period: October 1, 2013 to September 30, 2014
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.)
Table of Contents
Shareholder Letter (Unaudited)
Cliff Asness
Managing & Founding Principal
Ronen Israel
Principal
Oktay Kurbanov
Principal
John Liew
Founding Principal
Lars Nielsen
Principal
Dear Shareholder,
Global equity markets performed well in the fiscal year ending September 30, 2014 (“FYE 2014”), with the MSCI World Total Return Index (the “Benchmark”) returning 12.20%.
A key tailwind for developed equities was the continuation of accommodative monetary policy from most developed market central banks. The one key exception was New Zealand, which saw its central bank raise interest rates 1% over the fiscal year. The European Central Bank (“ECB”) remained accommodative throughout FYE 2014, adopting a negative deposit rate and expanding its program of asset purchases. Eurozone equities were generally strong over this period, with the major markets of Germany, France, Spain, Italy and the Netherlands all posting double-digit gains in euro terms. Italy and Spain were the best performing markets in that group. Italian equities were driven higher early in 2014 on optimism over the potential reforms of new Prime Minister Matteo Renzi, while Spanish equities were supported by stronger than expected economic data.
The United States experienced modest positive growth over the fiscal year, despite a weather-driven slowdown during the winter months. Positive growth allowed the Federal Reserve to gradually reduce its bond purchases, and the market began to expect the first interest rate hike from the Fed to occur in mid-2015. U.S. equities had strong gains over the year, and the dollar outperformed most of the other G-10 currencies. The one currency to outperform the dollar over this period was the British pound, which was supported by strong domestic growth and expectations that the Bank of England would be among the earliest central banks to raise interest rates. The pound weakened late in the year, when polls indicated that Scotland’s independence vote had a chance to succeed, but subsequently rallied when the vote was rejected.
Economic growth in China slowed over the year. The slowdown helped contribute to the fall in commodity prices in the second half of the fiscal year. Countries with close trade ties to China also suffered. Hong Kong equities were hurt, and underperformed significantly in September, when pro-democracy protests increased tensions in the city-state. Australian equities lagged consistently over the fiscal year, hurt by weak growth domestically and in China.
The AQR Global Equity Fund Class I shares (the “Fund”) returned 11.55% for the year, underperforming its Benchmark by 0.65%. The Fund is actively managed, and it seeks to outperform its Benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over and underweight countries and currencies relative to the benchmark. Details on each of the strategies are provided below.
The stock selection strategies outperformed in FYE 2014, led by strong returns in the U.S. and Europe strategies. Excess returns in Canada were slightly negative, while excess returns in Japan, and other regions were flat.
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| 2 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
Industry-relative valuation and momentum signals drove most of the outperformance in the U.S., notably in the fourth quarter of 2013. Momentum signals across industries detracted from returns in the country. In Europe, industry-relative valuation and momentum signals also drove much of the outperformance. All other signals contributed positively to returns during the period in the region. The slight underperformance in Canada was driven mainly by the Fund’s earnings quality, investor sentiment and industry-relative valuation signals.
Sector positioning for the overall strategy contributed positively to the Fund’s performance in FYE 2014. Gains from an average net overweight position in healthcare offset losses from an average net underweight position in energy. The Fund’s industry-neutral bets for the overall strategy also outperformed this year, notably within the consumer staples and consumer discretionary sectors.
Tactically, the Fund is slightly overweight value in the U.S. and Japan, and are underweight value in Europe and Canada.
The country selection strategy detracted from Fund performance in FYE 2014. Thematically, both value and momentum detracted from performance over the year.
The largest detractor was the Fund’s trading in Japanese equities. Strong performance of Japanese equities and improving fundamentals led the Fund to start FYE 2014 overweight Japan on price and fundamental momentum. Japanese equities underperformed in early 2014 in response to weaker economic data and fears over the potential negative impact of the April 1, 2014 consumption tax hike. The Fund’s position moved to underweight Japan in May as price momentum and fundamental momentum deteriorated. Japanese equities outperformed later in the year on speculation of increased pension fund buying of equities, and optimism over a potential corporate tax cut.
The Fund’s overweight positions in Germany and Hong Kong also detracted from performance. German equities were up over the fiscal year, but underperformed stronger European stock markets, particularly in Spain and Italy. Hong Kong equities underperformed in response to slowing economic activity in China. Hong Kong also sold off in September in response to widespread domestic protests. The Fund’s underweight position in Australia was the largest contributor on the year. Australian equities underperformed for much of the year in response to slowing growth at home and abroad, falling commodity prices and an Australian dollar that remained elevated for much of the year.
The Fund’s largest overweight positions at the end of FYE 2014 were in Hong Kong, the United Kingdom and the Netherlands, and the largest underweights were in Australia and Switzerland. The Fund was overweight in Hong Kong and the United Kingdom due to attractive valuations, and Netherlands due to improving fundamentals as compared to other eurozone equity markets. The Fund is underweight Australia due to expensive valuations and weak price momentum, and Switzerland due to expensive valuations and weak fundamentals.
The currency selection strategy was approximately flat in FYE 2014, with weak performance late in the year offsetting earlier gains. Strong performance from momentum signals offset weak performance from carry related signals.
The largest contributor was the Canadian dollar, which started FYE 2014 as one of the Fund’s largest underweight positions. The Fund profited from this underweight over the first two quarters of the fiscal year, as falling inflation and modest growth led to expectations of easier monetary policy from
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 3 |
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Shareholder Letter (Unaudited)
the Bank of Canada. The Fund’s underweight in the Swedish krona was also a key contributor, particularly in the second half of FYE 2014. Low inflation and slow growth led the Riksbank (Sweden’s central bank) to cut interest rates more than expected and revise downward the expected path of interest rates, which weakened the krona.
The largest detracting positions were the Fund’s underweight in the British pound and overweight in the Japanese yen. The British pound outperformed over the year, as relatively strong growth and expectations that the Bank of England would be among the first developed central banks to raise interest rates drove demand for sterling. The yen underperformed, driven by significant monetary stimulus and expectations that the government pension investment fund may increase its allocation to foreign assets.
The Fund’s largest overweight positions as of the end of FYE 2014 were in the Norwegian krone and New Zealand dollar. Both positions are driven by attractive carry and strong price momentum. The Fund’s largest underweight is in the British pound, due to expensive valuations, unattractive carry and negative sentiment. The Fund is also underweight the Swedish krona on negative price momentum and unattractive carry, and underweight the Swiss franc on a range of themes.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | | | | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AQGIX | | | 11.55% | | | | 19.62% | | | | 11.25% | | | | 12/31/2009 | |
Fund - Class N: AQGNX | | | 11.17% | | | | 19.26% | | | | 10.93% | | | | 12/31/2009 | |
Fund - Class R6: AQGRX | | | na | | | | na | | | | 2.99% | | | | 1/8/2014 | |
Fund - Class Y: AQGYX | | | 11.99% | | | | 20.11% | | | | 11.73% | | | | 12/31/2009 | |
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MSCI World Total Return Index | | | 12.20% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 2.27%, 3.01%, 0.51% and 0.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| 4 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
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AQR GLOBAL EQUITY FUND VS. MSCI WORLD TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 12/31/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AQGIX | | | 11.55% | | | | 19.62% | | | | 11.43% | | | | 4.97% | | | | 6/30/2006 | |
Fund - Class N: AQGNX | | | 11.17% | | | | 19.26% | | | | 11.10% | | | | 4.64% | | | | 6/30/2006 | |
Fund - Class R6: AQGRX | | | na | | | | na | | | | na | | | | 2.99% | | | | 1/8/2014 | |
Fund - Class Y: AQGYX | | | 11.99% | | | | 20.11% | | | | 11.90% | | | | 5.39% | | | | 6/30/2006 | |
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MSCI World Total Return Index | | | 12.20% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 2.27%, 3.01%, 0.51% and 0.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 5 |
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Shareholder Letter (Unaudited)
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AQR GLOBAL EQUITY FUND VS. MSCI WORLD TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 6/30/2006 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| 6 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
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| AQR INTERNATIONAL EQUITY FUND | | |
Cliff Asness
Managing & Founding Principal
Ronen Israel
Principal
Oktay Kurbanov
Principal
John Liew
Founding Principal
Lars Nielsen
Principal
Dear Shareholder,
International equity markets performed positively in the fiscal year ending September 30, 2014, with the MSCI EAFE Index (the “Benchmark”) returning 4.25%.
A key tailwind for developed equities was the continuation of accommodative monetary policy from most developed market central banks. The one key exception was New Zealand, which saw its central bank raise interest rates 1% over the fiscal year. The ECB remained accommodative throughout FYE 2014, adopting a negative deposit rate and expanding its program of asset purchases. Eurozone equities were generally strong over this period, with the major markets of Germany, France, Spain, Italy and the Netherlands all posting double-digit gains in euro terms. Italy and Spain were the best performing markets in that group. Italian equities were driven higher early in 2014 on optimism over the potential reforms of new Prime Minister Matteo Renzi, while Spanish equities were supported by stronger than expected economic data.
The United States experienced modest positive growth over the fiscal year, despite a weather-driven slowdown during the winter months. Positive growth allowed the Federal Reserve to gradually reduce its bond purchases, and the market began to expect the first interest rate hike from the Fed to occur in mid-2015. U.S. equities had strong gains over the year, and the dollar outperformed most of the other G-10 currencies. The one currency to outperform the dollar over this period was the British pound, which was supported by strong domestic growth and expectations that the Bank of England would be among the earliest central banks to raise interest rates. The pound weakened late in the year, when polls indicated that Scotland’s independence vote had a chance to succeed, but subsequently rallied when the vote was rejected.
Economic growth in China slowed over the year. The slowdown helped contribute to the fall in commodity prices in the second half of the fiscal year. Countries with close trade ties to China also suffered. Hong Kong equities were hurt, and underperformed significantly in September, when pro-democracy protests increased tensions in the city-state. Australian equities lagged consistently over the fiscal year, hurt by weak growth domestically and in China.
The AQR International Equity Fund Class I shares (the “Fund”) returned 1.33% for the year, underperforming its Benchmark by 2.92%. The Fund is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark. Details on each of the strategies are provided below.
The stock selection strategies outperformed in FYE 2014, driven by strong returns in Europe. Excess returns in Japan and other regions were also positive.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 7 |
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Shareholder Letter (Unaudited)
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| AQR INTERNATIONAL EQUITY FUND | | |
Industry-relative valuation and momentum signals drove most of the outperformance in Europe. All other signals in the region also outperformed during the period. In Japan, investor sentiment and stability signals contributed positively to excess returns, offsetting losses from industry momentum and valuation.
Sector positioning for the overall strategy was flat over the period. Gains from an average net overweight position in healthcare were offset by losses from an average net overweight in consumer discretionary. The Fund’s industry-neutral bets for the overall strategy contributed positively to excess returns in FYE 2014, notably driven by the outperformance within consumer discretionary and healthcare sectors.
Tactically, the Fund is slightly overweight value in Japan and underweight in Europe and Canada.
The country selection strategy detracted from Fund performance in FYE 2014. Thematically, momentum detracted from performance over the year, while value had a small positive contribution.
The largest detractor was the Fund’s trading in Japanese equities. Strong performance of Japanese equities and improving fundamentals led us to start FYE 2014 overweight Japan on price and fundamental momentum. Japanese equities underperformed in early 2014 in response to weaker economic data and fears over the potential negative impact of the April 1, 2014 consumption tax hike. The Fund’s position moved to underweight Japan in May as price momentum and fundamental momentum deteriorated. Japanese equities outperformed later in the year on speculation of increased pension fund buying of equities, and optimism over a potential corporate tax cut.
The Fund’s overweight in Hong Kong, driven by attractive valuations, also detracted from performance. Hong Kong equities underperformed in response to slowing economic activity in China. Hong Kong also sold off in September in response to widespread domestic protests. The Fund’s underweight position in Australia was the largest contributor on the year. Australian equities underperformed for much of the year in response to slowing growth at home and abroad, falling commodity prices and an Australian dollar that remained elevated for much of the year.
The Fund’s largest overweight positions at the end of FYE 2014 were in Hong Kong, the United Kingdom and the Netherlands, and the Fund’s largest underweights were in Australia and Switzerland. The Fund was overweight in Hong Kong and the United Kingdom due to attractive valuations, and Netherlands due to improving fundamentals as compared to other eurozone equity markets. The Fund was underweight Australia due to expensive valuations and weak price momentum, and Switzerland due to expensive valuations and weak fundamentals.
The currency selection strategy detracted from performance in FYE 2014, with weak performance coming primarily in the most recent quarter. Strong performance from momentum signals offset weak performance from carry related signals. Value signals were approximately flat on the year.
The largest detracting positions were an underweight in the British pound and an overweight in the Japanese yen. The British pound outperformed over the year, as relatively strong growth and expectations that the Bank of England would be among the first developed central banks to raise interest rates drove demand for sterling. The yen underperformed, driven by significant monetary stimulus and expectations that the government pension investment fund may increase its allocation to foreign assets. The Fund’s overweight position in the euro also detracted, as weak growth and more accommodative monetary policy from the ECB weakened the common currency.
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| 8 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
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| AQR INTERNATIONAL EQUITY FUND | | |
The Fund’s overweight position in the New Zealand dollar and underweight positions in the Swiss franc and Swedish krona were the key contributors over the fiscal year. The New Zealand dollar outperformed, supported by rising interest rates and relatively strong domestic growth. The Swiss franc tracked the euro lower, particularly in the fourth quarter, as the Swiss National Bank maintained its exchange rate floor. The Swedish krona underperformed, particularly in the second half of FYE 2014. Low inflation and slow growth led the Riksbank to cut interest rates more than expected and revise downward the expected path of interest rates, which weakened the krona.
The Fund’s largest overweight positions as of the end of FYE 2014 were in the Norwegian krone and New Zealand dollar. Both positions are driven by attractive carry and strong price momentum. The Fund is also overweight the Japanese yen on carry and investor sentiment signals. The Fund’s largest underweight is in the British pound, due to expensive valuations, unattractive carry and negative sentiment. The Fund is also underweight the Swedish krona on negative price momentum and unattractive carry, and underweight the Swiss franc on a range of themes.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AQIIX | | | 1.33% | | | | 15.07% | | | | 6.73% | | | | 6.73% | | | | 9/29/2009 | |
Fund - Class N: AQINX | | | 0.96% | | | | 14.63% | | | | 6.41% | | | | 6.40% | | | | 9/29/2009 | |
Fund - Class R6: AQIRX | | | na | | | | na | | | | na | | |
| -4.30%
|
| | | 1/8/2014 | |
Fund - Class Y: AQIYX | | | 1.71% | | | | 15.46% | | | | 7.90% | | | | 7.75% | | | | 8/28/2009 | |
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MSCI EAFE Index | | | 4.25% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 0.90%, 1.24%, 0.55% and 0.75%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 9 |
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Shareholder Letter (Unaudited)
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| AQR INTERNATIONAL EQUITY FUND | | |
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AQR INTERNATIONAL EQUITY FUND VS. MSCI EAFE INDEX VALUE OF $10,000 INVESTED ON 9/29/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | 10 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AQIIX | | | 1.33% | | | | 15.07% | | | | 6.67% | | | | 6.08% | | | | 6.38% | | | | 7/31/2004 | |
Fund - Class N: AQINX | | | 0.96% | | | | 14.63% | | | | 6.34% | | | | 5.74% | | | | 6.03% | | | | 7/31/2004 | |
Fund - Class R6: AQIRX | | | na | | | | na | | | | na | | | | na | | | | -4.30% | | | | 1/8/2014 | |
Fund - Class Y: AQIYX | | | 1.71% | | | | 15.46% | | | | 7.03% | | | | 6.45% | | | | 6.75% | | | | 7/31/2004 | |
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MSCI EAFE Index | | | 4.25% | | | | | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Class Y shares are subject to a 0.10% redemption fee. If reflected, the redemption fee would reduce the performance quoted. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/Y/R6 shares are 0.90%, 1.24%, 0.55% and 0.75%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| 10 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
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| AQR INTERNATIONAL EQUITY FUND | | |
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AQR INTERNATIONAL EQUITY FUND VS. MSCI EAFE INDEX VALUE OF $10,000 INVESTED ON 7/31/2004 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 11 |
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Shareholder Letter (Unaudited)
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| AQR EMERGING DEFENSIVE EQUITY FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Hoon Kim
Managing Director
Dear Shareholder,
Emerging equity stocks performed positively in the fiscal year ending September 30, 2014 (“FY 2014”). However, a sharp drop in the final month of the period, driven by expectations of tighter liquidity in the United States and a slowing economy in China, tapered this performance. The MSCI Emerging Markets Index (“Index”) returned 4.30% in FY 2014, accompanied by a particularly low annual volatility of 10.6%. The AQR Emerging Defensive Equity Fund (the “Fund”) Class I shares underperformed the market, returning 2.78%, with an annual volatility of 9.9%. The Fund seeks to provide exposure to emerging stocks with lower volatility than the Index. We expect the strategy to underperform the Index when the markets are rising, but outperform the Index during market declines.
To achieve this objective, the Fund overweights low-risk sectors, countries and stocks while underweighting high-risk sectors, countries and stocks, relative to the market. Sector selection contributed positively to returns in excess of the Index. On average throughout FY 2014, the Fund had an overweight position in low-risk sectors such as telecommunications and consumer staples. The overweight to telecommunications contributed positively to returns in excess of the Index as this sector outperformed. This was partly offset by the overweight to consumer staples, as this sector underperformed relative to the market. The Fund also underweighted sectors with higher risk, namely financials and information technology (“IT”). While the Fund’s financials underweight did not materially impact excess returns, the underweight to IT contributed negatively to excess returns as that sector outperformed the market.
During rising markets, low-risk stock selection within sectors underperformed, particularly within consumer staples. Selecting low-risk countries during this period contributed positively to the performance of the Fund relative to the Index, driven by our underweight to stocks in India. Stock selection within countries outperformed relative to the Index, driven mostly by stock selection in Korea.
The Fund pursues a defensive strategy in emerging markets, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
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| 12 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
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| AQR EMERGING DEFENSIVE EQUITY FUND | | |
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR EMERGING DEFENSIVE EQUITY FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AZEIX | | | 2.78% | | | | 2.96% | | | | 7/9/2012 | |
Fund - Class N: AZENX | | | 2.60% | | | | 2.72% | | | | 7/9/2012 | |
Fund - Class R6: AZERX | | | na | | | | -6.19% | | | | 9/2/2014 | |
| | | |
MSCI Emerging Markets Index | | | 4.30% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.93%, 3.35% and 1.91%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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AQR EMERGING DEFENSIVE EQUITY FUND VS. MSCI EMERGING MARKET INDEX VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 13 |
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Shareholder Letter (Unaudited)
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| AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Hoon Kim
Managing Director
Dear Shareholder:
Following a strong fiscal year in 2013, international market performance in the fiscal year ending September 30, 2014 was also positive, albeit to a lesser extent. Returns were driven by an accommodative monetary policy and generally muted volatility environment. The MSCI World ex-USA Index (“Index”) returned 4.86% during the year, accompanied particularly low annual volatility of 9.0%. The AQR International Defensive Equity Fund (the “Fund”) Class I shares outperformed the market, returning 6.68%, with an annual volatility of 7.2%. Throughout the year, the Fund experienced both higher returns and lower volatility. The Fund seeks to provide exposure to international stock markets with lower volatility than the Index. In general, we expect the strategy to underperform the Index when markets are rising, but outperform the Index during market declines.
To achieve this objective, the Fund overweights low-risk sectors, countries and stocks, and underweights high-risk sectors, countries and stocks relative to the market. Overall, overweighting low-risk sectors and underweighting high-risk ones contributed positively to returns in excess of the Index. Our overweight to healthcare, a low risk sector over the period, contributed most positively to excess returns as that sector outperformed the Index, particularly in the pharmaceuticals industry. Stock selection within sectors also outperformed – favoring low-risk versus high-risk stocks in consumer discretionary and healthcare contributed positively to excess returns, offsetting the underperformance within utilities and materials.
Selecting lower-risk countries contributed positively to excess returns, driven by our position in Canada, one of our largest overweights relative to the benchmark. Due to the lower relative risk of Canadian stocks, we have been overweight the country throughout the year. Low-risk stock selection within countries also outperformed, particularly within the United Kingdom and Japan.
The Fund pursues a defensive strategy in developed markets outside of the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets.
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| 14 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | | | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: ANDIX | | | 6.68% | | | | 11.68% | | | | 7/9/2012 | |
Fund - Class N: ANDNX | | | 6.32% | | | | 11.39% | | | | 7/9/2012 | |
Fund - Class R6: ANDRX | | | na | | | | -4.99% | | | | 9/2/2014 | |
| | | |
MSCI World ex-USA Index | | | 4.86% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.89%, 4.03% and 1.82%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR INTERNATIONAL DEFENSIVE EQUITY FUND VS. MSCI WORLD ex-USA INDEX VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 15 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR U.S. DEFENSIVE EQUITY FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Hoon Kim
Managing Director
Dear Shareholder,
The U.S. equity market continued its strong performance in the fiscal year ending September 30, 2014, driven by improving economic activity and continued accommodative monetary policy. The Russell 1000 Index (“Index”) returned 19.01% during the year, accompanied by an annual volatility of 10.4%, a low figure by historical standards. The AQR U.S. Defensive Equity Fund (the “Fund”) Class I shares returned 16.44%, with realized volatility of 9.3% during the same timeframe. As is expected in a bull-market environment, the Fund modestly underperformed the Index, while maintaining a lower volatility. The Fund ultimately seeks to provide exposure to U.S. stock markets with lower volatility than the Index. In general, we expect the strategy to underperform its Index when markets are rising, but outperform the Index during market declines.
To achieve this objective, the Fund overweights low-risk sectors and low-risk stocks, while underweighting high-risk sectors and high-risk stocks relative to the market. During the year, the Fund underweight to the energy sector paid off as these stocks underperformed the broader market as oil prices dropped. However, the overweight in consumer staples, a particularly low-risk sector, detracted from excess returns relative to the Index. Overall, the Fund’s sector selection contributed positively to excess returns over the period. Conversely, low-risk stocks underperformed high-risk stocks within sectors, particularly in information technology.
The Fund pursues a defensive strategy in the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR U.S. DEFENSIVE EQUITY FUND | | | | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AUEIX | | | 16.44% | | | | 17.45% | | | | 7/9/2012 | |
Fund - Class N: AUENX | | | 16.16% | | | | 17.15% | | | | 7/9/2012 | |
Fund - Class R6: QUERX | | | na | | | | -0.42% | | | | 9/2/2014 | |
| | | |
Russell 1000 Index | | | 19.01% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.79%, 1.34% and 0.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| 16 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR U.S. DEFENSIVE EQUITY FUND | | |
|
AQR U.S. DEFENSIVE EQUITY FUND VS. RUSSELL 1000 INDEX VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 17 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
U.S. large-cap stocks ended an upward trend over the fiscal year ended September 30, 2014, with modest gains as positive news from the U.S. labor market and improvements in the manufacturing and services sectors were counterbalanced by slowing economic growth in China and Europe. The Russell 1000 Index returned 19.01% and the Russell 1000 Growth Index returned 19.15% for the fiscal year ended September 30, 2014. The AQR Momentum Fund (the “Fund”) Class L shares underperformed both Russell indices, gaining 16.86% for the year.
The underperformance to the Russell 1000 Index was primarily driven by individual stock selection over and underweights particularly in the Consumer Staples, Energy and Financials sectors. These losses were counterbalanced to some extent by strong performance from stock over and underweights within Industrials and Consumer Discretionary sectors.
Sector over and underweights also detracted albeit to a smaller extent. The underweight in Energy over the third quarter of the fiscal year when the sector outperformed relative to the broader market and the slight overweight over the last quarter of the fiscal year, a period when Energy was the worst performing sector, was a drag on the Fund’s performance. In addition, the overweight of Consumer Discretionary over the year, a sector that underperformed the market on average, also detracted from performance.
The Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the Fund’s investment universe, which is comprised of the 1000 largest U.S. companies by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
Note that the Fund sometimes uses derivatives, such as S&P500 E-Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in the 2014 fiscal year contributed approximately 0.27% to performance during the year.
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| 18 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR MOMENTUM FUND | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class L: AMOMX | | | 16.86% | | | | 23.49% | | | | 16.21% | | | | 18.55% | | | | 7/9/2009 | |
Fund - Class N: AMONX | | | 16.59% | | | | na | | | | na | | | | 22.03% | | | | 12/17/2012 | |
Fund - Class R6: QMORX | | | na | | | | na | | | | na | | | | -0.05% | | | | 7/10/2014 | |
| | | | | |
Russell 1000 Index | | | 19.01% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 0.56%, 0.84% and 0.49%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR MOMENTUM FUND VS. RUSSELL 1000 INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 19 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
U.S. small cap stocks strongly underperformed U.S. large cap stocks in 2014, (January 1 through September 30, 2014) with a loss of -4.41% for the Russell 2000 Index versus a gain of 7.97% for the Russell 1000 Index, as a result of perceived overvaluation in the first part of the year and heightened sensitivity to potential interest rates increases. The 2014 trend translated into U.S. small cap stocks underperforming U.S. large cap stocks over the fiscal year ended September 30, 2014. The Russell 2000 Index returned 3.93% and the Russell 2000 Growth Index gained a similar 3.79% for the year. The AQR Small Cap Momentum Fund (the “Fund”) Class L shares underperformed both indices, returning 3.07% over the fiscal year.
The underperformance relative to the Russell 2000 Index was largely driven by relative exposures across the sectors. In particular, the overweight in Consumer Discretionary in the first part of the year and in Energy over the most recent quarter, sectors that underperformed the market over these periods, as well as the relatively large underweight in Financials, a sector that outperformed the market, detracted meaningfully from performance. The overweight in Information detracted slightly from performance as well.
While individual stock selection over and underweights within sectors added a small positive amount overall, the over and underweights within Financials and Information Technology were the largest detractors from performance. These losses were offset by the large positive performance from stock over and underweights within the Health Care, Industrial and Materials sectors.
The Fund invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
Note that the Fund sometimes uses derivatives, such as Russell 2000 E-Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in the 2014 fiscal year detracted approximately -0.06% from performance during the year.
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| 20 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR SMALL CAP MOMENTUM FUND | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: ASMOX | | | 3.07% | | | | 24.37% | | | | 15.60% | | | | 18.81% | | | | 7/9/2009 | |
Fund - Class N: ASMNX | | | 2.83% | | | | na | | | | na | | | | 20.18% | | | | 12/17/2012 | |
Fund - Class R6: QSMRX | | | na | | | | na | | | | na | | | | -4.44% | | | | 7/10/2014 | |
| | | | | |
Russell 2000 Index | | | 3.93% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 0.80%, 4.94% and 0.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR SMALL CAP MOMENTUM FUND VS. RUSSELL 2000 INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 21 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
Developed world markets posted modest gains during the fiscal year ended September 30, 2014 due to a flat 2014 and a steep decline in the final quarter in particular as reaction to persistent news of geopolitical strife, concern about China’s economic slowdown, and the potentially harmful effects of rising U.S. interest rates. For the fiscal year, The MSCI World ex-USA Index returned 4.86%, while the MSCI World ex-USA Growth Index gained 3.96%. The AQR International Momentum Fund (the “Fund”) Class L shares underperformed both benchmarks, returning -0.64%.
The Fund’s underperformance relative to the broader MSCI World ex-USA Index was mainly driven by individual stock selection over and underweights within sectors and countries. Stock over and underweights especially within Financials, but also in the Energy & Utilities sector were particularly detrimental. These loses were offset to some extent by positive stock selection in Heath Care, Industrial and Information Technology. Stock selection within Japan, France, United Kingdom, Germany and Italy detracted from performance.
Relative exposures across sectors, particularly from the overweight in Consumer Discretionary and underweight in Energy over second and third fiscal quarters, sectors which underperformed & outperformed the market over these periods detracted from performance. With respect to relative exposures across countries, an overweight in Japan, a country that underperformed the market on average, also contributed negatively to the Fund’s performance.
The Fund invests in stocks of non-U.S. companies with positive momentum. The Fund’s investment universe is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
Note that the Fund sometimes uses derivatives, such as MSCI EAFE E-Mini futures, to gain market exposure and equitize daily flows. The Fund’s derivatives positions in the 2014 fiscal year contributed approximately 0.11% to performance during the year.
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| 22 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR INTERNATIONAL MOMENTUM FUND | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: AIMOX | | | -0.64% | | | | 13.54% | | | | 6.47% | | | | 10.00% | | | | 7/9/2009 | |
Fund - Class N: AIONX | | | -0.91% | | | | na | | | | na | | | | 9.03% | | | | 12/17/2012 | |
Fund - Class R6: QIORX | | | na | | | | na | | | | na | | | | -3.86% | | | | 7/10/2014 | |
| | | | | |
MSCI World ex-USA Index | | | 4.86% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 0.73%, 1.03% and 0.65%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR INTERNATIONAL MOMENTUM FUND VS. MSCI WORLD ex-USA INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 23 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING MOMENTUM FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
Emerging stock markets fell strongly in the last quarter of the fiscal year ended September 30, 2014, as a sell-off in September erased gains from the prior months. Since inception of the AQR Emerging Momentum Fund (the “Fund”) on May 13, 2014, the MSCI Emerging Markets Index returned -1.20% and the MSCI Emerging Markets Growth Index returned -0.31%. The Fund Class L shares outperformed both indices, returning 0.20% for the period since inception to September 30, 2014.
The Fund’s outperformance relative to the broader MSCI Emerging Markets Index was mainly driven by individual stock selection over and underweights within sectors and countries. Stock over and underweights within Consumer Discretionary and Information Technology sectors were the largest contributors to performance. Stock selection in South Korean also added meaningfully to performance while, positions within the Financials sector and country picks in India & Indonesia detracted from performance.
Relative exposures across countries also provided significant positive returns. The overweights in Taiwan & China, countries which outperformed the market and underweights in Russia & South Korea, countries which strongly underperformed the market during the period contributed significantly to the overall performance of the Fund.
Relative exposures across sectors added a relatively smaller, but still positive amount, particularly from the overweight in Health Care & Information Technology, and an underweight in Materials. The underweight in Telecommunication Services, a sector that strongly outperformed the market since the Fund’s inception, detracted from performance.
The Fund invests in stocks of emerging market companies with positive momentum. A stock is considered to have positive momentum if it has performed well in the prior twelve months (excluding the most recent month) relative to other stocks in the Fund’s investment universe, which is comprised of approximately the top 85% of stocks by market capitalization in 16 emerging countries Brazil, Chile, China, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Poland, Russia, South Africa, Turkey, Taiwan and Thailand. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
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| 24 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING MOMENTUM FUND | | |
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR EMERGING MOMENTUM FUND | |
| | | Since
Inception | | | Date of Inception | |
Fund - Class L: QEMLX | | | 0.20% | | | | 5/13/2014 | |
Fund - Class N: QEMNX | | | 0.10% | | | | 5/13/2014 | |
Fund - Class R6: QEMRX | | | -5.74% | | | | 7/10/2014 | |
| | |
MSCI Emerging Market Index | | | -1.20% | | | | 5/13/2014 | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 1.14%, 1.42% and 1.04%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR EMERGING MOMENTUM FUND VS. MSCI EMERGING MARKETS INDEX VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 25 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
U.S. large-cap stocks ended an upward trend over the fiscal year ended September 30, 2014, with modest gains as positive news from the U.S. labor market and improvements in the manufacturing and services sectors were counterbalanced by slowing economic growth in China and Europe. The Russell 1000 Index returned 19.01% and the Russell 1000 Growth Index returned 19.15% for the year. The AQR Tax-Managed Momentum Fund (the “Fund”) Class L shares underperformed both Russell indices, returning 18.15%.
The underperformance to the Russell 1000 Index was driven by both relative exposures across sectors as well as within sectors. Individual stock over and underweights, particularly within the Consumer Staples, Financials, Energy, Utilities and Telecommunication Services sectors were a drag on performance. To a large extent this was counterbalanced by positive performance from stock over and underweights in the Industrials, Health Care and Consumer Discretionary sectors.
Sector over and underweights also detracted meaningfully from performance. The underweight in Energy over the third quarter of the fiscal year when the sector outperformed relative to the broader market and the slight overweight over the last quarter of the fiscal year, a period over which Energy was the worst performing sector, detracted from performance. In addition, the overweight of Consumer Discretionary over the year, a sector that underperformed the market on average, also detracted from performance.
The Fund invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of the 1000 largest U.S. companies by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
| | | | | | | | | | | | | | | | |
| 26 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR TAX-MANAGED MOMENTUM FUND | | | | |
| | | 1 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: ATMOX | | | 18.15% | | | | 20.33% | | | | 1/27/2012 | |
Fund - Class N: ATMNX | | | 17.81% | | | | 22.53% | | | | 12/17/2012 | |
Fund - Class R6: QTMRX | | | na | | | | 0.76% | | | | 7/10/2014 | |
| | | |
Russell 1000 Index | | | 19.01% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 1.42%, 4.12% and 1.40%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR TAX-MANAGED MOMENTUM FUND VS. RUSSELL 1000 INDEX VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 27 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
U.S. small cap stocks strongly underperformed U.S. large cap stocks in 2014 (January 1 through September 30, 2014), with a loss of -4.41% for the Russell 2000 Index versus a gain of 7.97% for the Russell 1000 Index, as a result of perceived overvaluation in the first part of the year and heightened sensitivity to potential interest rates increases. The 2014 trend translated into U.S. small cap stocks underperforming U.S. large cap stocks over the fiscal year. The Russell 2000 Index returned 3.93% and the Russell 2000 Growth Index gained a similar 3.79% for the year. The AQR Tax-Managed Small Cap Momentum Fund (the “Fund”) Class L shares underperformed both indices, returning 0.98%.
The underperformance relative to the Russell 2000 Index was driven by both relative exposures across sectors as well over and underweights within sectors. In particular, the overweight in Consumer Discretionary in the first part of the year and in Energy over the most recent quarter, sectors that underperformed the market over these periods, as well as the underweight in Financials, a sector that outperformed the market, detracted meaningfully from performance. The overweight in Information detracted slightly.
Individual stock over and underweights within the Information Technology, Financials, Consumer Discretionary and Health Care sectors were relatively large detractors on performance. While the largest positive contributors were from stock selection in the Industrials & Materials sectors.
The Fund invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
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| 28 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | | | |
| | | 1 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: ATSMX | | | 0.98% | | | | 16.93% | | | | 1/27/2012 | |
Fund - Class N: ATSNX | | | 0.69% | | | | 19.12% | | | | 12/17/2012 | |
Fund - Class R6: QTSRX | | | na | | | | -4.72% | | | | 7/10/2014 | |
| | | |
Russell 2000 Index | | | 3.93% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 2.80%, 5.18% and 2.79%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND VS. RUSSELL 2000 INDEX VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 29 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
Developed world markets posted modest gains during the fiscal year ended September 30, 2014 due to a flat 2014 and a steep decline in the final quarter in particular as reaction to persistent news of geopolitical strife, concern about China’s economic slowdown, and the potentially harmful effects of rising U.S. interest rates. For the fiscal year, The MSCI World ex-USA Index returned 4.86%, while the MSCI World ex-USA Growth Index gained 3.96%. The AQR Tax-Managed International Momentum Fund (the “Fund”) Class L shares underperformed both benchmarks, returning 0.97%.
The Fund’s underperformance relative to the broader MSCI World ex-USA Index was mainly driven by individual stock over and underweights within sectors and countries. Stock over and underweights within the Financials, Energy and Utilities sectors were particularly detrimental to performance. These losses were offset to some extent by positive contributions from stock selection in the Information Technology, Heath Care and Industrials sectors. With respect to countries, stock selection within Japan, France, United Kingdom, Germany, Netherlands and Italy also detracted from performance.
Relative exposures across countries were the next largest detractor. The overweight in Japan, a country that underperformed the market on average over the fiscal year, detracted significantly from performance.
Relative exposures across sectors also contributed negatively, particularly from the overweight in Consumer Discretionary, a sector than underperformed on average over the year, and the third fiscal quarter’s underweight in Energy, when the sector outperformed the market.
The Fund invests in stocks of large and mid-cap non-U.S. companies with positive momentum. The Fund’s investment universe is comprised of approximately the top 85% of stocks by market capitalization of each of the 20 major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
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| 30 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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Shareholder Letter (Unaudited)
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | |
| | | 1 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: ATIMX | | | 0.97% | | | | 12.03% | | | | 1/27/2012 | |
Fund - Class N: ATNNX | | | 0.69% | | | | 10.15% | | | | 12/17/2012 | |
Fund - Class R6: QTIRX | | | na | | | | -4.17% | | | | 7/10/2014 | |
| | | |
MSCI World ex-USA Index | | | 4.86% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 2.33%, 5.02% and 2.32%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND VS. MSCI WORLD ex-USA INDEX VALUE OF $10,000 INVESTED ON 1/27/ 2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 31 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
U.S. large-cap stocks ended an upward trend over the fiscal year ended September 30, 2014 with modest gains as positive news from the U.S. labor market and improvements in the manufacturing and services sectors were counterbalanced by slowing economic growth in China and Europe. The Russell 1000 Index returned 19.01%, the Russell 1000 Growth Index returned 19.15% and the Russell 1000 Value Index returned 18.89% for the fiscal year. The AQR Core Equity Fund (the “Fund”) Class L shares outperformed all three indices, returning 21.39%. The Value portion of the investing strategy was the main contributor to performance, while Momentum detracted slightly, and Profitability was flat.
The outperformance to the Russell 1000 Index was largely driven by individual stock over and underweights within sectors, while relative exposures across sectors detracted slightly. In particular, stock selection within the Financials, Industrials and Information Technology sectors were large contributors to performance. With respect to sector over and underweights, the overweight in Information Technology contributed positively on average. The largest detractors to performance were from stock selection: within Consumer Discretionary, an average overweight in Financials and the third fiscal quarter underweight in Energy.
The Fund invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR CORE EQUITY FUND | |
| | | 1 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: QCELX | | | 21.39% | | | | 21.74% | | | | 3/26/2013 | |
Fund - Class N: QCENX | | | 21.05% | | | | 21.52% | | | | 3/26/2013 | |
Fund - Class R6: QCERX | | | na | | | | 0.30% | | | | 7/10/2014 | |
| | | |
Russell 1000 Index | | | 19.01% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 1.84%, 4.34% and 1.76%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| 32 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
|
AQR CORE EQUITY FUND VS. RUSSELL 1000 INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 33 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
U.S. small cap stocks strongly underperformed U.S. large cap stocks in 2014 (January 1 through September 30, 2014) with a loss of -4.41% for the Russell 2000 Index versus a gain of 7.97% for the Russell 1000 Index, as a result of perceived overvaluation in the first part of the year and heightened sensitivity to potential interest rates increases. The 2014 trend translated into U.S. small cap stocks underperforming U.S. large cap stocks over the fiscal year. The Russell 2000 Index returned 3.93%, the Russell 2000 Growth Index gained 3.79% and the Russell 2000 Value Index returned 4.13% for the year. The AQR Small Cap Core Equity Fund (the “Fund”) Class L shares outperformed the three Russell indices returning 5.13% for the fiscal year ended September 30, 2014. All three Value, Momentum and Profitability styles contributed positively to performance.
The outperformance relative to the Russell 2000 Index was largely driven by individual stock over and underweights within sectors, while relative exposures across sectors detracted. In particular, stock selection within the Industrials, Consumer Discretionary and Energy sectors were the largest positive contributors. The average overweight in Information Technology also contributed positively to performance.
With respect to the relative exposures across sectors, the average overweight in Consumer Discretionary, a sector that underperformed the market on average, was the largest detractor. The underweight in Health Care, a sector that outperformed the market on average over the fiscal year, also contributed negatively to performance.
The Fund invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
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| 34 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR SMALL CAP CORE EQUITY FUND | | | | |
| | | 1 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: QSLMX | | | 5.13% | | | | 15.80% | | | | 3/26/2013 | |
Fund - Class N: QSMNX | | | 4.78% | | | | 15.48% | | | | 3/26/2013 | |
Fund - Class R6: QSERX | | | na | | | | -4.63% | | | | 7/10/2014 | |
| | | |
Russell 2000 Index | | | 3.93% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 6.02%, 6.58% and 5.95%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR SMALL CAP CORE EQUITY FUND VS. RUSSELL 2000 INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 35 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL CORE EQUITY FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder,
Developed world markets posted modest gains during the fiscal year ended September 30, 2014 due to a flat 2014 and a steep decline in the final quarter in particular as reaction to persistent news of geopolitical strife, concern about China’s economic slowdown, and the potentially harmful effects of rising U.S. interest rates. The MSCI World ex-USA Index returned 4.86%, the MSCI World ex-USA Growth Index gained 3.96% and MSCI World ex-USA Value Index gained 5.75% for the year. The AQR International Core Equity Fund (the “Fund”) Class L shares underperformed the three benchmarks, returning 2.53%. Significant positive contributions from Value were offset by a relatively large detraction from Momentum.
The underperformance relative to the MSCI World ex-USA benchmark was driven primarily by relative exposures across sectors and countries. Specifically, the underweight in Health Care, the top performing sector, and overweight in Consumer Discretionary, a sector that underperformed on average over the fiscal year, were large detractors to performance. The underweight in Energy over the second and third quarters of the fiscal year when the sector outperformed the market also added negatively to performance. With respect to countries, the overweight in Japan and Austria and underweight in Germany generated the largest negative contributions.
The individual stock over and underweights within sectors and countries also detracted albeit to a smaller extent. Relatively large negative contributions from stock selection in Financials, Energy and Consumer Staples were largely offset by roughly equally large positive contributions from Consumer Discretionary and Information Technology. Regarding stock selection within countries, negative contributions from stock selection in Canada, Australia, the United Kingdom and Italy were partially offset by positive contributions from stock selection within Spain and Japan.
The Fund invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
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| 36 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR INTERNATIONAL CORE EQUITY FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR INTERNATIONAL CORE EQUITY FUND | | | | |
| | | 1 Year | | | Since
Inception | | | Date of Inception | |
Fund - Class L: QICLX | | | 2.53% | | | | 10.08% | | | | 3/26/2013 | |
Fund - Class N: QICNX | | | 2.19% | | | | 9.83% | | | | 3/26/2013 | |
Fund - Class R6: QICRX | | | na | | | | -3.94% | | | | 7/10/2014 | |
| | | |
MSCI World ex-USA Index | | | 4.86% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 2.19%, 4.13% and 2.10%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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AQR INTERNATIONAL CORE EQUITY FUND VS. MSCI WORLD ex-USA INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 37 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING CORE EQUITY FUND | | |
Cliff Asness
Managing & Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Andrea Frazzini
Principal
Dear Shareholder,
Emerging stock markets fell strongly in the last quarter of the fiscal year ended September 30, 2014 as a sell-off in September erased gains from the prior months. Since inception of the AQR Emerging Core Equity Fund (the “Fund”) on May 13, 2014, the MSCI Emerging Markets Index lost -1.20% and the MSCI Emerging Markets Growth Index returned -0.31% and the MSCI Emerging Markets Value Index returned -0.18%. The Fund Class L shares outperformed the market, and performed similar to growth & value, returning -0.40% for the period since inception to September 30, 2014. All three styles Value, Momentum and Profitability contributed significantly, with Momentum being the largest contributor.
All three components: stock, sector and country selection contributed positively and roughly equally to the Fund’s outperformance relative to the broader MSCI Emerging Markets Index. The largest contributors were from the Fund’s largest overweight in China, a country that outperformed during the period and from stock selection in South Korea. In addition, stock selection within the Energy, Financials, Consumer Staples and Consumer Discretionary sectors as well as in Taiwan also contributed positively to performance. The sector underweight in Consumer Staples, Materials, Consumer Discretionary as well as an overweight in Telecommunication Services also yielded positive contributions.
The largest detractors were from individual stock selection in the Information Technology, Utilities and Telecommunication Services sectors. The country underweights in India, Thailand and Mexico, an overweight in South Korea as well as stock selection in South Africa, India and Indonesia also detracted slightly from performance.
The Fund invests in stocks of attractively valued large and mid-cap Emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in 16 emerging countries: Brazil, Chile, China, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Poland, Russia, South Africa, Turkey, Taiwan and Thailand. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
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| 38 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
| | |
| AQR EMERGING CORE EQUITY FUND | | |
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2014 AQR EMERGING CORE EQUITY FUND | | | | |
| | | Since
Inception | | | Date of Inception | |
Fund - Class L: QEMLX | | | -0.40% | | | | 5/13/2014 | |
Fund - Class N: QEMNX | | | -0.50% | | | | 5/13/2014 | |
Fund - Class R6: QECRX | | | -4.87% | | | | 7/10/2014 | |
| | |
MSCI Emerging Market Index | | | -1.20% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class L/N/R6 shares are 1.19%, 1.47% and 1.09% respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR EMERGING CORE EQUITY FUND VS. MSCI EMERGING MARKETS INDEX VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 39 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
PRINCIPAL RISKS:
AQR Global Equity Fund and AQR International Equity Fund: Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The AQR Global Equity Fund and the AQR International Equity Fund use derivatives to manage their country and currency exposures. The use of derivatives exposes the Funds to additional risks including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Foreign investing involves risks not associated with investing in U.S. securities, such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. These Funds are not suitable for all investors.
AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund: Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. Funds that emphasize investments in small and mid-cap companies generally will experience greater price volatility. The use of derivatives exposes the Funds to additional risks, including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Emerging market and foreign investing by the AQR Emerging Defensive Equity Fund and AQR International Defensive Equity Fund involves risks not associated with investing in U.S. securities, such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. These Funds are not suitable for all investors.
AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Emerging Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. The use of derivatives exposes the Funds to additional risks including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Investments in small cap companies by the AQR Small Cap Momentum Fund and AQR Tax-Managed Small Cap Momentum Funds involve higher risks in some respects than do investments in stocks of larger companies and generally will experience greater price volatility. The performance of the AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund (each, a “Tax-Managed Fund”) may deviate from that of non-tax-managed funds and may not provide as high a return before consideration of federal income tax consequences. Each Tax-Managed Fund will balance investment considerations with tax consequences and can realize capital gains. Emerging market and foreign investing by the AQR International Momentum Fund, AQR Emerging Momentum Fund and AQR Tax-Managed International Momentum Fund involves risks not associated with investing in U.S. securities, such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. These Funds are not suitable for all investors.
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| 40 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
AQR Core Equity Fund, AQR Small Cap Core Equity Fund, AQR International Core Equity Fund and AQR Emerging Core Equity Fund: Securities with positive momentum generally will be more volatile than a broad cross-section of securities. In addition, there may be periods during which the investment performance of a Fund, which uses a momentum strategy, generally will suffer. Investing in or having exposure to value stocks presents the risk that the stocks may never reach what the Adviser believes are their full market values. In addition, value stocks may underperform growth stocks during given periods. Common stocks are subject to greater fluctuations in market value than certain other asset classes as a result of such factors as a company’s business performance, investor perceptions, stock market trends and general economic conditions. The use of derivatives exposes the Funds to additional risks including increased volatility, possible absence of a liquid secondary market, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Investments in small cap companies by the AQR Small Cap Core Equity Fund involve higher risks in some respects than do investments in stocks of larger companies and generally will experience greater price volatility. Emerging market and foreign investing by the AQR International Core Equity Fund and AQR Emerging Core Equity Fund involves risks not associated with investing in U.S. securities such as currency fluctuations, political uncertainty and differences in regulation and generally accepted accounting principles. These Funds are not suitable for all investors.
An investment in any of the AQR Funds listed above (the “Funds”) involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad. The Funds from time to time employ various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.
An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds may be subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The Funds may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.
Please refer to each Fund’s prospectus for complete information regarding all risks associated with the Funds.
Cliff Asness, David Kabiller, Brian Hurst, Yao Hua Ooi and Marco Hanig are registered representatives of ALPS Distributors, Inc.
DEFINITIONS:
Accommodative Monetary Policy: An accommodative monetary policy is one where the central bank increases the money supply, typically by lowering interest rates and/or purchasing financial assets, in an attempt to stimulate the economy.
Beta is a measure of the volatility of a security or portfolio in comparison to an index or the market as a whole, where a security with a beta of 1.0 has equivalent volatility to the index or market it is compared to.
Bullish: A belief that a particular security, sector or the overall market will rise.
Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 41 |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
E-Mini: An electronically traded futures contract on the Chicago Mercantile Exchange that represents a portion of the normal futures contracts.
Excess Returns: Returns in excess of a Fund’s benchmark.
Futures and Forwards contracts: A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset) at a pre-determined future date and price.
G-10: A group of the 10 major industrialized countries whose mission is to create a more stable world economic trading environment through monetary and fiscal policies. The 10 countries are Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, the United Kingdom and the United States
Industry-Neutral: An industry-neutral bet overweights stocks within an industry versus other stocks within the same industry.
Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the (prior 12 months excluding the most recent month) relative to other assets in the same universe.
Profitability: An investment style wherein an asset as certain identifiable characteristics including, profit margin, asset efficiency, leverage and earnings variability.
The MSCI EAFE Index 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. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Emerging Markets Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across 23 Emerging Markets countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure the performance of equities in 23 global emerging markets. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Emerging Markets Value Index captures large and mid cap securities exhibiting overall value style characteristics across 23 Emerging Markets countries. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI World ex-USA Growth Index captures large and mid cap securities exhibiting overall growth style characteristics across 22 Developed Markets countries and 23 Emerging Markets countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Indexes are unmanaged and one cannot invest directly in an index.
| | | | | | | | | | | | | | | | |
| 42 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
Shareholder Letter (Unaudited)
The MSCI World ex-USA Index is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI World Total Return Index 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. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000 Index measures the performance of the large and mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower expected growth values. The Russell 1000 Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 2000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 2000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower expected growth values. The Russell 2000 Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. Indexes are unmanaged and one cannot invest directly in an index.
Valuation: A process of determining the current worth of an asset or company.
Volatility is a statistical measurement of up and down asset price fluctuations over time. If an asset has rapid dramatic price swings, its “volatility” will likely be relatively high. If prices are consistent and rarely change, “volatility” of that asset will likely be relatively low. “Volatility” can be measured as the standard deviation of an asset with a specific time horizon. It is often used to quantify the risk of such asset over a time period, typically expressed in annualized terms.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 43 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| COMMON STOCKS - 91.1% | | SHARES | | | VALUE (Note 2) | |
| Australia - 2.2% | | | | | | | | |
| AGL Energy Ltd. | | | 5,553 | | | $ | 65,780 | |
| AMP Ltd. | | | 12,383 | | | | 59,064 | |
| Asciano Ltd. | | | 52,264 | | | | 276,274 | |
| ASX Ltd. | | | 1,555 | | | | 48,769 | |
| Aurizon Holdings Ltd. | | | 26,802 | | | | 106,167 | |
| Australia & New Zealand Banking Group Ltd. | | | 27,640 | | | | 747,170 | |
| Bank of Queensland Ltd. | | | 2,377 | | | | 24,193 | |
| Bendigo & Adelaide Bank Ltd. | | | 5,638 | | | | 58,805 | |
| BHP Billiton Ltd. | | | 20,755 | | | | 611,723 | |
| BHP Billiton PLC | | | 17,149 | | | | 474,352 | |
| CFS Retail Property Trust Group REIT | | | 17,337 | | | | 30,267 | |
| Commonwealth Bank of Australia | | | 2,807 | | | | 184,820 | |
| Computershare Ltd. | | | 3,819 | | | | 40,610 | |
| Dexus Property Group REIT | | | 40,875 | | | | 39,687 | |
| Federation Centres REIT | | | 11,381 | | | | 25,676 | |
| Fortescue Metals Group Ltd. | | | 9,042 | | | | 27,470 | |
| Goodman Group REIT | | | 14,552 | | | | 65,764 | |
| GPT Group/The REIT | | | 14,949 | | | | 50,626 | |
| GPT Group/The REIT (Escrow) (3)†(a) | | | 96,388 | | | | — | |
| Harvey Norman Holdings Ltd. | | | 55,708 | | | | 176,874 | |
| Incitec Pivot Ltd. | | | 120,835 | | | | 286,236 | |
| Leighton Holdings Ltd. | | | 5,341 | | | | 90,341 | |
| Lend Lease Group | | | 4,987 | | | | 62,616 | |
| Macquarie Group Ltd. | | | 8,110 | | | | 408,091 | |
| Mirvac Group REIT | | | 30,051 | | | | 45,205 | |
| National Australia Bank Ltd. | | | 18,772 | | | | 533,944 | |
| Newcrest Mining Ltd. † | | | 6,113 | | | | 56,178 | |
| Qantas Airways Ltd. † | | | 27,570 | | | | 33,490 | |
| Scentre Group REIT † | | | 45,297 | | | | 130,329 | |
| Sonic Healthcare Ltd. | | | 14,286 | | | | 219,215 | |
| Stockland REIT | | | 18,057 | | | | 62,383 | |
| Telstra Corp. Ltd. | | | 113,838 | | | | 528,183 | |
| Westfield Corp. REIT | | | 15,829 | | | | 103,143 | |
| Westpac Banking Corp. | | | 14,842 | | | | 416,666 | |
| Woolworths Ltd. | | | 8,202 | | | | 245,601 | |
| | | | | | | | |
| | | | | | | 6,335,712 | |
| | | | | | | | |
| Belgium - 0.3% | | | | | | | | |
| Belgacom SA | | | 29,057 | | | | 1,011,654 | |
| | | | | | | | |
| | |
| Canada - 3.6% | | | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | 14,600 | | | | 422,246 | |
| Agrium, Inc. (1) | | | 1,600 | | | | 142,235 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 7,800 | | | | 249,402 | |
| Bank of Montreal (1) | | | 5,180 | | | | 381,256 | |
| Bank of Nova Scotia/The (1) | | | 3,199 | | | | 197,861 | |
| Barrick Gold Corp. (1) | | | 11,200 | | | | 164,707 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 4,802 | | | | 215,585 | |
| CAE, Inc. (1) | | | 17,100 | | | | 207,347 | |
| Canadian Imperial Bank of Commerce (1) | | | 5,300 | | | | 476,028 | |
| Canadian National Railway Co. (1) | | | 3,800 | | | | 269,778 | |
| Canadian Natural Resources Ltd. (1) | | | 14,300 | | | | 555,554 | |
| Canadian Oil Sands Ltd. (1) | | | 3,700 | | | | 68,255 | |
| Canadian Pacific Railway Ltd. (1) | | | 1,200 | | | | 249,043 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Canada - 3.6% (continued) | | | | | | | | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 1,100 | | | $ | 112,706 | |
| Cenovus Energy, Inc. (1) | | | 9,700 | | | | 260,959 | |
| CI Financial Corp. (1) | | | 1,200 | | | | 36,184 | |
| Crescent Point Energy Corp. (1) | | | 3,000 | | | | 108,273 | |
| Dollarama, Inc. (1) | | | 1,500 | | | | 127,238 | |
| Encana Corp. (1) | | | 37,500 | | | | 796,241 | |
| Enerplus Corp. (1) | | | 37,351 | | | | 709,034 | |
| Fairfax Financial Holdings Ltd. (1) | | | 200 | | | | 89,609 | |
| Finning International, Inc. (1) | | | 11,200 | | | | 315,914 | |
| Great-West Lifeco, Inc. (1) | | | 2,245 | | | | 64,567 | |
| IGM Financial, Inc. (1) | | | 800 | | | | 34,502 | |
| Imperial Oil Ltd. (1) | | | 1,200 | | | | 56,692 | |
| Magna International, Inc. (1) | | | 5,934 | | | | 563,225 | |
| Manulife Financial Corp. (1) | | | 17,400 | | | | 334,654 | |
| Methanex Corp. (1) | | | 800 | | | | 53,402 | |
| National Bank of Canada (1) | | | 3,800 | | | | 173,145 | |
| Onex Corp. (1) | | | 3,500 | | | | 194,884 | |
| Open Text Corp. (1) | | | 1,100 | | | | 60,846 | |
| Pembina Pipeline Corp. (1) | | | 800 | | | | 33,701 | |
| Pengrowth Energy Corp. (1) | | | 32,500 | | | | 170,342 | |
| Power Corp. of Canada (1) | | | 2,746 | | | | 76,205 | |
| RioCan Real Estate Investment Trust REIT (1) | | | 2,100 | | | | 48,133 | |
| Royal Bank of Canada (1) | | | 5,424 | | | | 387,688 | |
| Suncor Energy, Inc. (1) | | | 21,782 | | | | 788,271 | |
| Toronto-Dominion Bank/The (1) | | | 12,524 | | | | 618,065 | |
| Valeant Pharmaceuticals International, Inc. (1)† | | | 2,574 | | | | 337,278 | |
| Vermilion Energy, Inc. (1) | | | 5,000 | | | | 304,389 | |
| | | | | | | | |
| | | | | | | 10,455,444 | |
| | | | | | | | |
| China - 0.0% (b) | | | | | | | | |
| FIH Mobile Ltd. † | | | 101 | | | | 53 | |
| | | | | | | | |
| | |
| Denmark - 0.9% | | | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 164 | | | | 388,490 | |
| Coloplast A/S, Class B | | | 4,439 | | | | 371,225 | |
| Novo Nordisk A/S, Class B | | | 15,188 | | | | 723,128 | |
| Pandora A/S | | | 8,615 | | | | 672,631 | |
| TDC A/S | | | 39,926 | | | | 302,469 | |
| Vestas Wind Systems A/S † | | | 5,987 | | | | 233,419 | |
| | | | | | | | |
| | | | | | | 2,691,362 | |
| | | | | | | | |
| Finland - 0.6% | | | | | | | | |
| Fortum OYJ | | | 45,395 | | | | 1,106,818 | |
| Orion OYJ, Class B | | | 13,582 | | | | 530,319 | |
| | | | | | | | |
| | | | | | | 1,637,137 | |
| | | | | | | | |
| France - 2.9% | | | | | | | | |
| Aeroports de Paris | | | 507 | | | | 60,709 | |
| Airbus Group NV | | | 1,339 | | | | 84,170 | |
| Cie de St-Gobain | | | 2,999 | | | | 137,029 | |
| Cie Generale des Etablissements Michelin | | | 6,074 | | | | 572,114 | |
| CNP Assurances | | | 32,506 | | | | 611,870 | |
| GDF Suez | | | 46,886 | | | | 1,175,922 | |
| Klepierre REIT | | | 1,740 | | | | 76,111 | |
| Lagardere SCA | | | 32,134 | | | | 859,907 | |
| Natixis | | | 79,251 | | | | 545,241 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 44 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| France - 2.9% (continued) | | | | | | | | |
| Orange SA | | | 82,085 | | | $ | 1,224,922 | |
| Sanofi | | | 5,450 | | | | 616,235 | |
| Societe BIC SA | | | 431 | | | | 55,559 | |
| Societe Generale SA | | | 12,263 | | | | 625,510 | |
| Thales SA | | | 11,482 | | | | 611,096 | |
| Total SA | | | 12,094 | | | | 783,136 | |
| Unibail-Rodamco SE REIT | | | 1,072 | | | | 275,673 | |
| Vivendi SA † | | | 6,564 | | | | 158,506 | |
| | | | | | | | |
| | | | | | | 8,473,710 | |
| | | | | | | | |
| Germany - 3.3% | | | | | | | | |
| Bayer AG | | | 5,583 | | | | 776,809 | |
| Commerzbank AG † | | | 103,776 | | | | 1,540,982 | |
| Continental AG | | | 854 | | | | 161,771 | |
| Daimler AG | | | 5,164 | | | | 394,359 | |
| Deutsche Boerse AG | | | 1,565 | | | | 105,091 | |
| Deutsche Lufthansa AG | | | 19,518 | | | | 306,474 | |
| Deutsche Post AG | | | 32,051 | | | | 1,021,627 | |
| E.ON SE | | | 13,954 | | | | 254,824 | |
| Fresenius SE & Co. KGaA | | | 5,283 | | | | 260,816 | |
| Merck KGaA | | | 13,978 | | | | 1,284,794 | |
| Muenchener Rueckversicherungs AG | | | 3,761 | | | | 741,923 | |
| OSRAM Licht AG † | | | 25,535 | | | | 947,391 | |
| RWE AG | | | 12,948 | | | | 503,943 | |
| Telefonica Deutschland Holding AG † | | | 20,433 | | | | 106,564 | |
| United Internet AG | | | 26,478 | | | | 1,124,211 | |
| | | | | | | | |
| | | | | | | 9,531,579 | |
| | | | | | | | |
| Hong Kong - 1.1% | | | | | | | | |
| AIA Group Ltd. | | | 94,600 | | | | 488,206 | |
| ASM Pacific Technology Ltd. | | | 1,882 | | | | 18,613 | |
| BOC Hong Kong Holdings Ltd. | | | 9,500 | | | | 30,242 | |
| Cheung Kong Holdings Ltd. | | | 33,201 | | | | 546,154 | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 4,749 | | | | 33,281 | |
| CLP Holdings Ltd. | | | 11 | | | | 88 | |
| First Pacific Co., Ltd. | | | 18,000 | | | | 18,671 | |
| Global Brands Group Holding Ltd. † | | | 1,468 | | | | 323 | |
| Hang Lung Group Ltd. | | | 791 | | | | 3,919 | |
| Hang Seng Bank Ltd. | | | 57 | | | | 915 | |
| Henderson Land Development Co., Ltd. | | | 550 | | | | 3,561 | |
| HKT Trust and HKT Ltd. | | | 842 | | | | 1,015 | |
| Hong Kong & China Gas Co., Ltd. | | | 522 | | | | 1,131 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 9,069 | | | | 195,199 | |
| Hopewell Holdings Ltd. | | | 195 | | | | 683 | |
| Hutchison Whampoa Ltd. | | | 20,489 | | | | 247,684 | |
| Hysan Development Co., Ltd. | | | 91,823 | | | | 423,670 | |
| Kerry Properties Ltd. | | | 15,000 | | | | 50,287 | |
| Li & Fung Ltd. | | | 1,468 | | | | 1,666 | |
| Link REIT/The REIT | | | 18,829 | | | | 108,655 | |
| MGM China Holdings Ltd. | | | 42,800 | | | | 123,334 | |
| Mongolia Energy Corp. Ltd. † | | | 885 | | | | 19 | |
| New World Development Co., Ltd. | | | 42,173 | | | | 49,129 | |
| NWS Holdings Ltd. | | | 12,500 | | | | 22,232 | |
| PCCW Ltd. | | | 32,406 | | | | 20,340 | |
| Power Assets Holdings Ltd. | | | 4,000 | | | | 35,355 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Hong Kong - 1.1% (continued) | | | | | | | | |
| Sands China Ltd. | | | 12,800 | | | $ | 66,775 | |
| Sino Land Co., Ltd. | | | 64,000 | | | | 98,655 | |
| SJM Holdings Ltd. | | | 36,000 | | | | 68,540 | |
| Sun Hung Kai Properties Ltd. | | | 22 | | | | 312 | |
| Swire Pacific Ltd., Class A | | | 5,318 | | | | 68,455 | |
| Swire Properties Ltd. | | | 72 | | | | 224 | |
| Television Broadcasts Ltd. | | | 42 | | | | 251 | |
| Wharf Holdings Ltd./The | | | 604 | | | | 4,290 | |
| Wheelock & Co., Ltd. | | | 844 | | | | 4,026 | |
| Yue Yuen Industrial Holdings Ltd. | | | 110,123 | | | | 332,677 | |
| | | | | | | | |
| | | | | | | 3,068,577 | |
| | | | | | | | |
| Ireland - 0.0% (b) | | | | | | | | |
| James Hardie Industries PLC CDI | | | 10,777 | | | | 112,752 | |
| | | | | | | | |
| | |
| Italy - 1.6% | | | | | | | | |
| Atlantia SpA | | | 11,543 | | | | 283,562 | |
| Fiat SpA † | | | 108,735 | | | | 1,047,957 | |
| Mediobanca SpA † | | | 58,116 | | | | 496,531 | |
| Pirelli & C. SpA | | | 13,079 | | | | 180,347 | |
| Snam SpA | | | 218,035 | | | | 1,203,946 | |
| UniCredit SpA | | | 149,649 | | | | 1,175,626 | |
| Unione di Banche Italiane SCpA | | | 21,053 | | | | 175,959 | |
| | | | | | | | |
| | | | | | | 4,563,928 | |
| | | | | | | | |
| Japan - 7.5% | | | | | | | | |
| Aeon Mall Co., Ltd. | | | 1,100 | | | | 21,014 | |
| Alfresa Holdings Corp. | | | 18,000 | | | | 259,129 | |
| Asahi Glass Co., Ltd. | | | 236 | | | | 1,280 | |
| Asahi Kasei Corp. | | | 44,000 | | | | 357,823 | |
| Astellas Pharma, Inc. | | | 34,700 | | | | 516,807 | |
| Bandai Namco Holdings, Inc. | | | 13,400 | | | | 344,732 | |
| Brother Industries Ltd. | | | 3,300 | | | | 60,984 | |
| Calbee, Inc. | | | 2,100 | | | | 68,637 | |
| Canon, Inc. | | | 5,245 | | | | 170,651 | |
| Central Japan Railway Co. | | | 3,200 | | | | 431,644 | |
| Chubu Electric Power Co., Inc. † | | | 54 | | | | 620 | |
| Credit Saison Co., Ltd. | | | 75 | | | | 1,445 | |
| Dai Nippon Printing Co., Ltd. | | | 21,000 | | | | 210,719 | |
| Daito Trust Construction Co., Ltd. | | | 686 | | | | 81,121 | |
| Daiwa House Industry Co., Ltd. | | | 4,151 | | | | 74,572 | |
| Daiwa Securities Group, Inc. | | | 13,000 | | | | 103,099 | |
| DIC Corp. | | | 495 | | | | 1,113 | |
| East Japan Railway Co. | | | 2,512 | | | | 188,156 | |
| FamilyMart Co., Ltd. | | | 1,600 | | | | 61,062 | |
| Fuji Heavy Industries Ltd. | | | 10,033 | | | | 332,360 | |
| FUJIFILM Holdings Corp. | | | 14,144 | | | | 434,604 | |
| Fujitsu Ltd. | | | 51,115 | | | | 314,591 | |
| Fukuoka Financial Group, Inc. | | | 9,000 | | | | 42,932 | |
| Gree, Inc. | | | 18,800 | | | | 128,188 | |
| Hakuhodo DY Holdings, Inc. | | | 65,000 | | | | 658,017 | |
| Hankyu Hanshin Holdings, Inc. | | | 5,000 | | | | 29,115 | |
| Hino Motors Ltd. | | | 15,875 | | | | 222,143 | |
| Hitachi Chemical Co., Ltd. | | | 3,500 | | | | 62,167 | |
| Hitachi High-Technologies Corp. | | | 58 | | | | 1,668 | |
| Honda Motor Co., Ltd. | | | 97 | | | | 3,328 | |
| Hoya Corp. | | | 14,506 | | | | 487,115 | |
| Hulic Co., Ltd. | | | 2,600 | | | | 27,538 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 45 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 7.5% (continued) | | | | | | | | |
| Idemitsu Kosan Co., Ltd. | | | 2,000 | | | $ | 42,480 | |
| ITOCHU Corp. | | | 7,088 | | | | 86,566 | |
| Japan Airlines Co., Ltd. | | | 10,400 | | | | 284,572 | |
| Japan Real Estate Investment Corp. REIT | | | 10 | | | | 51,433 | |
| Japan Retail Fund Investment Corp. REIT | | | 19 | | | | 38,298 | |
| JFE Holdings, Inc. | | | 5,600 | | | | 111,868 | |
| JGC Corp. | | | 10,000 | | | | 273,216 | |
| JTEKT Corp. | | | 11,488 | | | | 192,556 | |
| JX Holdings, Inc. | | | 10,014 | | | | 46,172 | |
| Kaneka Corp. | | | 354 | | | | 1,983 | |
| Kawasaki Heavy Industries Ltd. | | | 60,000 | | | | 239,882 | |
| Keisei Electric Railway Co., Ltd. | | | 461 | | | | 4,629 | |
| Kinden Corp. | | | 284 | | | | 2,921 | |
| Kobe Steel Ltd. | | | 216,759 | | | | 352,010 | |
| Konica Minolta, Inc. | | | 34,400 | | | | 371,882 | |
| Kubota Corp. | | | 343 | | | | 5,431 | |
| Kurita Water Industries Ltd. | | | 2,500 | | | | 55,767 | |
| Mabuchi Motor Co., Ltd. | | | 1,100 | | | | 95,971 | |
| Makita Corp. | | | 46 | | | | 2,599 | |
| Marubeni Corp. | | | 39,000 | | | | 266,873 | |
| Maruichi Steel Tube Ltd. | | | 1,100 | | | | 27,012 | |
| Medipal Holdings Corp. | | | 10,900 | | | | 132,489 | |
| MEIJI Holdings Co., Ltd. | | | 2,500 | | | | 197,702 | |
| Miraca Holdings, Inc. | | | 28 | | | | 1,159 | |
| Mitsubishi Corp. | | | 10,536 | | | | 215,780 | |
| Mitsubishi Electric Corp. | | | 36,000 | | | | 479,923 | |
| Mitsubishi Estate Co., Ltd. | | | 9,764 | | | | 220,054 | |
| Mitsubishi Motors Corp. | | | 18,800 | | | | 228,044 | |
| Mitsubishi Tanabe Pharma Corp. | | | 9,200 | | | | 134,996 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 153,849 | | | | 867,049 | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 80 | | | | 418 | |
| Mitsui & Co., Ltd. | | | 89 | | | | 1,404 | |
| Mitsui Fudosan Co., Ltd. | | | 7,598 | | | | 233,171 | |
| Mitsumi Electric Co., Ltd. | | | 40 | | | | 290 | |
| Mizuho Financial Group, Inc. | | | 41 | | | | 73 | |
| NH Foods Ltd. | | | 9,097 | | | | 193,154 | |
| NHK Spring Co., Ltd. | | | 16,600 | | | | 162,883 | |
| Nippon Building Fund, Inc. REIT | | | 12 | | | | 63,189 | |
| Nippon Kayaku Co., Ltd. | | | 546 | | | | 6,678 | |
| Nippon Prologis REIT, Inc. REIT | | | 15 | | | | 34,874 | |
| Nippon Steel & Sumitomo Metal Corp. | | | 822 | | | | 2,134 | |
| Nippon Telegraph & Telephone Corp. | | | 3,448 | | | | 213,825 | |
| Nippon Yusen KK | | | 34,000 | | | | 89,644 | |
| Nishi-Nippon City Bank Ltd./The | | | 363 | | | | 969 | |
| Nitori Holdings Co., Ltd. | | | 4,900 | | | | 303,581 | |
| Nitto Denko Corp. | | | 94 | | | | 5,147 | |
| Nomura Holdings, Inc. | | | 28,700 | | | | 170,746 | |
| Nomura Real Estate Holdings, Inc. | | | 1,700 | | | | 29,236 | |
| North Pacific Bank Ltd. | | | 68 | | | | 268 | |
| NTT Data Corp. | | | 3,300 | | | | 119,038 | |
| NTT DOCOMO, Inc. | | | 6,400 | | | | 107,189 | |
| Oji Holdings Corp. | | | 682 | | | | 2,582 | |
| Omron Corp. | | | 10,631 | | | | 483,158 | |
| ORIX Corp. | | | 12,290 | | | | 169,669 | |
| Osaka Gas Co., Ltd. | | | 14,446 | | | | 58,008 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 7.5% (continued) | | | | | | | | |
| Otsuka Corp. | | | 6,600 | | | $ | 262,786 | |
| Otsuka Holdings Co., Ltd. | | | 9,500 | | | | 327,449 | |
| Pacific Metals Co., Ltd. † | | | 720 | | | | 2,511 | |
| Panasonic Corp. | | | 61,800 | | | | 736,556 | |
| Rengo Co., Ltd. | | | 884 | | | | 3,971 | |
| Resona Holdings, Inc. | | | 63,200 | | | | 356,536 | |
| Ricoh Co., Ltd. | | | 15,200 | | | | 163,298 | |
| Rohm Co., Ltd. | | | 5,300 | | | | 333,715 | |
| Sankyo Co., Ltd. | | | 1,000 | | | | 35,838 | |
| Santen Pharmaceutical Co., Ltd. | | | 4,900 | | | | 274,405 | |
| Secom Co., Ltd. | | | 3,800 | | | | 226,383 | |
| Seino Holdings Co., Ltd. | | | 100 | | | | 802 | |
| Sekisui Chemical Co., Ltd. | | | 28,000 | | | | 321,802 | |
| Sekisui House Ltd. | | | 5,000 | | | | 58,929 | |
| Seven & I Holdings Co., Ltd. | | | 5,130 | | | | 198,974 | |
| Shimamura Co., Ltd. | | | 2,600 | | | | 239,026 | |
| Shionogi & Co., Ltd. | | | 12,700 | | | | 291,472 | |
| Showa Shell Sekiyu KK | | | 22,800 | | | | 217,521 | |
| SoftBank Corp. | | | 5,500 | | | | 384,169 | |
| Sojitz Corp. | | | 16 | | | | 25 | |
| Sony Corp. | | | 17 | | | | 305 | |
| Sumitomo Heavy Industries Ltd. | | | 58,000 | | | | 326,675 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 15,349 | | | | 625,387 | |
| Sumitomo Realty & Development Co., Ltd. | | | 3,624 | | | | 129,114 | |
| Suzuken Co., Ltd. | | | 7,000 | | | | 201,657 | |
| Suzuki Motor Corp. | | | 12,100 | | | | 401,299 | |
| Taiheiyo Cement Corp. | | | 44,000 | | | | 165,951 | |
| Taisei Corp. | | | 52,000 | | | | 293,368 | |
| Taisho Pharmaceutical Holdings Co., Ltd. | | | 500 | | | | 34,224 | |
| Takashimaya Co., Ltd. | | | 29,000 | | | | 242,572 | |
| Takeda Pharmaceutical Co., Ltd. | | | 669 | | | | 29,083 | |
| TDK Corp. | | | 4,700 | | | | 262,919 | |
| THK Co., Ltd. | | | 6,200 | | | | 154,498 | |
| Tokai Rika Co., Ltd. | | | 65 | | | | 1,375 | |
| Tokyo Electric Power Co., Inc. † | | | 73,170 | | | | 256,190 | |
| Tokyo Electron Ltd. | | | 1,400 | | | | 91,245 | |
| Tokyo Gas Co., Ltd. | | | 16,000 | | | | 89,906 | |
| Tokyo Tatemono Co., Ltd. | | | 4,000 | | | | 32,411 | |
| Tokyu Corp. | | | 15,000 | | | | 98,308 | |
| Tokyu Fudosan Holdings Corp. | | | 5,000 | | | | 34,328 | |
| TOTO Ltd. | | | 16,000 | | | | 176,026 | |
| Toyo Suisan Kaisha Ltd. | | | 4,000 | | | | 132,821 | |
| Toyoda Gosei Co., Ltd. | | | 6,400 | | | | 124,939 | |
| Toyota Motor Corp. | | | 4,141 | | | | 243,653 | |
| United Urban Investment Corp. REIT | | | 12 | | | | 18,418 | |
| USS Co., Ltd. | | | 50 | | | | 765 | |
| West Japan Railway Co. | | | 2,000 | | | | 89,506 | |
| Yamaha Corp. | | | 6,600 | | | | 86,288 | |
| | | | | | | | |
| | | | | | | 21,960,418 | |
| | | | | | | | |
| Luxembourg - 0.1% | | | | | | | | |
| Altice SA † | | | 4,604 | | | | 244,239 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 46 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Netherlands - 0.6% | | | | | | | | |
| Akzo Nobel NV | | | 3,817 | | | $ | 261,164 | |
| ING Groep NV CVA † | | | 34,347 | | | | 488,216 | |
| Koninklijke Ahold NV | | | 36,709 | | | | 593,792 | |
| Koninklijke Philips NV | | | 13,504 | | | | 429,424 | |
| | | | | | | | |
| | | | | | | 1,772,596 | |
| | | | | | | | |
| Singapore - 0.5% | | | | | | | | |
| Ascendas Real Estate Investment Trust REIT | | | 16,478 | | | | 29,066 | |
| CapitaCommercial Trust REIT | | | 16,000 | | | | 19,993 | |
| CapitaMall Trust REIT | | | 19,494 | | | | 29,174 | |
| ComfortDelGro Corp. Ltd. | | | 36,000 | | | | 67,624 | |
| DBS Group Holdings Ltd. | | | 20,054 | | | | 289,229 | |
| Jardine Cycle & Carriage Ltd. | | | 2,291 | | | | 76,994 | |
| Keppel REIT REIT | | | 400 | | | | 373 | |
| Noble Group Ltd. | | | 77,000 | | | | 78,283 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 422 | | | | 3,219 | |
| Sembcorp Industries Ltd. | | | 7,777 | | | | 31,557 | |
| Singapore Airlines Ltd. | | | 20,000 | | | | 153,911 | |
| Singapore Exchange Ltd. | | | 6,967 | | | | 39,445 | |
| Singapore Technologies Engineering Ltd. | | | 12,103 | | | | 34,588 | |
| Singapore Telecommunications Ltd. | | | 32,635 | | | | 97,145 | |
| StarHub Ltd. | | | 476 | | | | 1,536 | |
| United Overseas Bank Ltd. | | | 15,201 | | | | 266,485 | |
| UOL Group Ltd. | | | 3,340 | | | | 17,288 | |
| Wilmar International Ltd. | | | 36,000 | | | | 87,077 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 404 | | | | 373 | |
| | | | | | | | |
| | | | | | | 1,323,360 | |
| | | | | | | | |
| South Africa - 0.0% (b) | | | | | | | | |
| Investec PLC | | | 10,056 | | | | 84,436 | |
| | | | | | | | |
| | |
| Spain - 2.0% | | | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 11,180 | | | | 428,524 | |
| Banco de Sabadell SA | | | 124,138 | | | | 366,541 | |
| Banco Santander SA | | | 124,074 | | | | 1,187,839 | |
| CaixaBank SA | | | 180,515 | | | | 1,097,624 | |
| Gas Natural SDG SA | | | 46,096 | | | | 1,355,992 | |
| Iberdrola SA | | | 132,198 | | | | 944,937 | |
| Red Electrica Corp. SA | | | 7,041 | | | | 609,452 | |
| | | | | | | | |
| | | | | | | 5,990,909 | |
| | | | | | | | |
| Sweden - 1.0% | | | | | | | | |
| Alfa Laval AB | | | 6,776 | | | | 144,367 | |
| Hennes & Mauritz AB, B Shares | | | 5,474 | | | | 226,350 | |
| Husqvarna AB, B Shares | | | 76,901 | | | | 542,185 | |
| Investment AB Kinnevik, B Shares | | | 2,409 | | | | 86,870 | |
| Investor AB, B Shares | | | 3,849 | | | | 135,522 | |
| Securitas AB, B Shares | | | 15,055 | | | | 166,750 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 41,856 | | | | 556,879 | |
| Svenska Cellulosa AB SCA, Class B | | | 21,989 | | | | 522,483 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 34,123 | | | | 430,253 | |
| TeliaSonera AB | | | 34,247 | | | | 236,173 | |
| | | | | | | | |
| | | | | | | 3,047,832 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Switzerland - 3.6% | | | | | | | | |
| ABB Ltd. † | | | 17,869 | | | $ | 399,722 | |
| Actelion Ltd. † | | | 835 | | | | 97,800 | |
| Aryzta AG † | | | 4,398 | | | | 378,967 | |
| Baloise Holding AG | | | 1,693 | | | | 216,419 | |
| Garmin Ltd. (1) | | | 5,300 | | | | 275,547 | |
| Givaudan SA † | | | 174 | | | | 277,356 | |
| Nestle SA | | | 11,709 | | | | 860,506 | |
| Novartis AG | | | 23,066 | | | | 2,172,088 | |
| Roche Holding AG | | | 9,791 | | | | 2,891,313 | |
| Sika AG | | | 216 | | | | 746,858 | |
| Swiss Life Holding AG † | | | 5,885 | | | | 1,402,360 | |
| Swiss Re AG † | | | 11,436 | | | | 910,104 | |
| | | | | | | | |
| | | | | | | 10,629,040 | |
| | | | | | | | |
| United Kingdom - 8.1% | | | | | | | | |
| 3i Group PLC | | | 16,669 | | | | 103,235 | |
| Aon PLC (1) | | | 7,000 | | | | 613,690 | |
| Associated British Foods PLC | | | 24,843 | | | | 1,076,919 | |
| AstraZeneca PLC | | | 11,156 | | | | 799,471 | |
| Babcock International Group PLC | | | 14,818 | | | | 261,475 | |
| Barclays PLC | | | 73,665 | | | | 270,953 | |
| BP PLC | | | 93,442 | | | | 683,560 | |
| British Land Co. PLC/The REIT | | | 13,261 | | | | 150,690 | |
| British Sky Broadcasting Group PLC | | | 56,676 | | | | 808,378 | |
| BT Group PLC | | | 267,814 | | | | 1,642,773 | |
| Delphi Automotive PLC (1) | | | 7,800 | | | | 478,452 | |
| Direct Line Insurance Group PLC | | | 54,530 | | | | 259,530 | |
| easyJet PLC | | | 49,179 | | | | 1,131,704 | |
| Friends Life Group Ltd. | | | 107,900 | | | | 537,344 | |
| GlaxoSmithKline PLC | | | 24,172 | | | | 552,189 | |
| Hammerson PLC REIT | | | 10,329 | | | | 95,889 | |
| HSBC Holdings PLC | | | 29,211 | | | | 296,821 | |
| IMI PLC | | | 15,848 | | | | 315,153 | |
| International Consolidated Airlines Group SA † | | | 18,439 | | | | 109,662 | |
| ITV PLC | | | 213,482 | | | | 716,803 | |
| Kingfisher PLC | | | 181,194 | | | | 947,622 | |
| Land Securities Group PLC REIT | | | 8,648 | | | | 145,202 | |
| Lloyds Banking Group PLC † | | | 156,323 | | | | 194,477 | |
| Melrose Industries PLC | | | 163,613 | | | | 654,883 | |
| Next PLC | | | 8,751 | | | | 936,664 | |
| Persimmon PLC † | | | 17,618 | | | | 379,097 | |
| Randgold Resources Ltd. | | | 1,514 | | | | 102,637 | |
| Reckitt Benckiser Group PLC | | | 8,186 | | | | 707,743 | |
| Reed Elsevier NV | | | 58,310 | | | | 1,322,841 | |
| Rio Tinto PLC | | | 10,392 | | | | 509,207 | |
| Royal Dutch Shell PLC, A Shares | | | 31,097 | | | | 1,188,540 | |
| Royal Dutch Shell PLC, B Shares | | | 19,975 | | | | 789,691 | |
| Schroders PLC | | | 8,783 | | | | 339,121 | |
| Shire PLC | | | 4,681 | | | | 403,884 | |
| Smith & Nephew PLC | | | 37,559 | | | | 631,804 | |
| Travis Perkins PLC | | | 45,208 | | | | 1,214,630 | |
| TUI Travel PLC | | | 77,389 | | | | 487,073 | |
| Tullow Oil PLC | | | 14,217 | | | | 148,228 | |
| Unilever PLC | | | 10,377 | | | | 434,360 | |
| Vodafone Group PLC | | | 349,137 | | | | 1,150,485 | |
| WPP PLC | | | 7,551 | | | | 151,273 | |
| | | | | | | | |
| | | | | | | 23,744,153 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 47 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| United States - 51.2% | | | | | | | | |
| 3M Co. (1) | | | 5,300 | | | $ | 750,904 | |
| AbbVie, Inc. (1) | | | 26,700 | | | | 1,542,192 | |
| Actavis PLC (1)† | | | 7,100 | | | | 1,713,088 | |
| Aetna, Inc. (1) | | | 2,100 | | | | 170,100 | |
| Akamai Technologies, Inc. (1)† | | | 18,300 | | | | 1,094,340 | |
| Alexion Pharmaceuticals, Inc. (1)† | | | 10,300 | | | | 1,707,946 | |
| Allergan, Inc. (1) | | | 3,700 | | | | 659,303 | |
| Allstate Corp./The (1) | | | 6,800 | | | | 417,316 | |
| Altria Group, Inc. (1) | | | 16,300 | | | | 748,822 | |
| American Airlines Group, Inc. (1) | | | 17,900 | | | | 635,092 | |
| American Electric Power Co., Inc. (1) | | | 10,400 | | | | 542,984 | |
| American Tower Corp. REIT (1) | | | 4,100 | | | | 383,883 | |
| Ameriprise Financial, Inc. (1) | | | 3,100 | | | | 382,478 | |
| Anadarko Petroleum Corp. (1) | | | 5,800 | | | | 588,352 | |
| Annaly Capital Management, Inc. REIT (1) | | | 14,918 | | | | 159,324 | |
| Apache Corp. (1) | | | 5,200 | | | | 488,124 | |
| Apple, Inc. (1) | | | 52,696 | | | | 5,309,122 | |
| Archer-Daniels-Midland Co. (1) | | | 40,000 | | | | 2,044,000 | |
| Ashland, Inc. (1) | | | 1,700 | | | | 176,970 | |
| Assurant, Inc. (1) | | | 8,700 | | | | 559,410 | |
| AT&T, Inc. (1) | | | 40,797 | | | | 1,437,686 | |
| Autodesk, Inc. (1)† | | | 17,800 | | | | 980,780 | |
| AvalonBay Communities, Inc. REIT (1) | | | 1,311 | | | | 184,812 | |
| Avery Dennison Corp. (1) | | | 21,700 | | | | 968,905 | |
| Baker Hughes, Inc. (1) | | | 24,200 | | | | 1,574,452 | |
| Ball Corp. (1) | | | 4,200 | | | | 265,734 | |
| Bank of America Corp. (1) | | | 88,038 | | | | 1,501,048 | |
| Berkshire Hathaway, Inc., Class B (1)† | | | 8,550 | | | | 1,181,097 | |
| Best Buy Co., Inc. (1) | | | 21,800 | | | | 732,262 | |
| Biogen Idec, Inc. (1)† | | | 6,300 | | | | 2,084,103 | |
| Boston Properties, Inc. REIT (1) | | | 2,763 | | | | 319,845 | |
| Boston Scientific Corp. (1)† | | | 42,900 | | | | 506,649 | |
| Bristol-Myers Squibb Co. (1) | | | 9,800 | | | | 501,564 | |
| Broadcom Corp., Class A (1) | | | 28,700 | | | | 1,160,054 | |
| Cardinal Health, Inc. (1) | | | 16,900 | | | | 1,266,148 | |
| CareFusion Corp. (1)† | | | 23,800 | | | | 1,076,950 | |
| Catamaran Corp. (1)† | | | 1,600 | | | | 67,389 | |
| Celgene Corp. (1)† | | | 9,600 | | | | 909,888 | |
| CF Industries Holdings, Inc. (1) | | | 400 | | | | 111,688 | |
| Chevron Corp. (1) | | | 4,500 | | | | 536,940 | |
| Cigna Corp. (1) | | | 2,200 | | | | 199,518 | |
| Cimarex Energy Co. (1) | | | 11,400 | | | | 1,442,442 | |
| Coca-Cola Co./The (1) | | | 31,760 | | | | 1,354,882 | |
| Cognizant Technology Solutions Corp., Class A (1)† | | | 5,200 | | | | 232,804 | |
| Colgate-Palmolive Co. (1) | | | 3,156 | | | | 205,834 | |
| Comcast Corp., Class A (1) | | | 13,500 | | | | 726,030 | |
| Computer Sciences Corp. (1) | | | 25,400 | | | | 1,553,210 | |
| ConocoPhillips (1) | | | 4,800 | | | | 367,296 | |
| Crown Castle International Corp. REIT (1) | | | 4,000 | | | | 322,120 | |
| Cummins, Inc. (1) | | | 2,000 | | | | 263,960 | |
| CVS Health Corp. (1) | | | 30,100 | | | | 2,395,659 | |
| Danaher Corp. (1) | | | 7,100 | | | | 539,458 | |
| Deere & Co. (1) | | | 2,900 | | | | 237,771 | |
| Delta Air Lines, Inc. (1) | | | 42,500 | | | | 1,536,375 | |
| DIRECTV (1)† | | | 4,369 | | | | 378,006 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| United States - 51.2% (continued) | | | | | | | | |
| DISH Network Corp., Class A (1)† | | | 7,400 | | | $ | 477,892 | |
| Dollar General Corp. (1)† | | | 13,000 | | | | 794,430 | |
| Dow Chemical Co./The (1) | | | 25,200 | | | | 1,321,488 | |
| DTE Energy Co. (1) | | | 11,600 | | | | 882,528 | |
| Duke Energy Corp. (1) | | | 5,600 | | | | 418,712 | |
| Dun & Bradstreet Corp./The (1) | | | 700 | | | | 82,229 | |
| Edison International (1) | | | 10,456 | | | | 584,699 | |
| Edwards Lifesciences Corp. (1)† | | | 3,200 | | | | 326,880 | |
| Electronic Arts, Inc. (1)† | | | 59,400 | | | | 2,115,234 | |
| Eli Lilly & Co. (1) | | | 11,900 | | | | 771,715 | |
| Emerson Electric Co. (1) | | | 5,700 | | | | 356,706 | |
| EOG Resources, Inc. (1) | | | 18,500 | | | | 1,831,870 | |
| Equity Residential REIT (1) | | | 3,548 | | | | 218,486 | |
| Everest Re Group Ltd. (1) | | | 5,500 | | | | 891,055 | |
| Exxon Mobil Corp. (1) | | | 23,189 | | | | 2,180,925 | |
| Facebook, Inc., Class A (1)† | | | 37,500 | | | | 2,964,000 | |
| Fidelity National Information Services, Inc. (1) | | | 15,800 | | | | 889,540 | |
| Fiserv, Inc. (1)† | | | 5,100 | | | | 329,638 | |
| Flextronics International Ltd. (1)† | | | 80,400 | | | | 829,728 | |
| General Electric Co. (1) | | | 1,002 | | | | 25,671 | |
| Gilead Sciences, Inc. (1)† | | | 17,600 | | | | 1,873,520 | |
| Google, Inc., Class A (1)† | | | 3,702 | | | | 2,178,294 | |
| Google, Inc., Class C (1)† | | | 2,202 | | | | 1,271,347 | |
| Halliburton Co. (1) | | | 25,400 | | | | 1,638,554 | |
| HCP, Inc. REIT (1) | | | 4,772 | | | | 189,496 | |
| Health Care REIT, Inc. REIT (1) | | | 3,000 | | | | 187,110 | |
| Hess Corp. (1) | | | 12,200 | | | | 1,150,704 | |
| Hewlett-Packard Co. (1) | | | 37,800 | | | | 1,340,766 | |
| Honeywell International, Inc. (1) | | | 4,100 | | | | 381,792 | |
| Hormel Foods Corp. (1) | | | 14,200 | | | | 729,738 | |
| Host Hotels & Resorts, Inc. REIT (1) | | | 9,300 | | | | 198,369 | |
| Humana, Inc. (1) | | | 14,100 | | | | 1,837,089 | |
| Illumina, Inc. (1)† | | | 4,500 | | | | 737,640 | |
| Ingersoll-Rand PLC (1) | | | 4,500 | | | | 253,620 | |
| Intel Corp. (1) | | | 47,800 | | | | 1,664,396 | |
| International Business Machines Corp. (1) | | | 4,223 | | | | 801,652 | |
| International Paper Co. (1) | | | 3,300 | | | | 157,542 | |
| Interpublic Group of Cos., Inc./The (1) | | | 33,800 | | | | 619,216 | |
| Johnson & Johnson (1) | | | 28,316 | | | | 3,018,202 | |
| Johnson Controls, Inc. (1) | | | 3,000 | | | | 132,000 | |
| KeyCorp (1) | | | 93,700 | | | | 1,249,021 | |
| Kimberly-Clark Corp. (1) | | | 12,263 | | | | 1,319,131 | |
| Kimco Realty Corp. REIT (1) | | | 6,500 | | | | 142,415 | |
| Lam Research Corp. (1) | | | 10,200 | | | | 761,940 | |
| Lockheed Martin Corp. (1) | | | 2,400 | | | | 438,672 | |
| Lowe’s Cos., Inc. (1) | | | 3,200 | | | | 169,344 | |
| LyondellBasell Industries NV, Class A (1) | | | 18,900 | | | | 2,053,674 | |
| Manpowergroup, Inc. (1) | | | 3,000 | | | | 210,300 | |
| Marathon Oil Corp. (1) | | | 11,329 | | | | 425,857 | |
| Marathon Petroleum Corp. (1) | | | 7,000 | | | | 592,690 | |
| Marvell Technology Group Ltd. (1) | | | 99,000 | | | | 1,334,520 | |
| MasterCard, Inc., Class A (1) | | | 18,100 | | | | 1,337,952 | |
| McKesson Corp. (1) | | | 8,000 | | | | 1,557,360 | |
| Medtronic, Inc. (1) | | | 7,682 | | | | 475,900 | |
| Merck & Co., Inc. (1) | | | 50,819 | | | | 3,012,550 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 48 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| United States - 51.2% (continued) | | | | | | | | |
| Micron Technology, Inc. (1)† | | | 17,300 | | | $ | 592,698 | |
| Microsoft Corp. (1) | | | 38,750 | | | | 1,796,450 | |
| Mondelez International, Inc., Class A (1) | | | 16,200 | | | | 555,093 | |
| Monster Beverage Corp. (1)† | | | 10,300 | | | | 944,201 | |
| Nabors Industries Ltd. (1) | | | 20,400 | | | | 464,304 | |
| Navient Corp. (1) | | | 14,400 | | | | 255,024 | |
| NetApp, Inc. (1) | | | 3,800 | | | | 163,248 | |
| Netflix, Inc. (1)† | | | 600 | | | | 270,708 | |
| Newmont Mining Corp. (1) | | | 5,161 | | | | 118,961 | |
| Northrop Grumman Corp. (1) | | | 13,379 | | | | 1,762,817 | |
| NVIDIA Corp. (1) | | | 58,400 | | | | 1,077,480 | |
| Occidental Petroleum Corp. (1) | | | 7,590 | | | | 729,778 | |
| ONEOK, Inc. (1) | | | 8,600 | | | | 563,730 | |
| Oracle Corp. (1) | | | 8,300 | | | | 317,724 | |
| Parker-Hannifin Corp. (1) | | | 2,300 | | | | 262,545 | |
| PartnerRe Ltd. (1) | | | 8,900 | | | | 978,021 | |
| PepsiCo, Inc. (1) | | | 12,272 | | | | 1,142,400 | |
| Pfizer, Inc. (1) | | | 104,994 | | | | 3,104,673 | |
| Philip Morris International, Inc. (1) | | | 12,900 | | | | 1,075,860 | |
| Phillips 66 (1) | | | 16,100 | | | | 1,309,091 | |
| PNC Financial Services Group, Inc./The (1) | | | 7,000 | | | | 599,060 | |
| PPG Industries, Inc. (1) | | | 5,897 | | | | 1,160,176 | |
| Procter & Gamble Co./The (1) | | | 10,208 | | | | 854,818 | |
| Prologis, Inc. REIT (1) | | | 5,080 | | | | 191,516 | |
| Public Storage REIT (1) | | | 1,569 | | | | 260,203 | |
| QUALCOMM, Inc. (1) | | | 11,800 | | | | 882,286 | |
| Raytheon Co. (1) | | | 7,067 | | | | 718,149 | |
| Royal Caribbean Cruises Ltd. (1) | | | 6,800 | | | | 457,572 | |
| Schlumberger Ltd. (1) | | | 8,200 | | | | 833,858 | |
| Simon Property Group, Inc. REIT (1) | | | 3,242 | | | | 533,050 | |
| Southwestern Energy Co. (1)† | | | 22,400 | | | | 782,880 | |
| SPX Corp. (1) | | | 6,200 | | | | 582,366 | |
| Starbucks Corp. (1) | | | 2,100 | | | | 158,466 | |
| Superior Energy Services, Inc. (1) | | | 21,600 | | | | 709,992 | |
| TE Connectivity Ltd. (1) | | | 19,700 | | | | 1,089,213 | |
| Time Warner Cable, Inc. (1) | | | 3,200 | | | | 459,168 | |
| Time Warner, Inc. (1) | | | 4,500 | | | | 338,445 | |
| Travelers Cos., Inc./The (1) | | | 9,201 | | | | 864,342 | |
| TripAdvisor, Inc. (1)† | | | 18,000 | | | | 1,645,560 | |
| Tyson Foods, Inc., Class A (1) | | | 24,600 | | | | 968,502 | |
| Union Pacific Corp. (1) | | | 3,400 | | | | 368,628 | |
| United Parcel Service, Inc., Class B (1) | | | 1,700 | | | | 167,093 | |
| United Technologies Corp. (1) | | | 5,400 | | | | 570,240 | |
| Unum Group (1) | | | 800 | | | | 27,504 | |
| Valero Energy Corp. (1) | | | 23,100 | | | | 1,068,837 | |
| Ventas, Inc. REIT (1) | | | 4,800 | | | | 297,360 | |
| Verizon Communications, Inc. | | | 12,099 | | | | 605,689 | |
| Verizon Communications, Inc. (NYSE) (1) | | | 22,512 | | | | 1,125,375 | |
| Vertex Pharmaceuticals, Inc. (1)† | | | 3,100 | | | | 348,161 | |
| Viacom, Inc., Class B (1) | | | 5,837 | | | | 449,099 | |
| Vornado Realty Trust REIT (1) | | | 2,748 | | | | 274,690 | |
| Walgreen Co. (1) | | | 3,300 | | | | 195,591 | |
| Walt Disney Co./The (1) | | | 7,500 | | | | 667,725 | |
| Waste Management, Inc. (1) | | | 2,373 | | | | 112,789 | |
| WellPoint, Inc. (1) | | | 15,300 | | | | 1,830,186 | |
| Wells Fargo & Co. (1) | | | 53,270 | | | | 2,763,115 | |
| Western Digital Corp. (1) | | | 11,400 | | | | 1,109,448 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| United States - 51.2% (continued) | | | | | | | | |
| Whiting Petroleum Corp. (1)† | | | 12,500 | | | $ | 969,375 | |
| Wyndham Worldwide Corp. (1) | | | 2,000 | | | | 162,520 | |
| Wynn Resorts Ltd. (1) | | | 1,000 | | | | 187,080 | |
| Yahoo!, Inc. (1)† | | | 43,100 | | | | 1,756,325 | |
| | | | | | | | |
| | | | | | | 149,564,166 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $215,108,446) | | | | | | | 266,243,057 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.5% | | | | | | | | |
| Germany - 0.5% | | | | | | | | |
| Henkel AG & Co. KGaA | | | 9,792 | | | | 974,817 | |
| Porsche Automobil Holding SE | | | 6,075 | | | | 484,619 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $1,243,526) | | | | | | | 1,459,436 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (b) | | | | | | | | |
| Italy - 0.0% (b) | | | | | | | | |
| Fiat SpA (3)†(a) | | | | | | | | |
(cost $—) | | | 108,735 | | | | — | |
| | | | | | | | |
| | |
| WARRANTS - 0.0% (b) | | | | | | | | |
| Hong Kong - 0.0% (b) | | | | | | | | |
| Sun Hung Kai Properties Ltd. † | | | | | | | | |
(cost $—) | | | 20 | | | | 33 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 6.9% | | | | | |
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.040% (c)(d) | | | 1,540,019 | | | | 1,540,019 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | | | 18,327,536 | | | | 18,327,536 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) | | | 210,092 | | | | 210,092 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $20,077,647) | | | | | | | 20,077,647 | |
| | | | | | | | |
TOTAL INVESTMENTS - 98.5%
(cost $236,429,619) | | | | | | | 287,780,173 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% (e) | | | | | | | 4,522,419 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 292,302,592 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | Security fair valued at as of September 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (b) | Represents less than 0.05 percent of net assets. |
| (c) | Represents annualized seven-day yield as of September 30, 2014. |
| (d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) | 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 accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 49 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
The following abbreviations are used in portfolio descriptions:
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
NYSE - New York Stock Exchange
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 26,892,645 | | | | 9.2 | % |
| Consumer Staples | | | 21,518,550 | | | | 7.4 | |
| Energy | | | 28,001,110 | | | | 9.6 | |
| Financials | | | 44,083,268 | | | | 15.1 | |
| Health Care | | | 46,169,951 | | | | 15.7 | |
| Industrials | | | 26,574,666 | | | | 9.1 | |
| Information Technology | | | 42,294,907 | | | | 14.5 | |
| Materials | | | 11,686,611 | | | | 4.0 | |
| Telecommunication Services | | | 10,355,699 | | | | 3.5 | |
| Utilities | | | 10,125,119 | | | | 3.5 | |
| Money Market Funds | | | 20,077,647 | | | | 6.9 | |
| | | | | | | | |
Total Investments | | | 287,780,173 | | | | 98.5 | |
| Other Assets in Excess of Liabilities (e) | | | 4,522,419 | | | | 1.5 | |
| | | | | | | | |
Net Assets | | $ | 292,302,592 | | | | 100.0 | % |
| | | | | | | | |
Total return swap contracts outstanding as of September 30, 2014:
Over the Counter
| | | | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE
INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | | NOTIONAL
VALUE | | | UNREALIZED APPRECIATION (DEPRECIATION) | |
| Goldman Sachs | | Hang Seng Index Futures | | 10/2014 | | | HKD | | | | 29,870,183 | | | | $(173,253 | ) |
| Goldman Sachs | | Swiss Market Index Futures | | 12/2014 | | | CHF | | | | (14,045,385 | ) | | | (97,960 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(271,213 | ) |
| | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts in the amount of $110,000 at September 30, 2014.
Open futures contracts outstanding at September 30, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 72 | | Barclays Capital | | Amsterdam Index Futures | | 10/2014 | | $ | 7,604,710 | | | $ | 7,664,389 | | | $ | 59,679 | |
| 169 | | Barclays Capital | | CAC40 Index Futures | | 10/2014 | | | 9,414,614 | | | | 9,421,923 | | | | 7,309 | |
| 12 | | Barclays Capital | | DAX Index Futures | | 12/2014 | | | 3,586,267 | | | | 3,596,093 | | | | 9,826 | |
| 150 | | Barclays Capital | | FTSE 100 Index Futures | | 12/2014 | | | 16,480,829 | | | | 16,062,759 | | | | (418,070 | ) |
| 69 | | Barclays Capital | | Hang Seng Index Futures | | 10/2014 | | | 10,544,278 | | | | 10,139,153 | | | | (405,125 | ) |
| 11 | | Barclays Capital | | IBEX 35 Index Futures | | 10/2014 | | | 1,496,139 | | | | 1,508,645 | | | | 12,506 | |
| 7 | | Barclays Capital | | MSCI Singapore Index Futures | | 10/2014 | | | 407,693 | | | | 405,284 | | | | (2,409 | ) |
| 41 | | Barclays Capital | | S&P 500 E-Mini Futures | | 12/2014 | | | 4,055,472 | | | | 4,029,275 | | | | (26,197 | ) |
| 55 | | Barclays Capital | | TOPIX Index Futures | | 12/2014 | | | 6,487,248 | | | | 6,652,154 | | | | 164,906 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | 60,077,250 | | | | 59,479,675 | | | | (597,575 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 50 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: | | | | | | | | | |
| 58 | | Barclays Capital | | FTSE/MIB Index Futures | | 12/2014 | | | $(7,623,746 | ) | | | $(7,644,723 | ) | | | $(20,977 | ) |
| 119 | | Barclays Capital | | OMXS30 Index Futures | | 10/2014 | | | (2,297,248 | ) | | | (2,315,767 | ) | | | (18,519 | ) |
| 20 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | 12/2014 | | | (3,187,282 | ) | | | (3,075,852 | ) | | | 111,430 | |
| 114 | | Barclays Capital | | SPI 200 Index Futures | | 12/2014 | | | (13,565,780 | ) | | | (13,182,762 | ) | | | 383,018 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | (26,674,056 | ) | | | (26,219,104 | ) | | | 454,952 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | $33,403,194 | | | | $33,260,571 | | | | $(142,623 | ) |
| | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital for futures contracts was $4,563,965 at September 30, 2014.
Forward foreign currency exchange contracts outstanding as of September 30, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 12/17/14 | | CitiBank | | AUD | | | 11,504,000 | | | | $10,329,301 | | | | $10,016,912 | | | | $(312,389 | ) |
| Australian Dollar, Expiring 12/17/14 | | Credit Suisse International | | AUD | | | 11,504,000 | | | | 10,328,907 | | | | 10,016,912 | | | | (311,995 | ) |
| Canadian Dollar, Expiring 12/17/14 | | CitiBank | | CAD | | | 9,827,500 | | | | 8,911,510 | | | | 8,758,872 | | | | (152,638 | ) |
| Canadian Dollar, Expiring 12/17/14 | | Credit Suisse International | | CAD | | | 9,827,500 | | | | 8,911,514 | | | | 8,758,872 | | | | (152,642 | ) |
Swiss Franc,
Expiring 12/17/14 | | CitiBank | | CHF | | | 3,805,500 | | | | 4,144,510 | | | | 3,989,175 | | | | (155,335 | ) |
Swiss Franc,
Expiring 12/17/14 | | Credit Suisse International | | CHF | | | 3,805,500 | | | | 4,144,456 | | | | 3,989,175 | | | | (155,281 | ) |
| Danish Krone, Expiring 12/17/14 | | CitiBank | | DKK | | | 253,500 | | | | 44,480 | | | | 43,033 | | | | (1,447 | ) |
| Danish Krone, Expiring 12/17/14 | | Credit Suisse International | | DKK | | | 253,500 | | | | 44,481 | | | | 43,033 | | | | (1,448 | ) |
Euro,
Expiring 12/17/14 | | CitiBank | | EUR | | | 10,156,000 | | | | 13,188,984 | | | | 12,834,594 | | | | (354,390 | ) |
Euro,
Expiring 12/17/14 | | Credit Suisse International | | EUR | | | 10,181,000 | | | | 13,221,289 | | | | 12,866,188 | | | | (355,101 | ) |
| British Pound, Expiring 12/17/14 | | CitiBank | | GBP | | | 2,640,000 | | | | 4,283,490 | | | | 4,276,939 | | | | (6,551 | ) |
| British Pound, Expiring 12/17/14 | | Credit Suisse International | | GBP | | | 2,640,000 | | | | 4,283,400 | | | | 4,276,939 | | | | (6,461 | ) |
| Hong Kong Dollar, Expiring 12/17/14 | | CitiBank | | HKD | | | 1,359,500 | | | | 175,436 | | | | 175,058 | | | | (378 | ) |
| Hong Kong Dollar, Expiring 12/17/14 | | Credit Suisse International | | HKD | | | 1,586,500 | | | | 204,724 | | | | 204,288 | | | | (436 | ) |
| Israeli Shekel, Expiring 12/17/14 | | CitiBank | | ILS | | | 1,177,500 | | | | 328,563 | | | | 319,980 | | | | (8,583 | ) |
| Israeli Shekel, Expiring 12/17/14 | | Credit Suisse International | | ILS | | | 1,177,499 | | | | 328,557 | | | | 319,980 | | | | (8,577 | ) |
| Japanese Yen, Expiring 12/17/14 | | CitiBank | | JPY | | | 1,257,663,000 | | | | 11,814,376 | | | | 11,475,747 | | | | (338,629 | ) |
| Japanese Yen, Expiring 12/17/14 | | Credit Suisse International | | JPY | | | 1,257,663,000 | | | | 11,813,899 | | | | 11,475,747 | | | | (338,152 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 51 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Norwegian Krone, Expiring 12/17/14 | | CitiBank | | NOK | | | 92,091,001 | | | | $14,567,310 | | | | $14,294,683 | | | | $(272,627 | ) |
| Norwegian Krone, Expiring 12/17/14 | | Credit Suisse International | | NOK | | | 92,091,000 | | | | 14,567,110 | | | | 14,294,683 | | | | (272,427 | ) |
| New Zealand Dollar, Expiring 12/17/14 | | CitiBank | | NZD | | | 23,177,001 | | | | 19,067,836 | | | | 17,952,602 | | | | (1,115,234 | ) |
| New Zealand Dollar, Expiring 12/17/14 | | Credit Suisse International | | NZD | | | 23,177,000 | | | | 19,067,837 | | | | 17,952,601 | | | | (1,115,236 | ) |
| Swedish Krona, Expiring 12/17/14 | | CitiBank | | SEK | | | 30,383,500 | | | | 4,261,198 | | | | 4,209,623 | | | | (51,575 | ) |
| Swedish Krona, Expiring 12/17/14 | | Credit Suisse International | | SEK | | | 30,383,500 | | | | 4,261,057 | | | | 4,209,623 | | | | (51,434 | ) |
| Singapore Dollar, Expiring 12/17/14 | | CitiBank | | SGD | | | 276,500 | | | | 220,528 | | | | 216,738 | | | | (3,790 | ) |
| Singapore Dollar, Expiring 12/17/14 | | Credit Suisse International | | SGD | | | 276,500 | | | | 220,526 | | | | 216,738 | | | | (3,788 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $182,735,279 | | | | $177,188,735 | | | | $(5,546,544 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 12/17/14 | | CitiBank | | AUD | | | (2,145,500 | ) | | | $(1,912,563 | ) | | | $(1,868,158 | ) | | | $44,405 | |
| Australian Dollar, Expiring 12/17/14 | | Credit Suisse International | | AUD | | | (2,145,500 | ) | | | (1,912,605 | ) | | | (1,868,158 | ) | | | 44,447 | |
| Canadian Dollar, Expiring 12/17/14 | | CitiBank | | CAD | | | (5,475,001 | ) | | | (4,949,369 | ) | | | (4,879,657 | ) | | | 69,712 | |
| Canadian Dollar, Expiring 12/17/14 | | Credit Suisse International | | CAD | | | (5,475,001 | ) | | | (4,949,421 | ) | | | (4,879,657 | ) | | | 69,764 | |
Swiss Franc,
Expiring 12/17/14 | | CitiBank | | CHF | | | (8,263,500 | ) | | | (8,876,518 | ) | | | (8,662,344 | ) | | | 214,174 | |
Swiss Franc,
Expiring 12/17/14 | | Credit Suisse International | | CHF | | | (8,263,500 | ) | | | (8,876,649 | ) | | | (8,662,344 | ) | | | 214,305 | |
| Danish Krone, Expiring 12/17/14 | | CitiBank | | DKK | | | (2,853,500 | ) | | | (494,386 | ) | | | (484,393 | ) | | | 9,993 | |
| Danish Krone, Expiring 12/17/14 | | Credit Suisse International | | DKK | | | (2,853,500 | ) | | | (494,385 | ) | | | (484,393 | ) | | | 9,992 | |
Euro,
Expiring 12/17/14 | | CitiBank | | EUR | | | (9,267,000 | ) | | | (12,004,836 | ) | | | (11,711,125 | ) | | | 293,711 | |
Euro,
Expiring 12/17/14 | | Credit Suisse International | | EUR | | | (9,267,000 | ) | | | (12,005,054 | ) | | | (11,711,125 | ) | | | 293,929 | |
| British Pound, Expiring 12/17/14 | | CitiBank | | GBP | | | (18,540,002 | ) | | | (30,176,124 | ) | | | (30,035,779 | ) | | | 140,345 | |
| British Pound, Expiring 12/17/14 | | Credit Suisse International | | GBP | | | (18,540,001 | ) | | | (30,176,351 | ) | | | (30,035,777 | ) | | | 140,574 | |
| Hong Kong Dollar, Expiring 12/17/14 | | CitiBank | | HKD | | | (365,500 | ) | | | (47,101 | ) | | | (47,064 | ) | | | 37 | |
| Hong Kong Dollar, Expiring 12/17/14 | | Credit Suisse International | | HKD | | | (365,500 | ) | | | (47,106 | ) | | | (47,064 | ) | | | 42 | |
| Japanese Yen, Expiring 12/17/14 | | CitiBank | | JPY | | | (163,526,500 | ) | | | (1,527,776 | ) | | | (1,492,124 | ) | | | 35,652 | |
| Japanese Yen, Expiring 12/17/14 | | Credit Suisse International | | JPY | | | (163,526,500 | ) | | | (1,527,814 | ) | | | (1,492,124 | ) | | | 35,690 | |
| Norwegian Krone, Expiring 12/17/14 | | CitiBank | | NOK | | | (73,500 | ) | | | (11,543 | ) | | | (11,409 | ) | | | 134 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 52 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Norwegian Krone, Expiring 12/17/14 | | Credit Suisse International | | NOK | | | (73,500 | ) | | | $(11,544 | ) | | | $(11,409 | ) | | | $135 | |
| New Zealand Dollar, Expiring 12/17/14 | | CitiBank | | NZD | | | (7,154,000 | ) | | | (5,744,047 | ) | | | (5,541,395 | ) | | | 202,652 | |
| New Zealand Dollar, Expiring 12/17/14 | | Credit Suisse International | | NZD | | | (7,154,000 | ) | | | (5,744,889 | ) | | | (5,541,395 | ) | | | 203,494 | |
| Swedish Krona, Expiring 12/17/14 | | CitiBank | | SEK | | | (119,761,001 | ) | | | (16,916,679 | ) | | | (16,592,845 | ) | | | 323,834 | |
| Swedish Krona, Expiring 12/17/14 | | Credit Suisse International | | SEK | | | (119,761,000 | ) | | | (16,916,678 | ) | | | (16,592,845 | ) | | | 323,833 | |
| Singapore Dollar, Expiring 12/17/14 | | CitiBank | | SGD | | | (17,500 | ) | | | (13,824 | ) | | | (13,717 | ) | | | 107 | |
| Singapore Dollar, Expiring 12/17/14 | | Credit Suisse International | | SGD | | | (17,500 | ) | | | (13,824 | ) | | | (13,718 | ) | | | 106 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (165,351,086 | ) | | | (162,680,019 | ) | | | 2,671,067 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $17,384,193 | | | | $14,508,716 | | | | $(2,875,477 | ) |
| | | | | | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amounts of $1,540,018 and $92, respectively, at September 30, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $1,530,000 at September 30, 2014.
