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: December 31
Date of reporting period: January 1, 2014 to December 31, 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.)
Annual Report
December 31, 2014
AQR Diversified Arbitrage Fund
AQR Equity Market Neutral Fund
AQR Global Macro Fund
AQR Long-Short Equity Fund
AQR Managed Futures Strategy Fund
AQR Managed Futures Strategy HV Fund
AQR Multi-Strategy Alternative Fund
AQR Risk-Balanced Commodities Strategy Fund
AQR Risk Parity Fund
AQR Risk Parity II HV Fund
AQR Risk Parity II MV Fund
AQR Style Premia Alternative Fund
AQR Style Premia Alternative LV Fund
Table of Contents
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | |
Ronen Israel
Principal
Mark Mitchell Ph.D.
Founding Principal, CNH Partners
Lars Nielsen
Principal
Todd Pulvino, Ph.D.
Founding Principal, CNH Partners
Dear Shareholder:
For the first year since inception, the AQR Diversified Arbitrage Fund (the “Fund”) in 2014 posted negative performance. The Fund invests in merger arbitrage, convertible arbitrage and event-driven strategies using corporate securities. The investment process seeks to capture liquidity premia associated with a wide range of corporate events. The Fund’s diversified approach imposes a risk management control whereby the expected downside loss from any single investment contributes less than 1% to overall Fund performance. In 2014, the largest single downside loss was -0.73%, resulting from a merger termination. Although the Fund successfully limited idiosyncratic exposure, it endured multiple adverse events and general spread-widening, which created losses across the arbitrage community. The Class I shares returned -5.25% in 2014, while the Merrill Lynch 3-Month Treasury Bill Index (the Fund’s benchmark) and the S&P 500 Index returned +0.03% and +13.69%, respectively. As described in detail below, each of the strategies in which the Fund invests contributed negatively to the overall performance. The Fund’s performance in 2014 was not driven by overall stock market returns – much of the Fund’s negative return occurred in the fourth quarter. Based on monthly return data since inception (January 15, 2009) through December 31, 2014, the Fund’s equity market beta (relative to the S&P 500) is 0.06, its annualized volatility is 2.6%, and its Sharpe ratio is 0.9.
Fund Description
Unlike textbook arbitrage where identical securities can simultaneously be bought and sold for different prices, corporate arbitrage investments involve the purchase and sale of similar but not identical securities at advantageous prices. For example, in merger arbitrage, the target stock can often be purchased for a price that is less than the merger consideration offered by the acquiring company. Arbitrageurs attempt to capture this difference by buying the target stock, and in the case of a stock merger, short-selling the acquirer’s stock. Similarly, in the case of convertible arbitrage, investors typically purchase a convertible bond at a price below theoretical value, and through daily short-selling of the issuer’s common stock, effectively sell the call option that is embedded in the convertible bond. Profits are generated if the effective price obtained by selling the call option via daily hedging is greater than the price paid for the call option when the bond was purchased.
Like merger arbitrage and convertible arbitrage, other strategies employed by the Fund involve the purchase of securities around corporate events at discounts to their fundamental values. For every investment, an attempt is made to hedge the embedded systematic risk. Where there is no natural hedge for a purchased security, market hedges are employed. For example, systematic equity market risk is hedged by shorting S&P futures, while systematic credit risk and interest rate risk are hedged using market indices (Credit Default Swap contracts and Treasury futures). Although market hedges effectively mitigate systematic risk (e.g., beta), they expose the Fund to basis risk – the basket of securities purchased around corporate events do not necessarily move in lockstep with the hedging instruments.
Performance Attribution
Each of the strategies in which the Fund invests (merger arbitrage, convertible arbitrage and event-driven) contributed negatively to the Fund’s 2014 performance. Of the strategies, convertible arbitrage performed the best, with a -0.19% contribution for the year. Losses in the convertible arbitrage strategy were largely caused by a general cheapening of convertible bonds relative to their theoretical values. Throughout most of the last two years, the market price of the median equity-sensitive convertible bond was close to theoretical value. However, beginning in September 2014, bond prices fell relative to theoretical values reaching a discount at the end of the year near 1%. While a 1% decline may seem small, it has significant ramifications for levered arbitrage funds and caused serious losses across the convertible arbitrage community. For example, the average investable convertible arbitrage index returned -5.6% in 2014, and most of that loss occurred in the fourth quarter.1 While it is difficult to know with certainty the ultimate source of convertible cheapening, it is
| 1 | The average convertible arbitrage index is obtained by taking the average return of the HFRX convertible arbitrage index and the CSFB/All-Hedge convertible arbitrage index. |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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2
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | |
likely that part of the explanation lies with the increase in activity in the convertible new-issue market. Over the prior three years, the convertible universe decreased as redemptions and maturities outpaced new issuance. This trend reversed in late 2013 and throughout 2014 as the new-issue market was active. As a result, convertible funds that were fully invested had to sell legacy paper in order to make room for new issues, and this likely put downward pressure on bond prices in the secondary market. As discussed below, the new-issue market remains active and we expect it to be so throughout 2015. The Fund avoided large losses in convertible arbitrage for two reasons. First, the exposure to convertible arbitrage was reduced earlier in the year by selling rich bonds and because of a general lack of opportunity to reinvest in cheap bonds. Second, the convertible bonds that the Fund holds, on average, are highly equity-sensitive and therefore have less exposure to convertible market cheapening compared to credit-sensitive convertible bonds.
Like convertible arbitrage, merger arbitrage also negatively impacted the Fund’s 2014 performance. Over 2014, merger arbitrage contributed -1.08%, nearly all of which occurred in the fourth quarter with the failure of two mergers and an increase in overall merger spreads. In particular, the failed tax-inversion acquisition of Shire by AbbVie caused significant losses across the merger-arbitrage community (including the Fund) and contributed to a substantial widening of merger spreads. Prior to the Shire/AbbVie failure, the median merger spread was approximately 4% (annualized). The median merger spread increased to almost 10% following the Shire/AbbVie failure and has been bouncing between 5% and 10% since. Losses from failed mergers are permanent and in most cases will not be recouped. However, as discussed below, the increase in merger spreads that typically follows a large merger failure provides more attractive opportunities going forward, and those opportunities can generate returns that offset the original loss.
Event-driven investments contributed the largest losses, -3.98%, to the Fund’s 2014 total return. These losses were driven by negative performance in spinoffs in the third quarter, and by investments in distressed credit in the fourth quarter. Some of the losses can be attributed to adverse developments in the energy sector that resulted from the rapid decrease in the price of oil. While the Fund did not have an overweight in the energy sector, the basis risk that existed between event-driven energy investments and the market indices used as hedges did not offset, resulting in net losses. More generally, the Fund’s event-driven losses were spread across industry sectors and were idiosyncratic in nature, often resulting from adverse court rulings. In one notable investment, senior secured debt that would typically be fully covered lost 20% when a bankruptcy judge forced holders to accept new notes issued by the post-bankruptcy entity with a sub-market rate of interest. These types of outcomes are not completely unexpected, but they occur infrequently and are typically offset by positions that receive a surprisingly positive outcome. However, in the third and fourth quarters of 2014, positive surprises were few, and those that were realized failed to offset negative surprises.
Looking Forward
Losses associated with arbitrage trades come in two flavors. The first type of loss is a permanent loss, typically associated with merger failures or convertible bond defaults. Following these events, there is little chance that the investment will recover. The second type of loss is temporary, and is associated with spread widening, often the result of contagion associated with an event that caused a permanent loss. Although there are no guarantees, temporary losses are often recouped as the underlying event (for example, a merger) is consummated, causing the arbitrage spread to close. Although general spread widening can cause mark-to-market losses, it often presents an opportunity to invest at attractive spread levels. The Shire/AbbVie situation described above is an example. Given the few number of tax-inversion mergers, the general spread widening that followed the merger failure was not likely to have been caused by an increase in tax inversion deal risk and instead reflected investors’ general increase in risk aversion associated with merger targets. For merger arbitrageurs, the price they receive for assuming deal risk effectively doubled without a commensurate increase in risk. Similarly, in convertible arbitrage, the median discount of a convertible bond price to its fundamental value increased from approximately 0% to approximately 1% over the span of a few weeks. Although this caused losses for convertible arbitrage funds, it also created the opportunity to invest at more attractive prices. The permanent/temporary nature of losses in the event-driven space is not as well defined as it is in merger and convertible strategies. However, given the recently negative returns realized in various event strategies, it is likely that future opportunities will come at more attractive prices.
In addition to wide spreads, an attractive arbitrage environment requires robust deal flow. In that regard, the current environment is above average. Although merger deal flow has slowed since the very active 4th quarter of 2014, the merger universe is still large compared to history. Convertible new issuance, which as described above likely contributed to cheapening in the convertible market, significantly outpaced redemptions and maturities in 2014. The recent decrease in investors’ appetites for new high-yield paper portends well for convertible issuance as cash-strapped issuers try to minimize cash coupon payments. Finally, the anticipated market value of new spinoffs anticipated in 2015 is at record levels, and the recent implosion of oil prices is likely to create meaningful opportunities in distressed energy companies (i.e., mergers and
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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3
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | |
bankruptcies). Unlike prior years, we expect investment opportunities to be above average in the coming year. Irrespective of where the Fund deploys capital in 2015, we will continue to hedge systematic equity, credit and interest-rate risk, with the intention of delivering uncorrelated positive returns.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR DIVERSIFIED ARBITRAGE FUND | |
| | | 1 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: ADAIX | | | -5.25% | | | | 1.05% | | | | 2.38% | | | | 1/15/2009 | |
Fund - Class N: ADANX | | | -5.51% | | | | 0.79% | | | | 2.11% | | | | 1/15/2009 | |
Fund - Class R6: QDARX | | | na | | | | na | | | | -5.99% | | | | 9/2/2014 | |
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Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.09% | | | | 0.11% | | | | 1/15/2009 | |
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 1.71%, 1.95% and 1.61%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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AQR DIVERSIFIED ARBITRAGE FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 1/15/2009 |
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 | | | | | | December 2014 | | |
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4
Shareholder Letter (Unaudited)
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| AQR EQUITY MARKET NEUTRAL FUND | | |
Andrea Frazzini
Principal
Jacques Friedman
Principal
Lars Nielsen
Principal
Dear Shareholder:
The AQR Equity Market Neutral Fund seeks to provide investors with returns from the potential gains from its long and short equity positions. The Fund is designed to be market- or beta-neutral, which means that the Fund seeks to achieve returns that are not closely correlated with the returns of the equity markets in which the Fund invests. Accordingly, the Advisor, on average, intends to target a portfolio beta of zero over a normal business cycle.
Since the Fund targets a beta of zero, an appropriate benchmark is U.S. cash returns, which remain at near-zero levels. Since inception (October 7th 2014), the Fund handily outperformed the Merrill Lynch 3-Month Treasury Bill Index, its benchmark, with the Class I shares returning 5.93% vs the benchmark return of 0.00% during the period. Global developed equity markets, by comparison, performed slightly positively during this period (up +0.35%), driven mainly by positive growth in the U.S.
Fund returns were driven by the strong performance of most of our investment themes. All of our Momentum-related themes (within industry, across industry and indirect Momentum) worked particularly well in the fourth quarter. Valuation signals within and across industries underperformed slightly. These valuation themes tend to be negatively correlated to momentum signals. Geographically, stocks in the U.S. and U.K. contributed the most to overall returns, while in no specific country did stock selection detract meaningfully from returns. At the sector level, the stock selection strategy worked best within and across information technology and energy in 2014.
The Fund ended the year with a highly diversified stock portfolio of 440 long positions and 407 short positions. The Fund achieved its exposure mainly through the use of total return basket swaps. Securities remained globally diversified with approximately 50% of the Fund invested outside of the U.S. The Fund does make small industry plays. As of the end of the year, our largest sector overweights were in healthcare and information technology, while our largest underweights were in materials and energy.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR EQUITY MARKET NEUTRAL FUND | |
| | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QMNIX | | | 5.93% | | | | 10/7/2014 | |
Fund - Class N: QMNNX | | | 5.88% | | | | 10/7/2014 | |
Fund - Class R6: QMNRX | | | 5.95% | | | | 10/7/2014 | |
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Merrill Lynch 3-Month Treasury Bill Index | | | 0.00% | | | | 10/7/2014 | |
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 I/N/R6 shares are 2.10%, 2.35% and 2.00%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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5
Shareholder Letter (Unaudited)
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| AQR EQUITY MARKET NEUTRAL FUND | | |
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AQR EQUITY MARKET NEUTRAL FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 10/7/2014 |
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 | | | | | | December 2014 | | |
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6
Shareholder Letter (Unaudited)
John Liew
Founding Principal
Michael Katz
Principal
Lars Nielsen
Principal
Jordan Brooks
Vice President
David Kupersmith
Managing Director
Dear Shareholders:
The AQR Global Macro Mutual Fund (the “Fund”) invests across four liquid asset classes: fixed income, currencies, commodities and equities, mainly through the use of swaps, futures and forward foreign currency exchange contracts. Within each asset class, we take both relative value and directional positions. The strategy is long-term market-neutral, but can take directional views over the short term. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on attractiveness of opportunities within the different asset classes we trade. The Fund’s strategy trades predominately on macroeconomic news and trends, using a systematic, bottom-up approach that integrates both quantitative and discretionary trading signals.
Our investment philosophy is rooted in the insight that financial markets tend to underreact to macroeconomic news. This implies that macroeconomic news tends to have a persistent effect on asset prices. Our strategy seeks to take advantage of this tendency by investing across liquid markets on the basis of macroeconomic news and trends, an investment approach we call macro momentum. We form macro momentum views by evaluating both quantitative and discretionary indicators across a variety of dimensions, from growth and inflation to monetary policy and international trade. By integrating both quantitative and discretionary indicators of macro momentum in a bottom-up, risk-controlled portfolio construction, we aim to capture the best features of both approaches while maintaining the benefits of a systematic and disciplined process.
With macro momentum at the core of our investment philosophy, we also consider price momentum, value and carry indicators. This multifactor approach provides a more holistic picture of each asset’s attractiveness than trading on macro momentum alone does. Macro momentum tends to drive asset positioning (long or short) in our portfolio, but the degree of agreement between macro momentum, on the one hand, and price momentum, value and carry, on the other, determines ultimate position sizing. Our bottom-up portfolio construction – in which we evaluate the attractiveness of each asset across a large number of dimensions – allows us to build a highly diversified portfolio that does not depend on a few “best ideas.”
The Fund’s benchmark, the Merrill Lynch 3-Month Treasury Bill Index, was up +0.02% since inception (4/8/14). The Fund underperformed this benchmark, with the Class I shares returning -0.42% net since inception. The low, positive benchmark performance can be attributed to the general low rate environment we saw over the course of 2014. The Fund’s performance across asset classes was mixed, with gains experienced in commodities (up +2.54%) and currencies (developed FX up +1.17% and emerging FX up +0.49%) and losses seen in fixed income (developed bonds down -3.41%, yield curve down -0.42% and developed interest rates down -0.06%) and equities (developed equities down -1.24% although somewhat offset by emerging equities that were up +0.13%). U.S. tactical asset allocation also contributed to returns, as the strategy was up +0.38% on the year.
Commodities
The commodities strategy was the best performing strategy on the year. Gains were driven by short positions in agricultural commodities in the second and third quarter and short positions in energy commodities in the fourth quarter. Positions in agricultural commodities were largely based on macro momentum. Weakness of emerging market currencies and deteriorating emerging market growth has reduced commodity demand. Positions in crude and natural gas were the largest contributors within energy and were based mainly on supply and price momentum factors. Agricultural commodities underperformed, as high planted acreage and favorable weather helped boost crop yields. Both corn and soybean production reached record levels in the US. Rapid growth in U.S. shale oil production, OPEC’s decision on Thanksgiving Day to maintain crude production levels at 30 million barrels a day and softening global demand all factored into lower oil prices in the third and fourth quarters. Natural gas also underperformed, as shale production continued to increase, the summer storage injections were more rapid than expected and moderate winter temperatures led to lower than expected heating demand.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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7
Shareholder Letter (Unaudited)
Developed Currencies
The developed- market currency strategy was profitable over the course of the year, with most gains coming in the second half. Gains were driven by a long position in the U.S. dollar. This position was motivated by macro momentum signals, both systematic and discretionary. U.S. economic outperformance and expectations of monetary policy divergence relative to other major economies led to broad-based dollar strength in the second half of the year.
Emerging Currencies
Emerging currency strategies were profitable in 2014, with gains coming entirely in the fourth quarter. Macro momentum signals, both systematic and discretionary, contributed to performance during the quarter, as did price momentum and value.
A short in the Russian ruble was the most successful single position in this strategy during the quarter, as plummeting energy prices and reduced access to external financing due to international sanctions led to a sharp fall in the value of the currency. Indeed, lower oil prices were a significant driver of relative performance across emerging markets. The Fund benefited from long positions in net oil importers such as India and Turkey and short positions in net exporters such as Colombia.
The Fund also profited from a short position in a basket of emerging currencies relative to the dollar and the euro. This position was driven by both macro and price momentum signals. Strong U.S. data and expectations of Federal Reserve Bank (“Fed”) tightening in 2015 led to significant dollar appreciation in the fourth quarter, particularly versus emerging market currencies.
Developed Bonds
Directional short positions in global bonds detracted from performance in the first half of the year, as yields declined in all major markets. Short positions in Japanese government bonds and German bunds were the most painful. Eurozone growth lost momentum over the course of 2014, and the European Central Bank (“ECB”) eventually took several steps to ease monetary policy, including rate cuts in June and September and the introduction of new nonstandard easing measures. Japanese growth faltered in the wake of the April 1st consumption tax hike and the Bank of Japan (“BOJ”) eventually responded by increasing its asset purchases in October.
Relative value positions in developed bond markets also subtracted from performance over the course of the year, particularly a long position in US treasuries relative to Australian government bonds.
The short position in Australian bonds was held on the basis of carry and monetary policy. Australian dollar depreciation in 2012-13 led to a pickup in inflation to the top end of the Royal Bank of Australia’s (“RBA”) 2 to 3% inflation target range. Increases in mining output and a buoyant housing market were supporting gross domestic product (“GDP”) growth. Shorting Australian bonds relative to other markets appeared attractive as fundamentals were consistent with higher policy rates over time and real bond yields were quite low. Furthermore, the flat shape of the yield curve meant that the negative carry incurred by shorting Australian bonds was minimal.
Australian bonds outperformed in 2014 as slower growth in China and significant declines in prices for key commodity exports such as iron ore led to downward revisions to Australian GDP forecasts. By the end of the year, markets attached a high probability to RBA rate cuts early in 2015.
Our long position in U.S. Treasuries was driven primarily by carry and valuation signals. The front end of the U.S. yield curve was quite steep compared to foreign bond markets, implying high positive carry for holders of U.S. Treasuries. While real bond yields were low relative to history, they were high by international standards.
U.S. bonds underperformed in 2014 due to divergence in economic performance and monetary policy expectations. While U.S. growth in 2014 fell short of consensus forecasts, disappointments in Europe and Japan were considerably larger. While central banks in the Eurozone, Japan, and Australia continue to have an easing bias, the Federal Reserve remains on track to begin raising rates in 2015.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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8
Shareholder Letter (Unaudited)
Developed Interest Rates
Directional shorts in U.S. interest rate futures also subtracted from performance. Despite continued guidance from the Federal Reserve indicating that rate hikes were likely to begin in 2015, yields on Eurodollar futures declined over the course of the year. Yield declines were particularly large in deferred contracts, as investors downgraded their expectations for the terminal fed funds rate.
A relative value long position in U.K. interest rate futures in the second quarter was unprofitable as well. This position was driven by macro momentum signals, as a strengthening currency, falling inflation, and equity market underperformance all pointed towards a more dovish path of monetary policy. This position was harmed by hawkish comments from Bank of England governor Mark Carney in June indicating that rates could rise “sooner than markets currently expect.”
Developed Equities
Relative value positions in developed equities harmed performance early in the year, particularly an overweight position in Japanese equities in the first quarter. This long position was driven by favorable macro momentum, including upward revisions to growth forecasts and a weakening currency. The Japanese market subsequently underperformed due to concerns about the impact of the consumption tax hike.
Later in the year, the fund held directional longs in most developed equity markets due to positive macro and price momentum signals. These positions subtracted from performance on net, as non-U.S. markets generally struggled in the second half of the year. In particular, European equities declined due to escalation in tensions with Russia and downward revisions to domestic growth forecasts.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR GLOBAL MACRO FUND | | | | | | |
| | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QGMIX | | | -0.42% | | | | 4/8/2014 | |
Fund - Class N: QGMNX | | | -0.62% | | | | 4/8/2014 | |
Fund - Class R6: QGMRX | | | 2.45% | | | | 9/2/2014 | |
| | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.02% | | | | 4/8/2014 | |
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 I/N/R6 shares are 1.84%, 2.12% and 1.74%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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9
Shareholder Letter (Unaudited)
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AQR GLOBAL MACRO FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 4/8/2014 |
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 | | | | | | December 2014 | | |
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10
Shareholder Letter (Unaudited)
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| AQR LONG-SHORT EQUITY FUND | | |
Jacques Friedman
Principal
Lars Nielsen
Principal
Andrea Frazzini
Principal
Dear Shareholder:
The AQR Long/Short Equity Fund (the “Fund”) seeks to provide higher risk-adjusted returns with lower volatility relative to global equity markets. It does so using three different sources of return: 1) the potential gains from its long/short equity positions by entering into Total Return Basket Swaps, 2) overall exposure to equity markets, through the use of Futures contracts, and 3) the tactical variation of its net exposure to equity markets. The strategy primarily seeks to add alpha via its long/short (market-neutral) stock portfolio. It also manages its beta relative to the MSCI World Index (“MSCI World”) to a long-term target of 0.5, and within a shorter-term range of 0.3 to 0.7, depending on our market views.
Global developed equity markets performed positively in 2014, driven mainly by growth in the U.S. The Fund’s custom benchmark (0.5* MSCI World + 0.5* Merrill Lynch 3-Month Treasury Bill Index) delivered modest positive returns of 2.56% over this period. The Fund handily outperformed this benchmark, with the Class I shares returning 14.91%.
The stock selection strategy contributed to the majority of the outperformance and returned 12.07% for the year. Returns were driven by the strong performance of nearly all of our investment themes. In particular, our industry-relative momentum, investor sentiment and stability signals contributed the most to positive returns. Valuation signals within and across industries underperformed slightly. These valuation themes tend to be negatively correlated to momentum signals. Geographically, stocks in the U.S. and U.K. contributed the most to overall returns, while French and Norwegian stocks detracted slightly from performance. At the sector level, the stock selection strategy worked best in information technology and energy in 2014.
The Fund benefited from its static long-term beta exposure of 0.5 to the MSCI World, given this index’s positive performance. Our tactical market exposure (the desired deviation from a beta of 0.5) was also up, thanks mainly to an overweight of the MSCI World in the fourth quarter.
The Fund ended the year with a highly diversified stock portfolio of 650 long positions and 538 short positions. Securities remained globally diversified, with over 40% of the Fund invested outside of the U.S. The stock selection strategy does take small industry plays. As of the end of the year, our largest sector overweights were in healthcare and information technology, while our largest underweights were in materials and energy.
Our tactical market view was positive at the end of the year and as a consequence, our ex-ante beta to the MSCI World was 0.6. This was mostly driven by favorable fundamental and price momentum indicators.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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11
Shareholder Letter (Unaudited)
| | |
| AQR LONG-SHORT EQUITY FUND | | |
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR LONG-SHORT EQUITY FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QLEIX | | | 14.91% | | | | 18.25% | | | | 7/16/2013 | |
Fund - Class N: QLENX | | | 14.55% | | | | 17.91% | | | | 7/16/2013 | |
Fund - Class R6: QLERX | | | na | | | | 6.19% | | | | 9/2/2014 | |
| | | |
50% MSCI World Index/50% Merrill Lynch 3-Month Treasury Bill Index | | | 2.56% | | | | 5.68% | | | | 7/16/2013 | |
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 3.65%, 5.58% and 3.59%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR LONG-SHORT EQUITY FUND VS. 50% MSCI WORLD INDEX/50% MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 7/16/2013 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
12
Shareholder Letter (Unaudited)
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Brian Hurst
Principal
Yao Hua Ooi
Principal
Ari Levine
Vice President
Dear Shareholder:
The AQR Managed Futures Strategy Fund (the “Fund”) actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.
The Fund uses both short- and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.
In addition to trend-following signals, we also incorporate signals that seek to identify overextended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.
We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.
The strategy had another year of strong absolute performance in 2014, with the Class I shares returning +9.69% versus a +0.03% return for its benchmark, the Merrill Lynch 3-Month Treasury Bill Index. For reasons we will discuss later, the strategy underperformed the Newedge CTA Trend Sub-Index, which returned +19.70% in 2014, and is an index comprised of large trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -3.07%, fixed income contributed +2.41%, commodities contributed +7.87%, and currencies added +2.48%.
The year was one of two very distinct halves. The Fund entered 2014 long equities, short fixed income, short commodities and short the Japanese yen against many of its major and emerging market crosses. Markets, however, exhibited a lack of clear trends starting with sharp reversals of late 2013 trends. Factors contributing to this included Russia-Ukraine tensions, prospects for deflation in Europe, cold weather impacting the United States’ economy, a slowdown in China and a consumption tax hike in Japan. These caused broad safe-haven demand leading to market dynamics, such as a fixed income and yen rally, that whipsawed the Fund in the first quarter. Fears subsequently dissipated as economic data generally met or exceeded expectations, particularly in the United States. Monetary policy outlooks remained accommodative globally, while the U.S. maintained its plan to end quantitative easing. The Fund ended the first half realizing losses as a result of market reversals around these varied dynamics.
In the second half, sustained trends in commodity, currency and fixed income markets drove returns, allowing the Fund to recoup its losses and post strong gains for the year. In commodities, supply outpacing demand led to a decline in agricultural commodity prices in the middle of the year through the end of the third quarter. Energy commodities followed suit, particularly oil and related commodities, seeing a sustained and extreme bearish trend which lasted through year-end. In currencies, as the Fed ended quantitative easing, other central banks diverged and increased stimulus, prompting a sustained U.S. dollar rally. In fixed income, central bank activities and falling oil prices pressured bond yields, which led to flattening yield curves globally. Trend following in equities was the only asset class strategy to detract, as sharp reversals throughout the year, particularly in the fourth quarter, hurt performance.
The strategy’s average annualized volatility target is 10.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 8.8% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 8.5% as the trend environment continued to be varied for the assets the Fund trades.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
13
Shareholder Letter (Unaudited)
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
Long-term trend-following signals outperformed short-term signals, contributing in every asset class. Shorter-term signals gained as well, contributing positively and outperforming in every asset class except for equities. Short-term signals detracted significantly in equities, causing the entire category to underperform, as global equity markets exhibited sharp reversals against a longer-term bullish trend throughout 2014. Overextended signals detracted, as they deemed asset classes “expensive” for most of 2014 and contributed to a short view in fixed income, the U.S. dollar, equities and commodities. Rallies in the first three asset classes hurt this category of signals, while sell offs in energy commodities mitigated the impact and helped the Fund become short those markets more quickly.
In equities, the Fund began the year long most equity markets on agreement between long- and short-term trend signals. Equity markets experienced several major reversals throughout the year, creating a difficult environment for trend-following. We discussed the dynamics in the first half of 2014 which led to several market reversals. Over the summer, equity markets experienced reversals again around geopolitics, weak Eurozone data and a weakening Japan. The U.S. contributed to this dynamic as quantitative easing ended, coupled with indications rate hikes might come sooner than expected. The last several months of the year generally saw a deep but short lived correction followed by a shallower correction as global growth fears were balanced by either stimulus efforts or clarified guidance from central banks. Markets such as the S&P 500 and the NASDAQ exhibited the year’s strongest bullish trends and mitigated losses. The Fund ended the year still long equities, but less so given the aforementioned environment.
In fixed income, the Fund entered the year broadly short bonds, and short interest rate futures in the U.K. and long in the U.S. This positioning met markets displaying a flight to safety as Russia-Ukraine tensions took markets by surprise, causing a reversal (rally) in many bond markets. Thereafter, fixed income markets displayed varying degrees of sensitivity to economic and central bank policy divergences across the globe. Despite divergences, weak inflation across the globe remained a fundamental driver of fixed income market rallies. Most global fixed income markets saw sustained bull trends, particularly in Europe and Japan, which drove gains for the Fund. In the U.S., the key dynamic was the ending of quantitative easing and the market’s debate around the timing of interest rate increases. U.S. fixed income markets generally saw several reversals throughout the year as a result and detracted from performance. The strategy ended long fixed income across bond and interest rate markets, with overextended signals mitigating the overall position size.
In commodities, the Fund entered the year with mixed positions across commodities but short on average, with shorts in metals and some grains, such as corn and wheat. The bear trend in oil and related commodities drove most of the year’s gains for the overall Fund, though significant contributions also came from being short sugar and corn. Oil actually started the year with positive returns, leading the Fund to be positioned long in the second quarter. In the first half of 2014, ongoing risks in the Ukraine and the Middle East, and a cold U.S. winter supported higher prices despite oversupply in some markets. The Fund turned short, however, in the third quarter as the price trend turned negative, and it was sustained during the entire second half of 2014. Supply outpacing demand dominated in the second half, as U.S. daily production hit its highest level since the 1970s and OPEC decided not to cut production in the face of falling prices. Easing global demand was also a factor, as leading indicators for China’s manufacturing sector fell amid slowing GDP growth, Japan slipped into a technical recession and macro data out of the Eurozone signaled prospects for deflation. Agricultural commodities also exhibited a strong bear trend in the third quarter, but reversed course and rallied in the fourth quarter. The Fund ended the year still short commodities, but less so as overextended signals reduced the size of oil shorts, and the late rally in grains flattened the view in agricultural commodities.
In currency markets, the Fund entered the year with shorts in the Japanese yen and longs in the euro. Currency markets displayed a lack of clear trends in the first half of the year, while a strong bull trend in the U.S. dollar characterized the second half. Central bank divergences were primary factors, with the U.S. ending quantitative easing, while the BOJ and ECB took measures to increase monetary stimulus, causing their currencies to depreciate against the dollar. Falling energy prices also caused declines in commodity-export sensitive currencies, such as the Russian ruble, Norwegian krone, Canadian dollar and Mexican peso, all against the U.S. dollar. The U.S. dollar trend began in the third quarter and continued into year-end and was the primary driver of returns. Non-dollar crosses, such as in the Japanese yen, detracted as they exhibited reversals throughout the year. The Fund ended the year long the U.S. dollar against most major and emerging market currency crosses, though overextended signals mitigated the overall position size.
It was a strong year for the Fund, but we do note our underperformance relative to the Newedge Trend Index in 2014 after strongly outperforming in 2013, all due to the diversification we emphasize in our portfolio construction. While our diversification helped us in 2013, primarily by being diversified in non-U.S. dollar crosses, the same factor cost the Fund in 2014. Other sources of underperformance included having overextended signals, which were short every major asset class in 2014. This hurt in fixed income, U.S. dollar crosses and equities, but being short commodities mitigated the impact. Finally, we strategically target equal risk balance across our trend signals, while our analysis of the industry indicates peers may be more
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
14
Shareholder Letter (Unaudited)
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
concentrated in fixed income trends. As these were among the best performing trends in 2014, we underperformed our peers. Overall, we will continue to emphasize diversification as we believe it allows for better risk management and overall investor experience. While it may lead to periods of short-term underperformance, we believe a well-diversified portfolio will outperform on a risk-adjusted basis in the long run.
To summarize, it was a strong year for trend following and for our strategy, with three of the four asset classes contributing positively, and short-term and long-term signals contributing as well.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR MANAGED FUTURES STRATEGY FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AQMIX | | | 9.69% | | | | 4.06% | | | | 1/6/2010 | |
Fund - Class N: AQMNX | | | 9.34% | | | | 3.78% | | | | 1/6/2010 | |
Fund - Class R6: AQMRX | | | na | | | | 12.99% | | | | 9/2/2014 | |
| | | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.09% | | | | 1/6/2010 | |
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 1.34%, 1.61% and 1.26%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | |
AQR MANAGED FUTURES STRATEGY FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 1/6/2010 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
15
Shareholder Letter (Unaudited)
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Brian Hurst
Principal
Yao Hua Ooi
Principal
Ari Levine
Vice President
Dear Shareholder:
The AQR Managed Futures Strategy HV Fund (the “Fund”) actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets.
The Fund uses both short- and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.
In addition to trend-following signals, we also incorporate signals that seek to identify overextended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.
We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.
The strategy had another year of strong absolute performance in 2014, with Class I shares returning +14.68% versus a +0.03% return for its benchmark, the Merrill Lynch 3-Month Treasury Bill Index. For reasons we will discuss later, the strategy underperformed the Newedge Trend Index, which returned +19.7% in 2014, and is an index comprised of large trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -4.79%, fixed income contributed +3.61%, commodities contributed +11.93%, and currencies added +3.93%.
The year was one of two very distinct halves. The Fund entered 2014 long equities, short fixed income, short commodities and short the Japanese yen against many of its major and emerging market crosses. Markets, however, exhibited a lack of clear trends starting with sharp reversals of late 2013 trends. Factors contributing to this included Russia-Ukraine tensions, prospects for deflation in Europe, cold weather impacting the United States’ economy, a slowdown in China and a consumption tax hike in Japan. These caused broad safe-haven demand leading to market dynamics, such as a fixed income and yen rally, that whipsawed the Fund in the first quarter. Fears subsequently dissipated as economic data generally met or exceeded expectations, particularly in the United States. Monetary policy outlooks remained accommodative globally, while the U.S. maintained its plan to end quantitative easing. The Fund ended the first half realizing losses as a result of market reversals around these varied dynamics.
In the second half, sustained trends in commodity, currency and fixed income markets drove returns, allowing the Fund to recoup its losses and post strong gains for the year. In commodities, supply outpacing demand led to a decline in agricultural commodity prices in the middle of the year through the end of the third quarter. Energy commodities followed suit, particularly oil and related commodities, seeing a sustained and extreme bearish trend which lasted through year-end. In currencies, as the Fed ended quantitative easing, other central banks diverged and increased stimulus, prompting a sustained U.S. dollar rally. In fixed income, central bank activities and falling oil prices pressured bond yields, which led to flattening yield curves globally. Trend following in equities was the only asset class strategy to detract, as sharp reversals throughout the year, particularly in the fourth quarter, hurt performance.
The strategy’s average annualized volatility target is 15%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 13% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 12.5% as the trend environment continued to be varied for the assets the Fund trades.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
16
Shareholder Letter (Unaudited)
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
Long-term trend-following signals outperformed short-term signals, contributing in every asset class. Shorter-term signals gained as well, contributing positively and outperforming in every asset class except for equities. Short-term signals detracted significantly in equities, causing the entire category to underperform, as global equity markets exhibited sharp reversals against a longer-term bullish trend throughout 2014. Overextended signals detracted, as they deemed asset classes “expensive” for most of 2014 and contributed to a short view in fixed income, the U.S. dollar, equities and commodities. Rallies in the first three asset classes hurt this category of signals, while sell offs in energy commodities mitigated the impact and helped the Fund become short those markets more quickly.
In equities, the Fund began the year long most equity markets on agreement between long- and short-term trend signals. Equity markets experienced several major reversals throughout the year, creating a difficult environment for trend-following. We discussed the dynamics in the first half of 2014 which led to several market reversals. Over the summer, equity markets experienced reversals again around geopolitics, weak Eurozone data and a weakening Japan. The U.S. contributed to this dynamic as quantitative easing ended, coupled with indications rate hikes might come sooner than expected. The last several months of the year generally saw a deep but short lived correction followed by a shallower correction as global growth fears were balanced by either stimulus efforts or clarified guidance from central banks. Markets such as the S&P 500 and the NASDAQ exhibited the year’s strongest bullish trends and mitigated losses. The Fund ended the year still long equities, but less so given the aforementioned environment.
In fixed income, the Fund entered the year broadly short bonds, and short interest rate futures in the U.K. and long in the U.S. This positioning met markets displaying a flight to safety as Russia-Ukraine tensions took markets by surprise, causing a reversal (rally) in many bond markets. Thereafter, fixed income markets displayed varying degrees of sensitivity to economic and central bank policy divergences across the globe. Despite divergences, weak inflation across the globe remained a fundamental driver of fixed income market rallies. Most global fixed income markets saw sustained bull trends, particularly in Europe and Japan, which drove gains for the Fund. In the U.S., the key dynamic was the ending of quantitative easing and the market’s debate around the timing of interest rate increases. U.S. fixed income markets generally saw several reversals throughout the year as a result and detracted from performance. The strategy ended long fixed income across bond and interest rate markets, with overextended signals mitigating the overall position size.