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
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 53 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 92.9% | | SHARES | | | VALUE (Note 2) | |
| Australia - 6.8% | | | | | | | | |
| AGL Energy Ltd. | | | 53,508 | | | $ | 633,853 | |
| Alumina Ltd. † | | | 2,015,448 | | | | 2,985,213 | |
| Amcor Ltd. | | | 91,929 | | | | 910,571 | |
| AMP Ltd. | | | 54,700 | | | | 260,905 | |
| Asciano Ltd. | | | 54,951 | | | | 290,478 | |
| ASX Ltd. | | | 10,285 | | | | 322,565 | |
| Aurizon Holdings Ltd. | | | 292,001 | | | | 1,156,662 | |
| Australia & New Zealand Banking Group Ltd. | | | 192,875 | | | | 5,213,834 | |
| Bank of Queensland Ltd. | | | 18,621 | | | | 189,527 | |
| Bendigo & Adelaide Bank Ltd. | | | 168,763 | | | | 1,760,206 | |
| BHP Billiton Ltd. | | | 187,968 | | | | 5,540,076 | |
| BHP Billiton PLC | | | 124,552 | | | | 3,445,184 | |
| Boral Ltd. | | | 64,814 | | | | 281,935 | |
| Caltex Australia Ltd. | | | 60,893 | | | | 1,490,553 | |
| CFS Retail Property Trust Group REIT | | | 134,550 | | | | 234,902 | |
| Commonwealth Bank of Australia | | | 41,914 | | | | 2,759,727 | |
| Computershare Ltd. | | | 15,439 | | | | 164,172 | |
| Dexus Property Group REIT | | | 283,799 | | | | 275,551 | |
| Federation Centres REIT | | | 83,291 | | | | 187,906 | |
| Flight Centre Travel Group Ltd. | | | 10,055 | | | | 376,097 | |
| Fortescue Metals Group Ltd. | | | 57,443 | | | | 174,513 | |
| Goodman Group REIT | | | 110,663 | | | | 500,113 | |
| GPT Group/The REIT (Escrow) (3)†(a) | | | 143,427 | | | | — | |
| GPT Group/The REIT | | | 113,631 | | | | 384,818 | |
| Incitec Pivot Ltd. | | | 476,016 | | | | 1,127,594 | |
| Leighton Holdings Ltd. | | | 37,697 | | | | 637,633 | |
| Lend Lease Group | | | 17,020 | | | | 213,700 | |
| Macquarie Group Ltd. | | | 60,767 | | | | 3,057,762 | |
| Metcash Ltd. | | | 89,586 | | | | 206,314 | |
| Mirvac Group REIT | | | 214,560 | | | | 322,755 | |
| National Australia Bank Ltd. | | | 172,218 | | | | 4,898,504 | |
| Newcrest Mining Ltd. † | | | 41,734 | | | | 383,535 | |
| Scentre Group REIT † | | | 302,378 | | | | 870,004 | |
| Seek Ltd. | | | 19,803 | | | | 280,189 | |
| Sonic Healthcare Ltd. | | | 109,310 | | | | 1,677,332 | |
| Stockland REIT | | | 127,919 | | | | 441,936 | |
| Tabcorp Holdings Ltd. | | | 134,063 | | | | 423,942 | |
| Tatts Group Ltd. | | | 224,466 | | | | 617,992 | |
| Telstra Corp. Ltd. | | | 791,676 | | | | 3,673,202 | |
| Westfield Corp. REIT | | | 118,519 | | | | 772,277 | |
| Westpac Banking Corp. | | | 100,568 | | | | 2,823,293 | |
| Woolworths Ltd. | | | 64,431 | | | | 1,929,326 | |
| | | | | | | | |
| | | | | | | 53,896,651 | |
| | | | | | | | |
| Belgium - 1.1% | | | | | | | | |
| Ageas | | | 8,126 | | | | 269,411 | |
| Belgacom SA | | | 124,306 | | | | 4,327,861 | |
| Colruyt SA | | | 7,549 | | | | 332,636 | |
| Delhaize Group SA | | | 24,604 | | | | 1,709,905 | |
| Groupe Bruxelles Lambert SA | | | 2,641 | | | | 241,911 | |
| Solvay SA | | | 11,889 | | | | 1,825,956 | |
| | | | | | | | |
| | | | | | | 8,707,680 | |
| | | | | | | | |
| Denmark - 2.3% | | | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 958 | | | | 2,269,353 | |
| Coloplast A/S, Class B | | | 39,103 | | | | 3,270,112 | |
| DSV A/S | | | 27,462 | | | | 772,193 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Denmark - 2.3% (continued) | | | | | | | | |
| Novo Nordisk A/S, Class B | | | 49,814 | | | $ | 2,371,733 | |
| Pandora A/S | | | 78,565 | | | | 6,134,097 | |
| TDC A/S | | | 363,785 | | | | 2,755,938 | |
| Tryg A/S | | | 4,860 | | | | 504,201 | |
| | | | | | | | |
| | | | | | | 18,077,627 | |
| | | | | | | | |
| Finland - 1.0% | | | | | | | | |
| Fortum OYJ | | | 91,697 | | | | 2,235,750 | |
| Orion OYJ, Class B | | | 82,921 | | | | 3,237,708 | |
| Wartsila OYJ | | | 47,554 | | | | 2,118,971 | |
| | | | | | | | |
| | | | | | | 7,592,429 | |
| | | | | | | | |
| France - 9.7% | | | | | | | | |
| Aeroports de Paris | | | 3,330 | | | | 398,738 | |
| Christian Dior SA | | | 9,854 | | | | 1,650,782 | |
| Cie de St-Gobain | | | 29,619 | | | | 1,353,336 | |
| Cie Generale des Etablissements Michelin | | | 68,497 | | | | 6,451,782 | |
| CNP Assurances | | | 127,286 | | | | 2,395,941 | |
| Electricite de France SA | | | 99,224 | | | | 3,255,215 | |
| GDF Suez | | | 397,721 | | | | 9,975,025 | |
| Klepierre REIT | | | 3,675 | | | | 160,752 | |
| Lagardere SCA | | | 198,633 | | | | 5,315,429 | |
| Natixis | | | 208,986 | | | | 1,437,807 | |
| Orange SA | | | 723,752 | | | | 10,800,269 | |
| Sanofi | | | 73,801 | | | | 8,344,727 | |
| Societe BIC SA | | | 16,433 | | | | 2,118,314 | |
| Societe Generale SA | | | 88,322 | | | | 4,505,117 | |
| Thales SA | | | 69,511 | | | | 3,699,523 | |
| Total SA | | | 153,920 | | | | 9,966,951 | |
| Unibail-Rodamco SE REIT | | | 7,665 | | | | 1,971,113 | |
| Valeo SA | | | 17,881 | | | | 1,986,839 | |
| Vivendi SA † | | | 50,534 | | | | 1,220,285 | |
| | | | | | | | |
| | | | | | | 77,007,945 | |
| | | | | | | | |
| Germany - 8.1% | | | | | | | | |
| Bayer AG | | | 48,177 | | | | 6,703,263 | |
| Celesio AG | | | 39,068 | | | | 1,297,117 | |
| Commerzbank AG † | | | 402,588 | | | | 5,978,075 | |
| Continental AG | | | 7,863 | | | | 1,489,466 | |
| Daimler AG | | | 94,675 | | | | 7,230,037 | |
| Deutsche Boerse AG | | | 12,335 | | | | 828,304 | |
| Deutsche Lufthansa AG | | | 34,226 | | | | 537,421 | |
| Deutsche Post AG | | | 165,919 | | | | 5,288,677 | |
| E.ON SE | | | 112,677 | | | | 2,057,671 | |
| Hannover Rueck SE | | | 8,627 | | | | 696,281 | |
| Infineon Technologies AG | | | 279,065 | | | | 2,872,398 | |
| Merck KGaA | | | 110,160 | | | | 10,125,408 | |
| Muenchener Rueckversicherungs AG | | | 34,561 | | | | 6,817,764 | |
| OSRAM Licht AG † | | | 115,907 | | | | 4,300,343 | |
| RWE AG | | | 57,985 | | | | 2,256,808 | |
| Telefonica Deutschland Holding AG † | | | 178,785 | | | | 932,418 | |
| United Internet AG | | | 107,891 | | | | 4,580,869 | |
| | | | | | | | |
| | | | | | | 63,992,320 | |
| | | | | | | | |
| Hong Kong - 2.2% | | | | | | | | |
| AIA Group Ltd. | | | 636,800 | | | | 3,286,362 | |
| ASM Pacific Technology Ltd. | | | 14,204 | | | | 140,478 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 54 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Hong Kong - 2.2% (continued) | | | | | | | | |
| Cathay Pacific Airways Ltd. | | | 155,000 | | | $ | 284,775 | |
| Cheung Kong Holdings Ltd. | | | 132,278 | | | | 2,175,965 | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 37,827 | | | | 265,095 | |
| CLP Holdings Ltd. | | | 111,509 | | | | 895,713 | |
| First Pacific Co., Ltd. | | | 144,000 | | | | 149,364 | |
| Henderson Land Development Co., Ltd. | | | 72,490 | | | | 469,288 | |
| Hong Kong & China Gas Co., Ltd. | | | 120,186 | | | | 260,481 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 66,154 | | | | 1,423,882 | |
| Hutchison Whampoa Ltd. | | | 22,832 | | | | 276,007 | |
| Hysan Development Co., Ltd. | | | 308,000 | | | | 1,421,107 | |
| Kerry Properties Ltd. | | | 172,000 | | | | 576,628 | |
| Link REIT/The REIT | | | 139,382 | | | | 804,323 | |
| MGM China Holdings Ltd. | | | 368,000 | | | | 1,060,438 | |
| New World Development Co., Ltd. | | | 295,896 | | | | 344,702 | |
| NWS Holdings Ltd. | | | 86,000 | | | | 152,954 | |
| PCCW Ltd. | | | 131,000 | | | | 82,223 | |
| Power Assets Holdings Ltd. | | | 11,500 | | | | 101,645 | |
| Sino Land Co., Ltd. | | | 886,000 | | | | 1,365,751 | |
| SJM Holdings Ltd. | | | 78,000 | | | | 148,502 | |
| Swire Pacific Ltd., Class A | | | 41,030 | | | | 528,155 | |
| Yue Yuen Industrial Holdings Ltd. | | | 345,609 | | | | 1,044,070 | |
| | | | | | | | |
| | | | | | | 17,257,908 | |
| | | | | | | | |
| Ireland - 0.0% (b) | | | | | | | | |
| James Hardie Industries PLC CDI | | | 16,922 | | | | 177,042 | |
| | | | | | | | |
| | |
| Italy - 2.9% | | | | | | | | |
| Atlantia SpA | | | 132,493 | | | | 3,254,781 | |
| Enel SpA | | | 253,097 | | | | 1,338,913 | |
| Eni SpA | | | 31,081 | | | | 737,435 | |
| Fiat SpA † | | | 382,814 | | | | 3,689,454 | |
| Mediobanca SpA † | | | 328,569 | | | | 2,807,225 | |
| Pirelli & C. SpA | | | 10,583 | | | | 145,930 | |
| Prysmian SpA | | | 106,951 | | | | 1,978,898 | |
| Snam SpA | | | 384,005 | | | | 2,120,400 | |
| UniCredit SpA | | | 595,707 | | | | 4,679,807 | |
| Unione di Banche Italiane SCpA | | | 241,291 | | | | 2,016,687 | |
| | | | | | | | |
| | | | | | | 22,769,530 | |
| | | | | | | | |
| Japan - 18.6% | | | | | | | | |
| Alfresa Holdings Corp. | | | 159,600 | | | | 2,297,611 | |
| Asahi Kasei Corp. | | | 391,000 | | | | 3,179,743 | |
| Astellas Pharma, Inc. | | | 206,500 | | | | 3,075,523 | |
| Bandai Namco Holdings, Inc. | | | 91,300 | | | | 2,348,807 | |
| Bridgestone Corp. | | | 27,200 | | | | 899,638 | |
| Brother Industries Ltd. | | | 55,500 | | | | 1,025,647 | |
| Central Japan Railway Co. | | | 25,600 | | | | 3,453,152 | |
| Chiyoda Corp. | | | 69,000 | | | | 763,035 | |
| Citizen Holdings Co., Ltd. | | | 51,400 | | | | 337,516 | |
| Dai Nippon Printing Co., Ltd. | | | 107,000 | | | | 1,073,663 | |
| Daito Trust Construction Co., Ltd. | | | 5,187 | | | | 613,377 | |
| Daiwa House Industry Co., Ltd. | | | 17,295 | | | | 310,703 | |
| Daiwa Securities Group, Inc. | | | 87,000 | | | | 689,969 | |
| Denso Corp. | | | 3,700 | | | | 170,704 | |
| Fuji Electric Co., Ltd. | | | 89,000 | | | | 430,752 | |
| Fuji Heavy Industries Ltd. | | | 117,621 | | | | 3,896,394 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 18.6% (continued) | | | | | | | | |
| FUJIFILM Holdings Corp. | | | 114,143 | | | $ | 3,507,283 | |
| Fujitsu Ltd. | | | 447,000 | | | | 2,751,093 | |
| Gree, Inc. | | | 78,100 | | | | 532,524 | |
| Hakuhodo DY Holdings, Inc. | | | 253,900 | | | | 2,570,315 | |
| Hankyu Hanshin Holdings, Inc. | | | 67,000 | | | | 390,145 | |
| Hino Motors Ltd. | | | 142,000 | | | | 1,987,043 | |
| Hitachi Chemical Co., Ltd. | | | 32,200 | | | | 571,941 | |
| Hitachi High-Technologies Corp. | | | 24,500 | | | | 704,566 | |
| Hoya Corp. | | | 60,600 | | | | 2,034,963 | |
| Hulic Co., Ltd. | | | 16,200 | | | | 171,586 | |
| Inpex Corp. | | | 92,200 | | | | 1,303,531 | |
| ITOCHU Corp. | | | 94,744 | | | | 1,157,108 | |
| Itochu Techno-Solutions Corp. | | | 6,000 | | | | 252,191 | |
| Japan Airlines Co., Ltd. | | | 97,000 | | | | 2,654,181 | |
| Japan Display, Inc. † | | | 199,900 | | | | 963,480 | |
| Japan Real Estate Investment Corp. REIT | | | 84 | | | | 432,038 | |
| Japan Retail Fund Investment Corp. REIT | | | 149 | | | | 300,339 | |
| JGC Corp. | | | 87,000 | | | | 2,376,977 | |
| JTEKT Corp. | | | 82,070 | | | | 1,375,616 | |
| Kawasaki Heavy Industries Ltd. | | | 223,000 | | | | 891,562 | |
| KDDI Corp. | | | 18,200 | | | | 1,094,843 | |
| Kinden Corp. | | | 16,564 | | | | 170,342 | |
| Kobe Steel Ltd. | | | 1,268,000 | | | | 2,059,194 | |
| Konica Minolta, Inc. | | | 267,700 | | | | 2,893,981 | |
| Mabuchi Motor Co., Ltd. | | | 5,700 | | | | 497,307 | |
| Marubeni Corp. | | | 56,974 | | | | 389,867 | |
| Medipal Holdings Corp. | | | 140,900 | | | | 1,712,633 | |
| MEIJI Holdings Co., Ltd. | | | 17,000 | | | | 1,344,371 | |
| Mitsubishi Electric Corp. | | | 310,000 | | | | 4,132,668 | |
| Mitsubishi Estate Co., Ltd. | | | 77,020 | | | | 1,735,823 | |
| Mitsubishi Motors Corp. | | | 85,100 | | | | 1,032,262 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 922,891 | | | | 5,201,150 | |
| Mitsui & Co., Ltd. | | | 40,343 | | | | 636,374 | |
| Mitsui Fudosan Co., Ltd. | | | 59,205 | | | | 1,816,909 | |
| NH Foods Ltd. | | | 62,000 | | | | 1,316,430 | |
| NHK Spring Co., Ltd. | | | 95,500 | | | | 937,065 | |
| Nippon Building Fund, Inc. REIT | | | 84 | | | | 442,321 | |
| Nippon Telegraph & Telephone Corp. | | | 19,019 | | | | 1,179,450 | |
| Nippon Yusen KK | | | 210,000 | | | | 553,684 | |
| Nomura Holdings, Inc. | | | 191,200 | | | | 1,137,516 | |
| Nomura Real Estate Holdings, Inc. | | | 8,000 | | | | 137,581 | |
| NTT Data Corp. | | | 15,000 | | | | 541,082 | |
| NTT DOCOMO, Inc. | | | 43,700 | | | | 731,897 | |
| Omron Corp. | | | 47,200 | | | | 2,145,146 | |
| ORIX Corp. | | | 76,990 | | | | 1,062,882 | |
| Otsuka Corp. | | | 17,500 | | | | 696,782 | |
| Otsuka Holdings Co., Ltd. | | | 95,900 | | | | 3,305,508 | |
| Panasonic Corp. | | | 339,600 | | | | 4,047,480 | |
| Resona Holdings, Inc. | | | 730,300 | | | | 4,119,903 | |
| Rohm Co., Ltd. | | | 48,400 | | | | 3,047,507 | |
| Sankyo Co., Ltd. | | | 17,300 | | | | 619,995 | |
| Secom Co., Ltd. | | | 29,200 | | | | 1,739,574 | |
| Seiko Epson Corp. | | | 15,300 | | | | 737,199 | |
| Sekisui Chemical Co., Ltd. | | | 144,000 | | | | 1,654,982 | |
| Sekisui House Ltd. | | | 32,000 | | | | 377,144 | |
| Seven & I Holdings Co., Ltd. | | | 54,239 | | | | 2,103,737 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 55 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 18.6% (continued) | | | | | | | | |
| Shimamura Co., Ltd. | | | 17,600 | | | $ | 1,618,020 | |
| Shionogi & Co., Ltd. | | | 143,500 | | | | 3,293,409 | |
| SoftBank Corp. | | | 17,100 | | | | 1,194,416 | |
| Sumitomo Chemical Co., Ltd. | | | 186,000 | | | | 664,335 | |
| Sumitomo Heavy Industries Ltd. | | | 458,000 | | | | 2,579,610 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 75,436 | | | | 3,073,602 | |
| Sumitomo Realty & Development Co., Ltd. | | | 24,261 | | | | 864,360 | |
| Suzuken Co., Ltd. | | | 59,000 | | | | 1,699,684 | |
| Suzuki Motor Corp. | | | 78,500 | | | | 2,603,469 | |
| Taiheiyo Cement Corp. | | | 104,000 | | | | 392,248 | |
| Taisei Corp. | | | 547,000 | | | | 3,086,005 | |
| Takashimaya Co., Ltd. | | | 200,000 | | | | 1,672,908 | |
| TDK Corp. | | | 23,200 | | | | 1,297,813 | |
| THK Co., Ltd. | | | 54,500 | | | | 1,358,084 | |
| Toho Co., Ltd. | | | 17,900 | | | | 404,420 | |
| Tokyo Electric Power Co., Inc. † | | | 396,273 | | | | 1,387,471 | |
| Tokyo Electron Ltd. | | | 10,100 | | | | 658,270 | |
| Tokyo Gas Co., Ltd. | | | 160,071 | | | | 899,459 | |
| Tokyu Corp. | | | 54,000 | | | | 353,908 | |
| Tokyu Fudosan Holdings Corp. | | | 26,483 | | | | 181,824 | |
| TOTO Ltd. | | | 111,000 | | | | 1,221,178 | |
| Toyo Seikan Group Holdings Ltd. | | | 74,900 | | | | 928,539 | |
| Toyoda Gosei Co., Ltd. | | | 16,000 | | | | 312,346 | |
| Toyota Motor Corp. | | | 56,378 | | | | 3,317,236 | |
| West Japan Railway Co. | | | 42,500 | | | | 1,901,996 | |
| Yamaha Corp. | | | 103,700 | | | | 1,355,770 | |
| | | | | | | | |
| | | | | | | 147,167,685 | |
| | | | | | | | |
| Netherlands - 2.3% | | | | | | | | |
| Aegon NV | | | 478,591 | | | | 3,940,817 | |
| Akzo Nobel NV | | | 29,176 | | | | 1,996,258 | |
| ING Groep NV CVA † | | | 247,726 | | | | 3,521,230 | |
| Koninklijke Ahold NV | | | 336,600 | | | | 5,444,729 | |
| Koninklijke Boskalis Westminster NV | | | 18,172 | | | | 1,021,981 | |
| Wolters Kluwer NV | | | 75,385 | | | | 2,010,318 | |
| | | | | | | | |
| | | | | | | 17,935,333 | |
| | | | | | | | |
| Singapore - 1.3% | | | | | | | | |
| Ascendas Real Estate Investment Trust REIT | | | 123,637 | | | | 218,089 | |
| CapitaCommercial Trust REIT | | | 120,000 | | | | 149,948 | |
| CapitaMall Trust REIT | | | 145,994 | | | | 218,489 | |
| ComfortDelGro Corp. Ltd. | | | 298,000 | | | | 559,773 | |
| DBS Group Holdings Ltd. | | | 150,128 | | | | 2,165,226 | |
| Jardine Cycle & Carriage Ltd. | | | 10,066 | | | | 338,289 | |
| Keppel Corp. Ltd. | | | 44,728 | | | | 367,904 | |
| Olam International Ltd. | | | 94,000 | | | | 172,652 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 72,479 | | | | 552,892 | |
| Sembcorp Industries Ltd. | | | 60,017 | | | | 243,534 | |
| Singapore Airlines Ltd. | | | 138,000 | | | | 1,061,983 | |
| Singapore Exchange Ltd. | | | 52,472 | | | | 297,083 | |
| Singapore Press Holdings Ltd. | | | 53,000 | | | | 174,422 | |
| Singapore Technologies Engineering Ltd. | | | 93,265 | | | | 266,529 | |
| Singapore Telecommunications Ltd. | | | 223,524 | | | | 665,365 | |
| United Overseas Bank Ltd. | | | 102,097 | | | | 1,789,834 | |
| UOL Group Ltd. | | | 28,000 | | | | 144,933 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Singapore - 1.3% (continued) | | | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 522,319 | | | $ | 482,632 | |
| | | | | | | | |
| | | | | | | 9,869,577 | |
| | | | | | | | |
| South Africa - 0.2% | | | | | | | | |
| Investec PLC | | | 226,401 | | | | 1,900,989 | |
| | | | | | | | |
| | |
| Spain - 4.2% | | | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 50,251 | | | | 1,926,097 | |
| Banco de Sabadell SA | | | 1,449,243 | | | | 4,279,164 | |
| Banco Popular Espanol SA | | | 251,899 | | | | 1,536,409 | |
| Banco Santander SA | | | 652,898 | | | | 6,250,604 | |
| CaixaBank SA | | | 432,535 | | | | 2,630,035 | |
| Gas Natural SDG SA | | | 228,007 | | | | 6,707,213 | |
| Iberdrola SA | | | 801,954 | | | | 5,732,282 | |
| Red Electrica Corp. SA | | | 50,481 | | | | 4,369,516 | |
| | | | | | | | |
| | | | | | | 33,431,320 | |
| | | | | | | | |
| Sweden - 2.6% | | | | | | | | |
| Hennes & Mauritz AB, B Shares | | | 62,266 | | | | 2,574,699 | |
| Husqvarna AB, B Shares | | | 273,256 | | | | 1,926,573 | |
| Investor AB, B Shares | | | 19,364 | | | | 681,799 | |
| Nordea Bank AB | | | 57,408 | | | | 744,203 | |
| Securitas AB, B Shares | | | 221,643 | | | | 2,454,935 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 187,764 | | | | 2,498,133 | |
| Svenska Cellulosa AB SCA, Class B | | | 147,152 | | | | 3,496,495 | |
| Swedish Match AB | | | 45,421 | | | | 1,469,442 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 350,634 | | | | 4,421,099 | |
| TeliaSonera AB | | | 90,089 | | | | 621,267 | |
| | | | | | | | |
| | | | | | | 20,888,645 | |
| | | | | | | | |
| Switzerland - 9.9% | | | | | | | | |
| ABB Ltd. † | | | 127,941 | | | | 2,861,988 | |
| Actelion Ltd. † | | | 5,886 | | | | 689,404 | |
| Adecco SA † | | | 58,665 | | | | 3,965,810 | |
| Aryzta AG † | | | 31,010 | | | | 2,672,075 | |
| Baloise Holding AG | | | 12,816 | | | | 1,638,288 | |
| Geberit AG | | | 3,988 | | | | 1,285,384 | |
| Givaudan SA † | | | 4,853 | | | | 7,735,677 | |
| Nestle SA | | | 73,467 | | | | 5,399,165 | |
| Novartis AG | | | 173,523 | | | | 16,340,381 | |
| Roche Holding AG | | | 56,023 | | | | 16,543,766 | |
| Sika AG | | | 1,214 | | | | 4,197,617 | |
| Swiss Life Holding AG † | | | 33,967 | | | | 8,094,130 | |
| Swiss Re AG † | | | 48,536 | | | | 3,862,609 | |
| Swisscom AG | | | 2,270 | | | | 1,286,710 | |
| Wolseley PLC | | | 24,044 | | | | 1,259,400 | |
| | | | | | | | |
| | | | | | | 77,832,404 | |
| | | | | | | | |
| United Kingdom - 19.7% | | | | | | | | |
| 3i Group PLC | | | 464,937 | | | | 2,879,448 | |
| Anglo American PLC | | | 133,018 | | | | 2,966,540 | |
| Associated British Foods PLC | | | 146,586 | | | | 6,354,356 | |
| AstraZeneca PLC | | | 68,126 | | | | 4,882,103 | |
| Aviva PLC | | | 384,380 | | | | 3,251,885 | |
| Barclays PLC | | | 635,310 | | | | 2,336,787 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 56 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| United Kingdom - 19.7% (continued) | | | | | |
| BP PLC | | | 787,004 | | | $ | 5,757,199 | |
| British Land Co. PLC/The REIT | | | 145,305 | | | | 1,651,157 | |
| British Sky Broadcasting Group PLC | | | 210,761 | | | | 3,006,115 | |
| BT Group PLC | | | 1,844,445 | | | | 11,313,841 | |
| Centrica PLC | | | 198,410 | | | | 988,865 | |
| Direct Line Insurance Group PLC | | | 253,763 | | | | 1,207,757 | |
| easyJet PLC | | | 306,221 | | | | 7,046,735 | |
| Friends Life Group Ltd. | | | 502,361 | | | | 2,501,765 | |
| GKN PLC | | | 276,226 | | | | 1,422,450 | |
| GlaxoSmithKline PLC | | | 107,762 | | | | 2,461,731 | |
| Hammerson PLC REIT | | | 28,872 | | | | 268,032 | |
| HSBC Holdings PLC | | | 798,934 | | | | 8,118,199 | |
| ICAP PLC | | | 128,984 | | | | 806,650 | |
| IMI PLC | | | 96,532 | | | | 1,919,636 | |
| Imperial Tobacco Group PLC | | | 37,852 | | | | 1,629,754 | |
| InterContinental Hotels Group PLC | | | 13,682 | | | | 527,595 | |
| ITV PLC | | | 1,842,919 | | | | 6,187,924 | |
| Kingfisher PLC | | | 783,295 | | | | 4,096,536 | |
| Land Securities Group PLC REIT | | | 120,594 | | | | 2,024,806 | |
| Lloyds Banking Group PLC † | | | 790,194 | | | | 983,056 | |
| Melrose Industries PLC | | | 552,747 | | | | 2,212,445 | |
| Next PLC | | | 57,753 | | | | 6,181,595 | |
| Persimmon PLC † | | | 211,822 | | | | 4,557,902 | |
| Randgold Resources Ltd. | | | 3,761 | | | | 254,965 | |
| Reckitt Benckiser Group PLC | | | 45,801 | | | | 3,959,848 | |
| Reed Elsevier NV | | | 233,529 | | | | 5,297,920 | |
| Rio Tinto PLC | | | 74,884 | | | | 3,669,307 | |
| Royal Dutch Shell PLC, A Shares | | | 224,457 | | | | 8,578,838 | |
| Royal Dutch Shell PLC, B Shares | | | 146,511 | | | | 5,792,162 | |
| Royal Mail PLC | | | 153,787 | | | | 974,296 | |
| Schroders PLC | | | 45,876 | | | | 1,771,322 | |
| Shire PLC | | | 33,545 | | | | 2,894,318 | |
| Smith & Nephew PLC | | | 245,173 | | | | 4,124,215 | |
| Standard Chartered PLC | | | 36,748 | | | | 677,812 | |
| Tate & Lyle PLC | | | 170,091 | | | | 1,621,282 | |
| Travis Perkins PLC | | | 163,310 | | | | 4,387,747 | |
| TUI Travel PLC | | | 265,639 | | | | 1,671,886 | |
| Tullow Oil PLC | | | 33,537 | | | | 349,660 | |
| Unilever PLC | | | 76,998 | | | | 3,222,977 | |
| Vodafone Group PLC | | | 2,111,157 | | | | 6,956,739 | |
| | | | | | | | |
| | | | | | | 155,748,158 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $656,869,250) | | | | | | | 734,253,243 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 1.0% | | | | | | | | |
| Germany - 1.0% | | | | | | | | |
| Henkel AG & Co. KGaA | | | 30,922 | | | | 3,078,358 | |
| Porsche Automobil Holding SE | | | 56,539 | | | | 4,510,268 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $6,708,912) | | | | | | | 7,588,626 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (b) | | | | | | | | |
| Italy - 0.0% (b) | | | | | | | | |
| Fiat SpA (3)†(a) | | | 382,814 | | | | — | |
| | | | | | | | |
| | |
| Spain - 0.0% (b) | | | | | | | | |
| Banco Popular Espanol SA † | | | 251,899 | | | | 3,500 | |
| | | | | | | | |
TOTAL RIGHTS
(cost $—) | | | | | | | 3,500 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| WARRANTS - 0.0% (b) | | | | | | | | |
| Hong Kong - 0.0% (b) | | | | | | | | |
| Sun Hung Kai Properties Ltd., † | | | | | | | | |
(cost $—) | | | 79 | | | $ | 132 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 4.6% | | | | | | | | |
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares,
0.000% (c) | | | 20,301,216 | | | | 20,301,216 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) | | | 16,050,072 | | | | 16,050,072 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $36,351,288) | | | | | | | 36,351,288 | |
| | | | | | | | |
TOTAL INVESTMENTS - 98.5%
(cost $699,929,450) | | | | | | | 778,196,789 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% (e) | | | | | | | 11,833,959 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 790,030,748 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | Security fair valued as of September 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (b) | Represents less than 0.05 percent of net assets. |
| (c) | Represents annualized seven-day yield as of September 30, 2014. |
| (d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) | 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.
| (3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 112,088,308 | | | | 14.2 | % |
| Consumer Staples | | | 47,463,851 | | | | 6.0 | |
| Energy | | | 33,976,329 | | | | 4.3 | |
| Financials | | | 171,235,299 | | | | 21.6 | |
| Health Care | | | 100,347,684 | | | | 12.7 | |
| Industrials | | | 100,641,886 | | | | 12.7 | |
| Information Technology | | | 36,306,059 | | | | 4.6 | |
| Materials | | | 45,467,985 | | | | 5.8 | |
| Telecommunication Services | | | 48,836,725 | | | | 6.2 | |
| Utilities | | | 45,481,375 | | | | 5.8 | |
| Money Market Funds | | | 36,351,288 | | | | 4.6 | |
| | | | | | | | |
Total Investments | | | 778,196,789 | | | | 98.5 | |
| Other Assets in Excess of Liabilities (e) | | | 11,833,959 | | | | 1.5 | |
| | | | | | | | |
Net Assets | | $ | 790,030,748 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 57 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
Total return swap contracts outstanding as of September 30, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE
INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Goldman Sachs | | Hang Seng Index Futures | | 10/2014 | | HKD | | | 96,779,392 | | | | $(561,338 | ) |
| Goldman Sachs | | Swiss Market Index Futures | | 12/2014 | | CHF | | | (46,876,473 | ) | | | (326,942 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(888,280 | ) |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts in the amount of $11,750,000 at September 30, 2014.
Open futures contracts outstanding at September 30, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | | | |
| 149 | | Barclays Capital | | Amsterdam Index Futures | | | 10/2014 | | | | $15,743,749 | | | | $15,861,028 | | | | $117,279 | |
| 307 | | Barclays Capital | | CAC40 Index Futures | | | 10/2014 | | | | 17,103,907 | | | | 17,115,565 | | | | 11,658 | |
| 16 | | Barclays Capital | | DAX Index Futures | | | 12/2014 | | | | 4,774,151 | | | | 4,794,790 | | | | 20,639 | |
| 384 | | Barclays Capital | | FTSE 100 Index Futures | | | 12/2014 | | | | 42,150,236 | | | | 41,120,663 | | | | (1,029,573 | ) |
| 335 | | Barclays Capital | | Hang Seng Index Futures | | | 10/2014 | | | | 51,242,660 | | | | 49,226,322 | | | | (2,016,338 | ) |
| 45 | | Barclays Capital | | IBEX 35 Index Futures | | | 10/2014 | | | | 6,120,567 | | | | 6,171,730 | | | | 51,163 | |
| 36 | | Barclays Capital | | MSCI Singapore Index Futures | | | 10/2014 | | | | 2,097,213 | | | | 2,084,314 | | | | (12,899 | ) |
| 236 | | Barclays Capital | | TOPIX Index Futures | | | 12/2014 | | | | 27,846,486 | | | | 28,543,789 | | | | 697,303 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 167,078,969 | | | | 164,918,201 | | | | (2,160,768 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | | | | | | | | | | |
| 161 | | Barclays Capital | | FTSE/MIB Index Futures | | | 12/2014 | | | | $(21,162,290 | ) | | | $(21,220,699 | ) | | | $(58,409 | ) |
| 754 | | Barclays Capital | | OMXS30 Index Futures | | | 10/2014 | | | | (14,604,641 | ) | | | (14,673,012 | ) | | | (68,371 | ) |
| 412 | | Barclays Capital | | SPI 200 Index Futures | | | 12/2014 | | | | (49,159,139 | ) | | | (47,642,964 | ) | | | 1,516,175 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (84,926,070 | ) | | | (83,536,675 | ) | | | 1,389,395 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $82,152,899 | | | | $81,381,526 | | | | $(771,373 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital for futures contracts was $14,411,021 at September 30, 2014.
Forward foreign currency exchange contracts outstanding as of September 30, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 12/17/14 | | CitiBank | | AUD | | | 35,383,500 | | | | $31,537,820 | | | | $30,809,580 | | | | $(728,240 | ) |
Australian Dollar,
Expiring 12/17/14 | | Credit Suisse International | | AUD | | | 35,383,500 | | | | 31,536,165 | | | | 30,809,580 | | | | (726,585 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 58 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Swiss Franc,
Expiring 12/17/14 | | CitiBank | | CHF | | | 13,421,500 | | | | $14,617,143 | | | | $14,069,298 | | | | $(547,845 | ) |
Swiss Franc,
Expiring 12/17/14 | | Credit Suisse International | | CHF | | | 13,421,500 | | | | 14,616,951 | | | | 14,069,298 | | | | (547,653 | ) |
Danish Krone,
Expiring 12/17/14 | | CitiBank | | DKK | | | 1,407,000 | | | | 245,142 | | | | 238,844 | | | | (6,298 | ) |
Danish Krone,
Expiring 12/17/14 | | Credit Suisse International | | DKK | | | 1,407,000 | | | | 245,144 | | | | 238,844 | | | | (6,300 | ) |
Euro,
Expiring 12/17/14 | | CitiBank | | EUR | | | 36,172,700 | | | | 46,884,839 | | | | 45,713,069 | | | | (1,171,770 | ) |
Euro,
Expiring 12/17/14 | | Credit Suisse International | | EUR | | | 36,343,700 | | | | 47,105,511 | | | | 45,929,169 | | | | (1,176,342 | ) |
British Pound,
Expiring 12/17/14 | | CitiBank | | GBP | | | 1,310,000 | | | | 2,125,757 | | | | 2,122,269 | | | | (3,488 | ) |
British Pound,
Expiring 12/17/14 | | Credit Suisse International | | GBP | | | 1,310,000 | | | | 2,125,714 | | | | 2,122,269 | | | | (3,445 | ) |
Hong Kong Dollar,
Expiring 12/17/14 | | CitiBank | | HKD | | | 30,145,500 | | | | 3,890,134 | | | | 3,881,725 | | | | (8,409 | ) |
Hong Kong Dollar,
Expiring 12/17/14 | | Credit Suisse International | | HKD | | | 30,823,500 | | | | 3,977,613 | | | | 3,969,028 | | | | (8,585 | ) |
Israeli Shekel,
Expiring 12/17/14 | | CitiBank | | ILS | | | 8,380,000 | | | | 2,337,896 | | | | 2,277,225 | | | | (60,671 | ) |
Israeli Shekel,
Expiring 12/17/14 | | Credit Suisse International | | ILS | | | 8,380,000 | | | | 2,337,854 | | | | 2,277,225 | | | | (60,629 | ) |
Japanese Yen,
Expiring 12/17/14 | | CitiBank | | JPY | | | 5,656,495,400 | | | | 53,157,984 | | | | 51,613,597 | | | | (1,544,387 | ) |
Japanese Yen,
Expiring 12/17/14 | | Credit Suisse International | | JPY | | | 5,656,495,400 | | | | 53,155,852 | | | | 51,613,597 | | | | (1,542,255 | ) |
Norwegian Krone,
Expiring 12/17/14 | | CitiBank | | NOK | | | 315,206,000 | | | | 49,742,408 | | | | 48,927,364 | | | | (815,044 | ) |
Norwegian Krone,
Expiring 12/17/14 | | Credit Suisse International | | NOK | | | 315,206,000 | | | | 49,741,257 | | | | 48,927,364 | | | | (813,893 | ) |
New Zealand Dollar,
Expiring 12/17/14 | | CitiBank | | NZD | | | 86,312,501 | | | | 71,012,337 | | | | 66,856,533 | | | | (4,155,804 | ) |
New Zealand Dollar,
Expiring 12/17/14 | | Credit Suisse International | | NZD | | | 86,312,500 | | | | 71,012,361 | | | | 66,856,532 | | | | (4,155,829 | ) |
Swedish Krona,
Expiring 12/17/14 | | CitiBank | | SEK | | | 2,025,500 | | | | 280,766 | | | | 280,632 | | | | (134 | ) |
Swedish Krona,
Expiring 12/17/14 | | Credit Suisse International | | SEK | | | 2,025,500 | | | | 280,739 | | | | 280,632 | | | | (107 | ) |
Singapore Dollar,
Expiring 12/17/14 | | CitiBank | | SGD | | | 1,781,650 | | | | 1,420,462 | | | | 1,396,568 | | | | (23,894 | ) |
Singapore Dollar,
Expiring 12/17/14 | | Credit Suisse International | | SGD | | | 1,799,650 | | | | 1,434,767 | | | | 1,410,677 | | | | (24,090 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $554,822,616 | | | | $536,690,919 | | | | $(18,131,697 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 12/17/14 | | CitiBank | | AUD | | | (4,976,950 | ) | | | $(4,604,176 | ) | | | $(4,333,594 | ) | | | $270,582 | |
Australian Dollar,
Expiring 12/17/14 | | Credit Suisse International | | AUD | | | (6,888,950 | ) | | | (6,376,605 | ) | | | (5,998,436 | ) | | | 378,169 | |
Swiss Franc,
Expiring 12/17/14 | | CitiBank | | CHF | | | (47,934,900 | ) | | | (51,545,068 | ) | | | (50,248,512 | ) | | | 1,296,556 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 59 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL EQUITY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Swiss Franc,
Expiring 12/17/14 | | Credit Suisse International | | CHF | | | (48,231,900 | ) | | | $(51,869,091 | ) | | | $(50,559,847 | ) | | | $1,309,244 | |
Danish Krone,
Expiring 12/17/14 | | CitiBank | | DKK | | | (16,696,000 | ) | | | (2,892,689 | ) | | | (2,834,214 | ) | | | 58,475 | |
Danish Krone,
Expiring 12/17/14 | | Credit Suisse International | | DKK | | | (18,904,000 | ) | | | (3,282,133 | ) | | | (3,209,031 | ) | | | 73,102 | |
Euro,
Expiring 12/17/14 | | CitiBank | | EUR | | | (35,686,000 | ) | | | (46,080,692 | ) | | | (45,098,004 | ) | | | 982,688 | |
Euro,
Expiring 12/17/14 | | Credit Suisse International | | EUR | | | (44,090,000 | ) | | | (57,121,975 | ) | | | (55,718,517 | ) | | | 1,403,458 | |
British Pound,
Expiring 12/17/14 | | CitiBank | | GBP | | | (47,335,350 | ) | | | (77,189,022 | ) | | | (76,685,759 | ) | | | 503,263 | |
British Pound,
Expiring 12/17/14 | | Credit Suisse International | | GBP | | | (47,398,350 | ) | | | (77,294,164 | ) | | | (76,787,822 | ) | | | 506,342 | |
Hong Kong Dollar,
Expiring 12/17/14 | | CitiBank | | HKD | | | (3,004,000 | ) | | | (387,202 | ) | | | (386,814 | ) | | | 388 | |
Hong Kong Dollar,
Expiring 12/17/14 | | Credit Suisse International | | HKD | | | (11,791,000 | ) | | | (1,520,971 | ) | | | (1,518,284 | ) | | | 2,687 | |
Israeli Shekel,
Expiring 12/17/14 | | CitiBank | | ILS | | | (27,000 | ) | | | (7,437 | ) | | | (7,337 | ) | | | 100 | |
Israeli Shekel,
Expiring 12/17/14 | | Credit Suisse International | | ILS | | | (499,000 | ) | | | (139,690 | ) | | | (135,601 | ) | | | 4,089 | |
Japanese Yen,
Expiring 12/17/14 | | CitiBank | | JPY | | | (624,597,500 | ) | | | (5,835,414 | ) | | | (5,699,240 | ) | | | 136,174 | |
Japanese Yen,
Expiring 12/17/14 | | Credit Suisse International | | JPY | | | (1,432,659,500 | ) | | | (13,588,986 | ) | | | (13,072,531 | ) | | | 516,455 | |
Norwegian Krone,
Expiring 12/17/14 | | CitiBank | | NOK | | | (65,017,000 | ) | | | (10,214,415 | ) | | | (10,092,163 | ) | | | 122,252 | |
Norwegian Krone,
Expiring 12/17/14 | | Credit Suisse International | | NOK | | | (84,578,000 | ) | | | (13,360,817 | ) | | | (13,128,489 | ) | | | 232,328 | |
New Zealand Dollar,
Expiring 12/17/14 | | CitiBank | | NZD | | | (31,973,500 | ) | | | (25,504,867 | ) | | | (24,766,254 | ) | | | 738,613 | |
New Zealand Dollar,
Expiring 12/17/14 | | Credit Suisse International | | NZD | | | (38,364,500 | ) | | | (30,797,686 | ) | | | (29,716,639 | ) | | | 1,081,047 | |
Swedish Krona,
Expiring 12/17/14 | | CitiBank | | SEK | | | (71,318,500 | ) | | | (10,072,516 | ) | | | (9,881,154 | ) | | | 191,362 | |
Swedish Krona,
Expiring 12/17/14 | | Credit Suisse International | | SEK | | | (71,443,500 | ) | | | (10,090,405 | ) | | | (9,898,472 | ) | | | 191,933 | |
Singapore Dollar,
Expiring 12/17/14 | | CitiBank | | SGD | | | (150,000 | ) | | | (118,780 | ) | | | (117,579 | ) | | | 1,201 | |
Singapore Dollar,
Expiring 12/17/14 | | Credit Suisse International | | SGD | | | (760,000 | ) | | | (606,816 | ) | | | (595,735 | ) | | | 11,081 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (500,501,617 | ) | | | (490,490,028 | ) | | | 10,011,589 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $54,320,999 | | | | $46,200,891 | | | | $(8,120,108 | ) |
| | | | | | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $3,890,000 and $72, respectively at September 30, 2014. Cash held as collateral at Citibank for forward foreign currency exchange contracts was $5,270,000 at September 30, 2014.
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
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 60 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 91.5% | | SHARES | | | VALUE
(Note 2) | |
| Brazil - 12.4% | | | | | | | | |
| AMBEV SA ADR (1) | | | 44,500 | | | $ | 291,475 | |
| BRF SA (1) | | | 8,700 | | | | 207,570 | |
| CCR SA (1) | | | 84,400 | | | | 582,723 | |
| Cia Brasileira de Distribuicao ADR (1) | | | 13,281 | | | | 579,184 | |
| Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | | | 37,442 | | | | 303,655 | |
| Cia Energetica de Minas Gerais ADR (1) | | | 87,302 | | | | 543,891 | |
| Cia Hering (1) | | | 99 | | | | 999 | |
| Cia Paranaense de Energia ADR (1) | | | 4,118 | | | | 56,293 | |
| Cielo SA (1) | | | 7,780 | | | | 126,597 | |
| CPFL Energia SA ADR (1) | | | 18,084 | | | | 281,206 | |
| EcoRodovias Infraestrutura e Logistica SA (1) | | | 126,100 | | | | 615,109 | |
| EDP - Energias do Brasil SA (1) | | | 81,500 | | | | 330,628 | |
| Gerdau SA ADR (1) | | | 15,600 | | | | 74,880 | |
| Localiza Rent a Car SA (1) | | | 61,810 | | | | 888,357 | |
| Natura Cosmeticos SA (1) | | | 28,400 | | | | 431,613 | |
| Odontoprev SA (1) | | | 61,000 | | | | 220,799 | |
| Qualicorp SA (1)† | | | 47,500 | | | | 470,003 | |
| Souza Cruz SA (1) | | | 86,500 | | | | 695,816 | |
| Telefonica Brasil SA ADR (1) | | | 24,535 | | | | 482,849 | |
| Tim Participacoes SA ADR (1) | | | 3,644 | | | | 95,473 | |
| Totvs SA (1) | | | 6,400 | | | | 97,134 | |
| Tractebel Energia SA (1) | | | 56,500 | | | | 798,421 | |
| Ultrapar Participacoes SA ADR (1) | | | 11,400 | | | | 240,768 | |
| WEG SA (1) | | | 35,290 | | | | 412,768 | |
| | | | | | | | |
| | | | | | | 8,828,211 | |
| | | | | | | | |
| Chile - 4.3% | | | | | | | | |
| Banco Santander Chile ADR (1) | | | 19,693 | | | | 435,018 | |
| Cencosud SA (1) | | | 110,143 | | | | 324,403 | |
| Empresa Nacional de Electricidad SA ADR (1) | | | 5,800 | | | | 254,968 | |
| Empresas COPEC SA (1) | | | 39,921 | | | | 488,062 | |
| Enersis SA ADR (1) | | | 19,047 | | | | 300,562 | |
| SACI Falabella (1) | | | 97,412 | | | | 735,017 | |
| Sociedad Quimica y Minera de Chile SA ADR (1) | | | 18,878 | | | | 493,471 | |
| | | | | | | | |
| | | | | | | 3,031,501 | |
| | | | | | | | |
| China - 2.0% | | | | | | | | |
| China Mengniu Dairy Co., Ltd. | | | 16,000 | | | | 65,841 | |
| China Petroleum & Chemical Corp. ADR (1) | | | 75 | | | | 6,552 | |
| China Telecom Corp. Ltd., H Shares | | | 122,000 | | | | 74,784 | |
| ENN Energy Holdings Ltd. | | | 44,000 | | | | 287,875 | |
| PetroChina Co., Ltd. ADR (1) | | | 176 | | | | 22,618 | |
| Sihuan Pharmaceutical Holdings Group Ltd. | | | 139,000 | | | | 104,108 | |
| Sun Art Retail Group Ltd. | | | 332,500 | | | | 375,606 | |
| Tingyi Cayman Islands Holding Corp. | | | 62,000 | | | | 162,877 | |
| Tsingtao Brewery Co., Ltd., H Shares | | | 34,000 | | | | 241,736 | |
| Want Want China Holdings Ltd. | | | 59,000 | | | | 73,670 | |
| | | | | | | | |
| | | | | | | 1,415,667 | |
| | | | | | | | |
| Hong Kong - 1.9% | | | | | | | | |
| Belle International Holdings Ltd. | | | 54,000 | | | | 60,722 | |
| China Mobile Ltd. ADR (1) | | | 9,232 | | | | 542,380 | |
| China Unicom Hong Kong Ltd. ADR (1) | | | 3,161 | | | | 47,510 | |
| Haier Electronics Group Co., Ltd. | | | 50,000 | | | | 131,123 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Hong Kong - 1.9% (continued) | |
| Sino Biopharmaceutical Ltd. | | | 604,000 | | | $ | 601,091 | |
| | | | | | | | |
| | | | | | | 1,382,826 | |
| | | | | | | | |
| India - 0.7% | | | | | | | | |
| Dr. Reddy’s Laboratories Ltd. ADR (1) | | | 8,493 | | | | 446,307 | |
| Infosys Ltd. ADR (1) | | | 1,300 | | | | 78,637 | |
| | | | | | | | |
| | | | | | | 524,944 | |
| | | | | | | | |
| Indonesia - 2.9% | | | | | | | | |
| Bank Central Asia Tbk PT | | | 280,000 | | | | 300,496 | |
| Bank Mandiri Persero Tbk PT | | | 60,700 | | | | 50,199 | |
| Kalbe Farma Tbk PT | | | 1,394,200 | | | | 194,124 | |
| Perusahaan Gas Negara Persero Tbk PT | | | 1,583,700 | | | | 777,869 | |
| Semen Indonesia Persero Tbk PT | | | 314,100 | | | | 396,839 | |
| Telekomunikasi Indonesia Persero Tbk PT ADR (1) | | | 7,539 | | | | 362,626 | |
| | | | | | | | |
| | | | | | | 2,082,153 | |
| | | | | | | | |
| Korea, Republic of - 12.4% | | | | | | | | |
| Amorepacific Corp. | | | 305 | | | | 690,335 | |
| Cheil Worldwide, Inc.† | | | 21,531 | | | | 455,695 | |
| Daelim Industrial Co., Ltd. | | | 270 | | | | 19,307 | |
| Dongbu Insurance Co., Ltd. | | | 7,244 | | | | 407,558 | |
| E-Mart Co., Ltd. | | | 170 | | | | 37,148 | |
| Hotel Shilla Co., Ltd. | | | 2,132 | | | | 241,491 | |
| Hyundai Department Store Co., Ltd. | | | 1,879 | | | | 285,458 | |
| Hyundai Glovis Co., Ltd. | | | 2,268 | | | | 691,524 | |
| Hyundai Marine & Fire Insurance Co., Ltd. | | | 11,670 | | | | 321,617 | |
| Hyundai Mobis Co., Ltd. | | | 1,180 | | | | 287,273 | |
| Hyundai Wia Corp. | | | 1,182 | | | | 240,514 | |
| Kangwon Land, Inc. | | | 27,826 | | | | 942,757 | |
| Kia Motors Corp. | | | 11,295 | | | | 573,662 | |
| Korea Aerospace Industries Ltd. | | | 7,800 | | | | 300,934 | |
| KT Corp. ADR (1) | | | 25,821 | | | | 418,558 | |
| KT&G Corp. | | | 7,186 | | | | 643,103 | |
| LG Uplus Corp. | | | 45,550 | | | | 532,753 | |
| Lotte Shopping Co., Ltd. | | | 246 | | | | 73,610 | |
| NAVER Corp. | | | 107 | | | | 81,735 | |
| Orion Corp. | | | 143 | | | | 118,473 | |
| POSCO ADR (1) | | | 33 | | | | 2,505 | |
| Samsung C&T Corp. | | | 998 | | | | 71,376 | |
| Samsung Electronics Co., Ltd. GDR | | | 458 | | | | 256,940 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 1,163 | | | | 311,282 | |
| Samsung Life Insurance Co., Ltd. | | | 2,585 | | | | 259,582 | |
| Samsung Techwin Co., Ltd. | | | 992 | | | | 33,166 | |
| SK Hynix, Inc. † | | | 1,400 | | | | 61,965 | |
| SK Telecom Co., Ltd. ADR (1) | | | 6,728 | | | | 204,127 | |
| Yuhan Corp. | | | 1,339 | | | | 235,870 | |
| | | | | | | | |
| | | | | | | 8,800,318 | |
| | | | | | | | |
| Malaysia - 14.0% | | | | | | | | |
| AirAsia Bhd | | | 27,500 | | | | 21,192 | |
| AMMB Holdings Bhd | | | 264,100 | | | | 552,920 | |
| Axiata Group Bhd | | | 441,400 | | | | 942,419 | |
| CIMB Group Holdings Bhd | | | 257,100 | | | | 550,880 | |
| DiGi.Com Bhd | | | 445,400 | | | | 794,403 | |
| Genting Bhd | | | 153,100 | | | | 442,665 | |
| IHH Healthcare Bhd | | | 206,400 | | | | 319,793 | |
| IOI Corp. Bhd | | | 369,700 | | | | 542,033 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 61 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Malaysia - 14.0% (continued) | | | | | | | | |
| Kuala Lumpur Kepong Bhd | | | 20,800 | | | $ | 133,627 | |
| Malayan Banking Bhd | | | 305,300 | | | | 926,842 | |
| Maxis Bhd | | | 372,300 | | | | 735,542 | |
| Public Bank Bhd | | | 64,000 | | | | 368,698 | |
| Sime Darby Bhd | | | 343,200 | | | | 958,497 | |
| Telekom Malaysia Bhd | | | 523,100 | | | | 1,052,945 | |
| Tenaga Nasional Bhd | | | 265,400 | | | | 1,002,213 | |
| UMW Holdings Bhd | | | 158,600 | | | | 592,865 | |
| | | | | | | | |
| | | | | | | 9,937,534 | |
| | | | | | | | |
| Mexico - 6.1% | | | | | | | | |
| Alfa SAB de CV, Class A (1) | | | 175,400 | | | | 600,360 | |
| America Movil SAB de CV, Series L ADR (1) | | | 2,076 | | | | 52,315 | |
| Arca Continental SAB de CV (1) | | | 67,500 | | | | 462,833 | |
| Coca-Cola Femsa SAB de CV ADR (1) | | | 4,752 | | | | 478,622 | |
| Compartamos SAB de CV (1) | | | 25,800 | | | | 55,190 | |
| Genomma Lab Internacional SAB de CV, Class B (1)† | | | 70,700 | | | | 169,874 | |
| Grupo Bimbo SAB de CV, Series A (1) | | | 150,900 | | | | 437,515 | |
| Grupo Financiero Banorte SAB de CV, Class O (1) | | | 17,300 | | | | 110,494 | |
| Grupo Financiero Inbursa SAB de CV, Class O (1) | | | 65,700 | | | | 188,385 | |
| Grupo Lala SAB de CV (1) | | | 130,500 | | | | 318,222 | |
| Grupo Televisa SAB ADR (1) | | | 9 | | | | 305 | |
| Kimberly-Clark de Mexico SAB de CV, Class A (1) | | | 17,600 | | | | 41,541 | |
| Mexichem SAB de CV (1) | | | 109,100 | | | | 454,743 | |
| Wal-Mart de Mexico SAB de CV, Series V (1) | | | 393,200 | | | | 988,672 | |
| | | | | | | | |
| | | | | | | 4,359,071 | |
| | | | | | | | |
| Poland - 4.3% | | | | | | | | |
| Bank Pekao SA | | | 3,500 | | | | 204,636 | |
| Bank Zachodni WBK SA | | | 4,173 | | | | 496,620 | |
| Energa SA | | | 33,147 | | | | 240,292 | |
| Orange Polska SA | | | 72,655 | | | | 255,103 | |
| PGE SA | | | 139,208 | | | | 879,477 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 120,359 | | | | 183,749 | |
| Powszechna Kasa Oszczednosci Bank Polski SA | | | 20,131 | | | | 240,456 | |
| Powszechny Zaklad Ubezpieczen SA | | | 3,952 | | | | 573,156 | |
| | | | | | | | |
| | | | | | | 3,073,489 | |
| | | | | | | | |
| South Africa - 13.3% | | | | | | | | |
| Anglo American Platinum Ltd. † | | | 8,298 | | | | 268,556 | |
| AngloGold Ashanti Ltd. ADR (1)† | | | 44 | | | | 528 | |
| Aspen Pharmacare Holdings Ltd. | | | 4,372 | | | | 130,174 | |
| Barclays Africa Group Ltd. | | | 2,086 | | | | 28,440 | |
| Bidvest Group Ltd./The | | | 21,869 | | | | 553,366 | |
| Discovery Ltd. | | | 5,654 | | | | 49,150 | |
| FirstRand Ltd. | | | 110,291 | | | | 419,697 | |
| Gold Fields Ltd. ADR (1) | | | 16,532 | | | | 64,475 | |
| Kumba Iron Ore Ltd. | | | 1,210 | | | | 28,496 | |
| Life Healthcare Group Holdings Ltd. | | | 184,202 | | | | 726,158 | |
| Mediclinic International Ltd. | | | 16,125 | | | | 131,335 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| South Africa - 13.3% (continued) | | | | | | | | |
| Mr Price Group Ltd. | | | 46,302 | | | $ | 869,549 | |
| MTN Group Ltd. | | | 35,728 | | | | 753,261 | |
| Naspers Ltd., N Shares | | | 1,036 | | | | 113,466 | |
| Nedbank Group Ltd. | | | 29,507 | | | | 571,010 | |
| Netcare Ltd. | | | 217,391 | | | | 607,667 | |
| RMB Holdings Ltd. | | | 35,474 | | | | 177,720 | |
| Sanlam Ltd. | | | 34,051 | | | | 196,520 | |
| Sasol Ltd. ADR (1) | | | 14,199 | | | | 773,703 | |
| Shoprite Holdings Ltd. | | | 62,967 | | | | 779,628 | |
| Standard Bank Group Ltd. | | | 58,556 | | | | 676,653 | |
| Tiger Brands Ltd. | | | 11,896 | | | | 332,215 | |
| Truworths International Ltd. | | | 68,683 | | | | 413,083 | |
| Vodacom Group Ltd. | | | 35,768 | | | | 411,653 | |
| Woolworths Holdings Ltd. | | | 64,766 | | | | 400,651 | |
| | | | | | | | |
| | | | | | | 9,477,154 | |
| | | | | | | | |
| Taiwan - 12.2% | | | | | | | | |
| Advanced Semiconductor Engineering, Inc. | | | 112,000 | | | | 130,822 | |
| Asia Pacific Telecom Co., Ltd. | | | 83,000 | | | | 48,245 | |
| Asustek Computer, Inc. | | | 68,000 | | | | 648,882 | |
| Cheng Shin Rubber Industry Co., Ltd. | | | 16,000 | | | | 35,288 | |
| Cheng Uei Precision Industry Co., Ltd. | | | 59 | | | | 106 | |
| China Development Financial Holding Corp. | | | 464,000 | | | | 142,325 | |
| China Petrochemical Development Corp. † | | | 400 | | | | 125 | |
| China Steel Corp. | | | 132,359 | | | | 113,097 | |
| Chunghwa Telecom Co., Ltd. ADR (1) | | | 6,663 | | | | 199,690 | |
| CTBC Financial Holding Co., Ltd. | | | 111,995 | | | | 75,221 | |
| Far Eastern Department Stores Ltd. | | | 734 | | | | 707 | |
| Far EasTone Telecommunications Co., Ltd. | | | 302,000 | | | | 578,996 | |
| Foxconn Technology Co., Ltd. | | | 266,717 | | | | 659,031 | |
| Hon Hai Precision Industry Co., Ltd. | | | 187,600 | | | | 590,891 | |
| Inventec Corp. | | | 102,000 | | | | 66,339 | |
| Kinsus Interconnect Technology Corp. | | | 143,000 | | | | 530,763 | |
| Lite-On Technology Corp. | | | 344,716 | | | | 495,814 | |
| MediaTek, Inc. | | | 23,000 | | | | 340,623 | |
| Mega Financial Holding Co., Ltd. | | | 148,000 | | | | 121,294 | |
| Merida Industry Co., Ltd. | | | 18,900 | | | | 131,597 | |
| Pou Chen Corp. | | | 33,000 | | | | 36,661 | |
| President Chain Store Corp. | | | 91,000 | | | | 652,466 | |
| Quanta Computer, Inc. | | | 69,000 | | | | 175,146 | |
| Radiant Opto-Electronics Corp. | | | 89,060 | | | | 352,290 | |
| Realtek Semiconductor Corp. | | | 24,442 | | | | 86,797 | |
| ScinoPharm Taiwan Ltd. † | | | 26,000 | | | | 53,323 | |
| Taishin Financial Holding Co., Ltd. | | | 226,462 | | | | 105,992 | |
| Taiwan Cement Corp. | | | 16,000 | | | | 23,813 | |
| Taiwan Mobile Co., Ltd. | | | 319,000 | | | | 967,313 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 39,156 | | | | 790,168 | |
| TPK Holding Co., Ltd. | | | 7,000 | | | | 41,850 | |
| Uni-President Enterprises Corp. | | | 279,397 | | | | 484,593 | |
| Wistron Corp. | | | 32,928 | | | | 33,531 | |
| | | | | | | | |
| | | | | | | 8,713,799 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 62 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Thailand - 3.1% | | | | | | | | |
| Advanced Info Service PCL NVDR | | | 68,800 | | | $ | 477,047 | |
| Bangkok Dusit Medical Services PCL NVDR | | | 891,500 | | | | 507,722 | |
| CP ALL PCL NVDR | | | 103,800 | | | | 143,071 | |
| PTT Exploration & Production PCL NVDR | | | 12,000 | | | | 59,115 | |
| PTT Global Chemical PCL NVDR | | | 27,200 | | | | 51,088 | |
| PTT PCL NVDR | | | 49,800 | | | | 552,231 | |
| Siam Cement PCL/The NVDR | | | 29,300 | | | | 405,882 | |
| | | | | | | | |
| | | | | | | 2,196,156 | |
| | | | | | | | |
| Turkey - 1.9% | | | | | | | | |
| BIM Birlesik Magazalar AS | | | 24,824 | | | | 519,696 | |
| Enka Insaat ve Sanayi AS | | | 15,233 | | | | 34,795 | |
| KOC Holding AS | | | 19,156 | | | | 88,537 | |
| Turk Hava Yollari | | | 39,542 | | | | 112,424 | |
| Turk Telekomunikasyon AS | | | 170,692 | | | | 451,181 | |
| Turkcell Iletisim Hizmetleri AS † | | | 23,106 | | | | 120,788 | |
| | | | | | | | |
| | | | | | | 1,327,421 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $64,753,872) | | | | | | | 65,150,244 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.1% | | | | | | | | |
| Brazil - 0.1% | | | | | | | | |
| Cia Energetica de Sao Paulo, Series B (1) | | | | | | | | |
(cost $69,332) | | | 5,300 | | | | 57,401 | |
| | | | | | | | |
| | |
| EXCHANGE-TRADED FUNDS - 6.0% | | | | | | | | |
| iShares MSCI Emerging Markets ETF (1) | | | | | | | | |
(cost $4,262,237) | | | 102,029 | | | | 4,240,325 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 1.7% | | | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a) | | | | | | | | |
(cost $1,240,848) | | | 1,240,848 | | | | 1,240,848 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.3% | | | | | | | | |
(cost $70,326,289) | | | | 70,688,818 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | | | | | | | 491,781 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 71,180,599 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
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 | | $ | 7,065,158 | | | | 9.9 | % |
| Consumer Staples | | | 11,253,585 | | | | 15.8 | |
| Energy | | | 2,326,797 | | | | 3.3 | |
| Exchange-Traded Funds | | | 4,240,325 | | | | 6.0 | |
| Financials | | | 8,918,052 | | | | 12.5 | |
| Health Care | | | 4,918,349 | | | | 6.9 | |
| Industrials | | | 5,984,435 | | | | 8.4 | |
| Information Technology | | | 5,646,062 | | | | 7.9 | |
| Materials | | | 2,378,497 | | | | 3.4 | |
| Telecommunication Services | | | 10,601,959 | | | | 14.9 | |
| Utilities | | | 6,114,751 | | | | 8.6 | |
| Money Market Funds | | | 1,240,848 | | | | 1.7 | |
| | | | | | | | |
Total Investments | | | 70,688,818 | | | | 99.3 | |
| Other Assets in Excess of Liabilities | | | 491,781 | | | | 0.7 | |
| | | | | | | | |
Net Assets | | $ | 71,180,599 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 63 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 95.6% | | SHARES | | | VALUE
(Note 2) | |
| Australia - 16.8% | | | | | | | | |
| AGL Energy Ltd. | | | 23,364 | | | $ | 276,769 | |
| Amcor Ltd. | | | 12,922 | | | | 127,994 | |
| APA Group | | | 20,729 | | | | 134,857 | |
| ASX Ltd. | | | 2,400 | | | | 75,270 | |
| Aurizon Holdings Ltd. | | | 18,076 | | | | 71,602 | |
| Australia & New Zealand Banking Group Ltd. | | | 1,156 | | | | 31,249 | |
| BHP Billiton Ltd. | | | 2,012 | | | | 59,301 | |
| Boral Ltd. | | | 14,636 | | | | 63,665 | |
| Brambles Ltd. | | | 19,801 | | | | 164,719 | |
| Caltex Australia Ltd. | | | 6,552 | | | | 160,381 | |
| Coca-Cola Amatil Ltd. | | | 9,368 | | | | 71,917 | |
| Cochlear Ltd. | | | 2,349 | | | | 142,851 | |
| Commonwealth Bank of Australia | | | 1,776 | | | | 116,937 | |
| Crown Resorts Ltd. | | | 2,043 | | | | 24,669 | |
| CSL Ltd. | | | 2,708 | | | | 175,548 | |
| Flight Centre Travel Group Ltd. | | | 4,252 | | | | 159,042 | |
| Incitec Pivot Ltd. | | | 27,818 | | | | 65,896 | |
| Insurance Australia Group Ltd. | | | 26,962 | | | | 144,499 | |
| Metcash Ltd. | | | 80,880 | | | | 186,265 | |
| National Australia Bank Ltd. | | | 2,335 | | | | 66,416 | |
| Orica Ltd. | | | 2,718 | | | | 44,857 | |
| Ramsay Health Care Ltd. | | | 3,419 | | | | 149,821 | |
| Sonic Healthcare Ltd. | | | 14,967 | | | | 229,665 | |
| Suncorp Group Ltd. | | | 5,448 | | | | 66,963 | |
| Sydney Airport | | | 18,501 | | | | 69,074 | |
| Tatts Group Ltd. | | | 52,276 | | | | 143,925 | |
| Telstra Corp. Ltd. | | | 81,706 | | | | 379,098 | |
| Toll Holdings Ltd. | | | 6,039 | | | | 29,788 | |
| Transurban Group | | | 20,147 | | | | 136,024 | |
| Wesfarmers Ltd. | | | 10,445 | | | | 384,917 | |
| Westpac Banking Corp. | | | 2,508 | | | | 70,408 | |
| Woodside Petroleum Ltd. | | | 5,279 | | | | 187,445 | |
| Woolworths Ltd. | | | 13,049 | | | | 390,740 | |
| WorleyParsons Ltd. | | | 6,142 | | | | 82,281 | |
| | | | | | | | |
| | | | | | | 4,684,853 | |
| | | | | | | | |
| Belgium - 1.3% | | | | | | | | |
| Belgacom SA | | | 7,088 | | | | 246,777 | |
| Delhaize Group SA | | | 1,607 | | | | 111,682 | |
| | | | | | | | |
| | | | | | | 358,459 | |
| | | | | | | | |
| Canada - 18.2% | | | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | 1,129 | | | | 32,652 | |
| Agrium, Inc. (1) | | | 1,300 | | | | 115,566 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 10,491 | | | | 335,446 | |
| Bank of Montreal (1) | | | 2,703 | | | | 198,945 | |
| Bank of Nova Scotia/The (1) | | | 3,380 | | | | 209,056 | |
| Barrick Gold Corp. (1) | | | 5,033 | | | | 74,015 | |
| BCE, Inc. (1) | | | 7,146 | | | | 305,569 | |
| BlackBerry Ltd. (1)† | | | 7,200 | | | | 71,746 | |
| Canadian Imperial Bank of Commerce (1) | | | 2,983 | | | | 267,923 | |
| Canadian National Railway Co. (1) | | | 2,422 | | | | 171,948 | |
| Canadian Oil Sands Ltd. (1) | | | 4,900 | | | | 90,391 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 588 | | | | 60,246 | |
| Dollarama, Inc. (1) | | | 2,400 | | | | 203,580 | |
| Eldorado Gold Corp. (1) | | | 21,159 | | | | 142,641 | |
| Enbridge, Inc. (1) | | | 1,442 | | | | 69,026 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Canada - 18.2% (continued) | | | | | | | | |
| Fortis, Inc. (1) | | | 500 | | | $ | 15,456 | |
| Franco-Nevada Corp. (1) | | | 2,055 | | | | 100,865 | |
| Goldcorp, Inc. (1) | | | 2,469 | | | | 56,922 | |
| Husky Energy, Inc. (1) | | | 4,300 | | | | 118,025 | |
| Imperial Oil Ltd. (1) | | | 5,871 | | | | 277,365 | |
| Intact Financial Corp. (1) | | | 3,704 | | | | 239,812 | |
| Loblaw Cos., Ltd. (1) | | | 2,096 | | | | 104,898 | |
| Metro, Inc. (1) | | | 3,274 | | | | 218,958 | |
| National Bank of Canada (1) | | | 5,046 | | | | 229,919 | |
| Pembina Pipeline Corp. (1) | | | 660 | | | | 27,804 | |
| Potash Corp of Saskatchewan, Inc. (1) | | | 2,340 | | | | 81,026 | |
| Power Financial Corp. (1) | | | 800 | | | | 24,472 | |
| Rogers Communications, Inc., Class B (1) | | | 3,237 | | | | 121,162 | |
| Royal Bank of Canada (1) | | | 2,802 | | | | 200,277 | |
| Saputo, Inc. (1) | | | 1,600 | | | | 44,759 | |
| Shaw Communications, Inc., Class B (1) | | | 2,904 | | | | 71,177 | |
| Silver Wheaton Corp. (1) | | | 7,552 | | | | 150,642 | |
| Thomson Reuters Corp. (1) | | | 2,838 | | | | 103,389 | |
| Toronto-Dominion Bank/The (1) | | | 4,998 | | | | 246,653 | |
| TransCanada Corp. (1) | | | 2,397 | | | | 123,451 | |
| Vermilion Energy, Inc. (1) | | | 1,000 | | | | 60,878 | |
| Yamana Gold, Inc. (1) | | | 16,971 | | | | 101,831 | |
| | | | | | | | |
| | | | | | | 5,068,491 | |
| | | | | | | | |
| Colombia - 0.2% | | | | | | | | |
| Pacific Rubiales Energy Corp. (1) | | | 3,556 | | | | 59,629 | |
| | | | | | | | |
| | |
| Denmark - 2.1% | | | | | | | | |
| Coloplast A/S, Class B | | | 3,086 | | | | 258,077 | |
| DSV A/S | | | 2,449 | | | | 68,862 | |
| Novo Nordisk A/S, Class B | | | 4,010 | | | | 190,923 | |
| Novozymes A/S, B Shares | | | 1,319 | | | | 57,081 | |
| | | | | | | | |
| | | | | | | 574,943 | |
| | | | | | | | |
| Finland - 0.4% | | | | | | | | |
| Fortum OYJ | | | 2,601 | | | | 63,417 | |
| Kone OYJ, Class B | | | 1,290 | | | | 51,646 | |
| | | | | | | | |
| | | | | | | 115,063 | |
| | | | | | | | |
| France - 4.2% | | | | | | | | |
| Air Liquide SA | | | 37 | | | | 4,511 | |
| AtoS | | | 474 | | | | 34,325 | |
| Cie Generale des Etablissements Michelin | | | 282 | | | | 26,562 | |
| Danone SA | | | 3,618 | | | | 242,283 | |
| Dassault Systemes | | | 1,638 | | | | 105,223 | |
| Essilor International SA | | | 289 | | | | 31,694 | |
| Iliad SA | | | 394 | | | | 83,114 | |
| L’Oreal SA | | | 1,088 | | | | 172,551 | |
| Pernod Ricard SA | | | 898 | | | | 101,636 | |
| Sanofi | | | 751 | | | | 84,916 | |
| SCOR SE | | | 728 | | | | 22,738 | |
| SES SA FDR | | | 361 | | | | 12,490 | |
| Sodexo | | | 341 | | | | 33,357 | |
| Total SA | | | 3,147 | | | | 203,781 | |
| | | | | | | | |
| | | | | | | 1,159,181 | |
| | | | | | | | |
| Germany - 3.0% | | | | | | | | |
| adidas AG | | | 610 | | | | 45,516 | |
| Bayer AG | | | 971 | | | | 135,103 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 64 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Germany - 3.0% (continued) | | | | | | | | |
| Beiersdorf AG | | | 3,124 | | | $ | 259,922 | |
| Deutsche Post AG | | | 1,190 | | | | 37,931 | |
| E.ON SE | | | 782 | | | | 14,281 | |
| Fresenius Medical Care AG & Co. KGaA | | | 1,526 | | | | 106,294 | |
| Hannover Rueck SE | | | 529 | | | | 42,696 | |
| Hugo Boss AG | | | 365 | | | | 45,502 | |
| Merck KGaA | | | 458 | | | | 42,097 | |
| Muenchener Rueckversicherungs AG | | | 102 | | | | 20,121 | |
| SAP SE | | | 1,098 | | | | 79,242 | |
| | | | | | | | |
| | | | | | | 828,705 | |
| | | | | | | | |
| Hong Kong - 3.9% | | | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 21,500 | | | | 68,443 | |
| CLP Holdings Ltd. | | | 27,000 | | | | 216,882 | |
| Galaxy Entertainment Group Ltd. | | | 1,000 | | | | 5,806 | |
| Hang Seng Bank Ltd. | | | 11,800 | | | | 189,353 | |
| Hong Kong & China Gas Co., Ltd. | | | 107,690 | | | | 233,398 | |
| MGM China Holdings Ltd. | | | 11,200 | | | | 32,274 | |
| Power Assets Holdings Ltd. | | | 29,000 | | | | 256,323 | |
| SJM Holdings Ltd. | | | 47,000 | | | | 89,483 | |
| | | | | | | | |
| | | | | | | 1,091,962 | |
| | | | | | | | |
| Italy - 0.6% | | | | | | | | |
| Eni SpA | | | 575 | | | | 13,643 | |
| Luxottica Group SpA | | | 2,742 | | | | 142,523 | |
| | | | | | | | |
| | | | | | | 156,166 | |
| | | | | | | | |
| Japan - 16.3% | | | | | | | | |
| Asahi Group Holdings Ltd. | | | 1,400 | | | | 40,497 | |
| Astellas Pharma, Inc. | | | 13,000 | | | | 193,616 | |
| Bandai Namco Holdings, Inc. | | | 700 | | | | 18,008 | |
| Benesse Holdings, Inc. | | | 1,100 | | | | 36,089 | |
| Bridgestone Corp. | | | 400 | | | | 13,230 | |
| Brother Industries Ltd. | | | 700 | | | | 12,936 | |
| Calbee, Inc. | | | 3,700 | | | | 120,931 | |
| Canon, Inc. | | | 3,800 | | | | 123,637 | |
| Central Japan Railway Co. | | | 300 | | | | 40,467 | |
| Chugai Pharmaceutical Co., Ltd. | | | 4,800 | | | | 138,940 | |
| Dai Nippon Printing Co., Ltd. | | | 1,000 | | | | 10,034 | |
| Daihatsu Motor Co., Ltd. | | | 1,700 | | | | 26,976 | |
| Dentsu, Inc. | | | 300 | | | | 11,427 | |
| East Japan Railway Co. | | | 300 | | | | 22,471 | |
| Eisai Co., Ltd. | | | 2,900 | | | | 117,300 | |
| FamilyMart Co., Ltd. | | | 3,300 | | | | 125,941 | |
| FUJIFILM Holdings Corp. | | | 300 | | | | 9,218 | |
| GungHo Online Entertainment, Inc. | | | 43,100 | | | | 205,191 | |
| Hoya Corp. | | | 2,500 | | | | 83,951 | |
| Inpex Corp. | | | 4,000 | | | | 56,552 | |
| ITOCHU Corp. | | | 1,300 | | | | 15,877 | |
| Japan Airlines Co., Ltd. | | | 4,200 | | | | 114,923 | |
| Japan Tobacco, Inc. | | | 500 | | | | 16,248 | |
| JX Holdings, Inc. | | | 21,800 | | | | 100,515 | |
| Kao Corp. | | | 4,300 | | | | 167,797 | |
| Konica Minolta, Inc. | | | 5,500 | | | | 59,458 | |
| Kuraray Co., Ltd. | | | 1,300 | | | | 15,271 | |
| Lawson, Inc. | | | 900 | | | | 62,967 | |
| Mitsubishi Motors Corp. | | | 4,600 | | | | 55,798 | |
| Mitsubishi Tanabe Pharma Corp. | | | 300 | | | | 4,402 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Japan - 16.3% (continued) | | | | | | | | |
| NH Foods Ltd. | | | 2,000 | | | $ | 42,465 | |
| Nikon Corp. | | | 1,600 | | | | 23,141 | |
| Nippon Express Co., Ltd. | | | 12,000 | | | | 50,260 | |
| Nitori Holdings Co., Ltd. | | | 1,600 | | | | 99,128 | |
| Nitto Denko Corp. | | | 500 | | | | 27,378 | |
| Nomura Research Institute Ltd. | | | 1,700 | | | | 54,978 | |
| NTT DOCOMO, Inc. | | | 8,100 | | | | 135,661 | |
| Omron Corp. | | | 1,400 | | | | 63,627 | |
| Ono Pharmaceutical Co., Ltd. | | | 1,200 | | | | 106,557 | |
| Oriental Land Co., Ltd. | | | 200 | | | | 37,795 | |
| Osaka Gas Co., Ltd. | | | 40,000 | | | | 160,619 | |
| Otsuka Corp. | | | 500 | | | | 19,908 | |
| Otsuka Holdings Co., Ltd. | | | 9,200 | | | | 317,108 | |
| Secom Co., Ltd. | | | 1,400 | | | | 83,404 | |
| Sega Sammy Holdings, Inc. | | | 900 | | | | 14,491 | |
| Seven & I Holdings Co., Ltd. | | | 2,800 | | | | 108,602 | |
| Shimamura Co., Ltd. | | | 1,600 | | | | 147,093 | |
| Shin-Etsu Chemical Co., Ltd. | | | 800 | | | | 52,415 | |
| Shiseido Co., Ltd. | | | 600 | | | | 9,897 | |
| Suzuki Motor Corp. | | | 900 | | | | 29,849 | |
| Sysmex Corp. | | | 400 | | | | 16,108 | |
| Takashimaya Co., Ltd. | | | 5,000 | | | | 41,823 | |
| Takeda Pharmaceutical Co., Ltd. | | | 1,000 | | | | 43,472 | |
| Terumo Corp. | | | 1,800 | | | | 43,184 | |
| Tokyo Gas Co., Ltd. | | | 30,000 | | | | 168,574 | |
| Toppan Printing Co., Ltd. | | | 3,000 | | | | 21,560 | |
| Toyo Suisan Kaisha Ltd. | | | 5,000 | | | | 166,027 | |
| Trend Micro, Inc. | | | 3,200 | | | | 108,427 | |
| Unicharm Corp. | | | 2,400 | | | | 54,699 | |
| West Japan Railway Co. | | | 1,300 | | | | 58,179 | |
| Yakult Honsha Co., Ltd. | | | 1,600 | | | | 84,035 | |
| Yamato Holdings Co., Ltd. | | | 7,200 | | | | 134,072 | |
| | | | | | | | |
| | | | | | | 4,545,204 | |
| | | | | | | | |
| Netherlands - 0.9% | | | | | | | | |
| Koninklijke Ahold NV | | | 15,157 | | | | 245,175 | |
| Randstad Holding NV | | | 201 | | | | 9,338 | |
| | | | | | | | |
| | | | | | | 254,513 | |
| | | | | | | | |
| Norway - 1.8% | | | | | | | | |
| Akastor ASA | | | 758 | | | | 3,052 | |
| Aker Solutions ASA 144A †(a) | | | 758 | | | | 7,551 | |
| Orkla ASA | | | 5,852 | | | | 52,896 | |
| Statoil ASA | | | 5,809 | | | | 158,154 | |
| Telenor ASA | | | 11,356 | | | | 249,236 | |
| Yara International ASA | | | 330 | | | | 16,574 | |
| | | | | | | | |
| | | | | | | 487,463 | |
| | | | | | | | |
| Singapore - 2.9% | | | | | | | | |
| DBS Group Holdings Ltd. | | | 6,000 | | | | 86,535 | |
| Golden Agri-Resources Ltd. | | | 139,000 | | | | 56,159 | |
| Keppel Corp. Ltd. | | | 2,000 | | | | 16,451 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 7,000 | | | | 53,398 | |
| Singapore Telecommunications Ltd. | | | 134,000 | | | | 398,878 | |
| United Overseas Bank Ltd. | | | 1,000 | | | | 17,531 | |
| Wilmar International Ltd. | | | 76,000 | | | | 183,829 | |
| | | | | | | | |
| | | | | | | 812,781 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 65 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Spain - 0.9% | | | | | | | | |
| Enagas SA | | | 1,116 | | | $ | 35,890 | |
| Iberdrola SA | | | 7,027 | | | | 50,228 | |
| Inditex SA | | | 4,730 | | | | 130,566 | |
| Telefonica SA | | | 3,067 | | | | 47,367 | |
| | | | | | | | |
| | | | | | | 264,051 | |
| | | | | | | | |
| Sweden - 3.4% | | | | | | | | |
| Boliden AB | | | 995 | | | | 16,066 | |
| Elekta AB, B Shares | | | 3,700 | | | | 36,368 | |
| Hennes & Mauritz AB, B Shares | | | 8,294 | | | | 342,957 | |
| Svenska Cellulosa AB SCA, Class B | | | 2,577 | | | | 61,232 | |
| Swedish Match AB | | | 6,532 | | | | 211,321 | |
| Tele2 AB, B Shares | | | 8,499 | | | | 102,298 | |
| TeliaSonera AB | | | 27,435 | | | | 189,196 | |
| | | | | | | | |
| | | | | | | 959,438 | |
| | | | | | | | |
| Switzerland - 6.1% | | | | | | | | |
| Kuehne + Nagel International AG | | | 2,039 | | | | 256,921 | |
| Nestle SA | | | 4,273 | | | | 314,027 | |
| Novartis AG | | | 3,246 | | | | 305,671 | |
| Roche Holding AG | | | 701 | | | | 207,007 | |
| SGS SA | | | 71 | | | | 146,896 | |
| Swiss Re AG † | | | 2,641 | | | | 210,177 | |
| Swisscom AG | | | 229 | | | | 129,805 | |
| Syngenta AG | | | 36 | | | | 11,399 | |
| Zurich Insurance Group AG † | | | 385 | | | | 114,577 | |
| | | | | | | | |
| | | | | | | 1,696,480 | |
| | | | | | | | |
| United Kingdom - 12.6% | | | | | | | | |
| Associated British Foods PLC | | | 6,170 | | | | 267,463 | |
| AstraZeneca PLC | | | 3,019 | | | | 216,350 | |
| BP PLC | | | 15,556 | | | | 113,797 | |
| British American Tobacco PLC | | | 2,943 | | | | 165,840 | |
| British Sky Broadcasting Group PLC | | | 10,328 | | | | 147,310 | |
| Burberry Group PLC | | | 821 | | | | 20,026 | |
| Centrica PLC | | | 41,953 | | | | 209,092 | |
| Compass Group PLC | | | 11,100 | | | | 179,034 | |
| Diageo PLC | | | 926 | | | | 26,708 | |
| Experian PLC | | | 561 | | | | 8,915 | |
| GlaxoSmithKline PLC | | | 3,803 | | | | 86,876 | |
| Imperial Tobacco Group PLC | | | 2,019 | | | | 86,930 | |
| J Sainsbury PLC | | | 42,531 | | | | 172,949 | |
| Marks & Spencer Group PLC | | | 4,636 | | | | 30,312 | |
| National Grid PLC | | | 20,399 | | | | 293,234 | |
| Next PLC | | | 481 | | | | 51,484 | |
| Pearson PLC | | | 795 | | | | 15,966 | |
| Reckitt Benckiser Group PLC | | | 3,113 | | | | 269,143 | |
| Rexam PLC | | | 3,511 | | | | 27,910 | |
| Royal Dutch Shell PLC, A Shares | | | 3,483 | | | | 133,122 | |
| Royal Mail PLC | | | 2,335 | | | | 14,793 | |
| SABMiller PLC | | | 623 | | | | 34,525 | |
| Sage Group PLC/The | | | 3,363 | | | | 19,864 | |
| Smith & Nephew PLC | | | 14,510 | | | | 244,082 | |
| SSE PLC | | | 9,272 | | | | 232,174 | |
| Tate & Lyle PLC | | | 5,428 | | | | 51,739 | |
| Tesco PLC | | | 2,518 | | | | 7,522 | |
| Unilever NV CVA | | | 4,882 | | | | 193,743 | |
| United Utilities Group PLC | | | 2,762 | | | | 36,079 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| United Kingdom - 12.6% (continued) | | | | | | | | |
| Whitbread PLC | | | 1,298 | | | $ | 87,220 | |
| WM Morrison Supermarkets PLC | | | 24,756 | | | | 67,361 | |
| | | | | | | | |
| | | | | | | 3,511,563 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $25,420,029) | | | | | | | 26,628,945 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.5% | | | | | | | | |
| Germany - 0.5% | | | | | | | | |
| Henkel AG & Co. KGaA | | | | | | | | |
(cost $133,153) | | | 1,444 | | | | 143,753 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS - 2.8% | | | | | |
| iShares MSCI EAFE ETF (1) | | | | | | | | |
(cost $804,199) | | | 12,240 | | | | 784,829 | |
| | | | | | | | |
|
| MONEY MARKET FUNDS - 0.6% | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | | | | | | | | |
(cost $168,892) | | | 168,892 | | | | 168,892 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.5%
(cost $26,526,273) | | | | | | | 27,726,419 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | | | | | | | 146,367 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 27,872,786 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | 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. |
| (b) | Represents annualized seven-day yield as of September 30, 2014. |
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:
144A - Restricted Security
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 66 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 2,759,264 | | | | 9.9 | % |
| Consumer Staples | | | 6,238,395 | | | | 22.4 | |
| Energy | | | 2,046,843 | | | | 7.3 | |
| Exchange-Traded Funds | | | 784,829 | | | | 2.8 | |
| Financials | | | 3,014,368 | | | | 10.8 | |
| Health Care | | | 3,624,032 | | | | 13.0 | |
| Industrials | | | 1,806,155 | | | | 6.5 | |
| Information Technology | | | 1,051,731 | | | | 3.8 | |
| Materials | | | 1,446,477 | | | | 5.2 | |
| Telecommunication Services | | | 2,388,161 | | | | 8.6 | |
| Utilities | | | 2,397,272 | | | | 8.6 | |
| Money Market Funds | | | 168,892 | | | | 0.6 | |
| | | | | | | | |
Total Investments | | | 27,726,419 | | | | 99.5 | |
| Other Assets in Excess of Liabilities | | | 146,367 | | | | 0.5 | |
| | | | | | | | |
Net Assets | | $ | 27,872,786 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 67 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR U.S. DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 96.0% | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.2% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 2,962 | | | $ | 385,949 | |
| Amazon.com, Inc. † | | | 6,312 | | | | 2,035,241 | |
| AutoZone, Inc. † | | | 3,160 | | | | 1,610,526 | |
| Bed Bath & Beyond, Inc. † | | | 11,808 | | | | 777,321 | |
| Big Lots, Inc. | | | 10,249 | | | | 441,219 | |
| Chipotle Mexican Grill, Inc. † | | | 2,959 | | | | 1,972,440 | |
| Dollar Tree, Inc. † | | | 19,670 | | | | 1,102,897 | |
| Domino’s Pizza, Inc. | | | 10,400 | | | | 800,384 | |
| Expedia, Inc. | | | 13,900 | | | | 1,217,918 | |
| Home Depot, Inc./The | | | 28,783 | | | | 2,640,552 | |
| Live Nation Entertainment, Inc. † | | | 6,000 | | | | 144,120 | |
| Lowe’s Cos., Inc. | | | 8,700 | | | | 460,404 | |
| Madison Square Garden Co./The, Class A † | | | 1,300 | | | | 85,956 | |
| McDonald’s Corp. | | | 39,051 | | | | 3,702,425 | |
| Murphy USA, Inc. † | | | 3,300 | | | | 175,098 | |
| NIKE, Inc., Class B | | | 11,358 | | | | 1,013,134 | |
| O’Reilly Automotive, Inc. † | | | 6,249 | | | | 939,600 | |
| Panera Bread Co., Class A † | | | 3,450 | | | | 561,384 | |
| PetSmart, Inc. | | | 2,169 | | | | 152,025 | |
| Polaris Industries, Inc. | | | 500 | | | | 74,895 | |
| Priceline Group, Inc./The † | | | 1,268 | | | | 1,469,079 | |
| Ralph Lauren Corp. | | | 876 | | | | 144,303 | |
| Scripps Networks Interactive, Inc., Class A | | | 11,566 | | | | 903,189 | |
| Starbucks Corp. | | | 23,710 | | | | 1,789,157 | |
| Target Corp. | | | 9,298 | | | | 582,799 | |
| Time Warner, Inc. | | | 5,967 | | | | 448,778 | |
| TJX Cos., Inc./The | | | 12,740 | | | | 753,826 | |
| Tractor Supply Co. | | | 1,996 | | | | 122,774 | |
| TripAdvisor, Inc. † | | | 15,700 | | | | 1,435,294 | |
| Tupperware Brands Corp. | | | 3,334 | | | | 230,179 | |
| Viacom, Inc., Class B | | | 7,713 | | | | 593,438 | |
| Walt Disney Co./The | | | 9,600 | | | | 854,688 | |
| Yum! Brands, Inc. | | | 19,363 | | | | 1,393,749 | |
| | | | | | | | |
| | | | | | | 31,014,741 | |
| | | | | | | | |
| Consumer Staples - 19.7% | | | | | | | | |
| Altria Group, Inc. | | | 74,427 | | | | 3,419,176 | |
| Archer-Daniels-Midland Co. | | | 17,155 | | | | 876,621 | |
| Brown-Forman Corp., Class B | | | 8,555 | | | | 771,832 | |
| Church & Dwight Co., Inc. | | | 30,671 | | | | 2,151,877 | |
| Clorox Co./The | | | 8,279 | | | | 795,115 | |
| Coca-Cola Co./The | | | 44,155 | | | | 1,883,652 | |
| Colgate-Palmolive Co. | | | 56,870 | | | | 3,709,062 | |
| Costco Wholesale Corp. | | | 26,123 | | | | 3,273,734 | |
| CVS Health Corp. | | | 8,719 | | | | 693,945 | |
| Dr Pepper Snapple Group, Inc. | | | 5,100 | | | | 327,981 | |
| Estee Lauder Cos., Inc./The, Class A | | | 16,356 | | | | 1,222,120 | |
| General Mills, Inc. | | | 26,254 | | | | 1,324,514 | |
| Hershey Co./The | | | 24,551 | | | | 2,342,902 | |
| Hormel Foods Corp. | | | 27,849 | | | | 1,431,160 | |
| JM Smucker Co./The | | | 985 | | | | 97,505 | |
| Kellogg Co. | | | 6,276 | | | | 386,602 | |
| Kimberly-Clark Corp. | | | 34,550 | | | | 3,716,544 | |
| Kroger Co./The | | | 14,701 | | | | 764,452 | |
| McCormick & Co., Inc. | | | 16,680 | | | | 1,115,892 | |
| Monster Beverage Corp. † | | | 10,003 | | | | 916,975 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Staples - 19.7% (continued) | | | | | |
| PepsiCo, Inc. | | | 38,002 | | | $ | 3,537,606 | |
| Philip Morris International, Inc. | | | 28,908 | | | | 2,410,927 | |
| Procter & Gamble Co./The | | | 43,621 | | | | 3,652,823 | |
| Reynolds American, Inc. | | | 54,934 | | | | 3,241,106 | |
| Sysco Corp. | | | 42,544 | | | | 1,614,545 | |
| Walgreen Co. | | | 8,655 | | | | 512,982 | |
| Wal-Mart Stores, Inc. | | | 48,211 | | | | 3,686,695 | |
| Whole Foods Market, Inc. | | | 2,365 | | | | 90,130 | |
| | | | | | | | |
| | | | | | | 49,968,475 | |
| | | | | | | | |
| Energy - 2.8% | | | | | | | | |
| Chevron Corp. | | | 18,530 | | | | 2,210,999 | |
| ConocoPhillips | | | 2,600 | | | | 198,952 | |
| EOG Resources, Inc. | | | 3,200 | | | | 316,864 | |
| Exxon Mobil Corp. | | | 34,232 | | | | 3,219,520 | |
| National Oilwell Varco, Inc. | | | 3,200 | | | | 243,520 | |
| Occidental Petroleum Corp. | | | 3,094 | | | | 297,488 | |
| Phillips 66 | | | 4,500 | | | | 365,895 | |
| Schlumberger Ltd. | | | 3,100 | | | | 315,239 | |
| | | | | | | | |
| | | | | | | 7,168,477 | |
| | | | | | | | |
| Financials - 11.4% | | | | | | | | |
| ACE Ltd. (Switzerland) | | | 11,364 | | | | 1,191,743 | |
| Alleghany Corp. † | | | 800 | | | | 334,520 | |
| Aon PLC (United Kingdom) | | | 9,700 | | | | 850,399 | |
| Arch Capital Group Ltd. † | | | 18,900 | | | | 1,034,208 | |
| Bank of Hawaii Corp. | | | 20,363 | | | | 1,156,822 | |
| BB&T Corp. | | | 3,286 | | | | 122,272 | |
| Chubb Corp./The | | | 23,845 | | | | 2,171,803 | |
| City National Corp. | | | 5,231 | | | | 395,830 | |
| Commerce Bancshares, Inc. | | | 4,300 | | | | 191,973 | |
| Cullen/Frost Bankers, Inc. | | | 24,576 | | | | 1,880,310 | |
| Everest Re Group Ltd. | | | 12,270 | | | | 1,987,863 | |
| M&T Bank Corp. | | | 16,751 | | | | 2,065,231 | |
| Markel Corp. † | | | 3,000 | | | | 1,908,450 | |
| Marsh & McLennan Cos., Inc. | | | 13,807 | | | | 722,658 | |
| New York Community Bancorp, Inc. | | | 76,278 | | | | 1,210,532 | |
| Northern Trust Corp. | | | 19,974 | | | | 1,358,831 | |
| People’s United Financial, Inc. | | | 74,716 | | | | 1,081,141 | |
| PNC Financial Services Group, Inc./The | | | 800 | | | | 68,464 | |
| Progressive Corp./The | | | 23,226 | | | | 587,153 | |
| RenaissanceRe Holdings Ltd. | | | 7,800 | | | | 779,922 | |
| Signature Bank † | | | 6,700 | | | | 750,802 | |
| SVB Financial Group † | | | 533 | | | | 59,744 | |
| Travelers Cos., Inc./The | | | 17,943 | | | | 1,685,565 | |
| US Bancorp | | | 42,716 | | | | 1,786,810 | |
| Wells Fargo & Co. | | | 66,900 | | | | 3,470,103 | |
| WR Berkley Corp. | | | 2,060 | | | | 98,468 | |
| | | | | | | | |
| | | | | | | 28,951,617 | |
| | | | | | | | |
| Health Care - 15.6% | | | | | | | | |
| Abbott Laboratories | | | 35,102 | | | | 1,459,892 | |
| AbbVie, Inc. | | | 16,100 | | | | 929,936 | |
| Aetna, Inc. | | | 13,432 | | | | 1,087,992 | |
| Alexion Pharmaceuticals, Inc. † | | | 6,800 | | | | 1,127,576 | |
| AmerisourceBergen Corp. | | | 23,923 | | | | 1,849,248 | |
| Amgen, Inc. | | | 293 | | | | 41,155 | |
| Baxter International, Inc. | | | 6,585 | | | | 472,605 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 68 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR U.S. DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 15.6% (continued) | | | | | |
| Becton Dickinson and Co. | | | 15,102 | | | $ | 1,718,759 | |
| Biogen Idec, Inc. † | | | 3,377 | | | | 1,117,145 | |
| Bristol-Myers Squibb Co. | | | 31,257 | | | | 1,599,733 | |
| Cardinal Health, Inc. | | | 19,524 | | | | 1,462,738 | |
| Celgene Corp. † | | | 6,586 | | | | 624,221 | |
| Centene Corp. † | | | 4,700 | | | | 388,737 | |
| Cerner Corp. † | | | 11,097 | | | | 661,048 | |
| CR Bard, Inc. | | | 7,504 | | | | 1,070,896 | |
| Edwards Lifesciences Corp. † | | | 5,469 | | | | 558,658 | |
| Eli Lilly & Co. | | | 43,428 | | | | 2,816,306 | |
| Health Net, Inc. † | | | 8,300 | | | | 382,713 | |
| Henry Schein, Inc. † | | | 7,538 | | | | 877,951 | |
| Humana, Inc. | | | 2,300 | | | | 299,667 | |
| IDEXX Laboratories, Inc. † | | | 9,283 | | | | 1,093,816 | |
| Intuitive Surgical, Inc. † | | | 200 | | | | 92,364 | |
| Johnson & Johnson | | | 34,993 | | | | 3,729,904 | |
| Laboratory Corp of America Holdings † | | | 10,617 | | | | 1,080,280 | |
| McKesson Corp. | | | 8,761 | | | | 1,705,504 | |
| Medtronic, Inc. | | | 16,131 | | | | 999,315 | |
| Merck & Co., Inc. | | | 32,085 | | | | 1,901,999 | |
| Mettler-Toledo International, Inc. † | | | 2,848 | | | | 729,458 | |
| Myriad Genetics, Inc. † | | | 2,500 | | | | 96,425 | |
| Omnicare, Inc. | | | 4,100 | | | | 255,266 | |
| Pfizer, Inc. | | | 81,370 | | | | 2,406,111 | |
| Quest Diagnostics, Inc. | | | 589 | | | | 35,741 | |
| ResMed, Inc. | | | 4,300 | | | | 211,861 | |
| Seattle Genetics, Inc. † | | | 2,700 | | | | 100,386 | |
| Stryker Corp. | | | 22,109 | | | | 1,785,302 | |
| UnitedHealth Group, Inc. | | | 21,678 | | | | 1,869,728 | |
| Waters Corp. † | | | 300 | | | | 29,736 | |
| WellPoint, Inc. | | | 1,800 | | | | 215,316 | |
| Zimmer Holdings, Inc. | | | 5,977 | | | | 600,987 | |
| | | | | | | | |
| | | | | | | 39,486,475 | |
| | | | | | | | |
| Industrials - 6.3% | | | | | | | | |
| 3M Co. | | | 14,446 | | | | 2,046,709 | |
| Alaska Air Group, Inc. | | | 4,400 | | | | 191,576 | |
| Boeing Co./The | | | 10,500 | | | | 1,337,490 | |
| Cintas Corp. | | | 4,682 | | | | 330,503 | |
| Copa Holdings SA, Class A (Panama) | | | 200 | | | | 21,458 | |
| Danaher Corp. | | | 4,349 | | | | 330,437 | |
| Dun & Bradstreet Corp./The | | | 2,941 | | | | 345,479 | |
| Equifax, Inc. | | | 3,815 | | | | 285,133 | |
| Fastenal Co. | | | 2,400 | | | | 107,760 | |
| FedEx Corp. | | | 3,300 | | | | 532,785 | |
| General Dynamics Corp. | | | 1,185 | | | | 150,602 | |
| Honeywell International, Inc. | | | 2,469 | | | | 229,913 | |
| Lockheed Martin Corp. | | | 5,000 | | | | 913,900 | |
| MSC Industrial Direct Co., Inc., Class A | | | 7,535 | | | | 643,941 | |
| Northrop Grumman Corp. | | | 1,954 | | | | 257,459 | |
| Raytheon Co. | | | 10,245 | | | | 1,041,097 | |
| Republic Services, Inc. | | | 9,694 | | | | 378,260 | |
| Southwest Airlines Co. | | | 3,800 | | | | 128,326 | |
| Spirit Airlines, Inc. † | | | 6,100 | | | | 421,754 | |
| Stericycle, Inc. † | | | 23,306 | | | | 2,716,548 | |
| Union Pacific Corp. | | | 4,600 | | | | 498,732 | |
| United Parcel Service, Inc., Class B | | | 7,739 | | | | 760,666 | |
| United Technologies Corp. | | | 1,637 | | | | 172,867 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 6.3% (continued) | | | | | | | | |
| Waste Connections, Inc. | | | 4,300 | | | $ | 208,636 | |
| Waste Management, Inc. | | | 34,990 | | | | 1,663,075 | |
| WW Grainger, Inc. | | | 1,345 | | | | 338,469 | |
| | | | | | | | |
| | | | | | | 16,053,575 | |
| | | | | | | | |
| Information Technology - 14.8% | | | | | | | | |
| Accenture PLC, Class A (Ireland) | | | 7,060 | | | | 574,119 | |
| Adobe Systems, Inc. † | | | 8,871 | | | | 613,785 | |
| Amdocs Ltd. | | | 4,200 | | | | 192,696 | |
| Analog Devices, Inc. | | | 21,734 | | | | 1,075,616 | |
| Apple, Inc. | | | 8,700 | | | | 876,525 | |
| Autodesk, Inc. † | | | 11,991 | | | | 660,704 | |
| Automatic Data Processing, Inc. | | | 34,071 | | | | 2,830,619 | |
| Cognizant Technology Solutions Corp., Class A † | | | 8,800 | | | | 393,976 | |
| F5 Networks, Inc. † | | | 8,118 | | | | 963,931 | |
| FactSet Research Systems, Inc. | | | 9,420 | | | | 1,144,813 | |
| FLIR Systems, Inc. | | | 12,900 | | | | 404,286 | |
| Gartner, Inc. † | | | 9,200 | | | | 675,924 | |
| Google, Inc., Class A † | | | 2,048 | | | | 1,205,064 | |
| Harris Corp. | | | 2,898 | | | | 192,427 | |
| Intel Corp. | | | 49,388 | | | | 1,719,690 | |
| International Business Machines Corp. | | | 14,630 | | | | 2,777,213 | |
| Intuit, Inc. | | | 26,013 | | | | 2,280,039 | |
| Jack Henry & Associates, Inc. | | | 2,300 | | | | 128,018 | |
| KLA-Tencor Corp. | | | 10,574 | | | | 833,020 | |
| Linear Technology Corp. | | | 32,966 | | | | 1,463,361 | |
| LinkedIn Corp., Class A † | | | 3,600 | | | | 748,044 | |
| MasterCard, Inc., Class A | | | 19,160 | | | | 1,416,307 | |
| Microchip Technology, Inc. | | | 989 | | | | 46,710 | |
| Microsoft Corp. | | | 54,665 | | | | 2,534,269 | |
| NetApp, Inc. | | | 8,228 | | | | 353,475 | |
| Palo Alto Networks, Inc. † | | | 7,700 | | | | 755,370 | |
| Paychex, Inc. | | | 40,650 | | | | 1,796,730 | |
| QUALCOMM, Inc. | | | 20,700 | | | | 1,547,739 | |
| Red Hat, Inc. † | | | 9,664 | | | | 542,634 | |
| Skyworks Solutions, Inc. | | | 2,600 | | | | 150,930 | |
| Splunk, Inc. † | | | 4,800 | | | | 265,728 | |
| Tableau Software, Inc., Class A † | | | 4,600 | | | | 334,190 | |
| Teradata Corp. † | | | 3,229 | | | | 135,360 | |
| Texas Instruments, Inc. | | | 13,034 | | | | 621,591 | |
| Total System Services, Inc. | | | 11,650 | | | | 360,684 | |
| Visa, Inc., Class A | | | 15,149 | | | | 3,232,342 | |
| VMware, Inc., Class A † | | | 4,633 | | | | 434,761 | |
| Workday, Inc., Class A † | | | 1,600 | | | | 132,000 | |
| Xilinx, Inc. | | | 16,604 | | | | 703,179 | |
| Yelp, Inc. † | | | 3,600 | | | | 245,700 | |
| Zebra Technologies Corp., Class A † | | | 800 | | | | 56,776 | |
| | | | | | | | |
| | | | | | | 37,420,345 | |
| | | | | | | | |
| Materials - 1.2% | | | | | | | | |
| International Flavors & Fragrances, Inc. | | | 1,627 | | | | 155,997 | |
| PPG Industries, Inc. | | | 2,500 | | | | 491,850 | |
| Sherwin-Williams Co./The | | | 4,270 | | | | 935,087 | |
| Sigma-Aldrich Corp. | | | 11,348 | | | | 1,543,441 | |
| | | | | | | | |
| | | | | | | 3,126,375 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 69 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR U.S. DEFENSIVE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Telecommunication Services - 2.4% | | | | | | | | |
| AT&T, Inc. | | | 87,264 | | | $ | 3,075,183 | |
| Verizon Communications, Inc. (NYSE) | | | 60,602 | | | | 3,029,494 | |
| | | | | | | | |
| | | | | | | 6,104,677 | |
| | | | | | | | |
| Utilities - 9.6% | | | | | | | | |
| AGL Resources, Inc. | | | 25,500 | | | | 1,309,170 | |
| American Electric Power Co., Inc. | | | 15,879 | | | | 829,043 | |
| American Water Works Co., Inc. | | | 19,832 | | | | 956,497 | |
| Aqua America, Inc. | | | 28,100 | | | | 661,193 | |
| Atmos Energy Corp. | | | 17,400 | | | | 829,980 | |
| CenterPoint Energy, Inc. | | | 7,392 | | | | 180,882 | |
| Consolidated Edison, Inc. | | | 20,630 | | | | 1,168,896 | |
| Dominion Resources, Inc. | | | 39,726 | | | | 2,744,669 | |
| DTE Energy Co. | | | 26,310 | | | | 2,001,665 | |
| Duke Energy Corp. | | | 13,144 | | | | 982,777 | |
| National Fuel Gas Co. | | | 8,700 | | | | 608,913 | |
| NextEra Energy, Inc. | | | 14,275 | | | | 1,340,137 | |
| NiSource, Inc. | | | 4,921 | | | | 201,663 | |
| Northeast Utilities | | | 7,158 | | | | 317,099 | |
| PG&E Corp. | | | 23,688 | | | | 1,066,908 | |
| Pinnacle West Capital Corp. | | | 3,094 | | | | 169,056 | |
| Public Service Enterprise Group, Inc. | | | 37,775 | | | | 1,406,741 | |
| Questar Corp. | | | 38,258 | | | | 852,771 | |
| Sempra Energy | | | 26,021 | | | | 2,742,093 | |
| Southern Co./The | | | 41,137 | | | | 1,795,630 | |
| UGI Corp. | | | 1,113 | | | | 37,925 | |
| Vectren Corp. | | | 28,700 | | | | 1,145,130 | |
| Wisconsin Energy Corp. | | | 15,766 | | | | 677,938 | |
| Xcel Energy, Inc. | | | 14,091 | | | | 428,366 | |
| | | | | | | | |
| | | | | | | 24,455,142 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $217,730,072) | | | | | | | 243,749,899 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| |
| MONEY MARKET FUNDS - 3.9% | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $9,834,499) | | | 9,834,499 | | | $ | 9,834,499 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.9%
(cost $227,564,571) | | | | | | | 253,584,398 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% (b) | | | | | | | 184,629 | |
| | | | | | | | |
| NET ASSETS - 100.0% | | | | | | $ | 253,769,027 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
| (b) | 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:
NYSE - New York Stock Exchange
Open futures contracts outstanding at September 30, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
DEPRECIATION | |
| Long Contracts: | | | | | |
| 75 | | Goldman Sachs | | S&P 500 E-Mini Futures | | | 12/2014 | | | | $7,419,840 | | | | $7,370,625 | | | | $(49,215 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Goldman Sachs for futures contracts was $380,157 at September 30, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 70 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| COMMON STOCKS - 99.4% | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.6% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 2,300 | | | $ | 299,690 | |
| AutoNation, Inc. † | | | 14,700 | | | | 739,557 | |
| AutoZone, Inc. † | | | 1,400 | | | | 713,524 | |
| Big Lots, Inc. | | | 7,800 | | | | 335,790 | |
| BorgWarner, Inc. | | | 48,400 | | | | 2,546,324 | |
| Brinker International, Inc. | | | 12,400 | | | | 629,796 | |
| Brunswick Corp. | | | 20,700 | | | | 872,298 | |
| Buckle, Inc./The | | | 7,400 | | | | 335,886 | |
| Cabela’s, Inc. † | | | 11,000 | | | | 647,900 | |
| Carter’s, Inc. | | | 7,700 | | | | 596,904 | |
| Charter Communications, Inc., Class A † | | | 7,800 | | | | 1,180,686 | |
| Chico’s FAS, Inc. | | | 25,500 | | | | 376,635 | |
| Chipotle Mexican Grill, Inc. † | | | 7,100 | | | | 4,732,789 | |
| Cinemark Holdings, Inc. | | | 15,800 | | | | 537,832 | |
| Comcast Corp., Class A | | | 13,200 | | | | 709,896 | |
| Conn’s, Inc. † | | | 14,700 | | | | 444,969 | |
| CST Brands, Inc. | | | 7,300 | | | | 262,435 | |
| Dana Holding Corp. | | | 34,800 | | | | 667,116 | |
| Deckers Outdoor Corp. † | | | 11,700 | | | | 1,137,006 | |
| Dillard’s, Inc., Class A | | | 10,500 | | | | 1,144,290 | |
| Discovery Communications, Inc., Class A † | | | 11,466 | | | | 433,415 | |
| DISH Network Corp., Class A † | | | 76,400 | | | | 4,933,912 | |
| Dollar Tree, Inc. † | | | 17,900 | | | | 1,003,653 | |
| Domino’s Pizza, Inc. | | | 10,800 | | | | 831,168 | |
| Expedia, Inc. | | | 8,300 | | | | 727,246 | |
| Federal-Mogul Holdings Corp. † | | | 12,400 | | | | 184,388 | |
| Foot Locker, Inc. | | | 24,400 | | | | 1,357,860 | |
| Gannett Co., Inc. | | | 56,300 | | | | 1,670,421 | |
| Gentex Corp. | | | 13,000 | | | | 348,010 | |
| Genuine Parts Co. | | | 16,500 | | | | 1,447,215 | |
| Goodyear Tire & Rubber Co./The | | | 33,400 | | | | 754,339 | |
| H&R Block, Inc. | | | 25,400 | | | | 787,654 | |
| Hanesbrands, Inc. | | | 13,000 | | | | 1,396,720 | |
| Harley-Davidson, Inc. | | | 13,200 | | | | 768,240 | |
| Harman International Industries, Inc. | | | 18,700 | | | | 1,833,348 | |
| Hasbro, Inc. | | | 3,200 | | | | 175,984 | |
| HSN, Inc. | | | 8,000 | | | | 490,960 | |
| Hyatt Hotels Corp., Class A † | | | 10,100 | | | | 611,252 | |
| Jarden Corp. † | | | 13,800 | | | | 829,518 | |
| Johnson Controls, Inc. | | | 81,000 | | | | 3,564,000 | |
| Kate Spade & Co. † | | | 28,200 | | | | 739,686 | |
| L Brands, Inc. | | | 15,600 | | | | 1,044,888 | |
| Lamar Advertising Co., Class A | | | 12,300 | | | | 605,775 | |
| Las Vegas Sands Corp. | | | 105,100 | | | | 6,538,271 | |
| LKQ Corp. † | | | 72,600 | | | | 1,930,434 | |
| Macy’s, Inc. | | | 16,900 | | | | 983,242 | |
| Madison Square Garden Co./The, Class A † | | | 11,000 | | | | 727,320 | |
| Marriott International, Inc., Class A | | | 15,400 | | | | 1,076,460 | |
| Mattel, Inc. | | | 24,500 | | | | 750,925 | |
| MGM Resorts International † | | | 96,100 | | | | 2,189,158 | |
| Mohawk Industries, Inc. † | | | 4,300 | | | | 579,726 | |
| Netflix, Inc. † | | | 11,800 | | | | 5,323,924 | |
| News Corp., Class A † | | | 74,725 | | | | 1,221,754 | |
| O’Reilly Automotive, Inc. † | | | 7,200 | | | | 1,082,592 | |
| Panera Bread Co., Class A † | | | 2,400 | | | | 390,528 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.6% (continued) | | | | | |
| PetSmart, Inc. | | | 9,200 | | | $ | 644,828 | |
| Pier 1 Imports, Inc. | | | 24,000 | | | | 285,360 | |
| Polaris Industries, Inc. | | | 10,200 | | | | 1,527,858 | |
| Priceline Group, Inc./The † | | | 6,800 | | | | 7,878,344 | |
| Rent-A-Center, Inc. | | | 8,000 | | | | 242,800 | |
| Sally Beauty Holdings, Inc. † | | | 22,600 | | | | 618,562 | |
| Signet Jewelers Ltd. | | | 3,900 | | | | 444,249 | |
| Sinclair Broadcast Group, Inc., Class A | | | 51,400 | | | | 1,341,026 | |
| Six Flags Entertainment Corp. | | | 32,600 | | | | 1,121,114 | |
| Standard Pacific Corp. † | | | 136,800 | | | | 1,024,632 | |
| Starbucks Corp. | | | 38,634 | | | | 2,915,321 | |
| Tempur Sealy International, Inc. † | | | 2,600 | | | | 146,042 | |
| Tenneco, Inc. † | | | 19,000 | | | | 993,890 | |
| Tesla Motors, Inc. † | | | 16,600 | | | | 4,028,488 | |
| Time Warner, Inc. | | | 28,500 | | | | 2,143,485 | |
| Tractor Supply Co. | | | 16,000 | | | | 984,160 | |
| TripAdvisor, Inc. † | | | 34,700 | | | | 3,172,274 | |
| Tupperware Brands Corp. | | | 4,600 | | | | 317,584 | |
| Ulta Salon Cosmetics & Fragrance, Inc. † | | | 8,300 | | | | 980,811 | |
| Under Armour, Inc., Class A † | | | 44,600 | | | | 3,081,860 | |
| VF Corp. | | | 51,900 | | | | 3,426,957 | |
| Viacom, Inc., Class B | | | 52,900 | | | | 4,070,126 | |
| Walt Disney Co./The | | | 166,600 | | | | 14,832,398 | |
| Wolverine World Wide, Inc. | | | 16,800 | | | | 421,008 | |
| Wyndham Worldwide Corp. | | | 26,300 | | | | 2,137,138 | |
| Wynn Resorts Ltd. | | | 14,900 | | | | 2,787,492 | |
| | | | | | | | |
| | | | | | | 129,813,116 | |
| | | | | | | | |
| Consumer Staples - 4.5% | | | | | | | | |
| Altria Group, Inc. | | | 103,800 | | | | 4,768,572 | |
| Archer-Daniels-Midland Co. | | | 11,500 | | | | 587,650 | |
| Brown-Forman Corp., Class B | | | 14,700 | | | | 1,326,234 | |
| Casey’s General Stores, Inc. | | | 5,900 | | | | 423,030 | |
| Church & Dwight Co., Inc. | | | 12,500 | | | | 877,000 | |
| Coca-Cola Enterprises, Inc. | | | 23,723 | | | | 1,052,352 | |
| Constellation Brands, Inc., Class A † | | | 32,500 | | | | 2,832,700 | |
| CVS Health Corp. | | | 95,900 | | | | 7,632,681 | |
| Darling Ingredients, Inc. † | | | 15,500 | | | | 283,960 | |
| Hain Celestial Group, Inc./The † | | | 7,600 | | | | 777,860 | |
| Hershey Co./The | | | 16,700 | | | | 1,593,681 | |
| Hormel Foods Corp. | | | 19,500 | | | | 1,002,105 | |
| Ingredion, Inc. | | | 4,600 | | | | 348,634 | |
| JM Smucker Co./The | | | 6,800 | | | | 673,132 | |
| Keurig Green Mountain, Inc. | | | 36,500 | | | | 4,749,745 | |
| Kroger Co./The | | | 39,800 | | | | 2,069,600 | |
| McCormick & Co., Inc. | | | 12,000 | | | | 802,800 | |
| Mondelez International, Inc., Class A | | | 54,800 | | | | 1,877,722 | |
| Monster Beverage Corp. † | | | 11,200 | | | | 1,026,704 | |
| Pilgrim’s Pride Corp. † | | | 27,900 | | | | 852,624 | |
| PriceSmart, Inc. | | | 7,900 | | | | 676,556 | |
| Rite Aid Corp. † | | | 378,900 | | | | 1,833,876 | |
| TreeHouse Foods, Inc. † | | | 4,700 | | | | 378,350 | |
| Tyson Foods, Inc., Class A | | | 44,800 | | | | 1,763,776 | |
| Walgreen Co. | | | 97,000 | | | | 5,749,190 | |
| WhiteWave Foods Co./The † | | | 11,568 | | | | 420,266 | |
| | | | | | | | |
| | | | | | | 46,380,800 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 71 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Energy - 11.2% | | | | | | | | |
| Atwood Oceanics, Inc. † | | | 7,100 | | | $ | 310,199 | |
| Baker Hughes, Inc. | | | 98,400 | | | | 6,401,904 | |
| CARBO Ceramics, Inc. | | | 18,300 | | | | 1,083,909 | |
| Cheniere Energy, Inc. † | | | 60,500 | | | | 4,841,815 | |
| Chesapeake Energy Corp. | | | 22,000 | | | | 505,780 | |
| Cimarex Energy Co. | | | 24,700 | | | | 3,125,291 | |
| Concho Resources, Inc. † | | | 16,800 | | | | 2,106,552 | |
| ConocoPhillips | | | 129,000 | | | | 9,871,080 | |
| Continental Resources, Inc. † | | | 82,400 | | | | 5,477,952 | |
| CVR Energy, Inc. | | | 12,300 | | | | 550,179 | |
| Devon Energy Corp. | | | 28,300 | | | | 1,929,494 | |
| Diamondback Energy, Inc. † | | | 26,700 | | | | 1,996,626 | |
| Energen Corp. | | | 2,800 | | | | 202,272 | |
| EOG Resources, Inc. | | | 81,100 | | | | 8,030,522 | |
| EQT Corp. | | | 14,000 | | | | 1,281,560 | |
| Golar LNG Ltd. (Norway) | | | 26,800 | | | | 1,779,520 | |
| Gulfport Energy Corp. † | | | 23,300 | | | | 1,244,220 | |
| Halliburton Co. | | | 146,280 | | | | 9,436,523 | |
| Helmerich & Payne, Inc. | | | 34,200 | | | | 3,347,154 | |
| Hess Corp. | | | 34,000 | | | | 3,206,880 | |
| Noble Energy, Inc. | | | 15,200 | | | | 1,039,072 | |
| Oasis Petroleum, Inc. † | | | 15,700 | | | | 656,417 | |
| Oceaneering International, Inc. | | | 18,800 | | | | 1,225,196 | |
| ONEOK, Inc. | | | 37,900 | | | | 2,484,345 | |
| Patterson-UTI Energy, Inc. | | | 32,200 | | | | 1,047,466 | |
| Phillips 66 | | | 80,400 | | | | 6,537,324 | |
| Pioneer Natural Resources Co. | | | 25,700 | | | | 5,062,129 | |
| Rosetta Resources, Inc. † | | | 10,000 | | | | 445,600 | |
| RPC, Inc. | | | 14,300 | | | | 314,028 | |
| Schlumberger Ltd. | | | 154,600 | | | | 15,721,274 | |
| SM Energy Co. | | | 8,300 | | | | 647,400 | |
| Spectra Energy Corp. | | | 24,500 | | | | 961,870 | |
| Targa Resources Corp. | | | 17,200 | | | | 2,342,124 | |
| Tidewater, Inc. | | | 2,900 | | | | 113,187 | |
| Valero Energy Corp. | | | 65,900 | | | | 3,049,193 | |
| Western Refining, Inc. | | | 12,700 | | | | 533,273 | |
| Whiting Petroleum Corp. † | | | 13,800 | | | | 1,070,190 | |
| Williams Cos., Inc./The | | | 101,800 | | | | 5,634,630 | |
| World Fuel Services Corp. | | | 7,000 | | | | 279,440 | |
| | | | | | | | |
| | | | | | | 115,893,590 | |
| | | | | | | | |
| Financials - 6.3% | | | | | | | | |
| Allstate Corp./The | | | 5,300 | | | | 325,261 | |
| American Capital Ltd. † | | | 144,100 | | | | 2,040,456 | |
| American Express Co. | | | 15,100 | | | | 1,321,854 | |
| American Financial Group, Inc. | | | 8,200 | | | | 474,698 | |
| American Tower Corp. REIT | | | 38,600 | | | | 3,614,118 | |
| Ameriprise Financial, Inc. | | | 26,100 | | | | 3,220,218 | |
| Aon PLC (United Kingdom) | | | 11,400 | | | | 999,438 | |
| Arch Capital Group Ltd. † | | | 13,000 | | | | 711,360 | |
| Capital One Financial Corp. | | | 9,600 | | | | 783,552 | |
| Capitol Federal Financial, Inc. | | | 26,600 | | | | 314,412 | |
| Charles Schwab Corp./The | | | 61,500 | | | | 1,807,485 | |
| Cincinnati Financial Corp. | | | 26,000 | | | | 1,223,300 | |
| CME Group, Inc. | | | 13,800 | | | | 1,103,379 | |
| Comerica, Inc. | | | 20,500 | | | | 1,022,130 | |
| Corrections Corp. of America REIT | | | 18,552 | | | | 637,447 | |
| Discover Financial Services | | | 51,300 | | | | 3,303,207 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 6.3% (continued) | | | | | | | | |
| Douglas Emmett, Inc. REIT | | | 8,500 | | | $ | 218,195 | |
| E*TRADE Financial Corp. † | | | 46,500 | | | | 1,050,435 | |
| Equity Residential REIT | | | 30,100 | | | | 1,853,558 | |
| Erie Indemnity Co., Class A | | | 2,000 | | | | 151,620 | |
| Essex Property Trust, Inc. REIT | | | 5,700 | | | | 1,018,875 | |
| Extra Space Storage, Inc. REIT | | | 11,900 | | | | 613,683 | |
| Federal Realty Investment Trust REIT | | | 8,700 | | | | 1,030,602 | |
| Fifth Third Bancorp | | | 25,700 | | | | 514,514 | |
| Financial Engines, Inc. | | | 13,000 | | | | 444,795 | |
| FNF Group | | | 47,700 | | | | 1,323,198 | |
| Franklin Resources, Inc. | | | 19,900 | | | | 1,086,739 | |
| General Growth Properties, Inc. REIT | | | 64,800 | | | | 1,526,040 | |
| Genworth Financial, Inc., Class A † | | | 140,800 | | | | 1,844,480 | |
| Host Hotels & Resorts, Inc. REIT | | | 48,700 | | | | 1,038,771 | |
| Huntington Bancshares, Inc. | | | 171,600 | | | | 1,669,668 | |
| KeyCorp | | | 27,500 | | | | 366,575 | |
| Lincoln National Corp. | | | 36,300 | | | | 1,944,954 | |
| M&T Bank Corp. | | | 4,900 | | | | 604,121 | |
| Macerich Co./The REIT | | | 7,100 | | | | 453,193 | |
| McGraw Hill Financial, Inc. | | | 37,100 | | | | 3,133,095 | |
| MGIC Investment Corp. † | | | 108,700 | | | | 848,947 | |
| Moody’s Corp. | | | 30,600 | | | | 2,891,700 | |
| NASDAQ OMX Group, Inc./The | | | 5,000 | | | | 212,100 | |
| Nationstar Mortgage Holdings, Inc. † | | | 11,000 | | | | 376,640 | |
| Navient Corp. | | | 29,600 | | | | 524,216 | |
| PartnerRe Ltd. | | | 6,800 | | | | 747,252 | |
| Post Properties, Inc. REIT | | | 5,900 | | | | 302,906 | |
| Principal Financial Group, Inc. | | | 35,700 | | | | 1,873,179 | |
| Signature Bank † | | | 5,800 | | | | 649,948 | |
| Simon Property Group, Inc. REIT | | | 22,300 | | | | 3,666,566 | |
| SLM Corp. | | | 29,600 | | | | 253,376 | |
| SunTrust Banks, Inc. | | | 11,200 | | | | 425,936 | |
| SVB Financial Group † | | | 7,800 | | | | 874,302 | |
| Torchmark Corp. | | | 14,100 | | | | 738,417 | |
| Vornado Realty Trust REIT | | | 13,000 | | | | 1,299,480 | |
| Wells Fargo & Co. | | | 69,600 | | | | 3,610,152 | |
| WR Berkley Corp. | | | 13,700 | | | | 654,860 | |
| | | | | | | | |
| | | | | | | 64,739,403 | |
| | | | | | | | |
| Health Care - 14.1% | | | | | | | | |
| AbbVie, Inc. | | | 59,200 | | | | 3,419,392 | |
| ACADIA Pharmaceuticals, Inc. † | | | 29,400 | | | | 727,944 | |
| Actavis PLC † | | | 13,600 | | | | 3,281,408 | |
| Aetna, Inc. | | | 61,900 | | | | 5,013,900 | |
| Akorn, Inc. † | | | 18,400 | | | | 667,368 | |
| Alexion Pharmaceuticals, Inc. † | | | 33,100 | | | | 5,488,642 | |
| Align Technology, Inc. † | | | 13,100 | | | | 677,008 | |
| Alnylam Pharmaceuticals, Inc. † | | | 14,400 | | | | 1,124,640 | |
| AmerisourceBergen Corp. | | | 24,900 | | | | 1,924,770 | |
| Arena Pharmaceuticals, Inc. † | | | 120,400 | | | | 504,476 | |
| athenahealth, Inc. † | | | 6,800 | | | | 895,492 | |
| Biogen Idec, Inc. † | | | 32,800 | | | | 10,850,568 | |
| Boston Scientific Corp. † | | | 122,500 | | | | 1,446,725 | |
| Bristol-Myers Squibb Co. | | | 43,200 | | | | 2,210,976 | |
| Brookdale Senior Living, Inc. † | | | 19,500 | | | | 628,290 | |
| Cardinal Health, Inc. | | | 40,900 | | | | 3,064,228 | |
| Catamaran Corp. † | | | 22,500 | | | | 948,375 | |
| Celgene Corp. † | | | 2,900 | | | | 274,862 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 72 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 14.1% (continued) | | | | | | | | |
| Cepheid † | | | 11,200 | | | $ | 493,136 | |
| Cerner Corp. † | | | 31,000 | | | | 1,846,670 | |
| Cigna Corp. | | | 40,200 | | | | 3,645,738 | |
| Community Health Systems, Inc. † | | | 16,800 | | | | 920,472 | |
| Cooper Cos., Inc./The | | | 7,400 | | | | 1,152,550 | |
| Cubist Pharmaceuticals, Inc. † | | | 8,600 | | | | 570,524 | |
| DaVita HealthCare Partners, Inc. † | | | 28,200 | | | | 2,062,548 | |
| DexCom, Inc. † | | | 23,400 | | | | 935,766 | |
| Eli Lilly & Co. | | | 16,700 | | | | 1,082,995 | |
| Endo International PLC (Ireland) † | | | 28,100 | | | | 1,920,354 | |
| Gilead Sciences, Inc. † | | | 179,200 | | | | 19,075,840 | |
| HCA Holdings, Inc. † | | | 44,600 | | | | 3,145,192 | |
| Henry Schein, Inc. † | | | 4,600 | | | | 535,762 | |
| Hill-Rom Holdings, Inc. | | | 3,500 | | | | 145,005 | |
| HMS Holdings Corp. † | | | 5,700 | | | | 107,445 | |
| Humana, Inc. | | | 17,400 | | | | 2,267,046 | |
| IDEXX Laboratories, Inc. † | | | 4,000 | | | | 471,320 | |
| Illumina, Inc. † | | | 34,800 | | | | 5,704,416 | |
| Incyte Corp. † | | | 40,400 | | | | 1,981,620 | |
| Intercept Pharmaceuticals, Inc. † | | | 6,400 | | | | 1,514,816 | |
| Isis Pharmaceuticals, Inc. † | | | 17,100 | | | | 663,993 | |
| Jazz Pharmaceuticals PLC † | | | 8,000 | | | | 1,284,480 | |
| McKesson Corp. | | | 35,100 | | | | 6,832,917 | |
| Medidata Solutions, Inc. † | | | 30,000 | | | | 1,328,700 | |
| Medivation, Inc. † | | | 27,400 | | | | 2,709,038 | |
| Merck & Co., Inc. | | | 132,100 | | | | 7,830,888 | |
| Mylan, Inc. † | | | 57,600 | | | | 2,620,224 | |
| NPS Pharmaceuticals, Inc. † | | | 64,200 | | | | 1,669,200 | |
| Omnicare, Inc. | | | 8,700 | | | | 541,662 | |
| OPKO Health, Inc. † | | | 88,500 | | | | 753,135 | |
| Pacira Pharmaceuticals, Inc. † | | | 7,500 | | | | 726,900 | |
| Perrigo Co. PLC (Ireland) | | | 9,300 | | | | 1,396,767 | |
| Pharmacyclics, Inc. † | | | 8,200 | | | | 962,926 | |
| Regeneron Pharmaceuticals, Inc. † | | | 4,400 | | | | 1,586,288 | |
| ResMed, Inc. | | | 13,000 | | | | 640,510 | |
| Salix Pharmaceuticals Ltd. † | | | 19,600 | | | | 3,062,304 | |
| St. Jude Medical, Inc. | | | 29,200 | | | | 1,755,796 | |
| Tenet Healthcare Corp. † | | | 13,500 | | | | 801,765 | |
| Thermo Fisher Scientific, Inc. | | | 55,200 | | | | 6,717,840 | |
| United Therapeutics Corp. † | | | 9,600 | | | | 1,235,040 | |
| UnitedHealth Group, Inc. | | | 35,000 | | | | 3,018,750 | |
| WellCare Health Plans, Inc. † | | | 10,500 | | | | 633,570 | |
| WellPoint, Inc. | | | 30,400 | | | | 3,636,448 | |
| Zimmer Holdings, Inc. | | | 8,000 | | | | 804,400 | |
| | | | | | | | |
| | | | | | | 145,941,820 | |
| | | | | | | | |
| Industrials - 13.6% | | | | | | | | |
| 3M Co. | | | 43,100 | | | | 6,106,408 | |
| A. O. Smith Corp. | | | 16,200 | | | | 765,936 | |
| Acacia Research Corp. | | | 8,700 | | | | 134,676 | |
| ACCO Brands Corp. † | | | 1,715 | | | | 11,834 | |
| Acuity Brands, Inc. | | | 2,600 | | | | 306,046 | |
| Alaska Air Group, Inc. | | | 35,600 | | | | 1,550,024 | |
| AMERCO | | | 1,900 | | | | 497,591 | |
| AMETEK, Inc. | | | 6,900 | | | | 346,449 | |
| Avis Budget Group, Inc. † | | | 49,800 | | | | 2,733,522 | |
| B/E Aerospace, Inc. † | | | 29,800 | | | | 2,501,412 | |
| Boeing Co./The | | | 16,400 | | | | 2,089,032 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 13.6% (continued) | | | | | | | | |
| Caterpillar, Inc. | | | 40,200 | | | $ | 3,981,006 | |
| Chart Industries, Inc. † | | | 14,700 | | | | 898,611 | |
| Clean Harbors, Inc. † | | | 4,800 | | | | 258,816 | |
| Copa Holdings SA, Class A (Panama) | | | 9,100 | | | | 976,339 | |
| Copart, Inc. † | | | 14,400 | | | | 450,936 | |
| Cummins, Inc. | | | 4,600 | | | | 607,108 | |
| Delta Air Lines, Inc. | | | 193,200 | | | | 6,984,180 | |
| Donaldson Co., Inc. | | | 8,800 | | | | 357,544 | |
| Dover Corp. | | | 26,300 | | | | 2,112,679 | |
| Fastenal Co. | | | 2,900 | | | | 130,210 | |
| FedEx Corp. | | | 40,900 | | | | 6,603,305 | |
| Flowserve Corp. | | | 21,600 | | | | 1,523,232 | |
| Fortune Brands Home & Security, Inc. | | | 58,500 | | | | 2,404,935 | |
| Generac Holdings, Inc. † | | | 35,100 | | | | 1,422,954 | |
| General Dynamics Corp. | | | 53,500 | | | | 6,799,315 | |
| Genesee & Wyoming, Inc., Class A † | | | 9,100 | | | | 867,321 | |
| Hexcel Corp. † | | | 15,700 | | | | 623,290 | |
| Honeywell International, Inc. | | | 15,000 | | | | 1,396,800 | |
| Hubbell, Inc., Class B | | | 3,700 | | | | 445,961 | |
| Huntington Ingalls Industries, Inc. | | | 9,900 | | | | 1,031,679 | |
| IHS, Inc., Class A † | | | 4,100 | | | | 513,279 | |
| Illinois Tool Works, Inc. | | | 15,300 | | | | 1,291,626 | |
| Iron Mountain, Inc. REIT | | | 18,945 | | | | 618,554 | |
| JB Hunt Transport Services, Inc. | | | 14,400 | | | | 1,066,320 | |
| Kansas City Southern | | | 10,200 | | | | 1,236,240 | |
| Kennametal, Inc. | | | 7,500 | | | | 309,825 | |
| Kirby Corp. † | | | 4,600 | | | | 542,110 | |
| Lockheed Martin Corp. | | | 59,900 | | | | 10,948,522 | |
| Manitowoc Co., Inc./The | | | 38,300 | | | | 898,135 | |
| Middleby Corp./The † | | | 10,800 | | | | 951,804 | |
| Mueller Industries, Inc. | | | 13,000 | | | | 371,020 | |
| Nielsen NV | | | 21,500 | | | | 953,095 | |
| Nordson Corp. | | | 3,200 | | | | 243,424 | |
| Norfolk Southern Corp. | | | 39,900 | | | | 4,452,840 | |
| Northrop Grumman Corp. | | | 49,900 | | | | 6,574,824 | |
| Old Dominion Freight Line, Inc. † | | | 11,100 | | | | 784,104 | |
| Oshkosh Corp. | | | 16,100 | | | | 710,815 | |
| Owens Corning | | | 19,000 | | | | 603,250 | |
| Pall Corp. | | | 7,000 | | | | 585,900 | |
| Pitney Bowes, Inc. | | | 36,200 | | | | 904,638 | |
| Polypore International, Inc. † | | | 10,200 | | | | 396,882 | |
| Precision Castparts Corp. | | | 3,800 | | | | 900,144 | |
| Raytheon Co. | | | 59,000 | | | | 5,995,580 | |
| Rockwell Automation, Inc. | | | 23,100 | | | | 2,538,228 | |
| Roper Industries, Inc. | | | 9,300 | | | | 1,360,497 | |
| RR Donnelley & Sons Co. | | | 50,900 | | | | 837,814 | |
| SolarCity Corp. † | | | 34,000 | | | | 2,026,400 | |
| Southwest Airlines Co. | | | 141,100 | | | | 4,764,947 | |
| Spirit Airlines, Inc. † | | | 17,600 | | | | 1,216,864 | |
| SPX Corp. | | | 4,900 | | | | 460,257 | |
| Stericycle, Inc. † | | | 7,700 | | | | 897,512 | |
| Swift Transportation Co. † | | | 39,100 | | | | 820,318 | |
| Terex Corp. | | | 24,100 | | | | 765,657 | |
| Textron, Inc. | | | 18,300 | | | | 658,617 | |
| Timken Co./The | | | 19,800 | | | | 839,322 | |
| Towers Watson & Co., Class A | | | 12,400 | | | | 1,233,800 | |
| TransDigm Group, Inc. | | | 9,000 | | | | 1,658,970 | |
| Trinity Industries, Inc. | | | 46,900 | | | | 2,191,168 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 73 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 13.6% (continued) | | | | | | | | |
| Union Pacific Corp. | | | 68,800 | | | $ | 7,459,296 | |
| United Continental Holdings, Inc. † | | | 67,200 | | | | 3,144,288 | |
| United Rentals, Inc. † | | | 24,700 | | | | 2,744,170 | |
| USG Corp. † | | | 39,400 | | | | 1,083,106 | |
| Verisk Analytics, Inc., Class A † | | | 18,500 | | | | 1,126,465 | |
| WABCO Holdings, Inc. † | | | 2,900 | | | | 263,755 | |
| Wabtec Corp. | | | 8,800 | | | | 713,152 | |
| Waste Connections, Inc. | | | 8,300 | | | | 402,716 | |
| Werner Enterprises, Inc. | | | 10,900 | | | | 274,680 | |
| WESCO International, Inc. † | | | 7,500 | | | | 586,950 | |
| Woodward, Inc. | | | 3,200 | | | | 152,384 | |
| WW Grainger, Inc. | | | 5,400 | | | | 1,358,910 | |
| | | | | | | | |
| | | | | | | 140,352,325 | |
| | | | | | | | |
| Information Technology - 31.3% | | | | | | | | |
| Activision Blizzard, Inc. | | | 131,000 | | | | 2,723,490 | |
| Adobe Systems, Inc. † | | | 81,700 | | | | 5,652,823 | |
| Akamai Technologies, Inc. † | | | 31,000 | | | | 1,853,800 | |
| Alliance Data Systems Corp. † | | | 8,100 | | | | 2,010,987 | |
| Amphenol Corp., Class A | | | 8,600 | | | | 858,796 | |
| ANSYS, Inc. † | | | 5,600 | | | | 423,752 | |
| AOL, Inc. † | | | 32,400 | | | | 1,456,380 | |
| Apple, Inc. | | | 688,000 | | | | 69,316,000 | |
| Applied Materials, Inc. | | | 199,900 | | | | 4,319,839 | |
| ARRIS Group, Inc. † | | | 30,100 | | | | 853,485 | |
| Arrow Electronics, Inc. † | | | 8,600 | | | | 476,010 | |
| Automatic Data Processing, Inc. | | | 19,700 | | | | 1,636,676 | |
| Brocade Communications Systems, Inc. | | | 101,800 | | | | 1,106,566 | |
| CA, Inc. | | | 16,500 | | | | 461,010 | |
| Cadence Design Systems, Inc. † | | | 23,600 | | | | 406,156 | |
| Cirrus Logic, Inc. † | | | 28,800 | | | | 600,480 | |
| Cognizant Technology Solutions Corp., Class A † | | | 40,300 | | | | 1,804,231 | |
| CommVault Systems, Inc. † | | | 8,200 | | | | 413,280 | |
| Computer Sciences Corp. | | | 13,600 | | | | 831,640 | |
| CoreLogic, Inc. † | | | 18,100 | | | | 489,967 | |
| Corning, Inc. | | | 211,500 | | | | 4,090,410 | |
| CoStar Group, Inc. † | | | 4,800 | | | | 746,592 | |
| Electronic Arts, Inc. † | | | 95,000 | | | | 3,382,950 | |
| F5 Networks, Inc. † | | | 6,500 | | | | 771,810 | |
| Facebook, Inc., Class A † | | | 311,100 | | | | 24,589,344 | |
| FactSet Research Systems, Inc. | | | 1,300 | | | | 157,989 | |
| Fairchild Semiconductor International, Inc. † | | | 7,700 | | | | 119,581 | |
| Fidelity National Information Services, Inc. | | | 18,200 | | | | 1,024,660 | |
| First Solar, Inc. † | | | 32,300 | | | | 2,125,663 | |
| Fiserv, Inc. † | | | 29,200 | | | | 1,887,342 | |
| FleetCor Technologies, Inc. † | | | 24,700 | | | | 3,510,364 | |
| Fortinet, Inc. † | | | 19,300 | | | | 487,615 | |
| Gartner, Inc. † | | | 6,200 | | | | 455,514 | |
| Google, Inc., Class A † | | | 44,600 | | | | 26,243,086 | |
| Hewlett-Packard Co. | | | 246,200 | | | | 8,732,714 | |
| IAC/InterActiveCorp | | | 16,100 | | | | 1,060,990 | |
| Intel Corp. | | | 467,500 | | | | 16,278,350 | |
| InterDigital, Inc. | | | 6,200 | | | | 246,884 | |
| Intuit, Inc. | | | 8,200 | | | | 718,730 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 31.3% (continued) | | | | | |
| IPG Photonics Corp. † | | | 3,700 | | | $ | 254,486 | |
| Jack Henry & Associates, Inc. | | | 8,800 | | | | 489,808 | |
| Juniper Networks, Inc. | | | 40,300 | | | | 892,645 | |
| KLA-Tencor Corp. | | | 11,300 | | | | 890,214 | |
| Knowles Corp. † | | | 13,150 | | | | 348,475 | |
| Lam Research Corp. | | | 15,600 | | | | 1,165,320 | |
| Marvell Technology Group Ltd. | | | 72,200 | | | | 973,256 | |
| MasterCard, Inc., Class A | | | 51,100 | | | | 3,777,312 | |
| Maxim Integrated Products, Inc. | | | 21,200 | | | | 641,088 | |
| Micron Technology, Inc. † | | | 179,800 | | | | 6,159,948 | |
| Microsoft Corp. | | | 774,300 | | | | 35,896,548 | |
| Motorola Solutions, Inc. | | | 10,300 | | | | 651,784 | |
| NCR Corp. † | | | 8,300 | | | | 277,303 | |
| NetSuite, Inc. † | | | 17,000 | | | | 1,522,180 | |
| NVIDIA Corp. | | | 49,800 | | | | 918,810 | |
| Oracle Corp. | | | 405,000 | | | | 15,503,400 | |
| Pandora Media, Inc. † | | | 72,900 | | | | 1,761,264 | |
| QUALCOMM, Inc. | | | 71,400 | | | | 5,338,578 | |
| Red Hat, Inc. † | | | 7,400 | | | | 415,510 | |
| RF Micro Devices, Inc. † | | | 92,800 | | | | 1,070,912 | |
| salesforce.com, Inc. † | | | 43,000 | | | | 2,473,790 | |
| SanDisk Corp. | | | 53,000 | | | | 5,191,350 | |
| ServiceNow, Inc. † | | | 47,800 | | | | 2,809,684 | |
| Shutterstock, Inc. † | | | 12,700 | | | | 906,526 | |
| Skyworks Solutions, Inc. | | | 56,400 | | | | 3,274,020 | |
| SolarWinds, Inc. † | | | 12,600 | | | | 529,830 | |
| Solera Holdings, Inc. | | | 5,700 | | | | 321,252 | |
| SunEdison, Inc. † | | | 108,100 | | | | 2,040,928 | |
| SunPower Corp. † | | | 59,300 | | | | 2,009,084 | |
| Symantec Corp. | | | 43,100 | | | | 1,013,281 | |
| Texas Instruments, Inc. | | | 116,600 | | | | 5,560,654 | |
| Total System Services, Inc. | | | 15,100 | | | | 467,496 | |
| Trimble Navigation Ltd. † | | | 6,800 | | | | 207,400 | |
| Ubiquiti Networks, Inc. † | | | 45,300 | | | | 1,700,109 | |
| Universal Display Corp. † | | | 8,600 | | | | 280,704 | |
| VeriSign, Inc. † | | | 22,700 | | | | 1,251,224 | |
| Visa, Inc., Class A | | | 4,500 | | | | 960,165 | |
| Vishay Intertechnology, Inc. | | | 8,200 | | | | 117,178 | |
| VMware, Inc., Class A † | | | 23,900 | | | | 2,242,776 | |
| Western Digital Corp. | | | 65,100 | | | | 6,335,532 | |
| Xerox Corp. | | | 164,600 | | | | 2,177,658 | |
| Xilinx, Inc. | | | 28,100 | | | | 1,190,035 | |
| Yahoo!, Inc. † | | | 81,200 | | | | 3,308,900 | |
| Yelp, Inc. † | | | 16,700 | | | | 1,139,775 | |
| Zebra Technologies Corp., Class A † | | | 3,200 | | | | 227,104 | |
| Zillow, Inc., Class A † | | | 21,300 | | | | 2,470,587 | |
| | | | | | | | |
| | | | | | | 323,481,839 | |
| | | | | | | | |
| Materials - 4.4% | | | | | | | | |
| Air Products & Chemicals, Inc. | | | 8,000 | | | | 1,041,440 | |
| Airgas, Inc. | | | 4,900 | | | | 542,185 | |
| Albemarle Corp. | | | 4,000 | | | | 235,600 | |
| Alcoa, Inc. | | | 217,800 | | | | 3,504,402 | |
| Ashland, Inc. | | | 6,600 | | | | 687,060 | |
| Axiall Corp. | | | 8,150 | | | | 291,851 | |
| Ball Corp. | | | 21,800 | | | | 1,379,286 | |
| Carpenter Technology Corp. | | | 5,700 | | | | 257,355 | |
| Celanese Corp., Series A | | | 7,000 | | | | 409,640 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 74 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Materials - 4.4% (continued) | | | | | | | | |
| Dow Chemical Co./The | | | 177,500 | | | $ | 9,308,100 | |
| Eagle Materials, Inc. | | | 18,800 | | | | 1,914,404 | |
| Eastman Chemical Co. | | | 7,300 | | | | 590,497 | |
| Ecolab, Inc. | | | 26,400 | | | | 3,031,512 | |
| EI du Pont de Nemours & Co. | | | 29,700 | | | | 2,131,272 | |
| FMC Corp. | | | 8,000 | | | | 457,520 | |
| Freeport-McMoRan, Inc. | | | 59,700 | | | | 1,949,205 | |
| Huntsman Corp. | | | 30,500 | | | | 792,695 | |
| International Flavors & Fragrances, Inc. | | | 6,500 | | | | 623,220 | |
| Louisiana-Pacific Corp. † | | | 71,200 | | | | 967,608 | |
| MeadWestvaco Corp. | | | 5,200 | | | | 212,888 | |
| NewMarket Corp. | | | 1,600 | | | | 609,632 | |
| Packaging Corp. of America | | | 14,500 | | | | 925,390 | |
| PPG Industries, Inc. | | | 20,897 | | | | 4,111,276 | |
| Royal Gold, Inc. | | | 26,500 | | | | 1,720,910 | |
| Sherwin-Williams Co./The | | | 9,700 | | | | 2,124,203 | |
| SunCoke Energy, Inc. † | | | 2,334 | | | | 52,398 | |
| United States Steel Corp. | | | 27,200 | | | | 1,065,424 | |
| US Silica Holdings, Inc. | | | 15,400 | | | | 962,654 | |
| Valspar Corp./The | | | 8,500 | | | | 671,415 | |
| Vulcan Materials Co. | | | 9,800 | | | | 590,254 | |
| Westlake Chemical Corp. | | | 25,600 | | | | 2,216,704 | |
| WR Grace & Co. † | | | 3,700 | | | | 336,478 | |
| | | | | | | | |
| | | | | | | 45,714,478 | |
| | | | | | | | |
| Telecommunication Services - 0.4% | | | | | |
| Globalstar, Inc. † | | | 67,900 | | | | 248,514 | |
| Level 3 Communications, Inc. † | | | 45,286 | | | | 2,070,929 | |
| SBA Communications Corp., Class A † | | | 13,000 | | | | 1,441,700 | |
| | | | | | | | |
| | | | | | | 3,761,143 | |
| | | | | | | | |
| Utilities - 1.0% | | | | | | | | |
| AGL Resources, Inc. | | | 7,100 | | | | 364,514 | |
| American Electric Power Co., Inc. | | | 19,600 | | | | 1,023,316 | |
| American Water Works Co., Inc. | | | 20,500 | | | | 988,715 | |
| Atmos Energy Corp. | | | 9,100 | | | | 434,070 | |
| Cleco Corp. | | | 8,100 | | | | 390,015 | |
| Edison International | | | 18,200 | | | | 1,017,744 | |
| Hawaiian Electric Industries, Inc. | | | 11,500 | | | | 305,325 | |
| ITC Holdings Corp. | | | 22,500 | | | | 801,675 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Utilities - 1.0% (continued) | | | | | | | | |
| National Fuel Gas Co. | | | 5,400 | | | $ | 377,946 | |
| NextEra Energy, Inc. | | | 13,000 | | | | 1,220,440 | |
| NiSource, Inc. | | | 5,300 | | | | 217,194 | |
| OGE Energy Corp. | | | 14,600 | | | | 541,806 | |
| Portland General Electric Co. | | | 12,000 | | | | 385,440 | |
| Questar Corp. | | | 15,300 | | | | 341,037 | |
| Sempra Energy | | | 9,900 | | | | 1,043,262 | |
| UIL Holdings Corp. | | | 7,700 | | | | 272,580 | |
| WGL Holdings, Inc. | | | 6,900 | | | | 290,628 | |
| | | | | | | | |
| | | | | | | 10,015,707 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $840,978,796) | | | | | | | 1,026,094,221 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 0.5% | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $5,542,791) | | | 5,542,791 | | | | 5,542,791 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.9%
(cost $846,521,587) | | | | | | | 1,031,637,012 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% (b) | | | | | | | 1,001,347 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 1,032,638,359 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
| (b) | 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. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 75 |
| | | | | | | | | | |
Open futures contracts outstanding at September 30, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
DEPRECIATION | |
| Long Contracts: | | | | | | | | | | | | | | | | | | | | |
| 53 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 12/2014 | | | | $5,259,900 | | | | $5,208,575 | | | | $(51,325 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital for futures contracts was $285,236 at September 30, 2014.
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| COMMON STOCKS - 99.5% | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.8% | |
| 1-800-Flowers.com, Inc., Class A † | | | 15,400 | | | $ | 110,726 | |
| A. H. Belo Corp., Class A | | | 14,300 | | | | 152,581 | |
| America’s Car-Mart, Inc. † | | | 2,300 | | | | 91,057 | |
| ANN, Inc. † | | | 7,800 | | | | 320,814 | |
| Asbury Automotive Group, Inc. † | | | 15,800 | | | | 1,017,836 | |
| Barnes & Noble, Inc. † | | | 13,800 | | | | 272,412 | |
| Big Lots, Inc. | | | 23,200 | | | | 998,760 | |
| Bridgepoint Education, Inc. † | | | 3,899 | | | | 43,513 | |
| Brown Shoe Co., Inc. | | | 23,300 | | | | 632,129 | |
| Buffalo Wild Wings, Inc. † | | | 1,300 | | | | 174,551 | |
| Build-A-Bear Workshop, Inc. † | | | 13,700 | | | | 179,196 | |
| Capella Education Co. | | | 4,500 | | | | 281,700 | |
| Career Education Corp. † | | | 50,900 | | | | 258,572 | |
| Carriage Services, Inc. | | | 9,300 | | | | 161,169 | |
| Cavco Industries, Inc. † | | | 3,700 | | | | 251,600 | |
| Century Casinos, Inc. † | | | 26,600 | | | | 136,458 | |
| Choice Hotels International, Inc. | | | 4,100 | | | | 213,200 | |
| Christopher & Banks Corp. † | | | 18,000 | | | | 178,020 | |
| Churchill Downs, Inc. | | | 1,700 | | | | 165,750 | |
| Citi Trends, Inc. † | | | 3,100 | | | | 68,510 | |
| Collectors Universe, Inc. | | | 7,600 | | | | 167,200 | |
| Columbia Sportswear Co. | | | 6,600 | | | | 236,148 | |
| Cooper-Standard Holding, Inc. † | | | 6,100 | | | | 380,640 | |
| Core-Mark Holding Co., Inc. | | | 13,400 | | | | 710,736 | |
| Cumulus Media, Inc., Class A † | | | 37,700 | | | | 151,931 | |
| Deckers Outdoor Corp. † | | | 4,100 | | | | 398,438 | |
| Del Frisco’s Restaurant Group, Inc. † | | | 5,900 | | | | 112,926 | |
| Denny’s Corp. † | | | 18,100 | | | | 127,243 | |
| Destination Maternity Corp. | | | 3,000 | | | | 46,320 | |
| Destination XL Group, Inc. † | | | 22,800 | | | | 107,616 | |
| DeVry Education Group, Inc. | | | 21,700 | | | | 928,977 | |
| Dex Media, Inc. † | | | 13,900 | | | | 132,884 | |
| Diamond Resorts International, Inc. † | | | 22,200 | | | | 505,272 | |
| DineEquity, Inc. | | | 3,400 | | | | 277,406 | |
| Dixie Group, Inc./The † | | | 14,400 | | | | 124,848 | |
| Drew Industries, Inc. | | | 9,000 | | | | 379,710 | |
| Education Management Corp. † | | | 4,600 | | | | 5,014 | |
| Einstein Noah Restaurant Group, Inc. | | | 3,600 | | | | 72,576 | |
| Empire Resorts, Inc. † | | | 22,500 | | | | 150,975 | |
| Entravision Communications Corp., Class A | | | 30,700 | | | | 121,572 | |
| EW Scripps Co./The, Class A † | | | 23,500 | | | | 383,285 | |
| Famous Dave’s of America, Inc. † | | | 8,200 | | | | 220,744 | |
| Federal-Mogul Holdings Corp. † | | | 28,800 | | | | 428,256 | |
| Fiesta Restaurant Group, Inc. † | | | 11,200 | | | | 556,416 | |
| Finish Line, Inc./The, Class A | | | 21,600 | | | | 540,648 | |
| Flexsteel Industries, Inc. | | | 1,600 | | | | 53,968 | |
| Fred’s, Inc., Class A | | | 7,400 | | | | 103,600 | |
| Gentherm, Inc. † | | | 24,900 | | | | 1,051,527 | |
| G-III Apparel Group Ltd. † | | | 10,800 | | | | 894,888 | |
| Grand Canyon Education, Inc. † | | | 19,200 | | | | 782,784 | |
| Gray Television, Inc. † | | | 47,500 | | | | 374,300 | |
| Haverty Furniture Cos., Inc. | | | 7,500 | | | | 163,425 | |
| Helen of Troy Ltd. † | | | 13,900 | | | | 730,028 | |
| Iconix Brand Group, Inc. † | | | 22,500 | | | | 831,150 | |
| Interval Leisure Group, Inc. | | | 9,000 | | | | 171,450 | |
| Jack in the Box, Inc. | | | 20,800 | | | | 1,418,352 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.8% (continued) | |
| Jamba, Inc. † | | | 2,580 | | | $ | 36,688 | |
Journal Communications, Inc.,
Class A † | | | 7,300 | | | | 61,539 | |
| Kate Spade & Co. † | | | 2,200 | | | | 57,706 | |
| Kirkland’s, Inc. † | | | 7,400 | | | | 119,214 | |
| Kona Grill, Inc. † | | | 7,700 | | | | 151,921 | |
| La-Z-Boy, Inc. | | | 9,400 | | | | 186,026 | |
| Lee Enterprises, Inc. † | | | 79,900 | | | | 270,062 | |
| Libbey, Inc. † | | | 4,300 | | | | 112,918 | |
| Liberty Tax, Inc. † | | | 1,300 | | | | 41,990 | |
| LifeLock, Inc. † | | | 22,700 | | | | 324,383 | |
| Lithia Motors, Inc., Class A | | | 13,900 | | | | 1,052,091 | |
| Loral Space & Communications, Inc. † | | | 2,600 | | | | 186,706 | |
| Marcus Corp./The | | | 4,500 | | | | 71,100 | |
| MarineMax, Inc. † | | | 10,100 | | | | 170,185 | |
| Marriott Vacations Worldwide Corp. † | | | 16,200 | | | | 1,027,242 | |
| Martha Stewart Living Omnimedia, Inc., Class A † | | | 31,000 | | | | 111,600 | |
| Mattress Firm Holding Corp. † | | | 6,300 | | | | 378,378 | |
| McClatchy Co./The, Class A † | | | 69,500 | | | | 233,520 | |
| MDC Partners, Inc., Class A | | | 17,300 | | | | 331,987 | |
| Men’s Wearhouse, Inc./The | | | 25,000 | | | | 1,180,500 | |
| Modine Manufacturing Co. † | | | 24,100 | | | | 286,067 | |
| Monarch Casino & Resort, Inc. † | | | 10,100 | | | | 120,291 | |
| Monro Muffler Brake, Inc. | | | 5,300 | | | | 257,209 | |
| Motorcar Parts of America, Inc. † | | | 19,200 | | | | 522,432 | |
| Murphy USA, Inc. † | | | 11,700 | | | | 620,802 | |
| NACCO Industries, Inc., Class A | | | 4,200 | | | | 208,866 | |
| Nautilus, Inc. † | | | 26,600 | | | | 318,402 | |
| New York & Co., Inc. † | | | 11,500 | | | | 34,845 | |
| New York Times Co./The, Class A | | | 38,500 | | | | 431,970 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 21,200 | | | | 856,904 | |
| Nutrisystem, Inc. | | | 14,300 | | | | 219,791 | |
| Office Depot, Inc. † | | | 206,900 | | | | 1,063,466 | |
| Orbitz Worldwide, Inc. † | | | 10,100 | | | | 79,487 | |
| Oxford Industries, Inc. | | | 4,300 | | | | 262,257 | |
| Pacific Sunwear of California, Inc. † | | | 19,400 | | | | 34,920 | |
| Papa John’s International, Inc. | | | 14,300 | | | | 571,857 | |
| Perry Ellis International, Inc. † | | | 7,000 | | | | 142,450 | |
| Popeyes Louisiana Kitchen, Inc. † | | | 10,200 | | | | 413,100 | |
| Radio One, Inc., Class D † | | | 20,900 | | | | 66,462 | |
| Red Robin Gourmet Burgers, Inc. † | | | 3,600 | | | | 204,840 | |
| Remy International, Inc. | | | 2,600 | | | | 53,378 | |
| Rentrak Corp. † | | | 8,800 | | | | 536,272 | |
| Restoration Hardware Holdings, Inc. † | | | 2,200 | | | | 175,010 | |
| Ruth’s Hospitality Group, Inc. | | | 22,500 | | | | 248,400 | |
| Scholastic Corp. | | | 3,800 | | | | 122,816 | |
| Sequential Brands Group, Inc. † | | | 8,900 | | | | 111,250 | |
| Shiloh Industries, Inc. † | | | 14,100 | | | | 239,841 | |
| Shoe Carnival, Inc. | | | 4,200 | | | | 74,802 | |
| Sizmek, Inc. † | | | 15,600 | | | | 120,744 | |
| Skechers U.S.A., Inc., Class A † | | | 7,100 | | | | 378,501 | |
| Smith & Wesson Holding Corp. † | | | 39,500 | | | | 372,880 | |
| Sonic Corp. † | | | 28,000 | | | | 626,080 | |
| Standard Motor Products, Inc. | | | 12,900 | | | | 444,147 | |
| Stein Mart, Inc. | | | 16,900 | | | | 195,195 | |
| Stoneridge, Inc. † | | | 9,700 | | | | 109,319 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 76 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.8% (continued) | |
| Strattec Security Corp. | | | 2,800 | | | $ | 227,780 | |
| Sturm, Ruger & Co., Inc. | | | 6,200 | | | | 301,878 | |
| Tower International, Inc. † | | | 18,300 | | | | 460,977 | |
| Tuesday Morning Corp. † | | | 34,500 | | | | 669,472 | |
| Unifi, Inc. † | | | 11,200 | | | | 290,080 | |
| Universal Electronics, Inc. † | | | 9,000 | | | | 444,330 | |
| UQM Technologies, Inc. † | | | 34,700 | | | | 48,927 | |
| ValueVision Media, Inc., Class A † | | | 25,000 | | | | 128,250 | |
| VOXX International Corp. † | | | 5,700 | | | | 53,010 | |
| World Wrestling Entertainment, Inc., Class A | | | 47,300 | | | | 651,321 | |
| You On Demand Holdings, Inc. † | | | 34,500 | | | | 72,450 | |
| | | | | | | | |
| | | | | | | 39,531,091 | |
| | | | | | | | |
| Consumer Staples - 3.6% | | | | | | | | |
| 22nd Century Group, Inc. † | | | 16,600 | | | | 41,832 | |
| Andersons, Inc./The | | | 14,700 | | | | 924,336 | |
| Boston Beer Co., Inc./The, Class A † | | | 700 | | | | 155,232 | |
| Boulder Brands, Inc. † | | | 18,100 | | | | 246,703 | |
| Calavo Growers, Inc. | | | 5,800 | | | | 261,812 | |
| Cal-Maine Foods, Inc. | | | 12,800 | | | | 1,143,424 | |
| Coca-Cola Bottling Co. Consolidated | | | 1,200 | | | | 89,556 | |
| Craft Brew Alliance, Inc. † | | | 19,900 | | | | 286,560 | |
| Diamond Foods, Inc. † | | | 19,500 | | | | 557,895 | |
| Farmer Bros Co. † | | | 1,200 | | | | 34,740 | |
| Harbinger Group, Inc. † | | | 86,100 | | | | 1,129,632 | |
| IGI Laboratories, Inc. † | | | 48,900 | | | | 455,748 | |
| Ingles Markets, Inc., Class A | | | 3,400 | | | | 80,546 | |
| Inter Parfums, Inc. | | | 6,100 | | | | 167,750 | |
| Inventure Foods, Inc. † | | | 7,500 | | | | 97,200 | |
| J&J Snack Foods Corp. | | | 3,500 | | | | 327,460 | |
| John B. Sanfilippo & Son, Inc. | | | 2,000 | | | | 64,720 | |
| Liberator Medical Holdings, Inc. | | | 80,900 | | | | 253,217 | |
| Medifast, Inc. † | | | 6,400 | | | | 210,112 | |
| Omega Protein Corp. † | | | 13,000 | | | | 162,500 | |
| Pantry, Inc./The † | | | 5,600 | | | | 113,288 | |
| Revlon, Inc., Class A † | | | 20,000 | | | | 633,800 | |
| Rite Aid Corp. † | | | 6,500 | | | | 31,460 | |
| Sanderson Farms, Inc. | | | 12,900 | | | | 1,134,555 | |
| SpartanNash Co. | | | 6,500 | | | | 126,425 | |
| SUPERVALU, Inc. † | | | 68,900 | | | | 615,966 | |
| Vector Group Ltd. | | | 62,160 | | | | 1,378,709 | |
| WD-40 Co. | | | 4,600 | | | | 312,616 | |
| Weis Markets, Inc. | | | 2,000 | | | | 78,060 | |
| | | | | | | | |
| | | | | | | 11,115,854 | |
| | | | | | | | |
| Energy - 7.5% | | | | | | | | |
| Abraxas Petroleum Corp. † | | | 94,300 | | | | 497,904 | |
| Adams Resources & Energy, Inc. | | | 500 | | | | 22,145 | |
| Aemetis, Inc. † | | | 7,300 | | | | 63,364 | |
| Basic Energy Services, Inc. † | | | 25,300 | | | | 548,757 | |
| Bill Barrett Corp. † | | | 2,500 | | | | 55,100 | |
| Bonanza Creek Energy, Inc. † | | | 19,800 | | | | 1,126,620 | |
| BPZ Resources, Inc. † | | | 25,500 | | | | 48,705 | |
| C&J Energy Services, Inc. † | | | 33,100 | | | | 1,011,205 | |
| Callon Petroleum Co. † | | | 41,500 | | | | 365,615 | |
| CARBO Ceramics, Inc. | | | 6,500 | | | | 384,995 | |
| Carrizo Oil & Gas, Inc. † | | | 8,100 | | | | 435,942 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Energy - 7.5% (continued) | | | | | | | | |
| Clayton Williams Energy, Inc. † | | | 7,300 | | | $ | 704,085 | |
| Comstock Resources, Inc. | | | 25,800 | | | | 480,396 | |
| Dawson Geophysical Co. | | | 2,600 | | | | 47,268 | |
| Delek US Holdings, Inc. | | | 19,700 | | | | 652,464 | |
| DHT Holdings, Inc. | | | 28,100 | | | | 173,096 | |
| Diamondback Energy, Inc. † | | | 6,800 | | | | 508,504 | |
| Enbridge Energy Management LLC † | | | 10,700 | | | | 398,147 | |
| Exterran Holdings, Inc. | | | 4,100 | | | | 181,671 | |
| Frontline Ltd. (Norway) † | | | 33,500 | | | | 42,210 | |
| Gastar Exploration, Inc. † | | | 9,100 | | | | 53,417 | |
| Goodrich Petroleum Corp. † | | | 19,200 | | | | 284,544 | |
| Green Plains, Inc. | | | 30,600 | | | | 1,144,134 | |
| Gulf Island Fabrication, Inc. | | | 3,100 | | | | 53,320 | |
| Halcon Resources Corp. † | | | 114,400 | | | | 453,024 | |
| Harvest Natural Resources, Inc. † | | | 8,900 | | | | 32,663 | |
| Jones Energy, Inc., Class A † | | | 3,200 | | | | 60,096 | |
| Key Energy Services, Inc. † | | | 35,600 | | | | 172,304 | |
| Magnum Hunter Resources Corp. † | | | 112,100 | | | | 624,397 | |
| Matador Resources Co. † | | | 53,500 | | | | 1,382,975 | |
| Matrix Service Co. † | | | 15,800 | | | | 381,096 | |
| Miller Energy Resources, Inc. † | | | 43,300 | | | | 190,520 | |
| Mitcham Industries, Inc. † | | | 4,400 | | | | 48,620 | |
| Natural Gas Services Group, Inc. † | | | 6,200 | | | | 149,234 | |
| Newpark Resources, Inc. † | | | 29,600 | | | | 368,224 | |
| Panhandle Oil and Gas, Inc., Class A | | | 6,400 | | | | 382,080 | |
| Parker Drilling Co. † | | | 33,900 | | | | 167,466 | |
| PBF Energy, Inc., Class A | | | 14,800 | | | | 355,200 | |
| PDC Energy, Inc. † | | | 900 | | | | 45,261 | |
| Penn Virginia Corp. † | | | 48,300 | | | | 613,893 | |
| PetroQuest Energy, Inc. † | | | 35,800 | | | | 201,196 | |
| PHI, Inc. † | | | 3,000 | | | | 123,450 | |
| Pioneer Energy Services Corp. † | | | 37,200 | | | | 521,544 | |
| Profire Energy, Inc. † | | | 11,300 | | | | 46,895 | |
| REX American Resources Corp. † | | | 9,300 | | | | 677,784 | |
| RigNet, Inc. † | | | 15,100 | | | | 610,795 | |
| Ring Energy, Inc. † | | | 9,300 | | | | 137,082 | |
| Sanchez Energy Corp. † | | | 30,100 | | | | 790,426 | |
| SemGroup Corp., Class A | | | 2,500 | | | | 208,175 | |
| Ship Finance International Ltd. (Norway) | | | 48,200 | | | | 815,544 | |
| Stone Energy Corp. † | | | 19,500 | | | | 611,520 | |
| Synergy Resources Corp. † | | | 48,700 | | | | 593,653 | |
| Teekay Tankers Ltd., Class A | | | 34,000 | | | | 126,820 | |
| Tesco Corp. | | | 26,300 | | | | 522,055 | |
| TETRA Technologies, Inc. † | | | 22,900 | | | | 247,778 | |
| Triangle Petroleum Corp. † | | | 55,600 | | | | 612,156 | |
| Ur-Energy, Inc. † | | | 30,800 | | | | 31,416 | |
| US Energy Corp. Wyoming † | | | 13,300 | | | | 42,427 | |
| VAALCO Energy, Inc. † | | | 13,800 | | | | 117,300 | |
| Vertex Energy, Inc. † | | | 52,700 | | | | 366,792 | |
| Warren Resources, Inc. † | | | 37,000 | | | | 196,100 | |
| Westmoreland Coal Co. † | | | 17,000 | | | | 635,970 | |
| Willbros Group, Inc. † | | | 26,300 | | | | 219,079 | |
| | | | | | | | |
| | | | | | | 23,166,618 | |
| | | | | | | | |
| Financials - 18.6% | |
| 1st Source Corp. | | | 1,500 | | | | 42,720 | |
| Acadia Realty Trust REIT | | | 19,200 | | | | 529,536 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 77 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 18.6% (continued) | |
| Actua Corp. † | | | 21,900 | | | $ | 350,838 | |
| Alexander’s, Inc. REIT | | | 700 | | | | 261,737 | |
| American Assets Trust, Inc. REIT | | | 4,600 | | | | 151,662 | |
| American Equity Investment Life Holding Co. | | | 26,100 | | | | 597,168 | |
| Ameris Bancorp | | | 11,401 | | | | 250,252 | |
| AMERISAFE, Inc. | | | 4,000 | | | | 156,440 | |
| AmREIT, Inc. REIT | | | 2,400 | | | | 55,128 | |
| Arlington Asset Investment Corp., Class A | | | 2,800 | | | | 71,148 | |
| Ashford Hospitality Prime, Inc. REIT | | | 5,780 | | | | 88,029 | |
| Ashford Hospitality Trust, Inc. REIT | | | 63,900 | | | | 653,058 | |
| Associated Estates Realty Corp. REIT | | | 24,500 | | | | 428,995 | |
| Astoria Financial Corp. | | | 14,400 | | | | 178,416 | |
| Atlas Financial Holdings, Inc. † | | | 6,600 | | | | 91,344 | |
| Aviv REIT, Inc. REIT | | | 13,300 | | | | 350,455 | |
| BancFirst Corp. | | | 800 | | | | 50,048 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 8,600 | | | | 263,848 | |
| BancorpSouth, Inc. | | | 15,300 | | | | 308,142 | |
| Bank of the Ozarks, Inc. | | | 43,600 | | | | 1,374,272 | |
| Banner Corp. | | | 2,900 | | | | 111,563 | |
| Beneficial Mutual Bancorp, Inc. † | | | 13,200 | | | | 168,696 | |
| BGC Partners, Inc., Class A | | | 151,900 | | | | 1,128,617 | |
| BNC Bancorp | | | 10,300 | | | | 161,298 | |
| BofI Holding, Inc. † | | | 12,300 | | | | 894,333 | |
| Boston Private Financial Holdings, Inc. | | | 32,500 | | | | 402,675 | |
| Brandywine Realty Trust REIT | | | 30,900 | | | | 434,763 | |
| Capital Bank Financial Corp., Class A † | | | 12,300 | | | | 293,724 | |
| Cardinal Financial Corp. | | | 3,900 | | | | 66,573 | |
| CareTrust REIT, Inc. REIT † | | | 3,500 | | | | 50,050 | |
| Cedar Realty Trust, Inc. REIT | | | 7,500 | | | | 44,250 | |
| Chatham Lodging Trust REIT | | | 7,900 | | | | 182,332 | |
| Chesapeake Lodging Trust REIT | | | 20,900 | | | | 609,235 | |
| CoBiz Financial, Inc. | | | 3,100 | | | | 34,658 | |
| Cohen & Steers, Inc. | | | 7,000 | | | | 269,080 | |
| Community Trust Bancorp, Inc. | | | 2,430 | | | | 81,721 | |
| ConnectOne Bancorp, Inc. | | | 11,700 | | | | 222,885 | |
| Consumer Portfolio Services, Inc. † | | | 25,900 | | | | 166,019 | |
| CoreSite Realty Corp. REIT | | | 1,300 | | | | 42,731 | |
| Corporate Office Properties Trust REIT | | | 26,100 | | | | 671,292 | |
| Cousins Properties, Inc. REIT | | | 55,300 | | | | 660,835 | |
| Cowen Group, Inc., Class A † | | | 27,800 | | | | 104,250 | |
| Credit Acceptance Corp. † | | | 318 | | | | 40,090 | |
| Customers Bancorp, Inc. † | | | 5,100 | | | | 91,596 | |
| CVB Financial Corp. | | | 38,000 | | | | 545,300 | |
| DCT Industrial Trust, Inc. REIT | | | 105,400 | | | | 791,554 | |
| Diamond Hill Investment Group, Inc. | | | 1,200 | | | | 147,660 | |
| DiamondRock Hospitality Co. REIT | | | 90,700 | | | | 1,150,076 | |
| DuPont Fabros Technology, Inc. REIT | | | 27,200 | | | | 735,488 | |
| Eagle Bancorp, Inc. † | | | 18,039 | | | | 574,001 | |
| Education Realty Trust, Inc. REIT | | | 61,100 | | | | 628,108 | |
| eHealth, Inc. † | | | 10,800 | | | | 260,604 | |
| Encore Capital Group, Inc. † | | | 7,274 | | | | 322,311 | |
| Enstar Group Ltd. † | | | 1,300 | | | | 177,216 | |
| EverBank Financial Corp. | | | 28,400 | | | | 501,544 | |
| Evercore Partners, Inc., Class A | | | 20,300 | | | | 954,100 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 18.6% (continued) | |
| FBL Financial Group, Inc., Class A | | | 6,300 | | | $ | 281,610 | |
| FBR & Co. † | | | 10,700 | | | | 294,464 | |
| Federal Agricultural Mortgage Corp., Class C | | | 4,900 | | | | 157,486 | |
| Federated National Holding Co. | | | 14,600 | | | | 410,114 | |
| FelCor Lodging Trust, Inc. REIT | | | 78,200 | | | | 731,952 | |
| Fidelity Southern Corp. | | | 7,868 | | | | 107,792 | |
| First Business Financial Services, Inc. | | | 800 | | | | 35,120 | |
| First Commonwealth Financial Corp. | | | 18,100 | | | | 151,859 | |
| First Financial Bankshares, Inc. | | | 5,400 | | | | 150,066 | |
| First Industrial Realty Trust, Inc. REIT | | | 12,800 | | | | 216,448 | |
| First Interstate BancSystem, Inc. | | | 12,200 | | | | 324,154 | |
| First Merchants Corp. | | | 6,600 | | | | 133,386 | |
| Flagstar Bancorp, Inc. † | | | 13,000 | | | | 218,790 | |
| Flushing Financial Corp. | | | 3,100 | | | | 56,637 | |
| Forestar Group, Inc. † | | | 7,100 | | | | 125,812 | |
| FXCM, Inc., Class A | | | 12,800 | | | | 202,880 | |
| Gain Capital Holdings, Inc. | | | 23,700 | | | | 150,969 | |
| GAMCO Investors, Inc., Class A | | | 6,900 | | | | 488,106 | |
| Glacier Bancorp, Inc. | | | 16,100 | | | | 416,346 | |
| Gladstone Capital Corp. | | | 7,300 | | | | 64,021 | |
| Gladstone Commercial Corp. REIT | | | 5,400 | | | | 91,746 | |
| Gladstone Investment Corp. | | | 9,900 | | | | 70,389 | |
| Gramercy Property Trust, Inc. REIT | | | 83,000 | | | | 478,080 | |
| Greenlight Capital Re Ltd., Class A (Cayman Islands) † | | | 6,200 | | | | 200,942 | |
| Hanmi Financial Corp. | | | 15,000 | | | | 302,400 | |
| Hanover Insurance Group, Inc./The | | | 5,000 | | | | 307,100 | |
| HCI Group, Inc. | | | 9,100 | | | | 327,509 | |
| Hercules Technology Growth Capital, Inc. | | | 14,300 | | | | 206,778 | |
| Hersha Hospitality Trust REIT | | | 28,600 | | | | 182,182 | |
| HFF, Inc., Class A | | | 18,200 | | | | 526,890 | |
| Hilltop Holdings, Inc. † | | | 36,400 | | | | 729,820 | |
| Home BancShares, Inc. | | | 29,700 | | | | 873,477 | |
| HomeStreet, Inc. | | | 7,500 | | | | 128,175 | |
| Horace Mann Educators Corp. | | | 8,000 | | | | 228,080 | |
| Horizon Technology Finance Corp. | | | 900 | | | | 12,114 | |
| Hudson Pacific Properties, Inc. REIT | | | 16,000 | | | | 394,560 | |
| Iberiabank Corp. | | | 6,100 | | | | 381,311 | |
| Independent Bank Corp. | | | 26,800 | | | | 319,456 | |
| Independent Bank Group, Inc. | | | 7,000 | | | | 332,150 | |
| Infinity Property & Casualty Corp. | | | 3,300 | | | | 211,233 | |
| Interactive Brokers Group, Inc., Class A | | | 19,100 | | | | 476,545 | |
| International Bancshares Corp. | | | 5,500 | | | | 135,657 | |
| INTL FCStone, Inc. † | | | 3,000 | | | | 51,960 | |
| Investment Technology Group, Inc. † | | | 10,100 | | | | 159,176 | |
| Investors Bancorp, Inc. | | | 22,185 | | | | 224,734 | |
| Janus Capital Group, Inc. | | | 83,300 | | | | 1,211,182 | |
| KCAP Financial, Inc. | | | 23,900 | | | | 198,609 | |
| KCG Holdings, Inc., Class A † | | | 14,400 | | | | 145,872 | |
| Kennedy-Wilson Holdings, Inc. | | | 44,000 | | | | 1,054,240 | |
| Ladenburg Thalmann Financial Services, Inc. † | | | 125,900 | | | | 533,816 | |
| Lakeland Financial Corp. | | | 7,500 | | | | 281,250 | |
| Maiden Holdings Ltd. | | | 15,800 | | | | 175,064 | |
| MarketAxess Holdings, Inc. | | | 12,782 | | | | 790,695 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 78 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 18.6% (continued) | |
| Medallion Financial Corp. | | | 7,700 | | | $ | 89,782 | |
| Medical Properties Trust, Inc. REIT | | | 38,800 | | | | 475,688 | |
| Meridian Bancorp, Inc. † | | | 4,651 | | | | 49,115 | |
| Meta Financial Group, Inc. | | | 5,100 | | | | 179,826 | |
| Monmouth Real Estate Investment Corp. REIT | | | 8,600 | | | | 87,032 | |
| Montpelier Re Holdings Ltd. | | | 9,600 | | | | 298,464 | |
| MVC Capital, Inc. | | | 4,300 | | | | 46,268 | |
| National Health Investors, Inc. REIT | | | 3,900 | | | | 222,846 | |
| Nelnet, Inc., Class A | | | 9,400 | | | | 405,046 | |
| OneBeacon Insurance Group Ltd., Class A | | | 14,400 | | | | 221,904 | |
| Oritani Financial Corp. | | | 10,200 | | | | 143,718 | |
| Parkway Properties, Inc. REIT | | | 27,000 | | | | 507,060 | |
| Pebblebrook Hotel Trust REIT | | | 37,000 | | | | 1,381,580 | |
| Peoples Financial Services Corp. | | | 1,100 | | | | 50,589 | |
| Phoenix Cos., Inc./The † | | | 2,500 | | | | 140,150 | |
| Physicians Realty Trust REIT | | | 17,200 | | | | 235,984 | |
| Pinnacle Financial Partners, Inc. | | | 17,300 | | | | 624,530 | |
| Piper Jaffray Cos. † | | | 7,800 | | | | 407,472 | |
| Preferred Bank † | | | 3,100 | | | | 69,812 | |
| Primerica, Inc. | | | 10,200 | | | | 491,844 | |
| PrivateBancorp, Inc. | | | 34,900 | | | | 1,043,859 | |
| PS Business Parks, Inc. REIT | | | 2,200 | | | | 167,508 | |
| Pzena Investment Management, Inc., Class A | | | 19,400 | | | | 185,270 | |
| Ramco-Gershenson Properties Trust REIT | | | 19,000 | | | | 308,750 | |
| RCS Capital Corp., Class A | | | 43,500 | | | | 979,620 | |
| Ryman Hospitality Properties, Inc. REIT | | | 34,600 | | | | 1,636,580 | |
| Sabra Health Care REIT, Inc. REIT | | | 20,900 | | | | 508,288 | |
| Safeguard Scientifics, Inc. † | | | 4,700 | | | | 86,480 | |
| Safety Insurance Group, Inc. | | | 700 | | | | 37,737 | |
| Security National Financial Corp., Class A † | | | 7,440 | | | | 36,977 | |
| Select Income REIT REIT | | | 19,400 | | | | 466,570 | |
| Simmons First National Corp., Class A | | | 2,900 | | | | 111,708 | |
| South State Corp. | | | 3,400 | | | | 190,128 | |
| Southside Bancshares, Inc. | | | 7,757 | | | | 257,920 | |
| Southwest Bancorp, Inc. | | | 100 | | | | 1,640 | |
| STAG Industrial, Inc. REIT | | | 37,800 | | | | 782,838 | |
| StanCorp Financial Group, Inc. | | | 8,500 | | | | 537,030 | |
| Stewart Information Services Corp. | | | 7,500 | | | | 220,125 | |
| Strategic Hotels & Resorts, Inc. REIT † | | | 26,500 | | | | 308,725 | |
| Sun Communities, Inc. REIT | | | 16,000 | | | | 808,000 | |
| Sunstone Hotel Investors, Inc. REIT | | | 25,700 | | | | 355,174 | |
| Symetra Financial Corp. | | | 34,700 | | | | 809,551 | |
| TICC Capital Corp. | | | 21,800 | | | | 192,494 | |
| Tompkins Financial Corp. | | | 1,500 | | | | 66,120 | |
| Tree.com, Inc. † | | | 7,500 | | | | 269,175 | |
| Triangle Capital Corp. | | | 10,100 | | | | 255,732 | |
| United Community Banks, Inc. | | | 13,700 | | | | 225,502 | |
| United Insurance Holdings Corp. | | | 33,100 | | | | 496,500 | |
| Universal Health Realty Income Trust REIT | | | 700 | | | | 29,176 | |
| Universal Insurance Holdings, Inc. | | | 23,800 | | | | 307,734 | |
| ViewPoint Financial Group, Inc. | | | 14,400 | | | | 344,736 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 18.6% (continued) | |
| Virtus Investment Partners, Inc. | | | 1,800 | | | $ | 312,660 | |
| Walker & Dunlop, Inc. † | | | 5,900 | | | | 78,411 | |
| Washington Trust Bancorp, Inc. | | | 2,900 | | | | 95,671 | |
| Waterstone Financial, Inc. | | | 8,300 | | | | 95,865 | |
| WesBanco, Inc. | | | 7,700 | | | | 235,543 | |
| Western Alliance Bancorp † | | | 49,200 | | | | 1,175,880 | |
| Wilshire Bancorp, Inc. | | | 29,600 | | | | 273,208 | |
| Winthrop Realty Trust REIT | | | 23,200 | | | | 349,624 | |
| WSFS Financial Corp. | | | 2,900 | | | | 207,669 | |
| | | | | | | | |
| | | | | | | 57,416,556 | |
| | | | | | | | |
| Health Care - 18.5% | | | | | | | | |
| Abaxis, Inc. | | | 6,100 | | | | 309,331 | |
| ABIOMED, Inc. † | | | 9,300 | | | | 230,919 | |
| Acadia Healthcare Co., Inc. † | | | 13,700 | | | | 664,450 | |
| ACADIA Pharmaceuticals, Inc. † | | | 2,300 | | | | 56,948 | |
| Accelerate Diagnostics, Inc. † | | | 33,400 | | | | 717,432 | |
| Accuray, Inc. † | | | 39,800 | | | | 288,948 | |
| Achillion Pharmaceuticals, Inc. † | | | 28,000 | | | | 279,440 | |
| Addus HomeCare Corp. † | | | 18,500 | | | | 362,600 | |
| Affymetrix, Inc. † | | | 60,200 | | | | 480,396 | |
| Agios Pharmaceuticals, Inc. † | | | 9,800 | | | | 601,230 | |
| Air Methods Corp. † | | | 18,100 | | | | 1,005,455 | |
| Akorn, Inc. † | | | 14,800 | | | | 536,796 | |
| Albany Molecular Research, Inc. † | | | 26,900 | | | | 593,683 | |
| Alimera Sciences, Inc. † | | | 33,400 | | | | 181,028 | |
| Alliance HealthCare Services, Inc. † | | | 11,900 | | | | 269,059 | |
| Alnylam Pharmaceuticals, Inc. † | | | 1,600 | | | | 124,960 | |
| Amicus Therapeutics, Inc. † | | | 47,900 | | | | 285,005 | |
| Amsurg Corp. † | | | 19,500 | | | | 975,975 | |
| Anacor Pharmaceuticals, Inc. † | | | 29,800 | | | | 729,206 | |
| Analogic Corp. | | | 2,300 | | | | 147,108 | |
| AngioDynamics, Inc. † | | | 7,800 | | | | 107,016 | |
| ANI Pharmaceuticals, Inc. † | | | 10,200 | | | | 288,456 | |
| Anika Therapeutics, Inc. † | | | 15,000 | | | | 549,900 | |
| Aratana Therapeutics, Inc. † | | | 10,000 | | | | 100,400 | |
| Arrowhead Research Corp. † | | | 43,500 | | | | 642,495 | |
| AtriCure, Inc. † | | | 26,500 | | | | 390,080 | |
| Atrion Corp. | | | 400 | | | | 122,004 | |
| AVANIR Pharmaceuticals, Inc. † | | | 43,800 | | | | 522,096 | |
| BioCryst Pharmaceuticals, Inc. † | | | 74,000 | | | | 723,720 | |
| BioDelivery Sciences International, Inc. † | | | 32,700 | | | | 558,843 | |
| Biolase, Inc. † | | | 24,075 | | | | 59,947 | |
| BioSpecifics Technologies Corp. † | | | 1,300 | | | | 45,890 | |
| BioTelemetry, Inc. † | | | 25,000 | | | | 167,750 | |
| Bluebird Bio, Inc. † | | | 8,700 | | | | 312,156 | |
| Cambrex Corp. † | | | 16,400 | | | | 306,352 | |
| Cantel Medical Corp. | | | 14,923 | | | | 513,053 | |
| Capital Senior Living Corp. † | | | 6,600 | | | | 140,118 | |
| Cardiovascular Systems, Inc. † | | | 14,500 | | | | 342,635 | |
Catalyst Pharmaceutical Partners,
Inc. † | | | 150,700 | | | | 500,324 | |
| Celsion Corp. † | | | 6,866 | | | | 20,323 | |
| Cempra, Inc. † | | | 20,800 | | | | 227,968 | |
| Cesca Therapeutics, Inc. † | | | 18,100 | | | | 22,082 | |
| Charles River Laboratories International, Inc. † | | | 5,800 | | | | 346,492 | |
| Chemed Corp. | | | 6,400 | | | | 658,560 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 79 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 18.5% (continued) | | | | | | | | |
| CONMED Corp. | | | 11,800 | | | $ | 434,712 | |
| Corcept Therapeutics, Inc. † | | | 53,100 | | | | 142,308 | |
| CorVel Corp. † | | | 11,200 | | | | 381,360 | |
| Cross Country Healthcare, Inc. † | | | 11,400 | | | | 105,906 | |
| CryoLife, Inc. | | | 5,100 | | | | 50,337 | |
| CTI BioPharma Corp. † | | | 77,000 | | | | 186,340 | |
| Cyberonics, Inc. † | | | 3,200 | | | | 163,712 | |
| CytRx Corp. † | | | 49,700 | | | | 126,238 | |
| Depomed, Inc. † | | | 45,100 | | | | 685,069 | |
| DexCom, Inc. † | | | 17,000 | | | | 679,830 | |
| Durata Therapeutics, Inc. † | | | 23,200 | | | | 294,176 | |
| Durect Corp. † | | | 74,700 | | | | 109,809 | |
| Dyax Corp. † | | | 90,300 | | | | 913,836 | |
| Emergent Biosolutions, Inc. † | | | 10,900 | | | | 232,279 | |
| Enanta Pharmaceuticals, Inc. † | | | 20,400 | | | | 807,228 | |
| Endologix, Inc. † | | | 6,400 | | | | 67,840 | |
| Ensign Group, Inc./The | | | 11,400 | | | | 396,720 | |
| Enzo Biochem, Inc. † | | | 35,500 | | | | 182,825 | |
| Exact Sciences Corp. † | | | 24,500 | | | | 474,810 | |
| ExamWorks Group, Inc. † | | | 20,300 | | | | 664,825 | |
| Five Star Quality Care, Inc. † | | | 27,400 | | | | 103,298 | |
| Fluidigm Corp. † | | | 15,500 | | | | 379,750 | |
| Fonar Corp. † | | | 15,100 | | | | 166,251 | |
| Galena Biopharma, Inc. † | | | 75,000 | | | | 154,500 | |
| GenMark Diagnostics, Inc. † | | | 6,900 | | | | 61,893 | |
| Gentiva Health Services, Inc. † | | | 19,100 | | | | 320,498 | |
| Geron Corp. † | | | 110,600 | | | | 221,200 | |
| Globus Medical, Inc., Class A † | | | 48,600 | | | | 955,962 | |
| Greatbatch, Inc. † | | | 4,500 | | | | 191,745 | |
| GTx, Inc. † | | | 16,900 | | | | 12,464 | |
| Halozyme Therapeutics, Inc. † | | | 22,500 | | | | 204,750 | |
| HealthStream, Inc. † | | | 2,700 | | | | 64,827 | |
| Healthways, Inc. † | | | 10,700 | | | | 171,414 | |
| Hyperion Therapeutics, Inc. † | | | 6,600 | | | | 166,452 | |
| Icad, Inc. † | | | 12,500 | | | | 123,125 | |
| Idera Pharmaceuticals, Inc. † | | | 89,900 | | | | 205,871 | |
| Immunomedics, Inc. † | | | 29,300 | | | | 108,996 | |
| Impax Laboratories, Inc. † | | | 27,900 | | | | 661,509 | |
| Inovio Pharmaceuticals, Inc. † | | | 45,300 | | | | 446,205 | |
| Insmed, Inc. † | | | 17,900 | | | | 233,595 | |
| Insulet Corp. † | | | 5,400 | | | | 198,990 | |
| Insys Therapeutics, Inc. † | | | 23,400 | | | | 907,452 | |
| Intercept Pharmaceuticals, Inc. † | | | 900 | | | | 213,021 | |
| Iridex Corp. † | | | 2,000 | | | | 13,980 | |
| Ironwood Pharmaceuticals, Inc. † | | | 37,900 | | | | 490,994 | |
| IsoRay, Inc. † | | | 91,600 | | | | 154,804 | |
| Jazz Pharmaceuticals PLC † | | | 400 | | | | 64,224 | |
| Keryx Biopharmaceuticals, Inc. † | | | 54,100 | | | | 743,875 | |
| Kindred Healthcare, Inc. | | | 25,900 | | | | 502,460 | |
| KYTHERA Biopharmaceuticals, Inc. † | | | 18,800 | | | | 615,888 | |
| Lannett Co., Inc. † | | | 26,300 | | | | 1,201,384 | |
| Ligand Pharmaceuticals, Inc. † | | | 7,200 | | | | 338,328 | |
| Medcath Corp. (3)†(a) | | | 10,300 | | | | 14,729 | |
| Medidata Solutions, Inc. † | | | 3,800 | | | | 168,302 | |
| Merge Healthcare, Inc. † | | | 19,600 | | | | 43,120 | |
| Merit Medical Systems, Inc. † | | | 7,600 | | | | 90,288 | |
| Merrimack Pharmaceuticals, Inc. † | | | 77,700 | | | | 682,206 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 18.5% (continued) | | | | | | | | |
| MiMedx Group, Inc. † | | | 34,300 | | | $ | 244,559 | |
| Mirati Therapeutics, Inc. † | | | 2,700 | | | | 47,277 | |
| Molina Healthcare, Inc. † | | | 9,400 | | | | 397,620 | |
| MWI Veterinary Supply, Inc. † | | | 1,400 | | | | 207,760 | |
| Myriad Genetics, Inc. † | | | 32,700 | | | | 1,261,239 | |
| NanoString Technologies, Inc. † | | | 3,100 | | | | 33,914 | |
| NanoViricides, Inc. † | | | 57,800 | | | | 173,400 | |
| National Research Corp., Class B † | | | 1,100 | | | | 40,810 | |
| Natus Medical, Inc. † | | | 17,500 | | | | 516,425 | |
| Navidea Biopharmaceuticals, Inc. † | | | 29,100 | | | | 38,412 | |
| Neogen Corp. † | | | 4,450 | | | | 175,775 | |
| NeoGenomics, Inc. † | | | 10,200 | | | | 53,142 | |
| Neuralstem, Inc. † | | | 109,700 | | | | 359,816 | |
| Neurocrine Biosciences, Inc. † | | | 23,200 | | | | 363,544 | |
| NewLink Genetics Corp. † | | | 19,900 | | | | 426,258 | |
| Northwest Biotherapeutics, Inc. † | | | 39,500 | | | | 198,685 | |
| Novavax, Inc. † | | | 124,100 | | | | 517,497 | |
| NuVasive, Inc. † | | | 17,000 | | | | 592,790 | |
| Ohr Pharmaceutical, Inc. † | | | 7,600 | | | | 55,100 | |
| Omeros Corp. † | | | 32,600 | | | | 414,672 | |
| Omnicell, Inc. † | | | 16,100 | | | | 440,013 | |
| OncoMed Pharmaceuticals, Inc. † | | | 6,200 | | | | 117,366 | |
| Oncothyreon, Inc. † | | | 23,000 | | | | 44,160 | |
| OraSure Technologies, Inc. † | | | 36,400 | | | | 262,808 | |
| Organovo Holdings, Inc. † | | | 37,800 | | | | 240,786 | |
| Osiris Therapeutics, Inc. † | | | 14,400 | | | | 181,296 | |
| Pacific Biosciences of California, Inc. † | | | 59,300 | | | | 291,163 | |
| Pacira Pharmaceuticals, Inc. † | | | 5,200 | | | | 503,984 | |
| Pain Therapeutics, Inc. † | | | 44,300 | | | | 173,213 | |
| PDL BioPharma, Inc. | | | 65,700 | | | | 490,779 | |
| Peregrine Pharmaceuticals, Inc. † | | | 181,400 | | | | 246,704 | |
| Pernix Therapeutics Holdings, Inc. † | | | 37,800 | | | | 290,304 | |
| Pharmacyclics, Inc. † | | | 1,000 | | | | 117,430 | |
| PharMerica Corp. † | | | 15,500 | | | | 378,665 | |
| POZEN, Inc. † | | | 23,700 | | | | 173,958 | |
| Providence Service Corp./The † | | | 12,000 | | | | 580,560 | |
| pSivida Corp. † | | | 26,700 | | | | 118,014 | |
| PTC Therapeutics, Inc. † | | | 16,400 | | | | 721,764 | |
| Puma Biotechnology, Inc. † | | | 1,800 | | | | 429,426 | |
| Quidel Corp. † | | | 3,600 | | | | 96,732 | |
| RadNet, Inc. † | | | 45,400 | | | | 300,548 | |
| Raptor Pharmaceutical Corp. † | | | 11,800 | | | | 113,162 | |
| Receptos, Inc. † | | | 22,200 | | | | 1,378,842 | |
| Regulus Therapeutics, Inc. † | | | 5,300 | | | | 36,199 | |
| Repligen Corp. † | | | 17,800 | | | | 354,398 | |
| Repros Therapeutics, Inc. † | | | 14,800 | | | | 146,520 | |
| Retrophin, Inc. † | | | 29,400 | | | | 265,188 | |
| Rexahn Pharmaceuticals, Inc. † | | | 140,800 | | | | 114,048 | |
| Rockwell Medical, Inc. † | | | 40,300 | | | | 368,342 | |
| RTI Surgical, Inc. † | | | 21,000 | | | | 100,380 | |
| Sangamo BioSciences, Inc. † | | | 31,800 | | | | 342,963 | |
| SciClone Pharmaceuticals, Inc. † | | | 10,700 | | | | 73,723 | |
| Select Medical Holdings Corp. | | | 70,400 | | | | 846,912 | |
| Sorrento Therapeutics, Inc. † | | | 10,700 | | | | 48,364 | |
| Spectranetics Corp./The † | | | 17,500 | | | | 464,975 | |
| STAAR Surgical Co. † | | | 33,900 | | | | 360,357 | |
| Stemline Therapeutics, Inc. † | | | 7,800 | | | | 97,188 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 80 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 18.5% (continued) | | | | | | | | |
| Stereotaxis, Inc. † | | | 34,200 | | | $ | 79,344 | |
| Sucampo Pharmaceuticals, Inc., Class A † | | | 7,200 | | | | 46,800 | |
| Sunesis Pharmaceuticals, Inc. † | | | 17,700 | | | | 126,378 | |
| Sunshine Heart, Inc. † | | | 5,900 | | | | 33,276 | |
| Supernus Pharmaceuticals, Inc. † | | | 16,700 | | | | 145,123 | |
| Synageva BioPharma Corp. † | | | 9,900 | | | | 680,922 | |
| TESARO, Inc. † | | | 9,700 | | | | 261,124 | |
| Tetraphase Pharmaceuticals, Inc. † | | | 10,300 | | | | 205,485 | |
| TG Therapeutics, Inc. † | | | 23,000 | | | | 245,410 | |
| TherapeuticsMD, Inc. † | | | 105,700 | | | | 490,448 | |
| Threshold Pharmaceuticals, Inc. † | | | 35,800 | | | | 129,238 | |
| Tonix Pharmaceuticals Holding Corp. † | | | 7,500 | | | | 51,375 | |
| Unilife Corp. † | | | 19,900 | | | | 45,671 | |
| Universal American Corp. † | | | 19,100 | | | | 153,564 | |
| US Physical Therapy, Inc. | | | 3,000 | | | | 106,170 | |
| Vanda Pharmaceuticals, Inc. † | | | 25,400 | | | | 263,652 | |
| Vascular Solutions, Inc. † | | | 5,100 | | | | 125,970 | |
| Zeltiq Aesthetics, Inc. † | | | 42,400 | | | | 959,512 | |
| ZIOPHARM Oncology, Inc. † | | | 87,100 | | | | 229,944 | |
| Zogenix, Inc. † | | | 77,400 | | | | 89,010 | |
| | | | | | | | |
| | | | | | | 56,905,484 | |
| | | | | | | | |
| Industrials - 14.0% | | | | | | | | |
| AAON, Inc. | | | 22,723 | | | | 386,518 | |
| Aceto Corp. | | | 15,900 | | | | 307,188 | |
| Adept Technology, Inc. † | | | 24,700 | | | | 207,727 | |
| Aerovironment, Inc. † | | | 8,400 | | | | 252,588 | |
| Air Transport Services Group, Inc. † | | | 24,800 | | | | 180,544 | |
| Aircastle Ltd. | | | 14,300 | | | | 233,948 | |
| Alamo Group, Inc. | | | 3,400 | | | | 139,400 | |
| Albany International Corp., Class A | | | 6,000 | | | | 204,240 | |
| Allegiant Travel Co. | | | 5,300 | | | | 655,398 | |
| Altra Industrial Motion Corp. | | | 6,500 | | | | 189,540 | |
| AMERCO | | | 1,100 | | | | 288,079 | |
| American Railcar Industries, Inc. | | | 14,300 | | | | 1,057,056 | |
| American Woodmark Corp. † | | | 1,800 | | | | 66,348 | |
| Apogee Enterprises, Inc. | | | 8,700 | | | | 346,260 | |
| ARC Document Solutions, Inc. † | | | 30,400 | | | | 246,240 | |
| ARC Group Worldwide, Inc. † | | | 28,500 | | | | 445,170 | |
| ArcBest Corp. | | | 19,200 | | | | 716,160 | |
| Argan, Inc. | | | 13,800 | | | | 460,644 | |
| Arotech Corp. † | | | 71,600 | | | | 232,700 | |
| Astec Industries, Inc. | | | 4,900 | | | | 178,703 | |
| Astronics Corp. † | | | 14,000 | | | | 667,520 | |
| Astronics Corp., Class B † | | | 2,000 | | | | 95,000 | |
| Baltic Trading Ltd. | | | 24,900 | | | | 103,086 | |
| Barrett Business Services, Inc. | | | 1,800 | | | | 71,082 | |
| Broadwind Energy, Inc. † | | | 20,000 | | | | 149,800 | |
| Builders FirstSource, Inc. † | | | 27,700 | | | | 150,965 | |
| CAI International, Inc. † | | | 6,100 | | | | 118,035 | |
| Capstone Turbine Corp. † | | | 41,500 | | | | 44,405 | |
| CBIZ, Inc. † | | | 10,400 | | | | 81,848 | |
| Ceco Environmental Corp. | | | 3,000 | | | | 40,200 | |
| Celadon Group, Inc. | | | 3,900 | | | | 75,855 | |
| Cenveo, Inc. † | | | 13,200 | | | | 32,604 | |
| CIRCOR International, Inc. | | | 8,400 | | | | 565,572 | |
| Columbus McKinnon Corp. | | | 4,400 | | | | 96,756 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 14.0% (continued) | | | | | | | | |
| Covenant Transportation Group, Inc., Class A † | | | 3,500 | | | $ | 65,065 | |
| CTPartners Executive Search, Inc. † | | | 4,300 | | | | 67,037 | |
| Curtiss-Wright Corp. | | | 2,800 | | | | 184,576 | |
| Deluxe Corp. | | | 5,000 | | | | 275,800 | |
| Douglas Dynamics, Inc. | | | 10,400 | | | | 202,800 | |
| Ducommun, Inc. † | | | 4,700 | | | | 128,827 | |
| DXP Enterprises, Inc. † | | | 2,800 | | | | 206,304 | |
| Dycom Industries, Inc. † | | | 12,400 | | | | 380,804 | |
| Dynamic Materials Corp. | | | 2,700 | | | | 51,435 | |
| Echo Global Logistics, Inc. † | | | 4,100 | | | | 96,555 | |
| Encore Wire Corp. | | | 4,800 | | | | 178,032 | |
| Energy Recovery, Inc. † | | | 19,300 | | | | 68,322 | |
| EnerSys | | | 1,000 | | | | 58,640 | |
| Engility Holdings, Inc. † | | | 12,900 | | | | 402,093 | |
| Enphase Energy, Inc. † | | | 37,900 | | | | 568,121 | |
| EnPro Industries, Inc. † | | | 11,000 | | | | 665,830 | |
| Erickson, Inc. † | | | 9,400 | | | | 122,106 | |
| Exponent, Inc. | | | 4,900 | | | | 347,312 | |
| Federal Signal Corp. | | | 33,100 | | | | 438,244 | |
| Forward Air Corp. | | | 2,500 | | | | 112,075 | |
| Franklin Covey Co. † | | | 1,800 | | | | 35,262 | |
| FreightCar America, Inc. | | | 4,600 | | | | 153,180 | |
| FuelCell Energy, Inc. † | | | 119,700 | | | | 250,173 | |
| Furmanite Corp. † | | | 12,300 | | | | 83,148 | |
| G&K Services, Inc., Class A | | | 5,500 | | | | 304,590 | |
| GenCorp, Inc. † | | | 7,500 | | | | 119,775 | |
| Gibraltar Industries, Inc. † | | | 11,800 | | | | 161,542 | |
| Global Power Equipment Group, Inc. | | | 2,400 | | | | 35,760 | |
| Gorman-Rupp Co./The | | | 3,800 | | | | 114,152 | |
| GP Strategies Corp. † | | | 5,000 | | | | 143,600 | |
| GrafTech International Ltd. † | | | 57,600 | | | | 263,808 | |
| Great Lakes Dredge & Dock Corp. † | | | 25,500 | | | | 157,590 | |
| Greenbrier Cos., Inc./The | | | 20,100 | | | | 1,474,938 | |
| H&E Equipment Services, Inc. | | | 18,900 | | | | 761,292 | |
| Hawaiian Holdings, Inc. † | | | 39,900 | | | | 536,655 | |
| Healthcare Services Group, Inc. | | | 15,100 | | | | 432,011 | |
| Heartland Express, Inc. | | | 42,200 | | | | 1,011,112 | |
| Heidrick & Struggles International, Inc. | | | 1,800 | | | | 36,972 | |
| Herman Miller, Inc. | | | 5,100 | | | | 152,235 | |
| Hillenbrand, Inc. | | | 14,500 | | | | 447,905 | |
| HUB Group, Inc., Class A † | | | 9,300 | | | | 376,929 | |
| Huron Consulting Group, Inc. † | | | 10,800 | | | | 658,476 | |
| Hyster-Yale Materials Handling, Inc. | | | 10,100 | | | | 723,362 | |
| ICF International, Inc. † | | | 3,600 | | | | 110,844 | |
| InnerWorkings, Inc. † | | | 6,500 | | | | 52,585 | |
| Insperity, Inc. | | | 2,100 | | | | 57,414 | |
| Insteel Industries, Inc. | | | 3,700 | | | | 76,072 | |
| Interface, Inc. | | | 2,300 | | | | 37,122 | |
| John Bean Technologies Corp. | | | 7,800 | | | | 219,414 | |
| Kadant, Inc. | | | 3,300 | | | | 128,865 | |
| Kaman Corp. | | | 5,100 | | | | 200,430 | |
| Kelly Services, Inc., Class A | | | 5,600 | | | | 87,752 | |
| Kforce, Inc. | | | 12,400 | | | | 242,668 | |
| Kimball International, Inc., Class B | | | 17,400 | | | | 261,870 | |
| Knight Transportation, Inc. | | | 37,100 | | | | 1,016,169 | |
| Korn/Ferry International † | | | 21,300 | | | | 530,370 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 81 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 14.0% (continued) | | | | | | | | |
Kratos Defense & Security Solutions,
Inc. † | | | 5,300 | | | $ | 34,768 | |
| Lydall, Inc. † | | | 9,600 | | | | 259,296 | |
| Manitex International, Inc. † | | | 15,900 | | | | 179,511 | |
| Marten Transport Ltd. | | | 11,400 | | | | 203,034 | |
| McGrath RentCorp. | | | 4,400 | | | | 150,480 | |
| Meritor, Inc. † | | | 58,500 | | | | 634,725 | |
| Middleby Corp./The † | | | 3,300 | | | | 290,829 | |
| Mistras Group, Inc. † | | | 8,900 | | | | 181,560 | |
| Mobile Mini, Inc. | | | 25,000 | | | | 874,250 | |
| Moog, Inc., Class A † | | | 1,800 | | | | 123,120 | |
| Mueller Water Products, Inc., Class A | | | 12,600 | | | | 104,328 | |
| Multi-Color Corp. | | | 6,200 | | | | 281,976 | |
| Navigant Consulting, Inc. † | | | 7,300 | | | | 101,543 | |
| NCI Building Systems, Inc. † | | | 19,300 | | | | 374,420 | |
| NN, Inc. | | | 18,100 | | | | 483,632 | |
| Nortek, Inc. † | | | 900 | | | | 67,050 | |
| Northwest Pipe Co. † | | | 1,700 | | | | 57,970 | |
| Ocean Power Technologies, Inc. † | | | 33,400 | | | | 39,412 | |
| Orion Energy Systems, Inc. † | | | 29,300 | | | | 156,755 | |
| Orion Marine Group, Inc. † | | | 4,800 | | | | 47,904 | |
| PAM Transportation Services, Inc. † | | | 3,600 | | | | 130,500 | |
| Park-Ohio Holdings Corp. | | | 7,000 | | | | 335,020 | |
| Patrick Industries, Inc. † | | | 19,800 | | | | 838,728 | |
| Pendrell Corp. † | | | 74,100 | | | | 99,294 | |
| PGT, Inc. † | | | 20,200 | | | | 188,264 | |
| Plug Power, Inc. † | | | 125,300 | | | | 575,127 | |
| Powell Industries, Inc. | | | 1,200 | | | | 49,032 | |
| Primoris Services Corp. | | | 19,500 | | | | 523,380 | |
| Proto Labs, Inc. † | | | 4,900 | | | | 338,100 | |
| Quality Distribution, Inc. † | | | 24,100 | | | | 307,998 | |
| Raven Industries, Inc. | | | 6,400 | | | | 156,160 | |
| RBC Bearings, Inc. | | | 2,800 | | | | 158,760 | |
| Real Goods Solar, Inc., Class A † | | | 44,200 | | | | 76,024 | |
| Revolution Lighting Technologies, Inc. † | | | 91,300 | | | | 153,384 | |
| Rexnord Corp. † | | | 16,700 | | | | 475,115 | |
Roadrunner Transportation Systems,
Inc. † | | | 13,100 | | | | 298,549 | |
| Rush Enterprises, Inc., Class A † | | | 15,500 | | | | 518,475 | |
| Saia, Inc. † | | | 15,300 | | | | 758,268 | |
| Seaspan Corp. (Hong Kong) | | | 3,700 | | | | 79,550 | |
| Sparton Corp. † | | | 11,100 | | | | 273,615 | |
| Spirit Airlines, Inc. † | | | 4,500 | | | | 311,130 | |
| Standex International Corp. | | | 3,500 | | | | 259,490 | |
| Sun Hydraulics Corp. | | | 6,700 | | | | 251,853 | |
| Swift Transportation Co. † | | | 1,300 | | | | 27,274 | |
| Taser International, Inc. † | | | 23,600 | | | | 364,384 | |
| Team, Inc. † | | | 4,400 | | | | 166,804 | |
| Tennant Co. | | | 9,200 | | | | 617,228 | |
| Thermon Group Holdings, Inc. † | | | 7,300 | | | | 178,266 | |
| Trex Co., Inc. † | | | 12,000 | | | | 414,840 | |
| Tutor Perini Corp. † | | | 20,100 | | | | 530,640 | |
| UniFirst Corp. | | | 500 | | | | 48,295 | |
| Universal Forest Products, Inc. | | | 3,400 | | | | 145,214 | |
| Universal Truckload Services, Inc. | | | 1,800 | | | | 43,650 | |
| US Ecology, Inc. | | | 9,800 | | | | 458,248 | |
| Viad Corp. | | | 5,800 | | | | 119,770 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 14.0% (continued) | | | | | | | | |
| Vicor Corp. † | | | 4,800 | | | $ | 45,120 | |
| VSE Corp. | | | 2,700 | | | | 132,354 | |
| Wabash National Corp. † | | | 23,600 | | | | 314,352 | |
| WageWorks, Inc. † | | | 11,500 | | | | 523,595 | |
| West Corp. | | | 5,100 | | | | 150,246 | |
| Willdan Group, Inc. † | | | 5,700 | | | | 82,422 | |
| Xerium Technologies, Inc. † | | | 16,400 | | | | 239,604 | |
| XPO Logistics, Inc. † | | | 33,100 | | | | 1,246,877 | |
| YRC Worldwide, Inc. † | | | 8,400 | | | | 170,688 | |
| | | | | | | | |
| | | | | | | 42,985,449 | |
| | | | | | | | |
| Information Technology - 17.4% | | | | | | | | |
| Actuate Corp. † | | | 8,700 | | | | 33,930 | |
| Advanced Energy Industries, Inc. † | | | 6,900 | | | | 129,651 | |
| Advent Software, Inc. | | | 6,400 | | | | 201,984 | |
| Alliance Fiber Optic Products, Inc. | | | 12,000 | | | | 149,160 | |
| Ambarella, Inc. † | | | 29,900 | | | | 1,305,733 | |
| Amkor Technology, Inc. † | | | 117,700 | | | | 989,857 | |
| Autobytel, Inc. † | | | 22,900 | | | | 196,711 | |
| Axcelis Technologies, Inc. † | | | 108,400 | | | | 215,716 | |
| Badger Meter, Inc. | | | 3,300 | | | | 166,485 | |
| Bel Fuse, Inc., Class B | | | 3,100 | | | | 76,694 | |
| Booz Allen Hamilton Holding Corp. | | | 2,100 | | | | 49,140 | |
| BroadSoft, Inc. † | | | 5,700 | | | | 119,928 | |
| Brooks Automation, Inc. | | | 11,100 | | | | 116,661 | |
| CalAmp Corp. † | | | 14,100 | | | | 248,442 | |
| Calix, Inc. † | | | 9,600 | | | | 91,872 | |
| Callidus Software, Inc. † | | | 35,900 | | | | 431,518 | |
| Carbonite, Inc. † | | | 4,700 | | | | 48,128 | |
| Cardtronics, Inc. † | | | 5,400 | | | | 190,080 | |
| Cascade Microtech, Inc. † | | | 4,900 | | | | 49,637 | |
| Cavium, Inc. † | | | 6,800 | | | | 338,164 | |
| CEVA, Inc. † | | | 3,300 | | | | 44,352 | |
| ChannelAdvisor Corp. † | | | 14,200 | | | | 232,880 | |
| Checkpoint Systems, Inc. † | | | 5,600 | | | | 68,488 | |
| Ciber, Inc. † | | | 10,100 | | | | 34,643 | |
| Cinedigm Corp., Class A † | | | 35,600 | | | | 55,180 | |
| Clearfield, Inc. † | | | 23,600 | | | | 300,428 | |
| ClearSign Combustion Corp. † | | | 5,000 | | | | 33,400 | |
| Cognex Corp. † | | | 6,900 | | | | 277,863 | |
| comScore, Inc. † | | | 20,000 | | | | 728,200 | |
| Comtech Telecommunications Corp. | | | 4,000 | | | | 148,600 | |
| Constant Contact, Inc. † | | | 20,700 | | | | 561,798 | |
| Cray, Inc. † | | | 9,000 | | | | 236,160 | |
| CSG Systems International, Inc. | | | 7,000 | | | | 183,960 | |
| CTS Corp. | | | 14,200 | | | | 225,638 | |
| CUI Global, Inc. † | | | 7,700 | | | | 55,748 | |
| Daktronics, Inc. | | | 4,900 | | | | 60,221 | |
| Datalink Corp. † | | | 10,600 | | | | 112,678 | |
| Datawatch Corp. † | | | 3,200 | | | | 32,800 | |
| Demandware, Inc. † | | | 19,500 | | | | 992,940 | |
| Diebold, Inc. | | | 10,400 | | | | 367,328 | |
| Digimarc Corp. | | | 3,300 | | | | 68,343 | |
| Diodes, Inc. † | | | 9,000 | | | | 215,280 | |
| Dot Hill Systems Corp. † | | | 73,400 | | | | 277,452 | |
| eGain Corp. † | | | 14,700 | | | | 88,200 | |
| Electronics For Imaging, Inc. † | | | 19,300 | | | | 852,481 | |
| Ellie Mae, Inc. † | | | 5,600 | | | | 182,560 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 82 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 17.4% (continued) | |
| EnerNOC, Inc. † | | | 10,100 | | | $ | 171,296 | |
| Entegris, Inc. † | | | 43,400 | | | | 499,100 | |
| Envestnet, Inc. † | | | 22,100 | | | | 994,500 | |
| EPAM Systems, Inc. † | | | 24,700 | | | | 1,081,613 | |
| ePlus, Inc. † | | | 4,100 | | | | 229,805 | |
| Euronet Worldwide, Inc. † | | | 21,600 | | | | 1,032,264 | |
| Exar Corp. † | | | 17,500 | | | | 156,625 | |
| ExlService Holdings, Inc. † | | | 4,000 | | | | 97,640 | |
| Fabrinet (Thailand) † | | | 14,000 | | | | 204,400 | |
| Fair Isaac Corp. | | | 1,700 | | | | 93,670 | |
| Fairchild Semiconductor International, Inc. † | | | 23,200 | | | | 360,296 | |
| FARO Technologies, Inc. † | | | 5,300 | | | | 268,975 | |
| Forrester Research, Inc. | | | 3,800 | | | | 140,068 | |
| Global Cash Access Holdings, Inc. † | | | 9,700 | | | | 65,475 | |
| Global Eagle Entertainment, Inc. † | | | 7,100 | | | | 79,662 | |
| Glu Mobile, Inc. † | | | 101,300 | | | | 523,721 | |
| Gogo, Inc. † | | | 33,800 | | | | 569,868 | |
| GSI Group, Inc. † | | | 5,900 | | | | 67,791 | |
| GT Advanced Technologies, Inc. † | | | 100,900 | | | | 1,092,747 | |
| GTT Communications, Inc. † | | | 10,600 | | | | 126,246 | |
| Hackett Group, Inc./The | | | 4,500 | | | | 26,820 | |
| Heartland Payment Systems, Inc. | | | 7,300 | | | | 348,356 | |
| Hutchinson Technology, Inc. † | | | 18,800 | | | | 68,808 | |
| iGATE Corp. † | | | 29,500 | | | | 1,083,240 | |
| Immersion Corp. † | | | 14,500 | | | | 124,410 | |
| Information Services Group, Inc. † | | | 57,200 | | | | 217,360 | |
| Inphi Corp. † | | | 7,200 | | | | 103,536 | |
| Insight Enterprises, Inc. † | | | 15,800 | | | | 357,554 | |
| Integrated Device Technology, Inc. † | | | 84,600 | | | | 1,349,370 | |
| Integrated Silicon Solution, Inc. | | | 7,500 | | | | 103,050 | |
| InterDigital, Inc. | | | 15,100 | | | | 601,282 | |
| Internap Network Services Corp. † | | | 7,800 | | | | 53,820 | |
| Intersil Corp., Class A | | | 66,000 | | | | 937,860 | |
| Intralinks Holdings, Inc. † | | | 6,200 | | | | 50,220 | |
| InvenSense, Inc. † | | | 42,000 | | | | 828,660 | |
| Lattice Semiconductor Corp. † | | | 70,400 | | | | 528,000 | |
| Lexmark International, Inc., Class A | | | 2,300 | | | | 97,750 | |
| Lionbridge Technologies, Inc. † | | | 33,300 | | | | 149,850 | |
| Littelfuse, Inc. | | | 6,200 | | | | 528,116 | |
| LiveDeal, Inc. † | | | 68,500 | | | | 204,130 | |
| LivePerson, Inc. † | | | 8,151 | | | | 102,621 | |
| LogMeIn, Inc. † | | | 13,800 | | | | 635,766 | |
| M/A-COM Technology Solutions Holdings, Inc. † | | | 16,100 | | | | 351,624 | |
| Mandalay Digital Group, Inc. † | | | 16,400 | | | | 75,112 | |
| Manhattan Associates, Inc. † | | | 37,300 | | | | 1,246,566 | |
| Marchex, Inc., Class B | | | 35,100 | | | | 145,665 | |
| Mattson Technology, Inc. † | | | 81,000 | | | | 200,070 | |
| MaxLinear, Inc., Class A † | | | 15,100 | | | | 103,888 | |
| Maxwell Technologies, Inc. † | | | 19,900 | | | | 173,528 | |
| MeetMe, Inc. † | | | 15,800 | | | | 31,126 | |
| Mercury Systems, Inc. † | | | 13,600 | | | | 149,736 | |
| Mesa Laboratories, Inc. | | | 2,100 | | | | 121,338 | |
| Methode Electronics, Inc. | | | 21,400 | | | | 789,018 | |
| MicroStrategy, Inc., Class A † | | | 4,100 | | | | 536,444 | |
| Mitek Systems, Inc. † | | | 24,900 | | | | 60,009 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 17.4% (continued) | |
| ModusLink Global Solutions, Inc. † | | | 15,600 | | | $ | 55,692 | |
| Monolithic Power Systems, Inc. | | | 19,500 | | | | 858,975 | |
| Monotype Imaging Holdings, Inc. | | | 8,200 | | | | 232,224 | |
| MTS Systems Corp. | | | 2,200 | | | | 150,172 | |
| Nanometrics, Inc. † | | | 8,800 | | | | 132,880 | |
| Netlist, Inc. † | | | 13,900 | | | | 16,541 | |
| NetScout Systems, Inc. † | | | 20,300 | | | | 929,740 | |
| NetSol Technologies, Inc. † | | | 8,900 | | | | 32,930 | |
| Newport Corp. † | | | 5,000 | | | | 88,600 | |
| Oclaro, Inc. † | | | 75,100 | | | | 107,393 | |
| OmniVision Technologies, Inc. † | | | 27,400 | | | | 725,004 | |
| Park City Group, Inc. † | | | 10,400 | | | | 102,544 | |
| PC Connection, Inc. | | | 9,500 | | | | 203,965 | |
| PDF Solutions, Inc. † | | | 8,100 | | | | 102,141 | |
| Pegasystems, Inc. | | | 18,200 | | | | 347,802 | |
| Perceptron, Inc. | | | 9,000 | | | | 88,110 | |
| Perficient, Inc. † | | | 14,700 | | | | 220,353 | |
| Photronics, Inc. † | | | 18,100 | | | | 145,705 | |
| Pixelworks, Inc. † | | | 48,600 | | | | 313,956 | |
| Plexus Corp. † | | | 10,400 | | | | 384,072 | |
| Polycom, Inc. † | | | 24,300 | | | | 298,525 | |
| Power Integrations, Inc. | | | 3,100 | | | | 167,121 | |
| Proofpoint, Inc. † | | | 22,400 | | | | 831,936 | |
| PROS Holdings, Inc. † | | | 4,300 | | | | 108,360 | |
| Qualys, Inc. † | | | 24,800 | | | | 659,680 | |
| QuickLogic Corp. † | | | 56,500 | | | | 168,935 | |
| Rambus, Inc. † | | | 70,200 | | | | 876,096 | |
| Research Frontiers, Inc. † | | | 8,000 | | | | 46,000 | |
| RF Industries Ltd. | | | 12,400 | | | | 61,132 | |
| Rogers Corp. † | | | 3,100 | | | | 169,756 | |
| Rovi Corp. † | | | 15,300 | | | | 302,099 | |
| Rudolph Technologies, Inc. † | | | 5,300 | | | | 47,965 | |
| Sanmina Corp. † | | | 48,400 | | | | 1,009,624 | |
| Sapient Corp. † | | | 17,900 | | | | 250,600 | |
| ShoreTel, Inc. † | | | 31,200 | | | | 207,480 | |
| Shutterstock, Inc. † | | | 18,300 | | | | 1,306,254 | |
| Spansion, Inc., Class A † | | | 44,000 | | | | 1,002,760 | |
| Speed Commerce, Inc. † | | | 25,500 | | | | 70,125 | |
| SPS Commerce, Inc. † | | | 3,000 | | | | 159,450 | |
| Stamps.com, Inc. † | | | 4,500 | | | | 142,920 | |
| Stratasys Ltd. † | | | 400 | | | | 48,312 | |
| Super Micro Computer, Inc. † | | | 23,200 | | | | 682,544 | |
| Support.com, Inc. † | | | 14,300 | | | | 30,888 | |
| Synaptics, Inc. † | | | 3,300 | | | | 241,560 | |
| SYNNEX Corp. † | | | 20,200 | | | | 1,305,526 | |
| Take-Two Interactive Software, Inc. † | | | 34,000 | | | | 784,380 | |
| Tech Data Corp. † | | | 10,400 | | | | 612,144 | |
| TechTarget, Inc. † | | | 8,900 | | | | 76,451 | |
| Telenav, Inc. † | | | 9,300 | | | | 62,310 | |
| TeleTech Holdings, Inc. † | | | 2,500 | | | | 61,450 | |
| Tessco Technologies, Inc. | | | 3,700 | | | | 107,263 | |
| Tessera Technologies, Inc. | | | 11,400 | | | | 303,012 | |
| Tyler Technologies, Inc. † | | | 3,900 | | | | 344,760 | |
| Ubiquiti Networks, Inc. † | | | 1,100 | | | | 41,283 | |
| Ultra Clean Holdings, Inc. † | | | 40,300 | | | | 360,685 | |
VASCO Data Security International,
Inc. † | | | 28,000 | | | | 525,840 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 83 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 17.4% (continued) | |
| Verint Systems, Inc. † | | | 10,200 | | | $ | 567,222 | |
| Virtusa Corp. † | | | 10,000 | | | | 355,600 | |
| Vitesse Semiconductor Corp. † | | | 21,500 | | | | 77,400 | |
| Web.com Group, Inc. † | | | 4,800 | | | | 95,808 | |
| WebMD Health Corp. † | | | 23,055 | | | | 963,930 | |
| Westell Technologies, Inc., Class A † | | | 49,900 | | | | 91,816 | |
| WidePoint Corp. † | | | 145,600 | | | | 248,976 | |
| Xcerra Corp. † | | | 33,800 | | | | 330,902 | |
| XO Group, Inc. † | | | 4,400 | | | | 49,324 | |
| Zhone Technologies, Inc. † | | | 80,200 | | | | 216,540 | |
| Zix Corp. † | | | 16,500 | | | | 56,430 | |
| | | | | | | | |
| | | | | | | 53,695,550 | |
| | | | | | | | |
| Materials - 4.6% | | | | | | | | |
| A Schulman, Inc. | | | 9,100 | | | | 329,056 | |
| A.M. Castle & Co. † | | | 6,300 | | | | 53,802 | |
| Advanced Emissions Solutions, Inc. † | | | 10,700 | | | | 227,589 | |
| AEP Industries, Inc. † | | | 900 | | | | 34,083 | |
| AK Steel Holding Corp. † | | | 89,500 | | | | 716,895 | |
| Balchem Corp. | | | 4,800 | | | | 271,536 | |
| Calgon Carbon Corp. † | | | 6,600 | | | | 127,908 | |
| Century Aluminum Co. † | | | 54,000 | | | | 1,402,380 | |
| Clearwater Paper Corp. † | | | 6,000 | | | | 360,660 | |
| Commercial Metals Co. | | | 17,500 | | | | 298,725 | |
| Deltic Timber Corp. | | | 1,100 | | | | 68,552 | |
| Ferro Corp. † | | | 45,100 | | | | 653,499 | |
| Flotek Industries, Inc. † | | | 29,200 | | | | 761,244 | |
| FutureFuel Corp. | | | 3,800 | | | | 45,182 | |
| Globe Specialty Metals, Inc. | | | 37,500 | | | | 682,125 | |
| Hawkins, Inc. | | | 600 | | | | 21,576 | |
| Haynes International, Inc. | | | 1,400 | | | | 64,386 | |
| Headwaters, Inc. † | | | 35,500 | | | | 445,170 | |
| Horsehead Holding Corp. † | | | 21,400 | | | | 353,742 | |
| Innospec, Inc. | | | 6,700 | | | | 240,530 | |
KapStone Paper and Packaging
Corp. † | | | 12,800 | | | | 358,016 | |
| LSB Industries, Inc. † | | | 4,700 | | | | 167,837 | |
| Minerals Technologies, Inc. | | | 17,600 | | | | 1,086,096 | |
| Myers Industries, Inc. | | | 10,900 | | | | 192,276 | |
| Neenah Paper, Inc. | | | 6,500 | | | | 347,620 | |
| Olympic Steel, Inc. | | | 2,400 | | | | 49,368 | |
| PH Glatfelter Co. | | | 5,400 | | | | 118,530 | |
| PolyOne Corp. | | | 6,000 | | | | 213,480 | |
| Quaker Chemical Corp. | | | 3,400 | | | | 243,746 | |
| Rentech, Inc. † | | | 52,300 | | | | 89,433 | |
| RTI International Metals, Inc. † | | | 5,500 | | | | 135,630 | |
| Senomyx, Inc. † | | | 53,000 | | | | 434,600 | |
| Sensient Technologies Corp. | | | 8,800 | | | | 460,680 | |
| Stepan Co. | | | 4,500 | | | | 199,710 | |
| Stillwater Mining Co. † | | | 70,400 | | | | 1,058,112 | |
| SunCoke Energy, Inc. † | | | 28,500 | | | | 639,825 | |
| Tredegar Corp. | | | 4,900 | | | | 90,209 | |
| US Concrete, Inc. † | | | 15,000 | | | | 392,100 | |
| US Silica Holdings, Inc. | | | 6,700 | | | | 418,817 | |
| Worthington Industries, Inc. | | | 9,600 | | | | 357,312 | |
| | | | | | | | |
| | | | | | | 14,212,037 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Telecommunication Services - 1.0% | |
| 8x8, Inc. † | | | 14,700 | | | $ | 98,196 | |
| Atlantic Tele-Network, Inc. | | | 2,200 | | | | 118,580 | |
| Cogent Communications Holdings, Inc. | | | 9,400 | | | | 315,934 | |
| Consolidated Communications Holdings, Inc. | | | 18,200 | | | | 455,910 | |
| FairPoint Communications, Inc. † | | | 7,400 | | | | 112,258 | |
General Communication, Inc.,
Class A † | | | 4,600 | | | | 50,186 | |
| IDT Corp., Class B | | | 20,400 | | | | 327,624 | |
| inContact, Inc. † | | | 14,500 | | | | 126,077 | |
| Inteliquent, Inc. | | | 35,100 | | | | 436,995 | |
| Lumos Networks Corp. | | | 13,800 | | | | 224,250 | |
| ORBCOMM, Inc. † | | | 27,400 | | | | 157,550 | |
| Premiere Global Services, Inc. † | | | 10,600 | | | | 126,882 | |
| Shenandoah Telecommunications Co. | | | 6,500 | | | | 161,265 | |
| Vonage Holdings Corp. † | | | 79,800 | | | | 261,744 | |
| | | | | | | | |
| | | | | | | 2,973,451 | |
| | | | | | | | |
| Utilities - 1.5% | | | | | | | | |
| American States Water Co. | | | 7,200 | | | | 219,024 | |
| Avista Corp. | | | 19,700 | | | | 601,441 | |
| Chesapeake Utilities Corp. | | | 11,250 | | | | 468,675 | |
| Connecticut Water Service, Inc. | | | 2,900 | | | | 94,250 | |
| Consolidated Water Co., Ltd. (Cayman Islands) | | | 5,800 | | | | 67,744 | |
| Empire District Electric Co./The | | | 5,400 | | | | 130,410 | |
| Middlesex Water Co. | | | 1,200 | | | | 23,520 | |
| New Jersey Resources Corp. | | | 13,600 | | | | 686,936 | |
| NorthWestern Corp. | | | 12,700 | | | | 576,072 | |
| Ormat Technologies, Inc. | | | 2,800 | | | | 73,556 | |
| Otter Tail Corp. | | | 2,800 | | | | 74,676 | |
| PNM Resources, Inc. | | | 38,400 | | | | 956,544 | |
| Portland General Electric Co. | | | 19,000 | | | | 610,280 | |
| Unitil Corp. | | | 4,200 | | | | 130,578 | |
| | | | | | | | |
| | | | | | | 4,713,706 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $278,499,610) | | | | | | | 306,715,796 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.0% (b) | | | | | | | | |
| Utilities - 0.0% (b) | | | | | | | | |
| Genie Energy Ltd., Perpetual Preferred Stock, Series 12-A, 7.50%, 11/15/2016†(c) | | | | | | | | |
(cost $49,660) | | | 5,900 | | | | 42,539 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (b) | | | | | | | | |
| Information Technology - 0.0% (b) | |
| Gerber Scientific, Inc. (3)†(a) | | | | | | | | |
(cost $—) | | | 4,000 | | | | — | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 84 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| MONEY MARKET FUNDS - 2.4% | | | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(d) | | | | | | | | |
(cost $7,472,862) | | | 7,472,862 | | | $ | 7,472,862 | |
| | | | | | | | |
TOTAL INVESTMENTS - 101.9%
(cost $286,022,132) | | | | | | | 314,231,197 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (1.9%) (e) | | | | | | | (5,773,160 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 308,458,037 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Security fair valued at as of September 30, 2014 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. |
| (b) | Represents less than 0.05 percent of net assets. |
| (c) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. The rate shown represents the variable dividend rate in effect as of September 30, 2014. . |
| (d) | Represents annualized seven-day yield as of September 30, 2014. |
| (e) | 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). |
| (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 September 30, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
DEPRECIATION | |
| Long Contracts: | | | | | |
| 9 | | Barclays Capital | | E-Mini Russell 2000 Futures | | | 12/2014 | | | | $1,007,030 | | | | $986,940 | | | | $(20,090 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital for futures contracts was $52,421 at September 30, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 85 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.0% | | SHARES | | | VALUE (Note 2) | |
| Australia - 2.1% | | | | | | | | |
| Amcor Ltd. | | | 61,351 | | | $ | 607,691 | |
| Aurizon Holdings Ltd. | | | 27,946 | | | | 110,698 | |
| Australia & New Zealand Banking Group Ltd. | | | 1,399 | | | | 37,818 | |
| Brambles Ltd. | | | 40,768 | | | | 339,138 | |
| Caltex Australia Ltd. | | | 4,085 | | | | 99,994 | |
| Commonwealth Bank of Australia | | | 1,596 | | | | 105,085 | |
| Crown Resorts Ltd. | | | 42,866 | | | | 517,612 | |
| Fortescue Metals Group Ltd. | | | 119,472 | | | | 362,959 | |
| Goodman Group REIT | | | 53,923 | | | | 243,691 | |
| GPT Group/The REIT | | | 38,389 | | | | 130,006 | |
| Insurance Australia Group Ltd. | | | 90,009 | | | | 482,391 | |
| Macquarie Group Ltd. | | | 13,445 | | | | 676,545 | |
| Mirvac Group REIT | | | 60,599 | | | | 91,157 | |
| Orora Ltd. | | | 130,557 | | | | 187,149 | |
| Ramsay Health Care Ltd. | | | 37,074 | | | | 1,624,589 | |
| Recall Holdings Ltd. | | | 15,462 | | | | 75,930 | |
| Sonic Healthcare Ltd. | | | 6,491 | | | | 99,603 | |
| Suncorp Group Ltd. | | | 37,949 | | | | 466,445 | |
| Telstra Corp. Ltd. | | | 90,470 | | | | 419,761 | |
| Westpac Banking Corp. | | | 1,119 | | | | 31,414 | |
| | | | | | | | |
| | | | | | | 6,709,676 | |
| | | | | | | | |
| Austria - 0.3% | | | | | | | | |
| Andritz AG | | | 3,800 | | | | 202,333 | |
| Immofinanz AG NPV † | | | 63,665 | | | | 180,120 | |
| OMV AG | | | 4,423 | | | | 148,732 | |
| Voestalpine AG | | | 7,058 | | | | 278,713 | |
| | | | | | | | |
| | | | | | | 809,898 | |
| | | | | | | | |
| Belgium - 0.4% | | | | | | | | |
| Belgacom SA | | | 2,566 | | | | 89,339 | |
| KBC Groep NV † | | | 9,289 | | | | 493,116 | |
| UCB SA | | | 6,382 | | | | 578,293 | |
| | | | | | | | |
| | | | | | | 1,160,748 | |
| | | | | | | | |
| Canada - 20.9% | | | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | 20,000 | | | | 578,419 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 65,700 | | | | 2,100,734 | |
| AltaGas Ltd. (1) | | | 14,800 | | | | 624,931 | |
| ARC Resources Ltd. (1) | | | 11,600 | | | | 306,067 | |
| Atco Ltd., Class I (1) | | | 2,000 | | | | 81,075 | |
| Bank of Montreal (1) | | | 31,100 | | | | 2,289,007 | |
| Bank of Nova Scotia/The (1) | | | 53,000 | | | | 3,278,102 | |
| Baytex Energy Corp. (1) | | | 8,000 | | | | 302,513 | |
| Boardwalk Real Estate Investment Trust REIT (1) | | | 1,500 | | | | 92,281 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 20,000 | | | | 897,897 | |
| Calloway Real Estate Investment Trust REIT (1) | | | 3,200 | | | | 73,489 | |
| Cameco Corp. (1) | | | 15,200 | | | | 268,183 | |
| Canadian Imperial Bank of Commerce (1) | | | 19,600 | | | | 1,760,404 | |
| Canadian National Railway Co. (1) | | | 47,700 | | | | 3,386,425 | |
| Canadian Natural Resources Ltd. (1) | | | 75,500 | | | | 2,933,171 | |
| Canadian Oil Sands Ltd. (1) | | | 16,000 | | | | 295,156 | |
| Canadian Pacific Railway Ltd. (1) | | | 15,400 | | | | 3,196,055 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Canada - 20.9% (continued) | | | | | | | | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 6,000 | | | $ | 614,760 | |
| Canadian Utilities Ltd., Class A (1) | | | 3,400 | | | | 118,762 | |
| CI Financial Corp. (1) | | | 23,100 | | | | 696,537 | |
| Constellation Software, Inc. (1) | | | 4,700 | | | | 1,181,305 | |
| Crescent Point Energy Corp. (1) | | | 27,000 | | | | 974,454 | |
| Dollarama, Inc. (1) | | | 10,100 | | | | 856,735 | |
| Emera, Inc. (1) | | | 2,100 | | | | 65,684 | |
| Enbridge, Inc. (1) | | | 25,500 | | | | 1,220,639 | |
| Encana Corp. (1) | | | 62,400 | | | | 1,324,945 | |
| Enerplus Corp. (1) | | | 32,900 | | | | 624,540 | |
| First Capital Realty, Inc. (1) | | | 3,800 | | | | 59,412 | |
| First Quantum Minerals Ltd. (1) | | | 31,100 | | �� | | 600,368 | |
| Franco-Nevada Corp. (1) | | | 19,400 | | | | 952,201 | |
| Genworth MI Canada, Inc. (1) | | | 5,000 | | | | 158,043 | |
| Gildan Activewear, Inc. (1) | | | 25,100 | | | | 1,373,166 | |
| Husky Energy, Inc. (1) | | | 33,900 | | | | 930,475 | |
| Imperial Oil Ltd. (1) | | | 44,000 | | | | 2,078,700 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 15,300 | | | | 633,476 | |
| Keyera Corp. (1) | | | 10,300 | | | | 829,831 | |
| Loblaw Cos., Ltd. (1) | | | 12,200 | | | | 610,572 | |
| MacDonald Dettwiler & Associates Ltd. (1) | | | 1,000 | | | | 74,780 | |
| Magna International, Inc. (1) | | | 26,200 | | | | 2,486,772 | |
| Manulife Financial Corp. (1) | | | 56,000 | | | | 1,077,048 | |
| MEG Energy Corp. (1)† | | | 9,500 | | | | 291,629 | |
| Methanex Corp. (1) | | | 7,100 | | | | 473,946 | |
| Metro, Inc. (1) | | | 4,200 | | | | 280,888 | |
| National Bank of Canada (1) | | | 16,100 | | | | 733,589 | |
| Onex Corp. (1) | | | 2,400 | | | | 133,635 | |
| Open Text Corp. (1) | | | 16,200 | | | | 896,102 | |
| Paramount Resources Ltd., Class A (1)† | | | 9,100 | | | | 521,242 | |
| Pembina Pipeline Corp. (1) | | | 43,400 | | | | 1,828,307 | |
| Pengrowth Energy Corp. (1) | | | 11,500 | | | | 60,275 | |
| Peyto Exploration & Development Corp. (1) | | | 6,900 | | | | 217,729 | |
| Potash Corp of Saskatchewan, Inc. (1) | | | 16,600 | | | | 574,801 | |
| Royal Bank of Canada (1) | | | 41,900 | | | | 2,994,861 | |
| Sun Life Financial, Inc. (1) | | | 61,700 | | | | 2,236,725 | |
| Suncor Energy, Inc. (1) | | | 87,600 | | | | 3,170,167 | |
| Toronto-Dominion Bank/The (1) | | | 93,500 | | | | 4,614,264 | |
| Tourmaline Oil Corp. (1)† | | | 23,100 | | | | 1,023,664 | |
| TransCanada Corp. (1) | | | 22,000 | | | | 1,133,051 | |
| Valeant Pharmaceuticals International, Inc. (1)† | | | 17,300 | �� | | | 2,266,865 | |
| Vermilion Energy, Inc. (1) | | | 15,200 | | | | 925,341 | |
| West Fraser Timber Co., Ltd. (1) | | | 4,600 | | | | 224,876 | |