In commodities, the Fund entered the year with mixed positions across commodities but short on average, with shorts in metals and some grains, such as corn and wheat. The bear trend in oil and related commodities drove most of the year’s gains for the overall Fund, though significant contributions also came from being short sugar and corn. Oil actually started the year with positive returns, leading the Fund to be positioned long in the second quarter. In the first half of 2014, ongoing risks in the Ukraine and the Middle East, and a cold U.S. winter supported higher prices despite oversupply in some markets. The Fund turned short, however, in the third quarter as the price trend turned negative, and it was sustained during the entire second half of 2014. Supply outpacing demand dominated in the second half, as U.S. daily production hit its highest level since the 1970s and OPEC decided not to cut production in the face of falling prices. Easing global demand was also a factor, as leading indicators for China’s manufacturing sector fell amid slowing GDP growth, Japan slipped into a technical recession and macro data out of the Eurozone signaled prospects for deflation. Agricultural commodities also exhibited a strong bear trend in the third quarter, but reversed course and rallied in the fourth quarter. The Fund ended the year still short commodities, but less so as overextended signals reduced the size of oil shorts, and the late rally in grains flattened the view in agricultural commodities.
In currency markets, the Fund entered the year with shorts in the Japanese yen and longs in the euro. Currency markets displayed a lack of clear trends in the first half of the year, while a strong bull trend in the U.S. dollar characterized the second half. Central bank divergences were primary factors, with the U.S. ending quantitative easing, while the BOJ and ECB took measures to increase monetary stimulus, causing their currencies to depreciate against the dollar. Falling energy prices also caused declines in commodity-export sensitive currencies, such as the Russian ruble, Norwegian krone, Canadian dollar and Mexican peso, all against the U.S. dollar. The U.S. dollar trend began in the third quarter and continued into year-end and was the primary driver of returns. Non-dollar crosses, such as in the Japanese yen, detracted as they exhibited reversals throughout the year. The Fund ended the year long the U.S. dollar against most major and emerging market currency crosses, though overextended signals mitigated the overall position size.
It was a strong year for the Fund, but we do note our underperformance relative to the Newedge Trend Index in 2014 after strongly outperforming in 2013, all due to the diversification emphasized in our portfolio construction. While the Fund’s diversification helped in 2013, primarily by being diversified in non-U.S. dollar crosses, the same factor cost the Fund in 2014. Other sources of underperformance included having overextended signals, which were short every major asset class in 2014. This hurt in fixed income, U.S. dollar crosses and equities, but being short commodities mitigated the impact. Finally, we strategically target equal risk balance across our trend signals, while our analysis of the industry indicates peers may be more
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
17
Shareholder Letter (Unaudited)
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
concentrated in fixed income trends. As these were among the best performing trends in 2014, the Fund underperformed its peers. Overall, we will continue to emphasize diversification as we believe it allows for better risk management and overall investor experience. While it may lead to periods of short-term underperformance, we believe a well-diversified portfolio will outperform on a risk-adjusted basis in the long run.
To summarize, it was a strong year for trend following and for our strategy, with three of the four asset classes contributing positively, and short-term and long-term signals contributing as well.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR MANAGED FUTURES STRATEGY HV FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QMHIX | | | 14.68% | | | | 15.88% | | | | 7/16/2013 | |
Fund - Class N: QMHNX | | | 14.37% | | | | 15.59% | | | | 7/16/2013 | |
Fund - Class R6: QMHRX | | | na | | | | 19.94% | | | | 9/2/2014 | |
| | | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.04% | | | | 7/16/2013 | |
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 2.58%, 4.10% and 2.52%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | |
AQR MANAGED FUTURES STRATEGY HV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 7/16/2013 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
18
Shareholder Letter (Unaudited)
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
John Liew
Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Lars Nielsen
Principal
Mark Mitchell, Ph.D.
Founding Principal, CNH Partners
Todd Pulvino, Ph.D.
Founding Principal, CNH Partners
Dear Shareholder:
The AQR Multi-Strategy Alternative Fund (the “Fund”) attempts to provide attractive risk-adjusted returns by providing exposure to a broadly diversified portfolio of classic, relative-value alternative strategies. We include strategies that are liquid and which can be built to be low-to-uncorrelated with traditional markets, something we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture in addition to positions.
Our focus on providing a broadly diversified portfolio starts with including nine major categories in our Fund. They are Long/Short Equity, Equity Market Neutral, Dedicated Short Bias, Emerging Markets, Convertible Arbitrage, Event Driven, Global Macro, Managed Futures and Fixed Income Relative Value. We believe that each of these categories offers good long term risk-adjusted returns, but they each go through periods of market gains and declines. The key is that they historically go through ups and downs at different times, thus allowing us to potentially benefit by diversifying across the nine categories and with the goal of generating more consistent long-term performance. Underlying the nine major categories are approximately 60 strategies that make up the economic themes and classic strategies within the Fund. Each strategy is built from the bottom up by internal, experienced teams at AQR.
Our portfolio construction approach is to be as diversified and balanced as possible, starting with equal risk weighting as a baseline and then making small tactical tilts around the strategic risk allocation when we think strategies are conditionally attractive or unattractive. Because we are trading in these markets daily and because all of the strategies are managed in one portfolio, we can stay disciplined about rebalancing to our strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.
We target 10% annual volatility in the Fund.
The Fund’s Class I shares returned +7.31% in 2014. For the year, the Fund realized 6.4% annualized daily volatility and a 0.4 correlation to equities. The Fund’s benchmark, the Merrill Lynch 3-Month Treasury Bill Index, had a slight positive return of +0.03%. The hedge fund industry, as measured by its major indices, also posted positive but moderate returns, with the Credit Suisse Hedge Fund Index (“CS Index”) gaining +4.14% and the HFRI Fund Weighted Composite Index (“HFRI Index”) gaining +3.33% net of fees for the year. These indices have both had monthly correlations to global equities, as represented by the MSCI World Index, of 0.8 in the past 24 months.
Five of the Fund’s nine strategies had positive results for the year. Stock selection strategies in aggregate were the largest source of profits, particularly the Equity Market Neutral strategy. The Managed Futures and Global Macro strategies also contributed positively while the suite of arbitrage strategies detracted.
Following is a more detailed review of the performance of the categories with notable contributions.
Stock Selection Strategies – Equity Market Neutral (+3.8%), Long/Short Equity (+1.6%) and Dedicated Short Bias (+1.4%) were strong contributors, with Equity Market Neutral being the top performing strategy for the second year in a row. The net effect of the directional components of Long/Short Equity and Dedicated Short Bias was just +0.2%, with the remaining stock selection gains all coming from market neutral themes within the three strategies. Nearly all of the underlying themes produced gains for the year. The largest thematic contributions, in descending order of magnitude, were value, investor sentiment, accounting-oriented quality, and growth.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
19
Shareholder Letter (Unaudited)
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
Managed Futures (+2.3%) – Gains were primarily a result of commodity shorts, particularly in energy markets. Trend following was also profitable in bonds, which were all positioned long during the entire second half of the year. Currencies produced trend following profits from generally being short currencies against the U.S. dollar. Equity indices produced losses as October equity market reversals were problematic for the strategy.
Global Macro ( +0.4%) – Similar to Managed Futures, Global Macro gains were also attributable to commodities and currencies while equity indices detracted, but these gains and losses were the result of relative value strategies. In both commodities and currencies, all themes traded helped produce profits; in equity indices, both momentum and value detracted.
Emerging Markets (-0.6%) – Losses came from relative value strategies in currencies, equity indices and stock selection. Long Russian equity indices and short Indian equity indices were both unprofitable trades. We stopped trading Russian equity indices mid-year due to concerns over liquidity and the domicile of margin balances. In currency trading, losses generally came from being short currencies that are more sensitive to the U.S. dollar and U.S. economy and long currencies that have greater sensitivities to Europe.
Fixed Income Relative Value (-1.0%) – The relative value sovereign bond strategy was the primary source of losses, which were largely the result of negative contributions from value and carry themes. The bond strategy was generally positioned long underperforming U.S. Treasuries (+3.1%), driven by value and carry themes, and short outperforming bond markets such as Australia (+12.9%) and the U.K. (+12.2%). Australian bond shorts were a result of poor carry characteristics related to the slope of the yield curve and the U.K. short positioning resulted primarily from poor relative momentum. Momentum in U.K. bonds reversed in the fourth quarter and the Fund was positioned long those bonds in the last four months of the year. The relative value short-term interest rate strategy and the rate-based currency strategy both produced less significant losses.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR MULTI-STRATEGY ALTERNATIVE FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: ASAIX | | | 7.31% | | | | 3.28% | | | | 7/18/2011 | |
Fund - Class N: ASANX | | | 7.03% | | | | 3.02% | | | | 7/18/2011 | |
Fund - Class R6: QSARX | | | na | | | | 6.19% | | | | 9/2/2014 | |
| | | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.07% | | | | 7/18/2011 | |
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 3.36%, 3.64% and 3.30%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
20
Shareholder Letter (Unaudited)
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
|
AQR MULTI-STRATEGY ALTERNATIVE FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 7/18/2011 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
21
Shareholder Letter (Unaudited)
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
Brian Hurst
Principal
Yao Hua Ooi
Principal
Ari Levine
Vice President
Dear Shareholder:
The AQR Risk Balanced Commodities Fund’s (the “Fund”) Class I shares returned -15.80% in 2014, as commodities across the board experienced extreme sell-offs. Energies, in particular, exhibited significant declines, as West Texas Intermediate (“WTI”) and Brent crude fell -43% and -48%, respectively. The decline was driven by supply considerations, as U.S. production continued to soar and OPEC maintained its production quota. In addition, concerns about weaker demand, particularly in China and Europe, also fueled the depreciation. Grains fell on average in 2014, with losses concentrated in the middle of the year. In general, accommodating weather, strong crop conditions and forecasts for a bumper harvest resulted in underperformance of the sector during 2Q and 3Q. Base metals also sold off, as copper and aluminum fell -5% and -6%, respectively. Early in the year, moderating Chinese growth and fears that copper-based financing deals might unravel put pressure on the complex. In 4Q, the sector fell meaningfully on lower energy costs and continued demand weakness in China, where we saw weaker-than-expected economic data. Precious metals declined on average in 2014 despite gains early in the year – in 1Q, precious metals rallied on increasing geopolitical risk, weakening macroeconomic data and increasing demand from emerging countries. However, during 3Q and 4Q, the sector fell significantly on expectations of a U.S. Federal Reserve Bank (“Fed”) rate hikes given stronger U.S. economic data.
While the Class I shares declined -15.80% in 2014, the Fund’s benchmark, the Bloomberg Commodity Index (“BCOM”) declined -17.01%. This brings our cumulative since-inception (7/9/2012) underperformance to -5.02%. We believe the Fund can outperform traditional passive indices over the long term, but in any given year we expect the Fund to average a sizable tracking error of about 10% per year to its benchmark. The “since inception” underperformance is not abnormally high given an expected annual tracking error of 10% to the benchmark.
The outperformance in 2014 relative to the passive BCOM benchmark was due to a number of fund features. The largest source of outperformance was the Fund’s risk-balanced strategic allocation, which is more exposed to precious metals and less exposed to energies than the passive benchmark. Given the significant declines in energies in 2014, the Fund’s sector allocation significantly contributed to relative outperformance. Tactical models also contributed to relative performance, with gains driven primarily by tilts in energies and grains. In contrast, the Fund’s risk-targeted allocation detracted from relative performance. The Fund maintained an average net exposure of greater than 100% during the year in order to target steady volatility, which resulted in underperformance versus the passive index given the extreme price declines. Our drawdown control process, however, reduced the Fund’s long-run risk target throughout 2014, mitigating this underperformance.
The Fund began the year at a volatility target of 11.4%, reflecting a lowered strategic risk target due to drawdown control. The drawdown-control process was also active in 2014 and modulated the long-run risk throughout the year. Ultimately, at year-end, the volatility target of the Fund was 9.5%, reflecting both drawdown control and bearish tactical views on commodities.
The strategic portion of the portfolio returned -18.7% while tactical tilts added +2.9%. The strategic return in this attribution is the return to a long-only portfolio with risk-balanced sector weights and an annual volatility target of 18% (subject to drawdown control). The tactical returns are the active returns to commodity over- and underweights relative to this strategic portfolio.
The main contributors to tactical performance were our tilts in energies throughout the year. Generally, technical signals were bearish in the sector during the second half of the year, when energies declined significantly across the board. In addition, risk-premia metrics preferred WTI to Brent crude, also contributing to performance late in the year. Underweights in agricultural commodities also contributed meaningfully, particularly in 3Q, when corn, soy and wheat declined -26%, -21%, and -20%, respectively. These underweights were also driven by bearish technical signals.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
22
Shareholder Letter (Unaudited)
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
At year-end, the Fund’s tactical positioning reflected bearish views on commodities as a whole due to technical weakness. Specifically, trend-following signals contributed to underweights given the poor performance of the asset class in 2014. Within energies, we prefer WTI crude relative to the rest of the complex, mostly on valuation (given WTI’s underperformance relative to refined products more recently). In addition, curve shape metrics viewed WTI more favorably than Brent crude (the Brent futures curve implies a more negative roll yield). Within grains, tactical signals were underweight wheat relative to the other grains, on a combination of momentum, value and risk premia. Within base metals, major positioning is long aluminum and short copper on a combination of price based momentum and inventory metrics. At the sector level, we are generally short natural gas versus base and precious metals, driven mostly by risk-premia and momentum signals.
The Fund finished its second full year with unfortunately poor absolute returns. However, the Fund’s risk-balanced approach helped it to outperform the BCOM benchmark. While short term results can be noisy, in the long term we believe the Fund’s broader diversification, strong risk management and active commodity selection can ultimately deliver more steady volatility and strong returns across market environments.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK-BALANCED COMMODITIES STRATEGY FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: ARCIX | | | -15.80% | | | | -13.50% | | | | 7/9/2012 | |
Fund - Class N: ARCNX | | | -16.08% | | | | -13.70% | | | | 7/9/2012 | |
Fund - Class R6: QRCRX | | | na | | | | -18.72% | | | | 9/2/2014 | |
| | | |
Bloomberg Commodity Total Return Index* | | | -17.01% | | | | -11.04% | | | | 7/9/2012 | |
| | * | Formerly known as the Dow-Jones UBS Commodity Index. |
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 1.40%, 1.78% and 1.31%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
23
Shareholder Letter (Unaudited)
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
|
AQR RISK-BALANCED COMMODITIES STRATEGY FUND VS. BLOOMBERG COMMODITY TOTAL RETURN 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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
24
Shareholder Letter (Unaudited)
John Liew
Founding Principal
Brian Hurst
Principal
Michael Mendelson
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
Through the use of derivatives such as futures and swaps, the AQR Risk Parity Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, fixed income and currencies, global credit (corporate, government and mortgage), and commodities – in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters too much. Risk Parity investing involves allocating investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These views determine over- and underweights across a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.
The Fund is expected to remain long all of the markets in which we invest while averaging a moderate (under 0.5 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. We started the year at slightly below the 10% long-term average as unusually low levels of volatility kept exposures elevated to the point where position limits were activated in most asset classes. However, by the end of the year the Fund’s volatility was close to its long-term target as volatility increased in both commodities and equities, while bullish tactical views in fixed income led us to be overweight.
Total exposures ended the year higher than they began the year, primarily driven by an increase in nominal bond exposure from our tactical views shifting from underweight to overweight. Equities and credit exposures ended the year in about the same place as they began, while commodities ended with meaningfully lower exposures due to increasing volatility and bearish tactical views. With these moves, the Fund went from a 0.70 beta versus the S&P 500 Index at the end of 2013 to a 0.36 beta at the end of 2014. For the year ended December 31, 2014, the Fund’s Class I shares returned +7.04% and realized an annualized volatility of 7.41%. During this period, the Fund’s benchmark the Merrill Lynch 3-Month Treasury Bill Index returned +0.03% and a “60/40 benchmark” consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned +10.62% at an average realized volatility of 6.51%. The Fund’s net assets across all share classes were over $620 million at the end of 2014. The Fund experienced gains in three of the four major asset class buckets for the full year. To the net total return of +7.04% for 2014, equities contributed +1.44%, fixed income contributed +7.91%, inflation-sensitive assets detracted -4.27%, and credit assets added +1.96%. Tactical tilts detracted from performance in all asset classes except inflation-sensitive assets.
Developed equities were positive contributors to the Fund on the year, driven primarily by the U.S., where economic data continued to improve throughout the year. International equity markets also finished the year modestly positive but economic fundamentals diverged from the U.S. amid the threat of recession in Europe and Japan. Emerging markets equities ended slightly positive for the year with mixed performance across countries. Commodity exporters like Brazil suffered losses, while China outperformed emerging markets after policymakers took steps to boost credit growth and signaled a commitment to market reforms by increasing foreign access to domestic equity markets.
Tactical tilts within equities detracted from overall fund performance on the year, driven mostly from sudden trend reversals in the fourth quarter. Equity market losses in early October weakened the 1- and 3-month momentum signals leading to underweights just before the market rebounded. Asset class timing offset some of the losses as we have remained overweight the equity basket for the
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
25
Shareholder Letter (Unaudited)
majority of the year based on positive long-term valuation and momentum factors. Within emerging markets performance from tactical tilts was roughly flat on the year. Overweights in China based on relatively positive fundamentals and improving 12-month momentum added to returns. Going forward, the portfolio remains relatively underweight South Africa and South Korea and overweight China and Taiwan based on attractive fundamental valuations.
Developed bond markets saw strong positive returns over the year, registering gains for the Fund in each quarter. Entering 2014, most forecasters expected U.S. rates to rise during the year due to the Federal Reserve Bank tapering asset purchases. Instead, falling inflation, slowing global growth, geopolitical uncertainty in Russia and the Middle East, and accommodative monetary policies outside the U.S. resulted in falling bond yields. German Bund yields also fell as the ECB increased efforts to help the struggling Eurozone economy. Finally, in Japan, bonds rallied as the economy slipped into a recession after a consumer tax increase stalled the economy, prompting additional stimulus measures.
Within our tactical models, fixed income detracted from performance on the year as even lower real yields did nothing to help our already bearish asset class timing view. Relative value views were also a drag on returns as overweights in countries with relatively steep yield curves like the U.S. and U.K. underperformed countries with flatter yield curves like Japan and Germany, where we were underweight. However, trend following signals were positive contributors to performance on the year, especially in the fourth quarter, as the price momentum turned strongly bullish over all possible timeframes. While the bearish timing views resulted in underweights early in the year, the effect of positive momentum has increased the attractiveness of the asset class enough to constitute a modest overweight position going forward into the new year.
Commodities were the largest drag on Fund performance this year, led by the energy sector which suffered from excess supply and weak demand. In the first half of the year, bad weather and geopolitical risks drove commodities higher, but record harvests and increased energy production in the U.S. sent prices lower in the second half. As oil prices were falling, OPEC announced that it would not be cutting production, triggering a significant sell-off in Brent WTI crude-oil benchmarks. Metals were also down modestly this year on soft demand from Europe and China. On the other hand, inflation-linked bonds provided positive returns to the inflation-sensitive part of the Fund. Real yields fell throughout the year for many of the same reasons as nominal bond yields, stagnating global growth, easy monetary policy and heightened geopolitical risk. However, nominal bond yields fell faster as inflation expectations edged lower, sending break-even yields to multi-year lows.
Our tactical strategies added value in commodities by staying underweight throughout the second half of the year. Outperformance was driven primarily from negative price momentum signaling bearish views on multiple horizons. A stronger dollar indicated weak fundamentals contributing to the underweight position on the commodity basket. Moving forward the only overweight position is aluminum, where low inventory levels have created a bullish signal. Inflation-linked bond views detracted from overall Fund returns, as we remained underweight the entire year. The underweight is driven by weak valuation signals as real yields and forecasts for economic growth both moved lower.
Developed credit performed well in 2014, with returns from credit contributing positively in all but the third quarter. In the U.S. gains were driven from earning modestly positive returns on carry, as spreads remained relatively steady throughout the year. In Europe, high-yield credit markets rallied in the first half of the year as some economic growth data improved in the peripheral countries. As the year pressed on and growth slowed in the whole of Europe, high yield held onto its early gains as expectations for ECB intervention stabilized spreads. Emerging-market currencies struggled against the dollar, pressuring monetary authorities to tighten monetary policy despite low inflation and growth levels. However, emerging currencies mostly strengthened against the much weaker euro, therefore softening the impact to our currencies basket and resulting in a flat return contribution for the year.
Within high yield our tactical tilts were slight detractors over the year, primarily driven by valuation based underweights due to tight spreads from all the way back in the first quarter. Since then our views have been relatively neutral as the bearish value signals have been offset by fundamental momentum signals while trend following has wavered back and forth based on recent performance. Emerging currency tilts were also negative contributors on the year with Brazil and Turkey being the largest detractors as high relative cash rates and positive momentum from early in the year led to overweight positions and those currencies weakened considerably in the second half.
This year was a good example of how risk parity is beneficial to a portfolio. Despite the Fund modestly underperforming its 60/40 benchmark, the Fund’s performance was within the normal range of expected performance. The Fund earned positive returns from three out of four sources of risk premia. Most importantly it was able to earn these gains without concentrating risk in any one asset class adding diversified returns to traditional portfolios. Going forward, we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
26
Shareholder Letter (Unaudited)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK PARITY FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: AQRIX | | | 7.04% | | | | 7.12% | | | | 9/30/2010 | |
Fund - Class N: AQRNX | | | 6.69% | | | | 6.81% | | | | 9/30/2010 | |
Fund - Class R6: AQRRX | | | na | | | | -3.96% | | | | 9/2/2014 | |
| | | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.37% | | | | 9/30/2010 | |
| | | |
60% S&P 500 Index/40% Barclays Capital Aggregate Bond Index | | | 10.62% | | | | 11.69% | | | | 9/30/2010 | |
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 0.95%, 1.26% and 0.90%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR RISK PARITY FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX/60% S&P 500 INDEX/40%
BARCLAYS CAPITAL AGGREGATE BOND INDEX VALUE OF $10,000 INVESTED ON 9/30/2010 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
27
Shareholder Letter (Unaudited)
| | |
| AQR RISK PARITY II HV FUND | | |
John Liew
Founding Principal
Brian Hurst
Principal
Michael Mendelson
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
Through the use of derivatives such as futures and swaps, the AQR Risk Parity II HV Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, fixed income, and commodities – in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters too much. Risk Parity investing involves allocating investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected return models, which include signals based on carry, momentum, valuation, and other important economic variables. These views determine over- and underweights across a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.
The Fund is expected to remain long all of the markets in which we invest while averaging a moderate (under 0.7 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 15%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. We started the year at slightly below the 15% long-term average as unusually low levels of volatility kept exposures elevated to the point where position limits were activated in most asset classes. However, by the end of the year the Fund’s volatility was close to its long-term target as volatility increased in both commodities and equities, while bullish tactical views in fixed income led us to be overweight.
Total exposures ended the year at about the same level where they began the year, although there was a large increase in nominal bond exposure because our tactical views shifted from underweight to overweight. However, somewhat decreased equity exposure and meaningfully lower commodities exposures due to increasing volatility and bearish tactical views more than offset the increase in nominal risk. With these moves, the Fund went from a 0.70 beta versus the S&P 500 Index at the end of 2013 to a 0.42 beta at the end of 2014. For the year ended December 31, 2014, the Fund’s Class I shares returned +9.23% and realized an annualized volatility of 7.41%. During this period, the Fund’s benchmark the Merrill Lynch 3-Month Treasury Bill Index returned +0.03% and a “60/40 benchmark” consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned +10.62% at an average realized volatility of 6.51%. The Fund’s net assets across all share classes were over $50 million at the end of 2014. The Fund experienced gains in two of the three major asset class buckets for the full year. To the net total return of +9.23% for 2014, equities contributed +4.08%, fixed income contributed +13.31%, and inflation-sensitive assets detracted -8.16%. Tactical tilts detracted from performance in equities and fixed income, but added in inflation-sensitive assets.
Developed equities were positive contributors to the Fund on the year, driven primarily by the U.S., where economic data continued to improve throughout the year. International equity markets also finished the year modestly positive but economic fundamentals diverged from the U.S. amid the threat of recession in Europe and Japan. Emerging markets equities ended slightly positive for the year with mixed performance across countries. Commodity exporters like Brazil suffered losses, while China outperformed emerging markets after policymakers took steps to boost credit growth and signaled a commitment to market reforms by increasing foreign access to domestic equity markets.
Tactical tilts within equities detracted from overall fund performance on the year, driven mostly from sudden trend reversals in the fourth quarter. Equity market losses in early October weakened the 1- and 3-month momentum signals leading to underweights just before the market rebounded. Asset
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
28
Shareholder Letter (Unaudited)
| | |
| AQR RISK PARITY II HV FUND | | |
class timing offset some of the losses as we have remained overweight the equity basket for the majority of the year based on positive long-term valuation and momentum factors. Within emerging markets, performance from tactical tilts was roughly flat on the year. Overweights in China based on relatively positive fundamentals and improving 12-month momentum added to returns. Going forward, the portfolio remains relatively underweight South Africa and South Korea and overweight China and Taiwan based on attractive fundamental valuations.
Developed bond markets saw strong positive returns over the year, registering gains for the Fund in each quarter. Entering 2014, most forecasters expected U.S. rates to rise during the year due to the Federal Reserve Bank tapering asset purchases. Instead, falling inflation, slowing global growth, geopolitical uncertainty in Russia and the Middle East, and accommodative monetary policies outside the U.S. resulted in falling bond yields. German Bund yields also fell as the ECB increased efforts to help the struggling Eurozone economy. Finally, in Japan, bonds rallied as the economy slipped into a recession after a consumer tax increase stalled the economy, prompting additional stimulus measures.
Within our tactical models, fixed income detracted from performance on the year as even lower real yields did nothing to help our already bearish asset class timing view. Relative value views were also a drag on returns as overweights in countries with relatively steep yield curves like the U.S. and U.K. underperformed countries with flatter yield curves like Japan and Germany, where we were underweight. However, trend following signals were positive contributors to performance on the year, especially in the fourth quarter, as the price momentum turned strongly bullish over all possible timeframes. While the bearish timing views resulted in underweights early in the year, the effect of positive momentum has increased the attractiveness of the asset class enough to constitute a modest overweight position going into the new year.
Commodities were the largest drag on Fund performance this year, led by the energy sector, which suffered from excess supply and weak demand. In the first half of the year, bad weather and geopolitical risks drove commodities higher, but record harvests and increased energy production in the U.S. sent prices lower in the second half. As oil prices were falling, OPEC announced that it would not be cutting production, triggering a significant sell-off in Brent and WTI crude-oil benchmarks. Metals were also down modestly this year on soft demand from Europe and China. On the other hand, inflation-linked bonds provided positive returns to the inflation-sensitive part of the Fund. Real yields fell throughout the year for many of the same reasons as nominal bond yields, stagnating global growth, easy monetary policy, and heightened geopolitical risk. However, Nominal bond yields fell faster as inflation expectations edged lower, sending break-even yields to multi-year lows.
Our tactical strategies added value in commodities by staying underweight throughout the second half of the year. Outperformance was driven primarily from negative price momentum signaling bearish views on multiple horizons. A stronger dollar indicated weak fundamentals contributing to the underweight position on the commodity basket. Moving forward the only overweight position is aluminum, where low inventory levels have created a bullish signal. Inflation-linked bond views detracted from overall Fund returns, as we remained underweight the entire year. The underweight is driven by weak valuation signals as real yields and forecasts for economic growth both moved lower.
This year was a good example of how risk parity is beneficial to a portfolio. Despite the Fund underperforming its 60/40 benchmark, the Fund’s performance was within the normal range of expected performance. The Fund earned positive returns from two out of three sources of risk premia. Most importantly it was able to earn these gains without concentrating risk in any one asset class adding diversified returns to traditional portfolios. Going forward we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
29
Shareholder Letter (Unaudited)
| | |
| AQR RISK PARITY II HV FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK PARITY II HV FUND | | | | | | | | | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QRHIX | | | 9.23% | | | | 3.96% | | | | 11/5/2012 | |
Fund - Class N: QRHNX | | | 9.02% | | | | 3.70% | | | | 11/5/2012 | |
Fund - Class R6: QRHRX | | | na | | | | -5.10% | | | | 9/2/2014 | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.14% | | | | 11/5/2012 | |
| | | |
60% S&P 500 Index/40% Barclays Capital Aggregate Bond Index | | | 10.62% | | | | 13.33% | | | | 11/5/2012 | |
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 1.91%, 2.28% and 1.87%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR RISK PARITY II HV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX/60% S&P 500 INDEX/40%
BARCLAYS CAPITAL AGGREGATE BOND INDEX VALUE OF $10,000 INVESTED ON 11/5/2012 |
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 | | | | | | December 2014 | | |
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30
Shareholder Letter (Unaudited)
| | |
| AQR RISK PARITY II MV FUND | | |
John Liew
Founding Principal
Brian Hurst
Principal
Michael Mendelson
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
Through the use of derivatives such as futures and swaps, the AQR Risk Parity II MV Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, fixed income, and commodities – in an attempt to build a truly diversified portfolio where all asset classes matter, but no one asset class matters will drive the overall returns of the Fund too much. Risk Parity investing involves allocating investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks associated with investments in the capital markets, and enables the investor to remain invested through more difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected return models, which include signals based on carry, momentum, valuation, and other important economic variables. These views determine over- and underweights across a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.
The Fund is expected to remain long in all of the markets in which we invest while averaging a moderate (under 0.5 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes we trade. We started the year at slightly below the 10% long term average as unusually low levels of volatility kept exposures elevated to the point where position limits were activated in most asset classes. However, by the end of the year the Fund’s volatility was close to its long-term target as volatility increased in both commodities and equities, while bullish tactical views in fixed income led us to be overweight.
Total exposures ended the year at about the same level where they began the year, although there was a large increase in nominal bond exposure because our tactical views shifted from underweight to overweight. However, somewhat decreased equity exposure and meaningfully lower commodities exposures due to increasing volatility and bearish tactical views more than offset the increase in nominal risk. With these moves, the Fund went from a 0.57 beta versus the S&P 500 Index at the end of 2013 to a 0.26 beta at the end of 2014. For the year ended December 31, 2014, the Fund’s Class I shares returned +6.04% and realized an annualized volatility of 7.41%. During this period, the Fund’s benchmark the Merrill Lynch 3-Month Treasury Bill Index returned +0.03% and a “60/40 benchmark” consisting of 60% S&P 500 Index/40% Barclays U.S. Aggregate Bond Index returned +10.62% at an average realized volatility of 6.51%. The Fund’s net assets across all share classes were over $114 million at the end of 2014. The Fund experienced gains in two of the three major asset class buckets for the full year. To the net total return of +6.14% for 2014, equities contributed +2.50%, fixed income contributed +8.60%, and inflation-sensitive assets detracted -5.06%. Tactical tilts detracted from performance in equities and fixed income, but added in inflation-sensitive assets.
Developed equities were positive contributors to the Fund on the year, driven primarily by the U.S. where economic data continued to improve throughout the year. International equity markets also finished the year modestly positive but economic fundamentals diverged from the U.S. amid the threat of recession in Europe and Japan. Emerging markets equities ended slightly positive for the year with mixed performance across countries. Commodity exporters like Brazil suffered losses, while China outperformed emerging markets after policymakers took steps to boost credit growth and signaled a commitment to market reforms by increasing foreign access to domestic equity markets.
Tactical tilts within equities detracted from overall fund performance on the year, driven mostly from sudden trend reversals in the fourth quarter. Equity market losses in early October weakened the 1- and 3-month momentum signals leading to underweights just before the market rebounded. Asset
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
31
Shareholder Letter (Unaudited)
| | |
| AQR RISK PARITY II MV FUND | | |
class timing offset some of the losses as we have remained overweight the equity basket for the majority of the year based on positive long-term valuation and momentum factors. Within emerging markets performance from tactical tilts was roughly flat on the year. Overweight’s in China based on relatively positive fundamentals and improving 12-month momentum added to returns. Going forward the portfolio remains relatively underweight South Africa and South Korea and overweight China and Taiwan based on attractive fundamental valuations.
Developed bond markets saw strong positive returns over the year, registering gains for the Fund in each quarter. Entering 2014, most forecasters expected U.S. rates to rise during the year due to the Federal Reserve Bank tapering asset purchases. Instead, falling inflation, slowing global growth, geopolitical uncertainty in Russia and the Middle East, and accommodative monetary policies outside the U.S. resulted in falling bond yields. German Bund yields also fell as the ECB increased efforts to help the struggling Eurozone economy. Finally, Japan, bonds rallied as the economy slipped into a recession after a consumer tax increase stalled the economy, prompting additional stimulus measures.
Within our tactical models fixed income detracted from performance on the year as even lower real yields did nothing to help our already bearish asset class timing view. Relative value views were also a drag on returns as overweights in countries with relatively steep yield curves like the U.S. and U.K. underperformed countries with flatter yield curves like Japan and Germany where we were underweight. However, trend following signals were positive contributors to performance on the year, especially in the fourth quarter, as the price momentum turned strongly bullish over all possible timeframes. While the bearish timing views resulted in underweights early in the year, the effect of positive momentum has increased the attractiveness of the asset class enough to constitute a modest overweight position going into the new year.
Commodities were the largest drag on Fund performance this year, led by the energy sector which suffered from excess supply and weak demand. In the first half of the year, bad weather and geopolitical risks drove commodities higher, but record harvests and increased energy production in the U.S. sent prices lower in the second half. As oil prices were falling, OPEC announced that it would not be cutting production, triggering a significant sell-off in Brent and WTI crude-oil benchmarks. Metals were also down modestly this year on soft demand from Europe and China. On the other hand, inflation-linked bonds provided positive returns to the inflation-sensitive part of the Fund. Real yields fell throughout the year for many of the same reasons as nominal bond yields, stagnating global growth, easy monetary policy, and heightened geopolitical risk. However, Nominal bond yields fell faster as inflation expectations edged lower, sending break-even yields to multi-year lows.
Our tactical strategies added value in commodities by staying underweight throughout the second half of the year. Outperformance was driven primarily from negative price momentum signaling bearish views on multiple horizons. A stronger dollar indicated weak fundamentals contributing to the underweight position on the commodity basket. Moving forward the only overweight position is Aluminum where low inventory levels have created a bullish signal. Inflation-linked bond views detracted from overall Fund returns, as we remained underweight the entire year. The underweight is driven by weak valuation signals as real yields and forecasts for economic growth both moved lower.
This year was a good example of how risk parity is beneficial to a portfolio. Despite the Fund underperforming its 60/40 benchmark, the Fund’s performance was within the normal range of expected performance. The Fund earned positive returns from two out of three sources of risk premia. Most importantly it was able to earn these gains without concentrating risk in any one asset class adding diversified returns to traditional portfolios. Going forward we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
32
Shareholder Letter (Unaudited)
| | |
| AQR RISK PARITY II MV FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR RISK PARITY II MV FUND | | | | | | | | | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QRMIX | | | 6.04% | | | | 3.00% | | | | 11/5/2012 | |
Fund - Class N: QRMNX | | | 5.87% | | | | 2.71% | | | | 11/5/2012 | |
Fund - Class R6: QRMRX | | | na | | | | -3.44% | | | | 9/2/2014 | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.14% | | | | 11/5/2012 | |
| | | |
60% S&P 500 Index/40% Barclays Capital Aggregate Bond Index | | | 10.62% | | | | 13.33% | | | | 11/5/2012 | |
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 1.23%, 1.64% and 1.19%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR RISK PARITY II MV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX/60% S&P 500 INDEX/40%
BARCLAYS CAPITAL AGGREGATE BOND INDEX VALUE OF $10,000 INVESTED ON 11/5/2012 |
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 | | | | | | December 2014 | | |
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33
Shareholder Letter (Unaudited)
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
Jacques Friedman
Principal
Ronen Israel
Principal
Andrea Frazzini
Principal
Michael Katz
Principal
Dear Shareholder:
The AQR Style Premia Alternative Fund (the “Fund”) attempts to provide attractive risk-adjusted returns by providing exposure to a broadly diversified portfolio of classic, relative-value alternative strategies capturing the performance of four major styles across a variety of asset groups including stocks, country equity indices, fixed income, currencies and commodities. We include strategies that are liquid and have historically low correlation with traditional markets, which we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture, in addition to disclosing the actual positions we take.
The four major styles captured in the Fund are Value, Momentum, Carry and Defensive. Each of the four styles, implemented across asset groups, has an economic intuition or rationale, be it risk-based or behavioral-based. Value involves buying assets that are “cheap” relative to their fundamental value and selling “expensive” assets. Momentum entails buying assets that recently outperformed their peers and selling those that recently underperformed. Carry implies buying high-yielding assets and selling low-yielding assets. Defensive consists of buying low-risk, high-quality assets and selling high-risk, low-quality assets.
The Fund’s portfolio construction approach is to be diversified with a baseline risk weighting that is balanced across styles and asset groups, taking into consideration liquidity and breadth among other dimensions of risk. Small tactical tilts are implemented around the strategic risk allocation when strategies are conditionally attractive or unattractive. Because the Fund trades in these markets daily and all of the strategies are managed in one portfolio, it can stay disciplined about rebalancing to strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.
The Fund’s Class I shares returned +11.30% in 2014. The Fund’s benchmark, the Merrill Lynch 3 Month Treasury Bill Index, had a slight positive return of +0.03% over this period. The Fund targets 10% annual volatility.