| Whitecap Resources, Inc. (1) | | | 20,900 | | | | 299,145 | |
| | | | | | | | |
| | | | | | | 66,908,216 | |
| | | | | | | | |
| China - 0.0% (a) | | | | | | | | |
| FIH Mobile Ltd. † | | | 256,000 | | | | 133,096 | |
| | | | | | | | |
| | |
| Denmark - 3.8% | | | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 785 | | | | 1,859,543 | |
| Coloplast A/S, Class B | | | 26,043 | | | | 2,177,928 | |
| Danske Bank A/S | | | 45,871 | | | | 1,243,459 | |
| DSV A/S | | | 2,710 | | | | 76,201 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 86 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Denmark - 3.8% (continued) | | | | | | | | |
| Novo Nordisk A/S, Class B | | | 85,342 | | | $ | 4,063,285 | |
| Pandora A/S | | | 14,490 | | | | 1,131,332 | |
| Tryg A/S | | | 5,116 | | | | 530,760 | |
| Vestas Wind Systems A/S † | | | 27,288 | | | | 1,063,895 | |
| | | | | | | | |
| | | | | | | 12,146,403 | |
| | | | | | | | |
| Finland - 1.7% | | | | | | | | |
| Fortum OYJ | | | 27,051 | | | | 659,556 | |
| Neste Oil OYJ | | | 15,689 | | | | 322,884 | |
| Nokia OYJ | | | 222,006 | | | | 1,885,071 | |
| Orion OYJ, Class B | | | 4,687 | | | | 183,007 | |
| Sampo OYJ, A Shares | | | 21,916 | | | | 1,059,670 | |
| Stora Enso OYJ, R Shares | | | 12,567 | | | | 104,263 | |
| UPM-Kymmene OYJ | | | 51,563 | | | | 732,982 | |
| Wartsila OYJ | | | 8,465 | | | | 377,194 | |
| | | | | | | | |
| | | | | | | 5,324,627 | |
| | | | | | | | |
| France - 7.7% | | | | | | | | |
| Air Liquide SA | | | 3,961 | | | | 482,929 | |
| Airbus Group NV | | | 3,776 | | | | 237,361 | |
| Alcatel-Lucent † | | | 159,328 | | | | 491,416 | |
| AXA SA | | | 14,805 | | | | 364,685 | |
| BNP Paribas SA | | | 3,465 | | | | 229,966 | |
| Bollore SA | | | 145 | | | | 82,228 | |
| Bouygues SA | | | 12,728 | | | | 411,553 | |
| Bureau Veritas SA | | | 2,364 | | | | 52,247 | |
| Carrefour SA | | | 7,343 | | | | 226,785 | |
| Christian Dior SA | | | 1,623 | | | | 271,891 | |
| Cie de St-Gobain | | | 14,283 | | | | 652,612 | |
| Credit Agricole SA | | | 101,995 | | | | 1,537,423 | |
| Dassault Systemes | | | 3,688 | | | | 236,912 | |
| Edenred | | | 3,620 | | | | 89,200 | |
| Electricite de France SA | | | 24,032 | | | | 788,411 | |
| Essilor International SA | | | 3,545 | | | | 388,772 | |
| Eutelsat Communications SA | | | 3,108 | | | | 100,281 | |
| GDF Suez | | | 94,079 | | | | 2,359,544 | |
| Hermes International | | | 1,274 | | | | 381,033 | |
| Iliad SA | | | 3,073 | | | | 648,251 | |
| Kering | | | 2,717 | | | | 547,801 | |
| L’Oreal SA | | | 7,307 | | | | 1,158,852 | |
| Natixis | | | 99,537 | | | | 684,807 | |
| Orange SA | | | 63,921 | | | | 953,868 | |
| Pernod Ricard SA | | | 4,394 | | | | 497,316 | |
| Peugeot SA † | | | 23,503 | | | | 300,737 | |
| Publicis Groupe SA | | | 977 | | | | 66,952 | |
| Renault SA | | | 573 | | | | 41,451 | |
| Safran SA | | | 2,192 | | | | 142,116 | |
| Sanofi | | | 14,082 | | | | 1,592,261 | |
| Schneider Electric SE | | | 4,553 | | | | 349,317 | |
| Societe Generale SA | | | 18,792 | | | | 958,540 | |
| Sodexo | | | 1,964 | | | | 192,121 | |
| Total SA | | | 76,203 | | | | 4,934,457 | |
| Unibail-Rodamco SE REIT | | | 892 | | | | 229,385 | |
| Valeo SA | | | 5,134 | | | | 570,462 | |
| Veolia Environnement SA | | | 17,277 | | | | 304,646 | |
| Vinci SA | | | 12,431 | | | | 721,381 | |
| Zodiac Aerospace | | | 8,360 | | | | 266,589 | |
| | | | | | | | |
| | | | | | | 24,546,559 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Germany - 5.4% | | | | | | | | |
| BASF SE | | | 15,921 | | | $ | 1,452,271 | |
| Bayer AG | | | 13,395 | | | | 1,863,757 | |
| Bayerische Motoren Werke AG | | | 13,647 | | | | 1,458,513 | |
| Commerzbank AG † | | | 58,660 | | | | 871,049 | |
| Continental AG | | | 9,306 | | | | 1,762,809 | |
| Daimler AG | | | 26,117 | | | | 1,994,475 | |
| Deutsche Post AG | | | 38,079 | | | | 1,213,770 | |
| Deutsche Telekom AG | | | 174,902 | | | | 2,647,413 | |
| E.ON SE | | | 30,009 | | | | 548,015 | |
| GEA Group AG | | | 2,796 | | | | 121,468 | |
| Hannover Rueck SE | | | 4,457 | | | | 359,723 | |
| Infineon Technologies AG | | | 61,651 | | | | 634,570 | |
| Merck KGaA | | | 9,924 | | | | 912,169 | |
| ProSiebenSat.1 Media AG | | | 8,002 | | | | 317,242 | |
| RWE AG | | | 25,072 | | | | 975,816 | |
| ThyssenKrupp AG † | | | 11,716 | | | | 305,876 | |
| | | | | | | | |
| | | | | | | 17,438,936 | |
| | | | | | | | |
| Hong Kong - 2.7% | | | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 123,000 | | | | 391,557 | |
| Cheung Kong Holdings Ltd. | | | 37,000 | | | | 608,648 | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 10,000 | | | | 70,081 | |
| CLP Holdings Ltd. | | | 1,500 | | | | 12,049 | |
| First Pacific Co., Ltd. | | | 72,000 | | | | 74,682 | |
| Galaxy Entertainment Group Ltd. | | | 136,000 | | | | 789,620 | |
| Giordano International Ltd. | | | 64,000 | | | | 34,702 | |
| Hang Seng Bank Ltd. | | | 22,500 | | | | 361,055 | |
| Henderson Land Development Co., Ltd. | | | 71,390 | | | | 462,167 | |
| Hong Kong & China Gas Co., Ltd. | | | 212,960 | | | | 461,551 | |
| Hong Kong Exchanges and Clearing Ltd. | | | 43,400 | | | | 934,130 | |
| Hongkong Land Holdings Ltd. | | | 38,000 | | | | 258,276 | |
| Hutchison Whampoa Ltd. | | | 63,000 | | | | 761,582 | |
| Hysan Development Co., Ltd. | | | 25,000 | | | | 115,350 | |
| Lifestyle Properties Development Ltd. † | | | 1,675 | | | | 291 | |
| Link REIT/The REIT | | | 59,500 | | | | 343,353 | |
| Melco International Development Ltd. | | | 290,000 | | | | 672,191 | |
| MGM China Holdings Ltd. | | | 88,400 | | | | 254,736 | |
| MTR Corp. Ltd. | | | 60,500 | | | | 237,240 | |
| NWS Holdings Ltd. | | | 61,000 | | | | 108,490 | |
| Samsonite International SA | | | 103,800 | | | | 333,928 | |
| Sands China Ltd. | | | 48,400 | | | | 252,493 | |
| Shangri-La Asia Ltd. | | | 24,000 | | | | 35,469 | |
| Sino Land Co., Ltd. | | | 168,000 | | | | 258,969 | |
| SJM Holdings Ltd. | | | 79,000 | | | | 150,406 | |
| SmarTone Telecommunications Holdings Ltd. | | | 31,500 | | | | 44,034 | |
| Stella International Holdings Ltd. | | | 9,500 | | | | 24,651 | |
| Techtronic Industries Co. | | | 70,000 | | | | 201,854 | |
| Wharf Holdings Ltd./The | | | 13,000 | | | | 92,335 | |
| Wheelock & Co., Ltd. | | | 41,000 | | | | 195,574 | |
| | | | | | | | |
| | | | | | | 8,541,464 | |
| | | | | | | | |
| Italy - 4.3% | | | | | | | | |
| Banco Popolare SC † | | | 22,825 | | | | 332,409 | |
| Davide Campari-Milano SpA | | | 11,007 | | | | 79,280 | |
| Enel SpA | | | 506,026 | | | | 2,676,937 | |
| Eni SpA | | | 27,466 | | | | 651,665 | |
| Exor SpA | | | 4,986 | | | | 192,752 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 87 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Italy - 4.3% (continued) | | | | | | | | |
| Fiat SpA † | | | 65,480 | | | $ | 631,078 | |
| Finmeccanica SpA † | | | 40,366 | | | | 390,618 | |
| GTECH SpA | | | 13,558 | | | | 320,879 | |
| Intesa Sanpaolo SpA | | | 886,859 | | | | 2,677,184 | |
| Luxottica Group SpA | | | 10,344 | | | | 537,659 | |
| Mediobanca SpA † | | | 75,653 | | | | 646,363 | |
| Pirelli & C. SpA | | | 20,366 | | | | 280,828 | |
| Prysmian SpA | | | 14,955 | | | | 276,710 | |
| Snam SpA | | | 58,076 | | | | 320,684 | |
| UniCredit SpA | | | 306,464 | | | | 2,407,547 | |
| Unione di Banche Italiane SCpA | | | 137,750 | | | | 1,151,301 | |
| UnipolSai SpA | | | 87,754 | | | | 247,029 | |
| | | | | | | | |
| | | | | | | 13,820,923 | |
| | | | | | | | |
| Japan - 19.7% | | | | | | | | |
| 77 Bank Ltd./The | | | 35,000 | | | | 184,449 | |
| Aeon Mall Co., Ltd. | | | 90 | | | | 1,719 | |
| Alps Electric Co., Ltd. | | | 52,300 | | | | 899,030 | |
| Asahi Group Holdings Ltd. | | | 11,700 | | | | 338,436 | |
| Asics Corp. | | | 16,100 | | | | 363,114 | |
| Astellas Pharma, Inc. | | | 128,900 | | | | 1,919,782 | |
| Bandai Namco Holdings, Inc. | | | 27,300 | | | | 702,327 | |
| Brother Industries Ltd. | | | 18,200 | | | | 336,338 | |
| Calsonic Kansei Corp. | | | 14,000 | | | | 76,163 | |
| Casio Computer Co., Ltd. | | | 20,700 | | | | 345,922 | |
| Century Tokyo Leasing Corp. | | | 4,800 | | | | 127,678 | |
| Chugai Pharmaceutical Co., Ltd. | | | 28,400 | | | | 822,059 | |
| Coca-Cola East Japan Co., Ltd. | | | 12,800 | | | | 254,422 | |
| COLOPL, Inc. † | | | 21,700 | | | | 714,720 | |
| CyberAgent, Inc. | | | 16,700 | | | | 586,459 | |
| Daikin Industries Ltd. | | | 20,300 | | | | 1,259,272 | |
| Daito Trust Construction Co., Ltd. | | | 8,500 | | | | 1,005,148 | |
| Dentsu, Inc. | | | 8,400 | | | | 319,958 | |
| Ezaki Glico Co., Ltd. | | | 9,000 | | | | 310,363 | |
| Frontier Real Estate Investment Corp. REIT | | | 31 | | | | 148,712 | |
| Fuji Electric Co., Ltd. | | | 70,000 | | | | 338,794 | |
| Fuji Heavy Industries Ltd. | | | 18,900 | | | | 626,094 | |
| FUJIFILM Holdings Corp. | | | 24,100 | | | | 740,523 | |
| Fujitsu Ltd. | | | 202,000 | | | | 1,243,223 | |
| GungHo Online Entertainment, Inc. | | | 9,500 | | | | 45,228 | |
| Haseko Corp. | | | 35,100 | | | | 271,241 | |
| Hikari Tsushin, Inc. | | | 3,700 | | | | 263,035 | |
| Hino Motors Ltd. | | | 33,100 | | | | 463,177 | |
| Hitachi Capital Corp. | | | 8,600 | | | | 206,818 | |
| Hitachi Ltd. | | | 43,660 | | | | 333,564 | |
| Hokuhoku Financial Group, Inc. | | | 91,000 | | | | 178,380 | |
| Hoya Corp. | | | 39,600 | | | | 1,329,778 | |
| Hulic Co., Ltd. | | | 49,200 | | | | 521,113 | |
| IHI Corp. | | | 81,000 | | | | 419,770 | |
| Inpex Corp. | | | 59,100 | | | | 835,560 | |
| Japan Airport Terminal Co., Ltd. | | | 5,400 | | | | 216,750 | |
| Japan Aviation Electronics Industry Ltd. | | | 15,000 | | | | 342,152 | |
| Japan Logistics Fund, Inc. REIT | | | 163 | | | | 360,387 | |
| Japan Prime Realty Investment Corp. REIT | | | 74 | | | | 266,561 | |
| JGC Corp. | | | 14,000 | | | | 382,502 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 19.7% (continued) | | | | | | | | |
| Joyo Bank Ltd./The | | | 53,000 | | | $ | 260,866 | |
| JTEKT Corp. | | | 58,300 | | | | 977,196 | |
| Kaken Pharmaceutical Co., Ltd. | | | 14,000 | | | | 315,664 | |
| Kao Corp. | | | 24,500 | | | | 956,055 | |
| Kawasaki Heavy Industries Ltd. | | | 23,000 | | | | 91,955 | |
| KDDI Corp. | | | 18,900 | | | | 1,136,953 | |
| Kenedix Office Investment Corp. REIT | | | 48 | | | | 257,732 | |
| Keyence Corp. | | | 3,040 | | | | 1,319,927 | |
| LIXIL Group Corp. | | | 23,600 | | | | 503,482 | |
| M3, Inc. | | | 22,300 | | | | 357,610 | |
| MEIJI Holdings Co., Ltd. | | | 4,300 | | | | 340,047 | |
| Minebea Co., Ltd. | | | 57,000 | | | | 777,898 | |
| Mitsubishi Electric Corp. | | | 100,000 | | | | 1,333,119 | |
| Mitsubishi Logistics Corp. | | | 21,000 | | | | 301,721 | |
| Mitsui & Co., Ltd. | | | 44,000 | | | | 694,060 | |
| Mixi, Inc. | | | 14,200 | | | | 707,225 | |
| Murata Manufacturing Co., Ltd. | | | 10,600 | | | | 1,204,853 | |
| Nagoya Railroad Co., Ltd. | | | 86,000 | | | | 344,927 | |
| NGK Insulators Ltd. | | | 32,000 | | | | 762,775 | |
| NGK Spark Plug Co., Ltd. | | | 11,900 | | | | 350,155 | |
| NH Foods Ltd. | | | 15,000 | | | | 318,491 | |
| NHK Spring Co., Ltd. | | | 12,500 | | | | 122,652 | |
| Nidec Corp. | | | 25,900 | | | | 1,750,249 | |
| Nintendo Co., Ltd. | | | 600 | | | | 65,357 | |
| Nippon Paint Co., Ltd. | | | 35,000 | | | | 789,526 | |
| Nippon Prologis REIT, Inc. REIT | | | 279 | | | | 648,651 | |
| Nippon Telegraph & Telephone Corp. | | | 37,800 | | | | 2,344,140 | |
| Nissin Foods Holdings Co., Ltd. | | | 6,100 | | | | 316,730 | |
| Nitori Holdings Co., Ltd. | | | 5,100 | | | | 315,972 | |
| Nomura Real Estate Master Fund, Inc. REIT | | | 248 | | | | 311,320 | |
| Nomura Research Institute Ltd. | | | 10,800 | | | | 349,273 | |
| NSK Ltd. | | | 86,000 | | | | 1,226,623 | |
| NTN Corp. | | | 62,000 | | | | 280,083 | |
| Obayashi Corp. | | | 46,000 | | | | 314,808 | |
| Oji Holdings Corp. | | | 65,000 | | | | 246,077 | |
| Okasan Securities Group, Inc. | | | 19,000 | | | | 135,205 | |
| Olympus Corp. † | | | 14,400 | | | | 516,395 | |
| Omron Corp. | | | 26,300 | | | | 1,195,282 | |
| Ono Pharmaceutical Co., Ltd. | | | 10,200 | | | | 905,737 | |
| Oriental Land Co., Ltd. | | | 1,600 | | | | 302,363 | |
| Orix JREIT, Inc. REIT | | | 198 | | | | 248,902 | |
| Otsuka Corp. | | | 7,800 | | | | 310,566 | |
| Otsuka Holdings Co., Ltd. | | | 8,900 | | | | 306,768 | |
| Panasonic Corp. | | | 136,300 | | | | 1,624,475 | |
| Rakuten, Inc. | | | 29,300 | | | | 337,286 | |
| Renesas Electronics Corp. † | | | 88,800 | | | | 762,308 | |
| Rohm Co., Ltd. | | | 5,800 | | | | 365,197 | |
| Ryohin Keikaku Co., Ltd. | | | 2,900 | | | | 345,755 | |
| Santen Pharmaceutical Co., Ltd. | | | 6,000 | | | | 336,006 | |
| Seiko Epson Corp. | | | 24,200 | | | | 1,166,027 | |
| Seino Holdings Co., Ltd. | | | 15,000 | | | | 120,244 | |
| Seven & I Holdings Co., Ltd. | | | 10,700 | | | | 415,015 | |
| Seven Bank Ltd. | | | 104,900 | | | | 427,505 | |
| Shimano, Inc. | | | 5,600 | | | | 681,204 | |
| Shimizu Corp. | | | 98,000 | | | | 773,324 | |
| SMC Corp. | | | 3,900 | | | | 1,075,390 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 88 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 19.7% (continued) | | | | | | | | |
| SoftBank Corp. | | | 1,500 | | | $ | 104,773 | |
| Square Enix Holdings Co., Ltd. | | | 27,800 | | | | 589,971 | |
| Start Today Co., Ltd. | | | 13,200 | | | | 286,688 | |
| Sumitomo Metal Mining Co., Ltd. | | | 23,000 | | | | 323,696 | |
| Suruga Bank Ltd. | | | 60,000 | | | | 1,197,119 | |
| Suzuki Motor Corp. | | | 10,700 | | | | 354,868 | |
| Sysmex Corp. | | | 7,900 | | | | 318,125 | |
| Taiheiyo Cement Corp. | | | 90,000 | | | | 339,445 | |
| Taisei Corp. | | | 112,000 | | | | 631,869 | |
| Tohoku Electric Power Co., Inc. | | | 26,200 | | | | 297,773 | |
| Tokyo Tatemono Co., Ltd. | | | 34,000 | | | | 275,498 | |
| Topcon Corp. | | | 15,100 | | | | 344,121 | |
| Toshiba TEC Corp. | | | 15,000 | | | | 97,175 | |
| Tosoh Corp. | | | 114,000 | | | | 462,534 | |
| TOTO Ltd. | | | 27,000 | | | | 297,043 | |
| Toyo Seikan Group Holdings Ltd. | | | 17,600 | | | | 218,188 | |
| TS Tech Co., Ltd. | | | 3,800 | | | | 92,420 | |
| Unicharm Corp. | | | 13,800 | | | | 314,522 | |
| United Urban Investment Corp. REIT | | | 158 | | | | 242,503 | |
| USS Co., Ltd. | | | 21,300 | | | | 325,845 | |
| Yaskawa Electric Corp. | | | 24,000 | | | | 326,153 | |
| Yokogawa Electric Corp. | | | 31,400 | | | | 412,855 | |
| Yokohama Rubber Co., Ltd./The | | | 30,000 | | | | 259,958 | |
| | | | | | | | |
| | | | | | | 62,958,989 | |
| | | | | | | | |
| Netherlands - 3.9% | | | | | | | | |
| Heineken Holding NV | | | 3,988 | | | | 263,307 | |
| ING Groep NV CVA † | | | 27,702 | | | | 393,762 | |
| Royal Dutch Shell PLC, A Shares | | | 312,566 | | | | 11,931,484 | |
| | | | | | | | |
| | | | | | | 12,588,553 | |
| | | | | | | | |
| Norway - 1.5% | | | | | | | | |
| DNB ASA | | | 18,208 | | | | 340,746 | |
| DNO ASA † | | | 191,469 | | | | 599,537 | |
| Golar LNG Ltd. | | | 2,009 | | | | 136,937 | |
| Norsk Hydro ASA | | | 118,965 | | | | 665,110 | |
| Statoil ASA | | | 101,884 | | | | 2,773,871 | |
| Telenor ASA | | | 10,790 | | | | 236,813 | |
| | | | | | | | |
| | | | | | | 4,753,014 | |
| | | | | | | | |
| Portugal - 0.4% | | | | | | | | |
| EDP-Energias de Portugal SA | | | 277,945 | | | | 1,212,022 | |
| | | | | | | | |
| | |
| Singapore - 0.5% | | | | | | | | |
| Ascendas Real Estate Investment Trust REIT | | | 30,000 | | | | 52,918 | |
| Dairy Farm International Holdings, Ltd. | | | 6,300 | | | | 60,015 | |
| Jardine Cycle & Carriage Ltd. | | | 6,000 | | | | 201,643 | |
| Jardine Matheson Holdings Ltd. | | | 5,200 | | | | 309,862 | |
| Jardine Strategic Holdings Ltd. | | | 7,000 | | | | 243,644 | |
| Singapore Technologies Engineering Ltd. | | | 155,000 | | | | 442,953 | |
| Super Group Ltd. | | | 114,000 | | | | 114,057 | |
| Thai Beverage PCL | | | 446,000 | | | | 266,941 | |
| | | | | | | | |
| | | | | | | 1,692,033 | |
| | | | | | | | |
| South Africa - 0.0% (a) | | | | | | | | |
| Mondi PLC | | | 7,018 | | | | 114,453 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Spain - 6.6% | | | | | | | | |
| Abertis Infraestructuras SA | | | 55,221 | | | $ | 1,088,931 | |
| ACS Actividades de Construccion y Servicios SA | | | 20,728 | | | | 794,495 | |
| Amadeus IT Holding SA, A Shares | | | 15,065 | | | | 562,396 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 163,519 | | | | 1,968,028 | |
| Banco de Sabadell SA | | | 294,510 | | | | 869,596 | |
| Banco Popular Espanol SA | | | 57,683 | | | | 351,826 | |
| Banco Santander SA | | | 554,817 | | | | 5,311,613 | |
| Bankia SA † | | | 353,275 | | | | 657,226 | |
| CaixaBank SA | | | 166,608 | | | | 1,013,062 | |
| Endesa SA | | | 17,755 | | | | 701,179 | |
| Ferrovial SA | | | 73,647 | | | | 1,424,816 | |
| Gas Natural SDG SA | | | 78,089 | | | | 2,297,120 | |
| Grifols SA | | | 7,190 | | | | 293,826 | |
| Iberdrola SA | | | 341,348 | | | | 2,439,919 | |
| Repsol SA | | | 14,331 | | | | 339,990 | |
| Telefonica SA | | | 58,883 | | | | 909,401 | |
| | | | | | | | |
| | | | | | | 21,023,424 | |
| | | | | | | | |
| Sweden - 2.2% | | | | | | | | |
| Assa Abloy AB, Class B | | | 8,380 | | | | 430,628 | |
| Hennes & Mauritz AB, B Shares | | | 13,572 | | | | 561,202 | |
| ICA Gruppen AB | | | 8,456 | | | | 275,820 | |
| Investment AB Kinnevik, B Shares | | | 19,973 | | | | 720,237 | |
| Investor AB, B Shares | | | 25,444 | | | | 895,874 | |
| Meda AB, A Shares | | | 19,677 | | | | 275,752 | |
| NCC AB, B Shares | | | 9,222 | | | | 305,259 | |
| Nordea Bank AB | | | 31,440 | | | | 407,570 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 112,103 | | | | 1,491,490 | |
| Skanska AB, B Shares | | | 55,470 | | | | 1,143,972 | |
| Trelleborg AB, B Shares | | | 31,271 | | | | 540,458 | |
| | | | | | | | |
| | | | | | | 7,048,262 | |
| | | | | | | | |
| Switzerland - 3.7% | | | | | | | | |
| Actelion Ltd. † | | | 13,065 | | | | 1,530,252 | |
| Adecco SA † | | | 5,817 | | | | 393,235 | |
| EMS-Chemie Holding AG | | | 2,370 | | | | 980,698 | |
| Geberit AG | | | 236 | | | | 76,066 | |
| Givaudan SA † | | | 1,085 | | | | 1,729,489 | |
| Novartis AG | | | 41,555 | | | | 3,913,167 | |
| Partners Group Holding AG | | | 2,955 | | | | 776,674 | |
| Schindler Holding AG | | | 1,395 | | | | 188,960 | |
| SGS SA | | | 215 | | | | 444,825 | |
| Swiss Life Holding AG † | | | 1,641 | | | | 391,040 | |
| Swisscom AG | | | 2,067 | | | | 1,171,643 | |
| Wolseley PLC | | | 4,707 | | | | 246,548 | |
| | | | | | | | |
| | | | | | | 11,842,597 | |
| | | | | | | | |
| United Kingdom - 9.2% | | | | | | | | |
| Aberdeen Asset Management PLC | | | 54,480 | | | | 351,478 | |
| Aggreko PLC | | | 7,256 | | | | 181,608 | |
| ARM Holdings PLC | | | 49,237 | | | | 717,344 | |
| Ashtead Group PLC | | | 21,861 | | | | 367,765 | |
| Associated British Foods PLC | | | 38,037 | | | | 1,648,866 | |
| AstraZeneca PLC | | | 50,337 | | | | 3,607,293 | |
| Aviva PLC | | | 36,331 | | | | 307,363 | |
| Barratt Developments PLC | | | 70,000 | | | | 447,632 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 89 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| United Kingdom - 9.2% (continued) | | | | | | | | |
| BG Group PLC | | | 2,230 | | | $ | 41,168 | |
| Booker Group PLC | | | 95,443 | | | | 188,483 | |
| BT Group PLC | | | 456,310 | | | | 2,799,009 | |
| Bunzl PLC | | | 7,883 | | | | 205,112 | |
| Compass Group PLC | | | 39,030 | | | | 629,523 | |
| Croda International PLC | | | 3,164 | | | | 104,923 | |
| Daily Mail & General Trust PLC, Class A | | | 8,278 | | | | 102,431 | |
| Diageo PLC | | | 46,529 | | | | 1,341,996 | |
| easyJet PLC | | | 20,601 | | | | 474,069 | |
| Experian PLC | | | 34,548 | | | | 548,982 | |
| G4S PLC | | | 22,026 | | | | 89,314 | |
| GlaxoSmithKline PLC | | | 913 | | | | 20,857 | |
| Hargreaves Lansdown PLC | | | 13,845 | | | | 211,297 | |
| HSBC Holdings PLC | | | 50,345 | | | | 511,570 | |
| IMI PLC | | | 3,733 | | | | 74,234 | |
| Imperial Tobacco Group PLC | | | 8,078 | | | | 347,806 | |
| International Consolidated Airlines Group SA † | | | 46,475 | | | | 275,882 | |
| Intertek Group PLC | | | 2,171 | | | | 92,006 | |
| ITV PLC | | | 212,597 | | | | 713,832 | |
| Johnson Matthey PLC | | | 2,582 | | | | 121,759 | |
| Kingfisher PLC | | | 42,770 | | | | 223,682 | |
| Legal & General Group PLC | | | 152,969 | | | | 566,035 | |
| Meggitt PLC | | | 17,966 | | | | 131,044 | |
| National Grid PLC | | | 13,628 | | | | 195,901 | |
| Next PLC | | | 14,657 | | | | 1,568,813 | |
| Old Mutual PLC | | | 139,415 | | | | 408,941 | |
| Pearson PLC | | | 15,946 | | | | 320,248 | |
| Petrofac Ltd. | | | 14,632 | | | | 245,174 | |
| Prudential PLC | | | 66,530 | | | | 1,479,052 | |
| Reckitt Benckiser Group PLC | | | 3,848 | | | | 332,689 | |
| Reed Elsevier NV | | | 33,176 | | | | 752,642 | |
| Rexam PLC | | | 10,109 | | | | 80,360 | |
| Rolls-Royce Holdings PLC † | | | 35,118 | | | | 546,564 | |
| SABMiller PLC | | | 32,301 | | | | 1,790,053 | |
| Sage Group PLC/The | | | 13,549 | | | | 80,030 | |
| Severn Trent PLC | | | 3,568 | | | | 108,404 | |
| Smith & Nephew PLC | | | 5,401 | | | | 90,854 | |
| Sports Direct International PLC † | | | 36,611 | | | | 365,819 | |
| SSE PLC | | | 8,866 | | | | 222,008 | |
| Standard Life PLC | | | 68,289 | | | | 456,931 | |
| Tate & Lyle PLC | | | 14,485 | | | | 138,069 | |
| Taylor Wimpey PLC | | | 181,134 | | | | 329,543 | |
| Tullow Oil PLC | | | 11,125 | | | | 115,990 | |
| United Utilities Group PLC | | | 13,217 | | | | 172,651 | |
| Whitbread PLC | | | 10,735 | | | | 721,347 | |
| WPP PLC | | | 74,106 | | | | 1,484,604 | |
| | | | | | | | |
| | | | | | | 29,451,050 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $292,875,931) | | | | | | | 310,224,943 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (a) | | | | | | | | |
| Italy - 0.0% (a) | | | | | | | | |
| Fiat SpA (3)†(b) | | | 96,042 | | | | — | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| | |
| Spain - 0.0% (a) | | | | | | | | |
| Banco Bilbao Vizcaya Argentaria SA † | | | 199,846 | | | $ | 19,941 | |
| Banco Popular Espanol SA † | | | 109,708 | | | | 1,524 | |
| | | | | | | | |
| | | | | | | 21,465 | |
| | | | | | | | |
TOTAL RIGHTS
(cost $—) | | | | | | | 21,465 | |
| | | | | | | | |
TOTAL INVESTMENTS - 97.0%
(cost $292,875,931) | | | | | | | 310,246,408 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 3.0% (c) | | | | | | | 9,742,134 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 319,988,542 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | Represents less than 0.05 percent of net assets. |
| (b) | Security fair valued as of September 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (c) | Includes depreciation 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:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 36,883,554 | | | | 11.5 | % |
| Consumer Staples | | | 15,286,607 | | | | 4.8 | |
| Energy | | | 45,361,600 | | | | 14.2 | |
| Financials | | | 71,449,057 | | | | 22.4 | |
| Health Care | | | 31,280,672 | | | | 9.8 | |
| Industrials | | | 43,274,939 | | | | 13.5 | |
| Information Technology | | | 22,019,088 | | | | 6.9 | |
| Materials | | | 14,095,703 | | | | 4.4 | |
| Telecommunication Services | | | 13,505,398 | | | | 4.2 | |
| Utilities | | | 17,089,790 | | | | 5.3 | |
| | | | | | | | |
Total Investments | | | 310,246,408 | | | | 97.0 | |
| Other Assets in Excess of Liabilities (c) | | | 9,742,134 | | | | 3.0 | |
| | | | | | | | |
Net Assets | | $ | 319,988,542 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 90 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL MOMENTUM FUND | | |
Open futures contracts outstanding at September 30, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION
DATE | | VALUE AT
TRADE DATE | | | VALUE AT
SEPTEMBER 30,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 85 | | Barclays Capital | | MSCI EAFE Mini Index Futures | | 12/2014 | | $ | 7,822,377 | | | $ | 7,818,725 | | | $ | (3,652 | ) |
| | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital for futures contracts was $343,591 at September 30, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 91 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING MOMENTUM FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.3% | | SHARES | | | VALUE
(Note 2) | |
| Brazil - 10.1% | | | | | | | | |
| B2W Cia Digital (1)† | | | 1,100 | | | $ | 14,659 | |
| Banco Bradesco SA ADR (1) | | | 7,200 | | | | 102,600 | |
| Banco do Brasil SA (1) | | | 5,200 | | | | 54,087 | |
| BB Seguridade Participacoes SA (1) | | | 4,800 | | | | 63,320 | |
| Centrais Eletricas Brasileiras SA (1) | | | 3,900 | | | | 10,468 | |
| CETIP SA - Mercados Organizados (1) | | | 900 | | | | 11,178 | |
| Cia Energetica de Minas Gerais ADR (1) | | | 2,100 | | | | 13,083 | |
| Cia Siderurgica Nacional SA ADR (1) | | | 1,900 | | | | 6,745 | |
| Cielo SA (1) | | | 4,000 | | | | 65,089 | |
| Estacio Participacoes SA (1) | | | 2,600 | | | | 27,054 | |
| Itau Unibanco Holding SA ADR (1) | | | 13,540 | | | | 187,935 | |
| JBS SA (1) | | | 3,800 | | | | 14,314 | |
| Kroton Educacional SA (1) | | | 8,400 | | | | 52,780 | |
| Petroleo Brasileiro SA ADR (1) | | | 4,900 | | | | 72,961 | |
| Porto Seguro SA (1) | | | 700 | | | | 8,150 | |
| Qualicorp SA (1)† | | | 900 | | | | 8,905 | |
| Tim Participacoes SA ADR (1) | | | 700 | | | | 18,340 | |
| WEG SA (1) | | | 1,200 | | | | 14,036 | |
| | | | | | | | |
| | | | | | | 745,704 | |
| | | | | | | | |
| Chile - 0.5% | |
| Banco Santander Chile ADR (1) | | | 1,100 | | | | 24,299 | |
| Corpbanca SA (1) | | | 1,089,380 | | | | 13,914 | |
| | | | | | | | |
| | | | | | | 38,213 | |
| | | | | | | | |
| China - 18.9% | | | | | | | | |
| AAC Technologies Holdings, Inc. | | | 6,500 | | | | 37,662 | |
| Anhui Conch Cement Co., Ltd., H Shares | | | 7,000 | | | | 22,339 | |
| ANTA Sports Products Ltd. | | | 9,000 | | | | 18,289 | |
| AviChina Industry & Technology Co., Ltd., H Shares | | | 12,000 | | | | 8,568 | |
| Byd Co., Ltd., H Shares | | | 7,000 | | | | 46,340 | |
| China CITIC Bank Corp. Ltd., H Shares | | | 38,000 | | | | 23,022 | |
| China International Marine Containers Group Co., Ltd. | | | 8,400 | | | | 17,299 | |
| China Mengniu Dairy Co., Ltd. | | | 4,000 | | | | 16,460 | |
| China Merchants Bank Co., Ltd., H Shares | | | 12,500 | | | | 21,340 | |
| China Oilfield Services Ltd., H Shares | | | 8,000 | | | | 21,078 | |
| China Petroleum & Chemical Corp. ADR (1) | | | 2,500 | | | | 218,400 | |
| CSR Corp. Ltd., H Shares | | | 19,000 | | | | 16,702 | |
| Dongfeng Motor Group Co., Ltd., H Shares | | | 12,000 | | | | 19,676 | |
| ENN Energy Holdings Ltd. | | | 6,000 | | | | 39,256 | |
| Evergrande Real Estate Group Ltd. | | | 24,000 | | | | 9,016 | |
| Fosun International Ltd. | | | 27,500 | | | | 33,009 | |
| GOME Electrical Appliances Holding Ltd. | | | 91,000 | | | | 14,729 | |
| Great Wall Motor Co., Ltd., H Shares | | | 2,000 | | | | 7,751 | |
| Guangzhou Automobile Group Co., Ltd., H Shares | | | 12,000 | | | | 11,594 | |
| Haitian International Holdings Ltd. | | | 5,000 | | | | 11,341 | |
| Haitong Securities Co., Ltd. H Shares | | | 14,400 | | | | 22,192 | |
| Kingsoft Corp. Ltd. | | | 5,000 | | | | 11,843 | |
| Lenovo Group Ltd. | | | 46,000 | | | | 68,517 | |
| PetroChina Co., Ltd. ADR (1) | | | 1,200 | | | | 154,212 | |
| PICC Property & Casualty Co., Ltd., H Shares | | | 14,000 | | | | 24,834 | |
| Ping An Insurance Group Co. of China Ltd. H Shares | | | 5,500 | | | | 41,266 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| China - 18.9% (continued) | |
| Shanghai Fosun Pharmaceutical Group Co., Ltd., H Shares | | | 9,000 | | | $ | 28,960 | |
| Shenzhou International Group Holdings Ltd. | | | 2,000 | | | | 6,430 | |
| Sihuan Pharmaceutical Holdings Group Ltd. | | | 36,000 | | | | 26,963 | |
| Sinopec Shanghai Petrochemical Co., Ltd., H Shares | | | 54,000 | | | | 17,839 | |
| Tencent Holdings Ltd. | | | 21,500 | | | | 319,951 | |
| Tingyi Cayman Islands Holding Corp. | | | 2,000 | | | | 5,254 | |
| Want Want China Holdings Ltd. | | | 12,000 | | | | 14,984 | |
| Zhejiang Expressway Co., Ltd., H Shares | | | 8,000 | | | | 8,128 | |
| ZHuzhou CSR Times Electric Co., Ltd., H Shares | | | 2,500 | | | | 9,654 | |
| ZTE Corp., H Shares | | | 10,000 | | | | 22,180 | |
| | | | | | | | |
| | | | | | | 1,397,078 | |
| | | | | | | | |
| Hong Kong - 6.7% | | | | | | | | |
| Beijing Enterprises Holdings Ltd. | | | 5,000 | | | | 42,898 | |
| Beijing Enterprises Water Group Ltd. | | | 58,000 | | | | 39,223 | |
| Brilliance China Automotive Holdings Ltd. | | | 28,000 | | | | 48,932 | |
| China Everbright International Ltd. | | | 14,000 | | | | 18,511 | |
| China Gas Holdings Ltd. | | | 26,000 | | | | 43,146 | |
| China Resources Cement Holdings Ltd. | | | 22,000 | | | | 15,050 | |
| China Resources Gas Group Ltd. | | | 4,000 | | | | 10,824 | |
| China Resources Power Holdings Co., Ltd. | | | 8,000 | | | | 21,555 | |
| China State Construction International Holdings Ltd. | | | 8,000 | | | | 11,893 | |
| Citic 21CN Co., Ltd. † | | | 14,000 | | | | 8,507 | |
| CITIC Ltd. | | | 21,000 | | | | 35,101 | |
| CSPC Pharmaceutical Group Ltd. | | | 40,000 | | | | 33,171 | |
| Far East Horizon Ltd. | | | 10,000 | | | | 8,954 | |
| GCL-Poly Energy Holdings Ltd. † | | | 120,000 | | | | 43,986 | |
| Guangdong Investment Ltd. | | | 32,000 | | | | 37,408 | |
| Haier Electronics Group Co., Ltd. | | | 6,000 | | | | 15,735 | |
| Hanergy Solar Group Ltd. † | | | 86,000 | | | | 15,827 | |
| New World China Land Ltd. | | | 54,000 | | | | 30,593 | |
| Sino Biopharmaceutical Ltd. | | | 16,000 | | | | 15,923 | |
| | | | | | | | |
| | | | | | | 497,237 | |
| | | | | | | | |
| Hungary - 0.2% | | | | | | | | |
| Richter Gedeon Nyrt | | | 700 | | | | 10,931 | |
| | | | | | | | |
|
| India - 6.7% | |
| Dr. Reddy’s Laboratories Ltd. ADR (1) | | | 500 | | | | 26,275 | |
| HDFC Bank Ltd. ADR (1) | | | 2,400 | | | | 111,792 | |
| ICICI Bank Ltd. ADR (1) | | | 1,600 | | | | 78,560 | |
| Infosys Ltd. ADR (1) | | | 100 | | | | 6,049 | |
| Reliance Industries Ltd. GDR (a) | | | 2,294 | | | | 69,978 | |
| State Bank of India GDR | | | 1,588 | | | | 125,006 | |
| Tata Motors Ltd. ADR (1) | | | 1,500 | | | | 65,565 | |
| Wipro Ltd. ADR (1) | | | 1,200 | | | | 14,592 | |
| | | | | | | | |
| | | | | | | 497,817 | |
| | | | | | | | |
| Indonesia - 3.9% | |
| Adaro Energy Tbk PT | | | 174,000 | | | | 16,749 | |
| Astra Agro Lestari Tbk PT | | | 3,900 | | | | 7,355 | |
| Astra International Tbk PT | | | 60,100 | | | | 34,727 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 92 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Indonesia - 3.9% (continued) | |
| Bank Central Asia Tbk PT | | | 19,200 | | | $ | 20,605 | |
| Bank Mandiri Persero Tbk PT | | | 50,900 | | | | 42,095 | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 54,100 | | | | 46,248 | |
| Kalbe Farma Tbk PT | | | 150,200 | | | | 20,913 | |
| Matahari Department Store Tbk PT | | | 6,400 | | | | 8,525 | |
| Telekomunikasi Indonesia Persero Tbk PT | | | 172,800 | | | | 41,395 | |
| Tower Bersama Infrastructure Tbk PT | | | 20,800 | | | | 13,678 | |
| Unilever Indonesia Tbk PT | | | 4,100 | | | | 10,660 | |
| United Tractors Tbk PT | | | 15,000 | | | | 24,496 | |
| | | | | | | | |
| | | | | | | 287,446 | |
| | | | | | | | |
| Korea, Republic of - 11.3% | | | | | | | | |
| Amorepacific Corp. | | | 12 | | | | 27,161 | |
| AMOREPACIFIC Group | | | 18 | | | | 19,923 | |
| Celltrion, Inc. † | | | 362 | | | | 16,764 | |
| Coway Co., Ltd. | | | 283 | | | | 22,571 | |
| Daewoo Shipbuilding & Marine Engineering Co., Ltd. | | | 450 | | | | 8,629 | |
| Dongbu Insurance Co., Ltd. | | | 209 | | | | 11,759 | |
| E-Mart Co., Ltd. | | | 76 | | | | 16,607 | |
| GS Engineering & Construction Corp. † | | | 250 | | | | 8,683 | |
| Halla Visteon Climate Control Corp. | | | 230 | | | | 11,140 | |
| Hankook Tire Co., Ltd. | | | 266 | | | | 12,961 | |
| Hotel Shilla Co., Ltd. | | | 154 | | | | 17,443 | |
| Hyosung Corp. | | | 150 | | | | 10,741 | |
| Hyundai Development Co.-Engineering & Construction | | | 320 | | | | 12,910 | |
| Hyundai Glovis Co., Ltd. | | | 54 | | | | 16,465 | |
| Hyundai Mipo Dockyard Co., Ltd. | | | 64 | | | | 7,496 | |
| Hyundai Mobis Co., Ltd. | | | 123 | | | | 29,945 | |
| Hyundai Motor Co. | | | 178 | | | | 32,071 | |
| Hyundai Wia Corp. | | | 52 | | | | 10,581 | |
| KCC Corp. | | | 25 | | | | 17,021 | |
| Korea Aerospace Industries Ltd. | | | 240 | | | | 9,259 | |
| Korea Electric Power Corp. | | | 780 | | | | 35,452 | |
| Korea Zinc Co., Ltd. | | | 40 | | | | 14,747 | |
| Korean Air Lines Co., Ltd. † | | | 210 | | | | 7,150 | |
| KT&G Corp. | | | 430 | | | | 38,482 | |
| LG Innotek Co., Ltd. † | | | 60 | | | | 6,537 | |
| Lotte Chemical Corp. | | | 53 | | | | 7,041 | |
| LS Industrial Systems Co., Ltd. | | | 89 | | | | 4,947 | |
| NAVER Corp. | | | 118 | | | | 90,138 | |
| OCI Co., Ltd. † | | | 75 | | | | 9,228 | |
| Paradise Co., Ltd. | | | 538 | | | | 17,584 | |
| S-1 Corp. | | | 129 | | | | 9,953 | |
| Samsung C&T Corp. | | | 503 | | | | 35,974 | |
| Samsung SDI Co., Ltd. | | | 117 | | | | 13,549 | |
| Shinhan Financial Group Co., Ltd. | | | 419 | | | | 19,289 | |
| SK C&C Co., Ltd. | | | 98 | | | | 22,502 | |
| SK Holdings Co., Ltd. | | | 85 | | | | 15,195 | |
| SK Hynix, Inc. † | | | 2,401 | | | | 106,271 | |
| SK Networks Co., Ltd. † | | | 1,070 | | | | 10,733 | |
| SK Telecom Co., Ltd. ADR (1) | | | 1,600 | | | | 48,544 | |
| | | | | | | | |
| | | | | | | 833,446 | |
| | | | | | | | |
| Malaysia - 2.7% | |
| Dialog Group BHD | | | 19,756 | | | | 10,356 | |
| DiGi.Com Bhd | | | 16,300 | | | | 29,072 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Malaysia - 2.7% (continued) | |
| Genting Plantations Bhd | | | 2,100 | | | $ | 6,339 | |
| IJM Corp. Bhd | | | 4,000 | | | | 7,894 | |
| IOI Corp. Bhd | | | 9,800 | | | | 14,368 | |
| Malaysia Airports Holdings Bhd | | | 3,800 | | | | 8,683 | |
| MISC Bhd | | | 4,900 | | | | 10,082 | |
| Petronas Gas Bhd | | | 1,700 | | | | 11,905 | |
| Public Bank Bhd | | | 8,000 | | | | 46,087 | |
| Telekom Malaysia Bhd | | | 5,500 | | | | 11,071 | |
| Tenaga Nasional Bhd | | | 12,000 | | | | 45,315 | |
| | | | | | | | |
| | | | | | | 201,172 | |
| | | | | | | | |
| Mexico - 2.1% | | | | | | | | |
| Alfa SAB de CV, Class A (1) | | | 3,900 | | | | 13,349 | |
| America Movil SAB de CV, Series L ADR (1) | | | 800 | | | | 20,160 | |
| Fibra Uno Administracion SA de CV REIT (1) | | | 5,200 | | | | 17,117 | |
| Genomma Lab Internacional SAB de CV, Class B (1)† | | | 4,300 | | | | 10,332 | |
| Gruma SAB de CV, Class B (1)† | | | 2,000 | | | | 21,351 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 2,100 | | | | 14,180 | |
| Grupo Financiero Banorte SAB de CV, Class O (1) | | | 500 | | | | 3,193 | |
| Grupo Financiero Inbursa SAB de CV, Class O (1) | | | 11,900 | | | | 34,122 | |
| Promotora y Operadora de Infraestructura SAB de CV (1)† | | | 1,500 | | | | 20,620 | |
| | | | | | | | |
| | | | | | | 154,424 | |
| | | | | | | | |
| Peru - 0.2% | | | | | | | | |
| Credicorp Ltd. (1) | | | 100 | | | | 15,339 | |
| | | | | | | | |
| | |
| Poland - 1.5% | | | | | | | | |
| Bank Handlowy w Warszawie SA | | | 235 | | | | 8,850 | |
| Bank Millennium SA | | | 4,098 | | | | 10,849 | |
| Bank Zachodni WBK SA | | | 139 | | | | 16,542 | |
| Enea SA | | | 1,321 | | | | 6,465 | |
| mBank | | | 78 | | | | 11,569 | |
| Orange Polska SA | | | 3,955 | | | | 13,887 | |
| PGE SA | | | 5,200 | | | | 32,852 | |
| Tauron Polska Energia SA | | | 6,130 | | | | 9,918 | |
| | | | | | | | |
| | | | | | | 110,932 | |
| | | | | | | | |
| Russia - 0.9% | |
| Magnit OJSC GDR | | | 381 | | | | 21,915 | |
| MMC Norilsk Nickel OJSC ADR (1) | | | 2,011 | | | | 37,365 | |
| Sistema JSFC GDR | | | 665 | | | | 4,561 | |
| | | | | | | | |
| | | | | | | 63,841 | |
| | | | | | | | |
| South Africa - 11.1% | | | | | | | | |
| African Rainbow Minerals Ltd. | | | 424 | | | | 5,370 | |
| Anglo American Platinum Ltd. † | | | 648 | | | | 20,972 | |
| AngloGold Ashanti Ltd. ADR (1)† | | | 700 | | | | 8,400 | |
| Aspen Pharmacare Holdings Ltd. | | | 1,581 | | | | 47,074 | |
| Assore Ltd. | | | 215 | | | | 4,093 | |
| Barclays Africa Group Ltd. | | | 1,152 | | | | 15,706 | |
| Barloworld Ltd. | | | 881 | | | | 7,215 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 93 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| South Africa - 11.1% (continued) | |
| Bidvest Group Ltd./The | | | 754 | | | $ | 19,079 | |
| Coronation Fund Managers Ltd. | | | 1,528 | | | | 13,069 | |
| FirstRand Ltd. | | | 11,385 | | | | 43,324 | |
| Impala Platinum Holdings Ltd. † | | | 1,336 | | | | 10,279 | |
| Investec Ltd. | | | 1,176 | | | | 9,857 | |
| Life Healthcare Group Holdings Ltd. | | | 2,629 | | | | 10,364 | |
| MMI Holdings Ltd. | | | 3,947 | | | | 9,157 | |
| Mr Price Group Ltd. | | | 732 | | | | 13,747 | |
| MTN Group Ltd. | | | 5,189 | | | | 109,401 | |
| Naspers Ltd., N Shares | | | 1,267 | | | | 138,766 | |
| Nedbank Group Ltd. | | | 894 | | | | 17,300 | |
| Netcare Ltd. | | | 4,175 | | | | 11,670 | |
| Northam Platinum Ltd. † | | | 1,457 | | | | 4,741 | |
| Pick n Pay Stores Ltd. | | | 1,524 | | | | 7,111 | |
| Rand Merchant Insurance Holdings Ltd. | | | 2,948 | | | | 9,249 | |
| Remgro Ltd. | | | 811 | | | | 16,349 | |
| RMB Holdings Ltd. | | | 2,284 | | | | 11,442 | |
| Sanlam Ltd. | | | 7,451 | | | | 43,002 | |
| Sappi Ltd. † | | | 2,774 | | | | 10,881 | |
| Sasol Ltd. ADR (1) | | | 1,900 | | | | 103,531 | |
| Standard Bank Group Ltd. | | | 3,718 | | | | 42,964 | |
| Steinhoff International Holdings Ltd. | | | 8,799 | | | | 42,141 | |
| Vodacom Group Ltd. | | | 1,012 | | | | 11,647 | |
| | | | | | | | |
| | | | | | | 817,901 | |
| | | | | | | | |
| Taiwan - 15.9% | | | | | | | | |
| Advanced Semiconductor Engineering, Inc. | | | 19,000 | | | | 22,193 | |
| Advantech Co., Ltd. | | | 2,198 | | | | 15,511 | |
| Asia Cement Corp. | | | 8,160 | | | | 10,422 | |
| Asustek Computer, Inc. | | | 2,000 | | | | 19,085 | |
| Catcher Technology Co., Ltd. | | | 2,000 | | | | 18,524 | |
| Cathay Financial Holding Co., Ltd. | | | 33,600 | | | | 54,613 | |
| Chang Hwa Commercial Bank Ltd. | | | 27,540 | | | | 16,876 | |
| Clevo Co. | | | 3,000 | | | | 5,291 | |
| Compal Electronics, Inc. | | | 18,000 | | | | 13,466 | |
| CTBC Financial Holding Co., Ltd. | | | 22,813 | | | | 15,322 | |
| Delta Electronics, Inc. | | | 6,000 | | | | 37,904 | |
| E.Sun Financial Holding Co., Ltd. | | | 23,961 | | | | 14,529 | |
| Eclat Textile Co., Ltd. | | | 1,040 | | | | 9,443 | |
| Epistar Corp. | | | 5,000 | | | | 9,341 | |
| First Financial Holding Co., Ltd. | | | 23,540 | | | | 14,169 | |
| Formosa International Hotels Corp. | | | 1,100 | | | | 11,669 | |
| Formosa Plastics Corp. | | | 12,000 | | | | 28,441 | |
| Formosa Taffeta Co., Ltd. | | | 7,000 | | | | 6,869 | |
| Giant Manufacturing Co., Ltd. | | | 1,000 | | | | 7,787 | |
| Highwealth Construction Corp. | | | 3,000 | | | | 4,786 | |
| Hiwin Technologies Corp. | | | 1,030 | | | | 9,185 | |
| Hon Hai Precision Industry Co., Ltd. | | | 42,560 | | | | 134,053 | |
| Hotai Motor Co., Ltd. | | | 1,000 | | | | 13,607 | |
| Inotera Memories, Inc. † | | | 19,000 | | | | 28,108 | |
| Inventec Corp. | | | 16,000 | | | | 10,406 | |
| Kinsus Interconnect Technology Corp. | | | 2,000 | | | | 7,423 | |
| MediaTek, Inc. | | | 4,000 | | | | 59,239 | |
| Merida Industry Co., Ltd. | | | 1,050 | | | | 7,311 | |
| Nan Ya Plastics Corp. | | | 1,000 | | | | 2,189 | |
| Pou Chen Corp. | | | 13,000 | | | | 14,442 | |
| President Chain Store Corp. | | | 2,000 | | | | 14,340 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Taiwan - 15.9% (continued) | | | | | | | | |
| Quanta Computer, Inc. | | | 10,000 | | | $ | 25,383 | |
| Radiant Opto-Electronics Corp. | | | 3,000 | | | | 11,867 | |
| Realtek Semiconductor Corp. | | | 3,000 | | | | 10,653 | |
| Ruentex Industries Ltd. | | | 3,000 | | | | 6,667 | |
| ScinoPharm Taiwan Ltd. † | | | 3,120 | | | | 6,399 | |
| SiliConware Precision Industries Co. | | | 12,000 | | | | 16,480 | |
| Taishin Financial Holding Co., Ltd. | | | 31,880 | | | | 14,921 | |
| Taiwan Cement Corp. | | | 14,000 | | | | 20,837 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 19,500 | | | | 393,510 | |
| Teco Electric and Machinery Co., Ltd. | | | 10,000 | | | | 10,269 | |
| Walsin Lihwa Corp. † | | | 17,000 | | | | 5,583 | |
| WPG Holdings Ltd. | | | 6,000 | | | | 7,340 | |
| Zhen Ding Technology Holding Ltd. | | | 3,000 | | | | 8,676 | |
| | | | | | | | |
| | | | | | | 1,175,129 | |
| | | | | | | | |
| Thailand - 3.4% | | | | | | | | |
| Airports of Thailand PCL NVDR | | | 2,000 | | | | 14,703 | |
| Bangkok Dusit Medical Services PCL NVDR | | | 32,000 | | | | 18,224 | |
| Banpu PCL NVDR | | | 17,600 | | | | 15,996 | |
| Bumrungrad Hospital PCL NVDR | | | 4,700 | | | | 19,078 | |
| CP ALL PCL NVDR | | | 25,900 | | | | 35,699 | |
| Indorama Ventures PCL NVDR | | | 18,400 | | | | 14,431 | |
| Kasikornbank PCL NVDR | | | 5,300 | | | | 38,334 | |
| Krung Thai Bank PCL NVDR | | | 25,300 | | | | 18,443 | |
| Minor International PCL NVDR | | | 17,600 | | | | 20,093 | |
| Siam Commercial Bank PCL (The) NVDR | | | 6,300 | | | | 35,291 | |
| True Corp. PCL NVDR † | | | 56,700 | | | | 20,773 | |
| | | | | | | | |
| | | | | | | 251,065 | |
| | | | | | | | |
| Turkey - 1.2% | | | | | | | | |
| Enka Insaat ve Sanayi AS | | | 4,549 | | | | 10,391 | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 20,874 | | | | 38,771 | |
| KOC Holding AS | | | 3,689 | | | | 17,050 | |
| TAV Havalimanlari Holding AS | | | 1,882 | | | | 15,111 | |
| Ulker Biskuvi Sanayi AS | | | 1,630 | | | | 10,779 | |
| | | | | | | | |
| | | | | | | 92,102 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $7,332,420) | | | | | | | 7,189,777 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.7% | | | | | | | | |
| Brazil - 0.7% | | | | | | | | |
| Cia Energetica de Sao Paulo, Series B (1) | | | 900 | | | | 9,747 | |
| Itausa - Investimentos Itau SA (1) | | | 11,400 | | | | 43,407 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $56,454) | | | | | | | 53,154 | |
| | | | | | | | |
| | |
| EXCHANGE-TRADED FUNDS - 0.9% | | | | | | | | |
| iShares MSCI Emerging Markets ETF (1) | | | | | | | | |
(cost $67,331) | | | 1,554 | | | | 64,584 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 94 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| | |
| MONEY MARKET FUNDS - 1.9% | | | | | | | | |
J.P. Morgan U.S. Treasury Plus
Money Market Fund - IM Shares, 0.000% (b) | | | | | | | | |
(cost $136,788) | | | 136,788 | | | $ | 136,788 | |
| | | | | | | | |
TOTAL INVESTMENTS - 100.8%
(cost $7,592,993) | | | | | | | 7,444,303 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.8%) | | | | | | | (55,583 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 7,388,720 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | 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. |
| (b) | Represents annualized seven-day yield as of September 30, 2014. |
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
REIT - Real Estate Investment Trust
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 839,623 | | | | 11.4 | % |
| Consumer Staples | | | 303,104 | | | | 4.1 | |
| Energy | | | 672,905 | | | | 9.1 | |
Exchange-Traded Funds | | | 64,584 | | | | 0.9 | |
| Financials | | | 1,767,832 | | | | 23.8 | |
| Health Care | | | 311,948 | | | | 4.2 | |
| Industrials | | | 576,793 | | | | 7.8 | |
| Information Technology | | | 1,699,146 | | | | 23.0 | |
| Materials | | | 353,930 | | | | 4.8 | |
| Telecommunication Services | | | 351,035 | | | | 4.8 | |
| Utilities | | | 366,615 | | | | 5.0 | |
| Money Market Funds | | | 136,788 | | | | 1.9 | |
| | | | | | | | |
| Total Investments | | | 7,444,303 | | | | 100.8 | |
| Liabilities in Excess of Other Assets | | | (55,583 | ) | | | (0.8 | ) |
| | | | | | | | |
| Net Assets | | $ | 7,388,720 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 95 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
| | | | | | | | |
| COMMON STOCKS - 98.6% | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.2% | | | | | | | | |
| Amazon.com, Inc. † | | | 359 | | | $ | 115,756 | |
| Bed Bath & Beyond, Inc. † | | | 101 | | | | 6,649 | |
| Best Buy Co., Inc. | | | 4,648 | | | | 156,126 | |
| BorgWarner, Inc. | | | 5,288 | | | | 278,202 | |
| Brunswick Corp. | | | 1,969 | | | | 82,974 | |
| Carter’s, Inc. | | | 616 | | | | 47,752 | |
| CBS Corp., Class B | | | 8,044 | | | | 430,354 | |
| Charter Communications, Inc., Class A † | | | 500 | | | | 75,685 | |
| Chipotle Mexican Grill, Inc. † | | | 642 | | | | 427,951 | |
| Cinemark Holdings, Inc. | | | 322 | | | | 10,961 | |
| Coach, Inc. | | | 66 | | | | 2,350 | |
| Comcast Corp., Class A | | | 3,851 | | | | 207,107 | |
| Conn’s, Inc. † | | | 553 | | | | 16,739 | |
| Dana Holding Corp. | | | 2,784 | | | | 53,369 | |
| DISH Network Corp., Class A † | | | 6,730 | | | | 434,623 | |
| Dollar Tree, Inc. † | | | 941 | | | | 52,762 | |
| DSW, Inc., Class A | | | 330 | | | | 9,936 | |
| Ford Motor Co. | | | 2,821 | | | | 41,723 | |
| Gannett Co., Inc. | | | 2,894 | | | | 85,865 | |
| Gap, Inc./The | | | 868 | | | | 36,187 | |
| Genuine Parts Co. | | | 74 | | | | 6,491 | |
| GNC Holdings, Inc., Class A | | | 2,197 | | | | 85,112 | |
| Goodyear Tire & Rubber Co./The | | | 5,468 | | | | 123,495 | |
| Groupon, Inc. † | | | 12,576 | | | | 84,008 | |
| H&R Block, Inc. | | | 1,923 | | | | 59,632 | |
| Hanesbrands, Inc. | | | 900 | | | | 96,696 | |
| Harman International Industries, Inc. | | | 1,600 | | | | 156,864 | |
| HSN, Inc. | | | 187 | | | | 11,476 | |
| Johnson Controls, Inc. | | | 8,535 | | | | 375,540 | |
| L Brands, Inc. | | | 139 | | | | 9,310 | |
| Las Vegas Sands Corp. | | | 11,882 | | | | 739,179 | |
| LKQ Corp. † | | | 2,515 | | | | 66,874 | |
| Lowe’s Cos., Inc. | | | 6,604 | | | | 349,484 | |
| Macy’s, Inc. | | | 1,624 | | | | 94,484 | |
| Madison Square Garden Co./The, Class A † | | | 948 | | | | 62,682 | |
| Marriott International, Inc., Class A | | | 1,800 | | | | 125,820 | |
| MGM Resorts International † | | | 8,767 | | | | 199,712 | |
| Mohawk Industries, Inc. † | | | 936 | | | | 126,192 | |
| Netflix, Inc. † | | | 1,239 | | | | 559,012 | |
| NIKE, Inc., Class B | | | 248 | | | | 22,122 | |
| O’Reilly Automotive, Inc. † | | | 600 | | | | 90,216 | |
| Panera Bread Co., Class A † | | | 24 | | | | 3,905 | |
| PetSmart, Inc. | | | 64 | | | | 4,486 | |
| Polaris Industries, Inc. | | | 1,008 | | | | 150,988 | |
| Priceline Group, Inc./The † | | | 679 | | | | 786,676 | |
| PulteGroup, Inc. | | | 2,843 | | | | 50,207 | |
| Ralph Lauren Corp. | | | 40 | | | | 6,589 | |
| Rent-A-Center, Inc. | | | 182 | | | | 5,524 | |
| Sally Beauty Holdings, Inc. † | | | 147 | | | | 4,023 | |
| Service Corp. International | | | 1,360 | | | | 28,750 | |
| Signet Jewelers Ltd. | | | 800 | | | | 91,128 | |
| Standard Pacific Corp. † | | | 4,289 | | | | 32,125 | |
| Starbucks Corp. | | | 8,251 | | | | 622,620 | |
| Tenneco, Inc. † | | | 1,200 | | | | 62,772 | |
| Tesla Motors, Inc. † | | | 2,106 | | | | 511,084 | |
| TJX Cos., Inc./The | | | 6,403 | | | | 378,866 | |
| TripAdvisor, Inc. † | | | 2,429 | | | | 222,059 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.2% (continued) | | | | | |
| Twenty-First Century Fox, Inc., Class A | | | 9,184 | | | $ | 314,919 | |
| Ulta Salon Cosmetics & Fragrance, Inc. † | | | 50 | | | | 5,909 | |
| Under Armour, Inc., Class A † | | | 5,190 | | | | 358,629 | |
| VF Corp. | | | 5,956 | | | | 393,275 | |
| Viacom, Inc., Class B | | | 3,706 | | | | 285,140 | |
| Visteon Corp. † | | | 548 | | | | 53,293 | |
| Walt Disney Co./The | | | 16,958 | | | | 1,509,771 | |
| Weight Watchers International, Inc. † | | | 51 | | | | 1,399 | |
| Whirlpool Corp. | | | 872 | | | | 127,007 | |
| Wynn Resorts Ltd. | | | 1,855 | | | | 347,033 | |
| Yum! Brands, Inc. | | | 243 | | | | 17,491 | |
| | | | | | | | |
| | | | | | | 12,393,140 | |
| | | | | | | | |
| Consumer Staples - 4.4% | | | | | | | | |
| Altria Group, Inc. | | | 8,400 | | | | 385,896 | |
| Archer-Daniels-Midland Co. | | | 2,109 | | | | 107,770 | |
| Church & Dwight Co., Inc. | | | 85 | | | | 5,964 | |
| Coca-Cola Co./The | | | 102 | | | | 4,351 | |
| Colgate-Palmolive Co. | | | 310 | | | | 20,218 | |
| ConAgra Foods, Inc. | | | 549 | | | | 18,139 | |
| Constellation Brands, Inc., Class A † | | | 4,163 | | | | 362,847 | |
| CVS Health Corp. | | | 11,100 | | | | 883,449 | |
| Estee Lauder Cos., Inc./The, Class A | | | 151 | | | | 11,283 | |
| Flowers Foods, Inc. | | | 1,538 | | | | 28,238 | |
| General Mills, Inc. | | | 150 | | | | 7,567 | |
| Hershey Co./The | | | 95 | | | | 9,066 | |
| JM Smucker Co./The | | | 179 | | | | 17,719 | |
| Keurig Green Mountain, Inc. | | | 2,927 | | | | 380,891 | |
| Kroger Co./The | | | 3,400 | | | | 176,800 | |
| Mondelez International, Inc., Class A | | | 9,635 | | | | 330,143 | |
| Nu Skin Enterprises, Inc., Class A | | | 1,053 | | | | 47,417 | |
| Philip Morris International, Inc. | | | 37 | | | | 3,086 | |
| Pilgrim’s Pride Corp. † | | | 3,191 | | | | 97,517 | |
| PriceSmart, Inc. | | | 417 | | | | 35,712 | |
| Reynolds American, Inc. | | | 5,832 | | | | 344,088 | |
| Rite Aid Corp. † | | | 28,118 | | | | 136,091 | |
| TreeHouse Foods, Inc. † | | | 39 | | | | 3,139 | |
| Tyson Foods, Inc., Class A | | | 5,589 | | | | 220,039 | |
| Walgreen Co. | | | 12,735 | | | | 754,803 | |
| WhiteWave Foods Co./The † | | | 2,600 | | | | 94,458 | |
| Whole Foods Market, Inc. | | | 270 | | | | 10,290 | |
| | | | | | | | |
| | | | | | | 4,496,981 | |
| | | | | | | | |
| Energy - 12.3% | | | | | | | | |
| Anadarko Petroleum Corp. | | | 60 | | | | 6,086 | |
| Baker Hughes, Inc. | | | 8,700 | | | | 566,022 | |
| Cabot Oil & Gas Corp. | | | 1,849 | | | | 60,444 | |
| Cameron International Corp. † | | | 587 | | | | 38,965 | |
| CARBO Ceramics, Inc. | | | 600 | | | | 35,538 | |
| Cheniere Energy, Inc. † | | | 5,910 | | | | 472,977 | |
| Chesapeake Energy Corp. | | | 5,715 | | | | 131,388 | |
| Chevron Corp. | | | 66 | | | | 7,875 | |
| Cimarex Energy Co. | | | 1,673 | | | | 211,685 | |
| Concho Resources, Inc. † | | | 1,700 | | | | 213,163 | |
| ConocoPhillips | | | 17,535 | | | | 1,341,778 | |
| CONSOL Energy, Inc. | | | 1,900 | | | | 71,934 | |
| Continental Resources, Inc. † | | | 7,390 | | | | 491,287 | |
| Devon Energy Corp. | | | 6,000 | | | | 409,080 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 96 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Energy - 12.3% (continued) | | | | | | | | |
| Diamondback Energy, Inc. † | | | 2,100 | | | $ | 157,038 | |
| Energen Corp. | | | 1,000 | | | | 72,240 | |
| EOG Resources, Inc. | | | 9,784 | | | | 968,812 | |
| EQT Corp. | | | 1,900 | | | | 173,926 | |
| FMC Technologies, Inc. † | | | 64 | | | | 3,476 | |
| Golar LNG Ltd. (Norway) | | | 1,500 | | | | 99,600 | |
| Gulfport Energy Corp. † | | | 2,749 | | | | 146,797 | |
| Halliburton Co. | | | 16,583 | | | | 1,069,769 | |
| Helix Energy Solutions Group, Inc. † | | | 1,805 | | | | 39,818 | |
| Helmerich & Payne, Inc. | | | 3,100 | | | | 303,397 | |
| Hess Corp. | | | 5,463 | | | | 515,270 | |
| HollyFrontier Corp. | | | 304 | | | | 13,279 | |
| Key Energy Services, Inc. † | | | 134 | | | | 649 | |
| National Oilwell Varco, Inc. | | | 1,200 | | | | 91,320 | |
| Noble Energy, Inc. | | | 3,530 | | | | 241,311 | |
| Oasis Petroleum, Inc. † | | | 1,413 | | | | 59,078 | |
| Oceaneering International, Inc. | | | 607 | | | | 39,558 | |
| ONEOK, Inc. | | | 1,300 | | | | 85,215 | |
| Phillips 66 | | | 8,810 | | | | 716,341 | |
| Pioneer Natural Resources Co. | | | 2,956 | | | | 582,243 | |
| Range Resources Corp. | | | 261 | | | | 17,698 | |
| Rosetta Resources, Inc. † | | | 40 | | | | 1,782 | |
| Schlumberger Ltd. | | | 19,000 | | | | 1,932,110 | |
| Spectra Energy Corp. | | | 2,100 | | | | 82,446 | |
| Targa Resources Corp. | | | 1,698 | | | | 231,217 | |
| Valero Energy Corp. | | | 5,950 | | | | 275,307 | |
| Whiting Petroleum Corp. † | | | 1,200 | | | | 93,060 | |
| Williams Cos., Inc./The | | | 8,269 | | | | 457,689 | |
| World Fuel Services Corp. | | | 52 | | | | 2,076 | |
| | | | | | | | |
| | | | | | | 12,530,744 | |
| | | | | | | | |
| Financials - 5.7% | | | | | | | | |
| American Campus Communities, Inc. REIT | | | 63 | | | | 2,296 | |
| American Express Co. | | | 4,897 | | | | 428,683 | |
| American Financial Group, Inc. | | | 1,065 | | | | 61,653 | |
| Ameriprise Financial, Inc. | | | 1,200 | | | | 148,056 | |
| Arch Capital Group Ltd. † | | | 267 | | | | 14,610 | |
| AvalonBay Communities, Inc. REIT | | | 37 | | | | 5,216 | |
| BB&T Corp. | | | 375 | | | | 13,954 | |
| Berkshire Hathaway, Inc., Class B † | | | 223 | | | | 30,805 | |
| Boston Properties, Inc. REIT | | | 39 | | | | 4,515 | |
| Capital One Financial Corp. | | | 3,817 | | | | 311,544 | |
| CBOE Holdings, Inc. | | | 1,623 | | | | 86,871 | |
| Charles Schwab Corp./The | | | 15,032 | | | | 441,790 | |
| Chubb Corp./The | | | 190 | | | | 17,305 | |
| CME Group, Inc. | | | 3,213 | | | | 256,895 | |
| Comerica, Inc. | | | 1,500 | | | | 74,790 | |
| Crown Castle International Corp. REIT | | | 380 | | | | 30,601 | |
| Discover Financial Services | | | 3,539 | | | | 227,876 | |
| E*TRADE Financial Corp. † | | | 5,200 | | | | 117,468 | |
| Erie Indemnity Co., Class A | | | 32 | | | | 2,426 | |
| Fifth Third Bancorp | | | 14,000 | | | | 280,280 | |
| First Republic Bank/CA | | | 1,400 | | | | 69,132 | |
| General Growth Properties, Inc. REIT | | | 6,139 | | | | 144,573 | |
| Genworth Financial, Inc., Class A † | | | 11,373 | | | | 148,986 | |
| Hartford Financial Services Group, Inc./The | | | 3,282 | | | | 122,255 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 5.7% (continued) | | | | | | | | |
| Howard Hughes Corp./The † | | | 460 | | | $ | 69,000 | |
| Huntington Bancshares, Inc. | | | 10,400 | | | | 101,192 | |
| Intercontinental Exchange, Inc. | | | 600 | | | | 117,030 | |
| KeyCorp | | | 8,100 | | | | 107,973 | |
| Lincoln National Corp. | | | 2,367 | | | | 126,824 | |
| LPL Financial Holdings, Inc. | | | 1,500 | | | | 69,075 | |
| McGraw Hill Financial, Inc. | | | 2,820 | | | | 238,149 | |
| MetLife, Inc. | | | 1,644 | | | | 88,316 | |
| Moody’s Corp. | | | 2,313 | | | | 218,579 | |
| Morgan Stanley | | | 1,692 | | | | 58,492 | |
| Ocwen Financial Corp. † | | | 1,081 | | | | 28,301 | |
| Principal Financial Group, Inc. | | | 1,500 | | | | 78,705 | |
| ProAssurance Corp. | | | 66 | | | | 2,909 | |
| Prudential Financial, Inc. | | | 3,393 | | | | 298,380 | |
| Public Storage REIT | | | 117 | | | | 19,403 | |
| Regions Financial Corp. | | | 4,459 | | | | 44,768 | |
| Signature Bank † | | | 600 | | | | 67,236 | |
| State Street Corp. | | | 3,050 | | | | 224,511 | |
| SunTrust Banks, Inc. | | | 3,600 | | | | 136,908 | |
| SVB Financial Group † | | | 700 | | | | 78,463 | |
| Tanger Factory Outlet Centers, Inc. REIT | | | 263 | | | | 8,605 | |
| Taubman Centers, Inc. REIT | | | 130 | | | | 9,490 | |
| Travelers Cos., Inc./The | | | 301 | | | | 28,276 | |
| Ventas, Inc. REIT | | | 229 | | | | 14,187 | |
| Washington Prime Group, Inc. REIT | | | 47 | | | | 822 | |
| Wells Fargo & Co. | | | 9,800 | | | | 508,326 | |
| Weyerhaeuser Co. REIT | | | 768 | | | | 24,468 | |
| WR Berkley Corp. | | | 97 | | | | 4,637 | |
| | | | | | | | |
| | | | | | | 5,815,605 | |
| | | | | | | | |
| Health Care - 13.1% | | | | | | | | |
| AbbVie, Inc. | | | 5,947 | | | | 343,499 | |
| ACADIA Pharmaceuticals, Inc. † | | | 3,700 | | | | 91,612 | |
| Actavis PLC † | | | 1,185 | | | | 285,917 | |
| Aetna, Inc. | | | 3,281 | | | | 265,761 | |
| Agilent Technologies, Inc. | | | 1,300 | | | | 74,074 | |
| Alexion Pharmaceuticals, Inc. † | | | 3,280 | | | | 543,890 | |
| Align Technology, Inc. † | | | 1,400 | | | | 72,352 | |
| Alnylam Pharmaceuticals, Inc. † | | | 2,169 | | | | 169,399 | |
| AmerisourceBergen Corp. | | | 990 | | | | 76,527 | |
| Arena Pharmaceuticals, Inc. † | | | 1,886 | | | | 7,902 | |
| athenahealth, Inc. † | | | 1,017 | | | | 133,929 | |
| Biogen Idec, Inc. † | | | 3,098 | | | | 1,024,849 | |
| BioMarin Pharmaceutical, Inc. † | | | 771 | | | | 55,635 | |
| Boston Scientific Corp. † | | | 19,171 | | | | 226,410 | |
| Bristol-Myers Squibb Co. | | | 7,279 | | | | 372,539 | |
| Cardinal Health, Inc. | | | 3,661 | | | | 274,282 | |
| Celgene Corp. † | | | 1,230 | | | | 116,579 | |
| Cepheid † | | | 1,365 | | | | 60,101 | |
| Cerner Corp. † | | | 787 | | | | 46,882 | |
| Cigna Corp. | | | 2,422 | | | | 219,651 | |
| DexCom, Inc. † | | | 2,200 | | | | 87,978 | |
| Endo International PLC (Ireland) † | | | 1,372 | | | | 93,762 | |
| Gilead Sciences, Inc. † | | | 19,387 | | | | 2,063,746 | |
| HCA Holdings, Inc. † | | | 5,140 | | | | 362,473 | |
| Humana, Inc. | | | 2,600 | | | | 338,754 | |
| Illumina, Inc. † | | | 2,631 | | | | 431,274 | |
| Incyte Corp. † | | | 4,491 | | | | 220,284 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 97 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 13.1% (continued) | | | | | | | | |
| Intercept Pharmaceuticals, Inc. † | | | 500 | | | $ | 118,345 | |
| Intuitive Surgical, Inc. † | | | 26 | | | | 12,007 | |
| Isis Pharmaceuticals, Inc. † | | | 3,547 | | | | 137,730 | |
| Jazz Pharmaceuticals PLC † | | | 22 | | | | 3,532 | |
| McKesson Corp. | | | 3,504 | | | | 682,124 | |
| Medidata Solutions, Inc. † | | | 3,410 | | | | 151,029 | |
| Medivation, Inc. † | | | 1,200 | | | | 118,644 | |
| Medtronic, Inc. | | | 1,610 | | | | 99,739 | |
| Merck & Co., Inc. | | | 8,400 | | | | 497,952 | |
| Mylan, Inc. † | | | 4,773 | | | | 217,124 | |
| NPS Pharmaceuticals, Inc. † | | | 1,900 | | | | 49,400 | |
| Perrigo Co. PLC (Ireland) | | | 47 | | | | 7,059 | |
| Pfizer, Inc. | | | 759 | | | | 22,444 | |
| Pharmacyclics, Inc. † | | | 1,859 | | | | 218,302 | |
| Puma Biotechnology, Inc. † | | | 1,000 | | | | 238,570 | |
| Regeneron Pharmaceuticals, Inc. † | | | 1,039 | | | | 374,580 | |
| Salix Pharmaceuticals Ltd. † | | | 1,186 | | | | 185,301 | |
| St. Jude Medical, Inc. | | | 2,465 | | | | 148,220 | |
| Tenet Healthcare Corp. † | | | 1,805 | | | | 107,199 | |
| Thermo Fisher Scientific, Inc. | | | 5,346 | | | | 650,608 | |
| UnitedHealth Group, Inc. | | | 5,630 | | | | 485,588 | |
| Vertex Pharmaceuticals, Inc. † | | | 1,688 | | | | 189,579 | |
| WellPoint, Inc. | | | 4,464 | | | | 533,984 | |
| | | | | | | | |
| | | | | | | 13,309,121 | |
| | | | | | | | |
| Industrials - 15.2% | | | | | | | | |
| 3M Co. | | | 8,200 | | | | 1,161,776 | |
| A. O. Smith Corp. | | | 2,198 | | | | 103,921 | |
| Acuity Brands, Inc. | | | 600 | | | | 70,626 | |
| Alaska Air Group, Inc. | | | 1,412 | | | | 61,478 | |
| Avis Budget Group, Inc. † | | | 4,091 | | | | 224,555 | |
| B/E Aerospace, Inc. † | | | 2,772 | | | | 232,682 | |
| Boeing Co./The | | | 6,711 | | | | 854,847 | |
| Caterpillar, Inc. | | | 6,500 | | | | 643,695 | |
| Chart Industries, Inc. † | | | 899 | | | | 54,956 | |
| CLARCOR, Inc. | | | 41 | | | | 2,586 | |
| Clean Harbors, Inc. † | | | 45 | | | | 2,426 | |
| Colfax Corp. † | | | 1,100 | | | | 62,667 | |
| Copart, Inc. † | | | 321 | | | | 10,052 | |
| Cummins, Inc. | | | 2,472 | | | | 326,255 | |
| Delta Air Lines, Inc. | | | 19,305 | | | | 697,876 | |
| Donaldson Co., Inc. | | | 84 | | | | 3,413 | |
| Dover Corp. | | | 2,493 | | | | 200,263 | |
| Fastenal Co. | | | 131 | | | | 5,882 | |
| FedEx Corp. | | | 6,737 | | | | 1,087,689 | |
| Flowserve Corp. | | | 1,586 | | | | 111,845 | |
| Fortune Brands Home & Security, Inc. | | | 3,256 | | | | 133,854 | |
| Generac Holdings, Inc. † | | | 2,125 | | | | 86,148 | |
| General Dynamics Corp. | | | 5,500 | | | | 698,995 | |
| Hertz Global Holdings, Inc. † | | | 5,422 | | | | 137,665 | |
| Honeywell International, Inc. | | | 6,045 | | | | 562,910 | |
| Huntington Ingalls Industries, Inc. | | | 1,500 | | | | 156,315 | |
| Illinois Tool Works, Inc. | | | 571 | | | | 48,204 | |
| Kirby Corp. † | | | 499 | | | | 58,807 | |
| Lockheed Martin Corp. | | | 6,291 | | | | 1,149,869 | |
| Manitowoc Co., Inc./The | | | 2,743 | | | | 64,323 | |
| Masco Corp. | | | 1,831 | | | | 43,798 | |
| Middleby Corp./The † | | | 1,800 | | | | 158,634 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 15.2% (continued) | | | | | | | | |
| Nielsen NV | | | 2,443 | | | $ | 108,298 | |
| Norfolk Southern Corp. | | | 3,251 | | | | 362,812 | |
| Northrop Grumman Corp. | | | 5,646 | | | | 743,917 | |
| Old Dominion Freight Line, Inc. † | | | 1,956 | | | | 138,172 | |
| Owens Corning | | | 565 | | | | 17,939 | |
| Parker-Hannifin Corp. | | | 1,500 | | | | 171,225 | |
| Precision Castparts Corp. | | | 1,628 | | | | 385,641 | |
| Raytheon Co. | | | 6,276 | | | | 637,767 | |
| Rockwell Automation, Inc. | | | 2,600 | | | | 285,688 | |
| Rollins, Inc. | | | 380 | | | | 11,126 | |
| SolarCity Corp. † | | | 4,891 | | | | 291,504 | |
| Southwest Airlines Co. | | | 12,618 | | | | 426,110 | |
| Spirit Airlines, Inc. † | | | 3,636 | | | | 251,393 | |
| Swift Transportation Co. † | | | 5,294 | | | | 111,068 | |
| Teledyne Technologies, Inc. † | | | 41 | | | | 3,854 | |
| Textron, Inc. | | | 2,100 | | | | 75,579 | |
| Towers Watson & Co., Class A | | | 702 | | | | 69,849 | |
| Trinity Industries, Inc. | | | 4,700 | | | | 219,584 | |
| Triumph Group, Inc. | | | 44 | | | | 2,862 | |
| Union Pacific Corp. | | | 7,916 | | | | 858,253 | |
| United Continental Holdings, Inc. † | | | 5,142 | | | | 240,594 | |
| United Parcel Service, Inc., Class B | | | 166 | | | | 16,316 | |
| United Rentals, Inc. † | | | 2,943 | | | | 326,967 | |
| United Technologies Corp. | | | 900 | | | | 95,040 | |
| USG Corp. † | | | 586 | | | | 16,109 | |
| WABCO Holdings, Inc. † | | | 800 | | | | 72,760 | |
| Wabtec Corp. | | | 785 | | | | 63,616 | |
| Waste Connections, Inc. | | | 1,237 | | | | 60,019 | |
| WESCO International, Inc. † | | | 423 | | | | 33,104 | |
| Xylem, Inc. | | | 2,200 | | | | 78,078 | |
| | | | | | | | |
| | | | | | | 15,394,256 | |
| | | | | | | | |
| Information Technology - 31.8% | | | | | | | | |
| 3D Systems Corp. † | | | 2,271 | | | | 105,306 | |
| Activision Blizzard, Inc. | | | 10,763 | | | | 223,763 | |
| Adobe Systems, Inc. † | | | 8,721 | | | | 603,406 | |
| Akamai Technologies, Inc. † | | | 1,700 | | | | 101,660 | |
| Alliance Data Systems Corp. † | | | 903 | | | | 224,188 | |
| Apple, Inc. | | | 73,554 | | | | 7,410,565 | |
| Applied Materials, Inc. | | | 21,557 | | | | 465,847 | |
| ARRIS Group, Inc. † | | | 2,800 | | | | 79,394 | |
| Autodesk, Inc. † | | | 1,500 | | | | 82,650 | |
| Automatic Data Processing, Inc. | | | 159 | | | | 13,210 | |
| Brocade Communications Systems, Inc. | | | 7,800 | | | | 84,786 | |
| CA, Inc. | | | 2,700 | | | | 75,438 | |
| Cisco Systems, Inc. | | | 5,379 | | | | 135,389 | |
| Cognizant Technology Solutions Corp., Class A † | | | 7,100 | | | | 317,867 | |
| Corning, Inc. | | | 22,000 | | | | 425,480 | |
| CoStar Group, Inc. † | | | 500 | | | | 77,770 | |
| Cree, Inc. † | | | 1,478 | | | | 60,524 | |
| eBay, Inc. † | | | 698 | | | | 39,528 | |
| Electronic Arts, Inc. † | | | 4,698 | | | | 167,296 | |
| F5 Networks, Inc. † | | | 1,500 | | | | 178,110 | |
| Facebook, Inc., Class A † | | | 34,859 | | | | 2,755,255 | |
| First Solar, Inc. † | | | 2,346 | | | | 154,390 | |
| FleetCor Technologies, Inc. † | | | 1,395 | | | | 198,257 | |
| Fortinet, Inc. † | | | 124 | | | | 3,133 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 98 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 31.8% (continued) | | | | | |
| Freescale Semiconductor Ltd. † | | | 4,203 | | | $ | 82,085 | |
| Google, Inc., Class A † | | | 4,234 | | | | 2,491,328 | |
| Guidewire Software, Inc. † | | | 1,984 | | | | 87,970 | |
| Hewlett-Packard Co. | | | 26,780 | | | | 949,887 | |
| IAC/InterActiveCorp | | | 882 | | | | 58,124 | |
| Intel Corp. | | | 32,848 | | | | 1,143,767 | |
| International Business Machines Corp. | | | 24 | | | | 4,556 | |
| Intuit, Inc. | | | 1,200 | | | | 105,180 | |
| IPG Photonics Corp. † | | | 133 | | | | 9,148 | |
| Jack Henry & Associates, Inc. | | | 963 | | | | 53,601 | |
| Juniper Networks, Inc. | | | 7,300 | | | | 161,695 | |
| Marvell Technology Group Ltd. | | | 6,200 | | | | 83,576 | |
| MasterCard, Inc., Class A | | | 8,690 | | | | 642,365 | |
| Micron Technology, Inc. † | | | 22,473 | | | | 769,925 | |
| Microsoft Corp. | | | 53,150 | | | | 2,464,034 | |
| Motorola Solutions, Inc. | | | 138 | | | | 8,733 | |
| NCR Corp. † | | | 1,190 | | | | 39,758 | |
| NetSuite, Inc. † | | | 656 | | | | 58,738 | |
| NeuStar, Inc., Class A † | | | 661 | | | | 16,413 | |
| Nuance Communications, Inc. † | | | 155 | | | | 2,389 | |
| NVIDIA Corp. | | | 8,300 | | | | 153,135 | |
| Oracle Corp. | | | 39,621 | | | | 1,516,692 | |
| Palo Alto Networks, Inc. † | | | 1,100 | | | | 107,910 | |
| Pandora Media, Inc. † | | | 6,361 | | | | 153,682 | |
| Qlik Technologies, Inc. † | | | 1,202 | | | | 32,502 | |
| QUALCOMM, Inc. | | | 12,871 | | | | 962,365 | |
| Rackspace Hosting, Inc. † | | | 257 | | | | 8,365 | |
| salesforce.com, Inc. † | | | 9,315 | | | | 535,892 | |
| SanDisk Corp. | | | 4,597 | | | | 450,276 | |
| ServiceNow, Inc. † | | | 4,695 | | | | 275,972 | |
| Shutterstock, Inc. † | | | 1,000 | | | | 71,380 | |
| Skyworks Solutions, Inc. | | | 5,600 | | | | 325,080 | |
| SolarWinds, Inc. † | | | 320 | | | | 13,456 | |
| Splunk, Inc. † | | | 3,112 | | | | 172,280 | |
| SS&C Technologies Holdings, Inc. † | | | 1,261 | | | | 55,345 | |
| SunEdison, Inc. † | | | 11,081 | | | | 209,209 | |
| SunPower Corp. † | | | 5,073 | | | | 171,873 | |
| Symantec Corp. | | | 1,519 | | | | 35,712 | |
| Teradata Corp. † | | | 80 | | | | 3,354 | |
| Texas Instruments, Inc. | | | 18,095 | | | | 862,950 | |
| TIBCO Software, Inc. † | | | 93 | | | | 2,198 | |
| Total System Services, Inc. | | | 2,043 | | | | 63,251 | |
| Ubiquiti Networks, Inc. † | | | 4,013 | | | | 150,608 | |
| Universal Display Corp. † | | | 41 | | | | 1,338 | |
| Visa, Inc., Class A | | | 1,710 | | | | 364,863 | |
| VMware, Inc., Class A † | | | 4,540 | | | | 426,034 | |
| Western Digital Corp. | | | 5,433 | | | | 528,739 | |
| Workday, Inc., Class A † | | | 3,378 | | | | 278,685 | |
| Xerox Corp. | | | 11,832 | | | | 156,537 | |
| Xilinx, Inc. | | | 2,840 | | | | 120,274 | |
| Yahoo!, Inc. † | | | 11,628 | | | | 473,841 | |
| Yelp, Inc. † | | | 2,560 | | | | 174,720 | |
| Zillow, Inc., Class A † | | | 1,635 | | | | 189,644 | |
| Zynga, Inc., Class A † | | | 18,200 | | | | 49,140 | |
| | | | | | | | |
| | | | | | | 32,313,786 | |
| | | | | | | | |
| Materials - 3.5% | | | | | | | | |
| Air Products & Chemicals, Inc. | | | 1,700 | | | | 221,306 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Materials - 3.5% (continued) | | | | | | | | |
| Airgas, Inc. | | | 30 | | | $ | 3,319 | |
| Alcoa, Inc. | | | 18,300 | | | | 294,447 | |
| Axiall Corp. | | | 400 | | | | 14,324 | |
| Ball Corp. | | | 1,400 | | | | 88,578 | |
| Dow Chemical Co./The | | | 18,200 | | | | 954,408 | |
| Ecolab, Inc. | | | 2,147 | | | | 246,540 | |
| EI du Pont de Nemours & Co. | | | 8,500 | | | | 609,960 | |
| Freeport-McMoRan, Inc. | | | 8,400 | | | | 274,260 | |
| NewMarket Corp. | | | 142 | | | | 54,105 | |
| Newmont Mining Corp. | | | 60 | | | | 1,383 | |
| PPG Industries, Inc. | | | 1,913 | | | | 376,364 | |
| Praxair, Inc. | | | 34 | | | | 4,386 | |
| Royal Gold, Inc. | | | 2,500 | | | | 162,350 | |
| Sherwin-Williams Co./The | | | 270 | | | | 59,127 | |
| Westlake Chemical Corp. | | | 1,100 | | | | 95,249 | |
| WR Grace & Co. † | | | 480 | | | | 43,651 | |
| | | | | | | | |
| | | | | | | 3,503,757 | |
| | | | | | | | |
| Telecommunication Services - 0.2% | | | | | | | | |
| Level 3 Communications, Inc. † | | | 3,900 | | | | 178,347 | |
| | | | | | | | |
| | |
| Utilities - 0.2% | | | | | | | | |
| Ameren Corp. | | | 110 | | | | 4,216 | |
| American Electric Power Co., Inc. | | | 1,900 | | | | 99,199 | |
| Calpine Corp. † | | | 225 | | | | 4,883 | |
| CenterPoint Energy, Inc. | | | 247 | | | | 6,044 | |
| Consolidated Edison, Inc. | | | 120 | | | | 6,799 | |
| Dominion Resources, Inc. | | | 205 | | | | 14,164 | |
| DTE Energy Co. | | | 87 | | | | 6,619 | |
| FirstEnergy Corp. | | | 177 | | | | 5,942 | |
| Pinnacle West Capital Corp. | | | 73 | | | | 3,989 | |
| Portland General Electric Co. | | | 345 | | | | 11,081 | |
| PPL Corp. | | | 242 | | | | 7,947 | |
| Questar Corp. | | | 410 | | | | 9,139 | |
| UIL Holdings Corp. | | | 72 | | | | 2,549 | |
| WGL Holdings, Inc. | | | 68 | | | | 2,864 | |
| Wisconsin Energy Corp. | | | 89 | | | | 3,827 | |
| Xcel Energy, Inc. | | | 158 | | | | 4,803 | |
| | | | | | | | |
| | | | | | | 194,065 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $91,490,957) | | | | | | | 100,129,802 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS - 0.9% | | | | | |
| SPDR S&P 500 ETF Trust | | | | | | | | |
(cost $856,878) | | | 4,660 | | | | 918,113 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 0.8% | | | | | |
J.P. Morgan U.S. Treasury Plus
Money Market Fund - IM Shares, 0.000% (2)(a)
(cost $833,361) | | | 833,361 | | | | 833,361 | |
| | | | | | | | |
TOTAL INVESTMENTS - 100.3%
(cost $93,181,196) | | | | | | | 101,881,276 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3%) | | | | | | | (306,996 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 101,574,280 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 99 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED MOMENTUM FUND | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
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. | | |
| | | | | | | | | | | | | | | | |
| 100 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| COMMON STOCKS - 97.2% | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.8% | |
| A. H. Belo Corp., Class A | | | 1,400 | | | $ | 14,938 | |
| American Public Education, Inc. † | | | 58 | | | | 1,565 | |
| America’s Car-Mart, Inc. † | | | 61 | | | | 2,415 | |
| Arctic Cat, Inc. | | | 166 | | | | 5,780 | |
| Asbury Automotive Group, Inc. † | | | 376 | | | | 24,222 | |
| Ascent Capital Group, Inc., Class A † | | | 63 | | | | 3,793 | |
| Barnes & Noble, Inc. † | | | 600 | | | | 11,844 | |
| bebe stores, Inc. | | | 1,766 | | | | 4,097 | |
| Belmond Ltd., Class A † | | | 1,046 | | | | 12,196 | |
| Big 5 Sporting Goods Corp. | | | 448 | | | | 4,198 | |
| Big Lots, Inc. | | | 500 | | | | 21,525 | |
| Black Diamond, Inc. † | | | 1,082 | | | | 8,180 | |
| Bob Evans Farms, Inc. | | | 192 | | | | 9,089 | |
| Bon-Ton Stores, Inc./The | | | 543 | | | | 4,540 | |
| Brown Shoe Co., Inc. | | | 531 | | | | 14,406 | |
| Brunswick Corp. | | | 116 | | | | 4,888 | |
| Build-A-Bear Workshop, Inc. † | | | 1,000 | | | | 13,080 | |
| Cabela’s, Inc. † | | | 102 | | | | 6,008 | |
| Capella Education Co. | | | 200 | | | | 12,520 | |
| Career Education Corp. † | | | 2,400 | | | | 12,192 | |
| Carriage Services, Inc. | | | 352 | | | | 6,100 | |
| Children’s Place, Inc./The | | | 73 | | | | 3,479 | |
| Christopher & Banks Corp. † | | | 1,379 | | | | 13,638 | |
| Churchill Downs, Inc. | | | 75 | | | | 7,313 | |
| Cooper-Standard Holding, Inc. † | | | 400 | | | | 24,960 | |
| Core-Mark Holding Co., Inc. | | | 700 | | | | 37,128 | |
| Cracker Barrel Old Country Store, Inc. | | | 163 | | | | 16,820 | |
| CST Brands, Inc. | | | 500 | | | | 17,975 | |
| Cumulus Media, Inc., Class A † | | | 4,924 | | | | 19,844 | |
| Deckers Outdoor Corp. † | | | 63 | | | | 6,122 | |
| Del Frisco’s Restaurant Group, Inc. † | | | 700 | | | | 13,398 | |
| DeVry Education Group, Inc. | | | 900 | | | | 38,529 | |
| Dex Media, Inc. † | | | 1,306 | | | | 12,485 | |
| Diamond Resorts International, Inc. † | | | 900 | | | | 20,484 | |
| DineEquity, Inc. | | | 99 | | | | 8,077 | |
| Dixie Group, Inc./The † | | | 1,002 | | | | 8,687 | |
| Domino’s Pizza, Inc. | | | 176 | | | | 13,545 | |
| Dorman Products, Inc. † | | | 316 | | | | 12,659 | |
| Drew Industries, Inc. | | | 234 | | | | 9,872 | |
| Empire Resorts, Inc. † | | | 1,900 | | | | 12,749 | |
| Entravision Communications Corp., Class A | | | 2,467 | | | | 9,769 | |
| EW Scripps Co./The, Class A † | | | 758 | | | | 12,363 | |
| Famous Dave’s of America, Inc. † | | | 500 | | | | 13,460 | |
| Federal-Mogul Holdings Corp. † | | | 1,463 | | | | 21,755 | |
| Fiesta Restaurant Group, Inc. † | | | 282 | | | | 14,010 | |
| Finish Line, Inc./The, Class A | | | 838 | | | | 20,975 | |
| Gentherm, Inc. † | | | 1,057 | | | | 44,637 | |
| G-III Apparel Group Ltd. † | | | 439 | | | | 36,376 | |
| Grand Canyon Education, Inc. † | | | 938 | | | | 38,242 | |
| Gray Television, Inc. † | | | 2,635 | | | | 20,764 | |
| Helen of Troy Ltd. † | | | 700 | | | | 36,764 | |
| hhgregg, Inc. † | | | 828 | | | | 5,225 | |
| Hibbett Sports, Inc. † | | | 72 | | | | 3,069 | |
| Hovnanian Enterprises, Inc., Class A † | | | 770 | | | | 2,826 | |
| Iconix Brand Group, Inc. † | | | 1,030 | | | | 38,048 | |
| Jack in the Box, Inc. | | | 705 | | | | 48,074 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.8% (continued) | |
| Journal Communications, Inc., Class A † | | | 1,008 | | | $ | 8,497 | |
| Kirkland’s, Inc. † | | | 900 | | | | 14,499 | |
| Kona Grill, Inc. † | | | 900 | | | | 17,757 | |
| Krispy Kreme Doughnuts, Inc. † | | | 925 | | | | 15,873 | |
| La-Z-Boy, Inc. | | | 1,030 | | | | 20,384 | |
| Lee Enterprises, Inc. † | | | 3,351 | | | | 11,326 | |
| LifeLock, Inc. † | | | 1,264 | | | | 18,063 | |
| Lithia Motors, Inc., Class A | | | 669 | | | | 50,637 | |
| Loral Space & Communications, Inc. † | | | 167 | | | | 11,992 | |
| Lumber Liquidators Holdings, Inc. † | | | 61 | | | | 3,500 | |
| M/I Homes, Inc. † | | | 386 | | | | 7,651 | |
| Marriott Vacations Worldwide Corp. † | | | 809 | | | | 51,299 | |
| McClatchy Co./The, Class A † | | | 4,100 | | | | 13,776 | |
| MDC Holdings, Inc. | | | 97 | | | | 2,456 | |
| MDC Partners, Inc., Class A | | | 910 | | | | 17,463 | |
| Men’s Wearhouse, Inc./The | | | 900 | | | | 42,498 | |
| Modine Manufacturing Co. † | | | 900 | | | | 10,683 | |
| Monro Muffler Brake, Inc. | | | 414 | | | | 20,091 | |
| Motorcar Parts of America, Inc. † | | | 1,306 | | | | 35,536 | |
| Movado Group, Inc. | | | 246 | | | | 8,133 | |
| Murphy USA, Inc. † | | | 300 | | | | 15,918 | |
| NACCO Industries, Inc., Class A | | | 143 | | | | 7,111 | |
| Nautilus, Inc. † | | | 1,157 | | | | 13,849 | |
| New York Times Co./The, Class A | | | 2,852 | | | | 31,999 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 656 | | | | 26,516 | |
| Nutrisystem, Inc. | | | 1,800 | | | | 27,666 | |
| Office Depot, Inc. † | | | 9,100 | | | | 46,774 | |
| Outerwall, Inc. † | | | 52 | | | | 2,917 | |
| Overstock.com, Inc. † | | | 485 | | | | 8,177 | |
| Papa John’s International, Inc. | | | 224 | | | | 8,958 | |
| Penske Automotive Group, Inc. | | | 131 | | | | 5,317 | |
| Pier 1 Imports, Inc. | | | 221 | | | | 2,628 | |
| Pinnacle Entertainment, Inc. † | | | 500 | | | | 12,545 | |
| Pool Corp. | | | 199 | | | | 10,730 | |
| Popeyes Louisiana Kitchen, Inc. † | | | 273 | | | | 11,057 | |
| Red Robin Gourmet Burgers, Inc. † | | | 219 | | | | 12,461 | |
| Rentrak Corp. † | | | 300 | | | | 18,282 | |
| Restoration Hardware Holdings, Inc. † | | | 500 | | | | 39,775 | |
| Ruth’s Hospitality Group, Inc. | | | 972 | | | | 10,731 | |
| Shiloh Industries, Inc. † | | | 800 | | | | 13,608 | |
| Sinclair Broadcast Group, Inc., Class A | | | 303 | | | | 7,905 | |
| Skechers U.S.A., Inc., Class A † | | | 1,272 | | | | 67,810 | |
| Smith & Wesson Holding Corp. † | | | 1,136 | | | | 10,724 | |
| Sonic Automotive, Inc., Class A | | | 237 | | | | 5,809 | |
| Sonic Corp. † | | | 727 | | | | 16,256 | |
| Stage Stores, Inc. | | | 411 | | | | 7,032 | |
| Standard Motor Products, Inc. | | | 641 | | | | 22,070 | |
| Standard Pacific Corp. † | | | 722 | | | | 5,408 | |
| Stein Mart, Inc. | | | 647 | | | | 7,473 | |
| Steven Madden Ltd. † | | | 163 | | | | 5,254 | |
| Strattec Security Corp. | | | 300 | | | | 24,405 | |
| Sturm, Ruger & Co., Inc. | | | 220 | | | | 10,712 | |
| Texas Roadhouse, Inc. | | | 300 | | | | 8,352 | |
| Thor Industries, Inc. | | | 190 | | | | 9,785 | |
| Tower International, Inc. † | | | 753 | | | | 18,968 | |
| Tuesday Morning Corp. † | | | 1,155 | | | | 22,413 | |
| Universal Electronics, Inc. † | | | 400 | | | | 19,748 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 101 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 12.8% (continued) | |
| ValueVision Media, Inc., Class A † | | | 1,892 | | | $ | 9,706 | |
| VOXX International Corp. † | | | 901 | | | | 8,379 | |
| Winnebago Industries, Inc. † | | | 504 | | | | 10,972 | |
| World Wrestling Entertainment, Inc., Class A | | | 1,900 | | | | 26,163 | |
| You On Demand Holdings, Inc. † | | | 3,300 | | | | 6,930 | |
| | | | | | | | |
| | | | | | | 1,903,104 | |
| | | | | | | | |
| Consumer Staples - 3.2% | | | | | | | | |
| Andersons, Inc./The | | | 466 | | | | 29,302 | |
| B&G Foods, Inc. | | | 336 | | | | 9,257 | |
| Boston Beer Co., Inc./The, Class A † | | | 72 | | | | 15,967 | |
| Boulder Brands, Inc. † | | | 962 | | | | 13,112 | |
| Cal-Maine Foods, Inc. | | | 501 | | | | 44,754 | |
| Chefs’ Warehouse, Inc./The † | | | 600 | | | | 9,756 | |
| Chiquita Brands International, Inc. † | | | 1,000 | | | | 14,200 | |
| Craft Brew Alliance, Inc. † | | | 2,106 | | | | 30,326 | |
| Diamond Foods, Inc. † | | | 500 | | | | 14,305 | |
| Elizabeth Arden, Inc. † | | | 131 | | | | 2,193 | |
| Fresh Del Monte Produce, Inc. | | | 157 | | | | 5,008 | |
| Hain Celestial Group, Inc./The † | | | 80 | | | | 8,188 | |
| Harbinger Group, Inc. † | | | 3,776 | | | | 49,541 | |
| IGI Laboratories, Inc. † | | | 3,200 | | | | 29,824 | |
| J&J Snack Foods Corp. | | | 84 | | | | 7,859 | |
| Lancaster Colony Corp. | | | 40 | | | | 3,411 | |
| Liberator Medical Holdings, Inc. | | | 5,300 | | | | 16,589 | |
| Lifevantage Corp. † | | | 1,907 | | | | 2,174 | |
| Medifast, Inc. † | | | 203 | | | | 6,664 | |
| Omega Protein Corp. † | | | 797 | | | | 9,963 | |
| Revlon, Inc., Class A † | | | 830 | | | | 26,303 | |
| Rite Aid Corp. † | | | 1,984 | | | | 9,603 | |
| Sanderson Farms, Inc. | | | 300 | | | | 26,385 | |
| Snyder’s-Lance, Inc. | | | 152 | | | | 4,028 | |
| SpartanNash Co. | | | 455 | | | | 8,850 | |
| Universal Corp. | | | 72 | | | | 3,196 | |
| Vector Group Ltd. | | | 2,625 | | | | 58,223 | |
| WD-40 Co. | | | 200 | | | | 13,592 | |
| Weis Markets, Inc. | | | 80 | | | | 3,122 | |
| | | | | | | | |
| | | | | | | 475,695 | |
| | | | | | | | |
| Energy - 7.7% | | | | | | | | |
| Abraxas Petroleum Corp. † | | | 4,300 | | | | 22,704 | |
| Alon USA Energy, Inc. | | | 541 | | | | 7,769 | |
| Basic Energy Services, Inc. † | | | 1,400 | | | | 30,366 | |
| Bonanza Creek Energy, Inc. † | | | 1,300 | | | | 73,970 | |
| Bristow Group, Inc. | | | 51 | | | | 3,427 | |
| C&J Energy Services, Inc. † | | | 2,500 | | | | 76,375 | |
| Callon Petroleum Co. † | | | 2,300 | | | | 20,263 | |
| Carrizo Oil & Gas, Inc. † | | | 1,174 | | | | 63,185 | |
| Cheniere Energy, Inc. † | | | 188 | | | | 15,046 | |
| Clayton Williams Energy, Inc. † | | | 353 | | | | 34,047 | |
| Comstock Resources, Inc. | | | 1,000 | | | | 18,620 | |
| Dawson Geophysical Co. | | | 173 | | | | 3,145 | |
| DHT Holdings, Inc. | | | 2,400 | | | | 14,784 | |
| Gastar Exploration, Inc. † | | | 2,297 | | | | 13,483 | |
| Geospace Technologies Corp. † | | | 120 | | | | 4,218 | |
| Goodrich Petroleum Corp. † | | | 1,000 | | | | 14,820 | |
| Green Plains, Inc. | | | 1,116 | | | | 41,727 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Energy - 7.7% (continued) | |
| Gulf Island Fabrication, Inc. | | | 61 | | | $ | 1,049 | |
| Halcon Resources Corp. † | | | 5,400 | | | | 21,384 | |
| Key Energy Services, Inc. † | | | 2,400 | | | | 11,616 | |
| Magnum Hunter Resources Corp. † | | | 4,627 | | | | 25,772 | |
| Matador Resources Co. † | | | 2,793 | | | | 72,199 | |
| Matrix Service Co. † | | | 1,300 | | | | 31,356 | |
| Miller Energy Resources, Inc. † | | | 2,141 | | | | 9,421 | |
| Natural Gas Services Group, Inc. † | | | 400 | | | | 9,628 | |
| Newpark Resources, Inc. † | | | 1,331 | | | | 16,558 | |
| Pacific Ethanol, Inc. † | | | 900 | | | | 12,564 | |
| Parker Drilling Co. † | | | 2,200 | | | | 10,868 | |
| PBF Energy, Inc., Class A | | | 900 | | | | 21,600 | |
| PDC Energy, Inc. † | | | 72 | | | | 3,621 | |
| Penn Virginia Corp. † | | | 2,205 | | | | 28,026 | |
| Pioneer Energy Services Corp. † | | | 2,200 | | | | 30,844 | |
| REX American Resources Corp. † | | | 300 | | | | 21,864 | |
| RigNet, Inc. † | | | 1,251 | | | | 50,603 | |
| Sanchez Energy Corp. † | | | 1,900 | | | | 49,894 | |
| Ship Finance International Ltd. (Norway) | | | 1,000 | | | | 16,920 | |
| Stone Energy Corp. † | | | 1,334 | | | | 41,834 | |
| Synergy Resources Corp. † | | | 2,062 | | | | 25,136 | |
| Tesco Corp. | | | 1,931 | | | | 38,330 | |
| TETRA Technologies, Inc. † | | | 1,000 | | | | 10,820 | |
| Triangle Petroleum Corp. † | | | 3,000 | | | | 33,030 | |
| US Energy Corp. Wyoming † | | | 1,800 | | | | 5,742 | |
| Vertex Energy, Inc. † | | | 2,200 | | | | 15,312 | |
| Warren Resources, Inc. † | | | 3,600 | | | | 19,080 | |
| Western Refining, Inc. | | | 170 | | | | 7,138 | |
| Westmoreland Coal Co. † | | | 1,100 | | | | 41,151 | |
| | | | | | | | |
| | | | | | | 1,141,309 | |
| | | | | | | | |
| Financials - 18.4% | | | | | | | | |
| Actua Corp. † | | | 900 | | | | 14,418 | |
| American Assets Trust, Inc. REIT | | | 800 | | | | 26,376 | |
| American Equity Investment Life Holding Co. | | | 641 | | | | 14,666 | |
| Ameris Bancorp | | | 1,531 | | | | 33,605 | |
| AMERISAFE, Inc. | | | 315 | | | | 12,320 | |
| AmTrust Financial Services, Inc. | | | 242 | | | | 9,636 | |
| Ashford Hospitality Trust, Inc. REIT | | | 1,500 | | | | 15,330 | |
| Astoria Financial Corp. | | | 1,400 | | | | 17,346 | |
| Aviv REIT, Inc. REIT | | | 600 | | | | 15,810 | |
| BancorpSouth, Inc. | | | 800 | | | | 16,112 | |
| Bank of the Ozarks, Inc. | | | 1,326 | | | | 41,795 | |
| Banner Corp. | | | 212 | | | | 8,156 | |
| BBCN Bancorp, Inc. | | | 497 | | | | 7,251 | |
| BGC Partners, Inc., Class A | | | 6,967 | | | | 51,765 | |
| BNC Bancorp | | | 700 | | | | 10,962 | |
| BofI Holding, Inc. † | | | 488 | | | | 35,482 | |
| Boston Private Financial Holdings, Inc. | | | 1,225 | | | | 15,178 | |
| Brandywine Realty Trust REIT | | | 1,900 | | | | 26,733 | |
| Bridge Capital Holdings † | | | 400 | | | | 9,096 | |
| Capital Bank Financial Corp., Class A † | | | 1,600 | | | | 38,208 | |
| Cash America International, Inc. | | | 26 | | | | 1,139 | |
| Cedar Realty Trust, Inc. REIT | | | 1,989 | | | | 11,735 | |
| Chatham Lodging Trust REIT | | | 500 | | | | 11,540 | |
| Chesapeake Lodging Trust REIT | | | 1,700 | | | | 49,555 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 102 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 18.4% (continued) | |
| CNO Financial Group, Inc. | | | 725 | | | $ | 12,296 | |
| Community Trust Bancorp, Inc. | | | 93 | | | | 3,128 | |
| ConnectOne Bancorp, Inc. | | | 900 | | | | 17,145 | |
| Corporate Office Properties Trust REIT | | | 1,000 | | | | 25,720 | |
| Cousins Properties, Inc. REIT | | | 2,700 | | | | 32,265 | |
| CubeSmart REIT | | | 492 | | | | 8,846 | |
| CVB Financial Corp. | | | 1,982 | | | | 28,442 | |
| DCT Industrial Trust, Inc. REIT | | | 12,200 | | | | 91,622 | |
| DiamondRock Hospitality Co. REIT | | | 4,100 | | | | 51,988 | |
| DuPont Fabros Technology, Inc. REIT | | | 1,100 | | | | 29,744 | |
| Eagle Bancorp, Inc. † | | | 980 | | | | 31,184 | |
| EastGroup Properties, Inc. REIT | | | 4 | | | | 242 | |
| eHealth, Inc. † | | | 749 | | | | 18,073 | |
| Encore Capital Group, Inc. † | | | 566 | | | | 25,079 | |
| Enstar Group Ltd. † | | | 55 | | | | 7,498 | |
| EverBank Financial Corp. | | | 1,600 | | | | 28,256 | |
| Evercore Partners, Inc., Class A | | | 850 | | | | 39,950 | |
| FBL Financial Group, Inc., Class A | | | 141 | | | | 6,303 | |
| FBR & Co. † | | | 566 | | | | 15,576 | |
| Federal Agricultural Mortgage Corp., Class C | | | 183 | | | | 5,882 | |
| Federated National Holding Co. | | | 1,300 | | | | 36,517 | |
| FelCor Lodging Trust, Inc. REIT | | | 1,903 | | | | 17,812 | |
| Fidelity Southern Corp. | | | 456 | | | | 6,247 | |
| Fidus Investment Corp. | | | 866 | | | | 14,298 | |
| First Business Financial Services, Inc. | | | 200 | | | | 8,780 | |
| First Cash Financial Services, Inc. † | | | 128 | | | | 7,165 | |
| First Financial Bankshares, Inc. | | | 382 | | | | 10,616 | |
| First Interstate BancSystem, Inc. | | | 2,825 | | | | 75,060 | |
| Gain Capital Holdings, Inc. | | | 2,083 | | | | 13,269 | |
| GAMCO Investors, Inc., Class A | | | 344 | | | | 24,335 | |
| Geo Group, Inc./The REIT | | | 357 | | | | 13,645 | |
| Glacier Bancorp, Inc. | | | 1,074 | | | | 27,774 | |
| Greenlight Capital Re Ltd., Class A † | | | 400 | | | | 12,964 | |
| GSV Capital Corp. † | | | 1,136 | | | | 11,371 | |
| Hanmi Financial Corp. | | | 1,300 | | | | 26,208 | |
| Hanover Insurance Group, Inc./The | | | 200 | | | | 12,284 | |
| HCI Group, Inc. | | | 513 | | | | 18,463 | |
| HFF, Inc., Class A | | | 1,079 | | | | 31,237 | |
| Hilltop Holdings, Inc. † | | | 800 | | | | 16,040 | |
| Home BancShares, Inc. | | | 997 | | | | 29,322 | |
| HomeStreet, Inc. | | | 265 | | | | 4,529 | |
| Hudson Pacific Properties, Inc. REIT | | | 600 | | | | 14,796 | |
| Iberiabank Corp. | | | 300 | | | | 18,753 | |
| Independent Bank Corp. | | | 1,043 | | | | 12,433 | |
| Independent Bank Group, Inc. | | | 600 | | | | 28,470 | |
| Interactive Brokers Group, Inc., Class A | | | 2,000 | | | | 49,900 | |
| International Bancshares Corp. | | | 362 | | | | 8,929 | |
| Investors Bancorp, Inc. | | | 742 | | | | 7,516 | |
| Janus Capital Group, Inc. | | | 1,300 | | | | 18,902 | |
| Kemper Corp. | | | 236 | | | | 8,059 | |
| Kennedy-Wilson Holdings, Inc. | | | 1,000 | | | | 23,960 | |
| Ladenburg Thalmann Financial Services, Inc. † | | | 5,000 | | | | 21,200 | |
| Lakeland Financial Corp. | | | 500 | | | | 18,750 | |
| LTC Properties, Inc. REIT | | | 138 | | | | 5,091 | |
| Maiden Holdings Ltd. | | | 1,054 | | | | 11,678 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 18.4% (continued) | |
| Main Street Capital Corp. | | | 317 | | | $ | 9,713 | |
| MarketAxess Holdings, Inc. | | | 370 | | | | 22,888 | |
| Meadowbrook Insurance Group, Inc. | | | 279 | | | | 1,632 | |
| Meta Financial Group, Inc. | | | 618 | | | | 21,791 | |
| National Penn Bancshares, Inc. | | | 380 | | | | 3,690 | |
| Nelnet, Inc., Class A | | | 400 | | | | 17,236 | |
| Old National Bancorp/IN | | | 280 | | | | 3,632 | |
| OneBeacon Insurance Group Ltd., Class A | | | 661 | | | | 10,186 | |
| Oritani Financial Corp. | | | 260 | | | | 3,663 | |
| Pacific Premier Bancorp, Inc. † | | | 458 | | | | 6,435 | |
| Pebblebrook Hotel Trust REIT | | | 2,400 | | | | 89,616 | |
| Pennsylvania Real Estate Investment Trust REIT | | | 303 | | | | 6,042 | |
| Pinnacle Financial Partners, Inc. | | | 881 | | | | 31,804 | |
| Platinum Underwriters Holdings Ltd. | | | 224 | | | | 13,635 | |
| Portfolio Recovery Associates, Inc. † | | | 36 | | | | 1,880 | |
| Primerica, Inc. | | | 1,357 | | | | 65,435 | |
| PrivateBancorp, Inc. | | | 1,781 | | | | 53,270 | |
| Pzena Investment Management, Inc., Class A | | | 1,000 | | | | 9,550 | |
| Ramco-Gershenson Properties Trust REIT | | | 567 | | | | 9,214 | |
| RCS Capital Corp., Class A | | | 1,000 | | | | 22,520 | |
| Ryman Hospitality Properties, Inc. REIT | | | 2,700 | | | | 127,710 | |
| Sabra Health Care REIT, Inc. REIT | | | 393 | | | | 9,558 | |
| Select Income REIT REIT | | | 1,200 | | | | 28,860 | |
| Selective Insurance Group, Inc. | | | 315 | | | | 6,974 | |
| Simmons First National Corp., Class A | | | 600 | | | | 23,112 | |
| Southside Bancshares, Inc. | | | 800 | | | | 26,600 | |
| Sovran Self Storage, Inc. REIT | | | 110 | | | | 8,180 | |
| STAG Industrial, Inc. REIT | | | 2,199 | | | | 45,541 | |
| StanCorp Financial Group, Inc. | | | 586 | | | | 37,023 | |
| Stewart Information Services Corp. | | | 227 | | | | 6,662 | |
| Strategic Hotels & Resorts, Inc. REIT † | | | 1,142 | | | | 13,304 | |
| Sun Communities, Inc. REIT | | | 700 | | | | 35,350 | |
| Susquehanna Bancshares, Inc. | | | 548 | | | | 5,480 | |
| Symetra Financial Corp. | | | 2,528 | | | | 58,978 | |
| Texas Capital Bancshares, Inc. † | | | 346 | | | | 19,957 | |
| Tree.com, Inc. † | | | 452 | | | | 16,222 | |
| Triangle Capital Corp. | | | 324 | | | | 8,204 | |
| Trustmark Corp. | | | 208 | | | | 4,791 | |
| UMB Financial Corp. | | | 34 | | | | 1,855 | |
| United Bankshares, Inc. | | | 73 | | | | 2,258 | |
| United Community Banks, Inc. | | | 800 | | | | 13,168 | |
| United Financial Bancorp, Inc. | | | 141 | | | | 1,789 | |
| United Insurance Holdings Corp. | | | 2,600 | | | | 39,000 | |
| Universal Health Realty Income Trust REIT | | | 73 | | | | 3,043 | |
| Universal Insurance Holdings, Inc. | | | 1,100 | | | | 14,223 | |
| ViewPoint Financial Group, Inc. | | | 492 | | | | 11,778 | |
| Virtus Investment Partners, Inc. | | | 149 | | | | 25,881 | |
| Waterstone Financial, Inc. | | | 2,000 | | | | 23,100 | |
| Webster Financial Corp. | | | 223 | | | | 6,498 | |
| WesBanco, Inc. | | | 152 | | | | 4,650 | |
| Western Alliance Bancorp † | | | 2,023 | | | | 48,350 | |
| Wilshire Bancorp, Inc. | | | 1,800 | | | | 16,614 | |
| World Acceptance Corp. † | | | 66 | | | | 4,455 | |
| | | | | | | | |
| | | | | | | 2,742,826 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 103 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 17.9% | | | | | | | | |
| Abaxis, Inc. | | | 257 | | | $ | 13,032 | |
| ABIOMED, Inc. † | | | 335 | | | | 8,318 | |
| Acadia Healthcare Co., Inc. † | | | 1,420 | | | | 68,870 | |
| ACADIA Pharmaceuticals, Inc. † | | | 674 | | | | 16,688 | |
| Accelerate Diagnostics, Inc. † | | | 2,339 | | | | 50,242 | |
| Accuray, Inc. † | | | 1,300 | | | | 9,438 | |
| Acorda Therapeutics, Inc. † | | | 209 | | | | 7,081 | |
| Addus HomeCare Corp. † | | | 1,200 | | | | 23,520 | |
| Affymetrix, Inc. † | | | 1,156 | | | | 9,225 | |
| Air Methods Corp. † | | | 800 | | | | 44,440 | |
| Akorn, Inc. † | | | 466 | | | | 16,902 | |
| Albany Molecular Research, Inc. † | | | 622 | | | | 13,728 | |
| Align Technology, Inc. † | | | 105 | | | | 5,426 | |
| Alimera Sciences, Inc. † | | | 1,800 | | | | 9,756 | |
| Alkermes PLC (Ireland) † | | | 155 | | | | 6,645 | |
| Alliance HealthCare Services, Inc. † | | | 453 | | | | 10,242 | |
| AMN Healthcare Services, Inc. † | | | 743 | | | | 11,665 | |
| Ampio Pharmaceuticals, Inc. † | | | 2,300 | | | | 8,119 | |
| Amsurg Corp. † | | | 500 | | | | 25,025 | |
| Anacor Pharmaceuticals, Inc. † | | | 1,230 | | | | 30,098 | |
| Analogic Corp. | | | 62 | | | | 3,966 | |
| Anika Therapeutics, Inc. † | | | 794 | | | | 29,108 | |
| Antares Pharma, Inc. † | | | 931 | | | | 1,704 | |
| Arena Pharmaceuticals, Inc. † | | | 475 | | | | 1,990 | |
| ARIAD Pharmaceuticals, Inc. † | | | 118 | | | | 637 | |
| Array BioPharma, Inc. † | | | 1,518 | | | | 5,419 | |
| Arrowhead Research Corp. † | | | 1,292 | | | | 19,083 | |
| AtriCure, Inc. † | | | 800 | | | | 11,776 | |
| AVANIR Pharmaceuticals, Inc. † | | | 2,100 | | | | 25,032 | |
| BioCryst Pharmaceuticals, Inc. † | | | 2,862 | | | | 27,990 | |
| BioDelivery Sciences International, Inc. † | | | 2,100 | | | | 35,889 | |
| Bio-Reference Laboratories, Inc. † | | | 414 | | | | 11,617 | |
| BioScrip, Inc. † | | | 757 | | | | 5,231 | |
| BioTelemetry, Inc. † | | | 1,700 | | | | 11,407 | |
| Cambrex Corp. † | | | 1,200 | | | | 22,416 | |
| Cantel Medical Corp. | | | 420 | | | | 14,440 | |
| Capital Senior Living Corp. † | | | 432 | | | | 9,171 | |
| Cardiovascular Systems, Inc. † | | | 380 | | | | 8,979 | |
| Catalyst Pharmaceutical Partners, Inc. † | | | 9,282 | | | | 30,816 | |
| Celsion Corp. † | | | 732 | | | | 2,167 | |
| Cempra, Inc. † | | | 1,159 | | | | 12,703 | |
| Centene Corp. † | | | 61 | | | | 5,045 | |
| Cerus Corp. † | | | 3,201 | | | | 12,836 | |
| Charles River Laboratories International, Inc. † | | | 500 | | | | 29,870 | |
| Chemed Corp. | | | 200 | | | | 20,580 | |
| CONMED Corp. | | | 500 | | | | 18,420 | |
| CorVel Corp. † | | | 404 | | | | 13,756 | |
| Cross Country Healthcare, Inc. † | | | 1,400 | | | | 13,006 | |
| CTI BioPharma Corp. † | | | 3,700 | | | | 8,954 | |
| Curis, Inc. † | | | 447 | | | | 630 | |
| Cyberonics, Inc. † | | | 400 | | | | 20,464 | |
| Cynosure, Inc., Class A † | | | 245 | | | | 5,145 | |
| CytRx Corp. † | | | 3,000 | | | | 7,620 | |
| Depomed, Inc. † | | | 1,300 | | | | 19,747 | |
| DexCom, Inc. † | | | 1,732 | | | | 69,263 | |
| Durata Therapeutics, Inc. † | | | 1,000 | | | | 12,680 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 17.9% (continued) | |
| Dyax Corp. † | | | 3,287 | | | $ | 33,264 | |
| Emergent Biosolutions, Inc. † | | | 500 | | | | 10,655 | |
| Enanta Pharmaceuticals, Inc. † | | | 1,100 | | | | 43,527 | |
| Endologix, Inc. † | | | 490 | | | | 5,194 | |
| Ensign Group, Inc./The | | | 300 | | | | 10,440 | |
| Exact Sciences Corp. † | | | 1,107 | | | | 21,454 | |
| ExamWorks Group, Inc. † | | | 961 | | | | 31,473 | |
| Fluidigm Corp. † | | | 770 | | | | 18,865 | |
| Fonar Corp. † | | | 1,253 | | | | 13,796 | |
| GenMark Diagnostics, Inc. † | | | 1,094 | | | | 9,813 | |
| Genomic Health, Inc. † | | | 224 | | | | 6,341 | |
| Geron Corp. † | | | 3,470 | | | | 6,940 | |
| Globus Medical, Inc., Class A † | | | 2,000 | | | | 39,340 | |
| Greatbatch, Inc. † | | | 400 | | | | 17,044 | |
| Halozyme Therapeutics, Inc. † | | | 1,655 | | | | 15,060 | |
| Hanger, Inc. † | | | 261 | | | | 5,356 | |
| HealthStream, Inc. † | | | 255 | | | | 6,123 | |
| Hyperion Therapeutics, Inc. † | | | 509 | | | | 12,837 | |
| ICU Medical, Inc. † | | | 259 | | | | 16,623 | |
| Idera Pharmaceuticals, Inc. † | | | 4,015 | | | | 9,194 | |
| ImmunoGen, Inc. † | | | 127 | | | | 1,345 | |
| Immunomedics, Inc. † | | | 2,600 | | | | 9,672 | |
| Impax Laboratories, Inc. † | | | 1,300 | | | | 30,823 | |
| Infinity Pharmaceuticals, Inc. † | | | 209 | | | | 2,805 | |
| Inovio Pharmaceuticals, Inc. † | | | 1,975 | | | | 19,454 | |
| Insmed, Inc. † | | | 690 | | | | 9,004 | |
| Insulet Corp. † | | | 548 | | | | 20,194 | |
| Insys Therapeutics, Inc. † | | | 1,059 | | | | 41,068 | |
| Ironwood Pharmaceuticals, Inc. † | | | 2,300 | | | | 29,796 | |
| IsoRay, Inc. † | | | 5,100 | | | | 8,619 | |
| Jazz Pharmaceuticals PLC † | | | 72 | | | | 11,560 | |
| Keryx Biopharmaceuticals, Inc. † | | | 2,879 | | | | 39,586 | |
| Kindred Healthcare, Inc. | | | 1,200 | | | | 23,280 | |
| KYTHERA Biopharmaceuticals, Inc. † | | | 1,100 | | | | 36,036 | |
| Lannett Co., Inc. † | | | 1,002 | | | | 45,771 | |
| Lexicon Pharmaceuticals, Inc. † | | | 4,198 | | | | 5,919 | |
| Ligand Pharmaceuticals, Inc. † | | | 577 | | | | 27,113 | |
| Luminex Corp. † | | | 195 | | | | 3,802 | |
| Magellan Health, Inc. † | | | 46 | | | | 2,518 | |
| MannKind Corp. † | | | 853 | | | | 5,041 | |
| MedAssets, Inc. † | | | 339 | | | | 7,024 | |
| Merge Healthcare, Inc. † | | | 546 | | | | 1,201 | |
| Merrimack Pharmaceuticals, Inc. † | | | 2,100 | | | | 18,438 | |
| MiMedx Group, Inc. † | | | 2,091 | | | | 14,909 | |
| MWI Veterinary Supply, Inc. † | | | 55 | | | | 8,162 | |
| Myriad Genetics, Inc. † | | | 900 | | | | 34,713 | |
| Nanosphere, Inc. † | | | 1,970 | | | | 1,123 | |
| Natus Medical, Inc. † | | | 1,100 | | | | 32,461 | |
| Neuralstem, Inc. † | | | 4,100 | | | | 13,448 | |
| NewLink Genetics Corp. † | | | 909 | | | | 19,471 | |
| Novavax, Inc. † | | | 5,605 | | | | 23,373 | |
| NPS Pharmaceuticals, Inc. † | | | 229 | | | | 5,954 | |
| NuVasive, Inc. † | | | 499 | | | | 17,400 | |
| Omeros Corp. † | | | 2,100 | | | | 26,712 | |
| Omnicell, Inc. † | | | 488 | | | | 13,337 | |
| OPKO Health, Inc. † | | | 744 | | | | 6,331 | |
| OraSure Technologies, Inc. † | | | 1,200 | | | | 8,664 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 104 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 17.9% (continued) | |
| Organovo Holdings, Inc. † | | | 2,400 | | | $ | 15,288 | |
| Osiris Therapeutics, Inc. † | | | 672 | | | | 8,460 | |
| Pacific Biosciences of California, Inc. † | | | 3,294 | | | | 16,174 | |
| Pacira Pharmaceuticals, Inc. † | | | 201 | | | | 19,481 | |
| PAREXEL International Corp. † | | | 228 | | | | 14,385 | |
| PDL BioPharma, Inc. | | | 3,000 | | | | 22,410 | |
| Peregrine Pharmaceuticals, Inc. † | | | 9,591 | | | | 13,044 | |
| Pernix Therapeutics Holdings, Inc. † | | | 1,100 | | | | 8,448 | |
| PharMerica Corp. † | | | 900 | | | | 21,987 | |
| POZEN, Inc. † | | | 1,300 | | | | 9,542 | |
| Prestige Brands Holdings, Inc. † | | | 333 | | | | 10,779 | |
| Providence Service Corp./The † | | | 400 | | | | 19,352 | |
| PTC Therapeutics, Inc. † | | | 500 | | | | 22,005 | |
| Puma Biotechnology, Inc. † | | | 489 | | | | 116,661 | |
| Quidel Corp. † | | | 203 | | | | 5,455 | |
| RadNet, Inc. † | | | 1,600 | | | | 10,592 | |
| Raptor Pharmaceutical Corp. † | | | 1,791 | | | | 17,176 | |
| Receptos, Inc. † | | | 900 | | | | 55,899 | |
| Regulus Therapeutics, Inc. † | | | 800 | | | | 5,464 | |
| Repligen Corp. † | | | 1,200 | | | | 23,892 | |
| Repros Therapeutics, Inc. † | | | 959 | | | | 9,494 | |
| Retrophin, Inc. † | | | 800 | | | | 7,216 | |
| Rexahn Pharmaceuticals, Inc. † | | | 12,100 | | | | 9,801 | |
| Rockwell Medical, Inc. † | | | 1,724 | | | | 15,757 | |
| RTI Surgical, Inc. † | | | 1,546 | | | | 7,390 | |
| Sangamo BioSciences, Inc. † | | | 1,442 | | | | 15,552 | |
| Select Medical Holdings Corp. | | | 3,600 | | | | 43,308 | |
| Spectranetics Corp./The † | | | 656 | | | | 17,430 | |
| Spectrum Pharmaceuticals, Inc. † | | | 151 | | | | 1,229 | |
| STAAR Surgical Co. † | | | 1,749 | | | | 18,592 | |
| Stemline Therapeutics, Inc. † | | | 700 | | | | 8,722 | |
| Stereotaxis, Inc. † | | | 2,200 | | | | 5,104 | |
| Sunesis Pharmaceuticals, Inc. † | | | 1,476 | | | | 10,539 | |
| Supernus Pharmaceuticals, Inc. † | | | 1,600 | | | | 13,904 | |
| TESARO, Inc. † | | | 256 | | | | 6,892 | |
| TherapeuticsMD, Inc. † | | | 5,500 | | | | 25,520 | |
| Threshold Pharmaceuticals, Inc. † | | | 1,495 | | | | 5,397 | |
| Unilife Corp. † | | | 4,300 | | | | 9,868 | |
| Universal American Corp. † | | | 417 | | | | 3,353 | |
| Vanda Pharmaceuticals, Inc. † | | | 1,413 | | | | 14,667 | |
| VIVUS, Inc. † | | | 199 | | | | 768 | |
| Wright Medical Group, Inc. † | | | 352 | | | | 10,666 | |
| XenoPort, Inc. † | | | 1,277 | | | | 6,870 | |
| Zeltiq Aesthetics, Inc. † | | | 2,231 | | | | 50,488 | |
| ZIOPHARM Oncology, Inc. † | | | 4,300 | | | | 11,352 | |
| | | | | | | | |
| | | | | | | 2,663,856 | |
| | | | | | | | |
| Industrials - 13.6% | | | | | | | | |
| AAON, Inc. | | | 1,050 | | | | 17,861 | |
| AAR Corp. | | | 688 | | | | 16,615 | |
| Aceto Corp. | | | 1,044 | | | | 20,170 | |
| Adept Technology, Inc. † | | | 1,783 | | | | 14,995 | |
| Advisory Board Co./The † | | | 101 | | | | 4,706 | |
| Aerovironment, Inc. † | | | 800 | | | | 24,056 | |
| Air Transport Services Group, Inc. † | | | 1,277 | | | | 9,297 | |
| Aircastle Ltd. | | | 713 | | | | 11,665 | |
| Albany International Corp., Class A | | | 329 | | | | 11,199 | |
| Allegiant Travel Co. | | | 229 | | | | 28,318 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 13.6% (continued) | |
| AMERCO | | | 85 | | | $ | 22,261 | |
| American Railcar Industries, Inc. | | | 513 | | | | 37,921 | |
| American Woodmark Corp. † | | | 270 | | | | 9,952 | |
| Apogee Enterprises, Inc. | | | 271 | | | | 10,786 | |
| Applied Industrial Technologies, Inc. | | | 164 | | | | 7,487 | |
| ARC Document Solutions, Inc. † | | | 1,784 | | | | 14,450 | |
| ARC Group Worldwide, Inc. † | | | 1,100 | | | | 17,182 | |
| ArcBest Corp. | | | 1,099 | | | | 40,993 | |
| Argan, Inc. | | | 730 | | | | 24,367 | |
| Arotech Corp. † | | | 4,400 | | | | 14,300 | |
| Astec Industries, Inc. | | | 103 | | | | 3,756 | |
| Astronics Corp. † | | | 515 | | | | 24,555 | |
| Avis Budget Group, Inc. † | | | 169 | | | | 9,276 | |
| AZZ, Inc. | | | 116 | | | | 4,845 | |
| Baltic Trading Ltd. | | | 2,800 | | | | 11,592 | |
| Barnes Group, Inc. | | | 224 | | | | 6,798 | |
| Barrett Business Services, Inc. | | | 211 | | | | 8,332 | |
| Beacon Roofing Supply, Inc. † | | | 267 | | | | 6,803 | |
| Brink’s Co./The | | | 68 | | | | 1,635 | |
| Broadwind Energy, Inc. † | | | 1,211 | | | | 9,070 | |
| Chart Industries, Inc. † | | | 43 | | | | 2,629 | |
| CIRCOR International, Inc. | | | 391 | | | | 26,326 | |
| Colfax Corp. † | | | 113 | | | | 6,438 | |
| Corporate Executive Board Co./The | | | 89 | | | | 5,346 | |
| Curtiss-Wright Corp. | | | 182 | | | | 11,998 | |
| Deluxe Corp. | | | 267 | | | | 14,728 | |
| DigitalGlobe, Inc. † | | | 275 | | | | 7,838 | |
| Ducommun, Inc. † | | | 394 | | | | 10,800 | |
| DXP Enterprises, Inc. † | | | 198 | | | | 14,589 | |
| Dycom Industries, Inc. † | | | 600 | | | | 18,426 | |
| Energy Recovery, Inc. † | | | 2,300 | | | | 8,142 | |
| EnerSys | | | 213 | | | | 12,490 | |
| Engility Holdings, Inc. † | | | 665 | | | | 20,728 | |
| Enphase Energy, Inc. † | | | 2,164 | | | | 32,438 | |
| EnPro Industries, Inc. † | | | 400 | | | | 24,212 | |
| Erickson, Inc. † | | | 337 | | | | 4,378 | |
| Federal Signal Corp. | | | 2,000 | | | | 26,480 | |
| Franklin Electric Co., Inc. | | | 202 | | | | 7,018 | |
| FTI Consulting, Inc. † | | | 53 | | | | 1,853 | |
| FuelCell Energy, Inc. † | | | 7,700 | | | | 16,093 | |
| G&K Services, Inc., Class A | | | 300 | | | | 16,614 | |
| GATX Corp. | | | 58 | | | | 3,386 | |
| GenCorp, Inc. † | | | 588 | | | | 9,390 | |
| Gibraltar Industries, Inc. † | | | 498 | | | | 6,818 | |
| GP Strategies Corp. † | | | 152 | | | | 4,365 | |
| GrafTech International Ltd. † | | | 1,700 | | | | 7,786 | |
| Greenbrier Cos., Inc./The | | | 700 | | | | 51,366 | |
| H&E Equipment Services, Inc. | | | 989 | | | | 39,837 | |
| Hawaiian Holdings, Inc. † | | | 900 | | | | 12,105 | |
| Healthcare Services Group, Inc. | | | 518 | | | | 14,820 | |
| Heartland Express, Inc. | | | 2,500 | | | | 59,900 | |
| Hillenbrand, Inc. | | | 264 | | | | 8,155 | |
| Hub Group, Inc., Class A † | | | 700 | | | | 28,371 | |
| Huron Consulting Group, Inc. † | | | 402 | | | | 24,510 | |
| Hyster-Yale Materials Handling, Inc. | | | 731 | | | | 52,354 | |
| InnerWorkings, Inc. † | | | 264 | | | | 2,136 | |
| John Bean Technologies Corp. | | | 400 | | | | 11,252 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 105 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 13.6% (continued) | |
| Kaman Corp. | | | 93 | | | $ | 3,655 | |
| Kforce, Inc. | | | 539 | | | | 10,548 | |
| Kimball International, Inc., Class B | | | 1,371 | | | | 20,634 | |
| Knight Transportation, Inc. | | | 1,000 | | | | 27,390 | |
| Korn/Ferry International † | | | 1,020 | | | | 25,398 | |
| Kratos Defense & Security Solutions, Inc. † | | | 1,700 | | | | 11,152 | |
| Lydall, Inc. † | | | 699 | | | | 18,880 | |
| Manitex International, Inc. † | | | 1,495 | | | | 16,879 | |
| Marten Transport Ltd. | | | 800 | | | | 14,248 | |
| MasTec, Inc. † | | | 395 | | | | 12,095 | |
| McGrath RentCorp. | | | 83 | | | | 2,839 | |
| Meritor, Inc. † | | | 2,600 | | | | 28,210 | |
| Middleby Corp./The † | | | 168 | | | | 14,806 | |
| Mobile Mini, Inc. | | | 827 | | | | 28,920 | |
| Moog, Inc., Class A † | | | 68 | | | | 4,651 | |
| MSA Safety, Inc. | | | 161 | | | | 7,953 | |
| Mueller Industries, Inc. | | | 332 | | | | 9,475 | |
| Mueller Water Products, Inc., Class A | | | 856 | | | | 7,088 | |
| Multi-Color Corp. | | | 244 | | | | 11,097 | |
| Navigant Consulting, Inc. † | | | 656 | | | | 9,125 | |
| NN, Inc. | | | 927 | | | | 24,769 | |
| Nortek, Inc. † | | | 191 | | | | 14,230 | |
| On Assignment, Inc. † | | | 426 | | | | 11,438 | |
| Park-Ohio Holdings Corp. | | | 324 | | | | 15,507 | |
| Patrick Industries, Inc. † | | | 1,022 | | | | 43,292 | |
| Pendrell Corp. † | | | 2,856 | | | | 3,827 | |
| Plug Power, Inc. † | | | 5,500 | | | | 25,245 | |
| Primoris Services Corp. | | | 739 | | | | 19,835 | |
| Proto Labs, Inc. † | | | 200 | | | | 13,800 | |
| Quality Distribution, Inc. † | | | 885 | | | | 11,310 | |
| RBC Bearings, Inc. | | | 66 | | | | 3,742 | |
| Real Goods Solar, Inc., Class A † | | | 3,706 | | | | 6,374 | |
| Republic Airways Holdings, Inc. † | | | 642 | | | | 7,133 | |
| Revolution Lighting Technologies, Inc. † | | | 5,244 | | | | 8,810 | |
| Rexnord Corp. † | | | 2,200 | | | | 62,590 | |
| Rush Enterprises, Inc., Class A † | | | 300 | | | | 10,035 | |
| Saia, Inc. † | | | 643 | | | | 31,867 | |
| Simpson Manufacturing Co., Inc. | | | 89 | | | | 2,594 | |
| Sparton Corp. † | | | 366 | | | | 9,022 | |
| Standex International Corp. | | | 200 | | | | 14,828 | |
| Steelcase, Inc., Class A | | | 547 | | | | 8,856 | |
| Taser International, Inc. † | | | 1,964 | | | | 30,324 | |
| Team, Inc. † | | | 99 | | | | 3,753 | |
| Tennant Co. | | | 497 | | | | 33,344 | |
| Textainer Group Holdings Ltd. | | | 231 | | | | 7,189 | |
| Thermon Group Holdings, Inc. † | | | 417 | | | | 10,183 | |
| Titan International, Inc. | | | 137 | | | | 1,619 | |
| Trex Co., Inc. † | | | 402 | | | | 13,897 | |
| TriMas Corp. † | | | 313 | | | | 7,615 | |
| Tutor Perini Corp. † | | | 900 | | | | 23,760 | |
| UniFirst Corp. | | | 100 | | | | 9,659 | |
| United Rentals, Inc. † | | | 89 | | | | 9,888 | |
| United Stationers, Inc. | | | 120 | | | | 4,508 | |
| US Ecology, Inc. | | | 349 | | | | 16,319 | |
| USG Corp. † | | | 223 | | | | 6,130 | |
| VSE Corp. | | | 200 | | | | 9,804 | |
| Wabash National Corp. † | | | 826 | | | | 11,002 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 13.6% (continued) | |
| WageWorks, Inc. † | | | 751 | | | $ | 34,193 | |
| Werner Enterprises, Inc. | | | 267 | | | | 6,728 | |
| XPO Logistics, Inc. † | | | 1,926 | | | | 72,552 | |
| YRC Worldwide, Inc. † | | | 600 | | | | 12,192 | |
| | | | | | | | |
| | | | | | | 2,030,164 | |
| | | | | | | | |
| Information Technology - 17.4% | | | | | | | | |
| 3D Systems Corp. † | | | 133 | | | | 6,167 | |
| ACI Worldwide, Inc. † | | | 441 | | | | 8,273 | |
| Actuate Corp. † | | | 330 | | | | 1,287 | |
| Advanced Energy Industries, Inc. † | | | 716 | | | | 13,454 | |
| Advent Software, Inc. | | | 602 | | | | 18,999 | |
| Alliance Fiber Optic Products, Inc. | | | 1,541 | | | | 19,155 | |
| Ambarella, Inc. † | | | 1,022 | | | | 44,631 | |
| Amkor Technology, Inc. † | | | 4,800 | | | | 40,368 | |
| ARRIS Group, Inc. † | | | 436 | | | | 12,363 | |
| Aspen Technology, Inc. † | | | 281 | | | | 10,599 | |
| Autobytel, Inc. † | | | 1,376 | | | | 11,820 | |
| Axcelis Technologies, Inc. † | | | 7,009 | | | | 13,948 | |
| Blucora, Inc. † | | | 397 | | | | 6,050 | |
| CalAmp Corp. † | | | 1,196 | | | | 21,074 | |
| Callidus Software, Inc. † | | | 2,014 | | | | 24,208 | |
| Carbonite, Inc. † | | | 200 | | | | 2,048 | |
| Cardtronics, Inc. † | | | 238 | | | | 8,378 | |
| Cass Information Systems, Inc. | | | 159 | | | | 6,583 | |
| Cavium, Inc. † | | | 1,200 | | | | 59,676 | |
| ChannelAdvisor Corp. † | | | 700 | | | | 11,480 | |
| Checkpoint Systems, Inc. † | | | 800 | | | | 9,784 | |
| Clearfield, Inc. † | | | 1,561 | | | | 19,872 | |
| Cognex Corp. † | | | 218 | | | | 8,779 | |
| Coherent, Inc. † | | | 68 | | | | 4,173 | |
| CommVault Systems, Inc. † | | | 72 | | | | 3,629 | |
| comScore, Inc. † | | | 500 | | | | 18,205 | |
| Constant Contact, Inc. † | | | 446 | | | | 12,104 | |
| Cray, Inc. † | | | 1,006 | | | | 26,397 | |
| CTS Corp. | | | 722 | | | | 11,473 | |
| Datalink Corp. † | | | 600 | | | | 6,378 | |
| Datawatch Corp. † | | | 910 | | | | 9,327 | |
| Dealertrack Technologies, Inc. † | | | 371 | | | | 16,105 | |
| Demandware, Inc. † | | | 926 | | | | 47,152 | |
| Diebold, Inc. | | | 400 | | | | 14,128 | |
| Diodes, Inc. † | | | 696 | | | | 16,648 | |
| Dot Hill Systems Corp. † | | | 3,200 | | | | 12,096 | |
| E2open, Inc. † | | | 900 | | | | 8,379 | |
| eGain Corp. † | | | 1,177 | | | | 7,062 | |
| Electronics For Imaging, Inc. † | | | 983 | | | | 43,419 | |
| EnerNOC, Inc. † | | | 800 | | | | 13,568 | |
| Envestnet, Inc. † | | | 992 | | | | 44,640 | |
| EPAM Systems, Inc. † | | | 1,234 | | | | 54,037 | |
| ePlus, Inc. † | | | 90 | | | | 5,044 | |
| Euronet Worldwide, Inc. † | | | 1,140 | | | | 54,481 | |
| Exar Corp. † | | | 1,200 | | | | 10,740 | |
| ExlService Holdings, Inc. † | | | 162 | | | | 3,954 | |
| Fabrinet (Thailand) † | | | 1,600 | | | | 23,360 | |
| Fair Isaac Corp. | | | 165 | | | | 9,091 | |
| FARO Technologies, Inc. † | | | 279 | | | | 14,159 | |
| FEI Co. | | | 87 | | | | 6,562 | |
| Finisar Corp. † | | | 824 | | | | 13,703 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 106 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 17.4% (continued) | |
| Glu Mobile, Inc. † | | | 5,554 | | | $ | 28,714 | |
| Gogo, Inc. † | | | 1,600 | | | | 26,976 | |
| GT Advanced Technologies, Inc. † | | | 3,576 | | | | 38,728 | |
| Heartland Payment Systems, Inc. | | | 174 | | | | 8,303 | |
| iGATE Corp. † | | | 1,395 | | | | 51,224 | |
| Immersion Corp. † | | | 870 | | | | 7,465 | |
| Information Services Group, Inc. † | | | 2,600 | | | | 9,880 | |
| Insight Enterprises, Inc. † | | | 700 | | | | 15,841 | |
| Integrated Device Technology, Inc. † | | | 3,700 | | | | 59,015 | |
| Interactive Intelligence Group, Inc. † | | | 216 | | | | 9,029 | |
| Intersil Corp., Class A | | | 2,200 | | | | 31,262 | |
| Intralinks Holdings, Inc. † | | | 1,561 | | | | 12,644 | |
| InvenSense, Inc. † | | | 2,854 | | | | 56,309 | |
| Ixia † | | | 225 | | | | 2,056 | |
| j2 Global, Inc. | | | 149 | | | | 7,355 | |
| Kulicke & Soffa Industries, Inc. (Singapore) † | | | 235 | | | | 3,344 | |
| Lattice Semiconductor Corp. † | | | 1,900 | | | | 14,250 | |
| Lexmark International, Inc., Class A | | | 200 | | | | 8,500 | |
| Liquidity Services, Inc. † | | | 81 | | | | 1,114 | |
| Littelfuse, Inc. | | | 300 | | | | 25,554 | |
| LiveDeal, Inc. † | | | 5,000 | | | | 14,900 | |
| LogMeIn, Inc. † | | | 700 | | | | 32,249 | |
| M/A-COM Technology Solutions Holdings, Inc. † | | | 400 | | | | 8,736 | |
| Manhattan Associates, Inc. † | | | 2,052 | | | | 68,578 | |
| Marchex, Inc., Class B | | | 1,747 | | | | 7,250 | |
| Mattson Technology, Inc. † | | | 5,468 | | | | 13,506 | |
| MAXIMUS, Inc. | | | 274 | | | | 10,996 | |
| Maxwell Technologies, Inc. † | | | 900 | | | | 7,848 | |
| Mentor Graphics Corp. | | | 559 | | | | 11,457 | |
| Mesa Laboratories, Inc. | | | 200 | | | | 11,556 | |
| Methode Electronics, Inc. | | | 1,112 | | | | 40,999 | |
| MicroStrategy, Inc., Class A † | | | 200 | | | | 26,168 | |
| Mitek Systems, Inc. † | | | 1,603 | | | | 3,863 | |
| Monolithic Power Systems, Inc. | | | 843 | | | | 37,134 | |
| Monotype Imaging Holdings, Inc. | | | 488 | | | | 13,820 | |
| Move, Inc. † | | | 700 | | | | 14,672 | |
| MTS Systems Corp. | | | 53 | | | | 3,618 | |
| Nanometrics, Inc. † | | | 125 | | | | 1,887 | |
| NetScout Systems, Inc. † | | | 776 | | | | 35,541 | |
| NIC, Inc. | | | 574 | | | | 9,884 | |
| OmniVision Technologies, Inc. † | | | 600 | | | | 15,876 | |
| OSI Systems, Inc. † | | | 155 | | | | 9,839 | |
| ParkerVision, Inc. † | | | 2,090 | | | | 2,383 | |
| PDF Solutions, Inc. † | | | 400 | | | | 5,044 | |
| Perficient, Inc. † | | | 546 | | | | 8,185 | |
| Photronics, Inc. † | | | 1,352 | | | | 10,884 | |
| Pixelworks, Inc. † | | | 1,500 | | | | 9,690 | |
| Plexus Corp. † | | | 600 | | | | 22,158 | |
| Power Integrations, Inc. | | | 424 | | | | 22,858 | |
| Proofpoint, Inc. † | | | 906 | | | | 33,649 | |
| Qualys, Inc. † | | | 1,403 | | | | 37,320 | |
| QuickLogic Corp. † | | | 3,000 | | | | 8,970 | |
| Rambus, Inc. † | | | 3,205 | | | | 39,998 | |
| RF Industries Ltd. | | | 906 | | | | 4,467 | |
| RF Micro Devices, Inc. † | | | 900 | | | | 10,386 | |
| Rogers Corp. † | | | 300 | | | | 16,428 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 17.4% (continued) | |
| Rubicon Technology, Inc. † | | | 1,700 | | | $ | 7,225 | |
| Sanmina Corp. † | | | 1,891 | | | | 39,446 | |
| Sapient Corp. † | | | 1,996 | | | | 27,944 | |
| Semtech Corp. † | | | 117 | | | | 3,177 | |
| ShoreTel, Inc. † | | | 1,600 | | | | 10,640 | |
| Shutterstock, Inc. † | | | 741 | | | | 52,893 | |
| Sonus Networks, Inc. † | | | 4,001 | | | | 13,683 | |
| Spansion, Inc., Class A † | | | 2,000 | | | | 45,580 | |
| SPS Commerce, Inc. † | | | 177 | | | | 9,408 | |
| Stamps.com, Inc. † | | | 380 | | | | 12,069 | |
| Stratasys Ltd. † | | | 59 | | | | 7,126 | |
| Super Micro Computer, Inc. † | | | 1,470 | | | | 43,247 | |
| Synaptics, Inc. † | | | 843 | | | | 61,708 | |
| Synchronoss Technologies, Inc. † | | | 477 | | | | 21,837 | |
| SYNNEX Corp. † | | | 900 | | | | 58,167 | |
| Take-Two Interactive Software, Inc. † | | | 1,200 | | | | 27,684 | |
| Tech Data Corp. † | | | 500 | | | | 29,430 | |
| Tyler Technologies, Inc. † | | | 137 | | | | 12,111 | |
| Ultimate Software Group, Inc./The † | | | 83 | | | | 11,745 | |
| Ultra Clean Holdings, Inc. † | | | 1,500 | | | | 13,425 | |
| Ultratech, Inc. † | | | 112 | | | | 2,548 | |
| Verint Systems, Inc. † | | | 900 | | | | 50,049 | |
| VirnetX Holding Corp. † | | | 80 | | | | 480 | |
| Virtusa Corp. † | | | 479 | | | | 17,033 | |
| Vishay Intertechnology, Inc. | | | 607 | | | | 8,674 | |
| Web.com Group, Inc. † | | | 1,141 | | | | 22,774 | |
| WebMD Health Corp. † | | | 472 | | | | 19,734 | |
| Xcerra Corp. † | | | 1,800 | | | | 17,622 | |
| Zhone Technologies, Inc. † | | | 3,600 | | | | 9,720 | |
| | | | | | | | |
| | | | | | | 2,596,549 | |
| | | | | | | | |
| Materials - 4.2% | | | | | | | | |
| A Schulman, Inc. | | | 500 | | | | 18,080 | |
| Advanced Emissions Solutions, Inc. † | | | 550 | | | | 11,699 | |
| AEP Industries, Inc. † | | | 90 | | | | 3,408 | |
| AK Steel Holding Corp. † | | | 3,500 | | | | 28,035 | |
| American Vanguard Corp. | | | 323 | | | | 3,618 | |
| Balchem Corp. | | | 182 | | | | 10,296 | |
| Calgon Carbon Corp. † | | | 582 | | | | 11,279 | |
| Century Aluminum Co. † | | | 2,600 | | | | 67,522 | |
| Clearwater Paper Corp. † | | | 200 | | | | 12,022 | |
| Deltic Timber Corp. | | | 41 | | | | 2,555 | |
| Ferro Corp. † | | | 2,400 | | | | 34,776 | |
| Flotek Industries, Inc. † | | | 1,574 | | | | 41,034 | |
| FutureFuel Corp. | | | 1,487 | | | | 17,680 | |
| Globe Specialty Metals, Inc. | | | 3,000 | | | | 54,570 | |
| Graphic Packaging Holding Co. † | | | 551 | | | | 6,849 | |
| H.B. Fuller Co. | | | 215 | | | | 8,536 | |
| Haynes International, Inc. | | | 62 | | | | 2,851 | |
| Headwaters, Inc. † | | | 1,216 | | | | 15,249 | |
| Horsehead Holding Corp. † | | | 1,400 | | | | 23,142 | |
| Innophos Holdings, Inc. | | | 147 | | | | 8,098 | |
| Innospec, Inc. | | | 119 | | | | 4,272 | |
| Louisiana-Pacific Corp. † | | | 209 | | | | 2,840 | |
| Minerals Technologies, Inc. | | | 800 | | | | 49,368 | |
| OM Group, Inc. | | | 200 | | | | 5,190 | |
| PH Glatfelter Co. | | | 528 | | | | 11,590 | |
| PolyOne Corp. | | | 156 | | | | 5,551 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 107 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Materials - 4.2% (continued) | |
| Rentech, Inc. † | | | 1,324 | | | $ | 2,264 | |
| RTI International Metals, Inc. † | | | 181 | | | | 4,463 | |
| Senomyx, Inc. † | | | 2,400 | | | | 19,680 | |
| Sensient Technologies Corp. | | | 200 | | | | 10,470 | |
| Stillwater Mining Co. † | | | 1,800 | | | | 27,054 | |
| SunCoke Energy, Inc. † | | | 1,500 | | | | 33,675 | |
| Tredegar Corp. | | | 403 | | | | 7,419 | |
| US Concrete, Inc. † | | | 1,311 | | | | 34,270 | |
| US Silica Holdings, Inc. | | | 244 | | | | 15,252 | |
| Worthington Industries, Inc. | | | 286 | | | | 10,645 | |
| | | | | | | | |
| | | | | | | 625,302 | |
| | | | | | | | |
| Telecommunication Services - 0.7% | | | | | | | | |
| 8x8, Inc. † | | | 1,152 | | | | 7,696 | |
| Atlantic Tele-Network, Inc. | | | 181 | | | | 9,756 | |
| Cogent Communications Holdings, Inc. | | | 519 | | | | 17,444 | |
| Consolidated Communications Holdings, Inc. | | | 700 | | | | 17,535 | |
| IDT Corp., Class B | | | 555 | | | | 8,913 | |
| Inteliquent, Inc. | | | 1,436 | | | | 17,878 | |
| Lumos Networks Corp. | | | 1,293 | | | | 21,011 | |
| Vonage Holdings Corp. † | | | 2,700 | | | | 8,856 | |
| | | | | | | | |
| | | | | | | 109,089 | |
| | | | | | | | |
| Utilities - 1.3% | | | | | | | | |
| ALLETE, Inc. | | | 35 | | | | 1,554 | |
| Black Hills Corp. | | | 78 | | | | 3,735 | |
| Chesapeake Utilities Corp. | | | 258 | | | | 10,748 | |
| El Paso Electric Co. | | | 44 | | | | 1,608 | |
| MGE Energy, Inc. | | | 117 | | | | 4,359 | |
| New Jersey Resources Corp. | | | 500 | | | | 25,255 | |
| Otter Tail Corp. | | | 366 | | | | 9,761 | |
| PNM Resources, Inc. | | | 1,700 | | | | 42,347 | |
| Portland General Electric Co. | | | 2,900 | | | | 93,148 | |
| South Jersey Industries, Inc. | | | 37 | | | | 1,974 | |
| Unitil Corp. | | | 94 | | | | 2,923 | |
| | | | | | | | |
| | | | | | | 197,412 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $13,702,584) | | | | | | | 14,485,306 | |
| | | | | | | | |
| | |
| EXCHANGE-TRADED FUNDS - 2.2% | | | | | | | | |
iShares Russell 2000 ETF
(cost $325,162) | | | 2,995 | | | | 327,503 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 2.3% | | | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, | | | | | | | | |
0.000% (2)(a)
(cost $345,695) | | | 345,695 | | | | 345,695 | |
| | | | | | | | |
TOTAL INVESTMENTS - 101.7%
(cost $14,373,441) | | | | | | | 15,158,504 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (1.7%) | | | | | | | (248,969 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 14,909,535 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
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. | | |
| | | | | | | | | | | | | | | | |
| 108 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| COMMON STOCKS - 98.6% | | SHARES | | | VALUE
(Note 2) | |
| Australia - 3.6% | |
| ALS Ltd. | | | 295 | | | $ | 1,357 | |
| Amcor Ltd. | | | 28,362 | | | | 280,930 | |
| Australia & New Zealand Banking Group Ltd. | | | 18,455 | | | | 498,879 | |
| Brambles Ltd. | | | 11,872 | | | | 98,760 | |
| Coca-Cola Amatil Ltd. | | | 386 | | | | 2,963 | |
| Commonwealth Bank of Australia | | | 4,128 | | | | 271,798 | |
| Crown Resorts Ltd. | | | 11,649 | | | | 140,663 | |
| Federation Centres REIT | | | 6,256 | | | | 14,114 | |
| Fortescue Metals Group Ltd. | | | 77,603 | | | | 235,760 | |
| GPT Group/The REIT | | | 1,253 | | | | 4,243 | |
| Insurance Australia Group Ltd. | | | 28,183 | | | | 151,043 | |
| National Australia Bank Ltd. | | | 5,128 | | | | 145,859 | |
| Orica Ltd. | | | 113 | | | | 1,865 | |
| Orora Ltd. | | | 28,362 | | | | 40,656 | |
| Ramsay Health Care Ltd. | | | 11,496 | | | | 503,757 | |
| Recall Holdings Ltd. | | | 2,374 | | | | 11,658 | |
| Santos Ltd. | | | 278 | | | | 3,325 | |
| Suncorp Group Ltd. | | | 11,005 | | | | 135,267 | |
| Telstra Corp. Ltd. | | | 16,142 | | | | 74,895 | |
| Wesfarmers Ltd. | | | 1,157 | | | | 42,638 | |
| Westpac Banking Corp. | | | 9,483 | | | | 266,221 | |
| Woolworths Ltd. | | | 1,566 | | | | 46,892 | |
| | | | | | | | |
| | | | | | | 2,973,543 | |
| | | | | | | | |
| Austria - 0.1% | |
| Andritz AG | | | 416 | | | | 22,150 | |
| Erste Group Bank AG | | | 785 | | | | 17,924 | |
| Raiffeisen Bank International AG | | | 448 | | | | 9,705 | |
| Voestalpine AG | | | 1,869 | | | | 73,805 | |
| | | | | | | | |
| | | | | | | 123,584 | |
| | | | | | | | |
| Belgium - 1.2% | | | | | | | | |
| Ageas | | | 4,704 | | | | 155,957 | |
| Anheuser-Busch InBev NV | | | 318 | | | | 35,266 | |
| Belgacom SA | | | 5,258 | | | | 183,063 | |
| Delhaize Group SA | | | 1,994 | | | | 138,577 | |
| KBC Groep NV † | | | 5,633 | | | | 299,034 | |
| UCB SA | | | 1,538 | | | | 139,363 | |
| | | | | | | | |
| | | | | | | 951,260 | |
| | | | | | | | |
| Canada - 22.4% | | | | | | | | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 12,723 | | | | 406,813 | |
| AltaGas Ltd. (1) | | | 3,700 | | | | 156,233 | |
| Bank of Montreal (1) | | | 8,400 | | | | 618,253 | |
| Bank of Nova Scotia/The (1) | | | 12,300 | | | | 760,767 | |
| BCE, Inc. (1) | | | 136 | | | | 5,815 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 8,300 | | | | 372,627 | |
| Calloway Real Estate Investment Trust REIT (1) | | | 100 | | | | 2,297 | |
| Canadian Imperial Bank of Commerce (1) | | | 6,600 | | | | 592,789 | |
| Canadian National Railway Co. (1) | | | 15,500 | | | | 1,100,411 | |
| Canadian Natural Resources Ltd. (1) | | | 17,800 | | | | 691,529 | |
| Canadian Pacific Railway Ltd. (1) | | | 3,366 | | | | 698,566 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 2,137 | | | | 218,957 | |
| CGI Group, Inc., Class A (1)† | | | 2,910 | | | | 98,321 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Canada - 22.4% (continued) | | | | | | | | |
| CI Financial Corp. (1) | | | 14,947 | | | $ | 450,699 | |
| Constellation Software, Inc. (1) | | | 1,183 | | | | 297,337 | |
| Crescent Point Energy Corp. (1) | | | 8,900 | | | | 321,209 | |
| Dollarama, Inc. (1) | | | 2,822 | | | | 239,377 | |
| Empire Co., Ltd., Class A (1) | | | 100 | | | | 6,955 | |
| Enbridge, Inc. (1) | | | 11,300 | | | | 540,911 | |
| Encana Corp. (1) | | | 14,700 | | | | 312,126 | |
| Enerplus Corp. (1) | | | 5,420 | | | | 102,888 | |
| Ensign Energy Services, Inc. (1) | | | 100 | | | | 1,313 | |
| First Quantum Minerals Ltd. (1) | | | 7,800 | | | | 150,575 | |
| Fortis, Inc. (1) | | | 100 | | | | 3,091 | |
| Franco-Nevada Corp. (1) | | | 5,100 | | | | 250,321 | |
| Gildan Activewear, Inc. (1) | | | 7,387 | | | | 404,127 | |
| Husky Energy, Inc. (1) | | | 10,900 | | | | 299,179 | |
| Imperial Oil Ltd. (1) | | | 10,400 | | | | 491,329 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 4,487 | | | | 185,778 | |
| Jean Coutu Group PJC, Inc./The, Class A (1) | | | 3,300 | | | | 69,185 | |
| Keyera Corp. (1) | | | 1,800 | | | | 145,019 | |
| Loblaw Cos., Ltd. (1) | | | 878 | | | | 43,941 | |
| MacDonald Dettwiler & Associates Ltd. (1) | | | 463 | | | | 34,623 | |
| Magna International, Inc. (1) | | | 5,639 | | | | 535,225 | |
| Manulife Financial Corp. (1) | | | 18,852 | | | | 362,581 | |
| Methanex Corp. (1) | | | 2,200 | | | | 146,857 | |
| Metro, Inc. (1) | | | 100 | | | | 6,688 | |
| Open Text Corp. (1) | | | 5,160 | | | | 285,425 | |
| Paramount Resources Ltd., Class A (1)† | | | 1,200 | | | | 68,735 | |
| Pembina Pipeline Corp. (1) | | | 13,600 | | | | 572,926 | |
| Pengrowth Energy Corp. (1) | | | 10,900 | | | | 57,130 | |
| Peyto Exploration & Development Corp. (1) | | | 1,500 | | | | 47,332 | |
| RioCan Real Estate Investment Trust REIT (1) | | | 242 | | | | 5,547 | |
| Rogers Communications, Inc., Class B (1) | | | 3,763 | | | | 140,850 | |
| Royal Bank of Canada (1) | | | 15,979 | | | | 1,142,121 | |
| Shaw Communications, Inc., Class B (1) | | | 100 | | | | 2,451 | |
| Sun Life Financial, Inc. (1) | | | 16,330 | | | | 591,989 | |
| Suncor Energy, Inc. (1) | | | 24,300 | | | | 879,396 | |
| Toronto-Dominion Bank/The (1) | | | 29,000 | | | | 1,431,162 | |
| Tourmaline Oil Corp. (1)† | | | 5,818 | | | | 257,822 | |
| TransAlta Corp. (1) | | | 100 | | | | 1,049 | |
| TransCanada Corp. (1) | | | 12,700 | | | | 654,079 | |
| Trilogy Energy Corp. (1) | | | 100 | | | | 2,264 | |
| Valeant Pharmaceuticals International, Inc. (1)† | | | 5,994 | | | | 785,410 | |
| Vermilion Energy, Inc. (1) | | | 4,400 | | | | 267,862 | |
| | | | | | | | |
| | | | | | | 18,318,262 | |
| | | | | | | | |
| China - 0.0% (a) | | | | | | | | |
| FIH Mobile Ltd. † | | | 62,000 | | | | 32,234 | |
| | | | | | | | |
| | |
| Denmark - 4.0% | | | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 265 | | | | 627,744 | |
| Coloplast A/S, Class B | | | 6,320 | | | | 528,530 | |
| Danske Bank A/S | | | 12,172 | | | | 329,955 | |
| Novo Nordisk A/S, Class B | | | 23,294 | | | | 1,109,069 | |
| Pandora A/S | | | 2,756 | | | | 215,180 | |
| Tryg A/S | | | 2,393 | | | | 248,262 | |
| Vestas Wind Systems A/S † | | | 5,815 | | | | 226,713 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 109 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Denmark - 4.0% (continued) | | | | | | | | |
| William Demant Holding A/S † | | | 39 | | | $ | 2,989 | |
| | | | | | | | |
| | | | | | | 3,288,442 | |
| | | | | | | | |
| Finland - 1.5% | | | | | | | | |
| Kone OYJ, Class B | | | 610 | | | | 24,421 | |
| Nokia OYJ | | | 56,268 | | | | 477,776 | |
| Sampo OYJ, A Shares | | | 8,956 | | | | 433,035 | |
| Stora Enso OYJ, R Shares | | | 16,007 | | | | 132,804 | |
| UPM-Kymmene OYJ | | | 9,332 | | | | 132,657 | |
| Valmet OYJ | | | 434 | | | | 4,299 | |
| | | | | | | | |
| | | | | | | 1,204,992 | |
| | | | | | | | |
| France - 7.3% | | | | | | | | |
| Air Liquide SA | | | 177 | | | | 21,580 | |
| Airbus Group NV | | | 6,796 | | | | 427,200 | |
| Alcatel-Lucent † | | | 58,706 | | | | 181,067 | |
| AXA SA | | | 13,074 | | | | 322,046 | |
| BNP Paribas SA | | | 8,401 | | | | 557,559 | |
| Credit Agricole SA | | | 12,721 | | | | 191,750 | |
| Danone SA | | | 363 | | | | 24,309 | |
| Dassault Systemes | | | 106 | | | | 6,809 | |
| Edenred | | | 323 | | | | 7,959 | |
| Electricite de France SA | | | 6,733 | | | | 220,888 | |
| Essilor International SA | | | 243 | | | | 26,649 | |
| Eutelsat Communications SA | | | 106 | | | | 3,420 | |
| GDF Suez | | | 27,788 | | | | 696,936 | |
| Hermes International | | | 35 | | | | 10,468 | |
| Iliad SA | | | 1,532 | | | | 323,176 | |
| L’Oreal SA | | | 257 | | | | 40,759 | |
| LVMH Moet Hennessy Louis Vuitton SA | | | 196 | | | | 31,827 | |
| Orange SA | | | 23,064 | | | | 344,175 | |
| Pernod Ricard SA | | | 92 | | | | 10,413 | |
| Peugeot SA † | | | 13,499 | | | | 172,729 | |
| Renault SA | | | 1,693 | | | | 122,471 | |
| Sanofi | | | 811 | | | | 91,700 | |
| Societe Generale SA | | | 9,030 | | | | 460,601 | |
| Technip SA | | | 46 | | | | 3,859 | |
| Total SA | | | 19,002 | | | | 1,230,457 | |
| Unibail-Rodamco SE REIT | | | 1,806 | | | | 464,427 | |
| | | | | | | | |
| | | | | | | 5,995,234 | |
| | | | | | | | |
| Germany - 6.6% | | | | | | | | |
| adidas AG | | | 160 | | | | 11,939 | |
| BASF SE | | | 1,900 | | | | 173,313 | |
| Bayer AG | | | 5,038 | | | | 700,978 | |
| Bayerische Motoren Werke AG | | | 5,260 | | | | 562,159 | |
| Beiersdorf AG | | | 64 | | | | 5,325 | |
| Commerzbank AG † | | | 22,679 | | | | 336,763 | |
| Continental AG | | | 2,718 | | | | 514,863 | |
| Daimler AG | | | 3,806 | | | | 290,652 | |
| Deutsche Bank AG | | | 67 | | | | 2,339 | |
| Deutsche Lufthansa AG | | | 5,142 | | | | 80,740 | |
| Deutsche Post AG | | | 23,339 | | | | 743,932 | |
| Deutsche Telekom AG | | | 50,708 | | | | 767,544 | |
| E.ON SE | | | 9,899 | | | | 180,772 | |
| Fresenius Medical Care AG & Co. KGaA | | | 109 | | | | 7,592 | |
| Fresenius SE & Co. KGaA | | | 183 | | | | 9,035 | |
| Infineon Technologies AG | | | 17,071 | | | | 175,711 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Germany - 6.6% (continued) | | | | | | | | |
| Merck KGaA | | | 1,398 | | | $ | 128,498 | |
| Metro AG † | | | 3,474 | | | | 113,930 | |
| Muenchener Rueckversicherungs AG | | | 264 | | | | 52,079 | |
| ProSiebenSat.1 Media AG | | | 1,943 | | | | 77,031 | |
| SAP SE | | | 171 | | | | 12,341 | |
| Siemens AG | | | 2,258 | | | | 268,684 | |
| ThyssenKrupp AG † | | | 6,783 | | | | 177,088 | |
| | | | | | | | |
| | | | | | | 5,393,308 | |
| | | | | | | | |
| Hong Kong - 1.8% | | | | | | | | |
| AIA Group Ltd. | | | 3,800 | | | | 19,611 | |
| BOC Hong Kong Holdings Ltd. | | | 10,500 | | | | 33,426 | |
| Cheung Kong Holdings Ltd. | | | 10,000 | | | | 164,499 | |
| Cheung Kong Infrastructure Holdings Ltd. | | | 1,000 | | | | 7,008 | |
| CLP Holdings Ltd. | | | 1,000 | | | | 8,033 | |
| First Pacific Co., Ltd. | | | 12,000 | | | | 12,447 | |
| Galaxy Entertainment Group Ltd. | | | 46,000 | | | | 267,077 | |
| Giordano International Ltd. | | | 2,000 | | | | 1,084 | |
| Hang Seng Bank Ltd. | | | 1,200 | | | | 19,256 | |
| Hong Kong & China Gas Co., Ltd. | | | 2,662 | | | | 5,769 | |
| Hutchison Whampoa Ltd. | | | 19,000 | | | | 229,683 | |
| Luk Fook Holdings International Ltd. | | | 1,000 | | | | 2,909 | |
| Melco International Development Ltd. | | | 38,000 | | | | 88,080 | |
| MGM China Holdings Ltd. | | | 57,600 | | | | 165,982 | |
| New World Development Co., Ltd. | | | 9,000 | | | | 10,484 | |
| Power Assets Holdings Ltd. | | | 1,000 | | | | 8,839 | |
| Samsonite International SA | | | 29,100 | | | | 93,616 | |
| Sands China Ltd. | | | 14,800 | | | | 77,209 | |
| SmarTone Telecommunications Holdings Ltd. | | | 1,500 | | | | 2,097 | |
| Wharf Holdings Ltd./The | | | 18,000 | | | | 127,849 | |
| Wheelock & Co., Ltd. | | | 3,000 | | | | 14,310 | |
| Wynn Macau Ltd. | | | 24,400 | | | | 77,762 | |
| �� | | | | | | | |
| | | | | | | 1,437,030 | |
| | | | | | | | |
| Italy - 4.0% | | | | | | | | |
| Banco Popolare SC † | | | 10,483 | | | | 152,668 | |
| Davide Campari-Milano SpA | | | 430 | | | | 3,097 | |
| Enel SpA | | | 126,942 | | | | 671,538 | |
| Eni SpA | | | 7,354 | | | | 174,483 | |
| Fiat SpA † | | | 20,290 | | | | 195,549 | |
| Finmeccanica SpA † | | | 19,712 | | | | 190,751 | |
| Intesa Sanpaolo SpA | | | 248,187 | | | | 749,209 | |
| Luxottica Group SpA | | | 512 | | | | 26,613 | |
| Mediobanca SpA † | | | 17,791 | | | | 152,003 | |
| Snam SpA | | | 36,381 | | | | 200,889 | |
| Tenaris SA | | | 152 | | | | 3,468 | |
| UniCredit SpA | | | 75,260 | | | | 591,234 | |
| Unione di Banche Italiane SCpA | | | 23,298 | | | | 194,722 | |
| | | | | | | | |
| | | | | | | 3,306,224 | |
| | | | | | | | |
| Japan - 19.0% | |
| Alps Electric Co., Ltd. | | | 8,700 | | | | 149,552 | |
| Asahi Group Holdings Ltd. | | | 6,300 | | | | 182,235 | |
| Astellas Pharma, Inc. | | | 47,900 | | | | 713,402 | |
| Bandai Namco Holdings, Inc. | | | 8,500 | | | | 218,673 | |
| Bank of Yokohama Ltd./The | | | 12,000 | | | | 65,986 | |
| Bridgestone Corp. | | | 2,800 | | | | 92,610 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 110 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Japan - 19.0% (continued) | |
| Chugai Pharmaceutical Co., Ltd. | | | 7,100 | | | $ | 205,515 | |
| Coca-Cola East Japan Co., Ltd. | | | 3,600 | | | | 71,556 | |
| COLOPL, Inc. † | | | 5,400 | | | | 177,857 | |
| Daikin Industries Ltd. | | | 4,500 | | | | 279,149 | |
| Daito Trust Construction Co., Ltd. | | | 3,600 | | | | 425,710 | |
| Denso Corp. | | | 4,200 | | | | 193,772 | |
| Ezaki Glico Co., Ltd. | | | 2,500 | | | | 86,212 | |
| Fuji Heavy Industries Ltd. | | | 9,100 | | | | 301,453 | |
| FUJIFILM Holdings Corp. | | | 5,600 | | | | 172,072 | |
| Fujitsu Ltd. | | | 55,000 | | | | 338,501 | |
| Haseko Corp. | | | 16,900 | | | | 130,598 | |
| Hino Motors Ltd. | | | 11,000 | | | | 153,926 | |
| Hiroshima Bank Ltd./The | | | 6,000 | | | | 29,483 | |
| HIS Co. Ltd. | | | 2,200 | | | | 58,711 | |
| Hitachi Ltd. | | | 21,000 | | | | 160,441 | |
| Hitachi Transport System Ltd. | | | 200 | | | | 2,584 | |
| Hokuhoku Financial Group, Inc. | | | 64,000 | | | | 125,454 | |
| Hoshizaki Electric Co., Ltd. | | | 1,300 | | | | 60,663 | |
| Hoya Corp. | | | 11,100 | | | | 372,741 | |
| Hulic Co., Ltd. | | | 18,700 | | | | 198,065 | |
| Inpex Corp. | | | 18,000 | | | | 254,485 | |
| Jafco Co., Ltd. | | | 3,600 | | | | 129,814 | |
| Japan Airport Terminal Co., Ltd. | | | 1,300 | | | | 52,181 | |
| Japan Logistics Fund, Inc. REIT | | | 22 | | | | 48,641 | |
| JGC Corp. | | | 3,000 | | | | 81,965 | |
| JTEKT Corp. | | | 11,400 | | | | 191,081 | |
| Kaken Pharmaceutical Co., Ltd. | | | 3,000 | | | | 67,642 | |
| Kao Corp. | | | 12,500 | | | | 487,783 | |
| Kawasaki Heavy Industries Ltd. | | | 38,000 | | | | 151,925 | |
| KDDI Corp. | | | 3,400 | | | | 204,531 | |
| Kenedix Office Investment Corp. REIT | | | 9 | | | | 48,325 | |
| Keyence Corp. | | | 1,000 | | | | 434,186 | |
| Komeri Co., Ltd. | | | 100 | | | | 2,272 | |
| LIXIL Group Corp. | | | 5,600 | | | | 119,470 | |
| M3, Inc. | | | 10,200 | | | | 163,570 | |
| Mazda Motor Corp. | | | 5,800 | | | | 145,896 | |
| Minebea Co., Ltd. | | | 8,000 | | | | 109,179 | |
| Mitsubishi Electric Corp. | | | 16,000 | | | | 213,299 | |
| Mitsui & Co., Ltd. | | | 20,100 | | | | 317,059 | |
| Mixi, Inc. | | | 3,700 | | | | 184,277 | |
| Murata Manufacturing Co., Ltd. | | | 4,500 | | | | 511,494 | |
| NGK Insulators Ltd. | | | 7,000 | | | | 166,857 | |
| Nidec Corp. | | | 6,900 | | | | 466,282 | |
| Nippon Paint Co., Ltd. | | | 9,000 | | | | 203,021 | |
| Nippon Prologis REIT, Inc. REIT | | | 36 | | | | 83,697 | |
| Nippon Telegraph & Telephone Corp. | | | 14,100 | | | | 874,401 | |
| NSK Ltd. | | | 5,000 | | | | 71,315 | |
| NTN Corp. | | | 37,000 | | | | 167,147 | |
| Okasan Securities Group, Inc. | | | 13,000 | | | | 92,508 | |
| Olympus Corp. † | | | 5,500 | | | | 197,234 | |
| Omron Corp. | | | 3,900 | | | | 177,247 | |
| Ono Pharmaceutical Co., Ltd. | | | 2,200 | | | | 195,355 | |
| Otsuka Holdings Co., Ltd. | | | 5,800 | | | | 199,916 | |
| Panasonic Corp. | | | 44,000 | | | | 524,409 | |
| Rakuten, Inc. | | | 9,000 | | | | 103,603 | |
| Renesas Electronics Corp. † | | | 17,900 | | | | 153,663 | |
| Seiko Epson Corp. | | | 6,800 | | | | 327,644 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Japan - 19.0% (continued) | |
| Seino Holdings Co., Ltd. | | | 6,000 | | | $ | 48,098 | |
| Seven & I Holdings Co., Ltd. | | | 4,100 | | | | 159,024 | |
| Shimano, Inc. | | | 1,300 | | | | 158,137 | |
| Shimizu Corp. | | | 25,000 | | | | 197,276 | |
| SMC Corp. | | | 700 | | | | 193,019 | |
| SoftBank Corp. | | | 13,200 | | | | 922,005 | |
| Square Enix Holdings Co., Ltd. | | | 8,900 | | | | 188,876 | |
| Suruga Bank Ltd. | | | 11,000 | | | | 219,472 | |
| Taisei Corp. | | | 36,000 | | | | 203,101 | |
| Tohoku Electric Power Co., Inc. | | | 13,100 | | | | 148,886 | |
| Tokai Tokyo Financial Holdings, Inc. | | | 13,900 | | | | 95,592 | |
| Tokyo Tatemono Co., Ltd. | | | 4,000 | | | | 32,412 | |
| Toyo Seikan Group Holdings Ltd. | | | 3,000 | | | | 37,191 | |
| USS Co., Ltd. | | | 4,900 | | | | 74,960 | |
| Yamada Denki Co., Ltd. | | | 400 | | | | 1,168 | |
| | | | | | | | |
| | | | | | | 15,569,512 | |
| | | | | | | | |
| Luxembourg - 0.1% | | | | | | | | |
| ArcelorMittal | | | 6,460 | | | | 88,387 | |
| | | | | | | | |
| | |
| Netherlands - 4.9% | | | | | | | | |
| Aegon NV | | | 30,304 | | | | 249,529 | |
| Akzo Nobel NV | | | 2,304 | | | | 157,643 | |
| ASML Holding NV | | | 1,939 | | | | 192,055 | |
| Heineken NV | | | 422 | | | | 31,517 | |
| Koninklijke Ahold NV | | | 607 | | | | 9,819 | |
| Koninklijke Philips NV | | | 1,024 | | | | 32,563 | |
| Randstad Holding NV | | | 2,938 | | | | 136,497 | |
| Royal Dutch Shell PLC, A Shares | | | 84,114 | | | | 3,210,857 | |
| | | | | | | | |
| | | | | | | 4,020,480 | |
| | | | | | | | |
| Norway - 1.0% | |
| DNB ASA | | | 9,220 | | | | 172,544 | |
| Gjensidige Forsikring ASA | | | 4,061 | | | | 85,865 | |
| Golar LNG Ltd. | | | 70 | | | | 4,771 | |
| Seadrill Ltd. | | | 77 | | | | 2,057 | |
| Statoil ASA | | | 18,579 | | | | 505,828 | |
| Telenor ASA | | | 565 | | | | 12,401 | |
| | | | | | | | |
| | | | | | | 783,466 | |
| | | | | | | | |
| Portugal - 0.4% | | | | | | | | |
| EDP - Energias de Portugal SA | | | 70,456 | | | | 307,234 | |
| Galp Energia SGPS SA | | | 140 | | | | 2,276 | |
| Jeronimo Martins SGPS SA | | | 313 | | | | 3,444 | |
| | | | | | | | |
| | | | | | | 312,954 | |
| | | | | | | | |
| Singapore - 0.4% | | | | | | | | |
| Blumont Group Ltd. † | | | 23,000 | | | | 557 | |
| CapitaLand Ltd. | | | 9,000 | | | | 22,547 | |
| DBS Group Holdings Ltd. | | | 2,000 | | | | 28,845 | |
| Jardine Matheson Holdings Ltd. | | | 400 | | | | 23,836 | |
| Jardine Strategic Holdings Ltd. | | | 500 | | | | 17,403 | |
| Keppel Corp. Ltd. | | | 3,000 | | | | 24,676 | |
| Mapletree Commercial Trust REIT | | | 20,000 | | | | 22,096 | |
| Singapore Telecommunications Ltd. | | | 10,000 | | | | 29,767 | |
| Super Group Ltd. | | | 102,000 | | | | 102,051 | |
| Thai Beverage PCL | | | 59,000 | | | | 35,313 | |
| | | | | | | | |
| | | | | | | 307,091 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 111 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Spain - 6.1% | |
| Abertis Infraestructuras SA | | | 21,456 | | | $ | 423,102 | |
| ACS Actividades de Construccion y Servicios SA | | | 3,808 | | | | 145,959 | |
| Amadeus IT Holding SA, A Shares | | | 8,872 | | | | 331,203 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 9,179 | | | | 110,474 | |
| Banco de Sabadell SA | | | 78,580 | | | | 232,022 | |
| Banco Popular Espanol SA | | | 43,586 | | | | 265,844 | |
| Banco Santander SA | | | 65,050 | | | | 622,765 | |
| Bankia SA † | | | 98,420 | | | | 183,099 | |
| CaixaBank SA | | | 28,041 | | | | 170,504 | |
| EDP Renovaveis SA | | | 6,197 | | | | 42,970 | |
| Ferrovial SA | | | 30,158 | | | | 583,453 | |
| Gas Natural SDG SA | | | 19,415 | | | | 571,125 | |
| Grifols SA | | | 3,245 | | | | 132,610 | |
| Iberdrola SA | | | 73,659 | | | | 526,507 | |
| Inditex SA | | | 1 | | | | 27 | |
| Mapfre SA | | | 38,752 | | | | 136,963 | |
| Repsol SA | | | 7,251 | | | | 172,023 | |
| Telefonica SA | | | 19,834 | | | | 306,320 | |
| | | | | | | | |
| | | | | | | 4,956,970 | |
| | | | | | | | |
| Sweden - 2.9% | | | | | | | | |
| Assa Abloy AB, Class B | | | 7,440 | | | | 382,324 | |
| Getinge AB, B Shares | | | 138 | | | | 3,465 | |
| Hennes & Mauritz AB, B Shares | | | 8,804 | | | | 364,045 | |
| Investment AB Kinnevik, B Shares | | | 4,637 | | | | 167,213 | |
| Investor AB, B Shares | | | 9,390 | | | | 330,619 | |
| Nordea Bank AB | | | 19,193 | | | | 248,807 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 33,598 | | | | 447,009 | |
| Skanska AB, B Shares | | | 16,212 | | | | 334,344 | |
| Swedish Match AB | | | 114 | | | | 3,688 | |
| Tele2 AB, B Shares | | | 227 | | | | 2,732 | |
Trelleborg AB, B Shares | | | 6,703 | | | | 115,848 | |
| | | | | | | | |
| | | | | | | 2,400,094 | |
| | | | | | | | |
| Switzerland - 5.3% | |
| Actelion Ltd. † | | | 3,829 | | | | 448,476 | |
| Adecco SA † | | | 4,264 | | | | 288,250 | |
| Cie Financiere Richemont SA | | | 2,351 | | | | 192,174 | |
| Credit Suisse Group AG † | | | 1,941 | | | | 53,699 | |
| EMS-Chemie Holding AG | | | 718 | | | | 297,106 | |
| Givaudan SA † | | | 377 | | | | 600,938 | |
| Novartis AG | | | 15,784 | | | | 1,486,354 | |
| Partners Group Holding AG | | | 1,371 | | | | 360,345 | |
| Schindler Holding AG | | | 32 | | | | 4,335 | |
| SGS SA | | | 12 | | | | 24,827 | |
| Swatch Group AG/The | | | 170 | | | | 80,562 | |
| Swiss Re AG † | | | 841 | | | | 66,929 | |
| Swisscom AG | | | 686 | | | | 388,847 | |
| Syngenta AG | | | 94 | | | | 29,765 | |
| Wolseley PLC | | | 75 | | | | 3,928 | |
| | | | | | | | |
| | | | | | | 4,326,535 | |
| | | | | | | | |
| United Kingdom - 6.0% | | | | | | | | |
| Aggreko PLC | | | 126 | | | | 3,154 | |
| ARM Holdings PLC | | | 1,727 | | | | 25,161 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| United Kingdom - 6.0% (continued) | | | | | | | | |
| ASOS PLC † | | | 898 | | | $ | 32,636 | |
| Associated British Foods PLC | | | 11,411 | | | | 494,655 | |
| AstraZeneca PLC | | | 16,797 | | | | 1,203,721 | |
| Barclays PLC | | | 13,606 | | | | 50,045 | |
| Barratt Developments PLC | | | 28,853 | | | | 184,507 | |
| BG Group PLC | | | 687 | | | | 12,683 | |
| Booker Group PLC | | | 21,103 | | | | 41,675 | |
| BP PLC | | | 740 | | | | 5,413 | |
| British American Tobacco PLC | | | 941 | | | | 53,026 | |
| British Sky Broadcasting Group PLC | | | 451 | | | | 6,433 | |
| BT Group PLC | | | 78,218 | | | | 479,790 | |
| Burberry Group PLC | | | 203 | | | | 4,952 | |
| Capita PLC | | | 4,384 | | | | 82,531 | |
| CNH Industrial NV | | | 878 | | | | 6,955 | |
| Compass Group PLC | | | 1,333 | | | | 21,500 | |
| Croda International PLC | | | 111 | | | | 3,681 | |
| Diageo PLC | | | 1,887 | | | | 54,425 | |
| Experian PLC | | | 1,092 | | | | 17,352 | |
| Fresnillo PLC | | | 272 | | | | 3,336 | |
| G4S PLC | | | 681 | | | | 2,761 | |
| GlaxoSmithKline PLC | | | 126 | | | | 2,878 | |
| Gulf Keystone Petroleum Ltd. † | | | 2,240 | | | | 2,262 | |
| HSBC Holdings PLC | | | 10,509 | | | | 106,785 | |
| Intertek Group PLC | | | 94 | | | | 3,984 | |
| Kingfisher PLC | | | 13,199 | | | | 69,029 | |
| Legal & General Group PLC | | | 45,149 | | | | 167,066 | |
| Meggitt PLC | | | 501 | | | | 3,654 | |
| Next PLC | | | 1,489 | | | | 159,375 | |
| Pearson PLC | | | 343 | | | | 6,889 | |
| Prudential PLC | | | 16,795 | | | | 373,376 | |
| Randgold Resources Ltd. | | | 40 | | | | 2,712 | |
| Reckitt Benckiser Group PLC | | | 500 | | | | 43,229 | |
| Reed Elsevier NV | | | 22,655 | | | | 513,959 | |
| Rexam PLC | | | 421 | | | | 3,347 | |
| Royal Bank of Scotland Group PLC † | | | 6,019 | | | | 35,859 | |
| SABMiller PLC | | | 977 | | | | 54,143 | |
| Severn Trent PLC | | | 173 | | | | 5,256 | |
| Sports Direct International PLC † | | | 6,364 | | | | 63,589 | |
| SSE PLC | | | 372 | | | | 9,315 | |
| Standard Life PLC | | | 4,679 | | | | 31,308 | |
| Tate & Lyle PLC | | | 322 | | | | 3,069 | |
| Tesco PLC | | | 1,089 | | | | 3,253 | |
| Tullow Oil PLC | | | 321 | | | | 3,347 | |
| Whitbread PLC | | | 1,309 | | | | 87,959 | |
| WM Morrison Supermarkets PLC | | | 1,127 | | | | 3,066 | |
| WPP PLC | | | 16,425 | | | | 329,051 | |
| | | | | | | | |
| | | | | | | 4,878,152 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $81,063,307) | | | | | | | 80,667,754 | |
| | | | | | | | |
| | |
| EXCHANGE-TRADED FUNDS - 0.6% | | | | | | | | |
iShares MSCI EAFE ETF (1)
(cost $493,575) | | | 7,704 | | | | 493,981 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 112 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| RIGHTS - 0.0% (a) | | | | | | | | |
| Italy - 0.0% (a) | | | | | | | | |
| Fiat SpA (3)†(b) | | | 20,290 | | | $ | — | |
| | | | | | | | |
| | |
| Spain - 0.0% (a) | | | | | | | | |
| Banco Bilbao Vizcaya Argentaria SA † | | | 40,083 | | | | 3,999 | |
| Banco Popular Espanol SA † | | | 43,586 | | | | 606 | |
| | | | | | | | |
| | | | | | | 4,605 | |
| | | | | | | | |
TOTAL RIGHTS
(cost $—) | | | | | | | 4,605 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 0.4% | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | | | | | | | | |
(cost $313,318) | | | 313,318 | | | | 313,318 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.6%
(cost $81,870,200) | | | | | | | 81,479,658 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% | | | | | | | 352,681 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 81,832,339 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | Represents less than 0.05 percent of net assets. |
| (b) | Security fair valued as of September 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (c) | Represents annualized seven-day yield as of September 30, 2014. |
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 | | $ | 8,672,366 | | | | 10.6 | % |
| Consumer Staples | | | 2,920,935 | | | | 3.6 | |
| Energy | | | 11,460,878 | | | | 14.0 | |
Exchange-Traded Funds | | | 493,981 | | | | 0.6 | |
| Financials | | | 20,469,108 | | | | 24.9 | |
| Health Care | | | 9,053,708 | | | | 11.1 | |
| Industrials | | | 10,707,522 | | | | 13.1 | |
| Information Technology | | | 5,463,991 | | | | 6.7 | |
| Materials | | | 3,245,334 | | | | 4.0 | |
| Telecommunication Services | | | 5,062,412 | | | | 6.2 | |
| Utilities | | | 3,616,105 | | | | 4.4 | |
| Money Market Funds | | | 313,318 | | | | 0.4 | |
| | | | | | | | |
Total Investments | | | 81,479,658 | | | | 99.6 | |
| Other Assets in Excess of Liabilities | | | 352,681 | | | | 0.4 | |
| | | | | | | | |
Net Assets | | $ | 81,832,339 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 113 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| COMMON STOCKS - 98.4% | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 7.5% | | | | | | | | |
| Advance Auto Parts, Inc. | | | 4,343 | | | $ | 565,893 | |
| AMC Networks, Inc., Class A † | | | 262 | | | | 15,306 | |
| Apollo Education Group, Inc. † | | | 11,810 | | | | 297,021 | |
| Autoliv, Inc. (Sweden) | | | 538 | | | | 49,453 | |
| AutoZone, Inc. † | | | 2,047 | | | | 1,043,274 | |
| Best Buy Co., Inc. | | | 5,400 | | | | 181,386 | |
| Bloomin’ Brands, Inc. † | | | 7,426 | | | | 136,193 | |
| BorgWarner, Inc. | | | 2,000 | | | | 105,220 | |
| Brinker International, Inc. | | | 6,100 | | | | 309,819 | |
| Brunswick Corp. | | | 4,601 | | | | 193,886 | |
| Buckle, Inc./The | | | 827 | | | | 37,538 | |
| Caesars Entertainment Corp. † | | | 15,528 | | | | 195,342 | |
| Choice Hotels International, Inc. | | | 183 | | | | 9,516 | |
| Cinemark Holdings, Inc. | | | 404 | | | | 13,752 | |
| Columbia Sportswear Co. | | | 6,200 | | | | 221,836 | |
| Cracker Barrel Old Country Store, Inc. | | | 375 | | | | 38,696 | |
| Deckers Outdoor Corp. † | | | 4,426 | | | | 430,119 | |
| DeVry Education Group, Inc. | | | 2,100 | | | | 89,901 | |
| Dillard’s, Inc., Class A | | | 3,181 | | | | 346,665 | |
| DISH Network Corp., Class A † | | | 1,388 | | | | 89,637 | |
| Dollar Tree, Inc. † | | | 2,085 | | | | 116,906 | |
| Domino’s Pizza, Inc. | | | 549 | | | | 42,251 | |
| Expedia, Inc. | | | 5,500 | | | | 481,910 | |
| Federal-Mogul Holdings Corp. † | | | 7,200 | | | | 107,064 | |
| Foot Locker, Inc. | | | 12,985 | | | | 722,615 | |
| Fossil Group, Inc. † | | | 1,474 | | | | 138,409 | |
| GameStop Corp., Class A | | | 5,490 | | | | 226,188 | |
| Gannett Co., Inc. | | | 8,568 | | | | 254,213 | |
| Gap, Inc./The | | | 5,200 | | | | 216,788 | |
| Gentex Corp. | | | 9,220 | | | | 246,819 | |
| Genuine Parts Co. | | | 692 | | | | 60,695 | |
| Goodyear Tire & Rubber Co./The | | | 14,995 | | | | 338,662 | |
| Graham Holdings Co., Class B | | | 471 | | | | 329,507 | |
| Guess?, Inc. | | | 1,083 | | | | 23,793 | |
| H&R Block, Inc. | | | 7,700 | | | | 238,777 | |
| Hanesbrands, Inc. | | | 5,579 | | | | 599,408 | |
| Harman International Industries, Inc. | | | 2,700 | | | | 264,708 | |
| Hasbro, Inc. | | | 1,217 | | | | 66,929 | |
| HSN, Inc. | | | 156 | | | | 9,574 | |
| Jarden Corp. † | | | 1,506 | | | | 90,526 | |
| John Wiley & Sons, Inc. | | | 5,500 | | | | 308,605 | |
| Johnson Controls, Inc. | | | 6,122 | | | | 269,368 | |
| Kohl’s Corp. | | | 5,184 | | | | 316,379 | |
| L Brands, Inc. | | | 3,807 | | | | 254,993 | |
| Las Vegas Sands Corp. | | | 12,900 | | | | 802,509 | |
| Lear Corp. | | | 5,654 | | | | 488,562 | |
| Leggett & Platt, Inc. | | | 536 | | | | 18,717 | |
| Live Nation Entertainment, Inc. † | | | 6,882 | | | | 165,306 | |
| Lowe’s Cos., Inc. | | | 3,680 | | | | 194,746 | |
| Macy’s, Inc. | | | 19,766 | | | | 1,149,986 | |
| Mohawk Industries, Inc. † | | | 298 | | | | 40,176 | |
| Penske Automotive Group, Inc. | | | 6,084 | | | | 246,950 | |
| PetSmart, Inc. | | | 73 | | | | 5,117 | |
| Pier 1 Imports, Inc. | | | 1,290 | | | | 15,338 | |
| Polaris Industries, Inc. | | | 409 | | | | 61,264 | |
| PulteGroup, Inc. | | | 17,600 | | | | 310,816 | |
| Royal Caribbean Cruises Ltd. | | | 9,300 | | | | 625,797 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Consumer Discretionary - 7.5% (continued) | |
| Signet Jewelers Ltd. | | | 4,700 | | | $ | 535,377 | |
| Sinclair Broadcast Group, Inc., Class A | | | 1,283 | | | | 33,473 | |
| Tenneco, Inc. † | | | 2,577 | | | | 134,803 | |
| Thor Industries, Inc. | | | 2,734 | | | | 140,801 | |
| TJX Cos., Inc./The | | | 1,225 | | | | 72,483 | |
| Tupperware Brands Corp. | | | 495 | | | | 34,175 | |
| VF Corp. | | | 2,462 | | | | 162,566 | |
| Viacom, Inc., Class B | | | 985 | | | | 75,786 | |
| Whirlpool Corp. | | | 1,455 | | | | 211,921 | |
| Williams-Sonoma, Inc. | | | 3,847 | | | | 256,095 | |
| Wynn Resorts Ltd. | | | 2,700 | | | | 505,116 | |
| | | | | | | | |
| | | | | | | 16,383,420 | |
| | | | | | | | |
| Consumer Staples - 5.1% | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 25,644 | | | | 1,310,408 | |
| Coca-Cola Enterprises, Inc. | | | 813 | | | | 36,065 | |
| ConAgra Foods, Inc. | | | 438 | | | | 14,472 | |
| Constellation Brands, Inc., Class A † | | | 7,879 | | | | 686,734 | |
| CVS Health Corp. | | | 29,963 | | | | 2,384,755 | |
| Dean Foods Co. | | | 1,045 | | | | 13,846 | |
| Dr Pepper Snapple Group, Inc. | | | 9,700 | | | | 623,807 | |
| Energizer Holdings, Inc. | | | 1,908 | | | | 235,085 | |
| Flowers Foods, Inc. | | | 2,172 | | | | 39,878 | |
| Ingredion, Inc. | | | 2,900 | | | | 219,791 | |
| Keurig Green Mountain, Inc. | | | 1,387 | | | | 180,490 | |
| Kroger Co./The | | | 22,148 | | | | 1,151,696 | |
| Molson Coors Brewing Co., Class B | | | 7,600 | | | | 565,744 | |
| Nu Skin Enterprises, Inc., Class A | | | 4,544 | | | | 204,616 | |
| Pilgrim’s Pride Corp. † | | | 18,052 | | | | 551,669 | |
| Rite Aid Corp. † | | | 108,333 | | | | 524,332 | |
| Tyson Foods, Inc., Class A | | | 19,329 | | | | 760,983 | |
| Walgreen Co. | | | 26,448 | | | | 1,567,573 | |
| WhiteWave Foods Co./The † | | | 53 | | | | 1,925 | |
| | | | | | | | |
| | | | | | | 11,073,869 | |
| | | | | | | | |
| Energy - 10.8% | | | | | | | | |
| Baker Hughes, Inc. | | | 19,800 | | | | 1,288,188 | |
| Bristow Group, Inc. | | | 949 | | | | 63,773 | |
| Chesapeake Energy Corp. | | | 15,000 | | | | 344,850 | |
| Cimarex Energy Co. | | | 3,662 | | | | 463,353 | |
| ConocoPhillips | | | 36,100 | | | | 2,762,372 | |
| Continental Resources, Inc. † | | | 924 | | | | 61,427 | |
| Delek US Holdings, Inc. | | | 545 | | | | 18,050 | |
| Devon Energy Corp. | | | 15,600 | | | | 1,063,608 | |
| Energen Corp. | | | 798 | | | | 57,648 | |
| EOG Resources, Inc. | | | 18,528 | | | | 1,834,643 | |
| Halliburton Co. | | | 30,253 | | | | 1,951,621 | |
| Helmerich & Payne, Inc. | | | 6,395 | | | | 625,879 | |
| Hess Corp. | | | 13,090 | | | | 1,234,649 | |
| Marathon Oil Corp. | | | 5,600 | | | | 210,504 | |
| Marathon Petroleum Corp. | | | 8,100 | | | | 685,827 | |
| Nabors Industries Ltd. | | | 22,500 | | | | 512,100 | |
| National Oilwell Varco, Inc. | | | 17,000 | | | | 1,293,700 | |
| Newfield Exploration Co. † | | | 6,900 | | | | 255,783 | |
| Oasis Petroleum, Inc. † | | | 6,161 | | | | 257,591 | |
| Occidental Petroleum Corp. | | | 17,100 | | | | 1,644,165 | |
| Oil States International, Inc. † | | | 3,743 | | | | 231,692 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 114 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Energy - 10.8% (continued) | |
| Patterson-UTI Energy, Inc. | | | 9,582 | | | $ | 311,702 | |
| PBF Energy, Inc., Class A | | | 7,900 | | | | 189,600 | |
| Phillips 66 | | | 19,966 | | | | 1,623,435 | |
| RPC, Inc. | | | 9,986 | | | | 219,293 | |
| Schlumberger Ltd. | | | 12,700 | | | | 1,291,463 | |
| Superior Energy Services, Inc. | | | 11,412 | | | | 375,112 | |
| Tesoro Corp. | | | 2,300 | | | | 140,254 | |
| Ultra Petroleum Corp. † | | | 12,800 | | | | 297,728 | |
| Unit Corp. † | | | 4,600 | | | | 269,790 | |
| Valero Energy Corp. | | | 26,652 | | | | 1,233,188 | |
| Western Refining, Inc. | | | 6,122 | | | | 257,063 | |
| Whiting Petroleum Corp. † | | | 6,695 | | | | 519,197 | |
| | | | | | | | |
| | | | | | | 23,589,248 | |
| | | | | | | | |
| Financials - 19.1% | | | | | | | | |
| Aflac, Inc. | | | 6,184 | | | | 360,218 | |
| Alleghany Corp. † | | | 26 | | | | 10,872 | |
| Allstate Corp./The | | | 20,635 | | | | 1,266,370 | |
| American Capital Ltd. † | | | 1,510 | | | | 21,382 | |
| American Express Co. | | | 800 | | | | 70,032 | |
| American Financial Group, Inc. | | | 5,897 | | | | 341,377 | |
| American International Group, Inc. | | | 45,178 | | | | 2,440,515 | |
| Ameriprise Financial, Inc. | | | 9,776 | | | | 1,206,163 | |
| AmTrust Financial Services, Inc. | | | 7,979 | | | | 317,724 | |
| Arch Capital Group Ltd. † | | | 955 | | | | 52,258 | |
| Ares Capital Corp. | | | 1,032 | | | | 16,677 | |
| Aspen Insurance Holdings Ltd. | | | 5,300 | | | | 226,681 | |
| Associated Banc-Corp | | | 8,500 | | | | 148,070 | |
| Assurant, Inc. | | | 5,432 | | | | 349,278 | |
| Assured Guaranty Ltd. | | | 12,441 | | | | 275,692 | |
| Axis Capital Holdings Ltd. | | | 5,978 | | | | 282,939 | |
| Bank of America Corp. | | | 63,925 | | | | 1,089,921 | |
| Bank of New York Mellon Corp./The | | | 15,829 | | | | 613,057 | |
| BankUnited, Inc. | | | 4,500 | | | | 137,205 | |
| Berkshire Hathaway, Inc., Class B † | | | 9,400 | | | | 1,298,516 | |
| Capital One Financial Corp. | | | 19,658 | | | | 1,604,486 | |
| Cincinnati Financial Corp. | | | 372 | | | | 17,503 | |
| CNA Financial Corp. | | | 9,337 | | | | 355,086 | |
| CNO Financial Group, Inc. | | | 19,541 | | | | 331,415 | |
| Comerica, Inc. | | | 4,345 | | | | 216,642 | |
| Discover Financial Services | | | 19,482 | | | | 1,254,446 | |
| E*TRADE Financial Corp. † | | | 13,806 | | | | 311,877 | |
| East West Bancorp, Inc. | | | 8,096 | | | | 275,264 | |
| Everest Re Group Ltd. | | | 3,988 | | | | 646,096 | |
| Federated Investors, Inc., Class B | | | 174 | | | | 5,109 | |
| Fifth Third Bancorp | | | 9,310 | | | | 186,386 | |
| First American Financial Corp. | | | 4,600 | | | | 124,752 | |
| First Niagara Financial Group, Inc. | | | 4,660 | | | | 38,818 | |
| First Republic Bank/CA | | | 3,900 | | | | 192,582 | |
| FirstMerit Corp. | | | 5,700 | | | | 100,320 | |
| FNF Group | | | 14,208 | | | | 394,130 | |
| Fulton Financial Corp. | | | 2,815 | | | | 31,190 | |
| Genworth Financial, Inc., Class A † | | | 27,249 | | | | 356,962 | |
| Goldman Sachs Group, Inc./The | | | 7,787 | | | | 1,429,460 | |
| Hancock Holding Co. | | | 3,700 | | | | 118,585 | |
| Hartford Financial Services Group, Inc./The | | | 19,382 | | | | 721,979 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Financials - 19.1% (continued) | |
| HCC Insurance Holdings, Inc. | | | 5,537 | | | $ | 267,382 | |
| Huntington Bancshares, Inc. | | | 41,413 | | | | 402,948 | |
| Jones Lang LaSalle, Inc. | | | 1,800 | | | | 227,412 | |
| JPMorgan Chase & Co. | | | 40,069 | | | | 2,413,757 | |
| KeyCorp | | | 29,493 | | | | 393,142 | |
| Legg Mason, Inc. | | | 5,068 | | | | 259,279 | |
| Lincoln National Corp. | | | 13,722 | | | | 735,225 | |
| M&T Bank Corp. | | | 616 | | | | 75,947 | |
| MBIA, Inc. † | | | 2,070 | | | | 19,003 | |
| McGraw Hill Financial, Inc. | | | 1,000 | | | | 84,450 | |
| Medical Properties Trust, Inc. REIT | | | 789 | | | | 9,673 | |
| MetLife, Inc. | | | 34,602 | | | | 1,858,819 | |
| Morgan Stanley | | | 57,765 | | | | 1,996,936 | |
| NASDAQ OMX Group, Inc./The | | | 7,512 | | | | 318,659 | |
| Nationstar Mortgage Holdings, Inc. † | | | 1,574 | | | | 53,894 | |
| Navient Corp. | | | 15,350 | | | | 271,848 | |
| Ocwen Financial Corp. † | | | 449 | | | | 11,755 | |
| Old Republic International Corp. | | | 18,046 | | | | 257,697 | |
| PartnerRe Ltd. | | | 3,300 | | | | 362,637 | |
| PNC Financial Services Group, Inc./The | | | 16,011 | | | | 1,370,221 | |
| Principal Financial Group, Inc. | | | 8,094 | | | | 424,692 | |
| Progressive Corp./The | | | 2,200 | | | | 55,616 | |
| Prosperity Bancshares, Inc. | | | 1,400 | | | | 80,038 | |
| Prudential Financial, Inc. | | | 9,295 | | | | 817,402 | |
| Radian Group, Inc. | | | 8,400 | | | | 119,784 | |
| Regions Financial Corp. | | | 8,363 | | | | 83,964 | |
| Reinsurance Group of America, Inc. | | | 4,644 | | | | 372,124 | |
| RenaissanceRe Holdings Ltd. | | | 4,300 | | | | 429,957 | |
| SLM Corp. | | | 8,050 | | | | 68,908 | |
| StanCorp Financial Group, Inc. | | | 2,100 | | | | 132,678 | |
| State Street Corp. | | | 923 | | | | 67,942 | |
| Stifel Financial Corp. † | | | 5,200 | | | | 243,828 | |
| SunTrust Banks, Inc. | | | 14,759 | | | | 561,285 | |
| Susquehanna Bancshares, Inc. | | | 3,020 | | | | 30,200 | |
| Torchmark Corp. | | | 6,198 | | | | 324,589 | |
| Travelers Cos., Inc./The | | | 15,355 | | | | 1,442,449 | |
| Unum Group | | | 11,646 | | | | 400,389 | |
| Webster Financial Corp. | | | 9,100 | | | | 265,174 | |
| Wells Fargo & Co. | | | 98,263 | | | | 5,096,902 | |
| Zions Bancorp. | | | 1,434 | | | | 41,672 | |
| | | | | | | | |
| | | | | | | 41,688,312 | |
| | | | | | | | |
| Health Care - 9.3% | | | | | | | | |
| AbbVie, Inc. | | | 36,503 | | | | 2,108,413 | |
| Aetna, Inc. | | | 13,659 | | | | 1,106,379 | |
| Agilent Technologies, Inc. | | | 1,500 | | | | 85,470 | |
| Alere, Inc. † | | | 7,036 | | | | 272,856 | |
| Align Technology, Inc. † | | | 1,700 | | | | 87,856 | |
| AmerisourceBergen Corp. | | | 238 | | | | 18,397 | |
| Becton Dickinson and Co. | | | 1,900 | | | | 216,239 | |
| Biogen Idec, Inc. † | | | 3,500 | | | | 1,157,835 | |
| Boston Scientific Corp. † | | | 6,640 | | | | 78,418 | |
| Cardinal Health, Inc. | | | 10,835 | | | | 811,758 | |
| CareFusion Corp. † | | | 1,054 | | | | 47,694 | |
| Centene Corp. † | | | 4,709 | | | | 389,481 | |
| Cigna Corp. | | | 2,276 | | | | 206,410 | |
| Cooper Cos., Inc./The | | | 128 | | | | 19,936 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 115 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Health Care - 9.3% (continued) | |
| CR Bard, Inc. | | | 2,600 | | | $ | 371,046 | |
| Eli Lilly & Co. | | | 7,100 | | | | 460,435 | |
| Endo International PLC (Ireland) † | | | 482 | | | | 32,940 | |
| Gilead Sciences, Inc. † | | | 36,138 | | | | 3,846,890 | |
| HCA Holdings, Inc. † | | | 19,488 | | | | 1,374,294 | |
| Health Net, Inc. † | | | 6,600 | | | | 304,326 | |
| Humana, Inc. | | | 7,829 | | | | 1,020,040 | |
| McKesson Corp. | | | 1,249 | | | | 243,143 | |
| Medtronic, Inc. | | | 2,255 | | | | 139,697 | |
| Merck & Co., Inc. | | | 14,300 | | | | 847,704 | |
| Mylan, Inc. † | | | 2,740 | | | | 124,643 | |
| Omnicare, Inc. | | | 1,193 | | | | 74,276 | |
| ResMed, Inc. | | | 188 | | | | 9,263 | |
| Salix Pharmaceuticals Ltd. † | | | 1,200 | | | | 187,488 | |
| St Jude Medical, Inc. | | | 3,283 | | | | 197,407 | |
| Stryker Corp. | | | 348 | | | | 28,101 | |
| Thermo Fisher Scientific, Inc. | | | 134 | | | | 16,308 | |
| United Therapeutics Corp. † | | | 3,744 | | | | 481,666 | |
| UnitedHealth Group, Inc. | | | 13,315 | | | | 1,148,419 | |
| Universal Health Services, Inc., Class B | | | 4,462 | | | | 466,279 | |
| VCA, Inc. † | | | 3,600 | | | | 141,588 | |
| WellCare Health Plans, Inc. † | | | 2,488 | | | | 150,126 | |
| WellPoint, Inc. | | | 11,650 | | | | 1,393,573 | |
| West Pharmaceutical Services, Inc. | | | 312 | | | | 13,965 | |
| Zimmer Holdings, Inc. | | | 6,478 | | | | 651,363 | |
| | | | | | | | |
| | | | | | | 20,332,122 | |
| | | | | | | | |
| Industrials - 13.7% | | | | | | | | |
| A. O. Smith Corp. | | | 1,800 | | | | 85,104 | |
| Acuity Brands, Inc. | | | 900 | | | | 105,939 | |
| AECOM Technology Corp. † | | | 1,744 | | | | 58,860 | |
| AGCO Corp. | | | 1,852 | | | | 84,192 | |
| Air Lease Corp. | | | 3,300 | | | | 107,250 | |
| Alaska Air Group, Inc. | | | 6,724 | | | | 292,763 | |
| Alliant Techsystems, Inc. | | | 2,578 | | | | 329,056 | |
| AMERCO | | | 1,197 | | | | 313,482 | |
| Avis Budget Group, Inc. † | | | 6,841 | | | | 375,502 | |
| Caterpillar, Inc. | | | 23,800 | | | | 2,356,914 | |
| Cintas Corp. | | | 5,162 | | | | 364,386 | |
| Civeo Corp. | | | 2,286 | | | | 26,540 | |
| Copa Holdings SA, Class A (Panama) | | | 493 | | | | 52,894 | |
| Crane Co. | | | 652 | | | | 41,213 | |
| Cummins, Inc. | | | 8,506 | | | | 1,122,622 | |
| Curtiss-Wright Corp. | | | 4,200 | | | | 276,864 | |
| Delta Air Lines, Inc. | | | 42,017 | | | | 1,518,915 | |
| Deluxe Corp. | | | 6,316 | | | | 348,391 | |
| Dover Corp. | | | 4,670 | | | | 375,141 | |
| Dun & Bradstreet Corp./The | | | 700 | | | | 82,229 | |
| EMCOR Group, Inc. | | | 734 | | | | 29,331 | |
| EnerSys | | | 4,379 | | | | 256,785 | |
| Esterline Technologies Corp. † | | | 2,441 | | | | 271,610 | |
| Exelis, Inc. | | | 17,312 | | | | 286,340 | |
| FedEx Corp. | | | 11,398 | | | | 1,840,207 | |
| Fluor Corp. | | | 4,600 | | | | 307,234 | |
| GATX Corp. | | | 2,200 | | | | 128,414 | |
| Generac Holdings, Inc. † | | | 5,638 | | | | 228,564 | |
| General Dynamics Corp. | | | 12,193 | | | | 1,549,608 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Industrials - 13.7% (continued) | |
| Huntington Ingalls Industries, Inc. | | | 3,388 | | | $ | 353,063 | |
| IDEX Corp. | | | 2,700 | | | | 195,399 | |
| Illinois Tool Works, Inc. | | | 1,000 | | | | 84,420 | |
| ITT Corp. | | | 6,496 | | | | 291,930 | |
| JetBlue Airways Corp. † | | | 27,700 | | | | 294,174 | |
| Joy Global, Inc. | | | 5,900 | | | | 321,786 | |
| L-3 Communications Holdings, Inc. | | | 3,230 | | | | 384,112 | |
| Lennox International, Inc. | | | 183 | | | | 14,067 | |
| Lincoln Electric Holdings, Inc. | | | 2,501 | | | | 172,907 | |
| Lockheed Martin Corp. | | | 12,506 | | | | 2,285,847 | |
| Manpowergroup, Inc. | | | 4,143 | | | | 290,424 | |
| MasTec, Inc. † | | | 1,256 | | | | 38,459 | |
| Moog, Inc., Class A † | | | 4,500 | | | | 307,800 | |
| MRC Global, Inc. † | | | 705 | | | | 16,441 | |
| Norfolk Southern Corp. | | | 12,100 | | | | 1,350,360 | |
| Northrop Grumman Corp. | | | 11,081 | | | | 1,460,033 | |
| NOW, Inc. † | | | 275 | | | | 8,363 | |
| Oshkosh Corp. | | | 5,997 | | | | 264,768 | |
| Parker-Hannifin Corp. | | | 4,703 | | | | 536,847 | |
| Pitney Bowes, Inc. | | | 14,139 | | | | 353,334 | |
| Raytheon Co. | | | 14,789 | | | | 1,502,858 | |
| Regal-Beloit Corp. | | | 121 | | | | 7,774 | |
| Rockwell Automation, Inc. | | | 2,980 | | | | 327,442 | |
| RR Donnelley & Sons Co. | | | 21,170 | | | | 348,458 | |
| Ryder System, Inc. | | | 3,489 | | | | 313,905 | |
| Snap-on, Inc. | | | 2,522 | | | | 305,364 | |
| Southwest Airlines Co. | | | 37,710 | | | | 1,273,467 | |
| Spirit AeroSystems Holdings, Inc., Class A † | | | 7,737 | | | | 294,470 | |
| Spirit Airlines, Inc. † | | | 3,096 | | | | 214,057 | |
| SPX Corp. | | | 1,200 | | | | 112,716 | |
| Swift Transportation Co. † | | | 3,834 | | | | 80,437 | |
| Terex Corp. | | | 4,700 | | | | 149,319 | |
| Textainer Group Holdings Ltd. | | | 298 | | | | 9,274 | |
| Textron, Inc. | | | 15,000 | | | | 539,850 | |
| Timken Co./The | | | 889 | | | | 37,685 | |
| Toro Co./The | | | 3,700 | | | | 219,151 | |
| Towers Watson & Co., Class A | | | 500 | | | | 49,750 | |
| Trinity Industries, Inc. | | | 13,426 | | | | 627,263 | |
| Triumph Group, Inc. | | | 183 | | | | 11,904 | |
| United Continental Holdings, Inc. † | | | 4,600 | | | | 215,234 | |
| United Rentals, Inc. † | | | 7,008 | | | | 778,589 | |
| Valmont Industries, Inc. | | | 109 | | | | 14,707 | |
| Vectrus, Inc. † | | | 962 | | | | 18,784 | |
| WABCO Holdings, Inc. † | | | 3,180 | | | | 289,221 | |
| WW Grainger, Inc. | | | 300 | | | | 75,495 | |
| | | | | | | | |
| | | | | | | 30,058,058 | |
| | | | | | | | |
| Information Technology - 27.0% | | | | | | | | |
| Activision Blizzard, Inc. | | | 38,843 | | | | 807,546 | |
| Amdocs Ltd. | | | 7,072 | | | | 324,463 | |
| Anixter International, Inc. | | | 3,100 | | | | 263,004 | |
| Apple, Inc. | | | 126,200 | | | | 12,714,650 | |
| Applied Materials, Inc. | | | 33,000 | | | | 713,130 | |
| ARRIS Group, Inc. † | | | 11,400 | | | | 323,247 | |
| Arrow Electronics, Inc. † | | | 6,075 | | | | 336,251 | |
| Aruba Networks, Inc. † | | | 536 | | | | 11,567 | |
| Atmel Corp. † | | | 7,466 | | | | 60,325 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 116 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 27.0% (continued) | |
| Avnet, Inc. | | | 6,165 | | | $ | 255,848 | |
| Booz Allen Hamilton Holding Corp. | | | 15,000 | | | | 351,000 | |
| Broadcom Corp., Class A | | | 20,900 | | | | 844,778 | |
| Broadridge Financial Solutions, Inc. | | | 7,300 | | | | 303,899 | |
| Brocade Communications Systems, Inc. | | | 39,063 | | | | 424,615 | |
| CA, Inc. | | | 7,566 | | | | 211,394 | |
| Cadence Design Systems, Inc. † | | | 1,184 | | | | 20,377 | |
| Cognizant Technology Solutions Corp., Class A † | | | 19,900 | | | | 890,923 | |
| Computer Sciences Corp. | | | 5,632 | | | | 344,397 | |
| Corning, Inc. | | | 52,213 | | | | 1,009,799 | |
| Dolby Laboratories, Inc., Class A † | | | 3,000 | | | | 125,370 | |
| DST Systems, Inc. | | | 2,500 | | | | 209,800 | |
| EchoStar Corp., Class A † | | | 803 | | | | 39,154 | |
| Electronic Arts, Inc. † | | | 12,080 | | | | 430,169 | |
| EMC Corp. | | | 20,400 | | | | 596,904 | |
| F5 Networks, Inc. † | | | 1,200 | | | | 142,488 | |
| Facebook, Inc., Class A † | | | 22,500 | | | | 1,778,400 | |
| First Solar, Inc. † | | | 6,611 | | | | 435,070 | |
| Fiserv, Inc. † | | | 2,100 | | | | 135,734 | |
| FLIR Systems, Inc. | | | 2,138 | | | | 67,005 | |
| Freescale Semiconductor Ltd. † | | | 11,226 | | | | 219,244 | |
| Global Payments, Inc. | | | 2,500 | | | | 174,700 | |
| Harris Corp. | | | 5,073 | | | | 336,847 | |
| Hewlett-Packard Co. | | | 56,807 | | | | 2,014,944 | |
| IAC/InterActiveCorp | | | 2,954 | | | | 194,669 | |
| Ingram Micro, Inc., Class A † | | | 12,266 | | | | 316,586 | |
| Intel Corp. | | | 117,388 | | | | 4,087,450 | |
| Jabil Circuit, Inc. | | | 2,817 | | | | 56,819 | |
| Juniper Networks, Inc. | | | 27,200 | | | | 602,480 | |
| KLA-Tencor Corp. | | | 2,860 | | | | 225,311 | |
| Knowles Corp. † | | | 1,135 | | | | 30,078 | |
| Lam Research Corp. | | | 10,056 | | | | 751,183 | |
| Lexmark International, Inc., Class A | | | 7,700 | | | | 327,250 | |
| Manhattan Associates, Inc. † | | | 2,700 | | | | 90,234 | |
| Marvell Technology Group Ltd. | | | 41,856 | | | | 564,219 | |
| Mentor Graphics Corp. | | | 3,560 | | | | 72,962 | |
| Microchip Technology, Inc. | | | 3,500 | | | | 165,305 | |
| Micron Technology, Inc. † | | | 47,317 | | | | 1,621,080 | |
| Microsoft Corp. | | | 173,589 | | | | 8,047,586 | |
| Motorola Solutions, Inc. | | | 108 | | | | 6,834 | |
| NCR Corp. † | | | 1,808 | | | | 60,405 | |
| NetApp, Inc. | | | 10,177 | | | | 437,204 | |
| NVIDIA Corp. | | | 28,983 | | | | 534,736 | |
| Oracle Corp. | | | 101,964 | | | | 3,903,182 | |
| PTC, Inc. † | | | 6,900 | | | | 254,610 | |
| QUALCOMM, Inc. | | | 31,700 | | | | 2,370,209 | |
| RF Micro Devices, Inc. † | | | 35,300 | | | | 407,362 | |
| Rovi Corp. † | | | 2,459 | | | | 48,553 | |
| SanDisk Corp. | | | 11,972 | | | | 1,172,657 | |
| Skyworks Solutions, Inc. | | | 13,442 | | | | 780,308 | |
| Synopsys, Inc. † | | | 2,300 | | | | 91,299 | |
| Syntel, Inc. † | | | 2,600 | | | | 228,644 | |
| Teradyne, Inc. | | | 15,700 | | | | 304,423 | |
| Texas Instruments, Inc. | | | 25,500 | | | | 1,216,095 | |
| Total System Services, Inc. | | | 5,600 | | | | 173,376 | |
| Ubiquiti Networks, Inc. † | | | 6,509 | | | | 244,283 | |
| Western Digital Corp. | | | 12,991 | | | | 1,264,284 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Information Technology - 27.0% (continued) | |
| Western Union Co./The | | | 10,020 | | | $ | 160,721 | |
| Xerox Corp. | | | 64,623 | | | | 854,962 | |
| Xilinx, Inc. | | | 2,700 | | | | 114,345 | |
| Zebra Technologies Corp., Class A † | | | 3,800 | | | | 269,686 | |
| | | | | | | | |
| | | | | | | 58,968,432 | |
| | | | | | | | |
| Materials - 4.3% | | | | | | | | |
| Alcoa, Inc. | | | 14,900 | | | | 239,741 | |
| Avery Dennison Corp. | | | 1,487 | | | | 66,394 | |
| Axiall Corp. | | | 502 | | | | 17,977 | |
| Ball Corp. | | | 5,600 | | | | 354,312 | |
| Cabot Corp. | | | 5,300 | | | | 269,081 | |
| Celanese Corp., Series A | | | 2,600 | | | | 152,152 | |
| CF Industries Holdings, Inc. | | | 2,431 | | | | 678,784 | |
| Chemtura Corp. † | | | 1,357 | | | | 31,659 | |
| Dow Chemical Co./The | | | 41,072 | | | | 2,153,816 | |
| Eastman Chemical Co. | | | 3,366 | | | | 272,276 | |
| Freeport-McMoRan, Inc. | | | 29,500 | | | | 963,175 | |
| Graphic Packaging Holding Co. † | | | 11,000 | | | | 136,730 | |
| Huntsman Corp. | | | 18,700 | | | | 486,013 | |
| International Paper Co. | | | 2,134 | | | | 101,877 | |
| KapStone Paper and Packaging Corp. † | | | 8,900 | | | | 248,933 | |
| Louisiana-Pacific Corp. † | | | 2,210 | | | | 30,034 | |
| Owens-Illinois, Inc. † | | | 1,023 | | | | 26,649 | |
| Packaging Corp. of America | | | 7,580 | | | | 483,756 | |
| PPG Industries, Inc. | | | 4,368 | | | | 859,360 | |
| Reliance Steel & Aluminum Co. | | | 782 | | | | 53,489 | |
| Rock-Tenn Co., Class A | | | 2,514 | | | | 119,616 | |
| Scotts Miracle-Gro Co./The, Class A | | | 1,900 | | | | 104,500 | |
| Sealed Air Corp. | | | 4,798 | | | | 167,354 | |
| Sherwin-Williams Co./The | | | 94 | | | | 20,585 | |
| Sonoco Products Co. | | | 3,000 | | | | 117,870 | |
| United States Steel Corp. | | | 18,200 | | | | 712,894 | |
| Valspar Corp./The | | | 188 | | | | 14,850 | |
| Westlake Chemical Corp. | | | 4,890 | | | | 423,425 | |
| Worthington Industries, Inc. | | | 2,400 | | | | 89,328 | |
| WR Grace & Co. † | | | 428 | | | | 38,922 | |
| | | | | | | | |
| | | | | | | 9,435,552 | |
| | | | | | | | |
| Telecommunication Services - 1.0% | | | | | |
| AT&T, Inc. | | | 29,500 | | | | 1,039,580 | |
| CenturyLink, Inc. | | | 12,600 | | | | 515,214 | |
| Frontier Communications Corp. | | | 44,600 | | | | 290,346 | |
| Sprint Corp. † | | | 25,300 | | | | 160,402 | |
| Telephone & Data Systems, Inc. | | | 7,148 | | | | 171,266 | |
| | | | | | | | |
| | | | | | | 2,176,808 | |
| | | | | | | | |
| Utilities - 0.6% | | | | | | | | |
| AGL Resources, Inc. | | | 2,300 | | | | 118,082 | |
| American Electric Power Co., Inc. | | | 17,600 | | | | 918,896 | |
| Edison International | | | 3,900 | | | | 218,088 | |
| Portland General Electric Co. | | | 195 | | | | 6,263 | |
| | | | | | | | |
| | | | | | | 1,261,329 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $207,248,623) | | | | | | | 214,967,150 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 117 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| EXCHANGE-TRADED FUNDS - 1.2% | | | | | |
| SPDR S&P 500 ETF Trust | | | | | | | | |
(cost $2,576,413) | | | 13,375 | | | $ | 2,635,142 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 4.9% | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $10,789,398) | | | 10,789,398 | | | | 10,789,398 | |
| | | | | | | | |
TOTAL INVESTMENTS - 104.5%
(cost $220,614,434) | | | | | | | 228,391,690 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (4.5%) | | | | | | | (9,748,714 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 218,642,976 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
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. | | |
| | | | | | | | | | | | | | | | |
| 118 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 98.1% | | SHARES | | | VALUE (Note 2) | |
| Consumer Discretionary - 18.5% | |
| 1-800-Flowers.com, Inc., Class A † | | | 977 | | | $ | 7,025 | |
| A. H. Belo Corp., Class A | | | 700 | | | | 7,469 | |
| Aaron’s, Inc. | | | 1,400 | | | | 34,048 | |
| American Axle & Manufacturing Holdings, Inc. † | | | 694 | | | | 11,638 | |
| ANN, Inc. † | | | 879 | | | | 36,153 | |
| Asbury Automotive Group, Inc. † | | | 632 | | | | 40,713 | |
| Barnes & Noble, Inc. † | | | 1,500 | | | | 29,610 | |
| Big Lots, Inc. | | | 1,044 | | | | 44,944 | |
| Bridgepoint Education, Inc. † | | | 382 | | | | 4,263 | |
| Brown Shoe Co., Inc. | | | 1,155 | | | | 31,335 | |
| Build-A-Bear Workshop, Inc. † | | | 1,300 | | | | 17,004 | |
| Caesars Entertainment Corp. † | | | 700 | | | | 8,806 | |
| Callaway Golf Co. | | | 740 | | | | 5,358 | |
| Capella Education Co. | | | 265 | | | | 16,589 | |
| Career Education Corp. † | | | 3,400 | | | | 17,272 | |
| Carrols Restaurant Group, Inc. † | | | 1,000 | | | | 7,110 | |
| Cato Corp./The, Class A | | | 739 | | | | 25,466 | |
| Cavco Industries, Inc. † | | | 100 | | | | 6,800 | |
| Century Casinos, Inc. † | | | 1,689 | | | | 8,665 | |
| Children’s Place, Inc./The | | | 217 | | | | 10,342 | |
| Christopher & Banks Corp. † | | | 928 | | | | 9,178 | |
| Citi Trends, Inc. † | | | 662 | | | | 14,630 | |
| Collectors Universe, Inc. | | | 400 | | | | 8,800 | |
| Columbia Sportswear Co. | | | 600 | | | | 21,468 | |
| Cooper Tire & Rubber Co. | | | 300 | | | | 8,610 | |
| Cooper-Standard Holding, Inc. † | | | 300 | | | | 18,720 | |
| Core-Mark Holding Co., Inc. | | | 528 | | | | 28,005 | |
| Cracker Barrel Old Country Store, Inc. | | | 144 | | | | 14,859 | |
| CSS Industries, Inc. | | | 240 | | | | 5,820 | |
| Culp, Inc. | | | 400 | | | | 7,260 | |
| Deckers Outdoor Corp. † | | | 24 | | | | 2,332 | |
| Denny’s Corp. † | | | 799 | | | | 5,617 | |
| Destination Maternity Corp. | | | 419 | | | | 6,469 | |
| Destination XL Group, Inc. † | | | 934 | | | | 4,409 | |
| DeVry Education Group, Inc. | | | 1,207 | | | | 51,672 | |
| Dex Media, Inc. † | | | 1,600 | | | | 15,296 | |
| Diamond Resorts International, Inc. † | | | 1,000 | | | | 22,760 | |
| Drew Industries, Inc. | | | 566 | | | | 23,880 | |
| Einstein Noah Restaurant Group, Inc. | | | 302 | | | | 6,088 | |
| Entercom Communications Corp., Class A † | | | 558 | | | | 4,481 | |
| Entravision Communications Corp., Class A | | | 913 | | | | 3,615 | |
| EW Scripps Co./The, Class A † | | | 121 | | | | 1,974 | |
| Famous Dave’s of America, Inc. † | | | 300 | | | | 8,076 | |
| Federal-Mogul Holdings Corp. † | | | 800 | | | | 11,896 | |
| Finish Line, Inc./The, Class A | | | 1,009 | | | | 25,255 | |
| Flexsteel Industries, Inc. | | | 300 | | | | 10,119 | |
| Fred’s, Inc., Class A | | | 730 | | | | 10,220 | |
| FTD Cos., Inc. † | | | 213 | | | | 7,265 | |
| Genesco, Inc. † | | | 460 | | | | 34,385 | |
| Gentherm, Inc. † | | | 200 | | | | 8,446 | |
| G-III Apparel Group Ltd. † | | | 437 | | | | 36,210 | |
| Global Sources Ltd. † | | | 800 | | | | 5,368 | |
| Grand Canyon Education, Inc. † | | | 824 | | | | 33,594 | |
| Gray Television, Inc. † | | | 254 | | | | 2,002 | |
| Group 1 Automotive, Inc. | | | 231 | | | | 16,796 | |
| Guess?, Inc. | | | 300 | | | | 6,591 | |
| Harte-Hanks, Inc. | | | 569 | | | | 3,625 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Consumer Discretionary - 18.5% (continued) | | | | | |
| Haverty Furniture Cos., Inc. | | | 543 | | | $ | 11,832 | |
| Helen of Troy Ltd. † | | | 500 | | | | 26,260 | |
| Iconix Brand Group, Inc. † | | | 898 | | | | 33,172 | |
| iRobot Corp. † | | | 100 | | | | 3,045 | |
| Jack in the Box, Inc. | | | 200 | | | | 13,638 | |
| Journal Communications, Inc., Class A † | | | 1,251 | | | | 10,546 | |
| Kirkland’s, Inc. † | | | 627 | | | | 10,101 | |
| La-Z-Boy, Inc. | | | 855 | | | | 16,920 | |
| Lee Enterprises, Inc. † | | | 3,380 | | | | 11,424 | |
| Liberty Tax, Inc. † | | | 400 | | | | 12,920 | |
| LifeLock, Inc. † | | | 300 | | | | 4,287 | |
| Lifetime Brands, Inc. | | | 600 | | | | 9,186 | |
| Lithia Motors, Inc., Class A | | | 126 | | | | 9,537 | |
| Marcus Corp./The | | | 301 | | | | 4,756 | |
| Marriott Vacations Worldwide Corp. † | | | 600 | | | | 38,046 | |
| Martha Stewart Living Omnimedia, Inc., Class A † | | | 1,900 | | | | 6,840 | |
| Mattress Firm Holding Corp. † | | | 200 | | | | 12,012 | |
| McClatchy Co./The, Class A † | | | 5,290 | | | | 17,774 | |
| MDC Partners, Inc., Class A | | | 185 | | | | 3,550 | |
| Men’s Wearhouse, Inc./The | | | 800 | | | | 37,776 | |
| Meredith Corp. | | | 150 | | | | 6,420 | |
| Modine Manufacturing Co. † | | | 1,280 | | | | 15,194 | |
| Monarch Casino & Resort, Inc. † | | | 649 | | | | 7,730 | |
| Motorcar Parts of America, Inc. † | | | 691 | | | | 18,802 | |
| Movado Group, Inc. | | | 592 | | | | 19,572 | |
| Murphy USA, Inc. † | | | 600 | | | | 31,836 | |
| NACCO Industries, Inc., Class A | | | 85 | | | | 4,227 | |
| Nautilus, Inc. † | | | 1,711 | | | | 20,481 | |
| New York Times Co./The, Class A | | | 260 | | | | 2,917 | |
| Nexstar Broadcasting Group, Inc., Class A | | | 246 | | | | 9,943 | |
| Nutrisystem, Inc. | | | 806 | | | | 12,388 | |
| Office Depot, Inc. † | | | 8,000 | | | | 41,120 | |
| Orbitz Worldwide, Inc. † | | | 1,399 | | | | 11,010 | |
| Outerwall, Inc. † | | | 558 | | | | 31,304 | |
| Overstock.com, Inc. † | | | 696 | | | | 11,735 | |
| RCI Hospitality Holdings, Inc. † | | | 277 | | | | 3,053 | |
| Red Robin Gourmet Burgers, Inc. † | | | 200 | | | | 11,380 | |
| Remy International, Inc. | | | 400 | | | | 8,212 | |
| Scholastic Corp. | | | 348 | | | | 11,247 | |
| Shiloh Industries, Inc. † | | | 786 | | | | 13,370 | |
| Shoe Carnival, Inc. | | | 536 | | | | 9,546 | |
| Sizmek, Inc. † | | | 1,100 | | | | 8,514 | |
| Skechers U.S.A., Inc., Class A † | | | 462 | | | | 24,629 | |
| Skullcandy, Inc. † | | | 1,900 | | | | 14,801 | |
| Smith & Wesson Holding Corp. † | | | 2,229 | | | | 21,042 | |
| Sonic Automotive, Inc., Class A | | | 1,000 | | | | 24,510 | |
| Sonic Corp. † | | | 404 | | | | 9,033 | |
| Standard Motor Products, Inc. | | | 411 | | | | 14,151 | |
| Stein Mart, Inc. | | | 442 | | | | 5,105 | |
| Steven Madden Ltd. † | | | 200 | | | | 6,446 | |
| Stoneridge, Inc. † | | | 800 | | | | 9,016 | |
| Strattec Security Corp. | | | 200 | | | | 16,270 | |
| Strayer Education, Inc. † | | | 346 | | | | 20,718 | |
| Sturm, Ruger & Co., Inc. | | | 370 | | | | 18,015 | |
| Superior Industries International, Inc. | | | 254 | | | | 4,453 | |
| Tower International, Inc. † | | | 626 | | | | 15,769 | |
| Tuesday Morning Corp. † | | | 1,167 | | | | 22,646 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 119 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Consumer Discretionary - 18.5% (continued) | |
| Unifi, Inc. † | | | 381 | | | $ | 9,868 | |
| Universal Electronics, Inc. † | | | 459 | | | | 22,661 | |
| ValueVision Media, Inc., Class A † | | | 1,331 | | | | 6,828 | |
| Vera Bradley, Inc. † | | | 300 | | | | 6,204 | |
| ZAGG, Inc. † | | | 2,000 | | | | 11,160 | |
| Zumiez, Inc. † | | | 537 | | | | 15,090 | |
| | | | | | | | |
| | | | | | | 1,778,439 | |
| | | | | | | | |
| Consumer Staples - 3.7% | | | | | | | | |
| Andersons, Inc./The | | | 500 | | | | 31,440 | |
| Cal-Maine Foods, Inc. | | | 500 | | | | 44,665 | |
| Coca-Cola Bottling Co. Consolidated | | | 200 | | | | 14,926 | |
| Farmer Bros Co. † | | | 225 | | | | 6,514 | |
| Female Health Co./The | | | 431 | | | | 1,504 | |
| Harbinger Group, Inc. † | | | 2,481 | | | | 32,551 | |
| Inter Parfums, Inc. | | | 170 | | | | 4,675 | |
| John B. Sanfilippo & Son, Inc. | | | 531 | | | | 17,183 | |
| Liberator Medical Holdings, Inc. | | | 1,800 | | | | 5,634 | |
| Medifast, Inc. † | | | 338 | | | | 11,096 | |
| Nutraceutical International Corp. † | | | 400 | | | | 8,364 | |
| Omega Protein Corp. † | | | 1,237 | | | | 15,462 | |
| Orchids Paper Products Co. | | | 300 | | | | 7,368 | |
| Pantry, Inc./The † | | | 900 | | | | 18,207 | |
| Revlon, Inc., Class A † | | | 113 | | | | 3,581 | |
| Rite Aid Corp. † | | | 447 | | | | 2,163 | |
| Sanderson Farms, Inc. | | | 461 | | | | 40,545 | |
| SpartanNash Co. | | | 748 | | | | 14,549 | |
| SUPERVALU, Inc. † | | | 2,907 | | | | 25,989 | |
| USANA Health Sciences, Inc. † | | | 157 | | | | 11,565 | |
| Vector Group Ltd. | | | 1,100 | | | | 24,398 | |
| Weis Markets, Inc. | | | 296 | | | | 11,553 | |
| | | | | | | | |
| | | | | | | 353,932 | |
| | | | | | | | |
| Energy - 6.1% | | | | | | | | |
| Abraxas Petroleum Corp. † | | | 3,386 | | | | 17,878 | |
| Adams Resources & Energy, Inc. | | | 100 | | | | 4,429 | |
| Aemetis, Inc. † | | | 1,400 | | | | 12,152 | |
| Alon USA Energy, Inc. | | | 900 | | | | 12,924 | |
| Basic Energy Services, Inc. † | | | 1,414 | | | | 30,670 | |
| Callon Petroleum Co. † | | | 1,700 | | | | 14,977 | |
| CARBO Ceramics, Inc. | | | 100 | | | | 5,923 | |
| Carrizo Oil & Gas, Inc. † | | | 336 | | | | 18,083 | |
| Clayton Williams Energy, Inc. † | | | 300 | | | | 28,935 | |
| Comstock Resources, Inc. | | | 800 | | | | 14,896 | |
| Contango Oil & Gas Co. † | | | 300 | | | | 9,972 | |
| Delek US Holdings, Inc. | | | 800 | | | | 26,496 | |
| Exterran Holdings, Inc. | | | 80 | | | | 3,545 | |
| Green Plains, Inc. | | | 986 | | | | 36,866 | |
| Key Energy Services, Inc. † | | | 3,000 | | | | 14,520 | |
| Matrix Service Co. † | | | 531 | | | | 12,808 | |
| Midstates Petroleum Co., Inc. † | | | 1,500 | | | | 7,575 | |
| Natural Gas Services Group, Inc. † | | | 200 | | | | 4,814 | |
| Newpark Resources, Inc. † | | | 500 | | | | 6,220 | |
| Panhandle Oil and Gas, Inc., Class A | | | 300 | | | | 17,910 | |
| Parker Drilling Co. † | | | 2,421 | | | | 11,960 | |
| PBF Energy, Inc., Class A | | | 600 | | | | 14,400 | |
| Penn Virginia Corp. † | | | 1,808 | | | | 22,980 | |
| PetroQuest Energy, Inc. † | | | 2,000 | | | | 11,240 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Energy - 6.1% (continued) | | | | | | | | |
| PHI, Inc. † | | | 300 | | | $ | 12,345 | |
| Pioneer Energy Services Corp. † | | | 1,800 | | | | 25,236 | |
| Renewable Energy Group, Inc. † | | | 429 | | | | 4,354 | |
| REX American Resources Corp. † | | | 301 | | | | 21,937 | |
| Stone Energy Corp. † | | | 641 | | | | 20,102 | |
| Tesco Corp. | | | 1,171 | | | | 23,244 | |
| Triangle Petroleum Corp. † | | | 2,200 | | | | 24,222 | |
| US Energy Corp. Wyoming † | | | 1,800 | | | | 5,742 | |
| VAALCO Energy, Inc. † | | | 2,800 | | | | 23,800 | |
| Vertex Energy, Inc. † | | | 1,700 | | | | 11,832 | |
| Warren Resources, Inc. † | | | 3,603 | | | | 19,096 | |
| Westmoreland Coal Co. † | | | 400 | | | | 14,964 | |
| Willbros Group, Inc. † | | | 1,600 | | | | 13,328 | |
| | | | | | | | |
| | | | | | | 582,375 | |
| | | | | | | | |
| Financials - 23.1% | | | | | | | | |
| 1st Source Corp. | | | 498 | | | | 14,183 | |
| Ambac Financial Group, Inc. † | | | 800 | | | | 17,680 | |
| American Equity Investment Life Holding Co. | | | 1,374 | | | | 31,437 | |
| Ameris Bancorp | | | 517 | | | | 11,348 | |
| AMERISAFE, Inc. | | | 300 | | | | 11,733 | |
| Apollo Investment Corp. | | | 4,600 | | | | 37,582 | |
| Argo Group International Holdings Ltd. | | | 534 | | | | 26,866 | |
| Arlington Asset Investment Corp., Class A | | | 1,000 | | | | 25,410 | |
| Ashford Hospitality Trust, Inc. REIT | | | 2,546 | | | | 26,020 | |
| Associated Banc-Corp | | | 700 | | | | 12,194 | |
| Associated Estates Realty Corp. REIT | | | 500 | | | | 8,755 | |
| Astoria Financial Corp. | | | 400 | | | | 4,956 | |