Two of the Fund’s four styles had positive results for the period. The Defensive style was the top contributor, with gains from stocks, fixed income, and equity indices trading. The Momentum style also contributed with profits in fixed income, commodities, and currencies. The Value and Carry styles detracted from performance. Carry detracted in fixed income, commodities, and was flat in currencies. Value detracted in fixed income and equity indices, but added in stocks, currencies, and commodities.
Performance was mostly positive across asset groups with fixed income and equity indices experiencing losses. Stock trading produced the best results, contributing almost 100% to the positive performance for the period. Stock trading benefited from Defensive and Value themes, while Momentum was flat. The next-best contributor was commodities, followed by currencies trading. In commodities, both Value and Momentum offered positive contributions. The biggest asset group detractor was fixed income, driven by Value and Carry. Commodities and currencies, which had positive contributions for the year, roughly offset the negative performance from equity indices and fixed income.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
34
Shareholder Letter (Unaudited)
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR STYLE PREMIA ALTERNATIVE FUND | | | | | | | | | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QSPIX | | | 11.30% | | | | 13.40% | | | | 10/30/2013 | |
Fund - Class N: QSPNX | | | 11.08% | | | | 13.17% | | | | 10/30/2013 | |
Fund - Class R6: QSPRX | | | na | | | | 7.67% | | | | 9/2/2014 | |
| | | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.03% | | | | 0.05% | | | | 10/30/2013 | |
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 2.15%, 2.74% and 2.15%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR STYLE PREMIA ALTERNATIVE FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 10/30/2013 |
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 | | | | | | December 2014 | | |
| | | | | | | | | | |
35
Shareholder Letter (Unaudited)
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
Jacques Friedman
Principal
Ronen Israel
Principal
Andrea Frazzini
Principal
Michael Katz
Principal
Dear Shareholder:
Launched in mid-September, the AQR Style Premia Alternative LV Fund (the “Fund”) attempts to provide attractive risk-adjusted returns by providing exposure to a broadly diversified portfolio of classic, relative-value alternative strategies capturing the performance of four major styles across a variety of asset groups including stocks, country equity indices, fixed income, currencies and commodities. We include strategies that are liquid and have historically low correlation with traditional markets, which we believe should be a key feature of alternative strategies that are meant to be a source of diversifying returns. We believe in providing a great deal of transparency, which means providing insight into our investment process and the economic themes we seek to capture, in addition to disclosing the actual positions we take.
The four major styles captured in the Fund are Value, Momentum, Carry and Defensive. Each of the four styles, implemented across asset groups, has an economic intuition or rationale, be it risk-based or behavioral-based. Value involves buying assets that are “cheap” relative to their fundamental value and selling “expensive” assets. Momentum entails buying assets that recently outperformed their peers and selling those that recently underperformed. Carry implies buying high-yielding assets and selling low-yielding assets. Defensive consists of buying low-risk, high-quality assets and selling high-risk, low-quality assets.
The Fund’s portfolio construction approach is to be diversified with a baseline risk weighting that is balanced across styles and asset groups, taking into consideration liquidity and breadth among other dimensions of risk. Small tactical tilts are implemented around the strategic risk allocation when strategies are conditionally attractive or unattractive. Because the Fund trades in these markets daily and all of the strategies are managed in one portfolio, it can stay disciplined about rebalancing to strategic weights, stay nimble by taking advantage of tactical opportunities and also provide efficient exposure by netting positions and transactions costs.
The Fund’s Class I shares returned +3.07% since the Fund’s inception on September 17, 2014. The Fund’s benchmark, the Merrill Lynch 3 Month Treasury Bill Index, had a flat return of 0.00% over the same period. The Fund targets 5% annual volatility.
Three of the Fund’s four styles had positive results for the period. The Momentum style led contributions with gains from fixed income, currencies, stocks and commodities trading. The Defensive style also contributed with profits in stocks. The Value style was flat, as gains in commodities, currencies and equity indices offset losses in fixed income and stocks. Carry detracted mildly in all asset groups where it was implemented: commodities, currencies and fixed income.
Performance was mostly positive across asset groups with fixed income and equity indices experiencing losses. Stock trading produced the best results, contributing about two-thirds to the positive performance for the period. Stock trading benefited from Momentum and Defensive themes, while Value themes detracted. The next-best contributor was commodities, followed by currencies trading. In both commodities and currencies, Value and Momentum themes offered positive contributions. The largest asset group detractor was fixed income, driven mostly by Value.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
36
Shareholder Letter (Unaudited)
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2014 AQR STYLE PREMIA ALTERNATIVE LV FUND | |
| | | Since
Inception | | | Date of
Inception | |
Fund - Class I: QSLIX | | | 3.07% | | | | 9/17/2014 | |
Fund - Class N: QSLNX | | | 2.94% | | | | 9/17/2014 | |
Fund - Class R6: QSLRX | | | 2.98% | | | | 9/17/2014 | |
| | |
Merrill Lynch 3-Month Treasury Bill Index | | | 0.00% | | | | 9/17/2014 | |
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 I/N/R6 shares are 1.82%, 2.07% and 1.72%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR STYLE PREMIA ALTERNATIVE LV FUND VS. MERRILL LYNCH 3-MONTH TREASURY BILL INDEX VALUE OF $10,000 INVESTED ON 9/17/2014 |
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 | | | | | | December 2014 | | |
| | | | | | | | | | |
37
Shareholder Letter (Unaudited)
RISK FACTORS:
AQR Diversified Arbitrage Fund: As the Fund employs arbitrage and alternative strategies, the Fund has the risk that the anticipated opportunites do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. The Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The use of derivatives, including forward and futures contracts and swap agreements, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor or Sub-Advisor. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. The Fund may invest in securities rated below investment grade which are high risk investments that may cause income and principal losses for the Fund. The Fund may invest in illiquid instruments which may be difficult to sell in a timely manner at the price that it believes the investments are worth. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.
AQR Global Macro Fund: The use of derivatives, including forward and futures contracts, options and swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. The Fund may have exposure to the securities of small and mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.
AQR Long-Short Equity Fund and AQR Equity Market Neutral Fund: The use of derivatives, including futures and forward contracts, options and swap agreements, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. A Fund may also take a short position in a derivative instrument, which involved the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of small or mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.
AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. A Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations,
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
38
Shareholder Letter (Unaudited)
political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all Investors.
AQR Risk-Balanced Commodities Strategy Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.
AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. A Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. A Fund may have exposure to the securities of small and mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all Investors.
AQR Multi-Strategy Alternative Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund employs arbitrage and alternative strategies, which carry the risk that the anticipated opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. The Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor or Sub-Advisor. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.
AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund: The use of derivatives, including futures and forward contracts, options and swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. A Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. When investing in or gaining exposure to bonds,
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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39
Shareholder Letter (Unaudited)
yield and share price will vary with changes in interest rates and market conditions. The Funds may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Advisor. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. 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 (other than the AQR Diversified Arbitrage Fund, the AQR Long-Short Equity Fund and the AQR Equity Market Neutral Fund) are each a non-diversified fund. Because these Funds may invest in securities of a smaller number of issuers, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may therefore have a greater impact on the Fund’s performance. The Funds (other than the AQR Diversified Arbitrage Fund, the AQR Long-Short Equity Fund and the AQR Equity Market Neutral Fund) also invest in a wholly-owned and controlled subsidiary and are indirectly exposed to the risks associated with the subsidiary’s investments. 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 are subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund 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 the principal 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.
Alpha is a measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a mutual fund and compares its risk-adjusted performance to a benchmark index. The excess return of the fund relative to the return of the benchmark index is a fund’s alpha.
Barclays U.S. Aggregate Bond Index is a broad-based bond index comprised of government, corporate, mortgage and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. Indexes are unmanaged and one cannot invest directly in an index.
Bearish: A belief that a particular security, sector or the overall market will fall.
Beta is a measure of volatility of a security or portfolio in comparison to an index or the market as a whole. A beta of 1.0 means the security or portfolio will generally move in tandem with the index or market it is being compared to. A beta greater than 1.0 means the security or portfolio will be more volatile and a beta less than 1.0 means the security or portfolio will be less volatile than the index or market it is being compared to.
Bullish: A belief that a particular security, sector or the overall market will rise.
Bund: Is the German equivalent of a U.S. Treasury Bond.
Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).
Contagion: The likelihood that significant economic changes in one country will spread to other countries.
Correlation is computed into what is known as the correlation coefficient, which ranges between -1 and +1. Perfect positive correlation (+1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, perfect negative correlation (-1) means that if one security moves in either direction the security that is
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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40
Shareholder Letter (Unaudited)
perfectly negatively correlated will move in the opposite direction. If the correlation is 0, the movements of the securities are said to have no correlation; they are completely random.
Credit: This strategy purchases attractively priced securities on a hedged basis, typically around event induced capital flows.
Credit Default Swap contracts is designed to transfer the credit exposure of fixed income products between parties.
Credit Suisse Hedge Fund Index is an asset-weighted benchmark that seeks to measure hedge fund performance and provide the most accurate representation of the hedge fund universe. Indexes are unmanaged and one cannot invest directly in an index.
Bloomberg Commodity Index is a broad-based index used to represent the most frequently-traded global commodity futures. It was formally known as the Dow Jones – UBS Commodity Index. Indexes are unmanaged and one cannot invest directly in an index.
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.
Gilt: Is the U.K. equivalent of a U.S. Treasury Bond.
HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds.
Macroeconomics is focused on the movement and trends of the whole economy as a whole, including changes such as unemployment, national income, rate of growth, GDP, inflation and price levels.
Merrill Lynch 3-Month Treasury Bill Index is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the past relative to other assets in the same universe.
MSCI World 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.
NASDAQ Index is a capitalization weighted index designed to measure performance of the more than 3,000 common stocks representing all major industries. Indexes are unmanaged and one cannot invest directly in an index.
Newedge Trend Index is a subset of the Newedge CTA Index, and follows traders of trend following methodologies. The Newedge CTA Index is equal weighted, calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment. Indexes are unmanaged and one cannot invest directly in an index.
Profitability: An investment style wherein an asset as certain identifiable characteristics including, profit margin, asset efficiency, leverage and earnings variability.
S&P 500 Index is a capitalization weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Indexes are unmanaged and one cannot invest directly in an index.
Sharpe Ratio: is a ratio which measures risk-adjusted performance.
Tail Risk: The risk of larger or more frequent losses than would be expected if returns to an asset or portfolio followed a normal distribution.
Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.
Valuation: A process of determining the current worth of an asset or company.
Volatility 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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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41
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| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| LONG INVESTMENTS - 127.2% | | SHARES | | | VALUE (Note 5) | |
| COMMON STOCKS - 39.4% | | | | | | |
| | |
| Communications - 0.0% (a) | | | | | | | | |
| FriendFinder Networks, Inc. (3)†(b) | | | 6,483 | | | $ | 423,031 | |
| | | | | | | | |
| | |
| Consumer Discretionary - 2.4% | | | | | | |
| Bright Horizons Family Solutions, Inc. † | | | 37,000 | | | | 1,739,370 | |
| Carriage Services, Inc. | | | 8,110 | | | | 169,905 | |
| China Century Dragon Media, Inc. (3)†(b) | | | 150,272 | | | | — | |
| China Networks International Holdings Ltd. † | | | 2,287,278 | | | | 25,160 | |
| DEMC Ltd., Class A (3)†(b) | | | 8,666 | | | | 86,664 | |
| DEMC Ltd., Class B (3)†(b) | | | 10,488 | | | | — | |
| Family Dollar Stores, Inc. | | | 212,149 | | | | 16,804,322 | |
| General Motors Co. * | | | 16,411 | | | | 572,908 | |
| GLENTEL, Inc. (Canada) | | | 148,993 | | | | 3,230,447 | |
| Group 1 Automotive, Inc. | | | 10,548 | | | | 945,312 | |
| Havas SA (France) (2) | | | 46,036 | | | | 375,914 | |
| Manchester United PLC, Class A (United Kingdom) † | | | 15,688 | | | | 249,439 | |
| Meritage Homes Corp. † | | | 4,682 | | | | 168,505 | |
| PetSmart, Inc. | | | 21,388 | | | | 1,738,737 | |
| Restaurant Brands International, Inc. (Canada) †* | | | 96,697 | | | | 3,786,980 | |
| Sirius XM Holdings, Inc. † | | | 3,064,923 | | | | 10,727,231 | |
| Time Warner Cable, Inc. * | | | 2,500 | | | | 380,150 | |
| Twenty-First Century Fox, Inc., Class B | | | 357,050 | | | | 13,171,575 | |
| | | | | | | | |
| | | | | | | 54,172,619 | |
| | | | | | | | |
| Consumer Staples - 0.7% | | | | | | |
| Chiquita Brands International, Inc. (2)† | | | 326,707 | | | | 4,724,183 | |
| Herbalife Ltd. | | | 10,157 | | | | 382,919 | |
| Neptune Technologies & Bioressources, Inc. (Canada) (3)†(b) | | | 6,407 | | | | 7 | |
| Contra Neuro Biopharma/ Neptune Technologies & Bioressources, Inc. (Canada) (3)†(b) | | | 3,203 | | | | 6 | |
| Vector Group Ltd. | | | 510,810 | | | | 10,885,361 | |
| | | | | | | | |
| | | | | | | 15,992,476 | |
| | | | | | | | |
| Energy - 2.7% | | | | | | |
| Aegean Marine Petroleum Network, Inc. (Greece) | | | 4,568 | | | | 64,043 | |
| Alpha Natural Resources, Inc. † | | | 77,136 | | | | 128,817 | |
| Apco Oil and Gas International, Inc. † | | | 168,559 | | | | 2,364,883 | |
| Baker Hughes, Inc. | | | 332,398 | | | | 18,637,556 | |
| Cal Dive International, Inc. † | | | 178,948 | | | | 12,526 | |
| Centrus Energy Corp., Class A † | | | 266,760 | | | | 1,147,068 | |
| Chesapeake Energy Corp. | | | 4,289 | | | | 83,936 | |
| Dresser-Rand Group, Inc. † | | | 220,257 | | | | 18,017,022 | |
| Gulf United Energy, Inc. †(c) | | | 1,959,798 | | | | 1,176 | |
| Mission NewEnergy Ltd. (Australia) † | | | 20,132 | | | | 241 | |
| PDC Energy, Inc. † | | | 2,403 | | | | 99,172 | |
| Royal Dutch Shell PLC ADR (Netherlands) | | | 151,766 | | | | 10,160,734 | |
| SAExploration Holdings, Inc. (Canada) †(c) | | | 2,757 | | | | 10,973 | |
| Talisman Energy, Inc. (Canada) (2) | | | 854,495 | | | | 6,690,696 | |
| Whiting Petroleum Corp. † | | | 103,115 | | | | 3,402,795 | |
| | | | | | | | |
| | | | | | | 60,821,638 | |
| | | | | | | | |
| Financials - 16.1% | | | | | | |
| 1347 Capital Corp. (2)† | | | 420,504 | | | | 3,977,968 | |
| American Realty Capital Healthcare Trust, Inc. REIT | | | 13,437 | | | | 159,900 | |
| American Realty Capital Properties, Inc. REIT | | | 31,926 | | | | 288,930 | |
| AR Capital Acquisition Corp. (2)† | | | 1,395,000 | | | | 12,973,500 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Financials - 16.1% (continued) | | | | | | | | |
| Banco Santander SA (Spain) (2) | | | 35 | | | $ | 294 | |
| Bank of Cyprus PCL (Cyprus) (3)†(b) | | | 118,716,695 | | | | 29,443,147 | |
| Boulevard Acquisition Corp. (2)† | | | 1,007,912 | | | | 9,726,351 | |
| Cambridge Capital Acquisition Corp. (2)† | | | 1,478,400 | | | | 14,340,480 | |
| Capitol Acquisition Corp. II † | | | 1,439,912 | | | | 14,183,133 | |
| Carfinco Financial Group, Inc. (Canada) | | | 9,706 | | | | 93,651 | |
| CB Pharma Acquisition Corp. † | | | 325,500 | | | | 3,264,765 | |
| Chart Acquisition Corp. (2)† | | | 1,268,625 | | | | 12,178,800 | |
| China VantagePoint Acquisition Co. (3)†(b) | | | 1,990 | | | | — | |
| Collabrium Japan Acquisition Corp. (United Kingdom) (3)†(b) | | | 595,000 | | | | 6,074,950 | |
| Corio NV REIT (Netherlands) (2) | | | 30,312 | | | | 1,484,436 | |
| DT Asia Investments Ltd. (Hong Kong) (2)† | | | 209,241 | | | | 2,029,638 | |
| Federal Home Loan Mortgage Corp. † | | | 665,138 | | | | 1,370,184 | |
| Federal National Mortgage Association † | | | 769,933 | | | | 1,582,212 | |
| GAGFAH SA (Luxembourg) (2)† | | | 337,877 | | | | 7,545,594 | |
| Garnero Group Acquisition Co. (Brazil) † | | | 1,900,200 | | | | 18,165,912 | |
| Global Defense & National Security Systems, Inc. (2)† | | | 835,800 | | | | 8,566,950 | |
| Hennessy Capital Acquisition Corp. (2)† | | | 756,000 | | | | 7,371,000 | |
| Heritage Financial Group, Inc. | | | 1,478 | | | | 38,280 | |
| HF2 Financial Management, Inc. (2)† | | | 1,309,327 | | | | 13,577,721 | |
| Highclere Holdings Ltd. (3)†(b) | | | 5,758 | | | | — | |
| Hudson Valley Holding Corp. | | | 8,469 | | | | 230,018 | |
| Hydra Industries Acquisition Corp. † | | | 1,720,000 | | | | 17,217,200 | |
| Intervest Bancshares Corp. | | | 144,513 | | | | 1,452,356 | |
| Kilroy Realty Corp. REIT (c) | | | 90,550 | | | | 6,254,289 | |
| L&L Acquisition Corp. (3)†(b) | | | 306,000 | | | | — | |
| Levy Acquisition Corp. (2)† | | | 1,890,000 | | | | 18,370,800 | |
| LNB Bancorp, Inc. | | | 87,582 | | | | 1,579,104 | |
| Meadowbrook Insurance Group, Inc. | | | 16,820 | | | | 142,297 | |
| MicroFinancial, Inc. | | | 61,372 | | | | 626,301 | |
| NorthStar Asset Management Group, Inc. | | | 1,074 | | | | 24,240 | |
| NorthStar Realty Finance Corp. REIT | | | 856,025 | | | | 15,048,920 | |
| Pangaea Logistics Solutions Ltd. † | | | 87,108 | | | | 413,763 | |
| Patriot National Bank (3)†(b) | | | 2,000,000 | | | | 1,671,680 | |
| Pinecrest Resources Ltd. (Canada) (3)†(b) | | | 79,820 | | | | 2,748 | |
| Platinum Underwriters Holdings Ltd. | | | 47,941 | | | | 3,519,828 | |
| Rescap Liquidating Trust | | | 273,622 | | | | 4,295,865 | |
| Resource Capital Corp. REIT | | | 37,500 | | | | 189,000 | |
| ROI Acquisition Corp. II † | | | 882,000 | | | | 8,670,060 | |
| Ryman Hospitality Properties, Inc. REIT | | | 463,966 | | | | 24,469,567 | |
| Santa Monica Media Corp. (3)†(b) | | | 15,377 | | | | — | |
| Silver Eagle Acquisition Corp. (3)†(b) | | | 1,971,250 | | | | 19,318,250 | |
| Stewart Information Services Corp. | | | 475,543 | | | | 17,614,113 | |
| Susquehanna Bancshares, Inc. | | | 385,096 | | | | 5,171,839 | |
| Terrapin 3 Acquisition Corp., Class A (2)† | | | 1,428,000 | | | | 13,808,760 | |
| WL Ross Holding Corp. † | | | 2,898,000 | | | | 29,733,480 | |
| | | | | | | | |
| | | | | | | 358,262,274 | |
| | | | | | | | |
| Health Care - 6.4% | | | | | | |
| Acorda Therapeutics, Inc. † | | | 411 | | | | 16,798 | |
| Allergan, Inc. | | | 64,928 | | | | 13,803,044 | |
| Auxilium Pharmaceuticals, Inc. † | | | 562,172 | | | | 19,330,284 | |
| AVANIR Pharmaceuticals, Inc. † | | | 576,745 | | | | 9,775,828 | |
| Bluebird Bio, Inc. † | | | 17,587 | | | | 1,613,080 | |
| China Medical Technologies, Inc. ADR (China) (3)†(b)(c) | | | 4,931 | | | | 49 | |
| Cubist Pharmaceuticals, Inc. † | | | 173,640 | | | | 17,476,866 | |
| Exact Sciences Corp. † | | | 8,896 | | | | 244,106 | |
| Gentiva Health Services, Inc. † | | | 227,284 | | | | 4,329,760 | |
| Illumina, Inc. † | | | 25 | | | | 4,614 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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42
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Health Care - 6.4% (continued) | | | | | | | | |
| Medtronic, Inc. | | | 103,724 | | | $ | 7,488,873 | |
| Molina Healthcare, Inc. † | | | 18,552 | | | | 993,089 | |
| PlasmaTech Biopharmaceuticals, Inc. † | | | 4,392 | | | | 15,372 | |
| Prosensa Holding NV (Netherlands) (2)† | | | 197,426 | | | | 3,701,737 | |
| Regeneron Pharmaceuticals, Inc. †(c) | | | 110,846 | | | | 45,474,572 | |
| Rotech Healthcare, Inc. (3)†(b) | | | 16,828 | | | | 218,863 | |
| RXi Pharmaceuticals Corp. † | | | 3,161 | | | | 5,058 | |
| Teva Pharmaceutical Industries Ltd. ADR (Israel) (c) | | | 157,785 | | | | 9,074,215 | |
| Tornier NV (Netherlands) † | | | 311,457 | | | | 7,942,153 | |
| | | | | | | | |
| | | | | | | 141,508,361 | |
| | | | | | | | |
| Industrials - 0.9% | | | | | | |
| Advanced Drainage Systems, Inc. | | | 3,848 | | | | 88,427 | |
| Continental Building Products, Inc. † | | | 76,418 | | | | 1,354,891 | |
| JetBlue Airways Corp. † | | | 818,414 | | | | 12,980,046 | |
| Kratos Defense & Security Solutions, Inc. † | | | 67,232 | | | | 337,505 | |
| Layne Christensen Co. † | | | 10,008 | | | | 95,476 | |
| MasTec, Inc. † | | | 126,736 | | | | 2,865,501 | |
| Sanitec OYJ (Finland) (2)† | | | 233,850 | | | | 2,873,968 | |
| Vicwest, Inc. (Canada) | | | 19,399 | | | | 209,385 | |
| | | | | | | | |
| | | | | | | 20,805,199 | |
| | | | | | | | |
| Information Technology - 7.5% | | | | | | |
| Actuate Corp. (2)† | | | 318,958 | | | | 2,105,123 | |
| Citrix Systems, Inc. †(c) | | | 48,212 | | | | 3,075,926 | |
| Digital River, Inc. † | | | 322,530 | | | | 7,976,167 | |
| Finisar Corp. † | | | 37,470 | | | | 727,293 | |
| ModusLink Global Solutions, Inc. † | | | 78,535 | | | | 294,506 | |
| ON Semiconductor Corp. †(c) | | | 298,500 | | | | 3,023,805 | |
| Orckit Communications Ltd. (Israel) (2)† | | | 15,174 | | | | 168 | |
| Photronics, Inc. † | | | 432,751 | | | | 3,596,161 | |
| Red Hat, Inc. †(c) | | | 113,239 | | | | 7,829,344 | |
| Riverbed Technology, Inc. † | | | 59,700 | | | | 1,218,477 | |
| root9B Technologies, Inc. † | | | 91,767 | | | | 142,239 | |
| Sapient Corp. † | | | 654,060 | | | | 16,273,013 | |
| SinoHub, Inc. (China) (3)†(b) | | | 190,038 | | | | 1,900 | |
| SouthPeak Interactive Corp. (3)†(b) | | | 1,500,000 | | | | 2,250 | |
| Telestone Technologies Corp. (China) (2)† | | | 115,818 | | | | 1,158 | |
| TriQuint Semiconductor, Inc. † | | | 220,051 | | | | 6,062,405 | |
| Viasystems Group, Inc. † | | | 18,588 | | | | 302,613 | |
| Web.com Group, Inc. † | | | 52,500 | | | | 996,975 | |
| Yahoo!, Inc. † | | | 2,222,528 | | | | 112,259,889 | |
| | | | | | | | |
| | | | | | | 165,889,412 | |
| | | | | | | | |
| Materials - 1.6% | | | | | | |
| China GengSheng Minerals, Inc. (China) † | | | 17,371 | | | | 174 | |
| Edgewater Exploration Ltd. (Canada) (2)† | | | 399,100 | | | | 8,588 | |
| Energy Fuels, Inc. (Canada) † | | | 14,400 | | | | 88,497 | |
| Jaguar Mining, Inc. (3)†(b) | | | 142,136 | | | | 35,632 | |
| Jaguar Mining, Inc. (Canada) †(c) | | | 25,812 | | | | 7,332 | |
| Lafarge SA (France) (2) | | | 19,501 | | | | 1,368,972 | |
| Lion One Metals Ltd. (Canada) (2)† | | | 740,315 | | | | 133,815 | |
| Mines Management, Inc. † | | | 16,120 | | | | 7,578 | |
| Momentive Performance Materials, Inc. 1145 Shares (3)†(b) | | | 207,463 | | | | 5,134,709 | |
| Momentive Performance Materials, Inc. 4(a)(2) Shares (3)†(b) | | | 288,707 | | | | 6,624,591 | |
| RTI International Metals, Inc. † | | | 16,610 | | | | 419,569 | |
| Sapphire Industry Corp. (3)†(b) | | | 25,025 | | | | — | |
| Sigma-Aldrich Corp. | | | 147,667 | | | | 20,270,249 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Materials - 1.6% (continued) | | | | | | |
| Southern Arc Minerals, Inc. (Canada) †(c) | | | 248,481 | | | $ | 10,694 | |
| Vale SA ADR (Brazil) | | | 167,097 | | | | 1,213,124 | |
| | | | | | | | |
| | | | | | | 35,323,524 | |
| | | | | | | | |
| Telecommunication Services - 1.1% | | | | | | |
| Cleveland Unlimited (3)†(b) | | | 1 | | | | 1,397,772 | |
| Jazztel PLC (United Kingdom) (2)† | | | 1,431,448 | | | | 21,633,440 | |
| Level 3 Communications, Inc. † | | | 16,356 | | | | 807,659 | |
| XO holdings, Inc. O Shares (3)†(b) | | | 1,366,340 | | | | — | |
| | | | | | | | |
| | | | | | | 23,838,871 | |
| | | | | | | | |
| Utilities - 0.0% (a) | | | | | | |
| Hawaiian Electric Industries, Inc. | | | 1,575 | | | | 52,731 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $863,742,221) | | | | | | | 877,090,136 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
43
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | |
| CONVERTIBLE PREFERRED STOCKS - 10.4% | | | | | | | | SHARES | | | VALUE (Note 5) | |
| Consumer Discretionary - 1.1% | | | | | | | | | | | | | | | | |
| Sealy Corp., $25.00 par, 8.000%, 07/15/16 (3)†(b)(d) | | | | | | | | | | | 299,636 | | | $ | 24,871,058 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Consumer Staples - 2.9% | | | | | | | | | | | | | | | | |
| Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875%, 12/31/49 (c)(e) | | | | | | | | | | | 96,625 | | | | 10,870,312 | |
| Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500%, 02/15/19 (2)†(c)(e)(f) | | | | | | | | | | | 62,897 | | | | 5,271,555 | |
| Tyson Foods, Inc., $50.00 par, 4.750%, 07/15/17 (c) | | | | | | | | | | | 200,075 | | | | 10,071,776 | |
| Universal Corp., Perpetual Preferred Stock, $1,000.00 par, 6.750%, 03/15/18 †(c)(e) | | | | | | | | | | | 37,625 | | | | 39,280,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 65,494,143 | |
| | | | | | | | | | | | | | | | |
| Energy - 0.8% | | | | | | | | | | | | | | | | |
| Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750%, 05/17/15 (2)†(e)(f) | | | | | | | | | | | 1,475 | | | | 1,527,547 | |
| Energy XXI Ltd., Perpetual Preferred Stock, $250.00 par, 5.625%, 12/31/49 (2)†(c)(e) | | | | | | | | | | | 9,535 | | | | 540,814 | |
Sanchez Energy Corp., Perpetual Preferred Stock, Series A, $50.00 par,
4.875%, 10/05/17 (2)†(c)(e) | | | | | | | | | | | 411,250 | | | | 11,617,812 | |
| Sanchez Energy Corp., Perpetual Preferred Stock, Series B, $50.00 par, 6.500%, 04/06/18 (2)(c)(e) | | | | | | | | | | | 140,250 | | | | 4,758,683 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 18,444,856 | |
| | | | | | | | | | | | | | | | |
| Financials - 0.8% | | | | | | | | | | | | | | | | |
| Health Care REIT, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500%, 04/20/18 †(c)(e) | | | | | | | | | | | 205,600 | | | | 13,538,760 | |
| iStar Financial, Inc., Perpetual Preferred Stock, Series J, $50.00 par, 4.500%, 03/15/18 (2)†(c)(e) | | | | | | | | | | | 50,625 | | | | 2,992,950 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,531,710 | |
| | | | | | | | | | | | | | | | |
| Health Care - 0.6% | | | | | | | | | | | | | | | | |
| Amsurg Corp., Series A-1, $100.00 par, 5.250%, 07/01/17 †(c) | | | | | | | | | | | 81,475 | | | | 9,206,675 | |
| Omnicare Capital Trust II, Series B, $50.00 par, 4.000%, 06/15/33 (2)†(c) | | | | | | | | | | | 54,925 | | | | 4,900,343 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,107,018 | |
| | | | | | | | | | | | | | | | |
| Industrials - 0.0% (a) | | | | | | | | | | | | | | | | |
| Timberjack Corp., $188,000.00 par, 8.000%, 12/31/16 (3)†(b) | | | | | | | | | | | 188,000 | | | | 942 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Materials - 0.1% | | | | | | | | | | | | | | | | |
| Alcoa, Inc., Series 1, $50.00 par, 5.375%, 10/01/17 †(c) | | | | | | | | | | | 41,600 | | | | 2,098,720 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Telecommunication Services - 0.7% | | | | | | | | | | | | | | | | |
| T-Mobile US, Inc., $50.00 par, 5.500%, 12/15/17 †(c) | | | | | | | | | | | 291,600 | | | | 15,451,884 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Utilities - 3.4% | | | | | | | | | | | | | | | | |
| Dominion Resources, Inc., $50.00 par, 6.375%, 07/01/17 †(c) | | | | | | | | | | | 57,575 | | | | 2,994,476 | |
| Dominion Resources, Inc., Series A, $49.00 par, 6.125%, 04/01/16 (c) | | | | | | | | | | | 233,650 | | | | 14,021,336 | |
| Dominion Resources, Inc., Series B, $49.00 par, 6.000%, 07/01/16 †(c) | | | | | | | | | | | 242,350 | | | | 14,570,082 | |
| NextEra Energy, Inc., $50.00 par, 5.889%, 09/01/15 †(c) | | | | | | | | | | | 97,050 | | | | 6,496,527 | |