| BancFirst Corp. | | | 200 | | | | 12,512 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 716 | | | | 21,967 | |
| Banner Corp. | | | 72 | | | | 2,770 | |
| BBCN Bancorp, Inc. | | | 601 | | | | 8,769 | |
| BGC Partners, Inc., Class A | | | 1,577 | | | | 11,717 | |
| BNC Bancorp | | | 400 | | | | 6,264 | |
| BofI Holding, Inc. † | | | 149 | | | | 10,834 | |
| Boston Private Financial Holdings, Inc. | | | 900 | | | | 11,151 | |
| Bryn Mawr Bank Corp. | | | 200 | | | | 5,666 | |
| Capital Southwest Corp. | | | 200 | | | | 7,154 | |
| Chatham Lodging Trust REIT | | | 500 | | | | 11,540 | |
| Chemical Financial Corp. | | | 278 | | | | 7,475 | |
| City Holding Co. | | | 300 | | | | 12,639 | |
| CoBiz Financial, Inc. | | | 404 | | | | 4,517 | |
| Community Trust Bancorp, Inc. | | | 367 | | | | 12,342 | |
| ConnectOne Bancorp, Inc. | | | 1,000 | | | | 19,050 | |
| Cowen Group, Inc., Class A † | | | 3,805 | | | | 14,269 | |
| Credit Acceptance Corp. † | | | 100 | | | | 12,607 | |
| Customers Bancorp, Inc. † | | | 1,020 | | | | 18,319 | |
| Eagle Bancorp, Inc. † | | | 520 | | | | 16,546 | |
| EMC Insurance Group, Inc. | | | 425 | | | | 12,274 | |
| Encore Capital Group, Inc. † | | | 700 | | | | 31,017 | |
| Endurance Specialty Holdings Ltd. | | | 676 | | | | 37,302 | |
| Enterprise Financial Services Corp. | | | 506 | | | | 8,460 | |
| EverBank Financial Corp. | | | 722 | | | | 12,751 | |
| FBL Financial Group, Inc., Class A | | | 551 | | | | 24,630 | |
| FBR & Co. † | | | 469 | | | | 12,907 | |
| Federal Agricultural Mortgage Corp., Class C | | | 448 | | | | 14,399 | |
| Federated National Holding Co. | | | 1,000 | | | | 28,090 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 120 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Financials - 23.1% (continued) | | | | | | | | |
| FelCor Lodging Trust, Inc. REIT | | | 1,200 | | | $ | 11,232 | |
| Fidelity Southern Corp. | | | 625 | | | | 8,562 | |
| Financial Institutions, Inc. | | | 274 | | | | 6,160 | |
| First Bancorp | | | 400 | | | | 6,408 | |
| First Busey Corp. | | | 1,200 | | | | 6,684 | |
| First Business Financial Services, Inc. | | | 200 | | | | 8,780 | |
| First Citizens BancShares, Inc., Class A | | | 73 | | | | 15,814 | |
| First Commonwealth Financial Corp. | | | 2,000 | | | | 16,780 | |
| First Defiance Financial Corp. | | | 451 | | | | 12,182 | |
| First Financial Northwest, Inc. | | | 900 | | | | 9,189 | |
| First Interstate BancSystem, Inc. | | | 1,264 | | | | 33,584 | |
| First Merchants Corp. | | | 827 | | | | 16,714 | |
| First Midwest Bancorp, Inc. | | | 946 | | | | 15,221 | |
| First NBC Bank Holding Co. † | | | 200 | | | | 6,550 | |
| Firsthand Technology Value Fund, Inc. | | | 237 | | | | 5,690 | |
| Flagstar Bancorp, Inc. † | | | 1,317 | | | | 22,165 | |
| Flushing Financial Corp. | | | 790 | | | | 14,433 | |
| German American Bancorp, Inc. | | | 300 | | | | 7,743 | |
| Gladstone Capital Corp. | | | 740 | | | | 6,490 | |
| Gladstone Investment Corp. | | | 822 | | | | 5,844 | |
| Great Southern Bancorp, Inc. | | | 200 | | | | 6,068 | |
| Greenlight Capital Re Ltd., Class A (Cayman Islands) † | | | 843 | | | | 27,322 | |
| GSV Capital Corp. † | | | 1,600 | | | | 16,016 | |
| Hanmi Financial Corp. | | | 480 | | | | 9,677 | |
| Hanover Insurance Group, Inc./The | | | 417 | | | | 25,612 | |
| HCI Group, Inc. | | | 410 | | | | 14,756 | |
| Heartland Financial USA, Inc. | | | 197 | | | | 4,704 | |
| Hercules Technology Growth Capital, Inc. | | | 1,670 | | | | 24,148 | |
| Hilltop Holdings, Inc. † | | | 1,599 | | | | 32,060 | |
| Horace Mann Educators Corp. | | | 1,005 | | | | 28,653 | |
| Iberiabank Corp. | | | 200 | | | | 12,502 | |
| Independent Bank Corp. | | | 995 | | | | 11,860 | |
| Infinity Property & Casualty Corp. | | | 200 | | | | 12,802 | |
| International Bancshares Corp. | | | 554 | | | | 13,664 | |
| Investment Technology Group, Inc. † | | | 799 | | | | 12,592 | |
| Janus Capital Group, Inc. | | | 3,700 | | | | 53,798 | |
| Kansas City Life Insurance Co. | | | 300 | | | | 13,305 | |
| Kemper Corp. | | | 810 | | | | 27,661 | |
| Ladenburg Thalmann Financial Services, Inc. † | | | 6,045 | | | | 25,631 | |
| Lakeland Financial Corp. | | | 456 | | | | 17,100 | |
| Maiden Holdings Ltd. | | | 1,402 | | | | 15,534 | |
| MainSource Financial Group, Inc. | | | 400 | | | | 6,900 | |
| MBIA, Inc. † | | | 2,500 | | | | 22,950 | |
| Medallion Financial Corp. | | | 295 | | | | 3,440 | |
| Mercantile Bank Corp. | | | 500 | | | | 9,525 | |
| Mercury General Corp. | | | 200 | | | | 9,762 | |
| Meta Financial Group, Inc. | | | 436 | | | | 15,373 | |
| Montpelier Re Holdings Ltd. | | | 1,260 | | | | 39,173 | |
| National Western Life Insurance Co., Class A | | | 61 | | | | 15,068 | |
| Navigators Group, Inc./The † | | | 220 | | | | 13,530 | |
| Nelnet, Inc., Class A | | | 808 | | | | 34,817 | |
| New Mountain Finance Corp. | | | 380 | | | | 5,582 | |
| NGP Capital Resources Co. | | | 487 | | | | 3,010 | |
| OneBeacon Insurance Group Ltd., Class A | | | 1,600 | | | | 24,656 | |
| Oppenheimer Holdings, Inc., Class A | | | 400 | | | | 8,100 | |
| Pacific Continental Corp. | | | 500 | | | | 6,425 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Financials - 23.1% (continued) | | | | | | | | |
| PennantPark Investment Corp. | | | 700 | | | $ | 7,637 | |
| Peoples Bancorp, Inc. | | | 300 | | | | 7,125 | |
| PHH Corp. † | | | 800 | | | | 17,888 | |
| Phoenix Cos., Inc./The † | | | 257 | | | | 14,407 | |
| Piper Jaffray Cos. † | | | 650 | | | | 33,956 | |
| Platinum Underwriters Holdings Ltd. | | | 681 | | | | 41,452 | |
| Preferred Bank † | | | 300 | | | | 6,756 | |
| Primerica, Inc. | | | 1,230 | | | | 59,311 | |
| PrivateBancorp, Inc. | | | 1,100 | | | | 32,901 | |
| Provident Financial Holdings, Inc. | | | 289 | | | | 4,217 | |
| Provident Financial Services, Inc. | | | 800 | | | | 13,096 | |
| Radian Group, Inc. | | | 1,972 | | | | 28,121 | |
| Renasant Corp. | | | 209 | | | | 5,653 | |
| S&T Bancorp, Inc. | | | 606 | | | | 14,217 | |
| Safety Insurance Group, Inc. | | | 329 | | | | 17,736 | |
| Sandy Spring Bancorp, Inc. | | | 342 | | | | 7,828 | |
| Select Income REIT REIT | | | 400 | | | | 9,620 | |
| Southside Bancshares, Inc. | | | 715 | | | | 23,774 | |
| St. Joe Co./The † | | | 1,300 | | | | 25,909 | |
| StanCorp Financial Group, Inc. | | | 319 | | | | 20,154 | |
| State Auto Financial Corp. | | | 700 | | | | 14,357 | |
| Stewart Information Services Corp. | | | 539 | | | | 15,820 | |
| Stock Yards Bancorp, Inc. | | | 300 | | | | 9,030 | |
| Symetra Financial Corp. | | | 1,685 | | | | 39,311 | |
| TCF Financial Corp. | | | 1,100 | | | | 17,083 | |
| TCP Capital Corp. | | | 800 | | | | 12,856 | |
| Texas Capital Bancshares, Inc. † | | | 162 | | | | 9,344 | |
| TICC Capital Corp. | | | 659 | | | | 5,819 | |
| Trico Bancshares | | | 541 | | | | 12,237 | |
| TrustCo Bank Corp. | | | 1,200 | | | | 7,728 | |
| Union Bankshares Corp. | | | 369 | | | | 8,524 | |
| United Community Banks, Inc. | | | 671 | | | | 11,045 | |
| United Fire Group, Inc. | | | 424 | | | | 11,774 | |
| United Insurance Holdings Corp. | | | 800 | | | | 12,000 | |
| Universal Insurance Holdings, Inc. | | | 1,145 | | | | 14,805 | |
| Univest Corp. of Pennsylvania | | | 400 | | | | 7,500 | |
| Virtus Investment Partners, Inc. | | | 100 | | | | 17,370 | |
| Washington Federal, Inc. | | | 262 | | | | 5,334 | |
| Washington Trust Bancorp, Inc. | | | 200 | | | | 6,598 | |
| Waterstone Financial, Inc. | | | 300 | | | | 3,465 | |
| WesBanco, Inc. | | | 647 | | | | 19,792 | |
| Western Alliance Bancorp † | | | 549 | | | | 13,121 | |
| Wilshire Bancorp, Inc. | | | 833 | | | | 7,689 | |
| Wintrust Financial Corp. | | | 600 | | | | 26,802 | |
| World Acceptance Corp. † | | | 117 | | | | 7,898 | |
| WSFS Financial Corp. | | | 188 | | | | 13,463 | |
| | | | | | | | |
| | | | | | | 2,220,626 | |
| | | | | | | | |
| Health Care - 8.5% | | | | | | | | |
| Addus HomeCare Corp. † | | | 601 | | | | 11,780 | |
| Affymetrix, Inc. † | | | 1,600 | | | | 12,768 | |
| Albany Molecular Research, Inc. † | | | 198 | | | | 4,370 | |
| Alliance HealthCare Services, Inc. † | | | 364 | | | | 8,230 | |
| Almost Family, Inc. † | | | 205 | | | | 5,570 | |
| Amedisys, Inc. † | | | 276 | | | | 5,567 | |
| Amsurg Corp. † | | | 400 | | | | 20,020 | |
| Anacor Pharmaceuticals, Inc. † | | | 1,200 | | | | 29,364 | |
| Anika Therapeutics, Inc. † | | | 529 | | | | 19,393 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 121 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Health Care - 8.5% (continued) | | | | | | | | |
| BioTelemetry, Inc. † | | | 1,071 | | | $ | 7,186 | |
| Cambrex Corp. † | | | 412 | | | | 7,696 | |
| Cardiovascular Systems, Inc. † | | | 131 | | | | 3,096 | |
| Chemed Corp. | | | 200 | | | | 20,580 | |
| Computer Programs & Systems, Inc. | | | 100 | | | | 5,749 | |
| CONMED Corp. | | | 500 | | | | 18,420 | |
| CorVel Corp. † | | | 424 | | | | 14,437 | |
| CryoLife, Inc. | | | 2,163 | | | | 21,349 | |
| Depomed, Inc. † | | | 400 | | | | 6,076 | |
| Emergent Biosolutions, Inc. † | | | 635 | | | | 13,532 | |
| Ensign Group, Inc./The | | | 600 | | | | 20,880 | |
| Exactech, Inc. † | | | 300 | | | | 6,867 | |
| Fonar Corp. † | | | 584 | | | | 6,430 | |
| Gentiva Health Services, Inc. † | | | 1,300 | | | | 21,814 | |
| Globus Medical, Inc., Class A † | | | 1,800 | | | | 35,406 | |
| Greatbatch, Inc. † | | | 281 | | | | 11,973 | |
| Impax Laboratories, Inc. † | | | 200 | | | | 4,742 | |
| Insys Therapeutics, Inc. † | | | 793 | | | | 30,753 | |
| Invacare Corp. | | | 626 | | | | 7,393 | |
| Kindred Healthcare, Inc. | | | 992 | | | | 19,245 | |
| Lannett Co., Inc. † | | | 900 | | | | 41,112 | |
| LHC Group, Inc. † | | | 437 | | | | 10,138 | |
| Ligand Pharmaceuticals, Inc. † | | | 100 | | | | 4,699 | |
| Magellan Health, Inc. † | | | 128 | | | | 7,005 | |
| MedAssets, Inc. † | | | 532 | | | | 11,023 | |
| Merit Medical Systems, Inc. † | | | 600 | | | | 7,128 | |
| Molina Healthcare, Inc. † | | | 758 | | | | 32,063 | |
| Myriad Genetics, Inc. † | | | 1,220 | | | | 47,055 | |
| National Healthcare Corp. | | | 100 | | | | 5,551 | |
| Natus Medical, Inc. † | | | 900 | | | | 26,559 | |
| NuVasive, Inc. † | | | 986 | | | | 34,382 | |
| Omnicell, Inc. † | | | 600 | | | | 16,398 | |
| Pain Therapeutics, Inc. † | | | 3,400 | | | | 13,294 | |
| PDL BioPharma, Inc. | | | 4,634 | | | | 34,616 | |
| PharMerica Corp. † | | | 911 | | | | 22,256 | |
| PhotoMedex, Inc. † | | | 422 | | | | 2,616 | |
| Providence Service Corp./The † | | | 319 | | | | 15,433 | |
| RadNet, Inc. † | | | 3,300 | | | | 21,846 | |
| Repligen Corp. † | | | 625 | | | | 12,444 | |
| Select Medical Holdings Corp. | | | 2,400 | | | | 28,872 | |
| Vascular Solutions, Inc. † | | | 727 | | | | 17,957 | |
| WellCare Health Plans, Inc. † | | | 100 | | | | 6,034 | |
| | | | | | | | |
| | | | | | | 819,167 | |
| | | | | | | | |
| Industrials - 13.2% | |
| AAON, Inc. | | | 150 | | | | 2,552 | |
| AAR Corp. | | | 634 | | | | 15,311 | |
| Aceto Corp. | | | 266 | | | | 5,139 | |
| Aegion Corp. † | | | 137 | | | | 3,048 | |
| Air Transport Services Group, Inc. † | | | 1,100 | | | | 8,008 | |
| Alamo Group, Inc. | | | 324 | | | | 13,284 | |
| Albany International Corp., Class A | | | 81 | | | | 2,757 | |
| Altra Industrial Motion Corp. | | | 769 | | | | 22,424 | |
| American Railcar Industries, Inc. | | | 466 | | | | 34,447 | |
| ARC Document Solutions, Inc. † | | | 1,573 | | | | 12,741 | |
| ARC Group Worldwide, Inc. † | | | 700 | | | | 10,934 | |
| ArcBest Corp. | | | 541 | | | | 20,179 | |
| Argan, Inc. | | | 506 | | | | 16,890 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Industrials - 13.2% (continued) | | | | | | | | |
| Arotech Corp. † | | | 3,100 | | | $ | 10,075 | |
| Barrett Business Services, Inc. | | | 136 | | | | 5,371 | |
| Brink’s Co./The | | | 165 | | | | 3,967 | |
| Broadwind Energy, Inc. † | | | 1,264 | | | | 9,467 | |
| Builders FirstSource, Inc. † | | | 1,700 | | | | 9,265 | |
| CBIZ, Inc. † | | | 713 | | | | 5,611 | |
| Ceco Environmental Corp. | | | 400 | | | | 5,360 | |
| Cenveo, Inc. † | | | 4,004 | | | | 9,890 | |
| CIRCOR International, Inc. | | | 323 | | | | 21,748 | |
| Columbus McKinnon Corp. | | | 368 | | | | 8,092 | |
| Comfort Systems USA, Inc. | | | 375 | | | | 5,081 | |
| Courier Corp. | | | 600 | | | | 7,392 | |
| CRA International, Inc. † | | | 400 | | | | 10,172 | |
| Deluxe Corp. | | | 225 | | | | 12,411 | |
| Douglas Dynamics, Inc. | | | 500 | | | | 9,750 | |
| Ducommun, Inc. † | | | 228 | | | | 6,250 | |
| DXP Enterprises, Inc. † | | | 139 | | | | 10,242 | |
| Dynamic Materials Corp. | | | 195 | | | | 3,715 | |
| Encore Wire Corp. | | | 300 | | | | 11,127 | |
| EnerSys | | | 59 | | | | 3,460 | |
| Engility Holdings, Inc. † | | | 480 | | | | 14,962 | |
| Federal Signal Corp. | | | 1,540 | | | | 20,390 | |
| Franklin Covey Co. † | | | 300 | | | | 5,877 | |
| FTI Consulting, Inc. † | | | 267 | | | | 9,334 | |
| G&K Services, Inc., Class A | | | 96 | | | | 5,316 | |
| GenCorp, Inc. † | | | 480 | | | | 7,666 | |
| Gibraltar Industries, Inc. † | | | 390 | | | | 5,339 | |
| GrafTech International Ltd. † | | | 1,400 | | | | 6,412 | |
| Greenbrier Cos., Inc./The | | | 600 | | | | 44,028 | |
| H&E Equipment Services, Inc. | | | 58 | | | | 2,336 | |
| Hardinge, Inc. | | | 179 | | | | 1,958 | |
| Hawaiian Holdings, Inc. † | | | 1,393 | | | | 18,736 | |
| Heidrick & Struggles International, Inc. | | | 300 | | | | 6,162 | |
| Herman Miller, Inc. | | | 412 | | | | 12,298 | |
| Hillenbrand, Inc. | | | 900 | | | | 27,801 | |
| Huron Consulting Group, Inc. † | | | 433 | | | | 26,400 | |
| Hyster-Yale Materials Handling, Inc. | | | 433 | | | | 31,011 | |
| ICF International, Inc. † | | | 526 | | | | 16,196 | |
| JetBlue Airways Corp. † | | | 1,010 | | | | 10,726 | |
| John Bean Technologies Corp. | | | 230 | | | | 6,470 | |
| Kadant, Inc. | | | 370 | | | | 14,449 | |
| Kaman Corp. | | | 400 | | | | 15,720 | |
| Kelly Services, Inc., Class A | | | 267 | | | | 4,184 | |
| Kforce, Inc. | | | 864 | | | | 16,908 | |
| Kimball International, Inc., Class B | | | 964 | | | | 14,508 | |
| Korn/Ferry International † | | | 1,200 | | | | 29,880 | |
| LB Foster Co., Class A | | | 116 | | | | 5,329 | |
| Lydall, Inc. † | | | 607 | | | | 16,395 | |
| Manitex International, Inc. † | | | 1,083 | | | | 12,227 | |
| Marten Transport Ltd. | | | 300 | | | | 5,343 | |
| Meritor, Inc. † | | | 2,100 | | | | 22,785 | |
| Multi-Color Corp. | | | 300 | | | | 13,644 | |
| MYR Group, Inc. † | | | 722 | | | | 17,386 | |
| Navigant Consulting, Inc. † | | | 1,102 | | | | 15,329 | |
| NN, Inc. | | | 763 | | | | 20,387 | |
| Northwest Pipe Co. † | | | 230 | | | | 7,843 | |
| Orion Marine Group, Inc. † | | | 341 | | | | 3,403 | |
| PAM Transportation Services, Inc. † | | | 500 | | | | 18,125 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 122 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Industrials - 13.2% (continued) | | | | | | | | |
| Park-Ohio Holdings Corp. | | | 226 | | | $ | 10,816 | |
| Patrick Industries, Inc. † | | | 606 | | | | 25,670 | |
| Powell Industries, Inc. | | | 103 | | | | 4,209 | |
| Primoris Services Corp. | | | 400 | | | | 10,736 | |
| Quality Distribution, Inc. † | | | 901 | | | | 11,515 | |
| Quanex Building Products Corp. | | | 400 | | | | 7,236 | |
| Resources Connection, Inc. | | | 900 | | | | 12,546 | |
| RPX Corp. † | | | 1,076 | | | | 14,773 | |
| Rush Enterprises, Inc., Class A † | | | 246 | | | | 8,229 | |
| Sparton Corp. † | | | 600 | | | | 14,790 | |
| Standex International Corp. | | | 400 | | | | 29,656 | |
| Steelcase, Inc., Class A | | | 1,407 | | | | 22,779 | |
| Swift Transportation Co. † | | | 104 | | | | 2,182 | |
| Taser International, Inc. † | | | 839 | | | | 12,954 | |
| TrueBlue, Inc. † | | | 883 | | | | 22,305 | |
| Tutor Perini Corp. † | | | 1,146 | | | | 30,254 | |
| UniFirst Corp. | | | 189 | | | | 18,256 | |
| United Stationers, Inc. | | | 300 | | | | 11,271 | |
| Universal Forest Products, Inc. | | | 400 | | | | 17,084 | |
| US Ecology, Inc. | | | 300 | | | | 14,028 | |
| Vicor Corp. † | | | 800 | | | | 7,520 | |
| VSE Corp. | | | 200 | | | | 9,804 | |
| Wabash National Corp. † | | | 1,131 | | | | 15,065 | |
| West Corp. | | | 1,700 | | | | 50,082 | |
| Xerium Technologies, Inc. † | | | 853 | | | | 12,462 | |
| | | | | | | | |
| | | | | | | 1,265,645 | |
| | | | | | | | |
| Information Technology - 19.3% | | | | | | | | |
| Advanced Energy Industries, Inc. † | | | 846 | | | | 15,896 | |
| Alliance Fiber Optic Products, Inc. | | | 485 | | | | 6,029 | |
| Ambarella, Inc. † | | | 500 | | | | 21,835 | |
| Amkor Technology, Inc. † | | | 5,216 | | | | 43,867 | |
| Autobytel, Inc. † | | | 600 | | | | 5,154 | |
| AVX Corp. | | | 265 | | | | 3,519 | |
| Bel Fuse, Inc., Class B | | | 400 | | | | 9,896 | |
| Benchmark Electronics, Inc. † | | | 912 | | | | 20,256 | |
| Black Box Corp. | | | 400 | | | | 9,328 | |
| Blucora, Inc. † | | | 915 | | | | 13,945 | |
| Booz Allen Hamilton Holding Corp. | | | 113 | | | | 2,644 | |
| Cabot Microelectronics Corp. † | | | 500 | | | | 20,725 | |
| CACI International, Inc., Class A † | | | 352 | | | | 25,087 | |
| CalAmp Corp. † | | | 612 | | | | 10,783 | |
| Cascade Microtech, Inc. † | | | 1,650 | | | | 16,714 | |
| CEVA, Inc. † | | | 500 | | | | 6,720 | |
| Ciber, Inc. † | | | 1,700 | | | | 5,831 | |
| Ciena Corp. † | | | 200 | | | | 3,344 | |
| Cinedigm Corp., Class A † | | | 2,500 | | | | 3,875 | |
| Cirrus Logic, Inc. † | | | 1,500 | | | | 31,275 | |
| Comtech Telecommunications Corp. | | | 500 | | | | 18,575 | |
| Constant Contact, Inc. † | | | 600 | | | | 16,284 | |
| Convergys Corp. | | | 1,034 | | | | 18,426 | |
| CSG Systems International, Inc. | | | 749 | | | | 19,684 | |
| CTS Corp. | | | 300 | | | | 4,767 | |
| Daktronics, Inc. | | | 1,220 | | | | 14,994 | |
| Ebix, Inc. | | | 1,500 | | | | 21,270 | |
| Electronics For Imaging, Inc. † | | | 811 | | | | 35,822 | |
| EnerNOC, Inc. † | | | 738 | | | | 12,516 | |
| Entegris, Inc. † | | | 2,180 | | | | 25,070 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Information Technology - 19.3% (continued) | | | | | | | | |
| EPAM Systems, Inc. † | | | 400 | | | $ | 17,516 | |
| Euronet Worldwide, Inc. † | | | 100 | | | | 4,779 | |
| Extreme Networks, Inc. † | | | 2,230 | | | | 10,682 | |
| Fabrinet (Thailand) † | | | 459 | | | | 6,701 | |
| Fairchild Semiconductor International, Inc. † | | | 1,200 | | | | 18,636 | |
| Finisar Corp. † | | | 258 | | | | 4,291 | |
| FormFactor, Inc. † | | | 763 | | | | 5,471 | |
| Global Cash Access Holdings, Inc. † | | | 1,593 | | | | 10,753 | |
| GSI Group, Inc. † | | | 1,176 | | | | 13,512 | |
| Hackett Group, Inc./The | | | 823 | | | | 4,905 | |
| Harmonic, Inc. † | | | 1,713 | | | | 10,860 | |
| iGATE Corp. † | | | 1,056 | | | | 38,776 | |
| Imation Corp. † | | | 1,500 | | | | 4,425 | |
| Information Services Group, Inc. † | | | 1,361 | | | | 5,172 | |
| Insight Enterprises, Inc. † | | | 851 | | | | 19,258 | |
| Integrated Device Technology, Inc. † | | | 2,700 | | | | 43,065 | |
| Integrated Silicon Solution, Inc. | | | 883 | | | | 12,132 | |
| Intersil Corp., Class A | | | 2,312 | | | | 32,854 | |
| Intralinks Holdings, Inc. † | | | 1,247 | | | | 10,101 | |
| j2 Global, Inc. | | | 261 | | | | 12,883 | |
| Lattice Semiconductor Corp. † | | | 3,700 | | | | 27,750 | |
| Lexmark International, Inc., Class A | | | 293 | | | | 12,452 | |
| Lionbridge Technologies, Inc. † | | | 2,500 | | | | 11,250 | |
| Littelfuse, Inc. | | | 100 | | | | 8,518 | |
| LogMeIn, Inc. † | | | 500 | | | | 23,035 | |
| Manhattan Associates, Inc. † | | | 600 | | | | 20,052 | |
| ManTech International Corp., Class A | | | 611 | | | | 16,466 | |
| MaxLinear, Inc., Class A † | | | 800 | | | | 5,504 | |
| Mentor Graphics Corp. | | | 910 | | | | 18,650 | |
| Mercury Systems, Inc. † | | | 600 | | | | 6,606 | |
| Methode Electronics, Inc. | | | 788 | | | | 29,054 | |
| MicroStrategy, Inc., Class A † | | | 200 | | | | 26,168 | |
| MKS Instruments, Inc. | | | 600 | | | | 20,028 | |
| Monolithic Power Systems, Inc. | | | 400 | | | | 17,620 | |
| Monotype Imaging Holdings, Inc. | | | 91 | | | | 2,577 | |
| Monster Worldwide, Inc. † | | | 1,200 | | | | 6,600 | |
| NetScout Systems, Inc. † | | | 855 | | | | 39,159 | |
| Newport Corp. † | | | 867 | | | | 15,363 | |
| OmniVision Technologies, Inc. † | | | 1,400 | | | | 37,044 | |
| PC Connection, Inc. | | | 633 | | | | 13,591 | |
| Perceptron, Inc. | | | 500 | | | | 4,895 | |
| Perficient, Inc. † | | | 700 | | | | 10,493 | |
| Pericom Semiconductor Corp. † | | | 1,200 | | | | 11,688 | |
| Photronics, Inc. † | | | 1,412 | | | | 11,367 | |
| Pixelworks, Inc. † | | | 1,900 | | | | 12,274 | |
| Plantronics, Inc. | | | 112 | | | | 5,351 | |
| Plexus Corp. † | | | 593 | | | | 21,899 | |
| Polycom, Inc. † | | | 2,600 | | | | 31,941 | |
| PRGX Global, Inc. † | | | 1,300 | | | | 7,618 | |
| QLogic Corp. † | | | 1,317 | | | | 12,064 | |
| RealD, Inc. † | | | 1,000 | | | | 9,370 | |
| RF Industries Ltd. | | | 1,207 | | | | 5,951 | |
| RF Micro Devices, Inc. † | | | 500 | | | | 5,770 | |
| Rogers Corp. † | | | 500 | | | | 27,380 | |
| Rovi Corp. † | | | 900 | | | | 17,770 | |
| Sanmina Corp. † | | | 1,760 | | | | 36,714 | |
| ScanSource, Inc. † | | | 479 | | | | 16,569 | |
| ShoreTel, Inc. † | | | 2,800 | | | | 18,620 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 123 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR SMALL CAP CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Information Technology - 19.3% (continued) | | | | | | | | |
| Spansion, Inc., Class A † | | | 1,900 | | | $ | 43,301 | |
| Stamps.com, Inc. † | | | 126 | | | | 4,002 | |
| SunPower Corp. † | | | 189 | | | | 6,403 | |
| Super Micro Computer, Inc. † | | | 957 | | | | 28,155 | |
| Sykes Enterprises, Inc. † | | | 1,020 | | | | 20,380 | |
| Synaptics, Inc. † | | | 179 | | | | 13,103 | |
| SYNNEX Corp. † | | | 645 | | | | 41,686 | |
| Take-Two Interactive Software, Inc. † | | | 2,264 | | | | 52,230 | |
| Tech Data Corp. † | | | 500 | | | | 29,430 | |
| TechTarget, Inc. † | | | 1,600 | | | | 13,744 | |
| TeleCommunication Systems, Inc., Class A † | | | 2,100 | | | | 5,859 | |
| TeleTech Holdings, Inc. † | | | 714 | | | | 17,550 | |
| Tessco Technologies, Inc. | | | 397 | | | | 11,509 | |
| TiVo, Inc. † | | | 1,588 | | | | 20,318 | |
| Ubiquiti Networks, Inc. † | | | 171 | | | | 6,418 | |
| Ultra Clean Holdings, Inc. † | | | 1,956 | | | | 17,506 | |
| Unisys Corp. † | | | 327 | | | | 7,655 | |
| United Online, Inc. | | | 1,308 | | | | 14,323 | |
| VASCO Data Security International, Inc. † | | | 1,000 | | | | 18,780 | |
| Verint Systems, Inc. † | | | 400 | | | | 22,244 | |
| Virtusa Corp. † | | | 400 | | | | 14,224 | |
| Vishay Intertechnology, Inc. | | | 2,400 | | | | 34,296 | |
| Westell Technologies, Inc., Class A † | | | 2,800 | | | | 5,152 | |
| Xcerra Corp. † | | | 900 | | | | 8,811 | |
| Zebra Technologies Corp., Class A † | | | 100 | | | | 7,097 | |
| Zhone Technologies, Inc. † | | | 4,097 | | | | 11,062 | |
| | | | | | | | |
| | | | | | | 1,851,362 | |
| | | | | | | | |
| Materials - 3.5% | |
| A Schulman, Inc. | | | 596 | | | | 21,551 | |
| Advanced Emissions Solutions, Inc. † | | | 500 | | | | 10,635 | |
| AK Steel Holding Corp. † | | | 1,600 | | | | 12,816 | |
| Boise Cascade Co. † | | | 500 | | | | 15,070 | |
| Century Aluminum Co. † | | | 700 | | | | 18,179 | |
| Clearwater Paper Corp. † | | | 455 | | | | 27,350 | |
| Commercial Metals Co. | | | 1,400 | | | | 23,898 | |
| Ferro Corp. † | | | 2,100 | | | | 30,429 | |
| Flotek Industries, Inc. † | | | 194 | | | | 5,058 | |
| FutureFuel Corp. | | | 954 | | | | 11,343 | |
| Innophos Holdings, Inc. | | | 200 | | | | 11,018 | |
| Kaiser Aluminum Corp. | | | 100 | | | | 7,622 | |
| Kraton Performance Polymers, Inc. † | | | 400 | | | | 7,124 | |
| Materion Corp. | | | 151 | | | | 4,631 | |
| Minerals Technologies, Inc. | | | 59 | | | | 3,641 | |
| Myers Industries, Inc. | | | 230 | | | | 4,057 | |
| Neenah Paper, Inc. | | | 308 | | | | 16,472 | |
| Olin Corp. | | | 1,448 | | | | 36,562 | |
| Olympic Steel, Inc. | | | 350 | | | | 7,200 | |
| OM Group, Inc. | | | 191 | | | | 4,957 | |
| OMNOVA Solutions, Inc. † | | | 1,357 | | | | 7,287 | |
| PH Glatfelter Co. | | | 386 | | | | 8,473 | |
| Quaker Chemical Corp. | | | 141 | | | | 10,108 | |
| Stillwater Mining Co. † | | | 900 | | | | 13,527 | |
| Trecora Resources † | | | 700 | | | | 8,666 | |
| US Concrete, Inc. † | | | 273 | | | | 7,136 | |
| US Silica Holdings, Inc. | | | 63 | | | | 3,938 | |
| | | | | | | | |
| | | | | | | 338,748 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Telecommunication Services - 1.6% | | | | | | | | |
| 8x8, Inc. † | | | 750 | | | $ | 5,010 | |
| Atlantic Tele-Network, Inc. | | | 16 | | | | 862 | |
| Cincinnati Bell, Inc. † | | | 3,800 | | | | 12,806 | |
| FairPoint Communications, Inc. † | | | 700 | | | | 10,619 | |
| Hawaiian Telcom Holdco, Inc. † | | | 300 | | | | 7,707 | |
| IDT Corp., Class B | | | 795 | | | | 12,768 | |
| Inteliquent, Inc. | | | 1,175 | | | | 14,629 | |
| Iridium Communications, Inc. † | | | 2,100 | | | | 18,585 | |
| Lumos Networks Corp. | | | 500 | | | | 8,125 | |
| Premiere Global Services, Inc. † | | | 532 | | | | 6,368 | |
| Shenandoah Telecommunications Co. | | | 304 | | | | 7,542 | |
| Spok Holdings, Inc. | | | 546 | | | | 7,104 | |
| Straight Path Communications, Inc., Class B † | | | 200 | | | | 3,150 | |
| Telephone & Data Systems, Inc. | | | 700 | | | | 16,772 | |
| Vonage Holdings Corp. † | | | 5,464 | | | | 17,922 | |
| | | | | | | | |
| | | | | | | 149,969 | |
| | | | | | | | |
| Utilities - 0.6% | | | | | | | | |
| Avista Corp. | | | 300 | | | | 9,159 | |
| New Jersey Resources Corp. | | | 500 | | | | 25,255 | |
| Portland General Electric Co. | | | 900 | | | | 28,908 | |
| | | | | | | | |
| | | | | | | 63,322 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $9,091,052) | | | | | | | 9,423,585 | |
| | | | | | | | |
| | |
| EXCHANGE-TRADED FUNDS - 1.4% | | | | | | | | |
| iShares Russell 2000 ETF | | | | | | | | |
(cost $139,131) | | | 1,259 | | | | 137,671 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 1.7% | | | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | | | | | | | | |
(cost $164,761) | | | 164,761 | | | | 164,761 | |
| | | | | | | | |
TOTAL INVESTMENTS - 101.2%
(cost $9,394,944) | | | | | | | 9,726,017 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2%) | | | | | | | (114,156 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 9,611,861 | |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of September 30, 2014. |
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. | | |
| | | | | | | | | | | | | | | | |
| 124 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL CORE EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 94.6% | | SHARES | | | VALUE (Note 2) | |
| Australia - 2.1% | | | | | | | | |
| Caltex Australia Ltd. | | | 5,416 | | | $ | 132,574 | |
| Fortescue Metals Group Ltd. | | | 61,946 | | | | 188,193 | |
| Macquarie Group Ltd. | | | 5,671 | | | | 285,362 | |
| Orica Ltd. | | | 8,006 | | | | 132,129 | |
| Suncorp Group Ltd. | | | 3,725 | | | | 45,785 | |
| Tatts Group Ltd. | | | 823 | | | | 2,266 | |
| Telstra Corp. Ltd. | | | 52,977 | | | | 245,802 | |
| Woodside Petroleum Ltd. | | | 3,743 | | | | 132,905 | |
| Woolworths Ltd. | | | 511 | | | | 15,301 | |
| | | | | | | | |
| | | | | | | 1,180,317 | |
| | | | | | | | |
| Austria - 0.6% | | | | | | | | |
| Andritz AG | | | 484 | | | | 25,771 | |
| Erste Group Bank AG | | | 1,258 | | | | 28,723 | |
| Flughafen Wien AG | | | 378 | | | | 31,555 | |
| Oesterreichische Post AG | | | 282 | | | | 13,518 | |
| OMV AG | | | 2,665 | | | | 89,616 | |
| Raiffeisen Bank International AG | | | 1,585 | | | | 34,338 | |
| Strabag SE | | | 723 | | | | 17,035 | |
| Vienna Insurance Group AG Wiener Versicherung Gruppe | | | 892 | | | | 40,181 | |
| Voestalpine AG | | | 967 | | | | 38,186 | |
| Wienerberger AG | | | 3,230 | | | | 41,586 | |
| | | | | | | | |
| | | | | | | 360,509 | |
| | | | | | | | |
| Belgium - 1.0% | | | | | | | | |
| Ageas | | | 1,578 | | | | 52,317 | |
| Belgacom SA | | | 3,860 | | | | 134,391 | |
| bpost SA | | | 5,590 | | | | 133,218 | |
| Colruyt SA | | | 241 | | | | 10,619 | |
| Delhaize Group SA | | | 982 | | | | 68,246 | |
| KBC Groep NV † | | | 3,513 | | | | 186,491 | |
| | | | | | | | |
| | | | | | | 585,282 | |
| | | | | | | | |
| Canada - 12.5% | | | | | | | | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 12,082 | | | | 386,318 | |
| Bank of Montreal (1) | | | 6,900 | | | | 507,850 | |
| Bank of Nova Scotia/The (1) | | | 9,700 | | | | 599,954 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 6,700 | | | | 300,796 | |
| Canadian Imperial Bank of Commerce (1) | | | 5,000 | | | | 449,083 | |
| Canadian Natural Resources Ltd. (1) | | | 12,000 | | | | 466,199 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 790 | | | | 80,943 | |
| CCL Industries, Inc., Class B (1) | | | 1,300 | | | | 129,913 | |
| Empire Co., Ltd., Class A (1) | | | 1,104 | | | | 76,781 | |
| Encana Corp. (1) | | | 3,200 | | | | 67,946 | |
| Finning International, Inc. (1) | | | 4,600 | | | | 129,750 | |
| Genworth MI Canada, Inc. (1) | | | 3,400 | | | | 107,469 | |
| Gildan Activewear, Inc. (1) | | | 90 | | | | 4,924 | |
| Husky Energy, Inc. (1) | | | 2,100 | | | | 57,640 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 2,438 | | | | 100,942 | |
| Magna International, Inc. (1) | | | 4,454 | | | | 422,751 | |
| Manulife Financial Corp. (1) | | | 14,202 | | | | 273,147 | |
| Methanex Corp. (1) | | | 3,000 | | | | 200,259 | |
| National Bank of Canada (1) | | | 6,000 | | | | 273,387 | |
| Open Text Corp. (1) | | | 2,400 | | | | 132,756 | |
| Pengrowth Energy Corp. (1) | | | 9,500 | | | | 49,792 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Canada - 12.5% (continued) | | | | | | | | |
| Precision Drilling Corp. (1) | | | 12,000 | | | $ | 129,542 | |
| Royal Bank of Canada (1) | | | 5,300 | | | | 378,825 | |
| Stantec, Inc. (1) | | | 1,900 | | | | 124,320 | |
| Sun Life Financial, Inc. (1) | | | 6,255 | | | | 226,754 | |
| Suncor Energy, Inc. (1) | | | 14,900 | | | | 539,218 | |
| Toronto-Dominion Bank/The (1) | | | 15,100 | | | | 745,191 | |
| West Fraser Timber Co., Ltd. (1) | | | 952 | | | | 46,540 | |
| | | | | | | | |
| | | | | | | 7,008,990 | |
| | | | | | | | |
| China - 0.1% | | | | | | | | |
| FIH Mobile Ltd. † | | | 96,000 | | | | 49,911 | |
| | | | | | | | |
| | |
| Denmark - 2.1% | | | | | | | | |
| AP Moeller - Maersk A/S, Class B | | | 117 | | | | 277,155 | |
| Danske Bank A/S | | | 8,756 | | | | 237,355 | |
| Pandora A/S | | | 2,620 | | | | 204,561 | |
| TDC A/S | | | 21,272 | | | | 161,151 | |
| Tryg A/S | | | 676 | | | | 70,132 | |
| Vestas Wind Systems A/S † | | | 5,004 | | | | 195,094 | |
| | | | | | | | |
| | | | | | | 1,145,448 | |
| | | | | | | | |
| Finland - 0.9% | | | | | | | | |
| Fortum OYJ | | | 9,126 | | | | 222,509 | |
| Huhtamaki OYJ | | | 1,511 | | | �� | 41,378 | |
| Neste Oil OYJ | | | 3,011 | | | | 61,967 | |
| Sampo OYJ, A Shares | | | 1,584 | | | | 76,589 | |
| Stora Enso OYJ, R Shares | | | 6,335 | | | | 52,559 | |
| UPM-Kymmene OYJ | | | 3,706 | | | | 52,682 | |
| | | | | | | | |
| | | | | | | 507,684 | |
| | | | | | | | |
| France - 6.0% | | | | | | | | |
| AXA SA | | | 13,387 | | | | 329,756 | |
| BNP Paribas SA | | | 4,474 | | | | 296,931 | |
| Bouygues SA | | | 1,362 | | | | 44,039 | |
| Cap Gemini SA | | | 1,530 | | | | 109,722 | |
| Cie Generale des Etablissements Michelin | | | 481 | | | | 45,306 | |
| Credit Agricole SA | | | 5,900 | | | | 88,934 | |
| Electricite de France SA | | | 4,079 | | | | 133,819 | |
| GDF Suez | | | 18,144 | | | | 455,060 | |
| Natixis | | | 22,361 | | | | 153,842 | |
| Orange SA | | | 18,783 | | | | 280,291 | |
| Renault SA | | | 709 | | | | 51,289 | |
| Safran SA | | | 1,893 | | | | 122,730 | |
| Sanofi | | | 391 | | | | 44,211 | |
| Societe Generale SA | | | 3,885 | | | | 198,166 | |
| Suez Environnement Co. | | | 5,495 | | | | 92,944 | |
| Total SA | | | 12,316 | | | | 797,511 | |
| Zodiac Aerospace | | | 3,181 | | | | 101,438 | |
| | | | | | | | |
| | | | | | | 3,345,989 | |
| | | | | | | | |
| Germany - 7.3% | | | | | | | | |
| Allianz SE | | | 3,837 | | | | 619,414 | |
| BASF SE | | | 1,528 | | | | 139,380 | |
| Bayerische Motoren Werke AG | | | 3,421 | | | | 365,617 | |
| Commerzbank AG † | | | 13,620 | | | | 202,245 | |
| Continental AG | | | 2,306 | | | | 436,819 | |
| Daimler AG | | | 6,012 | | | | 459,118 | |
| Deutsche Lufthansa AG | | | 4,391 | | | | 68,948 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 125 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Germany - 7.3% (continued) | | | | | | | | |
| Deutsche Telekom AG | | | 23,937 | | | $ | 362,324 | |
| E.ON SE | | | 17,029 | | | | 310,978 | |
| Hannover Rueck SE | | | 1,033 | | | | 83,373 | |
| Infineon Technologies AG | | | 20,065 | | | | 206,528 | |
| Muenchener Rueckversicherungs AG | | | 2,034 | | | | 401,242 | |
| ProSiebenSat.1 Media AG | | | 1,324 | | | | 52,490 | |
| RWE AG | | | 6,455 | | | | 251,232 | |
| Talanx AG | | | 3,356 | | | | 111,470 | |
| | | | | | | | |
| | | | | | | 4,071,178 | |
| | | | | | | | |
| Hong Kong - 2.8% | | | | | | | | |
| Cheung Kong Holdings Ltd. | | | 14,000 | | | | 230,299 | |
| Galaxy Entertainment Group Ltd. | | | 4,000 | | | | 23,224 | |
| Henderson Land Development Co., Ltd. | | | 21,210 | | | | 137,310 | |
| Hutchison Whampoa Ltd. | | | 20,000 | | | | 241,772 | |
| Johnson Electric Holdings Ltd. | | | 15,500 | | | | 59,111 | |
| Kerry Properties Ltd. | | | 1,000 | | | | 3,353 | |
| Link REIT/The REIT | | | 23,500 | | | | 135,610 | |
| MGM China Holdings Ltd. | | | 13,600 | | | | 39,190 | |
| NWS Holdings Ltd. | | | 18,000 | | | | 32,014 | |
| PCCW Ltd. | | | 81,000 | | | | 50,840 | |
| Sino Land Co., Ltd. | | | 86,000 | | | | 132,567 | |
| SJM Holdings Ltd. | | | 32,000 | | | | 60,924 | |
| Swire Properties Ltd. | | | 2,600 | | | | 8,101 | |
| Techtronic Industries Co. | | | 16,500 | | | | 47,580 | |
| Wharf Holdings Ltd./The | | | 10,000 | | | | 71,027 | |
| Wheelock & Co., Ltd. | | | 9,000 | | | | 42,931 | |
| Wynn Macau Ltd. | | | 40,800 | | | | 130,028 | |
| Yue Yuen Industrial Holdings Ltd. | | | 34,500 | | | | 104,223 | |
| | | | | | | | |
| | | | | | | 1,550,104 | |
| | | | | | | | |
| Italy - 5.1% | | | | | | | | |
| Assicurazioni Generali SpA | | | 4,452 | | | | 93,345 | |
| Banco Popolare SC † | | | 13,307 | | | | 193,795 | |
| Enel SpA | | | 65,495 | | | | 346,476 | |
| Eni SpA | | | 19,455 | | | | 461,594 | |
| Fiat SpA † | | | 20,690 | | | | 199,404 | |
| GTECH SpA | | | 2,437 | | | | 57,677 | |
| Intesa Sanpaolo SpA | | | 136,656 | | | | 412,527 | |
| Mediobanca SpA † | | | 6,777 | | | | 57,901 | |
| Parmalat SpA | | | 28,460 | | | | 89,864 | |
| Pirelli & C. SpA | | | 9,640 | | | | 132,926 | |
| UniCredit SpA | | | 49,282 | | | | 387,154 | |
| Unione di Banche Italiane SCpA | | | 25,665 | | | | 214,506 | |
| UnipolSai SpA | | | 61,823 | | | | 174,033 | |
| | | | | | | | |
| | | | | | | 2,821,202 | |
| | | | | | | | |
| Japan - 26.8% | | | | | | | | |
| 77 Bank Ltd./The | | | 12,000 | | | | 63,240 | |
| Aiful Corp. † | | | 22,900 | | | | 96,304 | |
| Aisin Seiki Co., Ltd. | | | 1,200 | | | | 43,313 | |
| Alfresa Holdings Corp. | | | 9,300 | | | | 133,883 | |
| Alps Electric Co., Ltd. | | | 8,900 | | | | 152,990 | |
| Asahi Kasei Corp. | | | 30,000 | | | | 243,970 | |
| Astellas Pharma, Inc. | | | 12,300 | | | | 183,191 | |
| Bandai Namco Holdings, Inc. | | | 5,500 | | | | 141,494 | |
| Bridgestone Corp. | | | 2,300 | | | | 76,072 | |
| Brother Industries Ltd. | | | 8,300 | | | | 153,385 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 26.8% (continued) | | | | | | | | |
| Canon Marketing Japan, Inc. | | | 6,400 | | | $ | 123,288 | |
| Canon, Inc. | | | 5,400 | | | | 175,694 | |
| Casio Computer Co., Ltd. | | | 4,900 | | | | 81,885 | |
| Central Japan Railway Co. | | | 1,900 | | | | 256,289 | |
| Chugoku Bank Ltd./The | | | 3,000 | | | | 44,060 | |
| Citizen Holdings Co., Ltd. | | | 20,800 | | | | 136,583 | |
| Coca-Cola East Japan Co., Ltd. | | | 2,700 | | | | 53,667 | |
| COMSYS Holdings Corp. | | | 8,000 | | | | 138,086 | |
| Daiichikosho Co., Ltd. | | | 2,800 | | | | 75,272 | |
| Daikin Industries Ltd. | | | 2,400 | | | | 148,879 | |
| Daito Trust Construction Co., Ltd. | | | 1,400 | | | | 165,554 | |
| Denso Corp. | | | 1,800 | | | | 83,045 | |
| DIC Corp. | | | 17,000 | | | | 38,212 | |
| Ezaki Glico Co., Ltd. | | | 2,000 | | | | 68,970 | |
| Fuji Electric Co., Ltd. | | | 11,000 | | | | 53,239 | |
| Fuji Heavy Industries Ltd. | | | 7,200 | | | | 238,512 | |
| FUJIFILM Holdings Corp. | | | 7,500 | | | | 230,453 | |
| Fujitsu Ltd. | | | 24,000 | | | | 147,710 | |
| Glory Ltd. | | | 4,900 | | | | 138,316 | |
| Gree, Inc. | | | 9,400 | | | | 64,094 | |
| GungHo Online Entertainment, Inc. | | | 5,500 | | | | 26,184 | |
| Gunma Bank Ltd./The | | | 7,000 | | | | 40,352 | |
| Hachijuni Bank Ltd./The | | | 7,000 | | | | 42,068 | |
| Hakuhodo DY Holdings, Inc. | | | 12,900 | | | | 130,591 | |
| Haseko Corp. | | | 15,600 | | | | 120,552 | |
| Heiwa Corp. | | | 7,400 | | | | 146,213 | |
| Hikari Tsushin, Inc. | | | 900 | | | | 63,981 | |
| Hino Motors Ltd. | | | 2,000 | | | | 27,986 | |
| Hiroshima Bank Ltd./The | | | 11,000 | | | | 54,053 | |
| Hitachi Capital Corp. | | | 3,100 | | | | 74,551 | |
| Hitachi Ltd. | | | 12,000 | | | | 91,680 | |
| Hitachi Metals Ltd. | | | 6,000 | | | | 108,147 | |
| Hokuhoku Financial Group, Inc. | | | 72,000 | | | | 141,136 | |
| Hoya Corp. | | | 6,900 | | | | 231,704 | |
| Ibiden Co., Ltd. | | | 8,000 | | | | 155,938 | |
| Inpex Corp. | | | 17,300 | | | | 244,589 | |
| Isuzu Motors Ltd. | | | 3,500 | | | | 49,498 | |
| ITOCHU Corp. | | | 13,700 | | | | 167,318 | |
| Iyo Bank Ltd./The | | | 4,000 | | | | 40,493 | |
| Japan Airlines Co., Ltd. | | | 7,200 | | | | 197,011 | |
| Japan Aviation Electronics Industry Ltd. | | | 9,000 | | | | 205,291 | |
| JGC Corp. | | | 3,000 | | | | 81,965 | |
| Joyo Bank Ltd./The | | | 6,000 | | | | 29,532 | |
| JTEKT Corp. | | | 3,200 | | | | 53,637 | |
| Juroku Bank Ltd./The | | | 6,000 | | | | 22,494 | |
| Kaken Pharmaceutical Co., Ltd. | | | 6,000 | | | | 135,285 | |
| Kao Corp. | | | 4,400 | | | | 171,700 | |
| KDDI Corp. | | | 5,800 | | | | 348,906 | |
| Keiyo Bank Ltd./The | | | 5,000 | | | | 25,483 | |
| Kobe Steel Ltd. | | | 49,000 | | | | 79,575 | |
| Koito Manufacturing Co., Ltd. | | | 2,000 | | | | 54,407 | |
| Konica Minolta, Inc. | | | 19,300 | | | | 208,643 | |
| Mazda Motor Corp. | | | 6,300 | | | | 158,473 | |
| MEIJI Holdings Co., Ltd. | | | 1,000 | | | | 79,081 | |
| Minebea Co., Ltd. | | | 15,000 | | | | 204,710 | |
| Mitsubishi Corp. | | | 8,300 | | | | 169,986 | |
| Mitsubishi Electric Corp. | | | 17,000 | | | | 226,630 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 126 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Japan - 26.8% (continued) | | | | | | | | |
| Mitsubishi Tanabe Pharma Corp. | | | 6,200 | | | $ | 90,976 | |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 24,800 | | | | 129,700 | |
| Mitsui & Co., Ltd. | | | 17,900 | | | | 282,356 | |
| Murata Manufacturing Co., Ltd. | | | 1,600 | | | | 181,865 | |
| NGK Spark Plug Co., Ltd. | | | 2,700 | | | | 79,447 | |
| NH Foods Ltd. | | | 9,000 | | | | 191,095 | |
| Nippon Paint Co., Ltd. | | | 3,000 | | | | 67,674 | |
| Nippon Paper Industries Co., Ltd. | | | 4,100 | | | | 61,389 | |
| Nippon Telegraph & Telephone Corp. | | | 8,700 | | | | 539,524 | |
| Nissan Shatai Co., Ltd. | | | 3,100 | | | | 50,554 | |
| Nitori Holdings Co., Ltd. | | | 3,400 | | | | 210,648 | |
| NOK Corp. | | | 6,800 | | | | 156,107 | |
| NSK Ltd. | | | 3,000 | | | | 42,789 | |
| NTN Corp. | | | 30,000 | | | | 135,524 | |
| NTT DOCOMO, Inc. | | | 7,000 | | | | 117,238 | |
| Oji Holdings Corp. | | | 20,000 | | | | 75,716 | |
| Omron Corp. | | | 4,100 | | | | 186,337 | |
| ORIX Corp. | | | 15,500 | | | | 213,985 | |
| Otsuka Holdings Co., Ltd. | | | 6,000 | | | | 206,810 | |
| Panasonic Corp. | | | 25,300 | | | | 301,535 | |
| Renesas Electronics Corp. † | | | 4,400 | | | | 37,772 | |
| Resona Holdings, Inc. | | | 17,700 | | | | 99,853 | |
| Rinnai Corp. | | | 1,600 | | | | 132,748 | |
| Rohm Co., Ltd. | | | 3,400 | | | | 214,081 | |
| Sanwa Holdings Corp. | | | 18,000 | | | | 127,994 | |
| SCSK Corp. | | | 2,500 | | | | 67,233 | |
| Seiko Epson Corp. | | | 3,200 | | | | 154,185 | |
| Seino Holdings Co., Ltd. | | | 11,000 | | | | 88,179 | |
| Sekisui Chemical Co., Ltd. | | | 18,000 | | | | 206,873 | |
| Seven & I Holdings Co., Ltd. | | | 2,200 | | | | 85,330 | |
| Shiga Bank Ltd./The | | | 5,000 | | | | 27,538 | |
| Shionogi & Co., Ltd. | | | 6,800 | | | | 156,064 | |
| Sohgo Security Services Co., Ltd. | | | 6,200 | | | | 145,858 | |
| Square Enix Holdings Co., Ltd. | | | 4,700 | | | | 99,743 | |
| Sumitomo Heavy Industries Ltd. | | | 23,000 | | | | 129,544 | |
| Sumitomo Metal Mining Co., Ltd. | | | 5,000 | | | | 70,369 | |
| Suzuki Motor Corp. | | | 6,500 | | | | 215,574 | |
| Taisei Corp. | | | 34,000 | | | | 191,817 | |
| Takashimaya Co., Ltd. | | | 5,000 | | | | 41,823 | |
| TDK Corp. | | | 1,700 | | | | 95,098 | |
| Tokai Tokyo Financial Holdings, Inc. | | | 11,600 | | | | 79,774 | |
| Tokyo Gas Co., Ltd. | | | 27,000 | | | | 151,716 | |
| Tosoh Corp. | | | 25,000 | | | | 101,433 | |
| TOTO Ltd. | | | 6,000 | | | | 66,010 | |
| Toyo Seikan Group Holdings Ltd. | | | 6,800 | | | | 84,300 | |
| Toyo Tire & Rubber Co., Ltd. | | | 8,500 | | | | 145,439 | |
| TS Tech Co., Ltd. | | | 1,300 | | | | 31,617 | |
| Yamaguchi Financial Group, Inc. | | | 5,000 | | | | 47,294 | |
| Yamaha Corp. | | | 8,400 | | | | 109,821 | |
| Yamaha Motor Co., Ltd. | | | 10,900 | | | | 213,584 | |
| Yokohama Rubber Co., Ltd./The | | | 4,000 | | | | 34,661 | |
| Zeon Corp. | | | 3,000 | | | | 30,660 | |
| | | | | | | | |
| | | | | | | 14,964,747 | |
| | | | | | | | |
| Luxembourg - 0.3% | | | | | | | | |
| ArcelorMittal | | | 12,128 | | | | 165,937 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Netherlands - 5.9% | | | | | | | | |
| Aegon NV | | | 27,328 | | | $ | 225,024 | |
| Akzo Nobel NV | | | 1,949 | | | | 133,353 | |
| Heineken Holding NV | | | 798 | | | | 52,688 | |
| ING Groep NV CVA † | | | 43,672 | | | | 620,763 | |
| Koninklijke Ahold NV | | | 17,213 | | | | 278,432 | |
| Royal Dutch Shell PLC, A Shares | | | 52,735 | | | | 2,013,037 | |
| | | | | | | | |
| | | | | | | 3,323,297 | |
| | | | | | | | |
| Norway - 2.1% | | | | | | | | |
| DNB ASA | | | 12,018 | | | | 224,906 | |
| DNO ASA † | | | 18,259 | | | | 57,173 | |
| Gjensidige Forsikring ASA | | | 6,284 | | | | 132,868 | |
| Marine Harvest ASA | | | 5,225 | | | | 73,080 | |
| Statoil ASA | | | 13,976 | | | | 380,507 | |
| Telenor ASA | | | 2,578 | | | | 56,581 | |
| Yara International ASA | | | 4,546 | | | | 228,314 | |
| | | | | | | | |
| | | | | | | 1,153,429 | |
| | | | | | | | |
| Portugal - 0.6% | | | | | | | | |
| EDP - Energias de Portugal SA | | | 52,849 | | | | 230,456 | |
| Portucel SA | | | 7,524 | | | | 29,944 | |
| Sonae SGPS SA | | | 33,946 | | | | 49,185 | |
| | | | | | | | |
| | | | | | | 309,585 | |
| | | | | | | | |
| Singapore - 0.8% | | | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 58,000 | | | | 108,949 | |
| Keppel Land Ltd. | | | 20,000 | | | | 54,834 | |
| Mapletree Commercial Trust REIT | | | 51,000 | | | | 56,346 | |
| Noble Group Ltd. | | | 88,000 | | | | 89,466 | |
| Olam International Ltd. | | | 36,000 | | | | 66,122 | |
| StarHub Ltd. | | | 4,000 | | | | 12,910 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 60,000 | | | | 55,441 | |
| Yanlord Land Group Ltd. | | | 31,000 | | | | 26,086 | |
| | | | | | | | |
| | | | | | | 470,154 | |
| | | | | | | | |
| South Africa - 0.1% | | | | | | | | |
| Mondi PLC | | | 3,791 | | | | 61,826 | |
| | | | | | | | |
| | |
| Spain - 5.9% | | | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 4,034 | | | | 154,621 | |
| Amadeus IT Holding SA, A Shares | | | 513 | | | | 19,151 | |
| Banco de Sabadell SA | | | 66,224 | | | | 195,539 | |
| Banco Popular Espanol SA | | | 15,836 | | | | 96,589 | |
| Banco Santander SA | | | 103,496 | | | | 990,832 | |
| Bankia SA † | | | 36,048 | | | | 67,063 | |
| CaixaBank SA | | | 20,798 | | | | 126,463 | |
| Endesa SA | | | 5,086 | | | | 200,856 | |
| Ferrovial SA | | | 6,840 | | | | 132,330 | |
| Gas Natural SDG SA | | | 7,094 | | | | 208,682 | |
| Iberdrola SA | | | 62,882 | | | | 449,474 | |
| Repsol SA | | | 10,503 | | | | 249,174 | |
| Telefonica SA | | | 27,537 | | | | 425,287 | |
| | | | | | | | |
| | | | | | | 3,316,061 | |
| | | | | | | | |
| Sweden - 2.4% | | | | | | | | |
| Husqvarna AB, B Shares | | | 19,358 | | | | 136,482 | |
| Investor AB, B Shares | | | 11,216 | | | | 394,911 | |
| Nordea Bank AB | | | 22,224 | | | | 288,099 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 127 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR INTERNATIONAL CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Sweden - 2.4% (continued) | | | | | | | | |
| Skandinaviska Enskilda Banken AB, Class A | | | 23,095 | | | $ | 307,271 | |
| Telefonaktiebolaget LM Ericsson, B Shares | | | 4,762 | | | | 60,043 | |
| TeliaSonera AB | | | 22,200 | | | | 153,095 | |
| | | | | | | | |
| | | | | | | 1,339,901 | |
| | | | | | | | |
| Switzerland - 3.2% | | | | | | | | |
| Actelion Ltd. † | | | 689 | | | | 80,700 | |
| Adecco SA † | | | 2,772 | | | | 187,390 | |
| STMicroelectronics NV | | | 3,816 | | | | 29,461 | |
| Swiss Life Holding AG † | | | 1,042 | | | | 248,302 | |
| Swiss Re AG † | | | 4,237 | | | | 337,191 | |
| Swisscom AG | | | 587 | | | | 332,731 | |
| Zurich Insurance Group AG † | | | 2,007 | | | | 597,289 | |
| | | | | | | | |
| | | | | | | 1,813,064 | |
| | | | | | | | |
| United Kingdom - 6.0% | | | | | | | | |
| AstraZeneca PLC | | | 7,394 | | | | 529,875 | |
| BAE Systems PLC | | | 15,044 | | | | 114,510 | |
| BP PLC | | | 84,380 | | | | 617,268 | |
| British Sky Broadcasting Group PLC | | | 12,241 | | | | 174,595 | |
| BT Group PLC | | | 38,021 | | | | 233,221 | |
| Direct Line Insurance Group PLC | | | 21,118 | | | | 100,509 | |
| easyJet PLC | | | 2,185 | | | | 50,281 | |
| GKN PLC | | | 20,749 | | | | 106,849 | |
| HSBC Holdings PLC | | | 15,916 | | | | 161,727 | |
| ITV PLC | | | 15,886 | | | | 53,340 | |
| J Sainsbury PLC | | | 31,011 | | | | 126,103 | |
| Legal & General Group PLC | | | 16,108 | | | | 59,605 | |
| London Stock Exchange Group PLC | | | 218 | | | | 6,579 | |
| Marks & Spencer Group PLC | | | 6,666 | | | | 43,586 | |
| Next PLC | | | 942 | | | | 100,827 | |
| Old Mutual PLC | | | 2,260 | | | | 6,629 | |
| Prudential PLC | | | 12,195 | | | | 271,111 | |
| Rexam PLC | | | 9,552 | | | | 75,933 | |
| RSA Insurance Group PLC † | | | 5,686 | | | | 44,580 | |
| Travis Perkins PLC | | | 1,527 | | | | 41,027 | |
| Vodafone Group PLC | | | 110,092 | | | | 362,778 | |
| Whitbread PLC | | | 166 | | | | 11,154 | |
| William Hill PLC | | | 7,569 | | | | 45,232 | |
| WPP PLC | | | 572 | | | | 11,459 | |
| | | | | | | | |
| | | | | | | 3,348,778 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $52,629,961) | | | | | | | 52,893,393 | |
| | | | | | | | |
| | |
| EXCHANGE-TRADED FUNDS - 4.1% | | | | | | | | |
| iShares MSCI EAFE ETF (1) | | | | | | | | |
(cost $2,284,193) | | | 35,705 | | | | 2,289,404 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (a) | | | | | | | | |
| Italy - 0.0% (a) | | | | | | | | |
| Fiat SpA (3)†(b) | | | 7,443 | | | | — | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 2) | |
| Spain - 0.0% (a) | | | | | | | | |
| Banco Popular Espanol SA † | | | 15,836 | | | $ | 220 | |
| | | | | | | | |
TOTAL RIGHTS
(cost $—) | | | | | | | 220 | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 10.1% | | | | | |
J.P. Morgan U.S. Treasury Plus
Money Market Fund - IM Shares, 0.000% (c) | | | | | | | | |
(cost $5,623,986) | | | 5,623,986 | | | | 5,623,986 | |
| | | | | | | | |
TOTAL INVESTMENTS - 108.8%
(cost $60,538,140) | | | | | | | 60,807,003 | |
| | | | | | | | |
| LIABILITIES IN EXCESS OF OTHER ASSETS - (8.8%) | | | | | | | (4,910,515 | ) |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 55,896,488 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | Represents less than 0.05 percent of net assets. |
| (b) | Security fair valued as of September 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
| (c) | Represents annualized seven-day yield as of September 30, 2014. |
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 | | $ | 7,121,814 | | | | 12.7 | % |
| Consumer Staples | | | 1,942,581 | | | | 3.5 | |
| Energy | | | 6,548,253 | | | | 11.7 | |
| Exchange-Traded Funds | | | 2,289,404 | | | | 4.1 | |
| Financials | | | 16,879,298 | | | | 30.2 | |
| Health Care | | | 1,560,994 | | | | 2.8 | |
| Industrials | | | 5,667,195 | | | | 10.1 | |
| Information Technology | | | 3,624,236 | | | | 6.5 | |
| Materials | | | 2,677,970 | | | | 4.8 | |
| Telecommunication Services | | | 3,817,069 | | | | 6.8 | |
| Utilities | | | 3,054,203 | | | | 5.5 | |
| Money Market Funds | | | 5,623,986 | | | | 10.1 | |
| | | | | | | | |
Total Investments | | | 60,807,003 | | | | 108.8 | |
| Liabilities in Excess of Other Assets | | | (4,910,515 | ) | | | (8.8 | ) |
| | | | | | | | |
Net Assets | | $ | 55,896,488 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 128 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING CORE EQUITY FUND | | |
| | | | | | | | |
| COMMON STOCKS - 96.1% | | SHARES | | | VALUE
(Note 2) | |
| Brazil - 8.3% | | | | | | | | |
| Banco Bradesco SA ADR (1) | | | 13,700 | | | $ | 195,225 | |
| Banco do Brasil SA (1) | | | 6,800 | | | | 70,729 | |
| Centrais Eletricas Brasileiras SA (1) | | | 23,100 | | | | 62,003 | |
| Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | | | 6,300 | | | | 51,093 | |
| Cia de Saneamento de Minas Gerais-COPASA (1) | | | 2,100 | | | | 27,479 | |
| Cia Energetica de Minas Gerais ADR (1) | | | 9,900 | | | | 61,677 | |
| Cia Paranaense de Energia ADR (1) | | | 3,300 | | | | 45,111 | |
| Cia Siderurgica Nacional SA ADR (1) | | | 8,700 | | | | 30,885 | |
| Fibria Celulose SA ADR (1)† | | | 1,500 | | | | 16,500 | |
| Gerdau SA ADR (1) | | | 3,900 | | | | 18,720 | |
| Itau Unibanco Holding SA ADR (1) | | | 16,510 | | | | 229,159 | |
| JBS SA (1) | | | 4,300 | | | | 16,197 | |
| Kroton Educacional SA (1) | | | 3,600 | | | | 22,620 | |
| Petroleo Brasileiro SA ADR (1) | | | 9,000 | | | | 134,010 | |
| Porto Seguro SA (1) | | | 5,400 | | | | 62,874 | |
| Qualicorp SA (1)† | | | 4,800 | | | | 47,495 | |
| Tim Participacoes SA ADR (1) | | | 2,800 | | | | 73,360 | |
| | | | | | | | |
| | | | | | | 1,165,137 | |
| | | | | | | | |
| Chile - 1.0% | | | | | | | | |
| Banco Santander Chile ADR (1) | | | 2,300 | | | | 50,807 | |
| Corpbanca SA (1) | | | 4,095,109 | | | | 52,303 | |
| Enersis SA ADR (1) | | | 2,500 | | | | 39,450 | |
| | | | | | | | |
| | | | | | | 142,560 | |
| | | | | | | | |
| China - 25.9% | | | | | | | | |
| Agricultural Bank of China Ltd., H Shares | | | 250,000 | | | | 110,649 | |
| Anhui Conch Cement Co., Ltd., H Shares | | | 25,500 | | | | 81,378 | |
| ANTA Sports Products Ltd. | | | 12,000 | | | | 24,385 | |
| Bank of China Ltd., H Shares | | | 660,000 | | | | 295,670 | |
| Bank of Communications Co., Ltd., H Shares | | | 154,000 | | | | 107,282 | |
| BBMG Corp., H Shares | | | 21,500 | | | | 14,888 | |
| Beijing Capital International Airport Co., Ltd., H Shares | | | 18,000 | | | | 13,726 | |
| China CITIC Bank Corp. Ltd., H Shares | | | 107,000 | | | | 64,825 | |
| China Construction Bank Corp., H Shares | | | 634,000 | | | | 443,383 | |
| China Merchants Bank Co., Ltd., H Shares | | | 80,500 | | | | 137,430 | |
| China Minsheng Banking Corp. Ltd., H Shares | | | 141,000 | | | | 128,999 | |
| China Oilfield Services Ltd., H Shares | | | 10,000 | | | | 26,347 | |
| China Petroleum & Chemical Corp. ADR (1) | | | 3,200 | | | | 279,552 | |
| China Shenhua Energy Co., Ltd., H Shares | | | 19,500 | | | | 54,280 | |
| China Telecom Corp. Ltd., H Shares | | | 150,000 | | | | 91,948 | |
| Chongqing Rural Commercial Bank, H Shares | | | 35,000 | | | | 15,849 | |
| CNOOC Ltd. ADR (1) | | | 700 | | | | 120,778 | |
| Datang International Power Generation Co. Ltd., H Shares | | | 66,000 | | | | 34,356 | |
| Dongfeng Motor Group Co., Ltd., H Shares | | | 30,000 | | | | 49,189 | |
| Evergrande Real Estate Group Ltd. | | | 183,000 | | | | 68,744 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| China - 25.9% (continued) | | | | | | | | |
| GOME Electrical Appliances Holding Ltd. | | | 448,000 | | | $ | 72,514 | |
| Great Wall Motor Co., Ltd., H Shares | | | 8,000 | | | | 31,004 | |
| Haitian International Holdings Ltd. | | | 8,000 | | | | 18,145 | |
| Huaneng Power International, Inc., H Shares | | | 68,000 | | | | 74,153 | |
| Industrial & Commercial Bank of China Ltd., H Shares | | | 635,000 | | | | 396,879 | |
| Jiangsu Expressway Co., Ltd., H Shares | | | 16,000 | | | | 16,893 | |
| Lenovo Group Ltd. | | | 70,000 | | | | 104,265 | |
| New China Life Insurance Co. Ltd., H Shares | | | 16,500 | | | | 57,485 | |
| PetroChina Co., Ltd. ADR (1) | | | 2,200 | | | | 282,722 | |
| PICC Property & Casualty Co., Ltd., H Shares | | | 56,000 | | | | 99,335 | |
| Ping An Insurance Group Co. of China Ltd. H Shares | | | 22,000 | | | | 165,064 | |
| Sihuan Pharmaceutical Holdings Group Ltd. | | | 24,000 | | | | 17,976 | |
| Sino-Ocean Land Holdings Ltd. | | | 108,000 | | | | 56,793 | |
| SOHO China Ltd. | | | 27,000 | | | | 19,530 | |
| Weichai Power Co. Ltd., H Shares | | | 19,000 | | | | 68,674 | |
| | | | | | | | |
| | | | | | | 3,645,090 | |
| | | | | | | | |
| Hong Kong - 7.3% | | | | | | | | |
| China Mobile Ltd. ADR (1) | | | 6,600 | | | | 387,750 | |
| China Resources Cement Holdings Ltd. | | | 86,000 | | | | 58,833 | |
| China Resources Power Holdings Co., Ltd. | | | 28,000 | | | | 75,442 | |
| China Taiping Insurance Holdings Co. Ltd. † | | | 24,600 | | | | 53,340 | |
| China Unicom Hong Kong Ltd. | | | 60,000 | | | | 89,985 | |
| CITIC Ltd. | | | 42,000 | | | | 70,203 | |
| Far East Horizon Ltd. | | | 70,000 | | | | 62,677 | |
| Franshion Properties China Ltd. | | | 50,000 | | | | 12,161 | |
| GCL-Poly Energy Holdings Ltd. † | | | 136,000 | | | | 49,850 | |
| Guangdong Investment Ltd. | | | 52,000 | | | | 60,788 | |
| Haier Electronics Group Co., Ltd. | | | 7,000 | | | | 18,357 | |
| New World China Land Ltd. | | | 116,000 | | | | 65,719 | |
| Shimao Property Holdings Ltd. | | | 13,000 | | | | 26,260 | |
| | | | | | | | |
| | | | | | | 1,031,365 | |
| | | | | | | | |
| Hungary - 0.4% | | | | | | | | |
| Richter Gedeon Nyrt | | | 3,196 | | | | 49,910 | |
| | | | | | | | |
| | |
| India - 3.1% | | | | | | | | |
| ICICI Bank Ltd. ADR (1) | | | 1,100 | | | | 54,010 | |
| Infosys Ltd. ADR (1) | | | 200 | | | | 12,098 | |
| Reliance Industries Ltd. GDR 144A (a) | | | 1,349 | | | | 41,151 | |
| Reliance Industries Ltd. GDR 144A (Luxembourg) (a) | | | 1,181 | | | | 36,008 | |
| State Bank of India GDR | | | 1,345 | | | | 105,877 | |
| Tata Motors Ltd. ADR (1) | | | 3,800 | | | | 166,098 | |
| Wipro Ltd. ADR (1) | | | 1,800 | | | | 21,888 | |
| | | | | | | | |
| | | | | | | 437,130 | |
| | | | | | | | |
| Indonesia - 2.5% | | | | | | | | |
| Adaro Energy Tbk PT | | | 546,700 | | | | 52,626 | |
| Astra Agro Lestari Tbk PT | | | 9,500 | | | | 17,916 | |
| Bank Negara Indonesia Persero Tbk PT | | | 118,000 | | | | 53,321 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 129 |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Indonesia - 2.5% (continued) | | | | | | | | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 90,800 | | | $ | 77,622 | |
| Telekomunikasi Indonesia Persero Tbk PT | | | 345,400 | | | | 82,741 | |
| United Tractors Tbk PT | | | 43,300 | | | | 70,710 | |
| | | | | | | | |
| | | | | | | 354,936 | |
| | | | | | | | |
| Korea, Republic of - 16.7% | | | | | | | | |
| Amorepacific Corp. | | | 29 | | | | 65,639 | |
| AMOREPACIFIC Group | | | 67 | | | | 74,159 | |
| BS Financial Group, Inc. | | | 1,260 | | | | 20,170 | |
| CJ Corp. | | | 400 | | | | 65,783 | |
| Coway Co., Ltd. | | | 735 | | | | 58,620 | |
| Daewoo Engineering & Construction Co. Ltd. † | | | 2,810 | | | | 20,414 | |
| DGB Financial Group, Inc. | | | 1,030 | | | | 16,374 | |
| Dongbu Insurance Co., Ltd. | | | 1,035 | | | | 58,231 | |
| E-Mart Co., Ltd. | | | 270 | | | | 58,999 | |
| GS Engineering & Construction Corp. † | | | 470 | | | | 16,323 | |
| Halla Visteon Climate Control Corp. | | | 1,142 | | | | 55,313 | |
| Hana Financial Group, Inc. | | | 1,712 | | | | 62,312 | |
| Hankook Tire Co., Ltd. | | | 423 | | | | 20,611 | |
| Hanwha Corp. | | | 510 | | | | 14,205 | |
| Hanwha Life Insurance Co., Ltd. | | | 2,660 | | | | 17,887 | |
| Hyosung Corp. | | | 273 | | | | 19,549 | |
| Hyundai Marine & Fire Insurance Co., Ltd. | | | 580 | | | | 15,984 | |
| Hyundai Mipo Dockyard Co., Ltd. | | | 132 | | | | 15,461 | |
| Hyundai Mobis Co., Ltd. | | | 354 | | | | 86,182 | |
| Hyundai Motor Co. | | | 82 | | | | 14,774 | |
| Hyundai Wia Corp. | | | 111 | | | | 22,586 | |
| Industrial Bank of Korea | | | 3,547 | | | | 53,483 | |
| KB Financial Group, Inc. | | | 930 | | | | 33,904 | |
| KCC Corp. | | | 26 | | | | 17,702 | |
| Kia Motors Corp. | | | 1,437 | | | | 72,984 | |
| Korea Electric Power Corp. | | | 1,752 | | | | 79,630 | |
| Korea Zinc Co., Ltd. | | | 151 | | | | 55,668 | |
| Korean Air Lines Co., Ltd. † | | | 610 | | | | 20,769 | |
| LG Chem Ltd. | | | 113 | | | | 27,353 | |
| LG Corp. | | | 530 | | | | 38,530 | |
| LG Display Co., Ltd. † | | | 785 | | | | 25,086 | |
| LG Innotek Co., Ltd. † | | | 417 | | | | 45,431 | |
| Mirae Asset Securities Co., Ltd. | | | 779 | | | | 32,767 | |
| NCSoft Corp. | | | 78 | | | | 9,928 | |
| Samsung Card Co., Ltd. | | | 666 | | | | 32,923 | |
| Samsung Electronics Co., Ltd. GDR 144A (a)(1) | | | 96 | | | | 53,664 | |
| Samsung Electronics Co., Ltd. GDR | | | 852 | | | | 475,495 | |
| Samsung Fire & Marine Insurance Co., Ltd. | | | 92 | | | | 24,624 | |
| Shinhan Financial Group Co., Ltd. | | | 1,773 | | | | 81,623 | |
| SK Holdings Co., Ltd. | | | 114 | | | | 20,379 | |
| SK Hynix, Inc. † | | | 3,214 | | | | 142,255 | |
| SK Networks Co., Ltd. † | | | 6,365 | | | | 63,849 | |
| SK Telecom Co., Ltd. ADR (1) | | | 4,500 | | | | 136,530 | |
| | | | | | | | |
| | | | | | | 2,344,153 | |
| | | | | | | | |
| Malaysia - 1.5% | | | | | | | | |
| Genting Malaysia Bhd | | | 23,900 | | | | 30,446 | |
| MISC Bhd | | | 24,400 | | | | 50,205 | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Malaysia - 1.5% (continued) | | | | | | | | |
| Tenaga Nasional Bhd | | | 32,700 | | | $ | 123,483 | |
| | | | | | | | |
| | | | | | | 204,134 | |
| | | | | | | | |
| Mexico - 1.3% | | | | | | | | |
| America Movil SAB de CV, Series L ADR (1) | | | 3,300 | | | | 83,160 | |
| Gruma SAB de CV, Class B (1)† | | | 6,400 | | | | 68,325 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 5,300 | | | | 35,788 | |
| | | | | | | | |
| | | | | | | 187,273 | |
| | | | | | | | |
| Poland - 2.1% | | | | | | | | |
| Bank Millennium SA | | | 4,712 | | | | 12,474 | |
| Enea SA | | | 11,080 | | | | 54,226 | |
| Getin Noble Bank SA † | | | 15,617 | | | | 13,234 | |
| KGHM Polska Miedz SA | | | 1,462 | | | | 55,687 | |
| Orange Polska SA | | | 11,950 | | | | 41,958 | |
| PGE SA | | | 6,586 | | | | 41,609 | |
| Tauron Polska Energia SA | | | 46,460 | | | | 75,170 | |
| | | | | | | | |
| | | | | | | 294,358 | |
| | | | | | | | |
| Russia - 1.4% | | | | | | | | |
| MMC Norilsk Nickel OJSC ADR (1) | | | 1,760 | | | | 32,701 | |
| Mobile Telesystems OJSC ADR (1) | | | 7,000 | | | | 104,580 | |
| Severstal OAO GDR | | | 1,650 | | | | 16,367 | |
| Sistema JSFC GDR | | | 2,816 | | | | 19,315 | |
| Tatneft OAO ADR (1) | | | 769 | | | | 27,238 | |
| | | | | | | | |
| | | | | | | 200,201 | |
| | | | | | | | |
| South Africa - 7.0% | | | | | | | | |
| African Rainbow Minerals Ltd. | | | 876 | | | | 11,094 | |
| AngloGold Ashanti Ltd. ADR (1)† | | | 6,400 | | | | 76,800 | |
| Assore Ltd. | | | 323 | | | | 6,149 | |
| Barclays Africa Group Ltd. | | | 1,386 | | | | 18,897 | |
| Barloworld Ltd. | | | 1,412 | | | | 11,564 | |
| Bidvest Group Ltd./The | | | 770 | | | | 19,484 | |
| FirstRand Ltd. | | | 23,671 | | | | 90,077 | |
| Investec Ltd. | | | 7,310 | | | | 61,271 | |
| Liberty Holdings Ltd. | | | 1,126 | | | | 12,285 | |
| MMI Holdings Ltd. | | | 20,139 | | | | 46,722 | |
| MTN Group Ltd. | | | 7,247 | | | | 152,790 | |
| Nedbank Group Ltd. | | | 1,031 | | | | 19,952 | |
| Pick n Pay Stores Ltd. | | | 9,979 | | | | 46,562 | |
| Sanlam Ltd. | | | 3,353 | | | | 19,351 | |
| Sappi Ltd. † | | | 11,991 | | | | 47,036 | |
| Sasol Ltd. ADR (1) | | | 3,300 | | | | 179,817 | |
| Standard Bank Group Ltd. | | | 5,396 | | | | 62,354 | |
| Steinhoff International Holdings Ltd. | | | 17,643 | | | | 84,497 | |
| Vodacom Group Ltd. | | | 1,637 | | | | 18,840 | |
| | | | | | | | |
| | | | | | | 985,542 | |
| | | | | | | | |
| Taiwan - 14.3% | | | | | | | | |
| Advanced Semiconductor Engineering, Inc. | | | 65,000 | | | | 75,923 | |
| Asia Pacific Telecom Co., Ltd. | | | 30,000 | | | | 17,438 | |
| Asustek Computer, Inc. | | | 8,000 | | | | 76,339 | |
| AU Optronics Corp. | | | 144,000 | | | | 60,597 | |
| Catcher Technology Co., Ltd. | | | 7,000 | | | | 64,832 | |
| Cathay Financial Holding Co., Ltd. | | | 46,200 | | | | 75,093 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| 130 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Schedule of Investments | | | September 30, 2014 | |
| | |
| AQR EMERGING CORE EQUITY FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| Taiwan - 14.3% (continued) | | | | | | | | |
| Chicony Electronics Co., Ltd. | | | 11,000 | | | $ | 32,900 | |
| Compal Electronics, Inc. | | | 29,000 | | | | 21,695 | |
| CTBC Financial Holding Co., Ltd. | | | 41,479 | | | | 27,859 | |
| E.Sun Financial Holding Co., Ltd. | | | 30,496 | | | | 18,491 | |
| Farglory Land Development Co., Ltd. | | | 8,000 | | | | 9,410 | |
| First Financial Holding Co., Ltd. | | | 28,890 | | | | 17,389 | |
| Formosa Taffeta Co., Ltd. | | | 12,000 | | | | 11,775 | |
| Foxconn Technology Co., Ltd. | | | 6,300 | | | | 15,567 | |
| Fubon Financial Holding Co., Ltd. | | | 44,000 | | | | 67,424 | |
| Hon Hai Precision Industry Co., Ltd. | | | 33,600 | | | | 105,831 | |
| Innolux Corp. | | | 82,000 | | | | 35,389 | |
| Inotera Memories, Inc. † | | | 45,000 | | | | 66,573 | |
| Inventec Corp. | | | 75,000 | | | | 48,779 | |
| Kinsus Interconnect Technology Corp. | | | 13,000 | | | | 48,251 | |
| MediaTek, Inc. | | | 4,000 | | | | 59,239 | |
| Pegatron Corp. | | | 27,000 | | | | 49,631 | |
| Pou Chen Corp. | | | 21,000 | | | | 23,330 | |
| Powertech Technology, Inc. † | | | 8,000 | | | | 14,464 | |
| Quanta Computer, Inc. | | | 25,000 | | | | 63,459 | |
| Radiant Opto-Electronics Corp. | | | 14,000 | | | | 55,379 | |
| Realtek Semiconductor Corp. | | | 16,000 | | | | 56,818 | |
| Ruentex Industries Ltd. | | | 8,000 | | | | 17,780 | |
| Shin Kong Financial Holding Co., Ltd. | | | 68,525 | | | | 20,771 | |
| SiliConware Precision Industries Co. | | | 41,000 | | | | 56,308 | |
| SinoPac Financial Holdings Co., Ltd. | | | 46,474 | | | | 19,927 | |
| Taishin Financial Holding Co., Ltd. | | | 41,774 | | | | 19,552 | |
| Taiwan Cement Corp. | | | 39,000 | | | | 58,045 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | | | 22,600 | | | | 456,068 | |
| Teco Electric and Machinery Co., Ltd. | | | 15,000 | | | | 15,403 | |
| Transcend Information, Inc. | | | 4,000 | | | | 13,278 | |
| United Microelectronics Corp. | | | 56,000 | | | | 23,098 | |
| Wistron Corp. | | | 33,000 | | | | 33,604 | |
| Zhen Ding Technology Holding Ltd. | | | 18,000 | | | | 52,054 | |
| | | | | | | | |
| | | | | | | 2,005,763 | |
| | | | | | | | |
| Thailand - 1.0% | | | | | | | | |
| Airports of Thailand PCL NVDR | | | 2,700 | | | | 19,850 | |
| Kasikornbank PCL NVDR | | | 8,100 | | | | 58,586 | |
| Krung Thai Bank PCL NVDR | | | 49,700 | | | | 36,229 | |
| PTT Exploration & Production PCL NVDR | | | 5,100 | | | | 25,124 | |
| PTT Global Chemical PCL NVDR | | | 2,100 | | | | 3,944 | |
| | | | | | | | |
| | | | | | | 143,733 | |
| | | | | | | | |
| Turkey - 2.3% | | | | | | | | |
| Akbank TAS | | | 5,427 | | | | 17,682 | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 25,749 | | | | 47,826 | |
| TAV Havalimanlari Holding AS | | | 9,371 | | | | 75,239 | |
| Turkcell Iletisim Hizmetleri AS † | | | 9,371 | | | | 48,987 | |
| Turkiye Garanti Bankasi AS | | | 10,776 | | | | 37,875 | |
| Turkiye Is Bankasi, Class C | | | 21,225 | | | | 47,168 | |
| Turkiye Vakiflar Bankasi Tao, Class D | | | 24,588 | | | | 45,589 | |
| | | | | | | | |
| | | | | | | 320,366 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $14,123,500) | | | | | | | 13,511,651 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE
(Note 2) | |
| | |
| PREFERRED STOCKS - 0.7% | | | | | | | | |
| Brazil - 0.7% | | | | | | | | |
| Cia Energetica de Sao Paulo, Series B (1) | | | 4,800 | | | $ | 51,985 | |
| Itausa - Investimentos Itau SA (1) | | | 8,300 | | | | 31,603 | |
| Metalurgica Gerdau SA (1) | | | 2,100 | | | | 12,217 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $106,376) | | | | | | | 95,805 | |
| | | | | | | | |
| |
| EXCHANGE-TRADED FUNDS - 1.8% | | | | | |
| iShares MSCI Emerging Markets ETF (1) | | | | | | | | |
(cost $257,339) | | | 6,140 | | | | 255,178 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 0.7% | | | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | | | | | | | | |
(cost $98,648) | | | 98,648 | | | | 98,648 | |
| | | | | | | | |
TOTAL INVESTMENTS - 99.3%
(cost $14,585,863) | | | | | | | 13,961,282 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% | | | | | | | 93,385 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 14,054,667 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | 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. |
| (b) | Represents annualized seven-day yield as of September 30, 2014. |
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 | | $ | 883,064 | | | | 6.3 | % |
| Consumer Staples | | | 347,797 | | | | 2.5 | |
| Energy | | | 1,259,653 | | | | 9.0 | |
| Exchange-Traded Funds | | | 255,178 | | | | 1.8 | |
| Financials | | | 4,697,549 | | | | 33.4 | |
| Health Care | | | 115,381 | | | | 0.8 | |
| Industrials | | | 765,093 | | | | 5.4 | |
| Information Technology | | | 2,526,038 | | | | 18.0 | |
| Materials | | | 705,844 | | | | 5.0 | |
| Telecommunication Services | | | 1,349,382 | | | | 9.6 | |
| Utilities | | | 957,655 | | | | 6.8 | |
| Money Market Funds | | | 98,648 | | | | 0.7 | |
| | | | | | | | |
Total Investments | | | 13,961,282 | | | | 99.3 | |
| Other Assets in Excess of Liabilities | | | 93,385 | | | | 0.7 | |
| | | | | | | | |
Net Assets | | $ | 14,054,667 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 131 |
| | | | | | | | | | |
| | | | |
| Statements of Assets and Liabilities | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
GLOBAL
EQUITY
FUND | | | AQR
INTERNATIONAL
EQUITY
FUND | | | AQR
EMERGING
DEFENSIVE
EQUITY
FUND | | | AQR
INTERNATIONAL
DEFENSIVE
EQUITY
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | | $236,429,619 | | | | $699,929,450 | | | | $70,326,289 | | | | $26,526,273 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value | | | $287,780,173 | | | | $778,196,789 | | | | $70,688,818 | | | | $27,726,419 | |
| Cash | | | 2,884 | | | | — | | | | — | | | | — | |
Foreign currency, at value | | | 1,004,273 | | | | 2,405,973 | | | | 205,657 | | | | 123,873 | |
Due from brokers | | | 6,093,965 | | | | 19,681,021 | | | | — | | | | — | |
| Receivables: | | | | | | | | | | | | | | | | |
Foreign tax reclaim | | | 710,472 | | | | 2,284,686 | | | | 2,783 | | | | 23,948 | |
Dividends | | | 382,582 | | | | 1,418,107 | | | | 214,012 | | | | 91,990 | |
Capital shares sold | | | 1,062 | | | | 624,619 | | | | 744,178 | | | | 12,878 | |
Due from Investment Advisor | | | — | | | | — | | | | — | | | | 4,445 | |
Prepaid expenses | | | 21,502 | | | | 67,799 | | | | 29,923 | | | | 26,961 | |
| Total Assets | | | 295,996,913 | | | | 804,678,994 | | | | 71,885,371 | | | | 28,010,514 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Due to brokers | | | 135,483 | | | | 610,645 | | | | — | | | | — | |
Due to custodian | | | — | | | | — | | | | — | | | | 1,150 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 2,875,477 | | | | 8,120,108 | | | | — | | | | — | |
Swaps, at value | | | 271,213 | | | | 888,280 | | | | — | | | | — | |
Unrealized depreciation on futures contracts | | | 142,623 | | | | 771,373 | | | | — | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | — | | | | 621,586 | | | | — | |
Accrued Investment advisory fees | | | 95,169 | | | | 303,203 | | | | — | | | | — | |
Accrued Shareholder servicing fees | | | 13,735 | | | | 91,199 | | | | 1,181 | | | | — | |
Accrued Distribution fees—Class N | | | 242 | | | | 8,334 | | | | 357 | | | | 202 | |
Accrued Trustee fees | | | — | | | | — | | | | 4 | | | | — | |
Capital shares redeemed | | | — | | | | 3,592,182 | | | | 2,732 | | | | 70,669 | |
Other accrued expenses and liabilities | | | 160,379 | | | | 262,922 | | | | 78,912 | | | | 65,707 | |
| Total Liabilities | | | 3,694,321 | | | | 14,648,246 | | | | 704,772 | | | | 137,728 | |
| Net Assets | | | $292,302,592 | | | | $790,030,748 | | | | $71,180,599 | | | | $27,872,786 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $215,799,096 | | | | $662,281,237 | | | | $70,218,127 | | | | $25,492,568 | |
Undistributed (accumulated) net investment income (loss) | | | 4,114,595 | | | | 18,305,482 | | | | 1,037,144 | | | | 570,218 | |
Undistributed (accumulated) net realized gain (loss) | | | 24,102,750 | | | | 41,167,235 | | | | (428,229) | | | | 614,987 | |
Net unrealized appreciation (depreciation) | | | 48,286,151 | | | | 68,276,794 | | | | 353,557 | | | | 1,195,013 | |
| Net Assets | | | $292,302,592 | | | | $790,030,748 | | | | $71,180,599 | | | | $27,872,786 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class I | | | $2,491,822 | | | | $247,847,028 | | | | $70,069,729 | | | | $27,315,512 | |
Class N | | | 1,128,334 | | | | 39,335,577 | | | | 1,017,073 | | | | 462,264 | |
Class R6 | | | 76,030,739 | | | | 103,882,203 | | | | 93,797 | | | | 95,010 | |
Class Y | | | 212,651,697 | | | | 398,965,940 | | | | — | | | | — | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class I | | | 279,524 | | | | 22,556,156 | | | | 6,698,530 | | | | 2,208,372 | |
Class N | | | 127,426 | | | | 3,527,546 | | | | 97,323 | | | | 37,419 | |
Class R6 | | | 8,489,461 | | | | 8,984,668 | | | | 8,969 | | | | 7,680 | |
Class Y | | | 23,708,830 | | | | 34,443,561 | | | | — | | | | — | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class I | | | $8.91 | | | | $10.99 | | | | $10.46 | | | | $12.37 | |
Class N | | | $8.85 | | | | $11.15 | | | | $10.45 | | | | $12.35 | |
Class R6 | | | $8.96 | | | | $11.56 | | | | $10.46 | | | | $12.37 | |
Class Y | | | $8.97 | | | | $11.58 | | | | — | | | | — | |
| | Foreign currency at cost of $1,031,582, $2,459,115, $210,089 and $124,352, respectively. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 132 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Assets and Liabilities | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
U.S. DEFENSIVE
EQUITY
FUND | | | AQR
MOMENTUM
FUND | | | AQR
SMALL CAP
MOMENTUM
FUND | | | AQR
INTERNATIONAL
MOMENTUM
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | | $227,564,571 | | | | $846,521,587 | | | | $286,022,132 | | | | $292,875,931 | |
| | | | | | | | | | | | | | | | | |
Investments in securities, at value | | | $253,584,398 | | | | $1,031,637,012 | | | | $314,231,197 | | | | $310,246,408 | |
Foreign currency, at value | | | — | | | | 443 | | | | — | | | | 921,997 | |
Due from brokers | | | 380,157 | | | | 285,236 | | | | 52,421 | | | | 343,591 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | — | | | | 23,835,003 | | | | 34,743,614 | |
Foreign tax reclaim | | | — | | | | — | | | | — | | | | 446,750 | |
Dividends | | | 317,392 | | | | 677,452 | | | | 153,629 | | | | 616,347 | |
Capital shares sold | | | 173,893 | | | | 1,210,573 | | | | 413,745 | | | | 253,250 | |
Prepaid expenses | | | 35,107 | | | | 56,978 | | | | 41,129 | | | | 41,659 | |
| Total Assets | | | 254,490,947 | | | | 1,033,867,694 | | | | 338,727,124 | | | | 347,613,616 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
Due to custodian | | | — | | | | — | | | | — | | | | 2,037,966 | |
Unrealized depreciation on futures contracts | | | 49,215 | | | | 51,325 | | | | 20,090 | | | | 3,652 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | — | | | | 29,954,979 | | | | 24,979,801 | |
Accrued Investment advisory fees | | | 77,055 | | | | 147,296 | | | | 74,828 | | | | 65,457 | |
Accrued Shareholder servicing fees | | | 31,134 | | | | 130,869 | | | | 39,240 | | | | 42,413 | |
Accrued Distribution fees—Class N | | | 5,759 | | | | 16,605 | | | | 1,525 | | | | 8,462 | |
Capital shares redeemed | | | 428,131 | | | | 630,725 | | | | 64,814 | | | | 322,945 | |
Other accrued expenses and liabilities | | | 130,626 | | | | 252,515 | | | | 113,611 | | | | 164,378 | |
| Total Liabilities | | | 721,920 | | | | 1,229,335 | | | | 30,269,087 | | | | 27,625,074 | |
| Net Assets | | | $253,769,027 | | | | $1,032,638,359 | | | | $308,458,037 | | | | $319,988,542 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $220,606,580 | | | | $752,651,191 | | | | $245,722,479 | | | | $294,610,096 | |
Undistributed (accumulated) net investment income (loss) | | | 2,622,469 | | | | 3,514,799 | | | | (21,760) | | | | 4,582,405 | |
Undistributed (accumulated) net realized gain (loss) | | | 4,569,366 | | | | 91,408,252 | | | | 34,568,343 | | | | 3,483,270 | |
Net unrealized appreciation (depreciation) | | | 25,970,612 | | | | 185,064,117 | | | | 28,188,975 | | | | 17,312,771 | |
| Net Assets | | | $253,769,027 | | | | $1,032,638,359 | | | | $308,458,037 | | | | $319,988,542 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class I | | | $224,826,369 | | | | $— | | | | $— | | | | $— | |
Class L | | | — | | | | 953,235,196 | | | | 301,173,290 | | | | 279,838,043 | |
Class N | | | 28,843,111 | | | | 79,272,099 | | | | 7,189,206 | | | | 40,054,329 | |
Class R6 | | | 99,547 | | | | 131,064 | | | | 95,541 | | | | 96,170 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class I | | | 15,984,434 | | | | — | | | | — | | | | — | |
Class L | | | — | | | | 43,544,682 | | | | 14,280,666 | | | | 18,723,227 | |
Class N | | | 2,054,040 | | | | 3,628,327 | | | | 342,381 | | | | 2,690,049 | |
Class R6 | | | 7,077 | | | | 5,987 | | | | 4,529 | | | | 6,435 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class I | | | $14.07 | | | | $— | | | | $— | | | | $— | |
Class L | | | — | | | | $21.89 | | | | $21.09 | | | | $14.95 | |
Class N | | | $14.04 | | | | $21.85 | | | | $21.00 | | | | $14.89 | |
Class R6 | | | $14.07 | | | | $21.89 | | | | $21.10 | | | | $14.94 | |
| | Foreign currency at cost of $—, $426, $— and $930,840, respectively. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 133 |
| | | | | | | | | | |
| | | | |
| Statements of Assets and Liabilities | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
EMERGING
MOMENTUM
FUND | | | AQR
TAX-MANAGED
MOMENTUM
FUND | | | AQR
TAX-MANAGED
SMALL CAP
MOMENTUM
FUND | | | AQR
TAX-MANAGED
INTERNATIONAL
MOMENTUM
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | | $7,592,993 | | | | $93,181,196 | | | | $14,373,441 | | | | $81,870,200 | |
| | | | | | | | | | | | | | | | | |
Investments in securities, at value | | | $7,444,303 | | | | $101,881,276 | | | | $15,158,504 | | | | $81,479,658 | |
Cash | | | — | | | | 1 | | | | 280 | | | | 1,405 | |
Foreign currency, at value | | | 18,365 | | | | — | | | | — | | | | 164,799 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 814,409 | | | | — | | | | 573,608 | | | | 6,967,654 | |
Foreign tax reclaim | | | — | | | | — | | | | — | | | | 52,668 | |
Dividends | | | 8,088 | | | | 75,805 | | | | 7,925 | | | | 130,589 | |
Capital shares sold | | | — | | | | 103,671 | | | | 58,187 | | | | 83,187 | |
Due from Investment Advisor | | | 39,691 | | | | — | | | | 11,066 | | | | — | |
Prepaid expenses | | | 36,666 | | | | 21,991 | | | | 20,127 | | | | 21,536 | |
| Total Assets | | | 8,361,522 | | | | 102,082,744 | | | | 15,829,697 | | | | 88,901,496 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 900,788 | | | | 410,533 | | | | 869,137 | | | | 6,981,475 | |
Accrued Investment advisory fees | | | — | | | | 8,552 | | | | — | | | | — | |
Accrued Shareholder servicing fees | | | — | | | | 12,439 | | | | — | | | | 5,264 | |
Accrued Distribution fees—Class N | | | 224 | | | | 29 | | | | 27 | | | | 24 | |
Accrued Trustee fees | | | — | | | | 19 | | | | 1 | | | | 6 | |
Capital shares redeemed | | | — | | | | 19,050 | | | | — | | | | 5,773 | |
Other accrued expenses and liabilities | | | 71,790 | | | | 57,842 | | | | 50,997 | | | | 76,615 | |
| Total Liabilities | | | 972,802 | | | | 508,464 | | | | 920,162 | | | | 7,069,157 | |
| Net Assets | | | $7,388,720 | | | | $101,574,280 | | | | $14,909,535 | | | | $81,832,339 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $7,517,554 | | | | $91,106,369 | | | | $13,723,308 | | | | $81,876,974 | |
Undistributed (accumulated) net investment income (loss) | | | 57,182 | | | | 320,304 | | | | (6,613) | | | | 974,879 | |
Undistributed (accumulated) net realized gain (loss) | | | (38,220) | | | | 1,447,527 | | | | 407,777 | | | | (616,045) | |
Net unrealized appreciation (depreciation) | | | (147,796) | | | | 8,700,080 | | | | 785,063 | | | | (403,469) | |
| Net Assets | | | $7,388,720 | | | | $101,574,280 | | | | $14,909,535 | | | | $81,832,339 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class L | | | $6,260,380 | | | | $101,336,194 | | | | $14,689,708 | | | | $81,624,338 | |
Class N | | | 1,034,055 | | | | 137,330 | | | | 124,552 | | | | 112,140 | |
Class R6 | | | 94,285 | | | | 100,756 | | | | 95,275 | | | | 95,861 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class L | | | 625,023 | | | | 6,375,044 | | | | 998,131 | | | | 6,235,784 | |
Class N | | | 103,336 | | | | 8,660 | | | | 8,489 | | | | 8,584 | |
Class R6 | | | 9,407 | | | | 6,337 | | | | 6,472 | | | | 7,321 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class L | | | $10.02 | | | | $15.90 | | | | $14.72 | | | | $13.09 | |
Class N | | | $10.01 | | | | $15.86 | | | | $14.67 | | | | $13.06 | |
Class R6 | | | $10.02 | | | | $15.90 | | | | $14.72 | | | | $13.09 | |
| | Foreign currency at cost of $18,675, $—, $— and $168,195, respectively. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 134 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Assets and Liabilities | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
CORE
EQUITY
FUND | | | AQR
SMALL CAP
CORE EQUITY
FUND | | | AQR
INTERNATIONAL
CORE EQUITY
FUND | | | AQR
EMERGING
CORE EQUITY
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | | $220,614,434 | | | | $9,394,944 | | | | $60,538,140 | | | | $14,585,863 | |
| | | | | | | | | | | | | | | | | |
Investments in securities, at value | | | $228,391,690 | | | | $9,726,017 | | | | $60,807,003 | | | | $13,961,282 | |
Cash | | | — | | | | 116 | | | | 218 | | | | — | |
Foreign currency, at value | | | — | | | | — | | | | 96,785 | | | | 8,108 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 34,212,370 | | | | 712,232 | | | | 15,541,321 | | | | 756,195 | |
Foreign tax reclaim | | | — | | | | — | | | | 31,372 | | | | — | |
Dividends | | | 199,321 | | | | 5,722 | | | | 82,085 | | | | 19,606 | |
Capital shares sold | | | 554,965 | | | | 12,174 | | | | 264,402 | | | | — | |
Due from Investment Advisor | | | — | | | | 9,789 | | | | 7,266 | | | | 29,616 | |
Due from custodian | | | — | | | | — | | | | — | | | | 10,882 | |
Prepaid expenses | | | 37,684 | | | | 25,112 | | | | 25,288 | | | | 37,584 | |
| Total Assets | | | 263,396,030 | | | | 10,491,162 | | | | 76,855,740 | | | | 14,823,273 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 44,608,275 | | | | 819,268 | | | | 20,882,872 | | | | 698,985 | |
Accrued Investment advisory fees | | | 25,036 | | | | — | | | | — | | | | — | |
Accrued Shareholder servicing fees | | | 22,519 | | | | — | | | | — | | | | — | |
Accrued Distribution fees—Class N | | | 1,953 | | | | 253 | | | | 560 | | | | 422 | |
Accrued Trustee fees | | | 92 | | | | 2 | | | | — | | | | 2 | |
Capital shares redeemed | | | 3,519 | | | | 6 | | | | 4,385 | | | | — | |
Other accrued expenses and liabilities | | | 91,660 | | | | 59,772 | | | | 71,435 | | | | 69,197 | |
| Total Liabilities | | | 44,753,054 | | | | 879,301 | | | | 20,959,252 | | | | 768,606 | |
| Net Assets | | | $218,642,976 | | | | $9,611,861 | | | | $55,896,488 | | | | $14,054,667 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $208,794,550 | | | | $9,167,942 | | | | $54,889,553 | | | | $14,686,623 | |
Undistributed (accumulated) net investment income (loss) | | | 860,755 | | | | 10,915 | | | | 625,820 | | | | 114,542 | |
Undistributed (accumulated) net realized gain (loss) | | | 1,210,415 | | | | 101,931 | | | | 117,429 | | | | (121,029) | |
Net unrealized appreciation (depreciation) | | | 7,777,256 | | | | 331,073 | | | | 263,686 | | | | (625,469) | |
| Net Assets | | | $218,642,976 | | | | $9,611,861 | | | | $55,896,488 | | | | $14,054,667 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class L | | | $166,058,391 | | | | $8,232,747 | | | | $26,728,565 | | | | $11,571,703 | |
Class N | | | 10,328,320 | | | | 1,283,780 | | | | 2,755,655 | | | | 2,387,801 | |
Class R6 | | | 42,256,265 | | | | 95,334 | | | | 26,412,268 | | | | 95,163 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class L | | | 12,425,605 | | | | 667,089 | | | | 2,331,110 | | | | 1,161,585 | |
Class N | | | 774,591 | | | | 104,362 | | | | 240,807 | | | | 239,916 | |
Class R6 | | | 3,162,925 | | | | 7,722 | | | | 2,303,191 | | | | 9,551 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class L | | | $13.36 | | | | $12.34 | | | | $11.47 | | | | $9.96 | |
Class N | | | $13.33 | | | | $12.30 | | | | $11.44 | | | | $9.95 | |
Class R6 | | | $13.36 | | | | $12.35 | | | | $11.47 | | | | $9.96 | |
| | Foreign currency at cost of $—, $—, $97,319 and $8,230, respectively. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 135 |
| | | | | | | | | | |
| | | | |
| Statements of Operations | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR GLOBAL EQUITY
FUND | | | AQR INTERNATIONAL
EQUITY
FUND | | | AQR EMERGING
DEFENSIVE
EQUITY
FUND | | | AQR
INTERNATIONAL
DEFENSIVE
EQUITY
FUND | |
| | | FOR THE YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30, 2014 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $6,894,585 | | | | $28,054,367 | | | | $1,666,922 | | | | $819,224 | |
| Total Income | | | 6,894,585 | | | | 28,054,367 | | | | 1,666,922 | | | | 819,224 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 1,134,011 | | | | 3,805,503 | | | | 279,629 | | | | 93,901 | |
Shareholder servicing fees | | | 106,940 | | | | 1,031,217 | | | | 92,090 | | | | 45,862 | |
Custody fees | | | 63,763 | | | | 141,807 | | | | 73,611 | | | | 20,776 | |
Administration & accounting fees | | | 81,185 | | | | 200,573 | | | | 12,672 | | | | 6,234 | |
Legal fees | | | 37,344 | | | | 64,635 | | | | 9,182 | | | | 1,989 | |
Audit & tax fees | | | 63,046 | | | | 61,040 | | | | 65,587 | | | | 62,020 | |
Shareholder reporting fees | | | 35,547 | | | | 83,058 | | | | 12,144 | | | | 5,511 | |
Transfer agent fees | | | 17,855 | | | | 218,920 | | | | 55,864 | | | | 41,378 | |
Trustee fees | | | 14,543 | | | | 40,120 | | | | 2,142 | | | | 1,123 | |
Distribution fees—Class N | | | 2,762 | | | | 90,505 | | | | 7,401 | | | | 3,435 | |
Interest expense | | | 2,245 | | | | — | | | | — | | | | — | |
Recoupment of waiver | | | — | | | | 29,368 | | | | — | | | | — | |
Registration fees | | | 36,268 | | | | 44,908 | | | | 28,955 | | | | 28,190 | |
Pricing fee | | | 18,746 | | | | 17,943 | | | | 14,763 | | | | 14,808 | |
Other fees | | | 35,151 | | | | 57,571 | | | | 5,833 | | | | 2,275 | |
| Total Expenses | | | 1,649,406 | | | | 5,887,168 | | | | 659,873 | | | | 327,502 | |
| | | | |
| Less fee waivers and/or reimbursements | | | (24,491) | | | | — | | | | (210,439) | | | | (155,946) | |
| Net Expenses | | | 1,624,915 | | | | 5,887,168 | | | | 449,434 | | | | 171,556 | |
| Net Investment Income (Loss) | | | 5,269,670 | | | | 22,167,199 | | | | 1,217,488 | | | | 647,668 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 35,423,368 | | | | 57,483,999 | | | | (64,614) | | | | 671,671 | |
Foreign currency and foreign currency transactions | | | (26,801) | | | | (230,136) | | | | (22,102) | | | | (5,477) | |
Forward foreign currency exchange contracts | | | 2,347,559 | | | | (765,908) | | | | — | | | | — | |
Futures contracts | | | 1,330,971 | | | | (2,305,859) | | | | — | | | | — | |
Swap contracts | | | (1,610,127) | | | | (5,848,193) | | | | — | | | | — | |
| Net realized gain (loss) | | | 37,464,970 | | | | 48,333,903 | | | | (86,716) | | | | 666,194 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (7,073,300) | | | | (46,373,116) | | | | (131,466) | | | | 220,101 | |
Foreign currency and foreign currency translations | | | (130,327) | | | | (316,161) | | | | (9,744) | | | | (6,538) | |
Forward foreign currency exchange contracts | | | (2,677,295) | | | | (7,203,597) | | | | — | | | | — | |
Futures contracts | | | (311,066) | | | | (1,361,654) | | | | — | | | | — | |
Swap contracts | | | (282,108) | | | | (934,060) | | | | — | | | | — | |
| Net change in unrealized appreciation (depreciation) | | | (10,474,096) | | | | (56,188,588) | | | | (141,210) | | | | 213,563 | |
| Net realized gain (loss) and change in unrealized appreciation (depreciation) | | | 26,990,874 | | | | (7,854,685) | | | | (227,926) | | | | 879,757 | |
| Net increase (decrease) in net assets resulting from operations | | | $32,260,544 | | | | $14,312,514 | | | | $989,562 | | | | $1,527,425 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $308,057 | | | | $1,824,611 | | | | $143,879 | | | | $67,527 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 136 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Operations | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR U.S. DEFENSIVE
EQUITY
FUND | | | AQR MOMENTUM
FUND | | | AQR SMALL CAP
MOMENTUM
FUND | | | AQR
INTERNATIONAL
MOMENTUM
FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $4,480,367 | | | | $10,005,894 | | | | $1,922,374 | | | | $7,505,360 | |
| Total Income | | | 4,480,367 | | | | 10,005,894 | | | | 1,922,374 | | | | 7,505,360 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 592,683 | | | | 2,400,410 | | | | 1,020,055 | | | | 1,105,014 | |
Shareholder servicing fees | | | 401,514 | | | | 1,440,253 | | | | 437,169 | | | | 473,581 | |
Custody fees | | | 27,082 | | | | 35,127 | | | | 37,071 | | | | 74,599 | |
Administration & accounting fees | | | 55,501 | | | | 227,994 | | | | 69,543 | | | | 75,386 | |
Legal fees | | | 10,257 | | | | 56,819 | | | | 15,147 | | | | 16,748 | |
Audit & tax fees | | | 48,530 | | | | 49,883 | | | | 50,326 | | | | 69,745 | |
Shareholder reporting fees | | | 27,732 | | | | 96,813 | | | | 32,614 | | | | 36,796 | |
Transfer agent fees | | | 175,757 | | | | 818,347 | | | | 224,650 | | | | 314,662 | |
Trustee fees | | | 9,625 | | | | 43,723 | | | | 13,300 | | | | 14,165 | |
Distribution fees—Class N | | | 62,911 | | | | 190,438 | | | | 13,112 | | | | 103,189 | |
Registration fees | | | 31,196 | | | | 61,469 | | | | 41,934 | | | | 42,937 | |
Pricing fee | | | 1,283 | | | | 2,969 | | | | 10,914 | | | | 16,884 | |
Other fees | | | 17,987 | | | | 60,310 | | | | 21,473 | | | | 21,618 | |
| Total Expenses | | | 1,462,058 | | | | 5,484,555 | | | | 1,987,308 | | | | 2,365,324 | |
| | | | |
| Less fee waivers and/or reimbursements | | | (296,580) | | | | (566,420) | | | | (73,383) | | | | (203,445) | |
| Net Expenses | | | 1,165,478 | | | | 4,918,135 | | | | 1,913,925 | | | | 2,161,879 | |
| Net Investment Income (Loss) | | | 3,314,889 | | | | 5,087,759 | | | | 8,449 | | | | 5,343,481 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 3,148,165 | | | | 98,841,769 | | | | 34,912,661 | | | | 7,777,684 | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | — | | | | (114,835) | |
Futures contracts | | | 1,712,169 | | | | 2,235,154 | | | | (119,674) | | | | 697,915 | |
| Net realized gain (loss) | | | 4,860,334 | | | | 101,076,923 | | | | 34,792,987 | | | | 8,360,764 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | 24,244,656 | | | | 35,364,942 | | | | (28,475,736) | | | | (17,345,302) | |
Foreign currency and foreign currency translations | | | — | | | | (31) | | | | — | | | | (70,423) | |
Futures contracts | | | 21,849 | | | | 147,352 | | | | (33,146) | | | | 16,705 | |
| Net change in unrealized appreciation (depreciation) | | | 24,266,505 | | | | 35,512,263 | | | | (28,508,882) | | | | (17,399,020) | |
| Net realized gain (loss) and change in unrealized appreciation (depreciation) | | | 29,126,839 | | | | 136,589,186 | | | | 6,284,105 | | | | (9,038,256) | |
| Net increase (decrease) in net assets resulting from operations | | | $32,441,728 | | | | $141,676,945 | | | | $6,292,554 | | | | $(3,694,775) | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $— | | | | $1,613 | | | | $3,014 | | | | $720,351 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 137 |
| | | | | | | | | | |
| | | | |
| Statements of Operations | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR EMERGING
MOMENTUM
FUND | | | AQR TAX-MANAGED
MOMENTUM
FUND | | | AQR TAX-MANAGED
SMALL CAP
MOMENTUM
FUND | | | AQR TAX-MANAGED
INTERNATIONAL
MOMENTUM
FUND | |
| | | FOR THE PERIOD
05/13/14*-
09/30/14 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $77,310 | | | | $744,437 | | | | $89,659 | | | | $1,424,567 | |
| Total Income | | | 77,310 | | | | 744,437 | | | | 89,659 | | | | 1,424,567 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 12,549 | | | | 201,462 | | | | 48,459 | | | | 234,070 | |
Shareholder servicing fees | | | 3,765 | | | | 100,731 | | | | 18,171 | | | | 87,777 | |
Custody fees | | | 25,842 | | | | 12,961 | | | | 14,672 | | | | 37,252 | |
Administration & accounting fees | | | 849 | | | | 16,147 | | | | 2,915 | | | | 14,091 | |
Legal fees | | | 631 | | | | 2,726 | | | | 584 | | | | 2,692 | |
Audit & tax fees | | | 50,703 | | | | 49,819 | | | | 49,989 | | | | 66,749 | |
Shareholder reporting fees | | | 14,070 | | | | 8,099 | | | | 3,728 | | | | 7,149 | |
Transfer agent fees | | | 6,195 | | | | 37,983 | | | | 25,819 | | | | 33,796 | |
Trustee fees | | | 67 | | | | 2,714 | | | | 516 | | | | 2,362 | |
Organization and offering costs | | | 5,526 | | | | — | | | | — | | | | — | |
Distribution fees—Class N | | | 1,028 | | | | 324 | | | | 322 | | | | 288 | |
Registration fees | | | 15,234 | | | | 19,571 | | | | 19,004 | | | | 19,558 | |
Pricing fee | | | 5,937 | | | | 2,623 | | | | 10,285 | | | | 18,711 | |
Other fees | | | 2,772 | | | | 11,838 | | | | 1,933 | | | | 11,426 | |
| Total Expenses | | | 145,168 | | | | 466,998 | | | | 196,397 | | | | 535,921 | |
| | | | |
| Less fee waivers and/or reimbursements | | | (124,085) | | | | (102,636) | | | | (111,299) | | | | (124,915) | |
| Net Expenses | | | 21,083 | | | | 364,362 | | | | 85,098 | | | | 411,006 | |
| Net Investment Income (Loss) | | | 56,227 | | | | 380,075 | | | | 4,561 | | | | 1,013,561 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | (33,609) | | | | 1,570,147 | | | | 418,735 | | | | (398,961) | |
Foreign currency and foreign currency transactions | | | (4,781) | | | | — | | | | — | | | | (27,885) | |
| Net realized gain (loss) | | | (38,390) | | | | 1,570,147 | | | | 418,735 | | | | (426,846) | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (148,690) | | | | 6,934,858 | | | | (703,349) | | | | (1,679,494) | |
Foreign currency and foreign currency translations | | | 894 | | | | — | | | | — | | | | (13,699) | |
| Net change in unrealized appreciation (depreciation) | | | (147,796) | | | | 6,934,858 | | | | (703,349) | | | | (1,693,193) | |
| Net realized gain (loss) and change in unrealized appreciation (depreciation) | | | (186,186) | | | | 8,505,005 | | | | (284,614) | | | | (2,120,039) | |
| Net increase (decrease) in net assets resulting from operations | | | $(129,959) | | | | $8,885,080 | | | | $(280,053) | | | | $(1,106,478) | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $7,813 | | | | $257 | | | | $284 | | | | $161,380 | |
| | * | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 138 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Operations | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR CORE
EQUITY
FUND | | | AQR SMALL CAP
CORE EQUITY
FUND | | | AQR
INTERNATIONAL
CORE EQUITY
FUND | | | AQR EMERGING
CORE EQUITY
FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD
05/13/14*-
09/30/14 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $1,399,443 | | | | $74,399 | | | | $774,011 | | | | $131,210 | |
| Total Income | | | 1,399,443 | | | | 74,399 | | | | 774,011 | | | | 131,210 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 245,154 | | | | 30,048 | | | | 99,230 | | | | 16,513 | |
Shareholder servicing fees | | | 122,577 | | | | 10,015 | | | | 37,211 | | | | 4,503 | |
Custody fees | | | 18,361 | | | | 16,815 | | | | 32,892 | | | | 17,845 | |
Administration & accounting fees | | | 19,419 | | | | 1,570 | | | | 6,020 | | | | 892 | |
Legal fees | | | 2,970 | | | | 1,295 | | | | 1,197 | | | | 631 | |
Audit & tax fees | | | 45,228 | | | | 45,077 | | | | 60,822 | | | | 50,703 | |
Shareholder reporting fees | | | 12,658 | | | | 11,634 | | | | 11,241 | | | | 14,149 | |
Transfer agent fees | | | 65,401 | | | | 19,840 | | | | 35,591 | | | | 6,415 | |
Trustee fees | | | 3,002 | | | | 270 | | | | 1,027 | | | | 72 | |
Organization and offering costs | | | — | | | | — | | | | — | | | | 5,626 | |
Distribution fees—Class N | | | 14,378 | | | | 4,220 | | | | 6,488 | | | | 1,361 | |
Registration fees | | | 38,139 | | | | 35,541 | | | | 35,294 | | | | 15,478 | |
Pricing fee | | | 2,258 | | | | 5,501 | | | | 23,900 | | | | 5,937 | |
Other fees | | | 17,341 | | | | 1,829 | | | | 3,271 | | | | 3,812 | |
| Total Expenses | | | 606,886 | | | | 183,655 | | | | 354,184 | | | | 143,937 | |
| | | | |
| Less fee waivers and/or reimbursements | | | (150,799) | | | | (129,376) | | | | (174,470) | | | | (117,092) | |
| Net Expenses | | | 456,087 | | | | 54,279 | | | | 179,714 | | | | 26,845 | |
| Net Investment Income (Loss) | | | 943,356 | | | | 20,120 | | | | 594,297 | | | | 104,365 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 1,299,259 | | | | 124,643 | | | | 288,805 | | | | (102,468) | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | (15,896) | | | | (9,802) | |
| Net realized gain (loss) | | | 1,299,259 | | | | 124,643 | | | | 272,909 | | | | (112,270) | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | 7,207,415 | | | | (108,107) | | | | (1,093,190) | | | | (624,581) | |
Foreign currency and foreign currency translations | | | — | | | | — | | | | (5,846) | | | | (888) | |
| Net change in unrealized appreciation (depreciation) | | | 7,207,415 | | | | (108,107) | | | | (1,099,036) | | | | (625,469) | |
| Net realized gain (loss) and change in unrealized appreciation (depreciation) | | | 8,506,674 | | | | 16,536 | | | | (826,127) | | | | (737,739) | |
| Net increase (decrease) in net assets resulting from operations | | | $9,450,030 | | | | $36,656 | | | | $(231,830) | | | | $(633,374) | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $— | | | | $106 | | | | $74,851 | | | | $12,263 | |
| | * | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 139 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR GLOBAL EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $5,269,670 | | | | $6,479,138 | | | | $9,761,325 | |
Net realized gain (loss) | | | 37,464,970 | | | | 87,934,210 | | | | 25,951,075 | |
Net change in unrealized appreciation (depreciation) | | | (10,474,096) | | | | (13,593,493) | | | | 42,326,765 | |
Net increase (decrease) in net assets resulting from operations | | | 32,260,544 | | | | 80,819,855 | | | | 78,039,165 | |
| | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | (36,899) | | | | — | | | | (44,921) | |
Class N | | | (18,310) | | | | — | | | | (39,465) | |
Class Y | | | (7,647,702) | | | | — | | | | (13,830,600) | |
Total | | | (7,702,911) | | | | — | | | | (13,914,986) | |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | (501,061) | | | | — | | | | (36,801) | |
Class N | | | (279,116) | | | | — | | | | (34,857) | |
Class Y | | | (95,565,434) | | | | — | | | | (9,350,410) | |
Total | | | (96,345,611) | | | | — | | | | (9,422,068) | |
Total distributions | | | (104,048,522) | | | | — | | | | (23,337,054) | |
| | |
| CAPITAL TRANSACTIONS: | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,438,596 | | | | 556,237 | | | | 289,737 | |
Reinvestment of distributions | | | 537,960 | | | | — | | | | 81,722 | |
Cost of shares redeemed | | | (397,127) | | | | (62,999) | | | | (2,120,396) | |
Net increase (decrease) from capital transactions | | | 1,579,429 | | | | 493,238 | | | | (1,748,937) | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 776,669 | | | | 920,019 | | | | 73,666 | |
Reinvestment of distributions | | | 297,426 | | | | — | | | | 74,323 | |
Cost of shares redeemed | | | (458,917) | | | | (804,396) | | | | (1,850,280) | |
Net increase (decrease) from capital transactions | | | 615,178 | | | | 115,623 | | | | (1,702,291) | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 72,600,000 | (a) | | | — | | | | — | |
Cost of shares redeemed | | | (105,977) | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 72,494,023 | | | | — | | | | — | |
| CLASS Y | | | | | | | | | | | | |
Reinvestment of distributions | | | 103,213,136 | | | | — | | | | 23,181,009 | |
Cost of shares redeemed | | | (70,579,444) | | | | (300,588,116) | | | | (659,771) | |
Redemption fees | | | 70,534 | | | | 300,588 | | | | 4 | |
Net increase (decrease) from capital transactions | | | 32,704,226 | | | | (300,287,528) | | | | 22,521,242 | |
Net increase (decrease) in net assets resulting from capital transactions | | | 107,392,856 | | | | (299,678,667) | | | | 19,070,014 | |
Total increase (decrease) in net assets | | | 35,604,878 | | | | (218,858,812) | | | | 73,772,125 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 256,697,714 | | | | 475,556,526 | | | | 401,784,401 | |
End of period | | | $292,302,592 | | | | $256,697,714 | | | | $475,556,526 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $4,114,595 | | | | $5,964,647 | | | | $(575,224) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 141) |
| | | | | | | | | | | | | | | | |
| 140 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR GLOBAL EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 94,701 | | | | 55,196 | | | | 210,532 | |
Shares sold | | | 164,697 | | | | 44,377 | | | | 25,557 | |
Shares issued on reinvestment of distributions | | | 63,067 | | | | — | | | | 7,336 | |
Shares redeemed | | | (42,941 | ) | | | (4,872 | ) | | | (188,229 | ) |
Shares outstanding, end of period | | | 279,524 | | | | 94,701 | | | | 55,196 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 53,682 | | | | 45,729 | | | | 202,461 | |
Shares sold | | | 86,939 | | | | 71,457 | | | | 6,817 | |
Shares issued on reinvestment of distributions | | | 35,033 | | | | — | | | | 6,690 | |
Shares redeemed | | | (48,228 | ) | | | (63,504 | ) | | | (170,239 | ) |
Shares outstanding, end of period | | | 127,426 | | | | 53,682 | | | | 45,729 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | |
Shares sold | | | 8,500,955 | | | | — | | | | — | |
Shares redeemed | | | (11,494 | ) | | | — | | | | — | |
Shares outstanding, end of period | | | 8,489,461 | | | | — | | | | — | |
| CLASS Y | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 19,044,183 | | | | 41,798,875 | | | | 39,780,661 | |
Shares issued on reinvestment of distributions | | | 12,057,609 | | | | — | | | | 2,080,881 | |
Shares redeemed | | | (7,392,962 | ) | | | (22,754,692 | ) | | | (62,667 | ) |
Shares outstanding, end of period | | | 23,708,830 | | | | 19,044,183 | | | | 41,798,875 | |
| | (a) | Commencement of offering class of shares effective January 8, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 141 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR INTERNATIONAL EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $22,167,199 | | | | $13,227,742 | | | | $14,157,497 | |
Net realized gain (loss) | | | 48,333,903 | | | | 66,228,657 | | | | 14,380,448 | |
Net change in unrealized appreciation (depreciation) | | | (56,188,588) | | | | 35,002,292 | | | | 96,501,940 | |
Net increase (decrease) in net assets resulting from operations | | | 14,312,514 | | | | 114,458,691 | | | | 125,039,885 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | (4,237,446) | | | | — | | | | (6,044,927) | |
Class N | | | (546,390) | | | | — | | | | (442,708) | |
Class Y | | | (10,825,380) | | | | — | | | | (14,968,277) | |
Total | | | (15,609,216) | | | | — | | | | (21,455,912) | |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | (16,832,213) | | | | — | | | | — | |
Class N | | | (2,380,187) | | | | — | | | | — | |
Class Y | | | (37,157,362) | | | | — | | | | — | |
Total | | | (56,369,762) | | | | — | | | | — | |
Total distributions | | | (71,978,978) | | | | — | | | | (21,455,912) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 65,273,533 | | | | 47,657,715 | | | | 56,017,676 | |
Reinvestment of distributions | | | 18,516,502 | | | | — | | | | 5,225,139 | |
Cost of shares redeemed | | | (59,389,281) | | | | (35,227,017) | | | | (33,350,378) | |
Net increase (decrease) from capital transactions | | | 24,400,754 | | | | 12,430,698 | | | | 27,892,437 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 14,334,638 | | | | 17,853,305 | | | | 15,872,803 | |
Reinvestment of distributions | | | 2,900,390 | | | | — | | | | 442,505 | |
Cost of shares redeemed | | | (7,023,943) | | | | (5,035,043) | | | | (3,715,733) | |
Net increase (decrease) from capital transactions | | | 10,211,085 | | | | 12,818,262 | | | | 12,599,575 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 151,263,962 | (a) | | | — | | | | — | |
Cost of shares redeemed | | | (43,566,107) | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 107,697,855 | | | | — | | | | — | |
| CLASS Y | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | 19,000,000 | | | | 45,779,910 | |
Reinvestment of distributions | | | 47,982,742 | | | | — | | | | 14,968,276 | |
Cost of shares redeemed | | | (159,763,962) | | | | (28,692,000) | | | | (5,836,872) | |
Redemption fees | | | 8,625 | | | | 47,504 | | | | 32,284 | |
Net increase (decrease) from capital transactions | | | (111,772,595) | | | | (9,644,496) | | | | 54,943,598 | |
Net increase (decrease) in net assets resulting from capital transactions | | | 30,537,099 | | | | 15,604,464 | | | | 95,435,610 | |
Total increase (decrease) in net assets | | | (27,129,365) | | | | 130,063,155 | | | | 199,019,583 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 817,160,113 | | | | 687,096,958 | | | | 488,077,375 | |
End of period | | | $790,030,748 | | | | $817,160,113 | | | | $687,096,958 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $18,305,482 | | | | $11,729,676 | | | | $(1,607,306) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 143) |
| | | | | | | | | | | | | | | | |
| 142 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR INTERNATIONAL EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 20,333,041 | | | | 19,233,566 | | | | 16,066,790 | |
Shares sold | | | 5,586,553 | | | | 4,223,416 | | | | 6,218,133 | |
Shares issued on reinvestment of distributions | | | 1,641,534 | | | | — | | | | 524,610 | |
Shares redeemed | | | (5,004,972 | ) | | | (3,123,941 | ) | | | (3,575,967 | ) |
Shares outstanding, end of period | | | 22,556,156 | | | | 20,333,041 | | | | 19,233,566 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,654,916 | | | | 1,492,563 | | | | 133,174 | |
Shares sold | | | 1,212,704 | | | | 1,609,233 | | | | 1,698,841 | |
Shares issued on reinvestment of distributions | | | 252,647 | | | | — | | | | 43,639 | |
Shares redeemed | | | (592,721 | ) | | | (446,880 | ) | | | (383,091 | ) |
Shares outstanding, end of period | | | 3,527,546 | | | | 2,654,916 | | | | 1,492,563 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | |
Shares sold | | | 12,579,407 | | | | — | | | | — | |
Shares redeemed | | | (3,594,739 | ) | | | — | | | | — | |
Shares outstanding, end of period | | | 8,984,668 | | | | — | | | | — | |
| CLASS Y | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 43,655,846 | | | | 44,308,341 | | | | 38,834,729 | |
Shares sold | | | — | | | | 1,693,405 | | | | 4,631,152 | |
Shares issued on reinvestment of distributions | | | 4,045,762 | | | | — | | | | 1,436,495 | |
Shares redeemed | | | (13,258,047 | ) | | | (2,345,900 | ) | | | (594,035 | ) |
Shares outstanding, end of period | | | 34,443,561 | | | | 43,655,846 | | | | 44,308,341 | |
| | (a) | Commencement of offering class of shares effective January 8, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 143 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR EMERGING DEFENSIVE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
7/09/12*-
12/31/12 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $1,217,488 | | | | $240,274 | | | | $49,290 | |
Net realized gain (loss) | | | (86,716) | | | | (381,061) | | | | 3,764 | |
Net change in unrealized appreciation (depreciation) | | | (141,210) | | | | (16,957) | | | | 511,724 | |
Net increase (decrease) in net assets resulting from operations | | | 989,562 | | | | (157,744) | | | | 564,778 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | (351,637) | | | | — | | | | (34,222) | |
Class N | | | (27,047) | | | | — | | | | (9,990) | |
Total | | | (378,684) | | | | — | | | | (44,212) | |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | (270) | | | | — | | | | (11,427) | |
Class N | | | (26) | | | | — | | | | (4,811) | |
Total | | | (296) | | | | — | | | | (16,238) | |
Total distributions | | | (378,980) | | | | — | | | | (60,450) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 55,390,696 | | | | 28,306,131 | | | | 5,666,656 | |
Reinvestment of distributions | | | 351,907 | | | | — | | | | 45,649 | |
Cost of shares redeemed | | | (15,823,368) | | | | (4,122,651) | | | | (689,457) | |
Net increase (decrease) from capital transactions | | | 39,919,235 | | | | 24,183,480 | | | | 5,022,848 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,747,201 | | | | 1,889,158 | | | | 1,857,059 | |
Reinvestment of distributions | | | 27,073 | | | | — | | | | 14,801 | |
Cost of shares redeemed | | | (4,288,740) | | | | (1,056,166) | | | | (192,516) | |
Net increase (decrease) from capital transactions | | | (1,514,466) | | | | 832,992 | | | | 1,679,344 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 38,504,769 | | | | 25,016,472 | | | | 6,702,192 | |
Total increase (decrease) in net assets | | | 39,115,351 | | | | 24,858,728 | | | | 7,206,520 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 32,065,248 | | | | 7,206,520 | | | | — | |
End of period | | | $71,180,599 | | | | $32,065,248 | | | | $7,206,520 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $1,037,144 | | | | $211,072 | | | | $4,259 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 145) |
| | | | | | | | | | | | | | | | |
| 144 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR EMERGING DEFENSIVE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
7/09/12*-
12/31/12 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,870,660 | | | | 494,839 | | | | — | |
Shares sold | | | 5,330,312 | | | | 2,752,761 | | | | 556,121 | |
Shares issued on reinvestment of distributions | | | 35,261 | | | | — | | | | 4,278 | |
Shares redeemed | | | (1,537,703) | | | | (376,940) | | | | (65,560) | |
Shares outstanding, end of period | | | 6,698,530 | | | | 2,870,660 | | | | 494,839 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 252,784 | | | | 165,019 | | | | — | |
Shares sold | | | 268,249 | | | | 184,245 | | | | 181,889 | |
Shares issued on reinvestment of distributions | | | 2,710 | | | | — | | | | 1,386 | |
Shares redeemed | | | (426,420) | | | | (96,480) | | | | (18,256) | |
Shares outstanding, end of period | | | 97,323 | | | | 252,784 | | | | 165,019 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | |
Shares sold | | | 8,969 | | | | — | | | | — | |
Shares outstanding, end of period | | | 8,969 | | | | — | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective September 2, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 145 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR INTERNATIONAL DEFENSIVE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
7/09/12*-
12/31/12 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $647,668 | | | | $237,520 | | | | $33,252 | |
Net realized gain (loss) | | | 666,194 | | | | 170,189 | | | | 16,279 | |
Net change in unrealized appreciation (depreciation) | | | 213,563 | | | | 737,068 | | | | 244,382 | |
Net increase (decrease) in net assets resulting from operations | | | 1,527,425 | | | | 1,144,777 | | | | 293,913 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | (298,045) | | | | — | | | | (26,339) | |
Class N | | | (20,141) | | | | — | | | | (3,918) | |
Total | | | (318,186) | | | | — | | | | (30,257) | |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | (203,528) | | | | — | | | | (16,369) | |
Class N | | | (15,609) | | | | — | | | | (4,353) | |
Total | | | (219,137) | | | | — | | | | (20,722) | |
Total distributions | | | (537,323) | | | | — | | | | (50,979) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 13,162,903 | | | | 11,923,132 | | | | 7,216,220 | |
Reinvestment of distributions | | | 501,573 | | | | — | | | | 42,708 | |
Cost of shares redeemed | | | (4,900,870) | | | | (701,166) | | | | (2,065,477) | |
Net increase (decrease) from capital transactions | | | 8,763,606 | | | | 11,221,966 | | | | 5,193,451 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 619,886 | | | | 349,021 | | | | 1,791,100 | |
Reinvestment of distributions | | | 35,750 | | | | — | | | | 8,271 | |
Cost of shares redeemed | | | (1,420,052) | | | | (148,571) | | | | (1,019,455) | |
Net increase (decrease) from capital transactions | | | (764,416) | | | | 200,450 | | | | 779,916 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 8,099,190 | | | | 11,422,416 | | | | 5,973,367 | |
Total increase (decrease) in net assets | | | 9,089,292 | | | | 12,567,193 | | | | 6,216,301 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 18,783,494 | | | | 6,216,301 | | | | — | |
End of period | | | $27,872,786 | | | | $18,783,494 | | | | $6,216,301 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $570,218 | | | | $254,572 | | | | $(143) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 147) |
| | | | | | | | | | | | | | | | |
| 146 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR INTERNATIONAL DEFENSIVE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
7/09/12*-
12/31/12 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,483,573 | | | | 502,748 | | | | — | |
Shares sold | | | 1,077,372 | | | | 1,042,623 | | | | 693,168 | |
Shares issued on reinvestment of distributions | | | 42,833 | | | | — | | | | 4,014 | |
Shares redeemed | | | (395,406) | | | | (61,798) | | | | (194,434) | |
Shares outstanding, end of period | | | 2,208,372 | | | | 1,483,573 | | | | 502,748 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 97,048 | | | | 79,543 | | | | — | |
Shares sold | | | 51,469 | | | | 31,111 | | | | 174,715 | |
Shares issued on reinvestment of distributions | | | 3,053 | | | | — | | | | 776 | |
Shares redeemed | | | (114,151) | | | | (13,606) | | | | (95,948) | |
Shares outstanding, end of period | | | 37,419 | | | | 97,048 | | | | 79,543 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | |
Shares sold | | | 7,680 | | | | — | | | | — | |
Shares outstanding, end of period | | | 7,680 | | | | — | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective September 2, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 147 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR U.S. DEFENSIVE EQUITY FUND | |
| | | FOR THE
YEAR ENDED SEPTEMBER 30, 2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
7/09/12*- 12/31/12 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $3,314,889 | | | | $597,018 | | | | $44,795 | |
Net realized gain (loss) | | | 4,860,334 | | | | 377,383 | | | | (2,179) | |
Net change in unrealized appreciation (depreciation) | | | 24,266,505 | | | | 1,670,664 | | | | 33,443 | |
Net increase (decrease) in net assets resulting from operations | | | 32,441,728 | | | | 2,645,065 | | | | 76,059 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | (1,166,110) | | | | — | | | | (40,855) | |
Class N | | | (124,307) | | | | — | | | | (1,691) | |
Total | | | (1,290,417) | | | | — | | | | (42,546) | |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | (590,291) | | | | — | | | | (4,695) | |
Class N | | | (75,618) | | | | — | | | | (316) | |
Total | | | (665,909) | | | | — | | | | (5,011) | |
Total distributions | | | (1,956,326) | | | | — | | | | (47,557) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 61,663,509 | | | | 147,844,332 | | | | 8,863,968 | |
Reinvestment of distributions | | | 1,756,401 | | | | — | | | | 45,549 | |
Cost of shares redeemed | | | (21,323,604) | | | | (2,400,295) | | | | (1,076,018) | |
Net increase (decrease) from capital transactions | | | 42,096,306 | | | | 145,444,037 | | | | 7,833,499 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 7,749,037 | | | | 23,011,456 | | | | 1,421,979 | |
Reinvestment of distributions | | | 199,925 | | | | — | | | | 2,007 | |
Cost of shares redeemed | | | (3,257,910) | | | | (2,967,021) | | | | (1,023,257) | |
Net increase (decrease) from capital transactions | | | 4,691,052 | | | | 20,044,435 | | | | 400,729 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 46,887,358 | | | | 165,488,472 | | | | 8,234,228 | |
Total increase (decrease) in net assets | | | 77,372,760 | | | | 168,133,537 | | | | 8,262,730 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 176,396,267 | | | | 8,262,730 | | | | — | |
End of period | | | $253,769,027 | | | | $176,396,267 | | | | $8,262,730 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $2,622,469 | | | | $602,661 | | | | $5,727 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 149) |
| | | | | | | | | | | | | | | | |
| 148 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR U.S. DEFENSIVE EQUITY FUND | |
| | | FOR THE
YEAR ENDED SEPTEMBER 30, 2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
7/09/12*- 12/31/12 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 12,763,386 | | | | 771,572 | | | | — | |
Shares sold | | | 4,666,997 | | | | 12,202,553 | | | | 872,439 | |
Shares issued on reinvestment of distributions | | | 135,525 | | | | — | | | | 4,479 | |
Shares redeemed | | | (1,581,474) | | | | (210,739) | | | | (105,346) | |
Shares outstanding, end of period | | | 15,984,434 | | | | 12,763,386 | | | | 771,572 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,700,634 | | | | 41,347 | | | | — | |
Shares sold | | | 579,637 | | | | 1,912,085 | | | | 141,350 | |
Shares issued on reinvestment of distributions | | | 15,426 | | | | — | | | | 197 | |
Shares redeemed | | | (241,657) | | | | (252,798) | | | | (100,200) | |
Shares outstanding, end of period | | | 2,054,040 | | | | 1,700,634 | | | | 41,347 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | |
Shares sold | | | 7,077 | | | | — | | | | — | |
Shares outstanding, end of period | | | 7,077 | | | | — | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective September 2, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 149 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $5,087,759 | | | | $4,308,786 | | | | $7,340,127 | |
Net realized gain (loss) | | | 101,076,923 | | | | 34,824,237 | | | | 13,466,529 | |
Net change in unrealized appreciation (depreciation) | | | 35,512,263 | | | | 92,812,642 | | | | 39,530,778 | |
Net increase (decrease) in net assets resulting from operations | | | 141,676,945 | | | | 131,945,665 | | | | 60,337,434 | |
| | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | |
| Net investment income: | | | — | | | | — | | | | — | |
Class L | | | (5,167,616) | | | | — | | | | (7,610,158) | |
Class N | | | (276,437) | | | | — | | | | — | |
Total | | | (5,444,053) | | | | — | | | | (7,610,158) | |
| Net realized gain: | | | | | | | | | | | | |
Class L | | | (33,760,872) | | | | — | | | | — | |
Class N | | | (3,094,983) | | | | — | | | | — | |
Total | | | (36,855,855) | | | | — | | | | — | |
Total distributions | | | (42,299,908) | | | | — | | | | (7,610,158) | |
| | |
| CAPITAL TRANSACTIONS: | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Proceeds from shares sold | | | 274,204,732 | | | | 213,770,610 | | | | 231,326,342 | |
Reinvestment of distributions | | | 38,899,012 | | | | — | | | | 7,604,346 | |
Cost of shares redeemed | | | (170,601,504) | | | | (103,081,407) | | | | (104,299,857) | |
Net increase (decrease) from capital transactions | | | 142,502,240 | | | | 110,689,203 | | | | 134,630,831 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 17,442,474 | | | | 22,798,786 | | | | 58,966,793 | (a) |
Reinvestment of distributions | | | 3,371,420 | | | | — | | | | — | |
Cost of shares redeemed | | | (19,840,237) | | | | (24,643,522) | | | | (216,871) | |
Net increase (decrease) from capital transactions | | | 973,657 | | | | (1,844,736) | | | | 58,749,922 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 131,980 | (b) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 131,980 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 143,607,877 | | | | 108,844,467 | | | | 193,380,753 | |
Total increase (decrease) in net assets | | | 242,984,914 | | | | 240,790,132 | | | | 246,108,029 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 789,653,445 | | | | 548,863,313 | | | | 302,755,284 | |
End of period | | | $1,032,638,359 | | | | $789,653,445 | | | | $548,863,313 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $3,514,799 | | | | $4,344,313 | | | | $227,113 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 151) |
| | | | | | | | | | | | | | | | |
| 150 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 36,612,813 | | | | 30,541,508 | | | | 21,793,766 | |
Shares sold | | | 13,062,922 | | | | 11,747,969 | | | | 14,895,037 | |
Shares issued on reinvestment of distributions | | | 1,906,814 | | | | — | | | | 481,898 | |
Shares redeemed | | | (8,037,867) | | | | (5,676,664) | | | | (6,629,193) | |
Shares outstanding, end of period | | | 43,544,682 | | | | 36,612,813 | | | | 30,541,508 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 3,583,368 | | | | 3,638,858 | | | | — | (a) |
Shares sold | | | 824,822 | | | | 1,273,992 | | | | 3,652,468 | |
Shares issued on reinvestment of distributions | | | 165,266 | | | | — | | | | — | |
Shares redeemed | | | (945,129) | | | | (1,329,482) | | | | (13,610) | |
Shares outstanding, end of period | | | 3,628,327 | | | | 3,583,368 | | | | 3,638,858 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (b) | | | — | | | | — | |
Shares sold | | | 5,987 | | | | — | | | | — | |
Shares outstanding, end of period | | | 5,987 | | | | — | | | | — | |
| | (a) | Commencement of offering class of shares effective December 17, 2012. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 151 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR SMALL CAP MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $8,449 | | | | $857,922 | | | | $1,800,500 | |
Net realized gain (loss) | | | 34,792,987 | | | | 14,190,638 | | | | 7,037,857 | |
Net change in unrealized appreciation (depreciation) | | | (28,508,882) | | | | 37,443,636 | | | | 12,331,774 | |
Net increase (decrease) in net assets resulting from operations | | | 6,292,554 | | | | 52,492,196 | | | | 21,170,131 | |
| | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class L | | | (710,780) | | | | — | | | | (1,541,164) | |
Class N | | | (7,577) | | | | — | | | | — | |
Total | | | (718,357) | | | | — | | | | (1,541,164) | |
| Net realized gain: | | | | | | | | | | | | |
Class L | | | (16,031,831) | | | | — | | | | — | |
Class N | | | (173,722) | | | | — | | | | — | |
Total | | | (16,205,553) | | | | — | | | | — | |
Total distributions | | | (16,923,910) | | | | — | | | | (1,541,164) | |
| | |
| CAPITAL TRANSACTIONS: | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Proceeds from shares sold | | | 95,966,031 | | | | 70,492,315 | | | | 50,077,757 | |
Reinvestment of distributions | | | 16,540,167 | | | | — | | | | 1,537,931 | |
Cost of shares redeemed | | | (43,807,285) | | | | (26,018,808) | | | | (26,009,044) | |
Net increase (decrease) from capital transactions | | | 68,698,913 | | | | 44,473,507 | | | | 25,606,644 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 6,515,783 | | | | 1,615,673 | | | | 10,000 | (a) |
Reinvestment of distributions | | | 181,300 | | | | — | | | | — | |
Cost of shares redeemed | | | (750,386) | | | | (17,558) | | | | — | |
Net increase (decrease) from capital transactions | | | 5,946,697 | | | | 1,598,115 | | | | 10,000 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (b) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 74,745,610 | | | | 46,071,622 | | | | 25,616,644 | |
Total increase (decrease) in net assets | | | 64,114,254 | | | | 98,563,818 | | | | 45,245,611 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 244,343,783 | | | | 145,779,965 | | | | 100,534,354 | |
End of period | | | $308,458,037 | | | | $244,343,783 | | | | $145,779,965 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $(21,760) | | | | $752,938 | | | | $146,099 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 153) |
| | | | | | | | | | | | | | | | |
| 152 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR SMALL CAP MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 11,146,293 | | | | 8,871,777 | | | | 7,238,497 | |
Shares sold | | | 4,362,937 | | | | 3,620,280 | | | | 3,211,497 | |
Shares issued on reinvestment of distributions | | | 752,852 | | | | — | | | | 97,153 | |
Shares redeemed | | | (1,981,416) | | | | (1,345,764) | | | | (1,675,370) | |
Shares outstanding, end of period | | | 14,280,666 | | | | 11,146,293 | | | | 8,871,777 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 76,765 | | | | 622 | | | | — | (a) |
Shares sold | | | 292,076 | | | | 77,081 | | | | 622 | |
Shares issued on reinvestment of distributions | | | 8,271 | | | | — | | | | — | |
Shares redeemed | | | (34,731) | | | | (938) | | | | — | |
Shares outstanding, end of period | | | 342,381 | | | | 76,765 | | | | 622 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (b) | | | — | | | | — | |
Shares sold | | | 4,529 | | | | — | | | | — | |
Shares outstanding, end of period | | | 4,529 | | | | — | | | | — | |
| | (a) | Commencement of offering class of shares effective December 17, 2012. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 153 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL MOMENTUM FUND | | | AQR EMERGING
MOMENTUM
FUND | |
| | | FOR THE YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | | | FOR THE PERIOD
5/13/14*- 9/30/14 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $5,343,481 | | | | $3,054,749 | | | | $2,524,674 | | | | $56,227 | |
Net realized gain (loss) | | | 8,360,764 | | | | 7,761,555 | | | | 1,155,067 | | | | (38,390) | |
Net change in unrealized appreciation (depreciation) | | | (17,399,020) | | | | 18,220,315 | | | | 13,708,882 | | | | (147,796) | |
Net increase (decrease) in net assets resulting from operations | | | (3,694,775) | | | | 29,036,619 | | | | 17,388,623 | | | | (129,959) | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class L | | | (3,959,589) | | | | — | | | | (2,965,770) | | | | — | |
Class N | | | (609,999) | | | | — | | | | — | | | | — | |
Total | | | (4,569,588) | | | | — | | | | (2,965,770) | | | | — | |
Total distributions | | | (4,569,588) | | | | — | | | | (2,965,770) | | | | — | |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 122,678,856 | | | | 83,877,662 | | | | 54,777,235 | | | | 6,393,787 | |
Reinvestment of distributions | | | 3,958,755 | | | | — | | | | 2,965,195 | | | | — | |
Cost of shares redeemed | | | (58,524,145) | | | | (18,591,284) | | | | (21,716,680) | | | | (10,053) | |
Net increase (decrease) from capital transactions | | | 68,113,466 | | | | 65,286,378 | | | | 36,025,750 | | | | 6,383,734 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 8,948,915 | | | | 42,216,111 | | | | 11,000 | (a) | | | 1,034,945 | |
Reinvestment of distributions | | | 609,999 | | | | — | | | | — | | | | — | |
Cost of shares redeemed | | | (10,024,019) | | | | (3,719,078) | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | (465,105) | | | | 38,497,033 | | | | 11,000 | | | | 1,034,945 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (b) | | | — | | | | — | | | | 100,000 | (b) |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 67,748,361 | | | | 103,783,411 | | | | 36,036,750 | | | | 7,518,679 | |
Total increase (decrease) in net assets | | | 59,483,998 | | | | 132,820,030 | | | | 50,459,603 | | | | 7,388,720 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 260,504,544 | | | | 127,684,514 | | | | 77,224,911 | | | | — | |
End of period | | | $319,988,542 | | | | $260,504,544 | | | | $127,684,514 | | | | $7,388,720 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $4,582,405 | | | | $3,226,119 | | | | $(313,735) | | | | $57,182 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 155) |
| | | | | | | | | | | | | | | | |
| 154 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL MOMENTUM FUND | | | AQR EMERGING
MOMENTUM
FUND | |
| | | FOR THE YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2012 | | | FOR THE PERIOD
5/13/14*- 9/30/14 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 14,326,003 | | | | 9,757,051 | | | | 6,789,578 | | | | — | |
Shares sold | | | 7,953,475 | | | | 5,866,252 | | | | 4,490,971 | | | | 625,968 | |
Shares issued on reinvestment of distributions | | | 258,404 | | | | — | | | | 229,327 | | | | — | |
Shares redeemed | | | (3,814,655) | | | | (1,297,300) | | | | (1,752,825) | | | | (945) | |
Shares outstanding, end of period | | | 18,723,227 | | | | 14,326,003 | | | | 9,757,051 | | | | 625,023 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,721,721 | | | | 849 | | | | — | (a) | | | — | |
Shares sold | | | 580,437 | | | | 2,976,098 | | | | 849 | | | | 103,336 | |
Shares issued on reinvestment of distributions | | | 39,895 | | | | — | | | | — | | | | — | |
Shares redeemed | | | (652,004) | | | | (255,226) | | | | — | | | | — | |
Shares outstanding, end of period | | | 2,690,049 | | | | 2,721,721 | | | | 849 | | | | 103,336 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (b) | | | — | | | | — | | | | — | (b) |
Shares sold | | | 6,435 | | | | — | | | | — | | | | 9,407 | |
Shares outstanding, end of period | | | 6,435 | | | | — | | | | — | | | | 9,407 | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective December 17, 2012. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 155 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR TAX-MANAGED MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
1/27/12*-
12/31/12 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $380,075 | | | | $75,056 | | | | $55,098 | |
Net realized gain (loss) | | | 1,570,147 | | | | 199,994 | | | | 20,369 | |
Net change in unrealized appreciation (depreciation) | | | 6,934,858 | | | | 1,474,254 | | | | 290,968 | |
Net increase (decrease) in net assets resulting from operations | | | 8,885,080 | | | | 1,749,304 | | | | 366,435 | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class L | | | (128,737) | | | | — | | | | (58,114) | |
Class N | | | (55) | | | | — | | | | — | |
Total | | | (128,792) | | | | — | | | | (58,114) | |
| Net realized gain: | | | | | | | | | | | | |
Class L | | | (317,031) | | | | — | | | | (35,669) | |
Class N | | | (940) | | | | — | | | | — | |
Total | | | (317,971) | | | | — | | | | (35,669) | |
Total distributions | | | (446,763) | | | | — | | | | (93,783) | |
| | |
| CAPITAL TRANSACTIONS: | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Proceeds from shares sold | | | 79,287,715 | | | | 17,901,127 | | | | 5,727,135 | |
Reinvestment of distributions | | | 445,768 | | | | — | | | | 93,783 | |
Cost of shares redeemed | | | (8,524,640) | | | | (3,966,042) | | | | (52,741) | |
Net increase (decrease) from capital transactions | | | 71,208,843 | | | | 13,935,085 | | | | 5,768,177 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,500 | | | | 100,001 | | | | 10,000 | (a) |
Reinvestment of distributions | | | 995 | | | | — | | | | — | |
Cost of shares redeemed | | | — | | | | (10,594) | | | | — | |
Net increase (decrease) from capital transactions | | | 2,495 | | | | 89,407 | | | | 10,000 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (b) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 71,311,338 | | | | 14,024,492 | | | | 5,778,177 | |
Total increase (decrease) in net assets | | | 79,749,655 | | | | 15,773,796 | | | | 6,050,829 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 21,824,625 | | | | 6,050,829 | | | | — | |
End of period | | | $101,574,280 | | | | $21,824,625 | | | | $6,050,829 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $320,304 | | | | $77,454 | | | | $3,454 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 157) |
| | | | | | | | | | | | | | | | |
| 156 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR TAX-MANAGED MOMENTUM FUND | |
| | | FOR THE YEAR
ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
1/27/12*-
12/31/12 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,596,498 | | | | 542,643 | | | | — | |
Shares sold | | | 5,314,373 | | | | 1,359,290 | | | | 538,821 | |
Shares issued on reinvestment of distributions | | | 30,365 | | | | — | | | | 8,557 | |
Shares redeemed | | | (566,192) | | | | (305,435) | | | | (4,735) | |
Shares outstanding, end of period | | | 6,375,044 | | | | 1,596,498 | | | | 542,643 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,489 | | | | 899 | | | | — | (a) |
Shares sold | | | 103 | | | | 8,489 | | | | 899 | |
Shares issued on reinvestment of distributions | | | 68 | | | | — | | | | — | |
Shares redeemed | | | — | | | | (899) | | | | — | |
Shares outstanding, end of period | | | 8,660 | | | | 8,489 | | | | 899 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (b) | | | — | | | | — | |
Shares sold | | | 6,337 | | | | — | | | | — | |
Shares outstanding, end of period | | | 6,337 | | | | — | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective December 17, 2012. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 157 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
1/27/12*-
12/31/12 | |
| OPERATIONS: | |
Net investment income (loss) | | | $4,561 | | | | $17,737 | | | | $46,220 | |
Net realized gain (loss) | | | 418,735 | | | | 102,409 | | | | 14,572 | |
Net change in unrealized appreciation (depreciation) | | | (703,349) | | | | 1,216,323 | | | | 272,089 | |
Net increase (decrease) in net assets resulting from operations | | | (280,053) | | | | 1,336,469 | | | | 332,881 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class L | | | (21,215) | | | | — | | | | (43,740) | |
Class N | | | (33) | | | | — | | | | — | |
Total | | | (21,248) | | | | — | | | | (43,740) | |
| Net realized gain: | | | | | | | | | | | | |
Class L | | | (139,024) | | | | — | | | | — | |
Class N | | | (2,068) | | | | — | | | | — | |
Total | | | (141,092) | | | | — | | | | — | |
Total distributions | | | (162,340) | | | | — | | | | (43,740) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Proceeds from shares sold | | | 14,374,949 | | | | 2,695,469 | | | | 3,103,895 | |
Reinvestment of distributions | | | 160,239 | | | | — | | | | 43,740 | |
Cost of shares redeemed | | | (6,173,028) | | | | (679,820) | | | | (1,566) | |
Net increase (decrease) from capital transactions | | | 8,362,160 | | | | 2,015,649 | | | | 3,146,069 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,448 | | | | 100,000 | | | | 10,000 | (a) |
Reinvestment of distributions | | | 2,101 | | | | — | | | | — | |
Cost of shares redeemed | | | — | | | | (11,109) | | | | — | |
Net increase (decrease) from capital transactions | | | 3,549 | | | | 88,891 | | | | 10,000 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (b) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 8,465,709 | | | | 2,104,540 | | | | 3,156,069 | |
Total increase (decrease) in net assets | | | 8,023,316 | | | | 3,441,009 | | | | 3,445,210 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 6,886,219 | | | | 3,445,210 | | | | — | |
End of period | | | $14,909,535 | | | | $6,886,219 | | | | $3,445,210 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $(6,613) | | | | $15,602 | | | | $3,863 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 159) |
| | | | | | | | | | | | | | | | |
| 158 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
1/27/12*-
12/31/12 | |
| | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 455,448 | | | | 307,953 | | | | — | |
Shares sold | | | 943,530 | | | | 196,317 | | | | 304,030 | |
Shares issued on reinvestment of distributions | | | 10,358 | | | | — | | | | 4,069 | |
Shares redeemed | | | (411,205) | | | | (48,822) | | | | (146) | |
Shares outstanding, end of period | | | 998,131 | | | | 455,448 | | | | 307,953 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,251 | | | | 917 | | | | — | (a) |
Shares sold | | | 102 | | | | 8,251 | | | | 917 | |
Shares issued on reinvestment of distributions | | | 136 | | | | — | | | | — | |
Shares redeemed | | | — | | | | (917) | | | | — | |
Shares outstanding, end of period | | | 8,489 | | | | 8,251 | | | | 917 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (b) | | | — | | | | — | |
Shares sold | | | 6,472 | | | | — | | | | — | |
Shares outstanding, end of period | | | 6,472 | | | | — | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective December 17, 2012. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 159 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
1/27/12*-
12/31/12 | |
| OPERATIONS: | |
Net investment income (loss) | | | $1,013,561 | | | | $119,583 | | | | $80,248 | |
Net realized gain (loss) | | | (426,846) | | | | 272,476 | | | | 24,701 | |
Net change in unrealized appreciation (depreciation) | | | (1,693,193) | | | | 777,272 | | | | 512,452 | |
Net increase (decrease) in net assets resulting from operations | | | (1,106,478) | | | | 1,169,331 | | | | 617,401 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class L | | | (171,579) | | | | — | | | | (91,118) | |
Class N | | | (189) | | | | — | | | | — | |
Total | | | (171,768) | | | | — | | | | (91,118) | |
| Net realized gain: | | | | | | | | | | | | |
Class L | | | (457,829) | | | | — | | | | (8,768) | |
Class N | | | (1,358) | | | | — | | | | — | |
Total | | | (459,187) | | | | — | | | | (8,768) | |
Total distributions | | | (630,955) | | | | — | | | | (99,886) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Proceeds from shares sold | | | 74,819,447 | | | | 13,835,282 | | | | 5,127,939 | |
Reinvestment of distributions | | | 629,408 | | | | — | | | | 99,886 | |
Cost of shares redeemed | | | (9,509,891) | | | | (3,313,583) | | | | (6,508) | |
Net increase (decrease) from capital transactions | | | 65,938,964 | | | | 10,521,699 | | | | 5,221,317 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | 100,000 | | | | 10,000 | (a) |
Reinvestment of distributions | | | 1,547 | | | | — | | | | — | |
Cost of shares redeemed | | | — | | | | (10,601) | | | | — | |
Net increase (decrease) from capital transactions | | | 1,547 | | | | 89,399 | | | | 10,000 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (b) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 100,000 | | | | — | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 66,040,511 | | | | 10,611,098 | | | | 5,231,317 | |
Total increase (decrease) in net assets | | | 64,303,078 | | | | 11,780,429 | | | | 5,748,832 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 17,529,261 | | | | 5,748,832 | | | | — | |
End of period | | | $81,832,339 | | | | $17,529,261 | | | | $5,748,832 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $974,879 | | | | $108,464 | | | | $(14,184) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 161) |
| | | | | | | | | | | | | | | | |
| 160 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 | | | FOR THE PERIOD
1/27/12*-
12/31/12 | |
| | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,321,265 | | | | 510,465 | | | | — | |
Shares sold | | | 5,579,502 | | | | 1,076,886 | | | | 502,067 | |
Shares issued on reinvestment of distributions | | | 47,539 | | | | — | | | | 8,983 | |
Shares redeemed | | | (712,522) | | | | (266,086) | | | | (585) | |
Shares outstanding, end of period | | | 6,235,784 | | | | 1,321,265 | | | | 510,465 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,468 | | | | 898 | | | | — | (a) |
Shares sold | | | — | | | | 8,468 | | | | 898 | |
Shares issued on reinvestment of distributions | | | 116 | | | | — | | | | — | |
Shares redeemed | | | — | | | | (898) | | | | — | |
Shares outstanding, end of period | | | 8,584 | | | | 8,468 | | | | 898 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (b) | | | — | | | | — | |
Shares sold | | | 7,321 | | | | — | | | | — | |
Shares outstanding, end of period | | | 7,321 | | | | — | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective December 17, 2012. |
| | (b) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 161 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR CORE EQUITY FUND | | | AQR SMALL CAP CORE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD
3/26/13*- 9/30/13 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD 3/26/13*- 9/30/13 | |
| OPERATIONS: | | | | | |
Net investment income (loss) | | | $943,356 | | | | $51,206 | | | | $20,120 | | | | $4,606 | |
Net realized gain (loss) | | | 1,299,259 | | | | 95,056 | | | | 124,643 | | | | 22,660 | |
Net change in unrealized appreciation (depreciation) | | | 7,207,415 | | | | 569,841 | | | | (108,107) | | | | 439,180 | |
Net increase (decrease) in net assets resulting from operations | | | 9,450,030 | | | | 716,103 | | | | 36,656 | | | | 466,446 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class L | | | (119,019) | | | | — | | | | (7,632) | | | | — | |
Class N | | | (13,149) | | | | — | | | | (4,611) | | | | — | |
Total | | | (132,168) | | | | — | | | | (12,243) | | | | — | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class L | | | (165,118) | | | | — | | | | (25,099) | | | | — | |
Class N | | | (22,150) | | | | — | | | | (22,781) | | | | — | |
Total | | | (187,268) | | | | — | | | | (47,880) | | | | — | |
Total distributions | | | (319,436) | | | | — | | | | (60,123) | | | | — | |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 147,028,800 | | | | 19,426,853 | | | | 7,472,586 | | | | 2,654,885 | |
Reinvestment of distributions | | | 284,137 | | | | — | | | | 32,731 | | | | — | |
Cost of shares redeemed | | | (9,053,445) | | | | (1,229,610) | | | | (1,394,579) | | | | (743,228) | |
Net increase (decrease) from capital transactions | | | 138,259,492 | | | | 18,197,243 | | | | 6,110,738 | | | | 1,911,657 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 12,485,844 | | | | 2,212,852 | | | | 2,686,574 | | | | 1,186,351 | |
Reinvestment of distributions | | | 35,299 | | | | — | | | | 27,392 | | | | — | |
Cost of shares redeemed | | | (4,397,128) | | | | (912,033) | | | | (2,853,830) | | | | — | |
Net increase (decrease) from capital transactions | | | 8,124,015 | | | | 1,300,819 | | | | (139,864) | | | | 1,186,351 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 43,024,955 | (a) | | | — | | | | 100,000 | (a) | | | — | |
Cost of shares redeemed | | | (110,245) | | | | — | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 42,914,710 | | | | — | | | | 100,000 | | | | — | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 189,298,217 | | | | 19,498,062 | | | | 6,070,874 | | | | 3,098,008 | |
Total increase (decrease) in net assets | | | 198,428,811 | | | | 20,214,165 | | | | 6,047,407 | | | | 3,564,454 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 20,214,165 | | | | — | | | | 3,564,454 | | | | — | |
End of period | | | $218,642,976 | | | | $20,214,165 | | | | $9,611,861 | | | | $3,564,454 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $860,755 | | | | $52,857 | | | | $10,915 | | | | $5,195 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 163) |
| | | | | | | | | | | | | | | | |
| 162 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR CORE EQUITY FUND | | | AQR SMALL CAP CORE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD
3/26/13*- 9/30/13 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD 3/26/13*- 9/30/13 | |
| | | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,695,462 | | | | — | | | | 183,811 | | | | — | |
Shares sold | | | 11,405,876 | | | | 1,811,050 | | | | 590,429 | | | | 253,687 | |
Shares issued on reinvestment of distributions | | | 23,482 | | | | — | | | | 2,579 | | | | — | |
Shares redeemed | | | (699,215) | | | | (115,588) | | | | (109,730) | | | | (69,876) | |
Shares outstanding, end of period | | | 12,425,605 | | | | 1,695,462 | | | | 667,089 | | | | 183,811 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 126,521 | | | | — | | | | 116,378 | | | | — | |
Shares sold | | | 995,837 | | | | 212,977 | | | | 212,517 | | | | 116,378 | |
Shares issued on reinvestment of distributions | | | 2,920 | | | | — | | | | 2,160 | | | | — | |
Shares redeemed | | | (350,687) | | | | (86,456) | | | | (226,693) | | | | — | |
Shares outstanding, end of period | | | 774,591 | | | | 126,521 | | | | 104,362 | | | | 116,378 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | (a) | | | — | |
Shares sold | | | 3,171,171 | | | | — | | | | 7,722 | | | | — | |
Shares redeemed | | | (8,246) | | | | — | | | | — | | | | — | |
Shares outstanding, end of period | | | 3,162,925 | | | | — | | | | 7,722 | | | | — | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 163 |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR INTERNATIONAL CORE
EQUITY FUND | | | AQR EMERGING
CORE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD
3/26/13*- 9/30/13 | | | FOR THE PERIOD 5/13/14*- 9/30/14 | |
| OPERATIONS: | |
Net investment income (loss) | | | $594,297 | | | | $111,414 | | | | $104,365 | |
Net realized gain (loss) | | | 272,909 | | | | (76,611) | | | | (112,270) | |
Net change in unrealized appreciation (depreciation) | | | (1,099,036) | | | | 1,362,722 | | | | (625,469) | |
Net increase (decrease) in net assets resulting from operations | | | (231,830) | | | | 1,397,525 | | | | (633,374) | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class L | | | (141,411) | | | | — | | | | — | |
Class N | | | (15,916) | | | | — | | | | — | |
Total | | | (157,327) | | | | — | | | | — | |
Total distributions | | | (157,327) | | | | — | | | | — | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Proceeds from shares sold | | | 14,427,190 | | | | 15,815,757 | | | | 12,126,995 | |
Reinvestment of distributions | | | 141,411 | | | | — | | | | — | |
Cost of shares redeemed | | | (3,730,566) | | | | (1,223,357) | | | | (20,114) | |
Net increase (decrease) from capital transactions | | | 10,838,035 | | | | 14,592,400 | | | | 12,106,881 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,369,545 | | | | 2,846,422 | | | | 2,486,920 | |
Reinvestment of distributions | | | 15,916 | | | | — | | | | — | |
Cost of shares redeemed | | | (810,724) | | | | (872,000) | | | | (5,760) | |
Net increase (decrease) from capital transactions | | | 574,737 | | | | 1,974,422 | | | | 2,481,160 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 27,011,110 | (a) | | | — | | | | 100,000 | (a) |
Cost of shares redeemed | | | (102,584) | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 26,908,526 | | | | — | | | | 100,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 38,321,298 | | | | 16,566,822 | | | | 14,688,041 | |
Total increase (decrease) in net assets | | | 37,932,141 | | | | 17,964,347 | | | | 14,054,667 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 17,964,347 | | | | — | | | | — | |
End of period | | | $55,896,488 | | | | $17,964,347 | | | | $14,054,667 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $625,820 | | | | $109,008 | | | | $114,542 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 165) |
| | | | | | | | | | | | | | | | |
| 164 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Statements of Changes in Net Assets | | | September 30, 2014 | |
| | | | | | | | | | | | |
| | | AQR INTERNATIONAL CORE
EQUITY FUND | | | AQR EMERGING
CORE EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2014 | | | FOR THE PERIOD
3/26/13*- 9/30/13 | | | FOR THE PERIOD 5/13/14*- 9/30/14 | |
| | | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | |
| CLASS L | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,401,327 | | | | — | | | | — | |
Shares sold | | | 1,236,200 | | | | 1,518,548 | | | | 1,163,451 | |
Shares issued on reinvestment of distributions | | | 12,372 | | | | — | | | | — | |
Shares redeemed | | | (318,789) | | | | (117,221) | | | | (1,866) | |
Shares outstanding, end of period | | | 2,331,110 | | | | 1,401,327 | | | | 1,161,585 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 191,136 | | | | — | | | | — | |
Shares sold | | | 117,386 | | | | 275,225 | | | | 240,482 | |
Shares issued on reinvestment of distributions | | | 1,392 | | | | — | | | | — | |
Shares redeemed | | | (69,107) | | | | (84,089) | | | | (566) | |
Shares outstanding, end of period | | | 240,807 | | | | 191,136 | | | | 239,916 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | (a) |
Shares sold | | | 2,312,075 | | | | — | | | | 9,551 | |
Shares redeemed | | | (8,884) | | | | — | | | | — | |
Shares outstanding, end of period | | | 2,303,191 | | | | — | | | | 9,551 | |
| | * | Commencement of operations. |
| | (a) | Commencement of offering class of shares effective July 10, 2014. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 165 |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $13.33 | | | | 0.15 | 6 | | | 1.13 | | | | 1.28 | | | | (0.39 | ) | | | (5.31 | ) | | | (5.70 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.35 | | | | 0.14 | | | | 1.84 | | | | 1.98 | | | | — | | | | — | | | | — | |
| 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $13.27 | | | | 0.12 | 6 | | | 1.12 | | | | 1.24 | | | | (0.35 | ) | | | (5.31 | ) | | | (5.66 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.32 | | | | 0.11 | | | | 1.84 | | | | 1.95 | | | | — | | | | — | | | | — | |
| 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 R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 1/08/149—9/30/145 | | | $8.70 | | | | 0.15 | 6 | | | 0.11 | | | | 0.26 | | | | — | | | | — | | | | — | |
| AQR GLOBAL EQUITY FUND CLASS Y | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014†,5 | | | $13.38 | | | | 0.18 | 6 | | | 1.15 | | | | 1.33 | | | | (0.43 | ) | | | (5.31 | ) | | | (5.74 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 †,5 | | | $11.35 | | | | 0.18 | | | | 1.85 | | | | 2.03 | | | | — | | | | — | | | | — | |
| 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.88 | | | | 0.28 | 6 | | | (0.09 | ) | | | 0.19 | | | | (0.22 | ) | | | (0.86 | ) | | | (1.08 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.24 | | | | 0.17 | | | | 1.47 | | | | 1.64 | | | | — | | | | — | | | | — | |
| 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 9/30/099—12/31/09†,5 | | | $10.00 | | | | (0.01 | ) | | | 0.22 | | | | 0.21 | | | | (0.14 | ) | | | (0.29 | ) | | | (0.43 | ) |
| AQR INTERNATIONAL EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $12.06 | | | | 0.25 | 6 | | | (0.10 | ) | | | 0.15 | | | | (0.20 | ) | | | (0.86 | ) | | | (1.06 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.43 | | | | 0.13 | | | | 1.50 | | | | 1.63 | | | | — | | | | — | | | | — | |
| 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 9/30/099—12/31/095 | | | $10.00 | | | | — | | | | 0.20 | | | | 0.20 | | | | — | | | | (0.29 | ) | | | (0.29 | ) |
| AQR INTERNATIONAL EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 1/08/149—9/30/145 | | | $12.08 | | | | 0.34 | 6 | | | (0.86 | ) | | | (0.52 | ) | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL EQUITY FUND CLASS Y | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014†,5 | | | $12.45 | | | | 0.31 | 6 | | | (0.07 | ) | | | 0.24 | | | | (0.25 | ) | | | (0.86 | ) | | | (1.11 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 †,5 | | | $10.71 | | | | 0.21 | | | | 1.53 | | | | 1.74 | | | | — | | | | — | | | | — | |
| 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 8/28/0911—12/31/09†,5 | | | $10.00 | | | | 0.03 | | | | 0.57 | | | | 0.60 | | | | (0.15 | ) | | | (0.29 | ) | | | (0.44 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 166 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.91 | | | | 11.55 | % | | | $2,491,822 | | | | 0.91 | % | | | 0.91 | % | | | 1.14 | % | | | 1.62 | %6 | | | 90 | % | | |
| | $13.33 | | | | 17.44 | % | | | $1,262,602 | | | | 0.95 | % | | | 0.95 | % | | | 2.27 | %7,8 | | | 1.46 | % | | | 71 | % | | |
| | $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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.85 | | | | 11.17 | % | | | $1,128,334 | | | | 1.21 | % | | | 1.21 | % | | | 1.60 | % | | | 1.28 | %6 | | | 90 | % | | |
| | $13.27 | | | | 17.23 | % | | | $712,114 | | | | 1.25 | % | | | 1.25 | % | | | 3.06 | %7,8 | | | 1.14 | % | | | 71 | % | | |
| | $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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.96 | | | | 2.99 | % | | | $76,030,739 | | | | 0.70 | % | | | 0.70 | % | | | 0.73 | % | | | 2.23 | %6 | | | 90 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.97 | | | | 11.99 | % | | | $212,651,697 | | | | 0.54 | % | | | 0.54 | % | | | 0.54 | % | | | 1.79 | %6 | | | 90 | % | | |
| | $13.38 | | | | 17.89 | % | | | $254,722,998 | | | | 0.51 | % | | | 0.51 | % | | | 0.51 | %7,8 | | | 1.88 | % | | | 71 | % | | |
| | $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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.99 | | | | 1.33 | % | | | $247,847,028 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 2.41 | %6 | | | 71 | % | | |
| | $11.88 | | | | 16.02 | % | | | $241,467,180 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | %7 | | | 2.11 | % | | | 59 | % | | |
| | $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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.15 | | | | 0.96 | % | | | $39,335,577 | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 2.11 | %6 | | | 71 | % | | |
| | $12.06 | | | | 15.63 | % | | | $32,010,505 | | | | 1.29 | % | | | 1.29 | % | | | 1.29 | %7 | | | 1.52 | % | | | 59 | % | | |
| | $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 | %10 | | | (0.07 | )% | | | 29 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.56 | | | | (4.30 | )% | | | $103,882,203 | | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 3.90 | %6 | | | 71 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.58 | | | | 1.71 | % | | | $398,965,940 | | | | 0.54 | % | | | 0.54 | % | | | 0.54 | % | | | 2.54 | %6 | | | 71 | % | | |
| | $12.45 | | | | 16.25 | % | | | $543,667,428 | | | | 0.55 | % | | | 0.55 | % | | | 0.55 | %7 | | | 2.45 | % | | | 59 | % | | |
| | $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 | | | | | | Annual Report | | | | | | September 2014 | | 167 |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $10.27 | | | | 0.25 | 6 | | | 0.03 | 12 | | | 0.28 | | | | (0.09 | ) | | | (0.00 | )13 | | | (0.09 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.92 | | | | 0.20 | | | | (0.85 | ) | | | (0.65 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/1211—12/31/125 | | | $10.00 | | | | 0.10 | | | | 0.94 | | | | 1.04 | | | | (0.09 | ) | | | (0.03 | ) | | | (0.12 | ) |
| AQR EMERGING DEFENSIVE EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $10.26 | | | | 0.18 | 6 | | | 0.08 | 12 | | | 0.26 | | | | (0.07 | ) | | | (0.00 | )13 | | | (0.07 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.93 | | | | 0.16 | | | | (0.83 | ) | | | (0.67 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/1211—12/31/125 | | | $10.00 | | | | 0.08 | | | | 0.94 | | | | 1.02 | | | | (0.06 | ) | | | (0.03 | ) | | | (0.09 | ) |
| AQR EMERGING DEFENSIVE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/149—9/30/145 | | | $11.15 | | | | 0.03 | 6 | | | (0.72 | ) | | | (0.69 | ) | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.88 | | | | 0.31 | | | | 0.47 | | | | 0.78 | | | | (0.17 | ) | | | (0.12 | ) | | | (0.29 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.67 | | | | 0.23 | | | | 0.98 | | | | 1.21 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/1211—12/31/125 | | | $10.00 | | | | 0.10 | | | | 0.67 | | | | 0.77 | | | | (0.06 | ) | | | (0.04 | ) | | | (0.10 | ) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.88 | | | | 0.27 | | | | 0.47 | | | | 0.74 | | | | (0.15 | ) | | | (0.12 | ) | | | (0.27 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.69 | | | | 0.20 | | | | 0.99 | | | | 1.19 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/1211—12/31/125 | | | $10.00 | | | | 0.08 | | | | 0.68 | | | | 0.76 | | | | (0.03 | ) | | | (0.04 | ) | | | (0.07 | ) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/149—9/30/145 | | | $13.02 | | | | 0.03 | | | | (0.68 | )12 | | | (0.65 | ) | | | — | | | | — | | | | — | |
| AQR U.S. DEFENSIVE EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $12.20 | | | | 0.20 | | | | 1.79 | | | | 1.99 | | | | (0.08 | ) | | | (0.04 | ) | | | (0.12 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.16 | | | | 0.15 | | | | 1.89 | | | | 2.04 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/1211—12/31/125 | | | $10.00 | | | | 0.14 | 14 | | | 0.10 | | | | 0.24 | | | | (0.07 | ) | | | (0.01 | ) | | | (0.08 | ) |
| AQR U.S. DEFENSIVE EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $12.19 | | | | 0.17 | | | | 1.79 | | | | 1.96 | | | | (0.07 | ) | | | (0.04 | ) | | | (0.11 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $10.18 | | | | 0.13 | | | | 1.88 | | | | 2.01 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/1211—12/31/125 | | | $10.00 | | | | 0.08 | 14 | | | 0.15 | | | | 0.23 | | | | (0.04 | ) | | | (0.01 | ) | | | (0.05 | ) |
| AQR U.S. DEFENSIVE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/149—9/30/145 | | | $14.13 | | | | 0.02 | | | | (0.08 | )12 | | | (0.06 | ) | | | — | | | | — | | | | — | |
| AQR MOMENTUM FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $19.65 | | | | 0.12 | | | | 3.12 | | | | 3.24 | | | | (0.13 | ) | | | (0.87 | ) | | | (1.00 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $16.06 | | | | 0.12 | 15 | | | 3.47 | | | | 3.59 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 20125 | | | $13.89 | | | | 0.26 | 14 | | | 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 7/09/0911—12/31/09†,5 | | | $10.00 | | | | 0.07 | | | | 2.48 | | | | 2.55 | | | | (0.05 | ) | | | (0.31 | ) | | | (0.36 | ) |
| AQR MOMENTUM FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $19.61 | | | | 0.06 | | | | 3.13 | | | | 3.19 | | | | (0.08 | ) | | | (0.87 | ) | | | (0.95 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $16.05 | | | | 0.09 | 15 | | | 3.47 | | | | 3.56 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/129—12/31/125 | | | $16.02 | | | | 0.01 | 14 | | | 0.02 | | | | 0.03 | | | | — | | | | — | | | | — | |
| AQR MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $21.90 | | | | 0.04 | | | | (0.05 | )12 | | | (0.01 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 168 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.46 | | | | 2.78 | % | | | $70,069,729 | | | | 0.85 | % | | | 0.85 | % | | | 1.23 | % | | | 2.35 | %6 | | | 124 | % | | |
| | $10.27 | | | | (5.95 | )% | | | $29,471,066 | | | | 0.96 | % | | | 0.96 | % | | | 2.08 | %7 | | | 2.55 | % | | | 181 | % | | |
| | $10.92 | | | | 10.39 | % | | | $5,402,251 | | | | 1.15 | % | | | 1.15 | % | | | 4.14 | % | | | 1.92 | % | | | 38 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.45 | | | | 2.60 | % | | | $1,017,073 | | | | 1.10 | % | | | 1.10 | % | | | 1.68 | % | | | 1.73 | %6 | | | 124 | % | | |
| | $10.26 | | | | (6.13 | )% | | | $2,594,182 | | | | 1.25 | % | | | 1.25 | % | | | 3.50 | %7 | | | 2.06 | % | | | 181 | % | | |
| | $10.93 | | | | 10.22 | % | | | $1,804,269 | | | | 1.40 | % | | | 1.40 | % | | | 5.41 | % | | | 1.67 | % | | | 38 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.46 | | | | (6.19 | )% | | | $93,797 | | | | 0.70 | % | | | 0.70 | % | | | 1.36 | % | | | 4.04 | %6 | | | 124 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.37 | | | | 6.68 | % | | | $27,315,512 | | | | 0.65 | % | | | 0.65 | % | | | 1.24 | % | | | 2.53 | % | | | 57 | % | | |
| | $11.88 | | | | 11.34 | % | | | $17,630,701 | | | | 0.73 | % | | | 0.73 | % | | | 2.01 | %7,8 | | | 2.68 | % | | | 115 | % | | |
| | $10.67 | | | | 7.69 | % | | | $5,366,031 | | | | 0.90 | % | | | 0.90 | % | | | 5.00 | % | | | 1.91 | % | | | 81 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.35 | | | | 6.32 | % | | | $462,264 | | | | 0.90 | % | | | 0.90 | % | | | 1.85 | % | | | 2.18 | % | | | 57 | % | | |
| | $11.88 | | | | 11.13 | % | | | $1,152,793 | | | | 1.00 | % | | | 1.00 | % | | | 4.15 | %7,8 | | | 2.34 | % | | | 115 | % | | |
| | $10.69 | | | | 7.62 | % | | | $850,270 | | | | 1.15 | % | | | 1.15 | % | | | 6.96 | % | | | 1.61 | % | | | 81 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.37 | | | | (4.99 | )% | | | $95,010 | | | | 0.55 | % | | | 0.55 | % | | | 1.23 | % | | | 3.49 | % | | | 57 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.07 | | | | 16.44 | % | | | $224,826,369 | | | | 0.49 | % | | | 0.49 | % | | | 0.62 | % | | | 1.51 | % | | | 16 | % | | |
| | $12.20 | | | | 20.08 | % | | | $155,660,499 | | | | 0.52 | % | | | 0.52 | % | | | 0.93 | %7 | | | 1.69 | % | | | 106 | % | | |
| | $10.16 | | | | 2.34 | % | | | $7,841,840 | | | | 0.75 | % | | | 0.75 | % | | | 3.90 | % | | | 2.90 | %14 | | | 141 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.04 | | | | 16.16 | % | | | $28,843,111 | | | | 0.74 | % | | | 0.74 | % | | | 0.92 | % | | | 1.26 | % | | | 16 | % | | |
| | $12.19 | | | | 19.74 | % | | | $20,735,768 | | | | 0.77 | % | | | 0.77 | % | | | 1.48 | %7 | | | 1.44 | % | | | 106 | % | | |
| | $10.18 | | | | 2.29 | % | | | $420,890 | | | | 1.00 | % | | | 1.00 | % | | | 9.36 | % | | | 1.70 | %14 | | | 141 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.07 | | | | (0.42 | )% | | | $99,547 | | | | 0.39 | % | | | 0.39 | % | | | 0.54 | % | | | 1.69 | % | | | 16 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.89 | | | | 16.86 | % | | | $953,235,196 | | | | 0.49 | % | | | 0.49 | % | | | 0.55 | % | | | 0.55 | % | | | 83 | % | | |
| | $19.65 | | | | 22.35 | % | | | $719,388,829 | | | | 0.49 | % | | | 0.49 | % | | | 0.55 | %7 | | | 0.88 | %15 | | | 62 | % | | |
| | $16.06 | | | | 17.49 | % | | | $490,441,577 | | | | 0.50 | % | | | 0.49 | % | | | 0.58 | % | | | 1.69 | %14 | | | 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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.85 | | | | 16.59 | % | | | $79,272,099 | | | | 0.74 | % | | | 0.74 | % | | | 0.83 | % | | | 0.30 | % | | | 83 | % | | |
| | $19.61 | | | | 22.18 | % | | | $70,264,616 | | | | 0.74 | % | | | 0.74 | % | | | 0.83 | %7 | | | 0.64 | %15 | | | 62 | % | | |
| | $16.05 | | | | 0.19 | % | | | $58,421,736 | | | | 0.75 | % | | | 0.74 | % | | | 0.82 | % | | | 1.19 | %14 | | | 68 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.89 | | | | (0.05 | )% | | | $131,064 | | | | 0.39 | % | | | 0.39 | % | | | 0.48 | % | | | 0.75 | % | | | 83 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 169 |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 SMALL CAP MOMENTUM FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $21.77 | | | | 0.00 | 6,13 | | | 0.73 | | | | 0.73 | | | | (0.06) | | | | (1.35) | | | | (1.41) | |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $16.43 | | | | 0.09 | 15 | | | 5.25 | | | | 5.34 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 20125 | | | $13.89 | | | | 0.22 | 14 | | | 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 7/09/0911—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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $21.73 | | | | (0.06) | 6 | | | 0.73 | | | | 0.67 | | | | (0.05) | | | | (1.35) | | | | (1.40) | |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $16.43 | | | | 0.03 | 15 | | | 5.27 | | | | 5.30 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/129—12/31/125 | | | $16.09 | | | | 0.02 | 14 | | | 0.32 | | | | 0.34 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $22.08 | | | | 0.01 | 6 | | | (0.99) | 12 | | | (0.98) | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MOMENTUM FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $15.29 | | | | 0.27 | 6 | | | (0.36) | | | | (0.09) | | | | (0.25) | | | | — | | | | (0.25) | |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $13.09 | | | | 0.22 | 15 | | | 1.98 | | | | 2.20 | | | | — | | | | — | | | | — | |
| 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 7/09/0911—12/31/09†,5 | | | $10.00 | | | | 0.04 | | | | 2.26 | | | | 2.30 | | | | (0.09) | | | | (0.23) | | | | (0.32) | |
| AQR INTERNATIONAL MOMENTUM FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $15.25 | | | | 0.22 | 6 | | | (0.35) | | | | (0.13) | | | | (0.23) | | | | — | | | | (0.23) | |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $13.08 | | | | 0.25 | 15 | | | 1.92 | | | | 2.17 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/129—12/31/125 | | | $12.95 | | | | — | | | | 0.13 | | | | 0.13 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $15.54 | | | | 0.05 | 6 | | | (0.65) | | | | (0.60) | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM FUND—CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 5/13/1411—9/30/145 | | | $10.00 | | | | 0.09 | | | | (0.07) | | | | 0.02 | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM FUND—CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 5/13/1411—9/30/145 | | | $10.00 | | | | 0.09 | | | | (0.08) | | | | 0.01 | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $10.63 | | | | 0.05 | | | | (0.66) | 12 | | | (0.61) | | | | — | | | | — | | | | — | |
| AQR TAX-MANAGED MOMENTUM FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $13.60 | | | | 0.09 | | | | 2.36 | | | | 2.45 | | | | (0.04) | | | | (0.11) | | | | (0.15) | |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.13 | | | | 0.09 | 15 | | | 2.38 | | | | 2.47 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/1211—12/31/125 | | | $10.00 | | | | 0.19 | 14 | | | 1.17 | | | | 1.36 | | | | (0.14) | | | | (0.09) | | | | (0.23) | |
| AQR TAX-MANAGED MOMENTUM FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $13.57 | | | | 0.04 | | | | 2.37 | | | | 2.41 | | | | (0.01) | | | | (0.11) | | | | (0.12) | |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.13 | | | | 0.07 | 15 | | | 2.37 | | | | 2.44 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/129—12/31/125 | | | $11.12 | | | | 0.01 | 14 | | | 0.00 | | | | 0.01 | | | | — | | | | — | | | | — | |
| AQR TAX-MANAGED MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $15.78 | | | | 0.03 | | | | 0.09 | | | | 0.12 | | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 170 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.09 | | | | 3.07 | % | | | $301,173,290 | | | | 0.65 | % | | | 0.65 | % | | | 0.68 | % | | | 0.01 | %6 | | | 83 | % | | |
| | $21.77 | | | | 32.50 | % | | | $242,675,423 | | | | 0.65 | % | | | 0.65 | % | | | 0.68 | %7,8 | | | 0.60 | %15 | | | 49 | % | | |
| | $16.43 | | | | 19.62 | % | | | $145,769,751 | | | | 0.66 | % | | | 0.65 | % | | | 0.72 | % | | | 1.44 | %14 | | | 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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.00 | | | | 2.83 | % | | | $7,189,206 | | | | 0.90 | % | | | 0.90 | % | | | 1.04 | % | | | (0.26 | )%6 | | | 83 | % | | |
| | $21.73 | | | | 32.26 | % | | | $1,668,360 | | | | 0.90 | % | | | 0.90 | % | | | 4.82 | %7,8 | | | 0.18 | %15 | | | 49 | % | | |
| | $16.43 | | | | 2.11 | % | | | $10,214 | | | | 0.90 | % | | | 0.90 | % | | | 135.33 | %10 | | | 3.36 | %14 | | | 73 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.10 | | | | (4.44 | )% | | | $95,541 | | | | 0.55 | % | | | 0.55 | % | | | 0.63 | % | | | 0.13 | %6 | | | 83 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.95 | | | | (0.64 | )% | | | $279,838,043 | | | | 0.65 | % | | | 0.65 | % | | | 0.71 | % | | | 1.73 | %6 | | | 98 | % | | |
| | $15.29 | | | | 16.81 | % | | | $219,002,000 | | | | 0.65 | % | | | 0.65 | % | | | 0.73 | %7 | | | 2.09 | %15 | | | 76 | % | | |
| | $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 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.89 | | | | (0.91 | )% | | | $40,054,329 | | | | 0.90 | % | | | 0.90 | % | | | 1.00 | % | | | 1.42 | %6 | | | 98 | % | | |
| | $15.25 | | | | 16.59 | % | | | $41,502,544 | | | | 0.90 | % | | | 0.90 | % | | | 1.03 | %7 | | | 2.28 | %15 | | | 76 | % | | |
| | $13.08 | | | | 1.00 | % | | | $11,102 | | | | 0.90 | % | | | 0.90 | % | | | 132.42 | %10 | | | 0.25 | % | | | 116 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.94 | | | | (3.86 | )% | | | $96,170 | | | | 0.55 | % | | | 0.55 | % | | | 0.64 | % | | | 1.38 | %6 | | | 98 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.02 | | | | 0.20 | % | | | $6,260,380 | | | | 0.80 | % | | | 0.80 | % | | | 4.03 | %7,8 | | | 2.27 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.01 | | | | 0.10 | % | | | $1,034,055 | | | | 1.05 | % | | | 1.05 | % | | | 4.18 | %7,8 | | | 2.13 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.02 | | | | (5.74 | )% | | | $94,285 | | | | 0.70 | % | | | 0.70 | % | | | 3.73 | %7,8 | | | 2.01 | % | | | 72 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.90 | | | | 18.15 | % | | | $101,336,194 | | | | 0.54 | % | | | 0.54 | % | | | 0.69 | % | | | 0.57 | % | | | 153 | % | | |
| | $13.60 | | | | 22.19 | % | | | $21,709,464 | | | | 0.54 | % | | | 0.54 | % | | | 1.41 | %7,8 | | | 1.00 | %15 | | | 178 | % | | |
| | $11.13 | | | | 13.67 | % | | | $6,040,821 | | | | 0.55 | % | | | 0.54 | % | | | 4.57 | % | | | 1.89 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.86 | | | | 17.81 | % | | | $137,330 | | | | 0.79 | % | | | 0.79 | % | | | 1.60 | % | | | 0.30 | % | | | 153 | % | | |
| | $13.57 | | | | 21.92 | % | | | $115,161 | | | | 0.79 | % | | | 0.79 | % | | | 4.11 | %7,8 | | | 0.71 | %15 | | | 178 | % | | |
| | $11.13 | | | | 0.09 | % | | | $10,008 | | | | 0.79 | % | | | 0.79 | % | | | 15.32 | %10 | | | 2.41 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.90 | | | | 0.76 | % | | | $100,756 | | | | 0.44 | % | | | 0.44 | % | | | 0.67 | % | | | 0.77 | % | | | 153 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 171 |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $14.85 | | | | 0.01 | | | | 0.15 | | | | 0.16 | | | | (0.04 | ) | | | (0.25 | ) | | | (0.29 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.15 | | | | 0.05 | 15 | | | 3.65 | | | | 3.70 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/1211—12/31/125 | | | $10.00 | | | | 0.19 | 14 | | | 1.11 | | | | 1.30 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $14.81 | | | | (0.03 | ) | | | 0.14 | | | | 0.11 | | | | (0.00 | ) 13 | | | (0.25 | ) | | | (0.25 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.15 | | | | 0.03 | 15 | | | 3.63 | | | | 3.66 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/129—12/31/125 | | | $10.91 | | | | 0.02 | 14 | | | 0.22 | | | | 0.24 | | | | — | | | | — | | | | — | |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $15.45 | | | | 0.01 | | | | (0.74 | )12 | | | (0.73 | ) | | | — | | | | — | | | | — | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $13.18 | | | | 0.23 | 6 | | | (0.10 | ) | | | 0.13 | | | | (0.06 | ) | | | (0.16 | ) | | | (0.22 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.24 | | | | 0.20 | | | | 1.74 | | | | 1.94 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/1211—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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $13.15 | | | | 0.17 | 6 | | | (0.08 | ) | | | 0.09 | | | | (0.02 | ) | | | (0.16 | ) | | | (0.18 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 5 | | | $11.24 | | | | 0.20 | | | | 1.71 | | | | 1.91 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/129—12/31/125 | | | $11.14 | | | | — | | | | 0.10 | | | | 0.10 | | | | — | | | | — | | | | — | |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $13.66 | �� | | | 0.03 | 6 | | | (0.60 | ) | | | (0.57 | ) | | | — | | | | — | | | | — | |
| AQR CORE EQUITY FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.09 | | | | 0.15 | | | | 2.21 | | | | 2.36 | | | | (0.04 | ) | | | (0.05 | ) | | | (0.09 | ) |
| FOR THE PERIOD 3/26/1311—9/30/135 | | | $10.00 | | | | 0.06 | 15 | | | 1.03 | | | | 1.09 | | | | — | | | | — | | | | — | |
| AQR CORE EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.09 | | | | 0.11 | | | | 2.21 | | | | 2.32 | | | | (0.03 | ) | | | (0.05 | ) | | | (0.08 | ) |
| FOR THE PERIOD 3/26/1311—9/30/135 | | | $10.00 | | | | 0.04 | 15 | | | 1.05 | | | | 1.09 | | | | — | | | | — | | | | — | |
| AQR CORE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $13.32 | | | | 0.04 | | | | 0.00 | 13 | | | 0.04 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP CORE EQUITY FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.88 | | | | 0.05 | 6 | | | 0.57 | | | | 0.62 | | | | (0.04 | ) | | | (0.12 | ) | | | (0.16 | ) |
| FOR THE PERIOD 3/26/1311—9/30/135 | | | $10.00 | | | | 0.03 | 15 | | | 1.85 | | | | 1.88 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP CORE EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | | $11.87 | | | | 0.01 | 6 | | | 0.56 | | | | 0.57 | | | | (0.02 | ) | | | (0.12 | ) | | | (0.14 | ) |
| FOR THE PERIOD 3/26/1311—9/30/135 | | | $10.00 | | | | 0.01 | 15 | | | 1.86 | | | | 1.87 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP CORE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | | $12.95 | | | | 0.01 | 6 | | | (0.61 | )12 | | | (0.60 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 172 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.72 | | | | 0.98 | % | | | $14,689,708 | | | | 0.70 | % | | | 0.70 | % | | | 1.61 | % | | | 0.04 | % | | | 154 | % | | |
| | $14.85 | | | | 33.18 | % | | | $6,764,002 | | | | 0.70 | % | | | 0.70 | % | | | 2.67 | %7,8 | | | 0.49 | %15 | | | 81 | % | | |
| | $11.15 | | | | 13.01 | % | | | $3,434,992 | | | | 0.71 | % | | | 0.70 | % | | | 5.77 | % | | | 1.91 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.67 | | | | 0.69 | % | | | $124,552 | | | | 0.95 | % | | | 0.95 | % | | | 2.44 | % | | | (0.21 | )% | | | 154 | % | | |
| | $14.81 | | | | 32.83 | % | | | $122,217 | | | | 0.95 | % | | | 0.95 | % | | | 5.05 | %7,8 | | | 0.26 | %15 | | | 81 | % | | |
| | $11.15 | | | | 2.20 | % | | | $10,218 | | | | 0.95 | % | | | 0.95 | % | | | 12.32 | % | | | 4.19 | %14 | | | 93 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $14.72 | | | | (4.72 | )% | | | $95,275 | | | | 0.60 | % | | | 0.60 | % | | | 1.65 | % | | | 0.22 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.09 | | | | 0.97 | % | | | $81,624,338 | | | | 0.70 | % | | | 0.70 | % | | | 0.91 | % | | | 1.73 | %6 | | | 185 | % | | |
| | $13.18 | | | | 17.26 | % | | | $17,417,880 | | | | 0.70 | % | | | 0.70 | % | | | 2.31 | %7,8 | | | 2.14 | % | | | 154 | % | | |
| | $11.24 | | | | 14.46 | % | | | $5,738,743 | | | | 0.71 | % | | | 0.70 | % | | | 5.28 | % | | | 2.38 | % | | | 131 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.06 | | | | 0.69 | % | | | $112,140 | | | | 0.95 | % | | | 0.95 | % | | | 1.92 | % | | | 1.26 | %6 | | | 185 | % | | |
| | $13.15 | | | | 16.99 | % | | | $111,381 | | | | 0.95 | % | | | 0.95 | % | | | 5.00 | %7,8 | | | 2.19 | % | | | 154 | % | | |
| | $11.24 | | | | 0.90 | % | | | $10,089 | | | | 0.95 | % | | | 0.95 | % | | | 15.82 | %10 | | | 0.15 | % | | | 131 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.09 | | | | (4.17 | )% | | | $95,861 | | | | 0.60 | % | | | 0.60 | % | | | 0.94 | % | | | 1.13 | %6 | | | 185 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.36 | | | | 21.39 | % | | | $166,058,391 | | | | 0.54 | % | | | 0.54 | % | | | 0.71 | % | | | 1.17 | % | | | 277 | % | | |
| | $11.09 | | | | 10.90 | % | | | $18,810,952 | | | | 0.54 | % | | | 0.54 | % | | | 1.80 | %7,8 | | | 1.09 | %15 | | | 223 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.33 | | | | 21.05 | % | | | $10,328,320 | | | | 0.79 | % | | | 0.79 | % | | | 1.14 | % | | | 0.90 | % | | | 277 | % | | |
| | $11.09 | | | | 10.90 | % | | | $1,403,213 | | | | 0.79 | % | | | 0.79 | % | | | 4.30 | %7,8 | | | 0.72 | %15 | | | 223 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.36 | | | | 0.30 | % | | | $42,256,265 | | | | 0.44 | % | | | 0.44 | % | | | 0.61 | % | | | 1.23 | % | | | 277 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.34 | | | | 5.13 | % | | | $8,232,747 | | | | 0.75 | % | | | 0.75 | % | | | 2.58 | % | | | 0.37 | %6 | | | 189 | % | | |
| | $11.88 | | | | 18.80 | % | | | $2,183,541 | | | | 0.75 | % | | | 0.75 | % | | | 5.84 | %7 | | | 0.45 | %15 | | | 70 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.30 | | | | 4.78 | % | | | $1,283,780 | | | | 1.00 | % | | | 1.00 | % | | | 3.27 | % | | | 0.11 | %6 | | | 189 | % | | |
| | $11.87 | | | | 18.70 | % | | | $1,380,913 | | | | 1.00 | % | | | 1.00 | % | | | 6.40 | %7 | | | 0.17 | %15 | | | 70 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.35 | | | | (4.63 | )% | | | $95,334 | | | | 0.65 | % | | | 0.65 | % | | | 2.34 | % | | | 0.45 | %6 | | | 189 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 173 |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 INTERNATIONAL CORE EQUITY FUND CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | $ | 11.28 | | | | 0.28 | | | | 0.01 | 12 | | | 0.29 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE PERIOD 3/26/1311—9/30/135 | | $ | 10.00 | | | | 0.13 | 15 | | | 1.15 | | | | 1.28 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL CORE EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 20145 | | $ | 11.27 | | | | 0.24 | | | | 0.01 | 12 | | | 0.25 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| FOR THE PERIOD 3/26/1311—9/30/135 | | $ | 10.00 | | | | 0.15 | 15 | | | 1.12 | | | | 1.27 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL CORE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149���9/30/145 | | $ | 11.94 | | | | 0.13 | | | | (0.60 | ) | | | (0.47 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING CORE EQUITY FUND—CLASS L | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 5/13/1411—9/30/145 | | $ | 10.00 | | | | 0.14 | | | | (0.18 | ) | | | (0.04 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING CORE EQUITY FUND—CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 5/13/1411—9/30/145 | | $ | 10.00 | | | | 0.14 | | | | (0.19 | ) | | | (0.05 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING CORE EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 7/10/149—9/30/145 | | $ | 10.47 | | | | 0.05 | | | | (0.56 | ) | | | (0.51 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 174 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.47 | | | | 2.53 | % | | | $26,728,565 | | | | 0.70 | % | | | 0.70 | % | | | 1.38 | % | | | 2.36 | % | | | 204 | % | | |
| | $11.28 | | | | 12.80 | % | | | $15,810,091 | | | | 0.70 | % | | | 0.70 | % | | | 2.16 | %7 | | | 2.25 | %15 | | | 218 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.44 | | | | 2.19 | % | | | $2,755,655 | | | | 0.95 | % | | | 0.95 | % | | | 1.85 | % | | | 2.02 | % | | | 204 | % | | |
| | $11.27 | | | | 12.70 | % | | | $2,154,256 | | | | 0.95 | % | | | 0.95 | % | | | 4.10 | %7 | | | 2.65 | %15 | | | 218 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.47 | | | | (3.94 | )% | | | $26,412,268 | | | | 0.60 | % | | | 0.60 | % | | | 1.34 | % | | | 5.13 | % | | | 204 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.96 | | | | (0.40 | )% | | | $11,571,703 | | | | 0.85 | % | | | 0.85 | % | | | 3.30 | %7,8 | | | 3.49 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.95 | | | | (0.50 | )% | | | $2,387,801 | | | | 1.10 | % | | | 1.10 | % | | | 3.55 | %7,8 | | | 3.49 | % | | | 154 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.96 | | | | (4.87 | )% | | | $95,163 | | | | 0.75 | % | | | 0.75 | % | | | 2.73 | %7,8 | | | 2.09 | % | | | 154 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 175 |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| * | 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 | For the period ended September 30, 2014 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 Global Equity Fund—Class I | | | $0.14 | | | | 1.50 | % |
AQR Global Equity Fund—Class N | | | 0.11 | | | | 1.16 | |
AQR Global Equity Fund—Class Y | | | 0.17 | | | | 1.67 | |
AQR Global Equity Fund—Class R6 | | | 0.14 | | | | 2.11 | |
AQR International Equity Fund—Class I | | | 0.26 | | | | 2.22 | |
AQR International Equity Fund—Class N | | | 0.23 | | | | 1.92 | |
AQR International Equity Fund—Class Y | | | 0.29 | | | | 2.35 | |
AQR International Equity Fund—Class R6 | | | 0.32 | | | | 3.71 | |
AQR Emerging Defensive Equity Fund—Class I | | | 0.23 | | | | 2.13 | |
AQR Emerging Defensive Equity Fund—Class N | | | 0.16 | | | | 1.51 | |
AQR Emerging Defensive Equity Fund—Class R6 | | | 0.01 | | | | 3.82 | |
AQR Small Cap Momentum Fund—Class L | | | (0.02 | ) | | | (0.07 | ) |
AQR Small Cap Momentum Fund—Class N | | | (0.08 | ) | | | (0.34 | ) |
AQR Small Cap Momentum Fund—Class R6 | | | (0.01 | ) | | | 0.05 | |
AQR International Momentum Fund—Class L | | | 0.25 | | | | 1.57 | |
AQR International Momentum Fund—Class N | | | 0.20 | | | | 1.26 | |
AQR International Momentum Fund—Class R6 | | | 0.03 | | | | 1.22 | |
AQR Tax-Managed International Momentum Fund—Class L | | | 0.22 | | | | 1.63 | |
AQR Tax-Managed International Momentum Fund—Class N | | | 0.16 | | | | 1.16 | |
AQR Tax-Managed International Momentum Fund—Class R6 | | | 0.02 | | | | 1.03 | |
AQR Small Cap Core Equity Fund—Class L | | | 0.04 | | | | 0.28 | |
AQR Small Cap Core Equity Fund—Class N | | | (0.00 | ) | | | 0.02 | |
AQR Small Cap Core Equity Fund—Class R6 | | | (0.00 | ) | | | 0.36 | |
| 7 | Certain expenses incurred by the Fund were not annualized for the period. |
| 8 | Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 9 | Commencement of offering of shares. |
| 10 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period. |
| 11 | Commencement of operations. |
| 12 | The amount per share shown 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. |
| 13 | Amount is less than $.005 per share. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| 176 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Financial Highlights | | | September 30, 2014 | |
| 14 | For the period 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 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 | |
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 | |
| 15 | For the period ended September 30, 2013 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 | | $ | 0.11 | | | | 0.80 | % |
AQR Momentum Fund—Class N | | | 0.08 | | | | 0.56 | |
AQR Small Cap Momentum Fund—Class L | | | 0.07 | | | | 0.52 | |
AQR Small Cap Momentum Fund—Class N | | | 0.01 | | | | 0.10 | |
AQR International Momentum Fund—Class L | | | 0.21 | | | | 1.97 | |
AQR International Momentum Fund—Class N | | | 0.23 | | | | 2.16 | |
AQR Tax-Managed Momentum Fund—Class L | | | 0.09 | | | | 0.92 | |
AQR Tax-Managed Momentum Fund—Class N | | | 0.07 | | | | 0.63 | |
AQR Tax-Managed Small Cap Momentum Fund—Class L | | | 0.04 | | | | 0.37 | |
AQR Tax-Managed Small Cap Momentum Fund—Class N | | | 0.01 | | | | 0.14 | |
AQR Core Equity Fund—Class L | | | 0.06 | | | | 0.98 | |
AQR Core Equity Fund—Class N | | | 0.04 | | | | 0.61 | |
AQR Small Cap Core Equity Fund—Class L | | | 0.03 | | | | 0.38 | |
AQR Small Cap Core Equity Fund—Class N | | | 0.01 | | | | 0.10 | |
AQR International Core Equity Fund—Class L | | | 0.13 | | | | 2.08 | |
AQR International Core Equity Fund—Class N | | | 0.15 | | | | 2.48 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 177 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
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 September 30, 2014, the Trust consists of twenty-nine active series, sixteen of which are presented in this 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 Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Emerging 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, AQR International Core Equity Fund and AQR Emerging Core Equity Fund. The remaining active series are reported in a separate book. AQR Capital Management, LLC (“the Advisor”) serves as the investment advisor of each Fund.