| NextEra Energy, Inc., $50.00 par, 5.799%, 09/01/16 †(c) | | | | | | | | | | | 241,275 | | | | 13,919,155 | |
| NextEra Energy, Inc., $50.00 par, 5.599%, 06/01/15 †(c) | | | | | | | | | | | 338,150 | | | | 23,180,182 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 75,181,758 | |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $264,958,457) | | | | | | | | | | | | | | | 232,182,089 | |
| | | | | | | | | | | | | | | | |
| | | | |
| CORPORATE BONDS - 13.9% | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | | |
| Communications - 0.3% | | | | | | | | | | | | | | | | |
| Interactive Network, Inc./FriendFinder Networks, Inc. (3)(b)(g) | | | 14.000% | | | | 12/20/18 | | | $ | 849 | | | | 721,694 | |
| WCP Wireless Site Fund 144A (2)(f) | | | 6.829% | | | | 11/15/15 | | | | 3,325 | | | | 3,413,578 | |
| WCP Wireless Site Fund 144A (2)(f) | | | 9.247% | | | | 11/15/15 | | | | 3,000 | | | | 3,093,507 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,228,779 | |
| | | | | | | | | | | | | | | | |
| Consumer Discretionary - 0.5% | | | | | | | | | | | | | | | | |
| Baker & Taylor Acquisitions Corp. 144A (3)(b)(f) | | | 15.000% | | | | 04/01/17 | | | | 2,803 | | | | 2,610,294 | |
| Brookstone Co., Inc. (3)(b) | | | 13.000% | | | | 10/15/14 | | | | 516 | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
44
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | |
| | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| Consumer Discretionary - 0.5% (continued) | | | | | | | | | | | | | | | | |
| Brookstone Holdings Corp. (3)(b)(d) | | | 10.000% | | | | 07/07/21 | | | $ | 54 | | | $ | 50,283 | |
| Empire Today LLC/Empire Today Finance Corp. 144A (3)(b)(f) | | | 11.375% | | | | 02/01/17 | | | | 3,250 | | | | 2,405,000 | |
| Exide Technologies (2)(g) | | | 8.625% | | | | 02/01/18 | | | | 33,550 | | | | 1,635,563 | |
| IDQ Holdings, Inc. 144A (2)(f) | | | 11.500% | | | | 04/01/17 | | | | 4,325 | | | | 4,584,500 | |
| Roust Trading Ltd., Series AI (Virgin Islands, British) (3)(b)(d) | | | 11.000% | | | | 05/31/16 | | | | 862 | | | | 776,134 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 12,061,774 | |
| | | | | | | | | | | | | | | | |
| Consumer Staples - 0.4% | | | | | | | | | | | | | | | | |
| Beam Suntory, Inc. (2) | | | 3.250% | | | | 05/15/22 | | | | 2,650 | | | | 2,652,936 | |
| Beam Suntory, Inc. (2) | | | 3.250% | | | | 06/15/23 | | | | 1,350 | | | | 1,327,064 | |
| US Foods, Inc. (2) | | | 8.500% | | | | 06/30/19 | | | | 4,572 | | | | 4,846,320 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,826,320 | |
| | | | | | | | | | | | | | | | |
| Energy - 4.1% | | | | | | | | | | | | | | | | |
| Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(c) | | | 13.750% | | | | 12/01/15 | | | | 5,800 | | | | 4,031,000 | |
| Centrus Energy Corp. (2)(c) | | | 8.000% | | | | 09/30/19 | | | | 7,500 | | | | 3,900,000 | |
| Endeavour International Corp. (3)(b)(g) | | | 12.000% | | | | 06/01/18 | | | | 7,600 | | | | 190,000 | |
| Endeavour International Corp., Series WI (2)(g) | | | 12.000% | | | | 03/01/18 | | | | 16,850 | | | | 6,318,750 | |
| EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b)(g) | | | 15.000% | | | | 07/15/15 | | | | 4,100 | | | | 41 | |
| Forest Oil Corp. (2) | | | 7.250% | | | | 06/15/19 | | | | 17,830 | | | | 6,418,800 | |
| Forest Oil Corp., Series WI (2)(c) | | | 7.500% | | | | 09/15/20 | | | | 10,750 | | | | 3,805,500 | |
| Gold Point Energy Corp. (3)(b)(g) | | | 4.500% | | | | 05/01/15 | | | | 1,140 | | | | — | |
| Green Field Energy Services, Inc. (3)(b)(g) | | | 13.000% | | | | 11/15/16 | | | | 48 | | | | 3,600 | |
| Green Field Energy Services, Inc. 144A (3)(b)(f)(g) | | | 13.000% | | | | 11/15/16 | | | | 2,025 | | | | 151,875 | |
| Kodiak Oil & Gas Corp., Series WI (Canada) (2) | | | 5.500% | | | | 02/01/22 | | | | 2,525 | | | | 2,531,313 | |
| Kodiak Oil & Gas Corp., Series WI (Canada) (2) | | | 5.500% | | | | 01/15/21 | | | | 780 | | | | 781,950 | |
| Kodiak Oil & Gas Corp., Series WI (Canada) (2) | | | 8.125% | | | | 12/01/19 | | | | 36,525 | | | | 37,164,187 | |
| Norshore Atlantic BV 144A (Netherlands) (3)(b)(f) | | | 12.000% | | | | 12/21/18 | | | | 4,150 | | | | 3,195,500 | |
| Oro Negro Drilling Pte Ltd. 144A (Singapore) (3)(b)(f) | | | 7.500% | | | | 01/24/19 | | | | 3,700 | | | | 3,108,000 | |
| Paragon Offshore PLC 144A (United Kingdom) (2)(f) | | | 6.750% | | | | 07/15/22 | | | | 800 | | | | 488,000 | |
| Paragon Offshore PLC 144A (United Kingdom) (2)(c)(f) | | | 7.250% | | | | 08/15/24 | | | | 800 | | | | 480,000 | |
| Prospector Finance II Sarl (Luxembourg) (3)(b) | | | 7.750% | | | | 06/19/19 | | | | 14,275 | | | | 14,310,687 | |
| Songa Offshore (Cyprus) (3)(b) | | | 7.500% | | | | 12/11/18 | | | | 25,500 | | | | 3,010,868 | |
| Songa Offshore (Cyprus) (2) | | | 8.400% | | | | 05/17/18 | | | | 15,000 | | | | 1,710,721 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 91,600,792 | |
| | | | | | | | | | | | | | | | |
| Financials - 1.9% | | | | | | | | | | | | | | | | |
| Aston Escrow Corp. 144A (2)(c)(f) | | | 9.500% | | | | 08/15/21 | | | | 8,325 | | | | 7,700,625 | |
| CFG Holdings Ltd./CFG Finance LLC 144A (Cayman Islands) (2)(c)(f) | | | 11.500% | | | | 11/15/19 | | | | 3,837 | | | | 3,913,740 | |
| Highclere Holdings Ltd. (Cayman Islands) (3)(b) | | | 0.000% | | | | 02/26/15 | | | | 1,627 | | | | 534,566 | |
| Jasper Explorer PLC 144A (Cyprus) (3)(b)(f) | | | 13.500% | | | | 05/27/16 | | | | 6,000 | | | | 600,000 | |
| Jefferies Finance LLC / JFIN Co.-Issuer Corp. 144A (2)(f) | | | 7.500% | | | | 04/15/21 | | | | 6,525 | | | | 6,068,250 | |
| Kistefos AS (Norway) (3)(b)(h) | | | 10.980% | | | | 07/03/15 | | | | 72,500 | | | | 9,606,031 | |
| Lehman Brothers Holdings, Inc. MTN (3)†(b)(g) | | | 5.625% | | | | 01/24/16 | | | | 33,650 | | | | 4,921,312 | |
| Synovus Financial Corp. (2) | | | 5.125% | | | | 06/15/17 | | | | 400 | | | | 406,000 | |
| Washington Mutual Bank, Bank Note, (2)(g) | | | 0.000% | | | | 05/01/09 | | | | 27,750 | | | | 7,631,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 41,381,774 | |
| | | | | | | | | | | | | | | | |
| Health Care - 0.9% | | | | | | | | | | | | | | | | |
Education Management LLC / Education Management
Finance Corp. 144A (2)(f)(i) | | | 16.000% | | | | 07/01/18 | | | | 9,991 | | | | 999,054 | |
| Gentiva Health Services, Inc. (2) | | | 11.500% | | | | 09/01/18 | | | | 17,000 | | | | 18,088,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,087,054 | |
| | | | | | | | | | | | | | | | |
| Industrials - 0.4% | | | | | | | | | | | | | | | | |
| Edgen Murray Corp. 144A (3)(b)(c)(f) | | | 8.750% | | | | 11/01/20 | | | | 4,495 | | | | 4,899,550 | |
| Tempel Steel Co. 144A (2)(f) | | | 12.000% | | | | 08/15/16 | | | | 3,950 | | | | 3,713,000 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,612,550 | |
| | | | | | | | | | | | | | | | |
| Information Technology - 0.9% | | | | | | | | | | | | | | | | |
| Goodman Networks, Inc., Series WI (3)(b) | | | 12.125% | | | | 07/01/18 | | | | 19,143 | | | | 19,765,148 | |
| SouthPeak Interactive Corp. (3)(b)(g) | | | 29.000% | | | | 12/31/15 | | | | 1,091 | | | | 27,650 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,792,798 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
45
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | |
| | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| Materials - 3.7% | | | | | | | | | | | | | | | | |
| ArcelorMittal (Luxembourg) (2)(c) | | | 4.250% | | | | 08/05/15 | | | $ | 2,575 | | | $ | 2,613,625 | |
| Momentive Performance Materials, Inc. (2)(c) | | | 3.880% | | | | 10/24/21 | | | | 13,550 | | | | 11,483,625 | |
| Momentive Performance Materials, Inc. (3)(b)(g) | | | 8.875% | | | | 10/15/20 | | | | 13,550 | | | | — | |
| Rockwood Specialties Group, Inc. (2)(c) | | | 4.625% | | | | 10/15/20 | | | | 52,900 | | | | 54,619,250 | |
| Verso Paper Holdings LLC / Verso Paper, Inc. 144A (2)(c)(f) | | | 8.750% | | | | 02/01/19 | | | | 23,100 | | | | 12,820,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 81,537,000 | |
| | | | | | | | | | | | | | | | |
| Telecommunication Services - 0.7% | | | | | | | | | | | | | | | | |
| NII Capital Corp. (3)(b)(c)(g) | | | 7.625% | | | | 04/01/21 | | | | 13,250 | | | | 2,451,250 | |
| NII International Telecom SCA 144A (Luxembourg) (2)(c)(f)(g) | | | 7.875% | | | | 08/15/19 | | | | 4,295 | | | | 3,070,925 | |
| Virgin Media Finance PLC (United Kingdom) (2)(c) | | | 4.875% | | | | 02/15/22 | | | | 11,400 | | | | 10,516,500 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 16,038,675 | |
| | | | | | | | | | | | | | | | |
| Utilities - 0.1% | | | | | | | | | | | | | | | | |
| Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. (3)(b)(c)(g) | | | 10.000% | | | | 12/01/20 | | | | 25,200 | | | | 2,331,000 | |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS
(cost $393,531,288) | | | | | | | | | | | | | | | 308,498,516 | |
| | | | | | | | | | | | | | | | |
| | | | |
| CONVERTIBLE BONDS - 28.2% | | | | | | | | | | | | | | | | |
| | | | |
| Consumer Discretionary - 2.3% | | | | | | | | | | | | | | | | |
| Carriage Services, Inc. 144A (2)(c)(f) | | | 2.750% | | | | 03/15/21 | | | | 6,100 | | | | 6,618,500 | |
| Cenveo Corp. (2)(c) | | | 7.000% | | | | 05/15/17 | | | | 1,800 | | | | 1,755,000 | |
| Exide Technologies (2)(c)(g)(h) | | | 0.000% | | | | 09/18/13 | | | | 650 | | | | 32,500 | |
| JAKKS Pacific, Inc. 144A (2)(c)(f) | | | 4.250% | | | | 08/01/18 | | | | 5,775 | | | | 5,551,219 | |
| JAKKS Pacific, Inc. 144A (2)(c)(f) | | | 4.875% | | | | 06/01/20 | | | | 6,250 | | | | 5,421,875 | |
| M/I Homes, Inc. (2)(c) | | | 3.000% | | | | 03/01/18 | | | | 1,800 | | | | 1,836,000 | |
| M/I Homes, Inc. (2)(c) | | | 3.250% | | | | 09/15/17 | | | | 2,300 | | | | 2,734,125 | |
| Meritage Homes Corp. (2)(c) | | | 1.875% | | | | 09/15/32 | | | | 2,475 | | | | 2,437,875 | |
| MGM Resorts International (2)(c)* | | | 4.250% | | | | 04/15/15 | | | | 6,675 | | | | 7,876,500 | |
| Palm Harbor Homes, Inc. (3)(b)(g) | | | 3.250% | | | | 05/15/24 | | | | 70 | | | | 3,178 | |
| Tesla Motors, Inc. (2)(c) | | | 1.500% | | | | 06/01/18 | | | | 9,125 | | | | 16,949,687 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 51,216,459 | |
| | | | | | | | | | | | | | | | |
| Consumer Staples - 1.0% | | | | | | | | | | | | | | | | |
| Herbalife Ltd. 144A (Cayman Islands) (2)(c)(f) | | | 2.000% | | | | 08/15/19 | | | | 10,975 | | | | 8,066,625 | |
| IGI Laboratories, Inc. 144A (2)(c)(f) | | | 3.750% | | | | 12/15/19 | | | | 3,100 | | | | 3,119,375 | |
| Rite Aid Corp. (2)(c) | | | 8.500% | | | | 05/15/15 | | | | 300 | | | | 876,938 | |
| Vector Group Ltd. (2)(c)(h) | | | 2.500% | | | | 01/15/19 | | | | 6,675 | | | | 9,391,778 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,454,716 | |
| | | | | | | | | | | | | | | | |
| Energy - 1.2% | | | | | | | | | | | | | | | | |
| Aegean Marine Petroleum Network, Inc. (Greece) (2)(c) | | | 4.000% | | | | 11/01/18 | | | | 1,000 | | | | 1,158,750 | |
| Alpha Natural Resources, Inc. (2)(c) | | | 4.875% | | | | 12/15/20 | | | | 800 | | | | 295,000 | |
| Amyris, Inc. 144A (2)(c)(f) | | | 6.500% | | | | 05/15/19 | | | | 6,075 | | | | 3,800,672 | |
| Cal Dive International, Inc. (2)(c) | | | 5.000% | | | | 07/15/17 | | | | 2,275 | | | | 267,312 | |
| Emerald Oil, Inc. 144A (2)(c)(f) | | | 2.000% | | | | 04/01/19 | | | | 3,100 | | | | 1,708,875 | |
| Endeavour International Corp. (3)(b)(g) | | | 5.500% | | | | 07/15/16 | | | | 8,229 | | | | 288,015 | |
| Goodrich Petroleum Corp. (2)(c) | | | 5.000% | | | | 10/01/32 | | | | 3,000 | | | | 1,573,125 | |
| James River Coal Co. (2)(c)(g) | | | 10.000% | | | | 06/01/18 | | | | 310 | | | | 31 | |
| Polarcus Ltd. MTN 144A (Norway) (2)(f) | | | 2.875% | | | | 04/27/16 | | | | 400 | | | | 280,000 | |
| Renewable Energy Group, Inc. (2)(c) | | | 2.750% | | | | 06/15/19 | | | | 3,650 | | | | 3,444,688 | |
| Scorpio Tankers, Inc. 144A (2)(c)(f) | | | 2.375% | | | | 07/01/19 | | | | 6,625 | | | | 6,314,453 | |
| Vantage Drilling Co. (Cayman Islands) (2)(c) | | | 7.875% | | | | 09/01/42 | | | | 4,625 | | | | 4,202,969 | |
| Vantage Drilling Co. 144A (Cayman Islands) (2)(c)(f) | | | 5.500% | | | | 07/15/43 | | | | 1,775 | | | | 1,584,188 | |
| ZaZa Energy Corp. 144A (2)(c)(f) | | | 9.000% | | | | 08/01/17 | | | | 3,550 | | | | 1,595,281 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 26,513,359 | |
| | | | | | | | | | | | | | | | |
| Financials - 8.1% | | | | | | | | | | | | | | | | |
| American Realty Capital Properties, Inc. (2)(c) | | | 3.000% | | | | 08/01/18 | | | | 10,700 | | | | 9,877,437 | |
| American Realty Capital Properties, Inc. (2)(c) | | | 3.750% | | | | 12/15/20 | | | | 2,125 | | | | 1,952,344 | |
| Annaly Capital Management, Inc. (2)(c) | | | 5.000% | | | | 05/15/15 | | | | 3,150 | | | | 3,165,750 | |
| Ares Capital Corp. (2)(c) | | | 5.750% | | | | 02/01/16 | | | | 4,425 | | | | 4,560,516 | |
| Ares Capital Corp. 144A (2)(c)(f) | | | 5.125% | | | | 06/01/16 | | | | 3,025 | | | | 3,096,844 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
46
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | |
| | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| Financials - 8.1% (continued) | | | | | | | | | | | | | | | | |
| AV Homes, Inc. (2)(c) | | | 7.500% | | | | 02/15/16 | | | $ | 8,830 | | | $ | 8,725,144 | |
| AV Homes, Inc. (2)(c) | | | 7.500% | | | | 02/15/16 | | | | 6,643 | | | | 6,584,874 | |
| Cowen Group, Inc. 144A (2)(c)(f) | | | 3.000% | | | | 03/15/19 | | | | 4,550 | | | | 4,894,094 | |
| E*TRADE Financial Corp., Series A (2)(c) | | | 0.000% | | | | 08/31/19 | | | | 1,775 | | | | 4,196,766 | |
| Element Financial Corp. 144A (Canada) (2)(c)(f) | | | 5.125% | | | | 06/30/19 | | | | 13,700 | | | | 12,735,410 | |
| Encore Capital Group, Inc. (2)(c) | | | 3.000% | | | | 07/01/20 | | | | 1,300 | | | | 1,470,625 | |
| Ezcorp, Inc. 144A (2)(c)(f) | | | 2.125% | | | | 06/15/19 | | | | 2,475 | | | | 2,307,937 | |
| Gain Capital Holdings, Inc. (2)(c) | | | 4.125% | | | | 12/01/18 | | | | 3,325 | | | | 3,470,469 | |
| Health Care REIT, Inc. (2)(c) | | | 3.000% | | | | 12/01/29 | | | | 2,400 | | | | 3,598,500 | |
| iStar Financial, Inc. (2)(c) | | | 3.000% | | | | 11/15/16 | | | | 2,250 | | | | 2,844,844 | |
| KCAP Financial, Inc. (2)(c) | | | 8.750% | | | | 03/15/16 | | | | 4,000 | | | | 4,417,500 | |
| Lexington Realty Trust 144A (2)(c)(f) | | | 6.000% | | | | 01/15/30 | | | | 7,550 | | | | 12,183,812 | |
| MBF Healthcare Acquisition Corp. (2)(g) | | | 3.375% | | | | 08/01/18 | | | | 1,609 | | | | 482,700 | |
| Meadowbrook Insurance Group, Inc. (2)(c) | | | 5.000% | | | | 03/15/20 | | | | 2,575 | | | | 2,909,750 | |
| MGIC Investment Corp. (2)(c) | | | 2.000% | | | | 04/01/20 | | | | 6,600 | | | | 9,656,625 | |
| MGIC Investment Corp. (2)(c) | | | 5.000% | | | | 05/01/17 | | | | 20,525 | | | | 22,949,516 | |
| NorthStar Realty Finance LP 144A (2)(c)(f) | | | 5.375% | | | | 06/15/33 | | | | 300 | | | | 589,312 | |
| PHH Corp. (2)(c) | | | 6.000% | | | | 06/15/17 | | | | 8,125 | | | | 16,021,484 | |
| Prospect Capital Corp. 144A (2)(c)(f) | | | 4.750% | | | | 04/15/20 | | | | 3,925 | | | | 3,674,781 | |
| Radian Group, Inc. (2)(c) | | | 2.250% | | | | 03/01/19 | | �� | | 11,400 | | | | 18,332,625 | |
| Resource Capital Corp. (2)(c) | | | 6.000% | | | | 12/01/18 | | | | 1,350 | | | | 1,312,875 | |
| Starwood Property Trust, Inc. (2)(c) | | | 3.750% | | | | 10/15/17 | | | | 4,625 | | | | 4,694,375 | |
| Starwood Waypoint Residential Trust 144A (2)(c)(f) | | | 4.500% | | | | 10/15/17 | | | | 6,150 | | | | 6,396,000 | |
| ZAIS Financial Corp. 144A (2)(c)(f) | | | 8.000% | | | | 11/15/16 | | | | 3,400 | | | | 3,521,125 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 180,624,034 | |
| | | | | | | | | | | | | | | | |
| Health Care - 1.9% | | | | | | | | | | | | | | | | |
| Accuray, Inc., Series A (2)(c) | | | 3.500% | | | | 02/01/18 | | | | 3,025 | | | | 4,650,937 | |
| Acorda Therapeutics, Inc. (2)(c) | | | 1.750% | | | | 06/15/21 | | | | 875 | | | | 1,006,797 | |
| Affymetrix, Inc. (2)(c) | | | 4.000% | | | | 07/01/19 | | | | 4,725 | | | | 8,434,125 | |
| Albany Molecular Research, Inc. (2)(c) | | | 2.250% | | | | 11/15/18 | | | | 1,525 | | | | 1,836,672 | |
| BioMed Realty LP 144A (2)(c)(f) | | | 3.750% | | | | 01/15/30 | | | | 2,250 | | | | 2,837,813 | |
| China Medical Technologies, Inc. 144A (China) (2)(c)(f)(g) | | | 6.250% | | | | 12/15/16 | | | | 2,625 | | | | 10,403 | |
| China Medical Technologies, Inc., Series CMT (China) (2)(c)(g) | | | 4.000% | | | | 08/15/13 | | | | 250 | | | | 991 | |
| Healthways, Inc. (2)(c) | | | 1.500% | | | | 07/01/18 | | | | 2,000 | | | | 2,346,250 | |
| PDL BioPharma, Inc. (2)(c) | | | 2.875% | | | | 02/15/15 | | | | 1,400 | | | | 2,093,000 | |
| Sequenom, Inc. (2)(c) | | | 5.000% | | | | 10/01/17 | | | | 7,325 | | | | 7,526,438 | |
| Spectrum Pharmaceuticals, Inc. 144A (2)(c)(f) | | | 2.750% | | | | 12/15/18 | | | | 5,600 | | | | 5,285,000 | |
| Volcano Corp. (2) | | | 1.750% | | | | 12/01/17 | | | | 6,300 | | | | 6,240,937 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 42,269,363 | |
| | | | | | | | | | | | | | | | |
| Industrials - 2.4% | | | | | | | | | | | | | | | | |
| CBIZ, Inc. 144A (2)(c)(f) | | | 4.875% | | | | 10/01/15 | | | | 1,400 | | | | 1,690,500 | |
| China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)(g) | | | 7.500% | | | | 12/31/15 | | | | 1,850 | | | | — | |
| General Cable Corp. (2)(c)(i) | | | 4.500% | | | | 11/15/29 | | | | 1,470 | | | | 1,061,156 | |
| Hawaiian Holdings, Inc. (2)(c) | | | 5.000% | | | | 03/15/16 | | | | 300 | | | | 995,250 | |
| Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f) | | | 0.750% | | | | 04/05/17 | | | | 2,800 | | | | 8,807,131 | |
| Meritor, Inc. (2)(c)(i) | | | 4.625% | | | | 03/01/26 | | | | 2,000 | | | | 2,011,250 | |
| Meritor, Inc. (2)(c) | | | 7.875% | | | | 03/01/26 | | | | 6,915 | | | | 11,388,141 | |
| Terex Corp. (2)(c) | | | 4.000% | | | | 06/01/15 | | | | 4,550 | | | | 7,934,063 | |
| Titan International, Inc. 144A (2)(c)(f) | | | 5.625% | | | | 01/15/17 | | | | 7,575 | | | | 9,217,828 | |
| UTi Worldwide, Inc. 144A (Virgin Islands, British) (2)(c)(f) | | | 4.500% | | | | 03/01/19 | | | | 10,225 | | | | 11,292,234 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 54,397,553 | |
| | | | | | | | | | | | | | | | |
| Information Technology - 9.6% | | | | | | | | | | | | | | | | |
| Ciena Corp. (2)(c) | | | 4.000% | | | | 12/15/20 | | | | 4,700 | | | | 5,825,062 | |
| Ciena Corp. 144A (2)(c)(f) | | | 4.000% | | | | 03/15/15 | | | | 6,800 | | | | 7,050,750 | |
| Convergys Corp. (2)(c) | | | 5.750% | | | | 09/15/29 | | | | 7,825 | | | | 14,852,828 | |
| GT Advanced Technologies, Inc. (2)(c)(g) | | | 3.000% | | | | 10/01/17 | | | | 2,650 | | | | 1,315,063 | |
| Microchip Technology, Inc. (2)(c) | | | 2.125% | | | | 12/15/37 | | | | 5,250 | | | | 9,364,688 | |
| Micron Technology, Inc., Series C (2)(c) | | | 2.375% | | | | 05/01/32 | | | | 5,600 | | | | 20,405,000 | |
| Micron Technology, Inc., Series F (2)(c) | | | 2.125% | | | | 02/15/33 | | | | 1,375 | | | | 4,412,891 | |
| ModusLink Global Solutions, Inc. 144A (2)(c)(f) | | | 5.250% | | | | 03/01/19 | | | | 7,600 | | | | 6,797,250 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
47
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | |
| | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| Information Technology - 9.6% (continued) | | | | | | | | | | | | | | | | |
| Nuance Communications, Inc. (2)(c) | | | 2.750% | | | | 11/01/31 | | | $ | 600 | | | $ | 598,125 | |
| Palo Alto Networks, Inc. 144A (2)(c)(f) | | | 0.000% | | | | 07/01/19 | | | | 1,525 | | | | 1,926,266 | |
| Powerwave Technologies, Inc. (3)(b)(g) | | | 3.875% | | | | 10/01/27 | | | | 4,104 | | | | 410 | |
| Powerwave Technologies, Inc. 144A (2)(c)(f)(g) | | | 2.750% | | | | 07/15/41 | | | | 3,900 | | | | 39,000 | |
| Quantum Corp. (2)(c) | | | 4.500% | | | | 11/15/17 | | | | 1,650 | | | | 2,057,344 | |
| Rambus, Inc. (2)(c) | | | 1.125% | | | | 08/15/18 | | | | 5,600 | | | | 6,331,500 | |
| SouthPeak Interactive Corp. (3)(b)(g) | | | 10.000% | | | | 12/31/14 | | | | 2,500 | | | | 63,345 | |
| SunEdison, Inc. 144A (2)(c)(f) | | | 0.250% | | | | 01/15/20 | | | | 1,675 | | | | 1,622,656 | |
| SunEdison, Inc. 144A (2)(c)(f) | | | 2.000% | | | | 10/01/18 | | | | 32,075 | | | | 47,070,063 | |
| SunEdison, Inc. 144A (2)(c)(f) | | | 2.750% | | | | 01/01/21 | | | | 6,675 | | | | 9,999,984 | |
| SunPower Corp. (2)(c) | | | 4.500% | | | | 03/15/15 | | | | 625 | | | | 729,297 | |
| VeriSign, Inc. (2)(c) | | | 4.086% | | | | 08/15/37 | | | | 27,135 | | | | 46,485,647 | |
| Vishay Intertechnology, Inc. 144A (2)(c)(f) | | | 2.250% | | | | 11/15/40 | | | | 3,475 | | | | 3,850,734 | |
| WebMD Health Corp. (2)(c) | | | 1.500% | | | | 12/01/20 | | | | 17,025 | | | | 16,993,078 | |
| WebMD Health Corp. (2)(c) | | | 2.250% | | | | 03/31/16 | | | | 5,075 | | | | 5,090,859 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 212,881,840 | |
| | | | | | | | | | | | | | | | |
| Materials - 0.4% | | | | | | | | | | | | | | | | |
| A.M. Castle & Co. (2)(c) | | | 7.000% | | | | 12/15/17 | | | | 925 | | | | 941,187 | |
| Cemex SAB de CV (Mexico) (2)(c) | | | 3.750% | | | | 03/15/18 | | | | 1,625 | | | | 1,959,141 | |
| Cereplast, Inc. (3)(b)(g) | | | 7.000% | | | | 06/01/16 | | | | 3,516 | | | | — | |
| Molycorp, Inc. (2) | | | 6.000% | | | | 09/01/17 | | | | 3,675 | | | | 1,102,500 | |
| ShengdaTech, Inc. 144A (3)(b)(f)(g) | | | 6.000% | | | | 06/01/18 | | | | 300 | | | | 3 | |
| ShengdaTech, Inc. 144A (3)(b)(f)(g) | | | 6.500% | | | | 12/15/15 | | | | 1,200 | | | | 12 | |
| Stillwater Mining Co. (2)(c) | | | 1.750% | | | | 10/15/32 | | | | 4,825 | | | | 5,958,875 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,961,718 | |
| | | | | | | | | | | | | | | | |
| Telecommunication Services - 0.4% | | | | | | | | | | | | | | | | |
| Nortel Networks Corp. (Canada) (2)(c)(g) | | | 1.750% | | | | 04/15/12 | | | | 8,325 | | | | 8,158,500 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Utilities - 0.9% | | | | | | | | | | | | | | | | |
| NRG Yield, Inc. 144A (2)(c)(f) | | | 3.500% | | | | 02/01/19 | | | | 17,600 | | | | 19,404,000 | |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS
(cost $648,399,590) | | | | | | | | | | | | | | | 626,881,542 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| CLOSED END FUNDS - 5.5% | | SHARES | | | VALUE (Note 5) | |
| Aberdeen Global Income Fund, Inc. | | | 8,502 | | | $ | 81,704 | |
| Advent Claymore Convertible Securities and Income Fund (c) | | | 4,651 | | | | 76,044 | |
| Advent Claymore Convertible Securities and Income Fund II | | | 124,487 | | | | 784,268 | |
| Advent Claymore Enhanced Growth & Income Fund (c) | | | 43,654 | | | | 388,521 | |
| Alliance California Municipal Income Fund, Inc. (c) | | | 18,081 | | | | 245,178 | |
| Alpine Global Dynamic Dividend Fund | | | 30,158 | | | | 296,755 | |
| Alpine Global Premier Properties Fund | | | 159,356 | | | | 1,148,957 | |
| Apollo Senior Floating Rate Fund, Inc. | | | 16,350 | | | | 271,900 | |
| Ares Dynamic Credit Allocation Fund, Inc. | | | 34,539 | | | | 546,407 | |
| Avenue Income Credit Strategies Fund | | | 22,934 | | | | 346,533 | |
| BlackRock Build America Bond Trust | | | 16,017 | | | | 354,937 | |
| BlackRock California Municipal Income Trust | | | 1,453 | | | | 21,766 | |
| BlackRock Core Bond Trust | | | 347,952 | | | | 4,592,966 | |
| BlackRock Corporate High Yield Fund, Inc. | | | 243,405 | | | | 2,774,817 | |
| BlackRock Credit Allocation Income Trust | | | 557,656 | | | | 7,204,916 | |
| BlackRock Enhanced Equity Dividend Trust | | | 170,285 | | | | 1,382,714 | |
| BlackRock Floating Rate Income Strategies Fund, Inc. | | | 30,812 | | | | 412,573 | |
| BlackRock Floating Rate Income Trust | | | 9,470 | | | | 121,689 | |
| BlackRock Global Opportunities Equity Trust | | | 165,445 | | | | 2,172,293 | |
| BlackRock Limited Duration Income Trust | | | 38,560 | | | | 606,163 | |
| | | | | | | | |
| CLOSED END FUNDS - 5.5% (continued) | | SHARES | | | VALUE (Note 5) | |
| BlackRock Long-Term Municipal Advantage Trust | | | 15,481 | | | $ | 174,935 | |
| BlackRock Muni Intermediate Duration Fund, Inc. | | | 39,921 | | | | 574,862 | |
| BlackRock Municipal Income Investment Quality Trust | | | 26,021 | | | | 373,141 | |
| BlackRock Municipal Income Quality Trust | | | 28,111 | | | | 404,236 | |
| BlackRock Municipal Target Term Trust | | | 162,739 | | | | 3,269,427 | |
| BlackRock MuniEnhanced Fund, Inc. (2) | | | 3,964 | | | | 45,190 | |
| BlackRock MuniHoldings California Quality Fund, Inc. | | | 81,980 | | | | 1,186,251 | |
| BlackRock MuniHoldings Investment Quality Fund | | | 46,843 | | | | 668,918 | |
| BlackRock MuniHoldings New Jersey Quality Fund, Inc. | | | 42,937 | | | | 622,586 | |
| BlackRock MuniHoldings New York Quality Fund, Inc. | | | 9,946 | | | | 139,145 | |
| BlackRock MuniHoldings Quality Fund II, Inc. | | | 24,950 | | | | 336,326 | |
| BlackRock MuniHoldings Quality Fund, Inc. | | | 30,779 | | | | 409,976 | |
| BlackRock MuniYield California Quality Fund, Inc. | | | 42,019 | | | | 638,689 | |
| BlackRock MuniYield Investment Quality Fund | | | 20,867 | | | | 287,130 | |
| BlackRock MuniYield Michigan Quality Fund II, Inc. | | | 36,650 | | | | 471,319 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
48
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| CLOSED END FUNDS - 5.5% (continued) | | SHARES | | | VALUE (Note 5) | |
| BlackRock MuniYield Michigan Quality Fund, Inc. | | | 47,232 | | | $ | 655,108 | |
| BlackRock MuniYield New Jersey Fund, Inc. | | | 19,001 | | | | 284,065 | |
| BlackRock MuniYield New Jersey Quality Fund, Inc. | | | 17,290 | | | | 250,013 | |
| BlackRock MuniYield New York Quality Fund, Inc. | | | 13,209 | | | | 171,849 | |
| BlackRock MuniYield Pennsylvania Quality Fund | | | 23,877 | | | | 342,396 | |
| BlackRock MuniYield Quality Fund II, Inc. | | | 11,643 | | | | 153,571 | |
| BlackRock MuniYield Quality Fund III, Inc. | | | 23,280 | | | | 327,550 | |
| BlackRock Resources & Commodities Strategy Trust | | | 434,380 | | | | 4,217,830 | |
| Blackstone / GSO Senior Floating Rate Term Fund | | | 848 | | | | 14,196 | |
| Blackstone/GSO Long-Short Credit Income Fund | | | 27,631 | | | | 429,109 | |
| Blackstone/GSO Strategic Credit Fund | | | 108,876 | | | | 1,794,276 | |
| CBRE Clarion Global Real Estate Income Fund | | | 155,595 | | | | 1,398,799 | |
| Central Securities Corp. | | | 54,382 | | | | 1,192,053 | |
| Cohen & Steers Closed-End Opportunity Fund, Inc. | | | 34,794 | | | | 457,541 | |
| Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | | | 18,995 | | | | 430,427 | |
| Cohen & Steers Quality Income Realty Fund, Inc. | | | 181,588 | | | | 2,213,558 | |
| Cohen & Steers REIT and Preferred Income Fund, Inc. | | | 53,881 | | | | 1,023,200 | |
| Cohen & Steers Select Preferred and Income Fund, Inc. | | | 6,346 | | | | 163,092 | |
| Cohen & Steers Total Return Realty Fund, Inc. | | | 24,455 | | | | 322,806 | |
| Cushing Renaissance Fund/The | | | 500 | | | | 10,660 | |
| Delaware Investments Minnesota Municipal Income Fund II, Inc. | | | 9,990 | | | | 133,267 | |
| Deutsche High Income Opportunities Fund, Inc. | | | 28,804 | | | | 404,120 | |
| Deutsche High Income Trust | | | 25,526 | | | | 223,097 | |
| DTF Tax-Free Income, Inc. | | | 6,319 | | | | 97,123 | |
| Duff & Phelps Utility and Corporate Bond Trust, Inc. | | | 3,263 | | | | 32,010 | |
| Eaton Vance California Municipal Bond Fund | | | 41,609 | | | | 489,738 | |
| Eaton Vance Floating-Rate Income Trust | | | 25,203 | | | | 350,070 | |
| Eaton Vance Limited Duration Income Fund | | | 156,106 | | | | 2,204,217 | |
| Eaton Vance Municipal Bond Fund | | | 77,970 | | | | 1,000,355 | |
| Eaton Vance Municipal Bond Fund II | | | 8,240 | | | | 104,566 | |
| Eaton Vance National Municipal Opportunities Trust | | | 43,975 | | | | 923,475 | |
| Eaton Vance New York Municipal Bond Fund | | | 38,215 | | | | 480,363 | |
| Eaton Vance Senior Floating-Rate Trust | | | 3,831 | | | | 52,446 | |
| Eaton Vance Senior Income Trust | | | 53,922 | | | | 336,473 | |
| Eaton Vance Short Duration Diversified Income Fund | | | 55,326 | | | | 782,863 | |
| Eaton Vance Tax-Advantaged Bond and Options Strategies Fund | | | 5,444 | | | | 69,084 | |
| Ellsworth Fund Ltd. | | | 23,372 | | | | 203,570 | |
| First Trust Aberdeen Emerging Opportunity Fund | | | 863 | | | | 14,196 | |
| First Trust Aberdeen Global Opportunity Income Fund | | | 42,683 | | | | 513,903 | |
| First Trust High Income Long/Short Fund | | | 107,139 | | | | 1,714,224 | |
| First Trust Senior Floating Rate Income Fund II | | | 14,312 | | | | 186,199 | |
| Fort Dearborn Income Securities, Inc. | | | 13,973 | | | | 197,858 | |
| | | | | | | | |
| CLOSED END FUNDS - 5.5% (continued) | | SHARES | | | VALUE (Note 5) | |
| Franklin Limited Duration Income Trust | | | 70,961 | | | $ | 865,015 | |
| Gabelli Healthcare & WellnessRx Trust/The | | | 12,076 | | | | 125,832 | |
| Guggenheim Build America Bonds Managed Duration Trust | | | 8,004 | | | | 177,529 | |
| Invesco Advantage Municipal Income Trust II | | | 63,139 | | | | 732,412 | |
| Invesco Bond Fund | | | 52,116 | | | | 958,934 | |
| Invesco California Value Municipal Income Trust | | | 27,787 | | | | 357,341 | |
| Invesco Dynamic Credit Opportunities Fund | | | 59,378 | | | | 703,629 | |
| Invesco High Income Trust II | | | 7,724 | | | | 115,937 | |
| Invesco Municipal Income Opportunities Trust | | | 13,644 | | | | 95,235 | |
| Invesco Municipal Opportunity Trust | | | 104,024 | | | | 1,337,749 | |
| Invesco Municipal Trust | | | 84,571 | | | | 1,070,669 | |
| Invesco Quality Municipal Income Trust | | | 89,505 | | | | 1,117,917 | |
| Invesco Trust for Investment Grade Municipals | | | 79,565 | | | | 1,057,419 | |
| Invesco Trust for Investment Grade New York Municipals | | | 13,438 | | | | 183,697 | |
| John Hancock Income Securities Trust | | | 8,578 | | | | 122,580 | |
| John Hancock Premium Dividend Fund | | | 89,426 | | | | 1,229,607 | |
| John Hancock Tax-Advantaged Dividend Income Fund | | | 17,405 | | | | 387,609 | |
| Liberty All Star Equity Fund | | | 171,390 | | | | 1,024,912 | |
| LMP Corporate Loan Fund, Inc. | | | 4,390 | | | | 48,334 | |
| LMP Real Estate Income Fund, Inc. | | | 35,078 | | | | 440,229 | |
| Macquarie Global Infrastructure Total Return Fund, Inc. | | | 649 | | | | 16,043 | |
| Madison Covered Call & Equity Strategy Fund | | | 14,157 | | | | 115,238 | |
| MFS Investment Grade Municipal Trust | | | 26,206 | | | | 245,812 | |
| MFS Municipal Income Trust | | | 53,075 | | | | 352,418 | |
| Montgomery Street Income Securities, Inc. | | | 4,609 | | | | 75,680 | |
| Morgan Stanley Income Securities, Inc. | | | 39,843 | | | | 714,385 | |
| Neuberger Berman High Yield Strategies Fund, Inc. | | | 26,697 | | | | 328,373 | |
| Neuberger Berman Real Estate Securities Income Fund, Inc. | | | 25,247 | | | | 133,557 | |
| New America High Income Fund, Inc./The | | | 16,282 | | | | 145,561 | |
| Nuveen AMT-Free Municipal Income Fund | | | 103,212 | | | | 1,426,390 | |
| Nuveen Arizona Premium Income Municipal Fund | | | 2,647 | | | | 37,905 | |
| Nuveen Build America Bond Fund | | | 50,044 | | | | 1,059,932 | |
| Nuveen Build America Bond Opportunity Fund | | | 15,740 | | | | 345,493 | |
| Nuveen California AMT-Free Municipal Income Fund | | | 71,245 | | | | 1,050,151 | |
| Nuveen California Dividend Advantage Municipal Fund 2 | | | 24,796 | | | | 355,575 | |
| Nuveen California Dividend Advantage Municipal Fund 3 | | | 41,357 | | | | 559,560 | |
| Nuveen Connecticut Premium Income Municipal Fund | | | 36,574 | | | | 458,638 | |
| Nuveen Credit Strategies Income Fund | | | 261,306 | | | | 2,291,654 | |
| Nuveen Diversified Dividend & Income Fund | | | 32,895 | | | | 387,174 | |
| Nuveen Dividend Advantage Municipal Fund | | | 56,024 | | | | 802,824 | |
| Nuveen Dividend Advantage Municipal Fund 2 | | | 70,851 | | | | 999,708 | |
| Nuveen Dividend Advantage Municipal Fund 3 | | | 65,010 | | | | 895,838 | |
| Nuveen Dividend Advantage Municipal Income Fund | | | 41,648 | | | | 587,653 | |
| Nuveen Georgia Dividend Advantage Municipal Fund 2 | | | 20,940 | | | | 263,216 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
49
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| CLOSED END FUNDS - 5.5% (continued) | | SHARES | | | VALUE (Note 5) | |
| Nuveen Global Equity Income Fund | | | 53,295 | | | $ | 693,368 | |
| Nuveen Intermediate Duration Municipal Term Fund | | | 62,656 | | | | 783,200 | |
| Nuveen Investment Quality Municipal Fund, Inc. | | | 11,289 | | | | 171,931 | |
| Nuveen Maryland Premium Income Municipal Fund | | | 66,457 | | | | 840,681 | |
| Nuveen Massachusetts Premium Income Municipal Fund | | | 5,454 | | | | 72,211 | |
| Nuveen Municipal Advantage Fund, Inc. | | | 58,592 | | | | 800,367 | |
| Nuveen Municipal Market Opportunity Fund, Inc. | | | 83,489 | | | | 1,137,955 | |
| Nuveen Municipal Opportunity Fund, Inc. | | | 74,041 | | | | 1,086,181 | |
| Nuveen New Jersey Dividend Advantage Municipal Fund | | | 76,866 | | | | 1,036,154 | |
| Nuveen New York AMT-Free Municipal Income Fund | | | 94,914 | | | | 1,224,391 | |
| Nuveen New York Dividend Advantage Municipal Fund | | | 24,278 | | | | 328,481 | |
| Nuveen New York Performance Plus Municipal Fund, Inc. | | | 22,163 | | | | 320,034 | |
| Nuveen North Carolina Premium Income Municipal Fund | | | 43,250 | | | | 563,115 | |
| Nuveen Ohio Quality Income Municipal Fund | | | 3,419 | | | | 52,413 | |
| Nuveen Pennsylvania Investment Quality Municipal Fund | | | 62,677 | | | | 860,555 | |
| Nuveen Performance Plus Municipal Fund, Inc. | | | 72,347 | | | | 1,067,118 | |
| Nuveen Preferred & Income Term Fund | | | 23,500 | | | | 527,575 | |
| Nuveen Preferred Income Opportunities Fund | | | 167,237 | | | | 1,598,786 | |
| Nuveen Premier Municipal Income Fund, Inc. | | | 38,893 | | | | 543,335 | |
| Nuveen Premium Income Municipal Fund 2, Inc. | | | 134,496 | | | | 1,904,463 | |
| Nuveen Premium Income Municipal Fund 4, Inc. | | | 35,084 | | | | 465,214 | |
| Nuveen Premium Income Municipal Fund, Inc. | | | 108,215 | | | | 1,499,860 | |
| Nuveen Quality Income Municipal Fund, Inc. | | | 63,561 | | | | 887,947 | |
| Nuveen Quality Municipal Fund, Inc. | | | 89,909 | | | | 1,185,001 | |
| Nuveen Quality Preferred Income Fund | | | 123,651 | | | | 996,627 | |
| Nuveen Quality Preferred Income Fund 2 | | | 250,883 | | | | 2,232,859 | |
| Nuveen Quality Preferred Income Fund 3 | | | 68,756 | | | | 572,737 | |
| | | | | | | | |
| CLOSED END FUNDS - 5.5% (continued) | | SHARES | | | VALUE (Note 5) | |
| Nuveen Select Quality Municipal Fund, Inc. | | | 77,039 | | | $ | 1,075,464 | |
| Nuveen Short Duration Credit Opportunities Fund | | | 15,214 | | | | 253,313 | |
| Nuveen Tax-Advantaged Dividend Growth Fund | | | 4,287 | | | | 69,235 | |
| Nuveen Virginia Premium Income Municipal Fund | | | 27,430 | | | | 359,333 | |
| Petroleum & Resources Corp. | | | 24,956 | | | | 594,951 | |
| Pioneer Floating Rate Trust | | | 27,521 | | | | 313,189 | |
| Prudential Global Short Duration High Yield Fund, Inc. | | | 39,027 | | | | 621,310 | |
| Putnam High Income Securities Fund | | | 47,652 | | | | 386,458 | |
| Putnam Managed Municipal Income Trust | | | 95,874 | | | | 695,087 | |
| Putnam Municipal Opportunities Trust | | | 101,832 | | | | 1,220,966 | |
| RMR Real Estate Income Fund | | | 10,058 | | | | 209,408 | |
| Source Capital, Inc. | | | 6,641 | | | | 479,009 | |
| Stone Harbor Emerging Markets Total Income Fund | | | 3,290 | | | | 50,173 | |
| Templeton Global Income Fund | | | 111,048 | | | | 798,435 | |
| Transamerica Income Shares, Inc. | | | 22,723 | | | | 459,459 | |
| Wells Fargo Advantage Income Opportunities Fund | | | 45,815 | | | | 407,295 | |
| Wells Fargo Advantage Multi-Sector Income Fund | | | 96,237 | | | | 1,311,710 | |
| Western Asset Global Corporate Defined Opportunity Fund, Inc. | | | 87,586 | | | | 1,557,279 | |
| Western Asset Global High Income Fund, Inc. | | | 21,465 | | | | 238,262 | |
| Western Asset Global Partners Income Fund, Inc. | | | 20,029 | | | | 196,284 | |
| Western Asset High Income Opportunity Fund, Inc. | | | 129,500 | | | | 695,415 | |
| Western Asset Income Fund | | | 19,051 | | | | 256,236 | |
| Western Asset Managed High Income Fund, Inc. | | | 114,518 | | | | 585,187 | |
| Western Asset Municipal High Income Fund, Inc. | | | 24,410 | | | | 187,957 | |
| Western Asset Municipal Partners Fund, Inc. | | | 11,064 | | | | 164,079 | |
| Western Asset Worldwide Income Fund, Inc. | | | 49,292 | | | | 562,422 | |
| | | | | | | | |
TOTAL CLOSED END FUNDS
(cost $117,473,151) | | | | | | | 122,800,387 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | |
| LOAN PARTICIPATIONS - 1.2% | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| Consumer Discretionary - 0.3% | | | | | | | | | | | | | | | | |
| Dex Media West, Inc. (2)(h) | | | 8.000% | | | | 12/30/16 | | | | $ 1,372 | | | $ | 1,191,886 | |
| Exide Technologies (2) | | | 9.000% | | | | 03/31/15 | | | | 4,154 | | | | 3,510,227 | |
| RH Donnelley, Inc. (2)(h) | | | 9.750% | | | | 12/31/16 | | | | 3,412 | | | | 2,432,742 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 7,134,855 | |
| | | | | | | | | | | | | | | | |
| Financials - 0.7% | | | | | | | | | | | | | | | | |
| J.G. Wentworth LLC (2)(h) | | | 7.000% | | | | 02/08/18 | | | | 1,876 | | | | 1,850,376 | |
| Toys R Us Property Co. II LLC (2) | | | 9.750% | | | | 04/24/20 | | | | 13,975 | | | | 12,826,395 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 14,676,771 | |
| | | | | | | | | | | | | | | | |
| Utilities - 0.2% | | | | | | | | | | | | | | | | |
| Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (2)(h) | | | 4.250% | | | | 06/06/16 | | | | 5,050 | | | | 5,046,869 | |
| | | | | | | | | | | | | | | | |
TOTAL LOAN PARTICIPATIONS
(cost $28,610,942) | | | | | | | | | | | | | | | 26,858,495 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
50
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| PREFERRED STOCKS - 0.3% | | SHARES | | | VALUE (Note 5) | |
| Financials - 0.3% | | | | | | |
| Ally Financial, Inc., Perpetual Preferred Stock, Series G 144A (2)†(c)(e)(f) | | | 2,175 | | | $ | 2,174,116 | |
| Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series V †(e) | | | 184,409 | | | | 527,410 | |
| Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series W †(e) | | | 91,025 | | | | 261,242 | |
| Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series X (2)†(e) | | | 80,343 | | | | 234,602 | |
| Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, 8.375%, Series Z †(e)(h) | | | 248,730 | | | | 982,483 | |
| Federal National Mortgage Association, Perpetual Preferred Stock, 8.250%, Series S †(e)(h) | | | 248,730 | | | | 962,585 | |
| First Bank, Inc., Perpetual Preferred Stock (3)†(b)(e) | | | 2,458 | | | | 853,511 | |
| | | | | | | | |
| | | | | | | 5,995,949 | |
| | | | | | | | |
| Utilities - 0.0% (a) | | | | | | |
| Genie Energy Ltd., Perpetual Preferred Stock,7.500%, Series 12-A †(e)(h) | | | 218,975 | | | | 1,386,112 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $12,716,574) | | | | | | | 7,382,061 | |
| | | | | | | | |
| | |
| RIGHTS - 0.2% | | | | | | | | |
| Financials - 0.1% | | | | | | |
| 1347 Capital Corp. (2)† | | | 420,504 | | | | 134,561 | |
| DT Asia Investments Ltd. (Hong Kong) (3)†(b) | | | 209,241 | | | | 50,218 | |
| Garnero Group Acquisition Co. (Brazil) † | | | 2,430,200 | | | | 729,060 | |
| | | | | | | | |
| | | | | | | 913,839 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Health Care - 0.1% | | | | | | |
| Ambit Biosciences Corp. (3)†(b) | | | 146,272 | | | $ | 93,238 | |
| American Medical Alert Corp. (3)†(b) | | | 283,523 | | | | 2,835 | |
| American Surgical Holdings, Inc. (3)†(b) | | | 15,747 | | | | — | |
| Chelsea Therapeutics International Ltd. (3)†(b) | | | 4,668,137 | | | | 343,341 | |
| Community Health Systems, Inc. †(c) | | | 2,402,200 | | | | 60,055 | |
| Durata Therapeutics, Inc. (3)†(b) | | | 261,441 | | | | 319,614 | |
| Forest Laboratories, Inc. (3)†(b) | | | 335,833 | | | | — | |
| Furiex Pharmaceuticals, Inc. (3)†(b) | | | 251,398 | | | | 2,476,776 | |
| | | | | | | | |
| | | | | | | 3,295,859 | |
| | | | | | | | |
| Information Technology - 0.0% (a) | | | | | | |
| Gerber Scientific, Inc. (3)†(b) | | | 879,944 | | | | — | |
| | | | | | | | |
TOTAL RIGHTS
(cost $—) | | | | | | | 4,209,698 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENTS - 8.1% | |
| PRINCIPAL
AMOUNT
(000’S) |
| | | | |
| U.S. Treasury Bill, 0.037%, 4/9/2015 (c) | | | $ 32,300 | | | | 32,297,610 | |
| U.S. Treasury Bill, 0.066%, 5/21/2015 (c) | | | 146,933 | | | | 146,900,381 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $179,192,156) | | | | | | | 179,197,991 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| U.S. TREASURY OBLIGATIONS - 0.1% | | | | | | | | | | | | |
U.S. Treasury Note
(cost $2,878,718) | | | 0.250% | | | | 08/15/15 | | | | $ 2,875 | | | $ | 2,876,124 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| WARRANTS - 0.7% | | SHARES | | | VALUE (Note 5) | |
| Consumer Discretionary - 0.2% | | | | | | |
| EveryWare Global, Inc. (2)† | | | 756,000 | | | $ | 26,460 | |
| General Motors Co. † | | | 356,485 | | | | 402,828 | |
| Hemisphere Media Group, Inc. (2)† | | | 743,407 | | | | 884,654 | |
| IVS Group SA (Luxembourg) (2)† | | | 590,301 | | | | 142,859 | |
| Jason Industries, Inc. † | | | 1,933,070 | | | | 2,319,684 | |
| | | | | | | | |
| | | | | | | 3,776,485 | |
| | | | | | | | |
| Energy - 0.0% (a) | | | | | | |
| Glori Energy, Inc. † | | | 287,100 | | | | 94,743 | |
| Green Field Energy Services, Inc. (3)†(b) | | | 2,025 | | | | — | |
| Harvest Natural Resources, Inc. (3)†(b) | | | 51,454 | | | | 16 | |
| | | | | | | | |
| | | | | | | 94,759 | |
| | | | | | | | |
| Financials - 0.4% | | | | | | |
| 1347 Capital Corp. (3)†(b) | | | 420,504 | | | | 84,101 | |
| AR Capital Acquisition Corp. (3)†(b) | | | 697,500 | | | | 139,500 | |
| Associated Banc-Corp † | | | 20,065 | | | | 58,189 | |
| Boston Private Financial Holdings, Inc. (2)† | | | 97,674 | | | | 616,323 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Financials - 0.4% (continued) | | | | | | |
| Boulevard Acquisition Corp. (3)†(b)(c) | | | 504,000 | | | $ | 267,624 | |
| Cambridge Capital Acquisition Corp. † | | | 1,478,400 | | | | 517,440 | |
| Capitol Acquisition Corp. II (2) † | | | 720,000 | | | | 244,800 | |
| Chart Acquisition Corp. (2) † | | | 1,268,625 | | | | 507,450 | |
| CIS Acquisition Ltd. (Russian Federation) † | | | 850,000 | | | | 289,000 | |
| Collabrium Japan Acquisition Corp. (United Kingdom) † | | | 595,000 | | | | 35,700 | |
| Comerica, Inc. (2) † | | | 9,708 | | | | 36,987 | |
| DT Asia Investments Ltd. (Hong Kong) (2) † | | | 209,241 | | | | 26,155 | |
| Garnero Group Acquisition Co. (Brazil) † | | | 2,430,200 | | | | 291,624 | |
| Hennessy Capital Acquisition Corp. (3)†(b) | | | 756,000 | | | | 264,600 | |
| KBS Fashion Group Ltd. (China) (3)†(b) | | | 763,024 | | | | 114,454 | |
| Levy Acquisition Corp. (2)† | | | 945,000 | | | | 349,650 | |
| Neostem (3)†(b) | | | 243,000 | | | | 2,097 | |
| ROI Acquisition Corp. II † | | | 882,000 | | | | 264,600 | |
| Silver Eagle Acquisition Corp. † | | | 1,971,250 | | | | 985,625 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
51
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Financials - 0.4% (continued) | | | | | | |
| Terrapin 3 Acquisition Corp. † | | | 1,428,000 | | | $ | 357,000 | |
| Valley National Bancorp † | | | 49,509 | | | | 13,367 | |
| WL Ross Holding Corp. † | | | 2,898,000 | | | | 3,419,640 | |
| | | | | | | | |
| | | | | | | 8,885,926 | |
| | | | | | | | |
| Health Care - 0.0% (a) | | | | | | |
| CorMedix, Inc. †(c) | | | 75,400 | | | | 6,288 | |
| Mast Therapeutics, Inc. (3)†(b) | | | 103,750 | | | | 4,339 | |
| Pluristem Therapeutics, Inc. (Israel) (3)†(b) | | | 63,750 | | | | 23,588 | |
| ReGeneRx Biopharmaceuticals, Inc. (3)†(b) | | | 240,000 | | | | 6,000 | |
| Venaxis, Inc. (3)†(b) | | | 24,000 | | | | 10,080 | |
| | | | | | | | |
| | | | | | | 50,295 | |
| | | | | | | | |
| Industrials - 0.0% (a) | | | | | | |
| Genco Shipping & Trading Ltd. † | | | 282,502 | | | | 483,078 | |
| Jack Cooper Holdings Corp. (3)†(b) | | | 448 | | | | 69,440 | |
Jack Cooper Holdings Corp.
144A (3)†(b)(f) | | | 1,775 | | | | 275,125 | |
| Pingtan Marine Enterprise Ltd. (China) † | | | 395,000 | | | | 49,375 | |
| | | | | | | | |
| | | | | | | 877,018 | |
| | | | | | | | |
| Information Technology - 0.1% | | | | | | |
| exceet Group SE (Germany) (3)†(b) | | | 72,000 | | | | 6,012 | |
| Global Eagle Entertainment, Inc. † | | | 372,773 | | | | 1,934,692 | |
| Net Element International, Inc. (Bulgaria) (2) † | | | 319,668 | | | | 15,984 | |
| RMG Networks Holding Corp. (2) † | | | 631,210 | | | | 25,248 | |
| Transwitch Corp. (3)†(b) | | | 640,000 | | | | 6 | |
| | | | | | | | |
| | | | | | | 1,981,942 | |
| | | | | | | | |
| Materials - 0.0% (a) | | | | | | |
| Tecnoglass, Inc. † | | | 371,009 | | | | 949,783 | |
| | | | | | | | |
| | |
| Utilities - 0.0% (a) | | | | | | |
| Electrawinds SE (Germany) (3)†(b) | | | 621,000 | | | | 3,757 | |
| | | | | | | | |
TOTAL WARRANTS
(cost $8,203,702) | | | | | | | 16,619,965 | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 19.2% | | | | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (2)(j) | | | 9,273,269 | | | | 9,273,269 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (2)(j) | | | 37,093,073 | | | | 37,093,073 | |
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.060% (2)(j) | | | 121,296,169 | | | | 121,296,169 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2) (j)(k) | | | 212,957,944 | | | | 212,957,944 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (2)(j) | | | 46,366,342 | | | | 46,366,342 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $426,986,797) | | | | | | | 426,986,797 | |
| | | | | | | | |
| | | | | | | | |
| | | CONTRACTS/
NOTIONAL | | | VALUE (Note 5) | |
| PURCHASED OPTIONS - 0.0% (a) | | | | | | |
| Put - Restaurant Brands International, Inc., Expires 01/17/2015, Strike $40.00 | | | | | | | | |
(cost $642,234) | | | 979 | | | $ | 174,458 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE
(cost $2,947,335,830) | | | | | | | 2,831,758,259 | |
| | | | | | | | |
| | |
| SECURITIES SOLD SHORT - (40.7)% | | | SHARES | | | | | |
| COMMON STOCKS - (38.7)% | | | | | | |
| | |
| Consumer Discretionary - (2.8)% | | | | | | |
| Carriage Services, Inc. | | | (205,453 | ) | | | (4,304,240 | ) |
| Dollar Tree, Inc. † | | | (22,668 | ) | | | (1,595,374 | ) |
| Group 1 Automotive, Inc. | | | (10,548 | ) | | | (945,312 | ) |
| JAKKS Pacific, Inc. † | | | (928,227 | ) | | | (6,311,944 | ) |
| M/I Homes, Inc. † | | | (95,925 | ) | | | (2,202,438 | ) |
| Meritage Homes Corp. † | | | (18,303 | ) | | | (658,725 | ) |
| MGM Resorts International † | | | (256,520 | ) | | | (5,484,398 | ) |
| Sirius XM Holdings, Inc. † | | | (3,064,923 | ) | | | (10,727,230 | ) |
| Tesla Motors, Inc. † | | | (69,615 | ) | | | (15,483,072 | ) |
| Twenty-First Century Fox, Inc., Class A | | | (357,026 | ) | | | (13,711,583 | ) |
| | | | | | | | |
| | | | | | | (61,424,316 | ) |
| | | | | | | | |
| Consumer Staples - (2.2)% | | | | | | |
| Bunge Ltd. | | | (35,776 | ) | | | (3,252,396 | ) |
| Post Holdings, Inc. † | | | (108,080 | ) | | | (4,527,471 | ) |
| Rite Aid Corp. † | | | (115,908 | ) | | | (871,628 | ) |
| Tyson Foods, Inc., Class A | | | (182,615 | ) | | | (7,321,036 | ) |
| Universal Corp. | | | (406,871 | ) | | | (17,894,187 | ) |
| Vector Group Ltd. | | | (694,655 | ) | | | (14,803,098 | ) |
| | | | | | | | |
| | | | | | | (48,669,816 | ) |
| | | | | | | | |
| Energy - (2.0)% | | | | | | |
| Aegean Marine Petroleum Network, Inc. (Greece) | | | (54,810 | ) | | | (768,436 | ) |
| Alpha Natural Resources, Inc. † | | | (137,534 | ) | | | (229,682 | ) |
| Cal Dive International, Inc. † | | | (178,948 | ) | | | (12,526 | ) |
| Chesapeake Energy Corp. | | | (36,403 | ) | | | (712,407 | ) |
| Emerald Oil, Inc. † | | | (79,313 | ) | | | (95,176 | ) |
| Energy XXI Ltd. | | | (88,806 | ) | | | (289,507 | ) |
| Halliburton Co. | | | (372,256 | ) | | | (14,640,828 | ) |
| PDC Energy, Inc. † | | | (2,403 | ) | | | (99,172 | ) |
| Polarcus Ltd. (Norway) (2) † | | | (155,079 | ) | | | (12,862 | ) |
| Renewable Energy Group, Inc. † | | | (192,638 | ) | | | (1,870,515 | ) |
| Royal Dutch Shell PLC ADR (Netherlands) | | | (151,862 | ) | | | (10,563,521 | ) |
| Sanchez Energy Corp. † | | | (1,078,358 | ) | | | (10,017,946 | ) |
| Scorpio Tankers, Inc. (Monaco) | | | (333,973 | ) | | | (2,902,225 | ) |
| Vantage Drilling Co. † | | | (14,861 | ) | | | (7,264 | ) |
| Whiting Petroleum Corp. † | | | (103,116 | ) | | | (3,402,828 | ) |
| ZaZa Energy Corp. † | | | (16,465 | ) | | | (41,492 | ) |
| | | | | | | | |
| | | | | | | (45,666,387 | ) |
| | | | | | | | |
| Financials - (8.2)% | | | | | | |
| American Equity Investment Life Holding Co. | | | (165,883 | ) | | | (4,842,125 | ) |
| American Realty Capital Properties, Inc. REIT | | | (185,694 | ) | | | (1,680,531 | ) |
| Ares Capital Corp. | | | (30,496 | ) | | | (475,890 | ) |
| Associated Banc-Corp | | | (11,154 | ) | | | (207,799 | ) |
| AV Homes, Inc. † | | | (47,386 | ) | | | (690,414 | ) |
| Bank of the Ozarks, Inc. | | | (7,224 | ) | | | (273,934 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
52
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Financials - (8.2)% (continued) | | | | | | |
| BB&T Corp. | | | (97,429 | ) | | $ | (3,789,014 | ) |
| BioMed Realty Trust, Inc. REIT | | | (133,910 | ) | | | (2,884,421 | ) |
| Boston Private Financial Holdings, Inc. | | | (96,922 | ) | | | (1,305,539 | ) |
| CareTrust REIT, Inc. REIT | | | (62,239 | ) | | | (767,407 | ) |
| Cowen Group, Inc., Class A † | | | (610,366 | ) | | | (2,929,757 | ) |
| Deutsche Annington Immobilien SE (Germany) (2) | | | (120,646 | ) | | | (4,096,132 | ) |
| E*TRADE Financial Corp. † | | | (168,230 | ) | | | (4,080,419 | ) |
| Element Financial Corp. (Canada) † | | | (391,429 | ) | | | (4,763,992 | ) |
| Encore Capital Group, Inc. † | | | (23,031 | ) | | | (1,022,576 | ) |
| Ezcorp, Inc., Class A † | | | (104,762 | ) | | | (1,230,954 | ) |
| Gain Capital Holdings, Inc. | | | (156,552 | ) | | | (1,412,099 | ) |
| Health Care REIT, Inc. REIT | | | (156,645 | ) | | | (11,853,327 | ) |
| iStar Financial, Inc. REIT † | | | (317,533 | ) | | | (4,334,325 | ) |
| KCAP Financial, Inc. | | | (133,941 | ) | | | (913,478 | ) |
| Kilroy Realty Corp. REIT | | | (90,494 | ) | | | (6,250,421 | ) |
| Klepierre REIT (France) (2) | | | (34,557 | ) | | | (1,483,815 | ) |
| Lexington Realty Trust REIT | | | (1,050,550 | ) | | | (11,535,039 | ) |
| Meadowbrook Insurance Group, Inc. | | | (16,820 | ) | | | (142,297 | ) |
| MGIC Investment Corp. † | | | (1,391,257 | ) | | | (12,966,515 | ) |
| NorthStar Asset Management Group, Inc. | | | (1,074 | ) | | | (24,240 | ) |
| NorthStar Realty Finance Corp. REIT | | | (890,604 | ) | | | (15,656,818 | ) |
| Northwest Bancshares, Inc. | | | (59,807 | ) | | | (749,382 | ) |
| PHH Corp. † | | | (609,971 | ) | | | (14,614,905 | ) |
| Prospect Capital Corp. | | | (9,498 | ) | | | (78,453 | ) |
| Radian Group, Inc. | | | (946,415 | ) | | | (15,824,059 | ) |
| RenaissanceRe Holdings Ltd. | | | (13,080 | ) | | | (1,271,638 | ) |
| Renasant Corp. | | | (1,369 | ) | | | (39,605 | ) |
| Resource Capital Corp. REIT | | | (58,784 | ) | | | (296,272 | ) |
| Ryman Hospitality Properties, Inc. REIT | | | (463,966 | ) | | | (24,469,567 | ) |
| Starwood Property Trust, Inc. REIT | | | (71,427 | ) | | | (1,659,963 | ) |
| Starwood Waypoint Residential Trust REIT | | | (98,282 | ) | | | (2,591,696 | ) |
| Sterling Bancorp | | | (16,221 | ) | | | (233,258 | ) |
| Stewart Information Services Corp. | | | (475,543 | ) | | | (17,614,113 | ) |
| Valley National Bancorp | | | (2,074 | ) | | | (20,139 | ) |
| Ventas, Inc. REIT | | | (2,295 | ) | | | (164,552 | ) |
| ZAIS Financial Corp. REIT | | | (72,015 | ) | | | (1,242,259 | ) |
| | | | | | | | |
| | | | | | | (182,483,139 | ) |
| | | | | | | | |
| Health Care - (5.3)% | | | | | | |
| Accuray, Inc. † | | | (499,625 | ) | | | (3,772,169 | ) |
| Acorda Therapeutics, Inc. † | | | (15,214 | ) | | | (621,796 | ) |
| Actavis PLC † | | | (23,913 | ) | | | (6,155,445 | ) |
| Affymetrix, Inc. † | | | (739,129 | ) | | | (7,295,203 | ) |
| Albany Molecular Research, Inc. † | | | (73,182 | ) | | | (1,191,403 | ) |
| Amsurg Corp. † | | | (132,169 | ) | | | (7,233,609 | ) |
| China Medical Technologies, Inc. ADR (China) (3)†(b) | | | (45,264 | ) | | | (453 | ) |
| Covidien PLC (Ireland) | | | (108,498 | ) | | | (11,097,176 | ) |
| Endo International PLC (Ireland) † | | | (175,794 | ) | | | (12,678,263 | ) |
| Healthways, Inc. † | | | (78,093 | ) | | | (1,552,489 | ) |
| Illumina, Inc. † | | | (25 | ) | | | (4,615 | ) |
| Kindred Healthcare, Inc. | | | (58,413 | ) | | | (1,061,948 | ) |
| Molina Healthcare, Inc. † | | | (18,552 | ) | | | (993,089 | ) |
| Omnicare, Inc. | | | (65,927 | ) | | | (4,808,056 | ) |
| PDL BioPharma, Inc. | | | (215,944 | ) | | | (1,664,928 | ) |
| Regeneron Pharmaceuticals, Inc. † | | | (110,764 | ) | | | (45,440,931 | ) |
| Sequenom, Inc. † | | | (777,082 | ) | | | (2,875,203 | ) |
| Spectrum Pharmaceuticals, Inc. † | | | (335,198 | ) | | | (2,322,922 | ) |
| Wright Medical Group, Inc. † | | | (302,123 | ) | | | (8,118,045 | ) |
| | | | | | | | |
| | | | | | | (118,887,743 | ) |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Industrials - (2.4)% | | | | | | |
| Bollore SA (France) (2) | | | (82,900 | ) | | $ | (377,534 | ) |
| CBIZ, Inc. † | | | (161,506 | ) | | | (1,382,492 | ) |
| Cenveo, Inc. † | | | (180,413 | ) | | | (378,867 | ) |
| General Cable Corp. | | | (34,558 | ) | | | (514,914 | ) |
| Hawaiian Holdings, Inc. † | | | (38,062 | ) | | | (991,515 | ) |
| JetBlue Airways Corp. † | | | (1,359,450 | ) | | | (21,560,877 | ) |
| Layne Christensen Co. † | | | (10,008 | ) | | | (95,476 | ) |
| MasTec, Inc. † | | | (126,763 | ) | | | (2,866,112 | ) |
| Meritor, Inc. † | | | (524,609 | ) | | | (7,947,826 | ) |
| Terex Corp. | | | (278,230 | ) | | | (7,757,053 | ) |
| Titan International, Inc. | | | (443,827 | ) | | | (4,717,881 | ) |
| UTi Worldwide, Inc. † | | | (486,603 | ) | | | (5,873,298 | ) |
| | | | | | | | |
| | | | | | | (54,463,845 | ) |
| | | | | | | | |
| Information Technology - (11.7)% | | | | | | |
| Alibaba Group Holding Ltd. ADR (China) † | | | (800,110 | ) | | | (83,163,433 | ) |
| Alliance Data Systems Corp. † | | | (390 | ) | | | (111,560 | ) |
| Ciena Corp. † | | | (302,036 | ) | | | (5,862,519 | ) |
| Convergys Corp. | | | (600,156 | ) | | | (12,225,178 | ) |
| Finisar Corp. † | | | (37,470 | ) | | | (727,293 | ) |
| Global Eagle Entertainment, Inc. † | | | (278,622 | ) | | | (3,792,045 | ) |
| Microchip Technology, Inc. | | | (197,380 | ) | | | (8,903,812 | ) |
| Micron Technology, Inc. † | | | (699,240 | ) | | | (24,480,392 | ) |
| ModusLink Global Solutions, Inc. † | | | (816,059 | ) | | | (3,060,221 | ) |
| Nuance Communications, Inc. † | | | (2,972 | ) | | | (42,410 | ) |
| Palo Alto Networks, Inc. † | | | (10,717 | ) | | | (1,313,583 | ) |
| Photronics, Inc. † | | | (432,751 | ) | | | (3,596,161 | ) |
| Quantum Corp. † | | | (831,512 | ) | | | (1,463,461 | ) |
| Rambus, Inc. † | | | (324,705 | ) | | | (3,600,978 | ) |
| RF Micro Devices, Inc. † | | | (368,404 | ) | | | (6,111,822 | ) |
| SunEdison, Inc. † | | | (2,316,014 | ) | | | (45,185,433 | ) |
| SunPower Corp. † | | | (21,360 | ) | | | (551,729 | ) |
| TTM Technologies, Inc. † | | | (13,123 | ) | | | (98,816 | ) |
| VeriSign, Inc. † | | | (726,378 | ) | | | (41,403,546 | ) |
| Vishay Intertechnology, Inc. | | | (230,251 | ) | | | (3,258,052 | ) |
| Web.com Group, Inc. † | | | (52,500 | ) | | | (996,975 | ) |
| WebMD Health Corp. † | | | (233,907 | ) | | | (9,251,022 | ) |
| | | | | | | | |
| | | | | | | (259,200,441 | ) |
| | | | | | | | |
| Materials - (0.5)% | | | | | | |
| A.M. Castle & Co. † | | | (57,565 | ) | | | (459,369 | ) |
| Alcoa, Inc. | | | (99,112 | ) | | | (1,564,978 | ) |
| Cemex SAB de CV ADR (Mexico) † | | | (129,722 | ) | | | (1,321,867 | ) |
| Holcim Ltd. (Switzerland) (2)† | | | (19,501 | ) | | | (1,394,013 | ) |
| RTI International Metals, Inc. † | | | (16,610 | ) | | | (419,569 | ) |
| Stillwater Mining Co. † | | | (310,867 | ) | | | (4,582,180 | ) |
| Vale SA ADR (Brazil) | | | (167,042 | ) | | | (1,366,403 | ) |
| | | | | | | | |
| | | | | | | (11,108,379 | ) |
| | | | | | | | |
| Telecommunication Services - (0.3)% | | | | |
| BCE, Inc. (Canada) | | | (33,991 | ) | | | (1,558,823 | ) |
| Level 3 Communications, Inc. † | | | (16,356 | ) | | | (807,659 | ) |
| T-Mobile US, Inc. † | | | (140,515 | ) | | | (3,785,474 | ) |
| | | | | | | | |
| | | | | | | (6,151,956 | ) |
| | | | | | | | |
| Utilities - (3.3)% | | | | | | |
| Dominion Resources, Inc. | | | (328,924 | ) | | | (25,294,256 | ) |
| NextEra Energy, Inc. | | | (360,100 | ) | | | (38,275,029 | ) |
| NRG Yield, Inc., Class A | | | (206,057 | ) | | | (9,713,527 | ) |
| | | | | | | | |
| | | | | | | (73,282,812 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
SOLD SHORT
(proceeds $858,171,890) | | | | | | | (861,338,834 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
53
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | |
| CONVERTIBLE BONDS - (1.9)% | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE (Note 5) | |
| Health Care - (0.5)% | | | | | | | | | | | | | | | | |
| Teva Pharmaceutical Finance Co. LLC, Series C (2) | | | 0.250% | | | | 02/01/26 | | | | $ (7,600 | ) | | $ | (10,383,500 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| Information Technology - (1.4)% | | | | | | | | | | | | | | | | |
| Citrix Systems, Inc. 144A (2)(f) | | | 0.500% | | | | 04/15/19 | | | | (9,975 | ) | | | (10,504,922 | ) |
| ON Semiconductor Corp., Series B (2) | | | 2.625% | | | | 12/15/26 | | | | (4,975 | ) | | | (5,914,031 | ) |
| Red Hat, Inc. 144A (2)(f) | | | 0.250% | | | | 10/01/19 | | | | (12,225 | ) | | | (14,425,500 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (30,844,453 | ) |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS SOLD SHORT
(proceeds $39,277,820) | | | | | | | | | | | | | | | (41,227,953 | ) |
| | | | | | | | | | | | | | | | |
| U.S. TREASURY OBLIGATIONS - (0.1)% | | | | | | | | | | | | |
U.S. Treasury Note (2)
(proceeds $2,876,263) | | | 0.250% | | | | 08/15/15 | | | | (2,875 | ) | | | (2,876,124 | ) |
| | | | | | | | | | | | | | | | |
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $900,325,973) | | | | | | | | | | | | | | | (905,442,911 | ) |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 86.5%
(cost $2,047,009,857) | | | | | | | | | | | | | | | 1,926,315,348 | |
| | | | | | | | | | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.5% (l) | | | | | | | | | | | | 298,992,542 | |
| | | | | | | | | | | | | | | | |
NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 2,225,307,890 | |
| | | | | | | | | | | | | | | | |
| † | Non income-producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Security fair valued as of December 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $180,774,514 or 8.1% of total net assets. |
| (c) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $1,036,439,352. Additional cash collateral pledged was $204,331,250. |
| (d) | Represents a Pay-in-Kind Stock. |
| (e) | 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 December 31, 2014. |
| (f) | 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. |
| (h) | Indicates a variable rate security. The interest rate shown represents the discount rate at December 31, 2014. |
| (i) | Represents a step bond. The rate shown reflects the yield at December 31, 2014. |
| (j) | Represents annualized seven-day yield as of December 31, 2014. |
| (k) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
| (l) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and call options written. |
| * | All or a portion of this security has been segregated for covered call options written. |
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
CAD - Canadian Dollar
MTN - Medium Term Note
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
54
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
Credit default swap contracts buy protection as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | REFERENCE
ENTITY | | FIXED
ANNUAL
RATE
RECEIVED
BY FUND | | | CURRENCY | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared | | | | | | | | | | | | | | | | | | | | | | | | | | |
| CitiBank | | Markit CDX North America High Yield Index Series 23 | | | 5.000% | | | USD | | | 3.557% | | | | 237,150,000 | | | | $(11,699,067 | ) | | | 12/20/2019 | | | | $(3,430,500 | ) |
| CitiBank | | Markit CDX North America Investment Grade Index Series 23 | | | 1.000% | | | USD | | | 0.661% | | | | 7,925,000 | | | | (117,083 | ) | | | 12/20/2019 | | | | (12,464 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(11,816,150 | ) | | | | | | | $(3,442,964 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit default swap contracts sell protection as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | REFERENCE
ENTITY | | FIXED
ANNUAL
RATE
RECEIVED
BY FUND | | | CURRENCY | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared | | | | | | | | | | | | | | | | | | | | | | | | | | |
| CitiBank | | Markit CDX North America High Yield Index Series 23 | | | 5.000% | | | USD | | | 3.557% | | | | 25,525,000 | | | | $1,697,255 | | | | 12/20/2019 | | | | $(4,516 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at CitiBank for exchange cleared credit default swap contracts and total return basket swap contracts was $21,397,164 at December 31, 2014.
Open written options contracts outstanding at December 31, 2014:
Call options written
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | ISSUER | | COUNTERPARTY | | EXPIRATION DATE | | | PROCEEDS | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 4,000 | | General Motors Co.
(Exercise price $42) | | J.P. Morgan | | | 1/15/2016 | | | | $(2,203,697 | ) | | | $(420,000 | ) | | | $1,783,697 | |
| 712 | | MGM Resorts International
(Exercise price $19)(2) | | J.P. Morgan | | | 3/20/2015 | | | | (89,697 | ) | | | (205,768 | ) | | | (116,071 | ) |
| 979 | | Restaurant Brands International, Inc.
(Exercise price $40) | | J.P. Morgan | | | 1/17/2015 | | | | (22,640 | ) | | | (53,307 | ) | | | (30,667 | ) |
| 25 | | Time Warner Cable, Inc.