The investment objective for the AQR Global Equity Fund, AQR International Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Emerging Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund, AQR International Core Equity Fund and the AQR Emerging Core Equity Fund is to seek long-term capital appreciation. The investment objective for the AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and the AQR U.S. Defensive Equity Fund is to seek total return. The investment objective for the AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and the AQR Tax-Managed International Momentum Fund is to seek long-term after-tax capital appreciation.
The Funds offer the following classes of shares:
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| FUND | | CLASSES OFFERED |
| AQR Global Equity Fund | | Class I, Class N, Class Y and Class R6* |
| AQR International Equity Fund | | Class I, Class N, Class Y and Class R6* |
| AQR Emerging Defensive Equity Fund | | Class I, Class N and Class R6** |
| AQR International Defensive Equity Fund | | Class I, Class N and Class R6** |
| AQR U.S. Defensive Equity Fund | | Class I, Class N and Class R6** |
| AQR Momentum Fund | | Class L, Class N and Class R6*** |
| AQR Small Cap Momentum Fund | | Class L, Class N and Class R6*** |
| AQR International Momentum Fund | | Class L, Class N and Class R6*** |
| AQR Emerging Momentum Fund† | | Class L, Class N and Class R6*** |
| AQR Tax-Managed Momentum Fund | | Class L, Class N and Class R6*** |
| AQR Tax-Managed Small Cap Momentum Fund | | Class L, Class N and Class R6*** |
| AQR Tax-Managed International Momentum Fund | | Class L, Class N and Class R6*** |
| AQR Core Equity Fund | | Class L, Class N and Class R6*** |
| AQR Small Cap Core Equity Fund | | Class L, Class N and Class R6*** |
| AQR International Core Equity Fund | | Class L, Class N and Class R6*** |
| AQR Emerging Core Equity Fund† | | Class L, Class N and Class R6*** |
| | * | The Class R6 Shares of the AQR Global Equity and AQR International Equity Funds commenced operations on January 8, 2014. |
| | ** | The Class R6 Shares of the AQR Emerging Defensive Equity, AQR International Defensive Equity and AQR U.S. Defensive Equity Funds commenced operations on September 2, 2014. |
| | *** | The Class R6 Shares of the AQR Momentum, AQR Small Cap Momentum, AQR International Momentum, AQR Emerging Momentum, AQR Tax-Managed Momentum, AQR Tax-Managed Small Cap Momentum, AQR Tax-Managed International Momentum, AQR Core Equity, AQR Small Cap Core Equity, AQR International Core Equity and AQR Emerging Core Equity Funds commenced operations on July 10, 2014. |
| | † | The AQR Emerging Momentum and AQR Emerging Core Equity Funds commenced operations on May 13, 2014. |
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 the Advisor to make estimates and assumptions that
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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 reporting 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 New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time). The Funds’ Board of Trustees has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Advisor.
Equity securities, including securities sold short, rights, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market in which each security trades. If no sales are reported, as in the case of securities that are traded in the over-the-counter (“OTC”) market or less liquid listed equities, a security is valued at its last reported bid price (in the case of short sales, at the ask price). In accordance with procedures approved by the Board of Trustees, the Funds apply daily fair value factors, furnished by an independent pricing service, to certain securities that are solely traded on a foreign exchange outside of the Western Hemisphere to account for the market movement between the close of the foreign market and the close of the NYSE, 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, American Depository Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time the Funds calculate their net asset value.
Fixed income securities (other than certain short-term investments maturing in less than 61 days) 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 for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in less than 61 days are generally valued at amortized cost which approximates fair market value.
Exchange-traded futures and options contracts are valued at their current settlement and last quoted sales price, respectively. The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by a quotation service. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share.
OTC swap contracts are marked to market daily based upon quotations provided by an independent pricing service. Quotations from the independent pricing services are based on pricing models that use inputs which are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Total return and total return basket swaps are valued at fair value based on the price of the underlying referenced instruments. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange.
The Funds 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. The valuation procedures 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.
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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.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements are contracts that govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
Customer Account Agreements govern cleared derivatives transactions and exchange traded futures transactions. Cleared derivative transactions require posting of initial margin as determined by each relevant clearing organization. Futures transactions require initial margin to be posted as required by each futures exchange. Such collateral is segregated at an account held at a broker registered with the Commodity Futures Trading Commission (CFTC), or other applicable regulator.
Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity option transactions or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing arrangements for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern over-the-counter (“OTC”) derivative transactions entered into between certain Funds and a Swap Dealer. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination.
ISDA Master Agreements contain termination events applicable to the Fund or the counterparty. Such events may include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level, respectively. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC swap 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 a party to elect early termination could impact a Fund’s future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. For futures, listed options and cleared derivatives, margin requirements are established by the exchange for futures/listed options and by the clearing house for centrally cleared derivatives. Such margin is transferred by the Fund pursuant to the governing Master Agreements for those investment types. Collateral is routinely transferred if the total net exposure (net of existing collateral already in place (“initial margin”)) governed under the relevant Master
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Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government and other securities or money market funds as agreed to by the Fund and the applicable counterparty or as permitted by the clearing house or exchange.
Collateral pledged by the Fund pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Fund’s Statement of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund’s custodian and, with respect to those amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within due to brokers the Statement of Assets and Liabilities.
The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
Futures Contracts: Certain Funds invest in futures contracts as part of their investment strategy and to equitize their cash flows. 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 or expired, and are reported in the Statements of Operations. Securities deposited as initial margin are designated in the Schedules of Investments and cash pledged/received is presented as Due to/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 an independent pricing 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 unrealized appreciation or depreciation. 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 U.S. dollars 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
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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, 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 unrealized appreciation/depreciation on the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to a 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. The use of long Total Return Swap Contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short Total Return Swaps subjects the Funds to unlimited loss. 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.
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 or when the Fund first learns of the ex-date dividend notification.
Allocation of Income and Expenses: Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets 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 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 Cost: Organizational costs incurred by the relevant Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal period. 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 fair 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 fair value using the foreign exchange rates 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
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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 deposited 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.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). 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.
The Advisor 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 September 30, 2014, 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 not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months.
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.
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3. Federal Income Tax Matters
At September 30, 2014, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
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| FUND | | COST OF
INVESTMENTS | | | GROSS
UNREALIZED
APPRECIATION | | | GROSS
UNREALIZED
DEPRECIATION | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
AQR Global Equity Fund | | $ | 242,445,795 | | | $ | 51,744,888 | | | $ | (6,410,510) | | | $ | 45,334,378 | |
AQR International Equity Fund | | | 709,783,204 | | | | 97,829,089 | | | | (29,415,504 | ) | | | 68,413,585 | |
AQR Emerging Defensive Equity Fund | | | 70,632,501 | | | | 4,030,100 | | | | (3,973,783 | ) | | | 56,317 | |
AQR International Defensive Equity Fund | | | 26,586,323 | | | | 2,309,749 | | | | (1,169,653 | ) | | | 1,140,096 | |
AQR U.S. Defensive Equity Fund | | | 227,606,288 | | | | 27,390,398 | | | | (1,412,288 | ) | | | 25,978,110 | |
AQR Momentum Fund | | | 846,533,030 | | | | 202,403,533 | | | | (17,299,551 | ) | | | 185,103,982 | |
AQR Small Cap Momentum Fund | | | 286,036,179 | | | | 47,381,453 | | | | (19,186,435 | ) | | | 28,195,018 | |
AQR International Momentum Fund | | | 293,446,154 | | | | 29,885,830 | | | | (13,085,576 | )�� | | | 16,800,254 | |
AQR Emerging Momentum Fund | | | 7,622,917 | | | | 228,807 | | | | (407,421 | ) | | | (178,614 | ) |
AQR Tax-Managed Momentum Fund | | | 93,202,367 | | | | 10,639,640 | | | | (1,960,731 | ) | | | 8,678,909 | |
AQR Tax-Managed Small Cap Momentum Fund | | | 14,428,332 | | | | 1,840,583 | | | | (1,110,411 | ) | | | 730,172 | |
AQR Tax-Managed International Momentum Fund | | | 82,054,680 | | | | 3,900,576 | | | | (4,475,598 | ) | | | (575,022 | ) |
AQR Core Equity Fund | | | 220,846,100 | | | | 11,569,711 | | | | (4,024,121 | ) | | | 7,545,590 | |
AQR Small Cap Core Equity Fund | | | 9,435,380 | | | | 758,937 | | | | (468,300 | ) | | | 290,637 | |
AQR International Core Equity Fund | | | 60,857,919 | | | | 1,616,308 | | | | (1,667,224 | ) | | | (50,916 | ) |
AQR Emerging Core Equity Fund | | | 14,608,433 | | | | 190,078 | | | | (837,229 | ) | | | (647,151 | ) |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on passive foreign investment companies (“PFIC”), non-taxable distributions from Real Estate Investment Trusts (“REIT”), substantial overlap deferrals, realized gain/loss adjustments and non REIT ROC cumulative basis adjustments.
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As of September 30, 2014, the components of net assets (excluding paid in capital) on a tax basis were as follows:
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| FUND | | CURRENT
DISTRIBUTABLE
ORDINARY
INCOME | | | CURRENT
DISTRIBUTABLE
LONG TERM
CAPITAL GAIN OR
TAX BASIS
CAPITAL LOSS
CARRYFORWARDS | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | POST
OCTOBER
CAPITAL OR
LATE YEAR
ORDINARY
LOSS
DEFERRALS | | | OTHER
TEMPORARY
DIFFERENCES | | | TOTAL
ACCUMULATED
EARNINGS | |
AQR Global Equity Fund | | $ | 7,952,759 | | | $ | 22,968,680 | | | $ | 45,588,880 | | | $ | — | | | $ | — | | | $ | 76,510,319 | |
AQR International Equity Fund | | | 22,576,872 | | | | 37,551,201 | | | | 67,621,438 | | | | — | | | | — | | | | 127,749,511 | |
AQR Emerging Defensive Equity Fund | | | 1,050,989 | | | | — | | | | 47,345 | | | | (49,746 | ) | | | (86,116 | ) | | | 962,472 | |
AQR International Defensive Equity Fund | | | 758,539 | | | | 486,716 | | | | 1,134,963 | | | | — | | | | — | | | | 2,380,218 | |
AQR U.S. Defensive Equity Fund | | | 5,128,962 | | | | 2,055,375 | | | | 25,978,110 | | | | — | | | | — | | | | 33,162,447 | |
AQR Momentum Fund | | | 21,595,369 | | | | 73,287,800 | | | | 185,103,999 | | | | — | | | | — | | | | 279,987,168 | |
AQR Small Cap Momentum Fund | | | 6,536,268 | | | | 28,004,272 | | | | 28,195,017 | | | | — | | | | — | | | | 62,735,557 | |
AQR International Momentum Fund | | | 5,063,800 | | | | 3,566,384 | | | | 16,748,262 | | | | — | | | | — | | | | 25,378,446 | |
AQR Emerging Momentum Fund | | | 62,636 | | | | — | | | | (177,817 | ) | | | — | | | | (13,653 | ) | | | (128,834 | ) |
AQR Tax-Managed Momentum Fund | | | 880,484 | | | | 908,518 | | | | 8,678,909 | | | | — | | | | — | | | | 10,467,911 | |
AQR Tax-Managed Small Cap Momentum Fund | | | — | | | | 545,161 | | | | 730,172 | | | | (89,106 | ) | | | — | | | | 1,186,227 | |
AQR Tax-Managed International Momentum Fund | | | 982,440 | | | | 271,979 | | | | (567,913 | ) | | | (731,141 | ) | | | — | | | | (44,635 | ) |
AQR Core Equity Fund | | | 2,100,695 | | | | 202,141 | | | | 7,545,590 | | | | — | | | | — | | | | 9,848,426 | |
AQR Small Cap Core Equity Fund | | | 79,564 | | | | 73,718 | | | | 290,637 | | | | — | | | | — | | | | 443,919 | |
AQR International Core Equity Fund | | | 983,317 | | | | 78,371 | | | | (54,753 | ) | | | — | | | | — | | | | 1,006,935 | |
AQR Emerging Core Equity Fund | | | 124,061 | | | | — | | | | (648,039 | ) | | | — | | | | (107,978 | ) | | | (631,956 | ) |
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral losses on wash sales and other book and tax differences including, post October capital loss deferrals, mark to market on PFICs, mark to market on forward foreign currency exchange contracts, mark to market on future contracts, substantial overlap deferrals, realized gain/loss adjustments, non REIT ROC cumulative basis adjustments, and non-taxable distributions from REITs.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 185 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
As of September 30, 2014, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:
| | | | | | | | | | | | |
| FUND | | UNDISTRIBUTED
NET INVESTMENT
INCOME | | | ACCUMULATED
NET REALIZED
GAIN (LOSS) ON
INVESTMENTS | | | PAID-IN CAPITAL | |
AQR Global Equity Fund | | $ | 583,189 | | | $ | (679,743 | ) | | $ | 96,554 | |
AQR International Equity Fund | | | 17,823 | | | | (291,299 | ) | | | 273,476 | |
AQR Emerging Defensive Equity Fund | | | (12,732 | ) | | | 12,732 | | | | — | |
AQR International Defensive Equity Fund | | | (13,836 | ) | | | 12,787 | | | | 1,049 | |
AQR U.S. Defensive Equity Fund | | | (4,664 | ) | | | 4,664 | | | | — | |
AQR Momentum Fund | | | (473,220 | ) | | | 473,220 | | | | — | |
AQR Small Cap Momentum Fund | | | (64,790 | ) | | | 64,790 | | | | — | |
AQR International Momentum Fund | | | 582,393 | | | | (648,961 | ) | | | 66,568 | |
AQR Emerging Momentum Fund | | | 955 | | | | 170 | | | | (1,125 | ) |
AQR Tax-Managed Momentum Fund | | | (8,433 | ) | | | 8,433 | | | | — | |
AQR Tax-Managed Small Cap Momentum Fund | | | (5,528 | ) | | | 5,528 | | | | — | |
AQR Tax-Managed International Momentum Fund | | | 24,622 | | | | (25,766 | ) | | | 1,144 | |
AQR Core Equity Fund | | | (3,290 | ) | | | 3,290 | | | | — | |
AQR Small Cap Core Equity Fund | | | (2,157 | ) | | | 2,157 | | | | — | |
AQR International Core Equity Fund | | | 79,842 | | | | (83,325 | ) | | | 3,483 | |
AQR Emerging Core Equity Fund | | | 10,177 | | | | (8,759 | ) | | | (1,418 | ) |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the tax treatment of redesignation of distributions, foreign currency gain/losses, non-taxable dividends, investment in REITs, foreign tax reclaims, non-deductible offering costs and investment in PFIC’s. The result of operations and net assets were not affected by the reclassifications.
The tax character of distributions paid during the periods ended September 30, 2014 and September 30, 2013 were as follows:
| | | | | | | | | | | | | | | | |
| FUND | | SEPTEMBER 30, 2014
ORDINARY INCOME | | | CAPITAL
GAINS | | | SEPTEMBER 30, 2013
ORDINARY INCOME | | | CAPITAL
GAINS | |
AQR Global Equity Fund | | $ | 45,140,308 | | | $ | 58,908,214 | | | $ | — | | | $ | — | |
AQR International Equity Fund | | | 48,309,584 | | | | 23,669,394 | | | | — | | | | — | |
AQR Emerging Defensive Equity Fund | | | 378,685 | | | | 295 | | | | — | | | | — | |
AQR International Defensive Equity Fund | | | 507,585 | | | | 29,738 | | | | — | | | | — | |
AQR U.S. Defensive Equity Fund | | | 1,761,198 | | | | 195,128 | | | | — | | | | — | |
AQR Momentum Fund | | | 15,842,942 | | | | 26,456,966 | | | | — | | | | — | |
AQR Small Cap Momentum Fund | | | 7,799,115 | | | | 9,124,795 | | | | — | | | | — | |
AQR International Momentum Fund | | | 4,569,588 | | | | — | | | | — | | | | — | |
AQR Emerging Momentum Fund | | | — | | | | — | | | | — | | | | — | |
AQR Tax-Managed Momentum Fund | | | 353,859 | | | | 92,904 | | | | — | | | | — | |
AQR Tax-Managed Small Cap Momentum Fund | | | 119,846 | | | | 42,494 | | | | — | | | | — | |
AQR Tax-Managed International Momentum Fund | | | 474,514 | | | | 156,441 | | | | — | | | | — | |
AQR Core Equity Fund | | | 319,367 | | | | 69 | | | | — | | | | — | |
AQR Small Cap Core Equity Fund | | | 60,042 | | | | 81 | | | | — | | | | — | |
AQR International Core Equity Fund | | | 157,327 | | | | — | | | | — | | | | — | |
AQR Emerging Core Equity Fund | | | — | | | | — | | | | — | | | | — | |
As of September 30, 2014, 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 U.S. Treasury regulations.
| | | | | | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | | | YEAR OF EXPIRATION | |
AQR Emerging Defensive Equity Fund | | $ | 53,557 | | | $ | 32,559 | | | | N/A | |
AQR Emerging Momentum Fund | | | 11,010 | | | | 2,643 | | | | N/A | |
AQR Emerging Core Equity Fund | | | 97,528 | | | | 10,450 | | | | N/A | |
| | | | | | | | | | | | | | | | |
| 186 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
During the period ended September 30, 2014, the Funds utilized capital loss carryforwards in the amounts listed below:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Emerging Defensive Equity Fund | | $
| 223,458
|
| | $
| —
|
|
AQR International Momentum Fund | |
| 4,169,659
|
| |
| —
|
|
AQR International Core Equity Fund | |
| 28,884
|
| |
| —
|
|
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards will 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 — unadjusted quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for identical or similar securities in non-active markets, 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 inputs and techniques may be used by the Funds 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 of the Western Hemisphere are fair valued daily based on the application of a fair value factor, and therefore are considered Level 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. 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
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 187 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
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 Advisor 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 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 futures, forwards and 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.
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. The VC reviews the results of back test reports and 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 execution prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, third party model prices are reviewed against internal 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 financial 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.
| | | | | | | | | | | | | | | | |
| 188 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
The following summarizes inputs used as of September 30, 2014 in valuing the Funds’ assets and liabilities 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† | | $ | 160,781,610 | | | $ | 105,461,447 | | | $ | — | (a) | | $ | 266,243,057 | |
Preferred Stocks† | | | — | | | | 1,459,436 | | | | — | | | | 1,459,436 | |
Rights† | | | — | | | | — | | | | — | (a) | | | — | (a) |
Warrants† | | | — | | | | 33 | | | | — | | | | 33 | |
Money Market Funds | | | — | | | | 20,077,647 | | | | — | | | | 20,077,647 | |
| | | | |
Total Assets | | $ | 160,781,610 | | | $ | 126,998,563 | | | $ | — | (a) | | $ | 287,780,173 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (142,623 | ) | | $ | — | | | $ | — | | | $ | (142,623 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (2,875,477 | ) | | | — | | | | (2,875,477 | ) |
| Total Return Swap Contracts* | | | — | | | | (271,213 | ) | | | — | | | | (271,213 | ) |
| | | | |
Total Liabilities | | $ | (142,623 | ) | | $ | (3,146,690 | ) | | $ | — | | | $ | (3,289,313 | ) |
| | | | | | | | | | | | | | | | |
| 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† | | $ | — | | | $ | 734,253,243 | | | $ | — | (a) | | $ | 734,253,243 | |
Preferred Stocks† | | | — | | | | 7,588,626 | | | | — | | | | 7,588,626 | |
Rights† | | | — | | | | 3,500 | | | | — | (a) | | | 3,500 | |
Warrants† | | | — | | | | 132 | | | | — | | | | 132 | |
Money Market Funds | | | — | | | | 36,351,288 | | | | — | | | | 36,351,288 | |
| | | | |
Total Assets | | $ | — | | | $ | 778,196,789 | | | $ | — | (a) | | $ | 778,196,789 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (771,373 | ) | | $ | — | | | $ | — | | | $ | (771,373 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (8,120,108 | ) | | | — | | | | (8,120,108 | ) |
| Total Return Swap Contracts* | | | — | | | | (888,280 | ) | | | — | | | | (888,280 | ) |
| | | | |
Total Liabilities | | $ | (771,373 | ) | | $ | (9,008,388 | ) | | $ | — | | | $ | (9,779,761 | ) |
| | | | | | | | | | | | | | | | |
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† | | $ | 20,179,167 | | | $ | 44,971,077 | | | $ | — | | | $ | 65,150,244 | |
Exchange-Traded Funds | | | 4,240,325 | | | | — | | | | — | | | | 4,240,325 | |
Preferred Stocks† | | | 57,401 | | | | — | | | | — | | | | 57,401 | |
Money Market Funds | | | — | | | | 1,240,848 | | | | — | | | | 1,240,848 | |
| | | | |
Total Assets | | $ | 24,476,893 | | | $ | 46,211,925 | | | $ | — | | | $ | 70,688,818 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 189 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
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† | | $ | 5,128,120 | | | $ | 21,500,825 | | | $ | — | | | $ | 26,628,945 | |
Exchange-Traded Funds | | | 784,829 | | | | — | | | | — | | | | 784,829 | |
Preferred Stocks† | | | — | | | | 143,753 | | | | — | | | | 143,753 | |
Money Market Funds | | | — | | | | 168,892 | | | | — | | | | 168,892 | |
| | | | |
Total Assets | | $ | 5,912,949 | | | $ | 21,813,470 | | | $ | — | | | $ | 27,726,419 | |
| | | | | | | | | | | | | | | | |
| 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† | | $ | 243,749,899 | | | $ | — | | | $ | — | | | $ | 243,749,899 | |
Money Market Funds | | | — | | | | 9,834,499 | | | | — | | | | 9,834,499 | |
| | | | |
Total Assets | | $ | 243,749,899 | | | $ | 9,834,499 | | | $ | — | | | $ | 253,584,398 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
| Futures Contracts* | | $ | (49,215 | ) | | $ | — | | | $ | — | | | $ | (49,215 | ) |
| | | | |
Total Liabilities | | $ | (49,215 | ) | | $ | — | | | $ | — | | | $ | (49,215 | ) |
| | | | | | | | | | | | | | | | |
| 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† | | $ | 1,026,094,221 | | | $ | — | | | $ | — | | | $ | 1,026,094,221 | |
| Money Market Funds | | | — | | | | 5,542,791 | | | | — | | | | 5,542,791 | |
| | | | |
Total Assets | | $ | 1,026,094,221 | | | $ | 5,542,791 | | | $ | — | | | $ | 1,031,637,012 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
| Futures Contracts* | | $ | (51,325 | ) | | $ | — | | | $ | — | | | $ | (51,325 | ) |
| | | | |
Total Liabilities | | $ | (51,325 | ) | | $ | — | | | $ | — | | | $ | (51,325 | ) |
| | | | | | | | | | | | | | | | |
| 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† | | $ | 306,701,067 | | | $ | — | | | $ | 14,729 | | | $ | 306,715,796 | |
Preferred Stocks† | | | 42,539 | | | | — | | | | — | | | | 42,539 | |
Rights† | | | — | | | | — | | | | — | (a) | | | — | (a) |
| Money Market Funds | | | — | | | | 7,472,862 | | | | — | | | | 7,472,862 | |
| | | | |
Total Assets | | $ | 306,743,606 | | | $ | 7,472,862 | | | $ | 14,729 | | | $ | 314,231,197 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
| Futures Contracts* | | $ | (20,090 | ) | | $ | — | | | $ | — | | | $ | (20,090 | ) |
| | | | |
Total Liabilities | | $ | (20,090 | ) | | $ | — | | | $ | — | | | $ | (20,090 | ) |
| | | | | | | | | | | | | | | | |
| 190 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
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† | | $ | 66,908,216 | | | $ | 243,316,727 | | | $ | — | | | $ | 310,224,943 | |
| Rights† | | | — | | | | 21,465 | | | | — | (a) | | | 21,465 | |
| | | | |
Total Assets | | $ | 66,908,216 | | | $ | 243,338,192 | | | $ | — | (a) | | $ | 310,246,408 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
| Futures Contracts* | | $ | (3,652 | ) | | $ | — | | | $ | — | | | $ | (3,652 | ) |
| | | | |
Total Liabilities | | $ | (3,652 | ) | | $ | — | | | $ | — | | | $ | (3,652 | ) |
| | | | | | | | | | | | | | | | |
| AQR EMERGING MOMENTUM FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 2,220,475 | | | $ | 4,969,302 | | | $ | — | | | $ | 7,189,777 | |
Exchange-Traded Funds | | | 64,584 | | | | — | | | | — | | | | 64,584 | |
Preferred Stocks† | | | 53,154 | | | | — | | | | — | | | | 53,154 | |
| Money Market Funds | | | — | | | | 136,788 | | | | — | | | | 136,788 | |
| | | | |
Total Assets | | $ | 2,338,213 | | | $ | 5,106,090 | | | $ | — | | | $ | 7,444,303 | |
| | | | | | | | | | | | | | | | |
AQR TAX-MANAGED MOMENTUM
FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 100,129,802 | | | $ | — | | | $ | — | | | $ | 100,129,802 | |
Exchange-Traded Funds | | | 918,113 | | | | — | | | | — | | | | 918,113 | |
| Money Market Funds | | | — | | | | 833,361 | | | | — | | | | 833,361 | |
| | | | |
Total Assets | | $ | 101,047,915 | | | $ | 833,361 | | | $ | — | | | $ | 101,881,276 | |
| | | | | | | | | | | | | | | | |
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† | | $ | 14,485,306 | | | $ | — | | | $ | — | | | $ | 14,485,306 | |
Exchange-Traded Funds | | | 327,503 | | | | — | | | | — | | | | 327,503 | |
| Money Market Funds | | | — | | | | 345,695 | | | | — | | | | 345,695 | |
| | | | |
Total Assets | | $ | 14,812,809 | | | $ | 345,695 | | | $ | — | | | $ | 15,158,504 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 191 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | |
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† | | $ | 18,318,262 | | | $ | 62,349,492 | | | $ | — | | | $ | 80,667,754 | |
Exchange-Traded Funds | | | 493,981 | | | | — | | | | — | | | | 493,981 | |
Rights† | | | — | | | | 4,605 | | | | — | (a) | | | 4,605 | |
| Money Market Funds | | | — | | | | 313,318 | | | | — | | | | 313,318 | |
| | | | |
Total Assets | | $ | 18,812,243 | | | $ | 62,667,415 | | | $ | — | (a) | | $ | 81,479,658 | |
| | | | | | | | | | | | | | | | |
| 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† | | $ | 214,967,150 | | | $ | — | | | $ | — | | | $ | 214,967,150 | |
Exchange-Traded Funds | | | 2,635,142 | | | | — | | | | — | | | | 2,635,142 | |
| Money Market Funds | | | — | | | | 10,789,398 | | | | — | | | | 10,789,398 | |
| | | | |
Total Assets | | $ | 217,602,292 | | | $ | 10,789,398 | | | $ | — | | | $ | 228,391,690 | |
| | | | | | | | | | | | | | | | |
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† | | $ | 9,423,585 | | | $ | — | | | $ | — | | | $ | 9,423,585 | |
Exchange-Traded Funds | | | 137,671 | | | | — | | | | — | | | | 137,671 | |
| Money Market Funds | | | — | | | | 164,761 | | | | — | | | | 164,761 | |
| | | | |
Total Assets | | $ | 9,561,256 | | | $ | 164,761 | | | $ | — | | | $ | 9,726,017 | |
| | | | | | | | | | | | | | | | |
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† | | $ | 7,008,990 | | | $ | 45,884,403 | | | $ | — | | | $ | 52,893,393 | |
Exchange-Traded Funds | | | 2,289,404 | | | | — | | | | — | | | | 2,289,404 | |
Rights† | | | — | | | | 220 | | | | — | (a) | | | 220 | |
| Money Market Funds | | | — | | | | 5,623,986 | | | | — | | | | 5,623,986 | |
| | | | |
Total Assets | | $ | 9,298,394 | | | $ | 51,508,609 | | | $ | — | (a) | | $ | 60,807,003 | |
| | | | | | | | | | | | | | | | |
| AQR EMERGING 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† | | $ | 3,887,264 | | | $ | 9,624,387 | | | $ | — | | | $ | 13,511,651 | |
Exchange-Traded Funds | | | 255,178 | | | | — | | | | — | | | | 255,178 | |
Preferred Stocks† | | | 95,805 | | | | — | | | | — | | | | 95,805 | |
Money Market Funds | | | — | | | | 98,648 | | | | — | | | | 98,648 | |
| | | | |
Total Assets | | $ | 4,238,247 | | | $ | 9,723,035 | | | $ | — | | | $ | 13,961,282 | |
| | | | | | | | | | | | | | | | |
| 192 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
There were no transfers between Levels 1 and 2 during the period for any of the Funds. There were no Level 3 securities held at period end, except where noted in AQR Global Equity Fund, AQR International Equity Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed International Momentum Fund and AQR International Core Equity Fund. Securities classified as Level 3 in the Schedule of Investments are considered quantitatively insignificant in the aggregate for each Fund.
| | * | 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. |
| | (a) | Security has zero value. |
5. Investment Transactions
During the period ended September 30, 2014, 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 | |
AQR Global Equity Fund | | $ | 239,099,451 | | | $ | 232,282,933 | |
AQR International Equity Fund | | | 541,836,291 | | | | 559,693,457 | |
AQR Emerging Defensive Equity Fund | | | 102,077,423 | | | | 63,884,394 | |
AQR International Defensive Equity Fund | | | 22,466,956 | | | | 14,341,850 | |
AQR U.S. Defensive Equity Fund | | | 91,441,043 | | | | 33,111,196 | |
AQR Momentum Fund | | | 906,411,319 | | | | 787,548,763 | |
AQR Small Cap Momentum Fund | | | 294,900,179 | | | | 237,129,245 | |
AQR International Momentum Fund | | | 364,448,842 | | | | 299,769,255 | |
AQR Emerging Momentum Fund | | | 11,397,629 | | | | 3,907,252 | |
AQR Tax-Managed Momentum Fund | | | 173,374,398 | | | | 101,778,537 | |
AQR Tax-Managed Small Cap Momentum Fund | | | 26,763,668 | | | | 18,517,095 | |
AQR Tax-Managed International Momentum Fund | | | 174,029,498 | | | | 106,777,708 | |
AQR Core Equity Fund | | | 421,895,226 | | | | 232,022,032 | |
AQR Small Cap Core Equity Fund | | | 18,396,777 | | | | 12,396,759 | |
AQR International Core Equity Fund | | | 91,080,093 | | | | 52,922,853 | |
AQR Emerging Core Equity Fund | | | 25,064,842 | | | | 10,476,033 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 193 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
6. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at September 30, 2014 are not accounted for as hedging instruments under GAAP. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at September 30, 2014 are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | ASSETS | | | LIABILITIES | |
| FUND | | UNREALIZED
APPRECIATION
ON FUTURES
CONTRACTS | | | UNREALIZED
APPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | UNREALIZED
DEPRECIATION
ON FUTURES
CONTRACTS | | | SWAPS
AT VALUE | | | UNREALIZED
DEPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | $748,674 | | | | $— | | | | $891,297 | | | | $271,213 | | | | $— | |
AQR International Equity Fund | | | 2,414,217 | | | | — | | | | 3,185,590 | | | | 888,280 | | | | — | |
AQR U.S. Defensive Equity Fund | | | — | | | | — | | | | 49,215 | | | | — | | | | — | |
AQR Momentum Fund | | | — | | | | — | | | | 51,325 | | | | — | | | | — | |
AQR Small Cap Momentum Fund | | | — | | | | — | | | | 20,090 | | | | — | | | | — | |
AQR International Momentum Fund | | | — | | | | — | | | | 3,652 | | | | — | | | | — | |
| | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | — | | | | 2,671,067 | | | | — | | | | — | | | | 5,546,544 | |
AQR International Equity Fund | | | — | | | | 10,011,589 | | | | — | | | | — | | | | 18,131,697 | |
| | | | | |
| Netting: | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | (748,674 | ) | | | (2,671,067 | ) | | | (748,674 | ) | | | — | | | | (2,671,067 | ) |
AQR International Equity Fund | | | (2,414,217 | ) | | | (10,011,589 | ) | | | (2,414,217 | ) | | | — | | | | (10,011,589 | ) |
| | | | | |
| Net Fair Value of Derivative Contracts: | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | — | | | | — | | | | 142,623 | | | | 271,213 | | | | 2,875,477 | |
AQR International Equity Fund | | | — | | | | — | | | | 771,373 | | | | 888,280 | | | | 8,120,108 | |
AQR U.S. Defensive Equity Fund | | | — | | | | — | | | | 49,215 | | | | — | | | | — | |
AQR Momentum Fund | | | — | | | | — | | | | 51,325 | | | | — | | | | — | |
AQR Small Cap Momentum Fund | | | — | | | | — | | | | 20,090 | | | | — | | | | — | |
AQR International Momentum Fund | | | — | | | | — | | | | 3,652 | | | | — | | | | — | |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended September 30, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | FUTURES
CONTRACTS | | | SWAPS AND
SWAPS ON
FUTURES
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | $1,330,971 | | | | $(1,610,127 | ) | | | $— | | | | $(311,066 | ) | | | $(282,108 | ) | | | $— | |
AQR International Equity Fund | | | (2,305,859 | ) | | | (5,848,193 | ) | | | — | | | | (1,361,654 | ) | | | (934,060 | ) | | | — | |
AQR U.S. Defensive Equity Fund | | | 1,712,169 | | | | — | | | | — | | | | 21,849 | | | | — | | | | — | |
AQR Momentum Fund | | | 2,235,154 | | | | — | | | | — | | | | 147,352 | | | | — | | | | — | |
AQR Small Cap Momentum Fund | | | (119,674 | ) | | | — | | | | — | | | | (33,146 | ) | | | — | | | | — | |
AQR International Momentum Fund. | | | 697,915 | | | | — | | | | — | | | | 16,705 | | | | — | | | | — | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | — | | | | — | | | | 2,347,559 | | | | — | | | | — | | | | (2,677,295 | ) |
AQR International Equity Fund | | | — | | | | — | | | | (765,908 | ) | | | — | | | | — | | | | (7,203,597 | ) |
| | | | | | | | | | | | | | | | |
| 194 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
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 Statements of Assets and Liabilities. All financial instruments held by the Funds were subject to a master netting agreement or similar arrangement. There were no financial instruments subject to a netting agreement for which the funds are not currently netting.
The following tables present, by counterparty and contract type, the Funds’ derivative assets and liabilities as of September 30, 2014.
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 |
| |
| NET
AMOUNT |
|
| Barclays Capital | | Futures Contracts | | $ | 748,674 | | | $ | (748,674 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Citibank | | Forward Foreign
Currency
Exchange
Contracts | | | 1,334,756 | | | | (1,334,756 | ) | | | — | | | | — | | | | — | | | | — | |
Credit Suisse
International | | Forward Foreign
Currency Exchange
Contracts | | | 1,336,311 | | | | (1,336,311 | ) | | | — | | | | — | | | | — | | | | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 3,419,741 | | | | (3,419,741 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 (a |
) | |
| NET
AMOUNT |
|
| Barclays Capital | | Futures Contracts | | $ | 891,297 | | | $ | (748,674 | ) | | $ | 142,623 | | | $ | — | | | $ | (142,623 | ) | | $ | — | |
| Citibank | | Forward Foreign
Currency Exchange
Contracts | | | 2,773,566 | | | | (1,334,756 | ) | | | 1,438,810 | | | | — | | | | (1,438,810 | ) | | | — | |
Credit Suisse
International | | Forward Foreign
Currency Exchange
Contracts | | | 2,772,978 | | | | (1,336,311 | ) | | | 1,436,667 | | | | — | | | | (1,436,667 | ) | | | — | |
| Goldman Sachs | | Total Return Swap Contracts | | | 271,213 | | | | — | | | | 271,213 | | | | — | | | | (110,000 | ) | | | 161,213 | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 6,709,054 | | | | (3,419,741 | ) | | | 3,289,313 | | | | — | | | | (3,128,100 | ) | | | 161,213 | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,615,975. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 195 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
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 |
| |
| NET
AMOUNT |
|
| Barclays Capital | | Futures Contracts | | $ | 2,414,217 | | | $ | (2,414,217 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
CitiBank | | Forward Foreign
Currency
Exchange
Contracts | | | 4,301,654 | | | | (4,301,654 | ) | | | — | | | | — | | | | — | | | | — | |
Credit Suisse
International | | Forward Foreign
Currency
Exchange
Contracts | | | 5,709,935 | | | | (5,709,935 | ) | | | — | | | | — | | | | — | | | | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 12,425,806 | | | | (12,425,806 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 (a |
) | |
| NET
AMOUNT |
|
| Barclays Capital | | Futures Contracts | | $ | 3,185,590 | | | $ | (2,414,217 | ) | | $ | 771,373 | | | $ | — | | | $ | (771,373 | ) | | $ | — | |
| CitiBank | | Forward Foreign
Currency
Exchange
Contracts | | | 9,065,984 | | | | (4,301,654 | ) | | | 4,764,330 | | | | — | | | | (4,764,330 | ) | | | — | |
Credit Suisse
International | | Forward Foreign
Currency
Exchange
Contracts | | | 9,065,713 | | | | (5,709,935 | ) | | | 3,355,778 | | | | — | | | | (3,355,778 | ) | | | — | |
| Goldman Sachs | | Total Return Swap
Contracts | | | 888,280 | | | | — | | | | 888,280 | | | | — | | | | (888,280 | ) | | | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 22,205,567 | | | | (12,425,806 | ) | | | 9,779,761 | | | | — | | | | (9,779,761 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $25,541,332. |
| | | | | | | | | | | | | | | | |
| 196 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
AQR U.S. DEFENSIVE EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 (a |
) | |
| NET
AMOUNT |
|
Goldman Sachs | | Futures Contracts | | $ | 49,215 | | | $ | — | | | $ | 49,215 | | | $ | — | | | $ | (49,215 | ) | | $ | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 49,215 | | | | — | | | | 49,215 | | | | — | | | | (49,215 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $330,942. |
AQR MOMENTUM FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 (a |
) | |
| NET
AMOUNT |
|
Barclays Capital | | Futures Contracts | | $ | 51,325 | | | $ | — | | | $ | 51,325 | | | $ | — | | | $ | (51,325 | ) | | $ | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 51,325 | | | | — | | | | 51,325 | | | | — | | | | (51,325 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $233,911. |
AQR SMALL CAP MOMENTUM FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 (a |
) | |
| NET
AMOUNT |
|
Barclays Capital | | Futures Contracts | | $ | 20,090 | | | $ | — | | | $ | 20,090 | | | $ | — | | | $ | (20,090 | ) | | $ | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 20,090 | | | | — | | | | 20,090 | | | | — | | | | (20,090 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $32,331. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 197 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
AQR INTERNATIONAL MOMENTUM FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 (a |
) | |
| NET
AMOUNT |
|
Barclays Capital | | Futures Contracts | | $ | 3,652 | | | $ | — | | | $ | 3,652 | | | $ | — | | | $ | (3,652 | ) | | $ | — | |
Total financial instruments subject to a
master netting agreement or similar
arrangement | | | 3,652 | | | | — | | | | 3,652 | | | | — | | | | (3,652 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $339,939. |
For the period ended September 30, 2014, the quarterly average values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | AQR GLOBAL
EQUITY FUND | | | AQR
INTERNATIONAL
EQUITY FUND | | | AQR U.S.
DEFENSIVE
EQUITY
FUND | | | AQR
MOMENTUM
FUND | | | AQR SMALL CAP
MOMENTUM
FUND | | | AQR
INTERNATIONAL
MOMENTUM
FUND | |
| Futures Contracts: | |
Average Notional Balance Long | | $ | 57,437,644 | | | $ | 190,462,621 | | | $ | 7,609,108 | | | $ | 7,426,469 | | | $ | 1,221,696 | | | $ | 3,617,120 | |
Average Notional Balance Short | | | 24,565,274 | | | | 84,763,759 | | | | — | | | | — | | | | — | | | | — | |
Ending Notional Balance Long | | | 59,479,675 | | | | 164,918,201 | | | | 7,370,625 | | | | 5,208,575 | | | | 986,940 | | | | 7,818,725 | |
Ending Notional Balance Short | | | 26,219,104 | | | | 83,536,675 | | | | — | | | | — | | | | — | | | | — | |
| Forward Foreign Currency Exchange Contracts: | |
Average Settlement Value Purchased | | | 129,167,604 | | | | 411,829,571 | | | | — | | | | — | | | | — | | | | — | |
Average Settlement Value Sold | | | 112,569,716 | | | | 343,727,255 | | | | — | | | | — | | | | — | | | | — | |
Ending Value Purchased | | | 182,735,279 | | | | 554,822,616 | | | | — | | | | — | | | | — | | | | — | |
Ending Value Sold | | | 165,351,086 | | | | 500,501,617 | | | | — | | | | — | | | | — | | | | — | |
| Total Return Swaps: | |
Average Notional Balance Long | | | 2,217,234 | | | | 8,361,994 | | | | — | | | | — | | | | — | | | | — | |
Average Notional Balance Short | | | 12,937,130 | | | | 44,797,052 | | | | — | | | | — | | | | — | | | | — | |
Ending Notional Balance Long | | | 3,846,859 | | | | 12,463,822 | | | | — | | | | — | | | | — | | | | — | |
Ending Notional Balance Short | | | 14,712,137 | | | | 49,101,758 | | | | — | | | | — | | | | — | | | | — | |
| | * | Values as of each quarter end are used to calculate the average represented. |
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, entered into by the Trust, on behalf of the Funds (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
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| 198 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
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| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor an Advisory 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 | | | 0.50 | *† |
AQR International Defensive Equity Fund | | | 0.35 | ** |
AQR U.S. Defensive Equity Fund | | | 0.25 | *** |
AQR Momentum Fund | | | 0.25 | |
AQR Small Cap Momentum Fund | | | 0.35 | |
AQR International Momentum Fund | | | 0.35 | |
AQR Emerging Momentum Fund | | | 0.50 | |
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 | |
AQR Emerging Core Equity Fund | | | 0.55 | |
Prior to January 29, 2014, the following Funds paid the Advisor an Advisory fee calculated on the average daily net assets for each Fund in the annual ratios below:
| | * | The AQR Emerging Defensive Equity Fund Advisory Fee was based on the following three tier structure. The first tier charged 0.60% on the first $1 billion of net assets; the second tier charged 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charged 0.55% on net assets in excess of $3 billion. |
| | ** | The AQR International Defensive Equity Fund Advisory Fee was based on the following three tier structure. The first tier charged 0.40% on the first $1 billion of net assets; the second tier charged 0.375% on net assets in excess of $1 billion, up to $3 billion; and the third tier charged 0.35% on net assets in excess of $3 billion. |
| | *** | The AQR U.S. Defensive Equity Fund Advisory Fee was based on the following three tier structure. The first tier charged 0.30% on the first $1 billion of net assets; the second tier charged 0.275% on net assets in excess of $1 billion, up to $3 billion; and the third tier charged 0.25% on net assets in excess of $3 billion. |
| | † | Effective January 29, 2014, the Fund’s Advisory Fee was reduced from 0.60% to 0.55%. Effective April 1, 2014, the Fund’s Advisory Fee was reduced from 0.55% to 0.50%. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2015 for Class I, L, and N, respectively and at least through January 28, 2016 for Class R6, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 199 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
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 | | | CLASS R6 | |
AQR Global Equity Fund* | | | 0.90 | % | | | n/a | | | | 1.20 | % | | | 0.70 | % |
AQR International Equity Fund* | | | 0.95 | | | | n/a | | | | 1.25 | | | | 0.75 | |
AQR Emerging Defensive Equity Fund*** | | | 0.80 | | | | n/a | | | | 1.05 | | | | 0.70 | |
AQR International Defensive Equity Fund | | | 0.65 | | | | n/a | | | | 0.90 | | | | 0.55 | |
AQR U.S. Defensive Equity Fund | | | 0.49 | | | | n/a | | | | 0.74 | | | | 0.39 | |
AQR Momentum Fund | | | n/a | | | | 0.49 | % | | | 0.74 | | | | 0.39 | |
AQR Small Cap Momentum Fund | | | n/a | | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR International Momentum Fund | | | n/a | | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR Emerging Momentum Fund*** | | | n/a | | | | 0.80 | | | | 1.05 | | | | 0.70 | |
AQR Tax-Managed Momentum Fund | | | n/a | | | | 0.54 | | | | 0.79 | | | | 0.44 | |
AQR Tax-Managed Small Cap Momentum Fund | | | n/a | | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Tax-Managed International Momentum Fund | | | n/a | | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Core Equity Fund** | | | n/a | | | | 0.54 | | | | 0.79 | | | | 0.44 | |
AQR Small Cap Core Equity Fund** | | | n/a | | | | 0.75 | | | | 1.00 | | | | 0.65 | |
AQR International Core Equity Fund** | | | n/a | | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Emerging Core Equity Fund*** | | | n/a | | | | 0.85 | | | | 1.10 | | | | 0.75 | |
| | * | This arrangement will continue at least through January 28, 2015 for Class R6. |
| | ** | This arrangement will continue at least through April 30, 2015 for Class L and N. |
| | *** | This arrangement will continue at least through January 28, 2016 for Class I, L, N and R6. |
Prior to January 28, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Global Equity and AQR International Equity Funds was as follows:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Global Equity Fund | | | 0.95 | % | | | 1.25 | % |
AQR International Equity Fund | | | n/a | | | | 1.30 | |
Prior to April 1, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Emerging Defensive Equity Fund was as follows:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Emerging Defensive Equity Fund | | | 0.90 | % | | | 1.15 | % |
| | | | | | | | | | | | | | | | |
| 200 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
For the period ended September 30, 2014, the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | | | | | | | | | | | |
| | | AQR GLOBAL
EQUITY FUND | | | AQR EMERGING DEFENSIVE
EQUITY FUND | | | AQR INTERNATIONAL
DEFENSIVE
EQUITY FUND | | | AQR U.S.
DEFENSIVE
EQUITY FUND | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | 23,711 | | | $ | 210,430 | | | $ | 139,727 | | | $ | 296,580 | |
Expense reimbursements. | | | 780 | | | | 9 | | | | 16,219 | | | | — | |
Total | | $ | 24,491 | | | $ | 210,439 | | | $ | 155,946 | | | $ | 296,580 | |
| | | | | | | | | | | | | | | | |
| | | AQR MOMENTUM
FUND | | | AQR SMALL CAP
MOMENTUM FUND | | | AQR INTERNATIONAL
MOMENTUM FUND | | | AQR EMERGING
MOMENTUM FUND | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | 566,420 | | | $ | 73,383 | | | $ | 203,445 | | | $ | 16,314 | |
Expense reimbursements. | | | — | | | | — | | | | — | | | | 107,771 | |
Total | | $ | 566,420 | | | $ | 73,383 | | | $ | 203,445 | | | $ | 124,085 | |
| | | | | | | | | | | | | | | | |
| | | AQR
TAX-MANAGED
MOMENTUM FUND | | | AQR
TAX-MANAGED
SMALL CAP
MOMENTUM FUND | | | AQR TAX-
MANAGED
INTERNATIONAL
MOMENTUM FUND | | | AQR
CORE EQUITY
FUND | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | 101,979 | | | $ | 66,630 | | | $ | 124,222 | | | $ | 149,189 | |
Expense reimbursements | | | 657 | | | | 44,669 | | | | 693 | | | | 1,610 | |
Total | | $ | 102,636 | | | $ | 111,299 | | | $ | 124,915 | | | $ | 150,799 | |
| | | | | | | | | | | | | | | | |
| | | AQR SMALL
CAP CORE
EQUITY FUND | | | AQR
INTERNATIONAL
CORE EQUITY FUND | | | AQR EMERGING
CORE EQUITY FUND | | | | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | 40,064 | | | $ | 136,441 | | | $ | 21,016 | | | | | |
Expense reimbursements. | | | 89,312 | | | | 38,029 | | | | 96,076 | | | | | |
Total | | $ | 129,376 | | | $ | 174,470 | | | $ | 117,092 | | | | | |
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.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 201 |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
For the period ended September 30, 2014, 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 September 30, 2014 are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2014 | | | TOTAL POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2014 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | | DECEMBER 31, | | | SEPTEMBER 30, | |
| | | | | 2014 | | | 2015 | | | 2016 | | | 2017 | |
| | | | | | |
AQR GLOBAL EQUITY FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 4,476 | | | $ | 54,188 | | | $ | 30,212 | | | $ | 9,775 | | | $ | 9,725 | | | $ | 4,476 | |
Class N | | | 4,236 | | | | 54,978 | | | | 31,920 | | | | 9,936 | | | | 8,886 | | | | 4,236 | |
Class R6 | | | 15,779 | | | | 15,779 | | | | — | | | | — | | | | — | | | | 15,779 | |
Class Y | | | — | | | | — | | | | — | | | | — | | | | — | | | | – | |
| | | | | | |
Totals | | $ | 24,491 | | | $ | 124,945 | | | $ | 62,132 | | | $ | 19,711 | | | $ | 18,611 | | | $ | 24,491 | |
| | | | | |
AQR EMERGING DEFENSIVE EQUITY FUND | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 193,425 | | | $ | 392,237 | | | $ | — | | | $ | 91,760 | | | $ | 107,052 | | | $ | 193,425 | |
Class N | | | 16,965 | | | | 80,055 | | | | — | | | | 32,715 | | | | 30,375 | | | | 16,965 | |
Class R6 | | | 49 | | | | 49 | | | | — | | | | — | | | | — | | | | 49 | |
| | | | | | |
Totals | | $ | 210,439 | | | $ | 472,341 | | | $ | — | | | $ | 124,475 | | | $ | 137,427 | | | $ | 210,439 | |
| | | | |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND | | | | | | | | | | | | | | | | | |
Class I | | $ | 142,854 | | | $ | 342,692 | | | $ | — | | | $ | 79,941 | | | $ | 119,897 | | | $ | 142,854 | |
Class N | | | 13,041 | | | | 80,528 | | | | — | | | | 43,475 | | | | 24,012 | | | | 13,041 | |
Class R6 | | | 51 | | | | 51 | | | | — | | | | — | | | | — | | | | 51 | |
| | | | | | |
Totals | | $ | 155,946 | | | $ | 423,271 | | | $ | — | | | $ | 123,416 | | | $ | 143,909 | | | $ | 155,946 | |
| | | | | |
AQR U.S. DEFENSIVE EQUITY FUND | | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 251,857 | | | $ | 458,368 | | | $ | — | | | $ | 65,338 | | | $ | 141,173 | | | $ | 251,857 | |
Class N | | | 44,712 | | | | 114,464 | | | | — | | | | 38,829 | | | | 30,923 | | | | 44,712 | |
Class R6 | | | 11 | | | | 11 | | | | — | | | | — | | | | — | | | | 11 | |
| | | | | | |
Totals | | $ | 296,580 | | | $ | 572,843 | | | $ | — | | | $ | 104,167 | | | $ | 172,096 | | | $ | 296,580 | |
| | | | | | |
AQR MOMENTUM FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 502,936 | | | $ | 1,524,794 | | | $ | 418,356 | | | $ | 334,720 | | | $ | 268,782 | | | $ | 502,936 | |
Class N | | | 63,464 | | | | 114,343 | | | | — | | | | 1,156 | | | | 49,723 | | | | 63,464 | |
Class R6 | | | 20 | | | | 20 | | | | — | | | | — | | | | — | | | | 20 | |
| | | | | | |
Totals | | $ | 566,420 | | | $ | 1,639,157 | | | $ | 418,356 | | | $ | 335,876 | | | $ | 318,505 | | | $ | 566,420 | |
| | | | | |
AQR SMALL CAP MOMENTUM FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 66,206 | | | $ | 360,156 | | | $ | 171,630 | | | $ | 74,142 | | | $ | 48,178 | | | $ | 66,206 | |
Class N | | | 7,160 | | | | 19,653 | | | | — | | | | 520 | | | | 11,973 | | | | 7,160 | |
Class R6 | | | 17 | | | | 17 | | | | — | | | | — | | | | — | | | | 17 | |
| | | | | | |
Totals | | $ | 73,383 | | | $ | 379,826 | | | $ | 171,630 | | | $ | 74,662 | | | $ | 60,151 | | | $ | 73,383 | |
| | | | | |
AQR INTERNATIONAL MOMENTUM FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 162,935 | | | $ | 655,030 | | | $ | 230,607 | | | $ | 140,213 | | | $ | 121,275 | | | $ | 162,935 | |
Class N | | | 40,491 | | | | 61,894 | | | | — | | | | 520 | | | | 20,883 | | | | 40,491 | |
Class R6 | | | 19 | | | | 19 | | | | — | | | | — | | | | — | | | | 19 | |
| | | | | | |
Totals | | $ | 203,445 | | | $ | 716,943 | | | $ | 230,607 | | | $ | 140,733 | | | $ | 142,158 | | | $ | 203,445 | |
| | | | | | | | | | | | | | | | |
| 202 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2014 | | | TOTAL POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2014 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | | DECEMBER 31, | | | SEPTEMBER 30, | |
| | | | | 2014 | | | 2015 | | | 2016 | | | 2017 | |
| | | | | |
AQR EMERGING MOMENTUM FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 102,927 | | | $ | 102,927 | | | $ | — | | | $ | — | | | $ | — | | | $ | 102,927 | |
Class N | | | 19,986 | | | | 19,986 | | | | — | | | | — | | | | — | | | | 19,986 | |
Class R6 | | | 1,172 | | | | 1,172 | | | | — | | | | — | | | | — | | | | 1,172 | |
| | | | | | |
Totals | | $ | 124,085 | | | $ | 124,085 | | | $ | — | | | $ | — | | | $ | — | | | $ | 124,085 | |
| | | | | |
AQR TAX-MANAGED MOMENTUM FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 101,535 | | | $ | 300,157 | | | $ | — | | | $ | 123,116 | | | $ | 75,506 | | | $ | 101,535 | |
Class N | | | 1,048 | | | | 3,490 | | | | — | | | | 61 | | | | 2,381 | | | | 1,048 | |
Class R6 | | | 53 | | | | 53 | | | | — | | | | — | | | | — | | | | 53 | |
| | | | | | |
Totals | | $ | 102,636 | | | $ | 303,700 | | | $ | — | | | $ | 123,177 | | | $ | 77,887 | | | $ | 102,636 | |
| | | | |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | | | | | | | | | | | | | | | | | |
Class L | | $ | 109,145 | | | $ | 317,959 | | | $ | — | | | $ | 127,875 | | | $ | 80,939 | | | $ | 109,145 | |
Class N | | | 1,920 | | | | 5,068 | | | | — | | | | 52 | | | | 3,096 | | | | 1,920 | |
Class R6 | | | 234 | | | | 234 | | | | — | | | | — | | | | — | | | | 234 | |
| | | | | | |
Totals | | $ | 111,299 | | | $ | 323,261 | | | $ | — | | | $ | 127,927 | | | $ | 84,035 | | | $ | 111,299 | |
| | | | |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | | | | | | | | | | | | | | | | | |
Class L | | $ | 123,731 | | | $ | 386,308 | | | $ | — | | | $ | 160,934 | | | $ | 101,643 | | | $ | 123,731 | |
Class N | | | 1,109 | | | | 4,050 | | | | — | | | | 63 | | | | 2,878 | | | | 1,109 | |
Class R6 | | | 75 | | | | 75 | | | | — | | | | — | | | | — | | | | 75 | |
| | | | | | |
Totals | | $ | 124,915 | | | $ | 390,433 | | | $ | — | | | $ | 160,997 | | | $ | 104,521 | | | $ | 124,915 | |
| | | | | | |
AQR CORE EQUITY FUND | | | | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 128,928 | | | $ | 210,154 | | | $ | — | | | $ | — | | | $ | 81,226 | | | $ | 128,928 | |
Class N | | | 19,784 | | | | 41,194 | | | | — | | | | — | | | | 21,410 | | | | 19,784 | |
Class R6 | | | 2,087 | | | | 2,087 | | | | — | | | | — | | | | — | | | | 2,087 | |
| | | | | | |
Totals | | $ | 150,799 | | | $ | 253,435 | | | $ | — | | | $ | — | | | $ | 102,636 | | | $ | 150,799 | |
| | | | | |
AQR SMALL CAP CORE EQUITY FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 90,682 | | | $ | 149,464 | | | $ | — | | | $ | — | | | $ | 58,782 | | | $ | 90,682 | |
Class N | | | 38,319 | | | | 83,537 | | | | — | | | | — | | | | 45,218 | | | | 38,319 | |
Class R6 | | | 375 | | | | 375 | | | | — | | | | — | | | | — | | | | 375 | |
| | | | | | |
Totals | | $ | 129,376 | | | $ | 233,376 | | | $ | — | | | $ | — | | | $ | 104,000 | | | $ | 129,376 | |
| | | | | |
AQR INTERNATIONAL CORE EQUITY FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 146,282 | | | $ | 231,763 | | | $ | — | | | $ | — | | | $ | 85,481 | | | $ | 146,282 | |
Class N | | | 23,372 | | | | 58,469 | | | | — | | | | — | | | | 35,097 | | | | 23,372 | |
Class R6 | | | 4,816 | | | | 4,816 | | | | — | | | | — | | | | — | | | | 4,816 | |
| | | | | | |
Totals | | $ | 174,470 | | | $ | 295,048 | | | $ | — | | | $ | — | | | $ | 120,578 | | | $ | 174,470 | |
| | | | | |
AQR EMERGING CORE EQUITY FUND | | | | | | | | | | | | | | | | | | | | | |
Class L | | $ | 94,893 | | | $ | 94,893 | | | $ | — | | | $ | — | | | $ | — | | | $ | 94,893 | |
Class N | | | 21,322 | | | | 21,322 | | | | — | | | | — | | | | — | | | | 21,322 | |
Class R6 | | | 877 | | | | 877 | | | | — | | | | — | | | | — | | | | 877 | |
| | | | | | |
Totals | | $ | 117,092 | | | $ | 117,092 | | | $ | — | | | $ | — | | | $ | — | | | $ | 117,092 | |
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| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
During the period ended September 30, 2014, the Funds recouped amounts as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS Y | |
AQR International Equity Fund | | $ | 2,236 | | | $ | 11,477 | | | $ | 15,655 | |
J.P. Morgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
During the period ended September 30, 2014, the Advisor contributed $1 into the AQR Global Equity Fund and $10 into the AQR International Equity Fund for losses incurred due to trade processing errors. The impact of the Advisor’s contributions on the Funds’ total return was immaterial.
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 Servicing Arrangements
Pursuant to a Shareholder Services Agreement, between the Trust and the Advisor, the Advisor provides certain administrative and/or support services to the Funds and their shareholders. These services include, among others, providing shareholders with analysis and explanations of Fund reports, information about shareholder positions in Fund shares, as well as assisting in the distribution of shareholder communications, such as proxy solicitation materials, shareholder reports and annual reports. 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 | | | CLASS R6 | |
AQR Global Equity Fund* | | | 0.30 | % | | | n/a | | | | 0.30 | % | | | 0.20 | % |
AQR International Equity Fund* | | | 0.30 | | | | n/a | | | | 0.30 | | | | 0.20 | |
AQR Emerging Defensive Equity Fund** | | | 0.15 | | | | n/a | | | | 0.15 | | | | 0.15 | |
AQR International Defensive Equity Fund** | | | 0.15 | | | | n/a | | | | 0.15 | | | | 0.15 | |
AQR U.S. Defensive Equity Fund** | | | 0.15 | | | | n/a | | | | 0.15 | | | | 0.15 | |
AQR Momentum Fund | | | n/a | | | | 0.15 | % | | | 0.15 | | | | 0.15 | |
AQR Small Cap Momentum Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR International Momentum Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Emerging Momentum Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Tax-Managed Momentum Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Tax-Managed Small Cap Momentum Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Tax-Managed International Momentum Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Core Equity Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Small Cap Core Equity Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR International Core Equity Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
AQR Emerging Core Equity Fund | | | n/a | | | | 0.15 | | | | 0.15 | | | | 0.15 | |
| | * | Prior to January 29, 2014, the rate was 0.35% for Class N. |
| | ** | Prior to January 29, 2014, the rate was 0.25% for Class I and Class N, respectively. |
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| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended September 30, 2014, were as follows:
| | | | | | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS L | | | CLASS N | | | CLASS R6 | |
AQR Global Equity Fund | | $ | 6,016 | | | | n/a | | | $ | 3,456 | | | $ | 97,468 | |
AQR International Equity Fund | | | 742,505 | | | | n/a | | | | 114,231 | | | | 174,481 | |
AQR Emerging Defensive Equity Fund | | | 86,428 | | | | n/a | | | | 5,651 | | | | 11 | |
AQR International Defensive Equity Fund | | | 43,333 | | | | n/a | | | | 2,518 | | | | 11 | |
AQR U.S. Defensive Equity Fund | | | 356,258 | | | | n/a | | | | 45,245 | | | | 11 | |
AQR Momentum Fund | | | n/a | | | $ | 1,325,953 | | | | 114,263 | | | | 37 | |
AQR Small Cap Momentum Fund | | | n/a | | | | 429,269 | | | | 7,867 | | | | 33 | |
AQR International Momentum Fund | | | n/a | | | | 411,634 | | | | 61,914 | | | | 33 | |
AQR Emerging Momentum Fund | | | n/a | | | | 3,114 | | | | 617 | | | | 34 | |
AQR Tax-Managed Momentum Fund | | | n/a | | | | 100,503 | | | | 194 | | | | 34 | |
AQR Tax-Managed Small Cap Momentum Fund | | | n/a | | | | 17,945 | | | | 193 | | | | 33 | |
AQR Tax-Managed International Momentum Fund | | | n/a | | | | 87,571 | | | | 173 | | | | 33 | |
AQR Core Equity Fund | | | n/a | | | | 112,068 | | | | 8,627 | | | | 1,882 | |
AQR Small Cap Core Equity Fund | | | n/a | | | | 7,450 | | | | 2,532 | | | | 33 | |
AQR International Core Equity Fund | | | n/a | | | | 32,339 | | | | 3,893 | | | | 979 | |
AQR Emerging Core Equity Fund | | | n/a | | | | 3,652 | | | | 817 | | | | 34 | |
10. Capital Transactions
Investors may purchase shares of a Fund at its net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Except as noted below, 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, limit 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 in the Funds’ best interest to do so.
The counterparties to the Funds’ forward foreign currency exchange, futures and swap contracts 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
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 205 |
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| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
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.
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 derivative 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.
Exposure to the commodities markets may subject the Funds to greater volatility than investments in traditional securities. The value of the commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity.
The Funds are not limited in the percentage of their 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).
The Advisor relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.
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.
If a Fund invests in illiquid investments, it may experience difficulty in selling the investments in a timely manner at the price that it believes the investments are worth. In addition, market conditions may cause the Fund to experience temporary mark-to-market losses, especially in less liquid positions, even in the absence of any selling of investments by the Fund.
Each Fund is subject to market risk, which is the risk that the markets on which the Fund’s investments trade will increase or decrease in value. Market risk applies to every Fund investment. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. If there is a general decline in the securities and other markets, your investment in a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The Funds may invest their assets in the stocks of companies with smaller market capitalizations. Prices of smaller capitalization stocks are often more volatile than prices of large capitalization stocks. In addition, due to thin trading in some such stocks, an investment in these stocks may be more illiquid than that of larger capitalization stocks.
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| Notes to Financial Statements | | | September 30, 2014 | |
A Fund may have investments that appreciate or decrease significantly in value over short periods of time. This volatility may cause the Fund’s net asset value per share to experience significant increases or declines in value over short periods of time.
Securities sold short represent obligations of the Fund to deliver specified securities at a future date and thereby create a liability to repurchase the securities at prevailing future market prices. Accordingly, these transactions result in off- balance-sheet risk as the Fund’s ultimate obligation to satisfy the sale of securities sold short may exceed the amount recognized in the Schedule of Investments.
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. The small size of their securities markets and low trading volumes can make emerging market investments illiquid and more volatile than investments in developed countries and such securities may be subject to abrupt and severe price declines. In addition, because the securities settlement procedures are less developed in these countries, the Funds’ may be required to deliver securities before receiving payment and may also be unable to complete transactions during market disruptions. The possible establishment of exchange controls or freezes on the convertibility of currency might adversely affect an investment in foreign securities.
As of September 30, 2014, a substantial portion of the AQR Global Equity, AQR International Equity, AQR Emerging Defensive Equity, AQR International Defensive Equity, AQR International Momentum, AQR Emerging Momentum, AQR Tax-Managed International Momentum, AQR International Core Equity and AQR Emerging 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.
12. Line of Credit
Effective February 28, 2014 and terminating on February 27, 2015, the Trust had renewed a committed $200,000,000 syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. For the fiscal period ended September 30, 2014, the maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and did not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (300-500% depending on the Fund). 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, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. Funds with less than $25,000,000 in assets are ineligible to draw upon the line of credit. Prior to February 28, 2014, the line of credit available was $175,000,000, subject to substantially similar terms. The Funds did not have any outstanding borrowings under this agreement at September 30, 2014.
Average borrowings under this agreement during the period ended September 30, 2014, were as follows:
| | | | | | | | | | | | | | | | |
| FUND | | AVERAGE
BORROWINGS | | | AVERAGE
INTEREST
RATE % | | | NUMBER OF
DAYS
OUTSTANDING | | | INTEREST
PAID | |
AQR Global Equity Fund | | $ | 35,000,000 | | | | 1.15 | % | | | 2 | | | $ | 2,245 | |
Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.
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| | | | |
| Notes to Financial Statements | | | September 30, 2014 | |
13. Principal Ownership
As of September 30, 2014, 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 | | | | 96.23 | % |
AQR International Equity Fund | | | 3 | | | | 57.67 | |
AQR Emerging Momentum Fund* | | | 1 | | | | 69.05 | |
AQR Emerging Core Equity Fund* | | | 1 | | | | 36.11 | |
| | * | The percentage shown is owned by the Advisor and/or its affiliates. |
Significant shareholder transactions by these shareholders, if any, may impact the Fund’s performance.
14. New Accounting Pronouncements
In June 2014, the FASB issued ASU No. 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”), which improves the existing accounting and disclosure guidance on repurchase agreements and other transactions involving a transfer and a forward agreement to repurchase the transferred assets at a fixed price from the transferee to address application issues and changes in the marketplace and to ensure that investors obtain useful information about these transactions. The Funds are required to apply ASU 2014-11 for annual reporting periods beginning on or after December 15, 2014, and interim periods within those periods. Management is currently assessing the impact of ASU 2014-11 but does not believe the adoption will have a material impact on the Funds’ financial statements.
15. Subsequent Events
On November 7, 2014, the Board of Trustees of the AQR Funds approved the following matters:
| | (i) | Effective January 29, 2015, an amendment to the Fee Waiver and Expense Reimbursement Agreement of the AQR Funds to reduce the contractual expense cap for certain classes of each of the AQR Global Equity Fund, AQR International Equity Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund, and AQR Tax-Managed International Momentum Fund. The reduced contractual expense caps will remain in effect through at least January 28, 2016. |
| | (ii) | Effective January 29, 2015, an amendment and restatement of the Investment Advisory Agreement of the AQR Funds to reduce the advisory fee for each of the AQR Tax-Managed Momentum, AQR Tax-Managed Small Cap Momentum, and AQR Tax-Managed International Momentum Funds. |
| | (iii) | Effective January 28, 2015, a name change for each of the AQR International Defensive Equity Fund, AQR Emerging Defensive Equity Fund, AQR U.S. Defensive Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Emerging 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, AQR International Core Equity Fund and AQR Emerging Core Equity Fund, to more accurately reflect the investment objective and principal investment strategies of each Fund. |
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| Notes to Financial Statements | | | September 30, 2014 | |
Additional information for each approval is included in the following tables:
Amendment to Fee Wavier and Expense Reimbursement Agreement (effective January 29, 2015)
| | | | | | | | |
| | | EXPENSE CAP — PRIOR TO AMENDMENT | | | EXPENSE CAP — AFTER AMENDMENT | |
AQR Global Equity Fund — Class N | | | 1.20 | % | | | 1.15 | % |
AQR International Equity Fund — Class N | | | 1.25 | | | | 1.20 | |
AQR Tax-Managed Momentum Fund — Class L | | | 0.54 | | | | 0.49 | |
AQR Tax-Managed Momentum Fund — Class N | | | 0.79 | | | | 0.74 | |
AQR Tax-Managed Momentum Fund — Class R6 | | | 0.44 | | | | 0.39 | |
AQR Tax-Managed Small Cap Momentum Fund — Class L | | | 0.70 | | | | 0.65 | |
AQR Tax-Managed Small Cap Momentum Fund — Class N | | | 0.95 | | | | 0.90 | |
AQR Tax-Managed Small Cap Momentum Fund — Class R6 | | | 0.60 | | | | 0.55 | |
AQR Tax-Managed International Momentum Fund — Class L | | | 0.70 | | | | 0.65 | |
AQR Tax-Managed International Momentum Fund — Class N | | | 0.95 | | | | 0.90 | |
AQR Tax-Managed International Momentum Fund — Class R6 | | | 0.60 | | | | 0.55 | |
Amendment of Investment Advisory Agreement (effective January 29, 2015)
| | | | | | | | |
| | | ADVISORY FEE —
PRIOR TO
AMENDMENT | | | ADVISORY FEE — AFTER
AMENDMENT | |
AQR Tax-Managed Momentum Fund | | | 0.30 | % | | | 0.25 | % |
AQR Tax-Managed Small Cap Momentum Fund | | | 0.40 | | | | 0.35 | |
AQR Tax-Managed International Momentum Fund | | | 0.40 | | | | 0.35 | |
Name Change (effective January 28, 2015)
| | |
| NAME — PRIOR TO NAME CHANGE | | NAME — AFTER NAME CHANGE |
AQR International Defensive Equity Fund | | AQR International Defensive Style Fund |
AQR Emerging Defensive Equity Fund | | AQR Emerging Defensive Style Fund |
AQR U.S. Defensive Equity Fund | | AQR Large Cap Defensive Style Fund |
AQR Momentum Fund | | AQR Large Cap Momentum Style Fund |
AQR Small Cap Momentum Fund | | AQR Small Cap Momentum Style Fund |
AQR International Momentum Fund | | AQR International Momentum Style Fund |
AQR Emerging Momentum Fund | | AQR Emerging Momentum Style Fund |
AQR Tax-Managed Momentum Fund | | AQR TM Large Cap Momentum Style Fund |
AQR Tax-Managed Small Cap Momentum Fund | | AQR TM Small Cap Momentum Style Fund |
AQR Tax-Managed International Momentum Fund | | AQR TM International Momentum Style Fund |
AQR Core Equity Fund | | AQR Large Cap Multi-Style Fund |
AQR Small Cap Core Equity Fund | | AQR Small Cap Multi-Style Fund |
AQR International Core Equity Fund | | AQR International Multi-Style Fund |
AQR Emerging Core Equity Fund | | AQR Emerging Multi-Style Fund |
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that, other than the items listed above, there are no additional material events that would require accrual or disclosure.
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| | |
| Report of Independent Registered Public Accounting Firm |
To the Board of Trustees and Shareholders of AQR Funds:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of 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 Emerging 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, AQR International Core Equity Fund, AQR Emerging Core Equity Fund, (sixteen of the portfolios constituting AQR Funds, hereinafter referred to as the “Funds”) at September 30, 2014, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2014 by correspondence with the custodian, brokers, and transfer agents and the application of alternative auditing procedures where confirmation of securities purchased had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
November 20, 2014
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|
| Other Federal Tax Information (Unaudited) |
For the year ended September 30, 2014, certain dividends paid by the Funds may be subject to a maximum tax of 20% provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The Funds intend to designate the maximum allowable as taxed at the 20% rate. The following represents the percentage of ordinary income distributions treated as qualifying dividends:
| | | | |
| FUND | | PERCENTAGE | |
AQR Global Equity Fund | | | 14.62 | % |
AQR International Equity Fund | | | 56.30 | % |
AQR Emerging Defensive Equity Fund | | | 100.00 | % |
AQR International Defensive Equity Fund | | | 100.00 | % |
AQR U.S. Defensive Equity Fund | | | 100.00 | % |
AQR Momentum Fund | | | 60.34 | % |
AQR Small Cap Momentum Fund | | | 21.95 | % |
AQR International Momentum Fund | | | 100.00 | % |
AQR Tax-Managed Momentum Fund | | | 100.00 | % |
AQR Tax-Managed Small Cap Momentum Fund | | | 56.79 | % |
AQR Tax-Managed International Momentum Fund | | | 100.00 | % |
AQR Core Equity Fund | | | 100.00 | % |
AQR Small Cap Core Equity Fund | | | 100.00 | % |
AQR International Core Equity Fund | | | 100.00 | % |
For the taxable year ended September 30, 2014, the following percentages of income dividends paid by the Fund qualify for the 70% dividends received deductions available to corporations:
| | | | |
| FUND | | PERCENTAGE | |
AQR Global Equity Fund | | | 9.60 | % |
AQR Emerging Defensive Equity Fund | | | 1.72 | % |
AQR U.S. Defensive Equity Fund | | | 78.43 | % |
AQR Momentum Fund | | | 69.26 | % |
AQR Small Cap Momentum Fund | | | 13.68 | % |
AQR Tax-Managed Momentum Fund | | | 50.50 | % |
AQR Tax-Managed Small Cap Momentum Fund | | | 47.39 | % |
AQR Core Equity Fund | | | 49.34 | % |
AQR Small Cap Core Equity Fund | | | 47.93 | % |
AQR Emerging Core Equity Fund | | | 1.20 | % |
The Funds designate the following amounts, or the maximum allowable under the Internal Revenue Code, as long term capital gains distributions qualifying for the maximum 20% income tax rate for individuals:
| | | | |
| FUND | | TOTAL | |
AQR Global Equity Fund | | $ | 58,908,214 | |
AQR International Equity Fund | | $ | 23,669,394 | |
AQR Emerging Defensive Equity Fund | | $ | 295 | |
AQR International Defensive Equity Fund | | $ | 29,738 | |
AQR U.S. Defensive Equity Fund | | $ | 195,128 | |
AQR Momentum Fund | | $ | 26,456,966 | |
AQR Small Cap Momentum Fund | | $ | 9,124,795 | |
AQR Tax-Managed Momentum Fund | | $ | 92,904 | |
AQR Tax-Managed Small Cap Momentum Fund | | $ | 42,494 | |
AQR Tax-Managed International Momentum Fund | | $ | 156,441 | |
AQR Core Equity Fund | | $ | 69 | |
AQR Small Cap Core Equity Fund | | $ | 81 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 211 |
| | | | | | | | | | |
|
| Other Federal Tax Information (Unaudited) |
Certain Funds have derived net income from sources within foreign countries. As of September 30, 2014, the foreign source income for each Fund was as follows:
| | | | | | | | |
| FUND | | TOTAL | | | PER SHARE | |
AQR International Equity Fund | | $ | 29,879,293 | | | $ | 0.4298 | |
AQR Emerging Defensive Equity Fund | | $ | 1,770,906 | | | $ | 0.2602 | |
AQR International Defensive Equity Fund | | $ | 855,045 | | | $ | 0.3794 | |
AQR International Momentum Fund | | $ | 8,225,021 | | | $ | 0.3840 | |
AQR Emerging Momentum Fund | | $ | 82,296 | | | $ | 0.1115 | |
AQR Tax-Managed International Momentum Fund | | $ | 1,515,345 | | | $ | 0.2424 | |
AQR International Core Equity Fund | | $ | 826,113 | | | $ | 0.1695 | |
AQR Emerging Core Equity Fund | | $ | 24,011 | | | $ | 0.0170 | |
Certain Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. As of September 30, 2014, the foreign tax credit for each Fund was as follows:
| | | | | | | | |
| FUND | | TOTAL | | | PER SHARE | |
AQR International Equity Fund | | $ | 1,769,140 | | | $ | 0.0255 | |
AQR Emerging Defensive Equity Fund | | $ | 179,347 | | | $ | 0.0264 | |
AQR International Defensive Equity Fund | | $ | 67,607 | | | $ | 0.0300 | |
AQR International Momentum Fund | | $ | 717,071 | | | $ | 0.0335 | |
AQR Emerging Momentum Fund | | $ | 10,372 | | | $ | 0.0141 | |
AQR Tax-Managed International Momentum Fund | | $ | 159,413 | | | $ | 0.0255 | |
AQR International Core Equity Fund | | $ | 71,858 | | | $ | 0.0147 | |
AQR Emerging Core Equity Fund | | $ | 13,287 | | | $ | 0.0094 | |
| | | | | | | | | | | | | | | | |
| 212 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | |
| 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 9/30/14” 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
9/30/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/14 | |
| | | | |
AQR Global Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,006.80 | | | | 0.90 | % | | | $4.53 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,005.70 | | | | 1.20 | % | | | $6.03 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.05 | | | | 1.20 | % | | | $6.07 | |
| | | | |
Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,009.00 | | | | 0.70 | % | | | $3.53 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
Class Y | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,010.10 | | | | 0.53 | % | | | $2.67 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.41 | | | | 0.53 | % | | | $2.69 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 213 |
| | | | | | | | | | |
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/14 | |
| | | | |
AQR International Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $948.20 | | | | 0.91 | % | | | $4.44 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.51 | | | | 0.91 | % | | | $4.61 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $946.50 | | | | 1.25 | % | | | $6.05 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.85 | | | | 1.25 | % | | | $6.28 | |
| | | | |
Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $949.10 | | | | 0.74 | % | | | $3.62 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.36 | | | | 0.74 | % | | | $3.75 | |
| | | | |
Class Y | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $950.00 | | | | 0.54 | % | | | $2.64 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.36 | | | | 0.54 | % | | | $2.74 | |
| | | | |
AQR Emerging Defensive Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,030.50 | | | | 0.80 | % | | | $4.07 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,029.60 | | | | 1.05 | % | | | $5.34 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.80 | | | | 1.05 | % | | | $5.32 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $938.10 | | | | 0.70 | % | | | $0.52 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
AQR International Defensive Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,015.60 | | | | 0.65 | % | | | $3.28 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,014.00 | | | | 0.90 | % | | | $4.54 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $950.10 | | | | 0.55 | % | | | $0.41 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
AQR U.S. Defensive Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,048.40 | | | | 0.49 | % | | | $2.52 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.61 | | | | 0.49 | % | | | $2.48 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,046.20 | | | | 0.74 | % | | | $3.80 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.36 | | | | 0.74 | % | | | $3.75 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $995.80 | | | | 0.39 | % | | | $0.30 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,023.11 | | | | 0.39 | % | | | $1.98 | |
| | | | | | | | | | | | | | | | |
| 214 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/14 | |
| | | | |
AQR Momentum Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,041.40 | | | | 0.49 | % | | | $2.51 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.61 | | | | 0.49 | % | | | $2.48 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,040.00 | | | | 0.74 | % | | | $3.78 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.36 | | | | 0.74 | % | | | $3.75 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $999.50 | | | | 0.39 | % | | | $0.88 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,023.11 | | | | 0.39 | % | | | $1.98 | |
| | | | |
AQR Small Cap Momentum Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $934.00 | | | | 0.65 | % | | | $3.15 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $932.90 | | | | 0.90 | % | | | $4.36 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $955.60 | | | | 0.55 | % | | | $1.21 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
AQR International Momentum Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,053.00 | | | | 0.65 | % | | | $3.35 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
Class N | | | | | | | | | �� | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,051.70 | | | | 0.90 | % | | | $4.63 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $961.40 | | | | 0.55 | % | | | $1.21 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
AQR Emerging Momentum Fund (2) | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,002.00 | | | | 0.80 | % | | | $3.07 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,001.00 | | | | 1.05 | % | | | $4.03 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,019.80 | | | | 1.05 | % | | | $5.32 | |
| | | | |
Class R6 (3) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $942.60 | | | | 0.70 | % | | | $1.53 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 215 |
| | | | | | | | | | |
| | |
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/14 | |
| | | | |
AQR Tax-Managed Momentum Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,053.00 | | | | 0.54 | % | | | $2.78 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.36 | | | | 0.54 | % | | | $2.74 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,051.70 | | | | 0.79 | % | | | $4.06 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.11 | | | | 0.79 | % | | | $4.00 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,007.60 | | | | 0.44 | % | | | $0.99 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.86 | | | | 0.44 | % | | | $2.23 | |
| | | |
AQR Tax-Managed Small Cap Momentum Fund | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $927.00 | | | | 0.70 | % | | | $3.38 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $925.60 | | | | 0.95 | % | | | $4.59 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.31 | | | | 0.95 | % | | | $4.81 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $952.80 | | | | 0.60 | % | | | $1.32 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | |
AQR Tax-Managed International Momentum Fund | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $971.80 | | | | 0.70 | % | | | $3.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $970.30 | | | | 0.95 | % | | | $4.69 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.31 | | | | 0.95 | % | | | $4.81 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $958.30 | | | | 0.60 | % | | | $1.32 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
AQR Core Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,052.80 | | | | 0.54 | % | | | $2.78 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.36 | | | | 0.54 | % | | | $2.74 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,052.10 | | | | 0.79 | % | | | $4.06 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.11 | | | | 0.79 | % | | | $4.00 | |
| | | | |
Class R6 (3) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,003.00 | | | | 0.44 | % | | | $0.99 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.86 | | | | 0.44 | % | | | $2.23 | |
| | | | | | | | | | | | | | | | |
| 216 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/14 | |
| | | | |
AQR Small Cap Core Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $949.20 | | | | 0.75 | % | | | $3.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.31 | | | | 0.75 | % | | | $3.80 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $947.60 | | | | 1.00 | % | | | $4.88 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.05 | | | | 1.00 | % | | | $5.06 | |
| | | | |
Class R6 (3) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $953.70 | | | | 0.65 | % | | | $1.43 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
AQR International Core Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $987.90 | | | | 0.70 | % | | | $3.49 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $986.20 | | | | 0.95 | % | | | $4.73 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.31 | | | | 0.95 | % | | | $4.81 | |
| | | | |
Class R6 (3) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $960.60 | | | | 0.60 | % | | | $1.32 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
AQR Emerging Core Equity Fund (2) | | | | | | | | | | | | | | | | |
| | | | |
Class L | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $996.00 | | | | 0.85 | % | | | $3.25 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,020.81 | | | | 0.85 | % | | | $4.31 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $995.00 | | | | 1.10 | % | | | $4.21 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,019.55 | | | | 1.10 | % | | | $5.57 | |
| | | | |
Class R6 (3) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $951.30 | | | | 0.75 | % | | | $1.64 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,021.31 | | | | 0.75 | % | | | $3.80 | |
| | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/365 (to reflect the one-half year period unless stated otherwise). |
| (1) | Commencement of offering of shares was September 2, 2014. |
| (2) | Commencement of operations was May 13, 2014. |
| (3) | Commencement of offering of shares was July 10, 2014. |
| (a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 28/365 (to reflect the period since commencement of shares). |
| (b) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 140/365 (to reflect the period since commencement of operations). |
| (c) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 82/365 (to reflect the period since commencement of shares). |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 217 |
| | | | | | | | | | |
| | | | |
| Trustees and Officers (Unaudited) | | | September 30, 2014 | |
Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 3rd Floor, Greenwich CT 06830.
| | | | | | | | |
| NAME AND YEAR OF BIRTH | | CURRENT
POSITION WITH
THE TRUST,
TERM OF
OFFICE1 AND
LENGTH OF
TIME SERVED | | PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS | | NUMBER
OF FUNDS
IN FUND
COMPLEX
OVERSEEN
BY TRUSTEE | | OTHER
PRESENT OR
PAST
DIRECTORSHIPS
HELD BY
TRUSTEE (DURING
THE PAST 5 YEARS) |
Disinterested Trustees2 | | | | | | | | |
| Timothy K. Armour, M.B.A., 1948 | | Chairman of the
Board since
2010 and Trustee,since 2008 | | Interim Chief Executive Officer of
Janus Capital Group (2009 to
2010) (financial services) | | 36 | | Janus Capital
Group (since
1998); ETF
Securities
(2010-2013) |
| | | | |
| L. Joe Moravy, M.B.A., CPA, 1950 | | Trustee,
since 2008 | | Managing Director, Finance
Scholars Group (2010 to 2014)
(consulting); Managing Director
and Owner, LJM Advisory (2008-
2010) (consulting) | | 36 | | Nuveen
Exchange
Traded
Commodities
Funds
(since 2012) |
| | | | |
| William L. Atwell, M.B.A., 1950 | | Trustee,
since 2011 | | Managing Director, Atwell
Partners LLC (since 2012)
(consulting); President (CIGNA
International), CIGNA (2008 to
2012) (insurance) | | 36 | | Webster
Financial
Corporation
(since 2014) |
| | | | |
| Gregg D. Behrens, M.M., 1952 | | Trustee,
since 2011 | | Chief Executive Officer and
Executive Vice President (Asia-
Pacific Region), Northern Trust
Company (1974 to 2009)
(banking) | | 36 | | None |
| | | | |
| Brian Posner, M.B.A., 1961 | | Trustee,
since 2011 | | President, Point Rider Group LLC
(since 2008) (consulting) | | 36 | | Biogen Idec
(since 2008);
Arch Capital
Group (since
2011); BG
Medicine (since
2012);
RiverPark
Funds Trust
(2010 to 2012) |
| | | | |
Mark. A. Zurack, M.B.A., CFA 1957 | | Trustee,
since 2014 | | Adjunct Professor and Executive-
in-Residence, Columbia Business
School (since 2002) | | 36 | | Exchange
Traded
Concepts Trust
(since 2011) |
| | | | |
Interested Trustees3 | | | | | | | | |
| David Kabiller, CFA, 1963 | | Trustee,
since 2010 | | Founding Principal, AQR Capital
Management, LLC (since 1998) | | 36 | | None |
| | | | | | | | | | | | | | | | |
| 218 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | | | |
| Trustees and Officers (Unaudited) | | | September 30, 2014 | |
| | | | | | | | |
| NAME AND YEAR OF BIRTH | | CURRENT
POSITION WITH
THE TRUST,
TERM OF
OFFICE1 AND
LENGTH OF
TIME SERVED | | PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS | | NUMBER
OF FUNDS
IN FUND
COMPLEX
OVERSEEN
BY TRUSTEE | | OTHER
PRESENT OR
PAST
DIRECTORSHIPS
HELD BY
TRUSTEE (DURING
THE PAST 5 YEARS) |
| Marco Hanig, Ph.D., 1958 | | Trustee,
since 2014;Chief Executive
Officer, since
2009; President,
since 2008 | | Principal, AQR Capital
Management, LLC (since 2008) | | 36 | | None |
| | | | |
Officers | | | | | | | | |
| H.J. Willcox, J.D., 1966 | | Chief Compliance
Officer,
since 2013 | | Managing Director and
Chief Compliance Officer,
AQR Capital Management, LLC
(since 2013); Global Head of
Compliance and Counsel KKR &
Co., L.P. (2008-2013) | | N/A | | N/A |
| | | | |
Heather Bonner, CPA, 1977 | | Chief Financial
Officer,
since 2014 | | Vice President, AQR Capital
Management, LLC
(since 2013); Senior Manager,
PricewaterhouseCoopers, LLP
(2007-2013) | | N/A | | N/A |
| | | | |
| Aaron Masek, CPA, 1974 | | Vice President and
Treasurer, since
2010 | | Vice President, AQR Capital
Management, LLC (since 2010);
Audit Manager, Cohen Fund
Audit Services, Ltd. (2008 to
2009) | | N/A | | N/A |
| | | | |
| Bradley Asness, J.D., M.B.A. 1969 | | Vice President,
since 2009 | | Principal and Chief Legal Officer,
AQR Capital Management, LLC
(since 1998) | | N/A | | N/A |
| | | | |
| Brendan R. Kalb, J.D. 1975 | | Executive
Vice President,
since 2009;
Secretary,
since 2008 | | Managing Director and General
Counsel, AQR Capital
Management, LLC (since 2004) | | N/A | | N/A |
| | | | |
| Nicole DonVito, J.D. 1979 | | Chief Legal
Officer,
since 2014;
Vice President,
since 2009 | | Senior Counsel—Head of
Registered Products, AQR
Capital Management, LLC (since
2007) | | N/A | | N/A |
| (1) | Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. |
| (2) | A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. |
| (3) | An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Advisor. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 219 |
| | | | | | | | | | |
|
| Board Approval of Investment Advisory Agreements (Unaudited) |
| | |
| AQR Emerging Core Equity Fund and AQR Emerging 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 20-21, 2014, to consider the approval of the Investment Advisory Agreement between the Trust, on behalf of the AQR Emerging Core Equity Fund and AQR Emerging Momentum Fund (each, a “Fund” and 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”), held a separate call in advance of the in person meeting held on February 20-21, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 20-21, 2014, 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) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (3) a discussion of the financial information of AQR; and (4) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Adviser,” as applicable.
At the in person meeting held on February 20-21, 2014, 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 Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser 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 Adviser. The Board Members reviewed the services that the Adviser would provide to the Funds under the Investment Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser 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 questions of, and received answers from, the officers of the Adviser 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 the Adviser 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, shareholder and administrative services to be provided to the Funds by the Adviser.
Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with independent legal 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 the Adviser pursuant to the Investment Advisory Agreement were expected to be of a high quality and would benefit the Funds.
| | | | | | | | | | | | | | | | |
| 220 | | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | |
| | | | | | | | | | |
| | |
| Board Approval of Investment Advisory Agreements (Unaudited) |
Investment Performance and the Adviser’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 Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. The Board also considered the experience, resources and strengths of the Adviser with respect to the investment strategies proposed for the Funds. Based on these factors, the Board Members determined that the Adviser 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 Adviser 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 Adviser 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 respective Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.
The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to Fund-related activities at an assumed asset level. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix.
The Board reviewed the Adviser’s unaudited financial information. 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.
Based on their review of the materials presented at the Meeting, 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 20-21, 2014, and the eventual aggregate amount of the Funds’ assets was uncertain, the Adviser 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 Adviser presented information to show that the fees were set at a level that is competitive relative to comparable funds of an 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 Adviser’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 Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser 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 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, management fee rate and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser 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 an anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the Investment Advisory Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2014 | | 221 |
| | | | | | | | | | |
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 3rd 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 policies, experienced of its management, marketability of shares and other information.
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248
p: +1.866.290.2688 | w: aqrfunds.com
Item 2. Code of Ethics.
| a). | As of the end of the period, September 30, 2014, the Registrant has adopted a code of ethics, as defined in Item 2 of
Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1). |
| c). | There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2014 (“Reporting Period”). |
| d). | Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period. |
Item 3. Audit Committee Financial Expert.
| a). | The Registrant’s Board of Trustees has determined that its Audit Committee has one “audit committee financial expert”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy, the Registrant’s audit committee financial expert, is “independent”, as that term is defined under Item 3(a)(2). |
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal period of January 1, 2013 to September 30, 2013 and the year ended September 30, 2014 were:
| | | | | | | | |
| | | 2013 | | | 2014 | |
Audit Fees (a) | | $ | 429,633 | | | $ | 520,830 | |
Audit Related Fees (b) | | $ | 46,083 | | | $ | 104,000 | |
Tax Fees (c) | | $ | 127,500 | | | $ | 159,100 | |
All Other Fees (d) | | $ | 0 | | | $ | 0 | |
Total: | | $ | 603,216 | | | $ | 783,930 | |
| (a) | Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC. |
| (b) | Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s September 30, 2013 and September 30, 2014 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the fiscal period of January 1, 2013 to September 30, 2013 and for the year-ended September 30, 2014 relate to services provided in connection with the review of the June 30, 2013 and March 31, 2014 semi-annual financial statements, respectively, and review of amendments to the Registrant’s Registration Statement. |
| (c) | Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review. |
| (d) | All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
| (e) | Audit Committee Pre-approval Policies and Procedures: |
| | (i) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
| | (ii) | 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X. |
| (f) | Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees. |
| (g) | Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal period of January 1, 2013 to September 30, 2013 and fiscal year ended September 30, 2014: $425,389 and $350,024, respectively. |
Item 5. Audit Committee of Listed Registrants.
| (a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark Zurack, are members of Audit Committee. |
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 last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
| (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 |
| December 5, 2014 |
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 |
| December 5, 2014 |
|
By: /s/ Heather Bonner |
| Heather Bonner, |
| Principal Financial Officer |
| December 5, 2014 |