(Exercise price $130) | | J.P. Morgan | | | 1/17/2015 | | | | (24,098 | ) | | | (62,750 | ) | | | (38,652 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(2,340,132 | ) | | | $(741,825 | ) | | | $1,598,307 | |
| | | | | | | | | | | | | | | | | | | | |
| (2) | Level 2 security (See Note 5). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
55
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: | | | | | | | | | | | | | | | | |
| 3,783 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | $(376,033,612 | ) | | | $(388,211,460 | ) | | | $(12,177,848 | ) |
| 291 | | Barclays Capital | | U.S. Treasury 10-Year
Note Futures | | | 3/2015 | | | | (36,662,167 | ) | | | (36,897,891 | ) | | | (235,724 | ) |
| 1,000 | | J.P. Morgan | | U.S. Treasury 2-Year
Note Futures | | | 3/2015 | | | | (218,872,852 | ) | | | (218,593,751 | ) | | | 279,101 | |
| 574 | | J.P. Morgan | | U.S. Treasury 5-Year
Note Futures | | | 3/2015 | | | | (68,296,342 | ) | | | (68,265,640 | ) | | | 30,702 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(699,864,973 | ) | | | $(711,968,742 | ) | | | $(12,103,769 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $34,697,901 and $531,073, respectively at December 31, 2014.
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Canadian Dollar, Expiring 01/07/15 | | Credit Suisse International | | CAD | | | 20,161,216 | | | | $17,512,011 | | | | $17,352,812 | | | | $(159,199 | ) |
| Canadian Dollar, Expiring 01/07/15 | | The Royal Bank of Scotland | | CAD | | | 15,199,609 | | | | 13,838,080 | | | | 13,082,344 | | | | (755,736 | ) |
| Euro, Expiring 03/18/15 | | CitiBank | | EUR | | | 1,638,587 | | | | 2,030,655 | | | | 1,984,086 | | | | (46,569 | ) |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 5,772,418 | | | | 7,153,180 | | | | 6,989,544 | | | | (163,636 | ) |
| Euro, Expiring 06/17/15 | | Credit Suisse International | | EUR | | | 5,869,279 | | | | 7,435,569 | | | | 7,113,560 | | | | (322,009 | ) |
| Euro, Expiring 01/07/15 | | The Royal Bank of Scotland | | EUR | | | 5,117,601 | | | | 6,749,156 | | | | 6,192,699 | | | | (556,457 | ) |
| Euro, Expiring 06/09/15 | | The Royal Bank of Scotland | | EUR | | | 742,500 | | | | 924,782 | | | | 899,832 | | | | (24,950 | ) |
| Euro, Expiring 11/09/15 | | The Royal Bank of Scotland | | EUR | | | 311,240 | | | | 388,508 | | | | 378,181 | | | | (10,327 | ) |
| British Pound, Expiring 04/07/15 | | The Royal Bank of Scotland | | GBP | | | 5,559,115 | | | | 9,343,506 | | | | 8,657,850 | | | | (685,656 | ) |
| Norwegian Krone, Expiring 03/27/15 | | The Royal Bank of Scotland | | NOK | | | 360,000 | | | | 58,021 | | | | 48,190 | | | | (9,831 | ) |
| Norwegian Krone, Expiring 06/29/15 | | The Royal Bank of Scotland | | NOK | | | 12,368,000 | | | | 1,987,498 | | | | 1,652,647 | | | | (334,851 | ) |
| Norwegian Krone, Expiring 04/27/16 | | The Royal Bank of Scotland | | NOK | | | 19,387,600 | | | | 3,091,382 | | | | 2,590,895 | | | | (500,487 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $70,512,348 | | | | $66,942,640 | | | | $(3,569,708 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
56
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Canadian Dollar, Expiring 01/07/15 | | Credit Suisse International | | CAD | | | (23,690,702 | ) | | | $(21,290,717 | ) | | | $(20,390,649 | ) | | | $900,068 | |
| Canadian Dollar, Expiring 02/06/15 | | Credit Suisse International | | CAD | | | (246,367 | ) | | | (213,420 | ) | | | (211,907 | ) | | | 1,513 | |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (2,085,835 | ) | | | (1,814,346 | ) | | | (1,792,504 | ) | | | 21,842 | |
| Canadian Dollar, Expiring 01/07/15 | | The Royal Bank of Scotland | | CAD | | | (15,199,609 | ) | | | (13,886,329 | ) | | | (13,082,344 | ) | | | 803,985 | |
| Euro, Expiring 03/18/15 | | CitiBank | | EUR | | | (18,050,422 | ) | | | (22,258,403 | ) | | | (21,856,390 | ) | | | 402,013 | |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (21,006,846 | ) | | | (25,916,520 | ) | | | (25,436,181 | ) | | | 480,339 | |
| Euro, Expiring 06/17/15 | | Credit Suisse International | | EUR | | | (23,798,060 | ) | | | (30,698,857 | ) | | | (28,843,225 | ) | | | 1,855,632 | |
| Euro, Expiring 01/07/15 | | The Royal Bank of Scotland | | EUR | | | (5,117,601 | ) | | | (6,971,351 | ) | | | (6,192,697 | ) | | | 778,654 | |
| Euro, Expiring 04/07/15 | | The Royal Bank of Scotland | | EUR | | | (21,000 | ) | | | (27,804 | ) | | | (25,433 | ) | | | 2,371 | |
| Euro, Expiring 06/09/15 | | The Royal Bank of Scotland | | EUR | | | (742,500 | ) | | | (956,986 | ) | | | (899,832 | ) | | | 57,154 | |
| Euro, Expiring 11/09/15 | | The Royal Bank of Scotland | | EUR | | | (311,240 | ) | | | (401,618 | ) | | | (378,181 | ) | | | 23,437 | |
| Euro, Expiring 04/05/16 | | The Royal Bank of Scotland | | EUR | | | (21,000 | ) | | | (27,886 | ) | | | (25,647 | ) | | | 2,239 | |
| Euro, Expiring 04/05/17 | | The Royal Bank of Scotland | | EUR | | | (21,000 | ) | | | (28,010 | ) | | | (26,083 | ) | | | 1,927 | |
| British Pound, Expiring 04/07/15 | | The Royal Bank of Scotland | | GBP | | | (5,559,115 | ) | | | (9,346,357 | ) | | | (8,657,850 | ) | | | 688,507 | |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | (8,589,375 | ) | | | (1,208,892 | ) | | | (1,150,105 | ) | | | 58,787 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (8,589,375 | ) | | | (1,208,893 | ) | | | (1,150,105 | ) | | | 58,788 | |
| Norwegian Krone, Expiring 03/19/15 | | The Royal Bank of Scotland | | NOK | | | (2,082,751 | ) | | | (334,977 | ) | | | (278,869 | ) | | | 56,108 | |
| Norwegian Krone, Expiring 03/27/15 | | The Royal Bank of Scotland | | NOK | | | (360,000 | ) | | | (57,174 | ) | | | (48,190 | ) | | | 8,984 | |
| Norwegian Krone, Expiring 06/11/15 | | The Royal Bank of Scotland | | NOK | | | (26,889,722 | ) | | | (4,251,474 | ) | | | (3,594,216 | ) | | | 657,258 | |
| Norwegian Krone, Expiring 06/18/15 | | The Royal Bank of Scotland | | NOK | | | (75,604,625 | ) | | | (12,130,511 | ) | | | (10,104,453 | ) | | | 2,026,058 | |
| Norwegian Krone, Expiring 06/29/15 | | The Royal Bank of Scotland | | NOK | | | (12,368,000 | ) | | | (1,956,652 | ) | | | (1,652,647 | ) | | | 304,005 | |
| Norwegian Krone, Expiring 04/27/16 | | The Royal Bank of Scotland | | NOK | | | (19,387,600 | ) | | | (3,266,931 | ) | | | (2,590,895 | ) | | | 676,036 | |
| Swedish Krona, Expiring 01/07/15 | | Credit Suisse International | | SEK | | | (22,683,450 | ) | | | (3,079,898 | ) | | | (2,909,812 | ) | | | 170,086 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (161,334,006 | ) | | | (151,298,215 | ) | | | 10,035,791 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(90,821,658 | ) | | | $(84,355,575 | ) | | | $6,466,083 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $790,000 at December 31, 2014. Additional cash held as collateral for Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts was $2,600,000 and $3,290,000, respectively, at December 31, 2014.
| USD | - United States Dollar |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
57
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
Total Return Basket Swaps* Outstanding at December 31, 2014
Over the Counter
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Bank of America | | The Fund receives or pays the total return on a portfolio of short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 66 to 67 months maturity 08/12/2019 | | | $425,787 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | | | |
| | | |
| Cayman Islands | | | | | | | | | | | | |
| Herbalife Ltd. | | | (82,666 | ) | | $ | (3,542,238 | ) | | $ | 425,730 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 57 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 425,787 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund is pledged as collateral to Bank of America in the amount of $920,640 at December 31, 2014.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 12 months maturity ranging from 4/10/2015 - 11/12/2015 | | | $7,640,188 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| Allegion PLC | | | 299,924 | | | $ | 16,021,940 | | | $ | 611,845 | |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
| Ashford Hospitality Prime, Inc. | | | 286,902 | | | | 4,997,833 | | | | (74,594 | ) |
| Ashford Hospitality Trust, Inc. | | | 1,694,615 | | | | 18,996,634 | | | | (1,237,069 | ) |
| Ashford, Inc. | | | 9,936 | | | | — | | | | 933,984 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| |
| United States (continued) | | | | |
| Blackhawk Network Holdings, Inc. | | | 376,334 | | | $ | 13,017,266 | | | $ | 1,166,762 | |
| California Resources Corp. | | | 1,132,671 | | | | 6,795,756 | | | | (554,739 | ) |
| CareTrust REIT, Inc. | | | 508,064 | | | | 5,268,386 | | | | 996,044 | |
| CDK Global, Inc. | | | 29,826 | | | | 1,076,719 | | | | 138,989 | |
| Civeo Corp. | | | 799,066 | | | | 8,773,745 | | | | (5,489,583 | ) |
| Dover Corp. | | | 80,380 | | | | 6,508,369 | | | | (743,515 | ) |
| Enova International, Inc. | | | 108,417 | | | | 2,485,516 | | | | (72,154 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
58
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| |
| United States (continued) | | | | |
| Ensign Group, Inc./The | | | 221,867 | | | $ | 8,932,365 | | | $ | 916,311 | |
| Halyard Health, Inc. | | | 104,851 | | | | 3,830,084 | | | | 937,492 | |
| Keysight Technologies, Inc. | | | 42,971 | | | | 1,283,793 | | | | 167,338 | |
| KLX, Inc. | | | 177,075 | | | | 7,381,543 | | | | (77,200 | ) |
| Knowles Corp. | | | 581,098 | | | | 10,982,752 | | | | 2,702,106 | |
| Lands’ End, Inc. | | | 236,906 | | | | 10,374,114 | | | | 2,409,334 | |
| Liberty TripAdvisor Holdings, Inc. | | | 187,447 | | | | 4,911,111 | | | | 131,213 | |
| Liberty Ventures | | | 94,540 | | | | 3,259,739 | | | | 306,310 | |
| Navient Corp. | | | 833,746 | | | | 16,758,295 | | | | 1,258,956 | |
| New Media Investment Group, Inc. | | | 79,807 | | | | 1,510,747 | | | | 375,093 | |
| New Senior Investment Group, Inc. | | | 160,876 | | | | — | | | | 2,646,410 | |
| Newcastle Investment Corp. | | | 160,876 | | | | 3,785,412 | | | | (3,063,079 | ) |
| NorthStar Asset Management Group, Inc. | | | 394,125 | | | | 7,701,203 | | | | 1,194,199 | |
| NorthStar Realty Finance Corp. | | | 433,102 | | | | 7,878,125 | | | | (264,192 | ) |
| NOW, Inc. | | | 288,227 | | | | 7,934,889 | | | | (518,809 | ) |
| Oil States International, Inc. | | | 156,821 | | | | 8,979,570 | | | | (1,311,023 | ) |
| ONE Gas, Inc. | | | 358,865 | | | | 14,002,912 | | | | 789,503 | |
| Outfront Media, Inc. | | | 300,012 | | | | 9,051,362 | | | | (999,040 | ) |
| Paragon Offshore PLC | | | 2,592,168 | | | | 12,079,503 | | | | (4,899,197 | ) |
| Seventy Seven Energy, Inc. | | | 557,532 | | | | 5,820,634 | | | | (2,804,386 | ) |
| Simon Property Group, Inc. | | | 49,376 | | | | 8,891,630 | | | | 100,233 | |
| SLM Corp. | | | 753,193 | | | | 7,471,675 | | | | 203,362 | |
| Starwood Property Trust, Inc. | | | 418,971 | | | | 9,577,677 | | | | 159,209 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| |
| United States (continued) | | | | |
| Starwood Waypoint Residential Trust | | | 53,081 | | | $ | 1,368,959 | | | $ | 30,787 | |
| Synchrony Financial | | | 307,498 | | | | 8,480,795 | | | | 667,271 | |
| Theravance Biopharma, Inc. | | | 217,588 | | | | 3,794,735 | | | | (548,322 | ) |
| Theravance, Inc. | | | 444,680 | | | | 6,403,392 | | | | (111,170 | ) |
| Time Warner, Inc. | | | 98,203 | | | | 7,596,984 | | | | 791,516 | |
| Time, Inc. | | | 387,417 | | | | 8,368,207 | | | | 1,166,125 | |
| Tribune Publishing Co. | | | 127,359 | | | | 2,004,631 | | | | 911,890 | |
| Washington Prime Group, Inc. | | | 514,557 | | | | 9,200,279 | | | | (339,608 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,007,243 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (1,395,398 | ) |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | |
| | | |
| United States | | | | | | | | | | | | |
| Energy Select Sector SPDR Fund | | | (92,948 | ) | | | (8,015,633 | ) | | | 657,869 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (737,529 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 8,377,717 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 7,640,188 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $114,965,521 at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
59
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | | 12 months maturity 10/22/2015 | | | $(1,564,471 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | |
| |
| Japan | | | | | |
| Yahoo Japan Corp. | | | (4,429,340 | ) | | $ | (14,831,957 | ) | | $ | (1,042,466 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (522,005 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (1,564,471 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
| (b) | Cash and other receivables/ (payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 12-13 months maturity ranging from
8/31/2015 - 12/22/2015 | | | $4,928,913 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| Canada | | | | | |
| Brookfield Residential Properties, Inc. | | | 12,979 | | | $ | 312,218 | | | $ | 57 | |
| QLT, Inc. | | | 609,978 | | | | 3,370,831 | | | | (924,819 | ) |
| Talisman Energy, Inc. | | | 1,000,753 | | | | 7,733,413 | | | | 102,483 | |
| | | | | | | | | | | | |
| | | | (822,279 | ) |
| | | | | | | | | | | | |
| Ireland | | | | |
| Covidien PLC | | | 505,487 | | | | 44,149,235 | | | | 7,551,976 | |
| | | | | | | | | | | | |
| |
| Spain | | | | |
| Banco Santander SA | | | 14,810 | | | | 143,506 | | | | (20,136 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| |
| United Kingdom | | | | |
| Amec Foster Wheeler PLC | | | 6,486 | | | $ | 119,686 | | | $ | (35,757 | ) |
| | | | | | | | | | | | |
| |
| United States | | | | |
| Allergan, Inc. | | | 99,884 | | | | 21,003,077 | | | | 231,263 | |
| Alliance Data Systems Corp. | | | 389 | | | | 109,023 | | | | 2,250 | |
| American Realty Capital Healthcare Trust, Inc. | | | 3,146,539 | | | | 34,242,779 | | | | 3,201,035 | |
| Apco Oil and Gas International, Inc. | | | 327,299 | | | | 4,677,103 | | | | (85,098 | ) |
| Ark Restaurants Corp. | | | 43,559 | | | | 963,961 | | | | 17,424 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
60
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| |
| United States (continued) | | | | |
| Avanir Pharmaceuticals, Inc. | | | 387,495 | | | $ | 6,564,382 | | | $ | 3,658 | |
| Baker Hughes, Inc. | | | 9,374 | | | | 588,888 | | | | (63,288 | ) |
| CareFusion Corp. | | | 236,167 | | | | 13,462,787 | | | | 551,363 | |
| Central Garden and Pet Co | | | 452,302 | | | | 4,025,488 | | | | 293,996 | |
| Central Garden and Pet Co. | | | 11,067 | | | | 96,394 | | | | 775 | |
| Cleco Corp. | | | 154,507 | | | | 8,249,963 | | | | 176,848 | |
| Covance, Inc. | | | 51,236 | | | | 5,164,985 | | | | 155,361 | |
| Covisint Corp. | | | 123,379 | | | | — | | | | 326,954 | |
| Cubist Pharmaceuticals, Inc. | | | 57,222 | | | | 5,763,426 | | | | (4,032 | ) |
| Digital River, Inc. | | | 130,220 | | | | 2,978,745 | | | | 241,595 | |
| DIRECTV | | | 426,408 | | | | 36,317,805 | | | | 651,768 | |
| Dresser-Rand Group, Inc. | | | 92,720 | | | | 7,541,697 | | | | 42,799 | |
| Durata Therapeutics, Inc. | | | 89,246 | | | | 66,935 | | | | 42,170 | |
| ESB Financial Corp. | | | 9,394 | | | | 179,629 | | | | (1,706 | ) |
| Evoq Properties, Inc. | | | 44,422 | | | | 40,231 | | | | 1,970 | |
| Family Dollar Stores, Inc. | | | 37,100 | | | | 2,869,559 | | | | 69,132 | |
| Franklin Financial Corp./VA | | | 19,175 | | | | 382,541 | | | | 23,585 | |
| Gentiva Health Services, Inc. | | | 106,755 | | | | 1,923,542 | | | | 110,141 | |
| GFI Group, Inc. | | | 940,553 | | | | 4,510,319 | | | | 615,694 | |
| Glimcher Realty Trust | | | 3,315,860 | | | | 44,463,349 | | | | 1,096,567 | |
| Heritage Financial Group, Inc. | | | 38,111 | | | | 975,044 | | | | 12,031 | |
| Hudson City BanCorp., Inc. | | | 3,881,415 | | | | 38,686,475 | | | | 593,444 | |
| Integrys Energy Group, Inc. | | | 128,496 | | | | 8,534,545 | | | | 1,468,869 | |
| International Rectifier Corp. | | | 478,756 | | | | 18,837,796 | | | | 264,569 | |
| Intervest Bancshares Corp. | | | 442,303 | | | | 4,228,417 | | | | 216,729 | |
| Journal Communications, Inc. | | | 688,126 | | | | 6,333,715 | | | | 1,531,565 | |
| LNB Bancorp, Inc. | | | 27,412 | | | | 483,094 | | | | 11,144 | |
| Lorillard, Inc. | | | 530,298 | | | | 31,671,763 | | | | 1,705,193 | |
| Meadowbrook Insurance Group, Inc. | | | 9,621 | | | | 81,469 | | | | (75 | ) |
| MicroFinancial, Inc. | | | 20,513 | | | | 209,492 | | | | (157 | ) |
| Nicholas Financial, Inc. | | | 429,216 | | | | 5,536,886 | | | | 858,432 | |
| Orbital Sciences Corp. | | | 136,886 | | | | 3,809,537 | | | | (128,673 | ) |
| Paramount Gold & Silver, Inc. | | | 19,792 | | | | 20,189 | | | | (1 | ) |
| Penford Corp. | | | 1,674 | | | | 31,315 | | | | (28 | ) |
| Peoples Federal Bancshares, Inc. | | | 378,656 | | | | 7,629,918 | | | | 904,988 | |
| Pepco Holdings, Inc. | | | 1,558,064 | | | | 42,265,682 | | | | (307,018 | ) |
| PetSmart, Inc. | | | 135,053 | | | | 10,935,280 | | | | 43,854 | |
| Platinum Underwriters Holdings Ltd. | | | 58,997 | | | | 4,353,893 | | | | (22,333 | ) |
| Protective Life Corp. | | | 140,977 | | | | 9,782,224 | | | | 36,824 | |
| Riverbed Technology, Inc. | | | 653,132 | | | | 13,282,977 | | | | 47,447 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| Rockwood Holdings, Inc. | | | 348,880 | | | $ | 27,675,989 | | | $ | (184,245 | ) |
| Safeway, Inc. | | | 504,842 | | | | 17,487,727 | | | | 242,324 | |
| Sigma-Aldrich Corp. | | | 51,750 | | | | 7,008,770 | | | | 94,953 | |
| Simplicity Bancorp, Inc. | | | 178,022 | | | | 2,914,220 | | | | 138,857 | |
| Susquehanna Bancshares, Inc. | | | 267,013 | | | | 3,520,856 | | | | 65,129 | |
| SWS Group, Inc. | | | 12,979 | | | | 89,708 | | | | (23 | ) |
| Symmetry Surgical, Inc. | | | 37,506 | | | | 324,052 | | | | (31,880 | ) |
| Time Warner Cable, Inc. | | | 394,065 | | | | 58,061,537 | | | | 1,859,987 | |
| TriQuint Semiconductor, Inc. | | | 2,057,495 | | | | 38,935,231 | | | | 17,748,756 | |
| TRW Automotive Holdings Corp. | | | 313,284 | | | | 31,827,828 | | | | 393,432 | |
| Viasystems Group, Inc. | | | 369,480 | | | | 5,649,349 | | | | 365,785 | |
| Volcano Corp. | | | 900,016 | | | | 16,065,254 | | | | 27,032 | |
| Whiting Petroleum Corp. | | | 723 | | | | 54,085 | | | | (30,226 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 35,628,909 | |
| | | | | | | | | | | | |
Total of Long Equity
Positions | | | | | | | | 42,302,713 | |
| | | | | | | | | | | | |
| Short Positions | |
| |
| United States | | | | | |
| Actavis PLC | | | (35,908 | ) | | | (9,411,479 | ) | | | 168,401 | |
| Albemarle Corp. | | | (168,622 | ) | | | (10,445,395 | ) | | | 306,154 | |
| Applied Materials, Inc. | | | (1,461,899 | ) | | | (32,498,015 | ) | | | (3,932,508 | ) |
| AT&T, Inc. | | | (542,882 | ) | | | (18,265,828 | ) | | | 30,422 | |
| Bank of the Ozarks, Inc. | | | (19,992 | ) | | | (666,990 | ) | | | (91,106 | ) |
| BB&T Corp. | | | (67,432 | ) | | | (2,558,842 | ) | | | (63,588 | ) |
| Becton Dickinson and Co. | | | (18,377 | ) | | | (2,340,598 | ) | | | (216,746 | ) |
| Coeur Mining, Inc. | | | (4,039 | ) | | | (20,842 | ) | | | 203 | |
| Comcast Corp. | | | (1,142,119 | ) | | | (62,314,013 | ) | | | (3,940,311 | ) |
| Dollar Tree, Inc. | | | (4,372 | ) | | | (255,944 | ) | | | (51,757 | ) |
| EW Scripps Co./The | | | (355,376 | ) | | | (6,365,359 | ) | | | (1,577,295 | ) |
| Halliburton Co. | | | (9,374 | ) | | | (449,556 | ) | | | 80,877 | |
| Hilltop Holdings, Inc. | | | (3,221 | ) | | | (64,278 | ) | | | 19 | |
| HomeStreet, Inc. | | | (105,462 | ) | | | (1,751,505 | ) | | | (84,589 | ) |
| Independent Bank Corp./Rockland MA | | | (125,252 | ) | | | (4,663,869 | ) | | | (698,169 | ) |
| Kindred Healthcare, Inc. | | | (27,314 | ) | | | (562,130 | ) | | | 65,561 | |
| Laboratory Corp. of America Holdings | | | (13,762 | ) | | | (1,389,402 | ) | | | (95,518 | ) |
| M&T Bank Corp. | | | (326,425 | ) | | | (40,494,982 | ) | | | (510,526 | ) |
| Medtronic, Inc. | | | (486,585 | ) | | | (30,907,879 | ) | | | (4,223,558 | ) |
| Northwest Bancshares, Inc. | | | (27,134 | ) | | | (332,874 | ) | | | (7,115 | ) |
| RenaissanceRe Holdings Ltd. | | | (15,006 | ) | | | (1,473,168 | ) | | | 14,285 | |
| Renasant Corp. | | | (38,045 | ) | | | (1,089,426 | ) | | | (11,215 | ) |
| Reynolds American, Inc. | | | (153,308 | ) | | | (8,898,079 | ) | | | (955,026 | ) |
| RF Micro Devices, Inc. | | | (3,491,578 | ) | | | (39,798,330 | ) | | | (18,126,949 | ) |
| Southside Bancshares, Inc. | | | (3,435 | ) | | | (115,966 | ) | | | 16,660 | |
| Towne Bank | | | (26,649 | ) | | | (390,216 | ) | | | (12,717 | ) |
| TTM Technologies, Inc. | | | (260,852 | ) | | | (1,679,887 | ) | | | (284,329 | ) |
| Ventas, Inc. | | | (522,514 | ) | | | (34,297,836 | ) | | | (3,166,418 | ) |
| Washington Prime Group, Inc. | | | (659,295 | ) | | | (11,224,713 | ) | | | (128,347 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
61
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| WesBanco, Inc. | | | (5,027 | ) | | $ | (176,199 | ) | | $ | 1,259 | |
| Wisconsin Energy Corp. | | | (147,707 | ) | | | (6,578,808 | ) | | | (1,211,259 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (38,705,205 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 3,597,508 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 1,331,405 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 4,928,913 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | | 12 months maturity 08/20/2015 | | | $4,214,120 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| United Kingdom | | | | | |
| Advanced Computer Software Group PLC | | | 2,448,140 | | | $ | 5,268,807 | | | $ | 15,065 | |
| CSR PLC | | | 76,174 | | | | 1,004,711 | | | | 5,871 | |
| Friends Life Group Ltd. | | | 549,618 | | | | 3,245,877 | | | | (124,470 | ) |
| Spirit Pub Co. PLC | | | 1,196,000 | | | | 2,015,927 | | | | (72,624 | ) |
| | | | | | | | | | | | |
Total of Long Equity
Positions | | | | | | | | (176,158) | |
| | | | | | | | | | | | |
| Short Positions | |
| |
| United Kingdom | | | | | |
| Aviva PLC | | | (406,718 | ) | | | (3,195,937 | ) | | | 140,110 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions (continued) | |
| Greene King PLC | | | (158,111 | ) | | $ | (1,940,937 | ) | | $ | 113,068 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 253,178 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 77,020 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 4,137,100 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 4,214,120 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
62
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | | 12 months maturity 08/20/2015 | | | $(403,933 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| Australia | | | | | |
| Goodman Fielder Ltd. | | | 11,527,175 | | | $ | 6,385,280 | | | $ | (375,665 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (28,268 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (403,933 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
63
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | | 12 months maturity 08/31/2015 | | | $20,270 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| Canada | | | | | |
| Carfinco Financial Group, Inc. | | | 304,026 | | | $ | 2,963,964 | | | $ | (30,471 | ) |
| GLENTEL, Inc. | | | 35,716 | | | | 773,928 | | | | 461 | |
| Vicwest, Inc. | | | 1,381 | | | | 14,871 | | | | 35 | |
| | | | | | | | | | | | |
Total of Long Equity
Positions | | | | | | | | (29,975) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | |
| |
| Canada | | | | | |
| BCE, Inc. | | | (9,113 | ) | | $ | (418,732 | ) | | | 811 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (29,164 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 49,434 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 20,270 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
64
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | | 12 months maturity 08/27/2015 | | | $(382,270 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| France | | | | | |
| Lafarge SA | | | 213,952 | | | $ | 15,527,386 | | | $ | (507,935 | ) |
| | | | | | | | | | | | |
| |
| Netherlands | | | | | |
| Corio NV | | | 7,692 | | | | 375,471 | | | | 1,220 | |
| Ziggo NV | | | 9,337 | | | | 435,568 | | | | 49,638 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,858 | |
| | | | | | | | | | | | |
Total of Long Equity
Positions | | | | | | | | (457,077) | |
| | | | | | | | | | | | |
| Short Positions | |
| |
| France | | | | | |
| Klepierre | | | (8,769 | ) | | | (378,044 | ) | | | 1,519 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| |
| Spain | | | | | |
| Banco Santander SA | | | (16,457 | ) | | $ | (153,600 | ) | | $ | 15,475 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 16,994 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (440,083 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 57,813 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (382,270 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
65
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | | 12 months maturity 08/27/2015 | | | $7,717,323 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| Japan | | | | | |
| Tokyo Electron Ltd. | | | 448,644 | | | $ | 26,276,675 | | | $ | 7,744,096 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (26,773 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 7,717,323 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | | 12 months maturity 08/27/2015 | | | $762,407 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | |
| |
| Switzerland | | | | | |
| Holcim Ltd. | | | (213,952 | ) | | $ | (16,142,537 | ) | | $ | 848,358 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (85,951 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 762,407 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
66
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
Total Return Basket Swaps* Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION DATE** | | VALUE
(Note 5) | |
| JPMorgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 13 months maturity ranging from 04/20/2015 - 11/16/2015 | | | $256,413 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| United States | | | | | |
| Penson Technologies LLC | | | 8,943,219 | | | $ | 9 | | | $ | 681,733 | |
| | | | | | | | | | | | |
| Short Positions | |
| |
| United States | | | | | |
| Penson Worldwide, Inc. | | | (217,523 | ) | | | — | | | | — | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 681,733 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (425,320 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 256,413 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund is pledged as collateral to J.P. Morgan in the amount of $10,004 at December 31, 2014. Additional cash held as collateral at J.P. Morgan in the amount of $225,000 at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
67
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR DIVERSIFIED ARBITRAGE FUND | | |
Total Return Basket Swaps* Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| CitiBank | | The Fund receives or pays the total return on a portfolio of Long positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 6 months maturity 03/13/2015 | | | $30,664 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| United States | | | | | |
| Cemex SAB de CV | | | 17,150,000 | | | $ | 17,159,998 | | | $ | 13,514 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 17,150 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 30,664 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Cash collateral pledged to CitiBank is included in collateral for credit default swaps contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
68
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| LONG INVESTMENTS - 91.5% | | SHARES | | | VALUE (Note 5) | |
| COMMON STOCKS - 34.4% | | | | | | | | |
|
| Belgium - 1.0% | |
| Belgacom SA | | | 1,079 | | | $ | 39,150 | |
| Delhaize Group SA | | | 189 | | | | 13,764 | |
| Umicore SA | | | 119 | | | | 4,788 | |
| | | | | | | | |
| | | | | | | 57,702 | |
| | | | | | | | |
| China - 0.3% | | | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 19,000 | | | | 17,218 | |
| | | | | | | | |
| | |
| Denmark - 2.0% | | | | | | | | |
| AP Moeller - Maersk A/S, Class B (a) | | | 1 | | | | 1,989 | |
| DSV A/S (a) | | | 516 | | | | 15,712 | |
| Novo Nordisk A/S, Class B (a) | | | 395 | | | | 16,708 | |
| Pandora A/S (a) | | | 697 | | | | 56,497 | |
| TDC A/S (a) | | | 3,625 | | | | 27,647 | |
| | | | | | | | |
| | | | | | | 118,553 | |
| | | | | | | | |
| Finland - 1.7% | | | | | | | | |
| Fortum OYJ | | | 2,266 | | | | 49,198 | |
| Metso OYJ | | | 162 | | | | 4,850 | |
| Orion OYJ, Class B | | | 1,557 | | | | 48,424 | |
| | | | | | | | |
| | | | | | | 102,472 | |
| | | | | | | | |
| Germany - 5.1% | | | | | | | | |
| Allianz SE (a) | | | 47 | | | | 7,784 | |
| Bayer AG (a) | | | 196 | | | | 26,717 | |
| Continental AG (a) | | | 70 | | | | 14,765 | |
| E.ON SE (a) | | | 1,853 | | | | 31,671 | |
| Hannover Rueck SE (a) | | | 490 | | | | 44,204 | |
| Hugo Boss AG (a) | | | 308 | | | | 37,678 | |
| Merck KGaA (a) | | | 305 | | | | 28,703 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | | | 163 | | | | 32,459 | |
| OSRAM Licht AG †(a) | | | 370 | | | | 14,526 | |
| ProSiebenSat.1 Media AG (a) | | | 225 | | | | 9,401 | |
| STADA Arzneimittel AG (a) | | | 379 | | | | 11,500 | |
| TUI AG | | | 279 | | | | 4,626 | |
| United Internet AG (a) | | | 743 | | | | 33,468 | |
| | | | | | | | |
| | | | | | | 297,502 | |
| | | | | | | | |
| Hong Kong - 0.2% | | | | | | | | |
| Hongkong Land Holdings Ltd. | | | 2,000 | | | | 13,180 | |
| | | | | | | | |
| | |
| Italy - 2.8% | | | | | | | | |
| Atlantia SpA | | | 377 | | | | 8,762 | |
| Autogrill SpA † | | | 3,446 | | | | 25,988 | |
| Enel SpA | | | 5,124 | | | | 22,840 | |
| Eni SpA | | | 1,918 | | | | 33,597 | |
| Mediobanca SpA | | | 1,985 | | | | 16,129 | |
| Pirelli & C. SpA | | | 1,787 | | | | 24,102 | |
| Snam SpA | | | 6,924 | | | | 34,269 | |
| | | | | | | | |
| | | | | | | 165,687 | |
| | | | | | | | |
| Netherlands - 4.4% | | | | | | | | |
| Boskalis Westminster NV | | | 750 | | | | 41,029 | |
| Delta Lloyd NV | | | 1,382 | | | | 30,391 | |
| Fugro NV CVA | | | 1,249 | | | | 25,943 | |
| Heineken NV | | | 427 | | | | 30,320 | |
| Koninklijke Ahold NV | | | 3,725 | | | | 66,204 | |
| Royal Dutch Shell PLC, A Shares (a) | | | 1,332 | | | | 44,394 | |
| Wolters Kluwer NV | | | 716 | | | | 21,849 | |
| | | | | | | | |
| | | | | | | 260,130 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Norway - 1.9% | | | | | | | | |
| Norsk Hydro ASA | | | 10,890 | | | $ | 61,344 | |
| Orkla ASA (a) | | | 3,540 | | | | 24,098 | |
| Statoil ASA (a) | | | 1,650 | | | | 29,051 | |
| | | | | | | | |
| | | | | | | 114,493 | |
| | | | | | | | |
| Singapore - 1.4% | | | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 18,000 | | | | 35,225 | |
| Noble Group Ltd. | | | 33,000 | | | | 28,153 | |
| Singapore Airlines Ltd. | | | 2,000 | | | | 17,447 | |
| | | | | | | | |
| | | | | | | 80,825 | |
| | | | | | | | |
| Spain - 3.4% | | | | | | | | |
| Acerinox SA | | | 1,582 | | | | 23,867 | |
| ACS Actividades de Construccion y Servicios SA | | | 354 | | | | 12,339 | |
| Banco Santander SA | | | 4,111 | | | | 34,504 | |
| Enagas SA | | | 718 | | | | 22,647 | |
| Gas Natural SDG SA | | | 848 | | | | 21,302 | |
| Iberdrola SA | | | 10,487 | | | | 70,690 | |
| Red Electrica Corp. SA | | | 108 | | | | 9,520 | |
| Tecnicas Reunidas SA | | | 117 | | | | 5,114 | |
| | | | | | | | |
| | | | | | | 199,983 | |
| | | | | | | | |
| Sweden - 3.9% | | | | | | | | |
| Boliden AB (a) | | | 2,386 | | | | 38,140 | |
| Electrolux AB, Series B (a) | | | 1,722 | | | | 50,316 | |
| Husqvarna AB, B Shares | | | 3,980 | | | | 29,255 | |
| Securitas AB, B Shares (a) | | | 3,698 | | | | 44,737 | |
| Telefonaktiebolaget LM Ericsson, B Shares (a) | | | 2,052 | | | | 24,846 | |
| TeliaSonera AB (a) | | | 6,231 | | | | 40,061 | |
| | | | | | | | |
| | | | | | | 227,355 | |
| | | | | | | | |
| Switzerland - 4.9% | | | | | | | | |
| Actelion Ltd. †(a) | | | 682 | | | | 78,511 | |
| Adecco SA †(a) | | | 102 | | | | 7,011 | |
| Aryzta AG †(a) | | | 77 | | | | 5,917 | |
| Galenica AG (a) | | | 8 | | | | 6,379 | |
| Geberit AG (a) | | | 60 | | | | 20,298 | |
| Lonza Group AG †(a) | | | 110 | | | | 12,385 | |
| Nestle SA (a) | | | 70 | | | | 5,103 | |
| Novartis AG (a) | | | 285 | | | | 26,432 | |
| Roche Holding AG (a) | | | 155 | | | | 41,996 | |
| Sonova Holding AG (a) | | | 59 | | | | 8,668 | |
| Swiss Life Holding AG †(a) | | | 67 | | | | 15,836 | |
| Swiss Re AG †(a) | | | 365 | | | | 30,577 | |
| Zurich Insurance Group AG †(a) | | | 100 | | | | 31,250 | |
| | | | | | | | |
| | | | | | | 290,363 | |
| | | | | | | | |
| United Kingdom - 1.4% | | | | | | | | |
| Fiat Chrysler Automobiles NV † | | | 1,285 | | | | 14,931 | |
| Reed Elsevier NV | | | 2,490 | | | | 59,463 | |
| Unilever NV CVA | | | 134 | | | | 5,242 | |
| | | | | | | | |
| | | | | | | 79,636 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $2,034,347) | | | | | | | 2,025,099 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.5% | | | | | | | | |
| Germany - 0.5% | | | | | | | | |
Porsche Automobil Holding SE
(cost $30,214) | | | 379 | | | | 30,651 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
69
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| MONEY MARKET FUNDS - 56.6% | | SHARES | | | VALUE (Note 5) | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | | | | | | | | |
(cost $3,334,581) | | | 3,334,581 | | | $ | 3,334,581 | |
| | | | | | | | |
| | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE
(cost $5,399,142) | | | | | | | 5,390,331 | |
| | | | | | | | |
| | |
| SECURITIES SOLD SHORT - (31.6)% | | | | | | | | |
| COMMON STOCKS - (31.5)% | | | | | | | | |
| | |
| Belgium - (0.1)% | | | | | | | | |
| KBC Groep NV | | | (135 | ) | | | (7,534 | ) |
| | | | | | | | |
| | |
| Denmark - (0.7)% | | | | | | | | |
| Carlsberg A/S, Class B | | | (203 | ) | | | (15,590 | ) |
| GN Store Nord A/S | | | (659 | ) | | | (14,398 | ) |
| Vestas Wind Systems A/S † | | | (264 | ) | | | (9,588 | ) |
| | | | | | | | |
| | | | | | | (39,576 | ) |
| | | | | | | | |
| Finland - (1.6)% | | | | | | |
| Kone OYJ, Class B | | | (938 | ) | | | (42,705 | ) |
| Nokia OYJ | | | (1,612 | ) | | | (12,749 | ) |
| Nokian Renkaat OYJ | | | (1,478 | ) | | | (36,054 | ) |
| | | | | | | | |
| | | | | | | (91,508 | ) |
| | | | | | | | |
| Germany - (5.1)% | | | | | | |
| adidas AG | | | (865 | ) | | | (60,070 | ) |
| Bayerische Motoren Werke AG | | | (501 | ) | | | (54,067 | ) |
| Brenntag AG | | | (437 | ) | | | (24,433 | ) |
| Commerzbank AG † | | | (1,548 | ) | | | (20,304 | ) |
| Daimler AG | | | (182 | ) | | | (15,116 | ) |
| Deutsche Bank AG | | | (1,267 | ) | | | (37,939 | ) |
| GEA Group AG | | | (99 | ) | | | (4,353 | ) |
| Metro AG † | | | (1,231 | ) | | | (37,629 | ) |
| Rheinmetall AG | | | (412 | ) | | | (17,938 | ) |
| RWE AG | | | (83 | ) | | | (2,562 | ) |
| ThyssenKrupp AG † | | | (1,040 | ) | | | (26,493 | ) |
| | | | | | | | |
| | | | | | | (300,904 | ) |
| | | | | | | | |
| Hong Kong - (0.8)% | | | | | | |
| Jardine Matheson Holdings Ltd. (Hong Kong) (1) | | | (800 | ) | | | (48,840 | ) |
| | | | | | | | |
| | |
| Italy - (2.8)% | | | | | | | | |
| A2A SpA | | | (4,302 | ) | | | (4,359 | ) |
| Banca Monte dei Paschi di Siena SpA † | | | (6,820 | ) | | | (3,885 | ) |
| Banco Popolare SC † | | | (317 | ) | | | (3,814 | ) |
| Buzzi Unicem SpA | | | (521 | ) | | | (6,595 | ) |
| Mediaset SpA † | | | (3,822 | ) | | | (15,726 | ) |
| Mediolanum SpA | | | (1,418 | ) | | | (9,037 | ) |
| Saipem SpA † | | | (1,173 | ) | | | (12,296 | ) |
| Salvatore Ferragamo SpA | | | (1,338 | ) | | | (32,929 | ) |
| Telecom Italia SpA † | | | (43,591 | ) | | | (46,489 | ) |
| World Duty Free SpA † | | | (3,233 | ) | | | (31,040 | ) |
| | | | | | | | |
| | | | | | | (166,170 | ) |
| | | | | | | | |
| Luxembourg - (0.2)% | | | | | | |
| ArcelorMittal | | | (793 | ) | | | (8,688 | ) |
| | | | | | | | |
| | |
| Netherlands - (3.5)% | | | | | | | | |
| ASML Holding NV | | | (683 | ) | | | (73,796 | ) |
| Koninklijke KPN NV | | | (4,284 | ) | | | (13,526 | ) |
| Koninklijke Philips NV | | | (992 | ) | | | (28,754 | ) |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Netherlands - (3.5)% (continued) | | | | | | |
| Koninklijke Vopak NV | | | (302 | ) | | $ | (15,668 | ) |
| Randstad Holding NV | | | (420 | ) | | | (20,209 | ) |
| SBM Offshore NV † | | | (1,987 | ) | | | (23,369 | ) |
| TNT Express NV | | | (4,672 | ) | | | (31,146 | ) |
| | | | | | | | |
| | | | | | | (206,468 | ) |
| | | | | | | | |
| Norway - (0.8)% | | | | | | |
| Marine Harvest ASA | | | (293 | ) | | | (4,023 | ) |
| Schibsted ASA | | | (591 | ) | | | (37,481 | ) |
| Telenor ASA | | | (395 | ) | | | (7,990 | ) |
| | | | | | | | |
| | | | | | | (49,494 | ) |
| | | | | | | | |
| Singapore - (2.3)% | | | | | | |
| CapitaLand Ltd. | | | (16,000 | ) | | | (39,782 | ) |
| City Developments Ltd. | | | (3,000 | ) | | | (23,145 | ) |
| Genting Singapore PLC | | | (20,000 | ) | | | (16,216 | ) |
| Global Logistic Properties Ltd. | | | (14,000 | ) | | | (26,102 | ) |
| Golden Agri-Resources Ltd. | | | (12,000 | ) | | | (4,153 | ) |
| Keppel Corp. Ltd. | | | (4,000 | ) | | | (26,661 | ) |
| | | | | | | | |
| | | | | | | (136,059 | ) |
| | | | | | | | |
| Spain - (3.9)% | | | | | | |
| Amadeus IT Holding SA, A Shares | | | (1,863 | ) | | | (74,196 | ) |
| Banco de Sabadell SA | | | (3,355 | ) | | | (8,877 | ) |
| Banco Popular Espanol SA | | | (1,902 | ) | | | (9,481 | ) |
| Bankia SA † | | | (10,578 | ) | | | (15,697 | ) |
| Distribuidora Internacional de Alimentacion SA | | | (1,866 | ) | | | (12,644 | ) |
| Grifols SA | | | (732 | ) | | | (29,210 | ) |
| Inditex SA | | | (2,227 | ) | | | (63,526 | ) |
| Indra Sistemas SA | | | (1,105 | ) | | | (10,736 | ) |
| Obrascon Huarte Lain SA | | | (259 | ) | | | (5,779 | ) |
| | | | | | | | |
| | | | | | | (230,146 | ) |
| | | | | | | | |
| Sweden - (2.7)% | | | | | | |
| Alfa Laval AB | | | (1,135 | ) | | | (21,463 | ) |
| Assa Abloy AB, Class B | | | (361 | ) | | | (19,067 | ) |
| Atlas Copco AB, A Shares | | | (642 | ) | | | (17,864 | ) |
| Elekta AB, B Shares | | | (2,069 | ) | | | (21,130 | ) |
| Hexagon AB, B Shares | | | (1,652 | ) | | | (50,963 | ) |
| Sandvik AB | | | (2,941 | ) | | | (28,595 | ) |
| | | | | | | | |
| | | | | | | (159,082 | ) |
| | | | | | | | |
| Switzerland - (5.9)% | | | | | | |
| Cie Financiere Richemont SA | | | (627 | ) | | | (55,589 | ) |
| Credit Suisse Group AG † | | | (2,749 | ) | | | (69,058 | ) |
| Dufry AG † | | | (252 | ) | | | (37,665 | ) |
| Holcim Ltd. † | | | (287 | ) | | | (20,516 | ) |
| Julius Baer Group Ltd. † | | | (805 | ) | | | (36,755 | ) |
| Schindler Holding AG | | | (191 | ) | | | (27,574 | ) |
| Swatch Group AG/The | | | (153 | ) | | | .(67,971 | ) |
| Syngenta AG | | | (93 | ) | | | (29,914 | ) |
| | | | | | | | |
| | | | | | | (345,042 | ) |
| | | | | | | | |
| United Kingdom - (1.1)% | | | | | | |
| CNH Industrial NV | | | (8,083 | ) | | | (65,433 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS SOLD SHORT
(proceeds $1,875,051) | | | | | | | (1,854,944 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
70
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| PREFERRED STOCKS - (0.1)% | | SHARES | | | VALUE (Note 5) | |
| Germany - (0.1)% | | | | | | | | |
| Volkswagen AG | | | | | | | | |
(proceeds $6,388) | | | (32 | ) | | $ | (7,112 | ) |
| | | | | | | | |
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $1,881,439) | | | | | | | (1,862,056 | ) |
| | | | | | | | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 59.9% (cost $3,517,703) | | | | | | | 3,528,275 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 40.1% (c) | | | | | 2,360,356 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 5,888,631 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | (151,041 | ) | | | (2.6 | )% |
| Consumer Staples | | | 76,609 | | | | 1.3 | |
| Energy | | | 86,766 | | | | 1.5 | |
| Financials | | | (55,097 | ) | �� | | (0.9 | ) |
| Health Care | | | 241,686 | | | | 4.1 | |
| Industrials | | | (171,104 | ) | | | (2.9 | ) |
| Information Technology | | | (164,128 | ) | | | (2.8 | ) |
| Materials | | | 35,934 | | | | 0.6 | |
| Telecommunication Services | | | 38,853 | | | | 0.7 | |
| Utilities | | | 255,216 | | | | 4.3 | |
| Money Market Funds | | | 3,334,581 | | | | 56.6 | |
| | | | | | | | |
Total Investments | | | 3,528,275 | | | | 59.9 | |
| Other Assets in Excess of Liabilities (c) | | | 2,360,356 | | | | 40.1 | |
| | | | | | | | |
Net Assets | | $ | 5,888,631 | | | | 100.0 | % |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $997,438. In addition, $1,057,352 of cash collateral was pledged. |
| (b) | Represents annualized seven-day yield as of December 31, 2014. |
| (c) | Includes appreciation/(depreciation) on forward foreign currency exchange and futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certification
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 1 | | Barclays Capital | | FTSE 100 Index Futures | | 3/2015 | | $ | 102,197 | | | $ | 101,660 | | | $ | (537 | ) |
| 1 | | J.P. Morgan | | MSCI Singapore Index Futures | | 1/2015 | | | 56,999 | | | | 57,615 | | | | 616 | |
| 1 | | J.P. Morgan | | S&P/Toronto Stock Exchange 60 Index Futures | | 3/2015 | | | 137,157 | | | | 146,601 | | | | 9,444 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | 296,353 | | | | 305,876 | | | | 9,523 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | |
| 5 | | Barclays Capital | | Euro Stoxx 50 Index | | 3/2015 | | $ | (183,559 | ) | | $ | (189,554 | ) | | $ | (5,995 | ) |
| 3 | | J.P. Morgan | | S&P 500 E-Mini Futures | | 3/2015 | | | (297,199 | ) | | | (307,861 | ) | | | (10,662 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | (480,758 | ) | | | (497,415 | ) | | | (16,657 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | (184,405 | ) | | $ | (191,539 | ) | | $ | (7,134 | ) |
| | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $25,630 and $28,687, respectively at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
71
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 56,000 | | | | $57,283 | | | | $56,402 | | | | $(881 | ) |
| Danish Krone, Expiring 03/18/15 | | Credit Suisse International | | DKK | | | 35,000 | | | | 5,803 | | | | 5,691 | | | | (112 | ) |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 67,000 | | | | 82,623 | | | | 81,127 | | | | (1,496 | ) |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 254,000 | | | | 32,759 | | | | 32,753 | | | | (6 | ) |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 127,000 | | | | 17,710 | | | | 17,005 | | | | (705 | ) |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 66,000 | | | | 8,768 | | | | 8,469 | | | | (299 | ) |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 53,000 | | | | 40,322 | | | | 39,961 | | | | (361 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $245,268 | | | | $241,408 | | | | $(3,860 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Danish Krone, Expiring 03/18/15 | | Credit Suisse International | | DKK | | | (480,000 | ) | | | $(79,738 | ) | | | $(78,045 | ) | | | $1,693 | |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (162,000 | ) | | | (199,437 | ) | | | (196,158 | ) | | | 3,279 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (618,000 | ) | | | (86,979 | ) | | | (82,749 | ) | | | 4,230 | |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | (475,000 | ) | | | (62,803 | ) | | | (60,948 | ) | | | 1,855 | |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (4,000 | ) | | | (3,030 | ) | | | (3,016 | ) | | | 14 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (431,987 | ) | | | (420,916 | ) | | | 11,071 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(186,719 | ) | | | $(179,508 | ) | | | $7,211 | |
| | | | | | | | | | | | | | | | | | | | |
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
HKD - Hong Kong Dollar
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
72
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
Total Return Basket Swaps* Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”), which is denominated in USD based on the local currencies of the positions within the swap. | | 10-12 months maturity 10/14/2015 | | | $223,413 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Domtar Corp. | | | 700 | | | $ | 25,599 | | | $ | 2,555 | |
| | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | | | | |
| Flextronics International Ltd. | | | 3,100 | | | | 32,320 | | | | 2,338 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| TE Connectivity Ltd. | | | 200 | | | | 13,004 | | | | (354 | ) |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Delphi Automotive PLC | | | 100 | | | | 7,455 | | | | (183 | ) |
| Pentair PLC | | | 100 | | | | 6,399 | | | | 243 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 60 | |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| 3M Co. | | | 100 | | | | 13,813 | | | | 2,619 | |
| AbbVie, Inc. | | | 600 | | | | 39,190 | | | | 74 | |
| Abercrombie & Fitch Co. | | | 400 | | | | 11,763 | | | | (307 | ) |
| Activision Blizzard, Inc. | | | 1,700 | | | | 34,804 | | | | (549 | ) |
| Aetna, Inc. | | | 600 | | | | 48,290 | | | | 5,008 | |
| Aflac, Inc. | | | 600 | | | | 34,190 | | | | 2,464 | |
| Akamai Technologies, Inc. | | | 200 | | | | 11,582 | | | | 1,010 | |
| Alaska Air Group, Inc. | | | 500 | | | | 20,925 | | | | 8,956 | |
| Alexion Pharmaceuticals, Inc. | | | 200 | | | | 34,642 | | | | 2,364 | |
| Alliant Techsystems, Inc. | | | 100 | | | | 12,611 | | | | (986 | ) |
| Amdocs Ltd. | | | 600 | | | | 27,340 | | | | 653 | |
| American Airlines Group, Inc. | | | 200 | | | | 10,123 | | | | 603 | |
| American Electric Power Co., Inc. | | | 300 | | | | 16,027 | | | | 2,189 | |
| Ameriprise Financial, Inc. | | | 500 | | | | 59,303 | | | | 6,823 | |
| Amgen, Inc. | | | 400 | | | | 54,961 | | | | 8,755 | |
| ANN, Inc. | | | 100 | | | | 3,705 | | | | (57 | ) |
| ANSYS, Inc. | | | 200 | | | | 15,259 | | | | 1,141 | |
| Anthem, Inc. | | | 200 | | | | 23,673 | | | | 1,461 | |
| AO Smith Corp. | | | 200 | | | | 9,324 | | | | 1,958 | |
| AOL, Inc. | | | 200 | | | | 9,386 | | | | (152 | ) |
| Apollo Education Group, Inc. | | | 1,600 | | | | 40,966 | | | | 13,610 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Apple, Inc. | | | 100 | | | $ | 11,293 | | | $ | (255 | ) |
| Applied Materials, Inc. | | | 300 | | | | 6,213 | | | | 1,263 | |
| Archer-Daniels-Midland Co. | | | 600 | | | | 30,318 | | | | 882 | |
| ARRIS Group, Inc. | | | 1,100 | | | | 32,729 | | | | 480 | |
| Arrow Electronics, Inc. | | | 1,000 | | | | 56,973 | | | | 917 | |
| Assurant, Inc. | | | 200 | | | | 12,561 | | | | 1,125 | |
| Assured Guaranty Ltd. | | | 400 | | | | 8,893 | | | | 1,503 | |
| Atmel Corp. | | | 3,600 | | | | 28,518 | | | | 1,704 | |
| Avnet, Inc. | | | 300 | | | | 13,198 | | | | (292 | ) |
| Bed Bath & Beyond, Inc. | | | 100 | | | | 7,551 | | | | 66 | |
| Best Buy Co., Inc. | | | 800 | | | | 30,401 | | | | 783 | |
| Big Lots, Inc. | | | 2,100 | | | | 89,082 | | | | (5,040 | ) |
| Biogen Idec, Inc. | | | 300 | | | | 95,726 | | | | 6,109 | |
| Boston Scientific Corp. | | | 400 | | | | 4,823 | | | | 477 | |
| Brinker International, Inc. | | | 600 | | | | 31,718 | | | | 3,496 | |
| Broadcom Corp. | | | 900 | | | | 34,554 | | | | 4,443 | |
| Brocade Communications Systems, Inc. | | | 7,300 | | | | 78,224 | | | | 8,208 | |
| CA, Inc. | | | 1,200 | | | | 32,276 | | | | 4,264 | |
| CBOE Holdings, Inc. | | | 300 | | | | 16,356 | | | | 2,670 | |
| Celanese Corp. | | | 200 | | | | 10,801 | | | | 1,191 | |
| Celgene Corp. | | | 100 | | | | 9,243 | | | | 1,943 | |
| Chico’s FAS, Inc. | | | 500 | | | | 7,432 | | | | 674 | |
| Cigna Corp. | | | 300 | | | | 26,987 | | | | 3,886 | |
| Cintas Corp. | | | 200 | | | | 13,935 | | | | 1,753 | |
| Citrix Systems, Inc. | | | 200 | | | | 13,447 | | | | (687 | ) |
| Civeo Corp. | | | 1,200 | | | | 13,046 | | | | (8,114 | ) |
| Cliffs Natural Resources, Inc. | | | 5,500 | | | | 40,661 | | | | (1,391 | ) |
| Coach, Inc. | | | 1,000 | | | | 34,137 | | | | 3,423 | |
| Coca-Cola Enterprises, Inc. | | | 100 | | | | 4,260 | | | | 162 | |
| Cognizant Technology Solutions Corp. | | | 500 | | | | 22,095 | | | | 4,236 | |
| CommVault Systems, Inc. | | | 100 | | | | 4,747 | | | | 422 | |
| Computer Sciences Corp. | | | 600 | | | | 35,182 | | | | 2,648 | |
| Con-way, Inc. | | | 100 | | | | 4,851 | | | | 67 | |
| Corning, Inc. | | | 1,600 | | | | 30,134 | | | | 6,554 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
73
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| CR Bard, Inc. | | | 100 | | | $ | 16,882 | | | $ | (220 | ) |
| CSX Corp. | | | 200 | | | | 6,237 | | | | 1,009 | |
| Cummins, Inc. | | | 300 | | | | 39,080 | | | | 4,171 | |
| CVS Health Corp. | | | 100 | | | | 8,124 | | | | 1,507 | |
| Deckers Outdoor Corp. | | | 100 | | | | 8,673 | | | | 431 | |
| Delta Air Lines, Inc. | | | 2,200 | | | | 86,903 | | | | 21,315 | |
| Dillards, Inc. | | | 300 | | | | 30,354 | | | | 7,200 | |
| Dollar General Corp. | | | 400 | | | | 27,803 | | | | 477 | |
| Dollar Tree, Inc. | | | 600 | | | | 40,792 | | | | 1,436 | |
| Dover Corp. | | | 100 | | | | 7,685 | | | | (513 | ) |
| Dow Chemical Co./The | | | 200 | | | | 9,873 | | | | (751 | ) |
| Dr. Pepper Snapple Group, Inc. | | | 500 | | | | 32,243 | | | | 3,598 | |
| eBay, Inc. | | | 400 | | | | 21,595 | | | | 853 | |
| Edwards Lifesciences Corp. | | | 400 | | | | 42,457 | | | | 8,495 | |
| Electronic Arts, Inc. | | | 700 | | | | 24,226 | | | | 8,684 | |
| EMC Corp. | | | 200 | | | | 5,688 | | | | 260 | |
| Emerson Electric Co. | | | 300 | | | | 18,350 | | | | 169 | |
| Exelis, Inc. | | | 1,500 | | | | 25,361 | | | | 934 | |
| Facebook, Inc. | | | 100 | | | | 7,650 | | | | 152 | |
| Fairchild Semiconductor International, Inc. | | | 1,300 | | | | 20,656 | | | | 1,288 | |
| Flowserve Corp. | | | 100 | | | | 6,620 | | | | (637 | ) |
| Foot Locker, Inc. | | | 800 | | | | 43,702 | | | | 1,242 | |
| Fossil Group, Inc. | | | 200 | | | | 19,108 | | | | 3,040 | |
| Franklin Resources, Inc. | | | 300 | | | | 15,874 | | | | 737 | |
| Gannett Co., Inc. | | | 500 | | | | 15,017 | | | | 948 | |
| Gap, Inc./The | | | 900 | | | | 37,324 | | | | 575 | |
| General Dynamics Corp. | | | 300 | | | | 40,293 | | | | 993 | |
| General Electric Co. | | | 400 | | | | 9,984 | | | | 124 | |
| General Motors Co. | | | 300 | | | | 9,471 | | | | 1,002 | |
| Genworth Financial, Inc. | | | 1,000 | | | | 8,491 | | | | 9 | |
| Gilead Sciences, Inc. | | | 1,300 | | | | 126,540 | | | | (4,002 | ) |
| Goldman Sachs Group, Inc./The | | | 200 | | | | 36,750 | | | | 2,016 | |
| Guess?, Inc. | | | 200 | | | | 4,278 | | | | (62 | ) |
| Halliburton Co. | | | 400 | | | | 15,789 | | | | (57 | ) |
| Harman International Industries, Inc. | | | 100 | | | | 10,795 | | | | (124 | ) |
| Harris Corp. | | | 100 | | | | 6,414 | | | | 768 | |
| HCA Holdings, Inc. | | | 900 | | | | 66,015 | | | | 36 | |
| Health Net, Inc. | | | 1,300 | | | | 60,212 | | | | 9,377 | |
| Hewlett-Packard Co. | | | 1,600 | | | | 56,585 | | | | 7,623 | |
| Home Depot, Inc./The | | | 200 | | | | 20,755 | | | | 239 | |
| Humana, Inc. | | | 400 | | | | 50,259 | | | | 7,193 | |
| Huntington Ingalls Industries, Inc. | | | 200 | | | | 22,946 | | | | (454 | ) |
| IAC/InterActiveCorp. | | | 200 | | | | 12,373 | | | | (215 | ) |
| IDEX Corp. | | | 100 | | | | 6,953 | | | | 831 | |
| IHS, Inc. | | | 100 | | | | 11,666 | | | | (278 | ) |
| Illinois Tool Works, Inc. | | | 100 | | | | 8,153 | | | | 1,317 | |
| Informatica Corp. | | | 500 | | | | 17,042 | | | | 2,026 | |
| Ingram Micro, Inc. | | | 800 | | | | 21,720 | | | | 392 | |
| Integrated Device Technology, Inc. | | | 1,300 | | | | 25,879 | | | | (399 | ) |
| Intel Corp. | | | 900 | | | | 31,319 | | | | 1,342 | |
| International Business Machines Corp. | | | 100 | | | | 18,685 | | | | (2,641 | ) |
| Interpublic Group of Cos., Inc./The | | | 800 | | | | 14,071 | | | | 2,545 | |
| Intuit, Inc. | | | 200 | | | | 16,430 | | | | 2,008 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Invesco Ltd. | | | 500 | | | $ | 19,204 | | | $ | 556 | |
| ITT Corp. | | | 700 | | | | 29,622 | | | | (1,300 | ) |
| Jabil Circuit, Inc. | | | 900 | | | | 17,507 | | | | 2,140 | |
| JPMorgan Chase & Co. | | | 200 | | | | 11,909 | | | | 607 | |
| Juniper Networks, Inc. | | | 1,100 | | | | 23,632 | | | | 920 | |
| KBR, Inc. | | | 1,000 | | | | 19,022 | | | | (2,072 | ) |
| L-3 Communications Holdings, Inc. | | | 300 | | | | 32,890 | | | | 4,973 | |
| Lear Corp. | | | 300 | | | | 26,716 | | | | 2,708 | |
| Lennox International, Inc. | | | 100 | | | | 7,570 | | | | 1,937 | |
| Lexmark International, Inc. | | | 800 | | | | 32,872 | | | | 144 | |
| LifePoint Hospitals, Inc. | | | 200 | | | | 14,503 | | | | (121 | ) |
| Lincoln National Corp. | | | 200 | | | | 10,155 | | | | 1,379 | |
| Lockheed Martin Corp. | | | 200 | | | | 34,637 | | | | 3,877 | |
| Lowe’s Cos., Inc. | | | 300 | | | | 18,920 | | | | 1,720 | |
| LyondellBasell Industries NV | | | 800 | | | | 73,833 | | | | (10,321 | ) |
| ManpowerGroup, Inc. | | | 300 | | | | 20,034 | | | | 417 | |
| Marathon Petroleum Corp. | | | 400 | | | | 32,344 | | | | 3,760 | |
| Marvell Technology Group Ltd. | | | 2,800 | | | | 37,290 | | | | 3,310 | |
| McGraw Hill Financial, Inc. | | | 100 | | | | 8,209 | | | | 689 | |
| Merck & Co., Inc. | | | 600 | | | | 35,521 | | | | (1,447 | ) |
| Micron Technology, Inc. | | | 800 | | | | 25,662 | | | | 2,346 | |
| Microsoft Corp. | | | 800 | | | | 36,789 | | | | 371 | |
| Monster Beverage Corp. | | | 300 | | | | 28,199 | | | | 4,306 | |
| NASDAQ OMX Group, Inc./The | | | 700 | | | | 29,086 | | | | 4,486 | |
| Navient Corp. | | | 1,800 | | | | 30,930 | | | | 7,968 | |
| NetApp, Inc. | | | 1,200 | | | | 47,702 | | | | 2,038 | |
| Newfield Exploration Co. | | | 300 | | | | 8,382 | | | | (246 | ) |
| NIKE, Inc. | | | 300 | | | | 26,433 | | | | 2,412 | |
| Norfolk Southern Corp. | | | 100 | | | | 10,851 | | | | 110 | |
| Northrop Grumman Corp. | | | 300 | | | | 37,244 | | | | 6,973 | |
| NVIDIA Corp. | | | 1,200 | | | | 22,377 | | | | 1,683 | |
| Oil States International, Inc. | | | 200 | | | | 11,901 | | | | (2,121 | ) |
| ON Semiconductor Corp. | | | 2,900 | | | | 25,009 | | | | 4,368 | |
| Oracle Corp. | | | 1,300 | | | | 50,167 | | | | 8,294 | |
| Parker Hannifin Corp. | | | 200 | | | | 21,890 | | | | 3,900 | |
| Patterson-UTI Energy, Inc. | | | 600 | | | | 11,201 | | | | (1,247 | ) |
| Pfizer, Inc. | | | 1,400 | | | | 40,786 | | | | 2,824 | |
| Pilgrim’s Pride Corp. | | | 700 | | | | 24,472 | | | | (1,519 | ) |
| Pitney Bowes, Inc. | | | 1,100 | | | | 26,154 | | | | 653 | |
| PTC, Inc. | | | 400 | | | | 14,796 | | | | (136 | ) |
| PulteGroup, Inc. | | | 1,300 | | | | 23,728 | | | | 4,170 | |
| Rackspace Hosting, Inc. | | | 900 | | | | 30,823 | | | | 11,306 | |
| Ralph Lauren Corp. | | | 100 | | | | 16,482 | | | | 2,034 | |
| Raytheon Co. | | | 400 | | | | 38,132 | | | | 5,136 | |
| Reinsurance Group of America, Inc. | | | 500 | | | | 39,633 | | | | 4,177 | |
| RF Micro Devices, Inc. | | | 900 | | | | 9,736 | | | | 5,195 | |
| Rite Aid Corp. | | | 3,100 | | | | 16,786 | | | | 6,526 | |
| Rock-Tenn Co. | | | 500 | | | | 23,401 | | | | 7,089 | |
| Ross Stores, Inc. | | | 100 | | | | 7,571 | | | | 1,855 | |
| SEI Investments Co. | | | 600 | | | | 21,432 | | | | 2,592 | |
| Skyworks Solutions, Inc. | | | 800 | | | | 41,718 | | | | 16,450 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
74
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| SM Energy Co. | | | 400 | | | $ | 15,504 | | | $ | (72 | ) |
| Snap-on, Inc. | | | 100 | | | | 11,781 | | | | 1,893 | |
| Southwest Airlines Co. | | | 200 | | | | 6,554 | | | | 1,910 | |
| Spirit AeroSystems Holdings, Inc. | | | 700 | | | | 25,666 | | | | 4,462 | |
| Spirit Airlines, Inc. | | | 100 | | | | 8,486 | | | | (928 | ) |
| SPX Corp. | | | 300 | | | | 27,131 | | | | (1,355 | ) |
| State Street Corp. | | | 400 | | | | 28,557 | | | | 2,843 | |
| Steel Dynamics, Inc. | | | 400 | | | | 8,368 | | | | (472 | ) |
| Superior Energy Services, Inc. | | | 900 | | | | 19,511 | | | | (1,376 | ) |
| SUPERVALU, Inc. | | | 4,000 | | | | 35,726 | | | | 3,074 | |
| Symantec Corp. | | | 1,600 | | | | 38,036 | | | | 3,012 | |
| Teradyne, Inc. | | | 1,000 | | | | 18,350 | | | | 1,440 | |
| Thoratec Corp. | | | 700 | | | | 18,561 | | | | 4,161 | |
| Time Warner, Inc. | | | 200 | | | | 14,619 | | | | 2,465 | |
| Timken Co./The | | | 900 | | | | 36,437 | | | | 1,975 | |
| TJX Cos., Inc./The | | | 300 | | | | 17,972 | | | | 2,602 | |
| Towers Watson & Co. | | | 100 | | | | 10,266 | | | | 1,051 | |
| Trinity Industries, Inc. | | | 200 | | | | 5,616 | | | | (14 | ) |
| Tyco International PLC | | | 100 | | | | 4,281 | | | | 105 | |
| Tyson Foods, Inc. | | | 100 | | | | 4,104 | | | | (95 | ) |
| UGI Corp. | | | 400 | | | | 13,665 | | | | 1,527 | |
| Union Pacific Corp. | | | 100 | | | | 10,671 | | | | 1,242 | |
| United States Steel Corp. | | | 600 | | | | 17,408 | | | | (1,364 | ) |
| United Therapeutics Corp. | | | 700 | | | | 89,211 | | | | 1,432 | |
| Unum Group | | | 1,400 | | | | 46,884 | | | | 1,948 | |
| Urban Outfitters, Inc. | | | 300 | | | | 10,385 | | | | 154 | |
| Valero Energy Corp. | | | 900 | | | | 41,369 | | | | 3,181 | |
| VCA, Inc. | | | 200 | | | | 7,855 | | | | 1,899 | |
| VeriSign, Inc. | | | 100 | | | | 5,512 | | | | 188 | |
| WABCO Holdings, Inc. | | | 200 | | | | 17,272 | | | | 3,684 | |
| Waddell & Reed Financial, Inc. | | | 700 | | | | 33,962 | | | | 912 | |
| Walgreens Boots Alliance, Inc. | | | 200 | | | | 12,068 | | | | 3,172 | |
| Western Digital Corp. | | | 500 | | | | 46,778 | | | | 8,572 | |
| Whirlpool Corp. | | | 100 | | | | 14,029 | | | | 5,345 | |
| Whiting Petroleum Corp. | | | 200 | | | | 6,947 | | | | (347 | ) |
| Williams-Sonoma, Inc. | | | 200 | | | | 15,137 | | | | (1 | ) |
| Xerox Corp. | | | 1,600 | | | | 21,259 | | | | 917 | |
| Yahoo!, Inc. | | | 300 | | | | 12,249 | | | | 2,904 | |
| Zebra Technologies Corp. | | | 200 | | | | 14,509 | | | | 973 | |
| Zimmer Holdings, Inc. | | | 300 | | | | 30,509 | | | | 3,517 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 399,621 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | 404,220 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | | | | |
| Michael Kors Holdings Ltd. | | | (700 | ) | | | (53,120 | ) | | | 550 | |
| | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| Alkermes PLC | | | (1,200 | ) | | | (49,629 | ) | | | (20,643 | ) |
| Endo International PLC | | | (900 | ) | | | (62,335 | ) | | | (2,573 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (23,216 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Netherlands | | | | | | | | | |
| Chicago Bridge & Iron Co. NV | | | (1,800 | ) | | $ | (84,002 | ) | | $ | 8,438 | |
| Core Laboratories NV | | | (800 | ) | | | (106,537 | ) | | | 10,265 | |
| Sensata Technologies Holding NV | | | (1,100 | ) | | | (48,445 | ) | | | (9,206 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,497 | |
| | | | | | | | | | | | |
| Panama | | | | | | | | | |
| Copa Holdings SA | | | (100 | ) | | | (10,815 | ) | | | 451 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Weatherford International PLC | | | (200 | ) | | | (3,739 | ) | | | 1,449 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Aon PLC | | | (100 | ) | | | (9,722 | ) | | | 239 | |
| Ensco PLC | | | (800 | ) | | | (24,878 | ) | | | 918 | |
| Liberty Global PLC | | | (700 | ) | | | (32,458 | ) | | | (2,686 | ) |
| Willis Group Holdings PLC | | | (900 | ) | | | (36,807 | ) | | | (3,522 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (5,051 | ) |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| Actavis PLC | | | (200 | ) | | | (52,191 | ) | | | 709 | |
| AECOM Technology Corp. | | | (200 | ) | | | (6,282 | ) | | | 208 | |
| Air Lease Corp. | | | (200 | ) | | | (6,882 | ) | | | 20 | |
| Alcoa, Inc. | | | (800 | ) | | | (12,650 | ) | | | 18 | |
| Allegheny Technologies, Inc. | | | (800 | ) | | | (26,589 | ) | | | (1,227 | ) |
| Alliance Data Systems Corp. | | | (200 | ) | | | (49,081 | ) | | | (8,129 | ) |
| Amazon.com, Inc. | | | (100 | ) | | | (30,537 | ) | | | (498 | ) |
| AMC Networks, Inc. | | | (100 | ) | | | (5,508 | ) | | | (869 | ) |
| Amphenol Corp. | | | (200 | ) | | | (9,789 | ) | | | (973 | ) |
| Armstrong World Industries, Inc. | | | (200 | ) | | | (10,447 | ) | | | 223 | |
| Avis Budget Group, Inc. | | | (100 | ) | | | (4,929 | ) | | | (1,704 | ) |
| Avon Products, Inc. | | | (400 | ) | | | (4,485 | ) | | | 729 | |
| B/E Aerospace, Inc. | | | (100 | ) | | | (5,939 | ) | | | 137 | |
| Bill Barrett Corp. | | | (1,300 | ) | | | (23,150 | ) | | | 8,343 | |
| BioMarin Pharmaceutical, Inc. | | | (500 | ) | | | (42,706 | ) | | | (2,494 | ) |
| BorgWarner, Inc. | | | (400 | ) | | | (21,044 | ) | | | (936 | ) |
| Brookdale Senior Living, Inc. | | | (1,800 | ) | | | (61,424 | ) | | | (4,582 | ) |
| Brown-Forman Corp. | | | (300 | ) | | | (26,437 | ) | | | 85 | |
| Cabela’s, Inc. | | | (400 | ) | | | (22,904 | ) | | | 1,820 | |
| Cabot Oil & Gas Corp. | | | (800 | ) | | | (24,776 | ) | | | 1,088 | |
| Campbell Soup Co. | | | (400 | ) | | | (16,871 | ) | | | (729 | ) |
| CarMax, Inc. | | | (1,000 | ) | | | (46,414 | ) | | | (20,166 | ) |
| Carnival Corp. | | | (100 | ) | | | (3,741 | ) | | | (792 | ) |
| Catamaran Corp. | | | (1,300 | ) | | | (54,618 | ) | | | (12,657 | ) |
| CenturyLink, Inc. | | | (200 | ) | | | (8,036 | ) | | | 120 | |
| CH Robinson Worldwide, Inc. | | | (100 | ) | | | (6,496 | ) | | | (993 | ) |
| Cheniere Energy, Inc. | | | (300 | ) | | | (21,393 | ) | | | 273 | |
| Ciena Corp. | | | (3,000 | ) | | | (47,349 | ) | | | (10,881 | ) |
| Citigroup, Inc. | | | (300 | ) | | | (15,459 | ) | | | (774 | ) |
| Clean Harbors, Inc. | | | (600 | ) | | | (30,148 | ) | | | 1,318 | |
| CME Group, Inc. | | | (100 | ) | | | (9,367 | ) | | | 502 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
75
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Cobalt International Energy, Inc. | | | (1,100 | ) | | $ | (9,554 | ) | | $ | (225 | ) |
| Colfax Corp. | | | (700 | ) | | | (37,038 | ) | | | 939 | |
| Community Health Systems, Inc. | | | (200 | ) | | | (10,801 | ) | | | 17 | |
| CONSOL Energy, Inc. | | | (600 | ) | | | (20,544 | ) | | | 258 | |
| CoStar Group, Inc. | | | (200 | ) | | | (34,673 | ) | | | (2,053 | ) |
| Covanta Holding Corp. | | | (1,600 | ) | | | (37,547 | ) | | | 2,331 | |
| Cree, Inc. | | | (100 | ) | | | (3,201 | ) | | | (21 | ) |
| Crown Holdings, Inc. | | | (700 | ) | | | (31,107 | ) | | | (4,523 | ) |
| Cullen/Frost Bankers, Inc. | | | (500 | ) | | | (37,366 | ) | | | 2,046 | |
| Dean Foods Co. | | | (700 | ) | | | (12,731 | ) | | | (835 | ) |
| Denbury Resources, Inc. | | | (500 | ) | | | (6,792 | ) | | | 2,727 | |
| DreamWorks Animation SKG, Inc. | | | (700 | ) | | | (16,034 | ) | | | 403 | |
| Dril-Quip, Inc. | | | (100 | ) | | | (7,658 | ) | | | (15 | ) |
| Dunkin’ Brands Group, Inc. | | | (600 | ) | | | (26,503 | ) | | | 913 | |
| E*TRADE Financial Corp. | | | (200 | ) | | | (4,875 | ) | | | 24 | |
| Eagle Materials, Inc. | | | (200 | ) | | | (17,778 | ) | | | 2,572 | |
| EQT Corp. | | | (100 | ) | | | (8,723 | ) | | | 1,153 | |
| Equinix, Inc. | | | (204 | ) | | | (40,428 | ) | | | (5,825 | ) |
| Estee Lauder Cos., Inc./The | | | (100 | ) | | | (7,421 | ) | | | (199 | ) |
| Fastenal Co. | | | (1,100 | ) | | | (49,475 | ) | | | (2,841 | ) |
| FEI Co. | | | (100 | ) | | | (9,215 | ) | | | 180 | |
| First Horizon National Corp. | | | (2,000 | ) | | | (24,549 | ) | | | (2,611 | ) |
| First Niagara Financial Group, Inc. | | | (4,400 | ) | | | (36,727 | ) | | | (365 | ) |
| First Republic Bank | | | (700 | ) | | | (35,241 | ) | | | (1,243 | ) |
| FirstEnergy Corp. | | | (300 | ) | | | (10,261 | ) | | | (1,436 | ) |
| FleetCor Technologies, Inc. | | | (300 | ) | | | (40,735 | ) | | | (3,878 | ) |
| Flowers Foods, Inc. | | | (500 | ) | | | (9,168 | ) | | | (427 | ) |
| FMC Technologies, Inc. | | | (200 | ) | | | (11,403 | ) | | | 2,035 | |
| Fortune Brands Home & Security, Inc. | | | (300 | ) | | | (11,904 | ) | | | (1,677 | ) |
| Freeport-McMoRan, Inc. | | | (600 | ) | | | (18,945 | ) | | | 4,929 | |
| Genesee & Wyoming, Inc. | | | (400 | ) | | | (35,620 | ) | | | (348 | ) |
| Gentex Corp. | | | (400 | ) | | | (11,116 | ) | | | (3,336 | ) |
| Hain Celestial Group, Inc./The | | | (600 | ) | | | (33,313 | ) | | | (1,661 | ) |
| Helix Energy Solutions Group, Inc. | | | (300 | ) | | | (6,795 | ) | | | 285 | |
| Hertz Global Holdings, Inc. | | | (1,100 | ) | | | (26,144 | ) | | | (1,290 | ) |
| Hexcel Corp. | | | (100 | ) | | | (4,302 | ) | | | 153 | |
| Hologic, Inc. | | | (1,000 | ) | | | (24,347 | ) | | | (2,393 | ) |
| HomeAway, Inc. | | | (400 | ) | | | (12,770 | ) | | | 858 | |
| Incyte Corp. Ltd. | | | (700 | ) | | | (37,502 | ) | | | (13,675 | ) |
| Jacobs Engineering Group, Inc. | | | (200 | ) | | | (9,442 | ) | | | 504 | |
| Jarden Corp. | | | (550 | ) | | | (24,963 | ) | | | (1,371 | ) |
| Jazz Pharmaceuticals PLC | | | (500 | ) | | | (79,767 | ) | | | (2,098 | ) |
| JB Hunt Transport Services, Inc. | | | (200 | ) | | | (14,591 | ) | | | (2,259 | ) |
| Kansas City Southern | | | (400 | ) | | | (46,621 | ) | | | (2,191 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| KAR Auction Services, Inc. | | | (700 | ) | | $ | (19,336 | ) | | $ | (4,919 | ) |
| Kate Spade & Co. | | | (900 | ) | | | (27,247 | ) | | | (1,562 | ) |
| KB Home | | | (1,300 | ) | | | (19,561 | ) | | | (1,954 | ) |
| Keurig Green Mountain, Inc. | | | (100 | ) | | | (13,621 | ) | | | 382 | |
| Kinder Morgan, Inc. | | | (1,100 | ) | | | (45,422 | ) | | | (1,119 | ) |
| Lamar Advertising Co. | | | (800 | ) | | | (40,283 | ) | | | (2,629 | ) |
| Laredo Petroleum, Inc. | | | (1,800 | ) | | | (36,430 | ) | | | 17,800 | |
| Las Vegas Sands Corp. | | | (200 | ) | | | (12,189 | ) | | | 557 | |
| Lennar Corp. | | | (1,000 | ) | | | (40,198 | ) | | | (4,612 | ) |
| Level 3 Communications, Inc. | | | (900 | ) | | | (39,378 | ) | | | (5,064 | ) |
| LinkedIn Corp. | | | (300 | ) | | | (62,360 | ) | | | (6,553 | ) |
| Lions Gate Entertainment Corp. | | | (1,300 | ) | | | (41,312 | ) | | | (314 | ) |
| Live Nation Entertainment, Inc. | | | (200 | ) | | | (5,187 | ) | | | (35 | ) |
| Loews Corp. | | | (500 | ) | | | (21,566 | ) | | | 556 | |
| Louisiana-Pacific Corp. | | | (2,900 | ) | | | (37,412 | ) | | | (10,612 | ) |
| Mallinckrodt PLC | | | (200 | ) | | | (19,008 | ) | | | (798 | ) |
| Martin Marietta Materials, Inc. | | | (200 | ) | | | (23,233 | ) | | | 1,169 | |
| MGM Resorts International | | | (1,900 | ) | | | (41,024 | ) | | | 402 | |
| Motorola Solutions, Inc. | | | (600 | ) | | | (38,759 | ) | | | (1,488 | ) |
| MRC Global, Inc. | | | (1,200 | ) | | | (26,990 | ) | | | 8,810 | |
| Mylan, Inc. | | | (100 | ) | | | (5,006 | ) | | | (631 | ) |
| National Fuel Gas Co. | | | (400 | ) | | | (28,047 | ) | | | 235 | |
| Navistar International Corp. | | | (1,200 | ) | | | (37,722 | ) | | | (2,454 | ) |
| NCR Corp. | | | (400 | ) | | | (12,451 | ) | | | 795 | |
| NetSuite, Inc. | | | (200 | ) | | | (17,774 | ) | | | (4,060 | ) |
| News Corp. | | | (300 | ) | | | (4,723 | ) | | | 16 | |
| Nielsen NV | | | (600 | ) | | | (25,019 | ) | | | (1,818 | ) |
| Noble Energy, Inc. | | | (500 | ) | | | (29,521 | ) | | | 5,806 | |
| Northern Trust Corp. | | | (400 | ) | | | (27,422 | ) | | | 462 | |
| Norwegian Cruise Line Holdings Ltd. | | | (200 | ) | | | (7,814 | ) | | | (1,538 | ) |
| NRG Energy, Inc. | | | (1,400 | ) | | | (44,326 | ) | | | 6,596 | |
| Nuance Communications, Inc. | | | (900 | ) | | | (13,061 | ) | | | 218 | |
| Nucor Corp. | | | (400 | ) | | | (20,047 | ) | | | 427 | |
| Oasis Petroleum, Inc. | | | (200 | ) | | | (7,431 | ) | | | 4,123 | |
| Oceaneering International, Inc. | | | (300 | ) | | | (17,886 | ) | | | 243 | |
| Office Depot, Inc. | | | (1,500 | ) | | | (7,396 | ) | | | (5,466 | ) |
| Omnicare, Inc. | | | (400 | ) | | | (28,524 | ) | | | (648 | ) |
| ONEOK, Inc. | | | (200 | ) | | | (12,309 | ) | | | 2,351 | |
| Owens Corning | | | (400 | ) | | | (12,335 | ) | | | (1,989 | ) |
| Owens-Illinois, Inc. | | | (400 | ) | | | (10,289 | ) | | | (507 | ) |
| PacWest Bancorp | | | (700 | ) | | | (32,163 | ) | | | 341 | |
| Palo Alto Networks, Inc. | | | (300 | ) | | | (29,631 | ) | | | (7,140 | ) |
| Pandora Media, Inc. | | | (1,100 | ) | | | (25,723 | ) | | | 6,110 | |
| Peabody Energy Corp. | | | (1,700 | ) | | | (18,617 | ) | | | 5,459 | |
| Perrigo Co PLC | | | (100 | ) | | | (15,408 | ) | | | (1,308 | ) |
| Pharmacyclics, Inc. | | | (300 | ) | | | (33,096 | ) | | | (3,582 | ) |
| Post Holdings, Inc. | | | (1,700 | ) | | | (65,149 | ) | | | (6,064 | ) |
| Quest Diagnostics, Inc. | | | (100 | ) | | | (5,921 | ) | | | (785 | ) |
| Range Resources Corp. | | | (1,000 | ) | | | (62,295 | ) | | | 8,845 | |
| Regeneron Pharmaceuticals, Inc. | | | (100 | ) | | | (35,383 | ) | | | (5,642 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
76
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Rockwell Collins, Inc. | | | (100 | ) | | $ | (7,616 | ) | | $ | (832 | ) |
| Rosetta Resources, Inc. | | | (200 | ) | | | (8,123 | ) | | | 3,661 | |
| Rowan Cos. PLC | | | (500 | ) | | | (10,208 | ) | | | (1,452 | ) |
| Royal Caribbean Cruises Ltd. | | | (100 | ) | | | (6,263 | ) | | | (1,980 | ) |
| salesforce.com, Inc. | | | (900 | ) | | | (51,144 | ) | | | (2,235 | ) |
| Salix Pharmaceuticals Ltd. | | | (400 | ) | | | (49,465 | ) | | | 3,489 | |
| SanDisk Corp. | | | (200 | ) | | | (18,573 | ) | | | (1,023 | ) |
| SBA Communications Corp. | | | (500 | ) | | | (55,600 | ) | | | 220 | |
| Scripps Networks Interactive, Inc. | | | (300 | ) | | | (22,813 | ) | | | 232 | |
| Sealed Air Corp. | | | (1,400 | ) | | | (45,568 | ) | | | (13,834 | ) |
| ServiceNow, Inc. | | | (600 | ) | | | (34,483 | ) | | | (6,226 | ) |
| Signet Jewelers Ltd. | | | (100 | ) | | | (11,204 | ) | | | (1,953 | ) |
| Sirona Dental Systems, Inc. | | | (100 | ) | | | (7,803 | ) | | | (934 | ) |
| Six Flags Entertainment Corp. | | | (1,100 | ) | | | (38,138 | ) | | | (9,327 | ) |
| Sotheby’s | | | (1,500 | ) | | | (56,675 | ) | | | (8,095 | ) |
| Southwestern Energy Co. | | | (200 | ) | | | (5,906 | ) | | | 448 | |
| Splunk, Inc. | | | (500 | ) | | | (30,292 | ) | | | 817 | |
| Sprint Corp. | | | (12,100 | ) | | | (61,554 | ) | | | 11,339 | |
| Staples, Inc. | | | (300 | ) | | | (3,477 | ) | | | (1,959 | ) |
| Stericycle, Inc. | | | (600 | ) | | | (72,359 | ) | | | (6,288 | ) |
| Stratasys Ltd. | | | (600 | ) | | | (68,457 | ) | | | 18,591 | |
| SunEdison, Inc. | | | (1,800 | ) | | | (31,586 | ) | | | (3,532 | ) |
| Synovus Financial Corp. | | | (1,200 | ) | | | (29,276 | ) | | | (3,232 | ) |
| Target Corp. | | | (400 | ) | | | (24,688 | ) | | | (5,676 | ) |
| Teekay Corp. | | | (500 | ) | | | (26,092 | ) | | | 647 | |
| Tenet Healthcare Corp. | | | (600 | ) | | | (34,208 | ) | | | 3,806 | |
| Terex Corp. | | | (200 | ) | | | (5,895 | ) | | | 319 | |
| Tesla Motors, Inc. | | | (200 | ) | | | (48,194 | ) | | | 3,712 | |
| Tidewater, Inc. | | | (800 | ) | | | (29,247 | ) | | | 3,319 | |
| Tiffany & Co. | | | (300 | ) | | | (28,247 | ) | | | (3,811 | ) |
| Toll Brothers, Inc. | | | (1,600 | ) | | | (50,321 | ) | | | (4,511 | ) |
| TransDigm Group, Inc. | | | (200 | ) | | | (36,596 | ) | | | (2,674 | ) |
| Trimble Navigation Ltd. | | | (600 | ) | | | (16,610 | ) | | | 686 | |
| Triumph Group, Inc. | | | (600 | ) | | | (36,825 | ) | | | (3,506 | ) |
| Twenty-First Century Fox, Inc. | | | (600 | ) | | | (20,275 | ) | | | (2,767 | ) |
| Under Armour, Inc. | | | (300 | ) | | | (19,685 | ) | | | (685 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| United Natural Foods, Inc. | | | (100 | ) | | $ | (7,784 | ) | | $ | 52 | |
| United Rentals, Inc. | | | (400 | ) | | | (39,417 | ) | | | (1,387 | ) |
| USG Corp. | | | (2,600 | ) | | | (72,695 | ) | | | (79 | ) |
| Vantiv, Inc. | | | (500 | ) | | | (15,948 | ) | | | (1,012 | ) |
| VeriFone Systems, Inc. | | | (100 | ) | | | (3,284 | ) | | | (436 | ) |
| Vertex Pharmaceuticals, Inc. | | | (100 | ) | | | (10,278 | ) | | | (1,602 | ) |
| VMware, Inc. | | | (200 | ) | | | (18,259 | ) | | | 1,755 | |
| Waste Management, Inc. | | | (400 | ) | | | (18,829 | ) | | | (1,699 | ) |
| WellCare Health Plans, Inc. | | | (200 | ) | | | (15,270 | ) | | | (1,142 | ) |
| Wendy’s Co./The | | | (1,700 | ) | | | (13,559 | ) | | | (1,792 | ) |
| WESCO International, Inc. | | | (200 | ) | | | (15,275 | ) | | | 33 | |
| Western Union Co./The | | | (400 | ) | | | (6,487 | ) | | | (677 | ) |
| Whole Foods Market, Inc. | | | (100 | ) | | | (4,610 | ) | | | (432 | ) |
| Williams Cos., Inc./The | | | (300 | ) | | | (15,197 | ) | | | 1,715 | |
| Workday, Inc. | | | (100 | ) | | | (8,578 | ) | | | 417 | |
| WR Grace & Co. | | | (100 | ) | | | (9,741 | ) | | | 202 | |
| Wynn Resorts Ltd. | | | (200 | ) | | | (35,912 | ) | | | 6,160 | |
| Yelp, Inc. | | | (1,000 | ) | | | (56,444 | ) | | | 1,714 | |
| Zions Bancorporation | | | (800 | ) | | | (22,519 | ) | | | (289 | ) |
| Zoetis, Inc. | | | (100 | ) | | | (3,979 | ) | | | (324 | ) |
| Zynga, Inc. | | | (7,000 | ) | | | (16,712 | ) | | | (1,908 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (138,845 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (155,165 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 249,055 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (25,642 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 223,413 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Cash held as collateral at Morgan Stanley for total return basket swaps was $870,000 at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
77
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate which is denominated in CAD based on the local currencies of the positions within the swap. | | 22-25 months maturity 10/14/2016 | | | $18,861 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Aimia, Inc. | | | 600 | | | $ | 7,516 | | | $ | 30 | |
| Alimentation Couche Tard, Inc. | | | 900 | | | | 28,265 | | | | 9,453 | |
| Bank of Montreal | | | 100 | | | | 7,043 | | | | 31 | |
| Blackberry Ltd. | | | 2,100 | | | | 19,772 | | | | 3,256 | |
| Canadian Imperial Bank of Commerce | | | 100 | | | | 8,660 | | | | (66 | ) |
| Canadian Tire Corp. Ltd. | | | 100 | | | | 10,529 | | | | 36 | |
| CI Financial Corp. | | | 100 | | | | 2,834 | | | | (54 | ) |
| Dollarama, Inc. | | | 400 | | | | 17,102 | | | | 3,349 | |
| Encana Corp. | | | 500 | | | | 10,088 | | | | (3,129 | ) |
| Enerplus Corp. | | | 400 | | | | 6,422 | | | | (2,569 | ) |
| Finning International, Inc. | | | 2,900 | | | | 71,604 | | | | (8,627 | ) |
| Keyera Corp. | | | 100 | | | | 8,068 | | | | (1,090 | ) |
| Linamar Corp. | | | 1,000 | | | | 59,893 | | | | 1,176 | |
| Magna International, Inc. | | | 1,000 | | | | 89,233 | | | | 19,125 | |
| Methanex Corp. | | | 100 | | | | 6,268 | | | | (1,674 | ) |
| National Bank of Canada | | | 200 | | | | 8,577 | | | | (66 | ) |
| Pembina Pipeline Corp. | | | 100 | | | | 3,907 | | | | (263 | ) |
| Royal Bank of Canada | | | 100 | | | | 6,864 | | | | 43 | |
| West Fraser Timber Co., Ltd. | | | 100 | | | | 5,249 | | | | 473 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,434 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 19,434 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| BCE, Inc. | | | (200 | ) | | | (8,253 | ) | | | (920 | ) |
| Bombardier, Inc. | | | (9,300 | ) | | | (29,171 | ) | | | (4,049 | ) |
| Cameco Corp. | | | (1,200 | ) | | | (19,096 | ) | | | (580 | ) |
| CGI Group, Inc. | | | (100 | ) | | | (3,261 | ) | | | (551 | ) |
| Eldorado Gold Corp. | | | (2,000 | ) | | | (13,143 | ) | | | 955 | |
| First Quantum Minerals Ltd. | | | (4,400 | ) | | | (70,709 | ) | | | 8,182 | |
| Franco-Nevada Corp. | | | (200 | ) | | | (9,250 | ) | | | (599 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Canada (continued) | | | | | | | | | |
| Goldcorp, Inc. | | | (300 | ) | | $ | (6,643 | ) | | $ | 1,088 | |
| Manulife Financial Corp. | | | (1,100 | ) | | | (20,130 | ) | | | (870 | ) |
| MEG Energy Corp. | | | (1,100 | ) | | | (18,784 | ) | | | 274 | |
| Open Text Corp. | | | (100 | ) | | | (5,298 | ) | | | (522 | ) |
| Potash Corp of Saskatchewan, Inc. | | | (800 | ) | | | (25,531 | ) | | | (2,750 | ) |
| Rogers Communications, Inc. | | | (100 | ) | | | (3,657 | ) | | | (231 | ) |
| ShawCor Ltd. | | | (200 | ) | | | (7,286 | ) | | | (13 | ) |
| Silver Wheaton Corp. | | | (1,700 | ) | | | (31,515 | ) | | | (3,062 | ) |
| SNC-Lavalin Group, Inc. | | | (800 | ) | | | (29,516 | ) | | | (995 | ) |
| Teck Resources Ltd. | | | (1,700 | ) | | | (27,309 | ) | | | 4,067 | |
| Yamana Gold, Inc. | | | (300 | ) | | | (1,675 | ) | | | 463 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (113 | ) |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| Valeant Pharmaceuticals International, Inc. | | | (100 | ) | | | (12,031 | ) | | | (2,285 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (2,398 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 17,036 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 1,825 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 18,861 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
78
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) which is denominated in GBP based on the local currencies of the positions within the swap. | | 22-25 months maturity 10/12/2016 | | | $52,377 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| South Africa | | | | | | | | | | | | |
| Mondi PLC | | | 647 | | | $ | 9,747 | | | $ | 764 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
| Ashtead Group PLC | | | 312 | | | | 4,628 | | | | 913 | |
| Associated British Foods PLC | | | 231 | | | | 9,193 | | | | 2,101 | |
| AstraZeneca PLC | | | 335 | | | | 22,284 | | | | 1,377 | |
| Barratt Developments PLC | | | 8,442 | | | | 50,903 | | | | 10,539 | |
| Berkeley Group Holdings PLC | | | 452 | | | | 15,493 | | | | 1,889 | |
| BP PLC | | | 2,573 | | | | 17,715 | | | | (1,383 | ) |
| BT Group PLC | | | 9,025 | | | | 52,125 | | | | 4,008 | |
| Bunzl PLC | | | 839 | | | | 20,494 | | | | 2,444 | |
| Centrica PLC | | | 3,538 | | | | 16,819 | | | | (1,494 | ) |
| Compass Group PLC | | | 2,287 | | | | 34,710 | | | | 4,382 | |
| easyJet PLC | | | 185 | | | | 3,869 | | | | 919 | |
| GKN PLC | | | 9,302 | | | | 42,487 | | | | 7,025 | |
| GlaxoSmithKline PLC | | | 1,263 | | | | 27,485 | | | | (383 | ) |
| Imperial Tobacco Group PLC | | | 658 | | | | 27,463 | | | | 1,502 | |
| Kingfisher PLC | | | 3,730 | | | | 18,074 | | | | 1,643 | |
| National Grid PLC | | | 1,964 | | | | 28,134 | | | | (266 | ) |
| Next PLC | | | 58 | | | | 5,963 | | | | 188 | |
| Persimmon PLC | | | 2,091 | | | | 43,441 | | | | 7,630 | |
| Petrofac Ltd. | | | 474 | | | | 5,357 | | | | (193 | ) |
| Rexam PLC | | | 2,133 | | | | 16,019 | | | | (1,003 | ) |
| Shire PLC | | | 277 | | | | 18,137 | | | | 1,502 | |
| Sky PLC | | | 1,026 | | | | 14,168 | | | | 151 | |
| Standard Chartered PLC | | | 383 | | | | 5,678 | | | | 50 | |
| Tate & Lyle PLC | | | 2,990 | | | | 27,568 | | | | 449 | |
| Taylor Wimpey PLC | | | 4,332 | | | | 7,597 | | | | 1,645 | |
| Travis Perkins PLC | | | 748 | | | | 18,585 | | | | 2,945 | |
| Vodafone Group PLC | | | 6,828 | | | | 21,778 | | | | 1,634 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,214 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 50,978 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Coca-Cola HBC AG | | | (406 | ) | | | (8,412 | ) | | | 682 | |
| Glencore PLC | | | (10,179 | ) | | | (52,496 | ) | | | 5,512 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,194 | |
| | | | | | | | | | | | |
| United Kingdom | | | | | | | | | |
| Aberdeen Asset Management PLC | | | (4,023 | ) | | | (26,118 | ) | | | (765 | ) |
| Admiral Group PLC | | | (1,038 | ) | | | (20,744 | ) | | | (551 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Aggreko PLC | | | (289 | ) | | $ | (6,730 | ) | | $ | (9 | ) |
| Antofagasta PLC | | | (1,418 | ) | | | (15,013 | ) | | | (1,509 | ) |
| ARM Holdings PLC | | | (2,749 | ) | | | (39,888 | ) | | | (2,343 | ) |
| ASOS PLC | | | (714 | ) | | | (23,794 | ) | | | (4,593 | ) |
| Burberry Group PLC | | | (177 | ) | | | (4,024 | ) | | | (467 | ) |
| Capita PLC | | | (741 | ) | | | (13,216 | ) | | | 791 | |
| Diageo PLC | | | (1,481 | ) | | | (40,015 | ) | | | (2,411 | ) |
| Drax Group PLC | | | (1,182 | ) | | | (11,332 | ) | | | 2,868 | |
| Experian PLC | | | (914 | ) | | | (13,358 | ) | | | (2,050 | ) |
| G4S PLC | | | (3,743 | ) | | | (14,560 | ) | | | (1,586 | ) |
| Hargreaves Lansdown PLC | | | (1,705 | ) | | | (25,115 | ) | | | (1,563 | ) |
| Informa PLC | | | (553 | ) | | | (4,013 | ) | | | (26 | ) |
| Inmarsat PLC | | | (3,614 | ) | | | (45,425 | ) | | | 614 | |
| Intertek Group PLC | | | (519 | ) | | | (20,296 | ) | | | 1,512 | |
| Marks & Spencer Group PLC | | | (2,985 | ) | | | (18,809 | ) | | | (3,295 | ) |
| Meggitt PLC | | | (2,595 | ) | | | (17,600 | ) | | | (3,275 | ) |
| Pearson PLC | | | (547 | ) | | | (10,140 | ) | | | 38 | |
| Royal Bank of Scotland Group PLC | | | (2,522 | ) | | | (14,466 | ) | | | (878 | ) |
| RSA Insurance Group PLC | | | (3,641 | ) | | | (26,243 | ) | | | 1,661 | |
| Serco Group PLC | | | (14,082 | ) | | | (51,234 | ) | | | 16,100 | |
| Spectris PLC | | | (431 | ) | | | (14,195 | ) | | | 120 | |
| Standard Life PLC | | | (2,890 | ) | | | (17,860 | ) | | | (41 | ) |
| Telecity Group PLC | | | (2,330 | ) | | | (25,656 | ) | | | (3,446 | ) |
| Tesco PLC | | | (6,137 | ) | | | (17,959 | ) | | | 65 | |
| William Hill PLC | | | (1,665 | ) | | | (9,262 | ) | | | (95 | ) |
| WM Morrison Supermarkets PLC | | | (5,863 | ) | | | (14,928 | ) | | | (1,802 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (6,936 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (742 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 50,236 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 2,141 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 52,377 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
79
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate which is denominated in JPY based on the local currencies of the positions within the swap. | | 22-25 months maturity 10/14/2016 | | | $10,594 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| Aozora Bank Ltd. | | | 2,000 | | | $ | 6,279 | | | $ | (88 | ) |
| Asahi Kasei Corp. | | | 3,000 | | | | 22,474 | | | | 4,893 | |
| Astellas Pharma, Inc. | | | 300 | | | | 4,064 | | | | 112 | |
| Bandai Namco Holdings, Inc. | | | 1,600 | | | | 36,384 | | | | (2,509 | ) |
| Bank of Yokohama Ltd./The | | | 4,000 | | | | 19,032 | | | | 2,693 | |
| Calbee, Inc. | | | 900 | | | | 26,141 | | | | 4,861 | |
| Central Japan Railway Co. | | | 300 | | | | 35,298 | | | | 9,665 | |
| Chiba Bank Ltd. | | | 2,000 | | | | 12,045 | | | | 1,061 | |
| Chugai Pharmaceutical Co., Ltd. | | | 900 | | | | 24,749 | | | | (2,652 | ) |
| Citizen Holdings Co., Ltd. | | | 7,100 | | | | 40,258 | | | | 14,373 | |
| Daicel Corp. | | | 2,000 | | | | 19,638 | | | | 3,723 | |
| Dentsu, Inc. | | | 200 | | | | 6,472 | | | | 1,936 | |
| Fuji Electric Co., Ltd. | | | 7,000 | | | | 27,619 | | | | 289 | |
| Fuji Heavy Industries Ltd. | | | 1,600 | | | | 48,104 | | | | 8,514 | |
| FUJIFILM Holdings Corp. | | | 800 | | | | 23,943 | | | | 467 | |
| Fujitsu Ltd. | | | 8,000 | | | | 45,474 | | | | (2,821 | ) |
| Fukuoka Financial Group, Inc. | | | 4,000 | | | | 16,283 | | | | 4,339 | |
| Gree, Inc. | | | 2,200 | | | | 13,828 | | | | (584 | ) |
| Hirose Electric Co., Ltd. | | | 100 | | | | 11,090 | | | | 512 | |
| Hitachi High-Technologies Corp. | | | 2,100 | | | | 52,608 | | | | 7,718 | |
| Hoya Corp. | | | 1,300 | | | | 38,138 | | | | 5,834 | |
| Ibiden Co., Ltd | | | 1,000 | | | | 14,359 | | | | 407 | |
| Isuzu Motors Ltd. | | | 700 | | | | 8,684 | | | | (158 | ) |
| ITOCHU Corp. | | | 2,700 | | | | 28,623 | | | | 200 | |
| Japan Airlines Co., Ltd. | | | 1,400 | | | | 42,572 | | | | (1,063 | ) |
| JGC Corp. | | | 2,000 | | | | 46,626 | | | | (5,453 | ) |
| JTEKT Corp. | | | 700 | | | | 9,934 | | | | 1,847 | |
| Kao Corp. | | | 300 | | | | 10,520 | | | | 1,310 | |
| Konica Minolta, Inc. | | | 2,000 | | | | 19,561 | | | | 2,231 | |
| Mabuchi Motor Co., Ltd. | | | 400 | | | | 17,032 | | | | (1,155 | ) |
| Marubeni Corp. | | | 600 | | | | 3,555 | | | | 35 | |
| Mazda Motor Corp. | | | 700 | | | | 17,030 | | | | (219 | ) |
| MEIJI Holdings Co., Ltd. | | | 100 | | | | 7,221 | | | | 1,877 | |
| Mitsubishi Electric Corp. | | | 5,000 | | | | 56,104 | | | | 3,286 | |
| Mitsubishi Motors Corp. | | | 4,800 | | | | 47,484 | | | | (3,633 | ) |
| Mitsubishi Tanabe Pharma Corp. | | | 500 | | | | 6,861 | | | | 468 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Mitsui & Co., Ltd. | | | 1,500 | | | $ | 20,206 | | | $ | (117 | ) |
| Murata Manufacturing Co., Ltd. | | | 100 | | | | 9,778 | | | | 1,134 | |
| NGK Spark Plug Co., Ltd. | | | 700 | | | | 16,836 | | | | 4,434 | |
| Nippon Steel & Sumitomo Metal Corp. | | | 8,000 | | | | 17,688 | | | | 2,157 | |
| Nitori Holdings Co., Ltd. | | | 300 | | | | 16,809 | | | | (691 | ) |
| NOK Corp. | | | 500 | | | | 13,048 | | | | (321 | ) |
| Omron Corp. | | | 900 | | | | 35,999 | | | | 4,263 | |
| Otsuka Corp. | | | 300 | | | | 10,059 | | | | (547 | ) |
| Otsuka Holdings Co., Ltd. | | | 1,100 | | | | 35,217 | | | | (2,239 | ) |
| Panasonic Corp. | | | 3,500 | | | | 36,483 | | | | 4,742 | |
| Resona Holdings, Inc. | | | 4,100 | | | | 20,637 | | | | 74 | |
| Rohm Co., Ltd. | | | 1,100 | | | | 58,974 | | | | 7,304 | |
| Secom Co., Ltd. | | | 300 | | | | 15,667 | | | | 1,569 | |
| Sekisui Chemical Co., Ltd. | | | 1,000 | | | | 10,202 | | | | 1,829 | |
| Seven Bank Ltd. | | | 1,800 | | | | 6,383 | | | | 1,172 | |
| Shimizu Corp. | | | 1,000 | | | | 6,856 | | | | (64 | ) |
| Shionogi & Co., Ltd. | | | 500 | | | | 10,274 | | | | 2,643 | |
| Showa Shell Sekiyu KK | | | 800 | | | | 6,827 | | | | 1,053 | |
| Sony Corp. | | | 800 | | | | 17,088 | | | | (761 | ) |
| Sumitomo Heavy Industries Ltd. | | | 1,000 | | | | 4,782 | | | | 597 | |
| Sumitomo Metal Mining Co., Ltd. | | | 1,000 | | | | 12,212 | | | | 2,703 | |
| Sumitomo Rubber Industries Ltd. | | | 500 | | | | 6,288 | | | | 1,145 | |
| Suruga Bank Ltd. | | | 300 | | | | 5,091 | | | | 422 | |
| Suzuki Motor Corp. | | | 1,900 | | | | 51,449 | | | | 5,489 | |
| Sysmex Corp. | | | 300 | | | | 10,254 | | | | 3,060 | |
| Taiheiyo Cement Corp. | | | 3,000 | | | | 9,930 | | | | (518 | ) |
| Taisei Corp. | | | 10,000 | | | | 48,703 | | | | 8,017 | |
| Tohoku Electric Power Co., Inc. | | | 3,400 | | | | 32,625 | | | | 6,939 | |
| Tokyo Gas Co., Ltd. | | | 9,000 | | | | 44,074 | | | | 4,487 | |
| TOTO Ltd. | | | 2,000 | | | | 19,362 | | | | 3,904 | |
| West Japan Railway Co. | | | 900 | | | | 36,476 | | | | 6,075 | |
| Yamaha Corp. | | | 300 | | | | 3,441 | | | | 980 | |
| Yamaha Motor Co., Ltd. | | | 1,800 | | | | 30,160 | | | | 5,851 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 139,101 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 139,101 | |
| | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
80
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| Advantest Corp. | | | (3,700 | ) | | $ | (43,204 | ) | | $ | (2,655 | ) |
| Aeon Co., Ltd. | | | (5,900 | ) | | | (53,696 | ) | | | (5,596 | ) |
| AEON Financial Service Co., Ltd. | | | (2,600 | ) | | | (50,155 | ) | | | (1,198 | ) |
| Chiyoda Corp. | | | (1,000 | ) | | | (8,581 | ) | | | 296 | |
| Credit Saison Co., Ltd. | | | (400 | ) | | | (7,396 | ) | | | (42 | ) |
| Daikin Industries Ltd. | | | (700 | ) | | | (41,230 | ) | | | (3,656 | ) |
| Daiwa Securities Group, Inc. | | | (2,000 | ) | | | (16,257 | ) | | | 597 | |
| Denso Corp. | | | (700 | ) | | | (28,060 | ) | | | (4,565 | ) |
| Disco Corp. | | | (100 | ) | | | (5,893 | ) | | | (2,105 | ) |
| Don Quijote Holdings Co., Ltd. | | | (300 | ) | | | (17,448 | ) | | | (3,175 | ) |
| Eisai Co., Ltd. | | | (300 | ) | | | (10,903 | ) | | | (699 | ) |
| Fast Retailing Co., Ltd. | | | (200 | ) | | | (60,216 | ) | | | (12,563 | ) |
| GS Yuasa Corp. | | | (9,000 | ) | | | (43,757 | ) | | | 5,492 | |
| Hitachi Construction Machinery Co., Ltd. | | | (700 | ) | | | (11,704 | ) | | | (3,096 | ) |
| Hitachi Ltd. | | | (1,000 | ) | | | (6,543 | ) | | | (837 | ) |
| Hokkaido Electric Power Co., Inc. | | | (2,700 | ) | | | (17,451 | ) | | | (4,162 | ) |
| Honda Motor Co., Ltd. | | | (800 | ) | | | (23,593 | ) | | | 123 | |
| IHI Corp. | | | (4,000 | ) | | | (18,025 | ) | | | (2,233 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (3,500 | ) | | | (39,024 | ) | | | (4,286 | ) |
| J Front Retailing Co., Ltd. | | | (700 | ) | | | (8,581 | ) | | | 473 | |
| Japan Display, Inc. | | | (1,600 | ) | | | (5,089 | ) | | | 206 | |
| Japan Steel Works Ltd./The | | | (10,000 | ) | | | (33,777 | ) | | | (1,605 | ) |
| JFE Holdings, Inc. | | | (300 | ) | | | (6,853 | ) | | | 162 | |
| Kakaku.com, Inc. | | | (1,000 | ) | | | (15,237 | ) | | | 930 | |
| Kansai Electric Power Co., Inc./The | | | (3,900 | ) | | | (33,392 | ) | | | (3,709 | ) |
| Kintetsu Corp. | | | (12,000 | ) | | | (35,171 | ) | | | (4,284 | ) |
| Komatsu Ltd. | | | (700 | ) | | | (13,853 | ) | | | (1,623 | ) |
| Konami Corp. | | | (1,500 | ) | | | (26,778 | ) | | | (722 | ) |
| Kubota Corp. | | | (1,000 | ) | | | (12,880 | ) | | | (1,634 | ) |
| Kyocera Corp. | | | (200 | ) | | | (8,807 | ) | | | (345 | ) |
| Kyowa Hakko Kirin Co., Ltd. | | | (1,000 | ) | | | (10,937 | ) | | | 1,521 | |
| Kyushu Electric Power Co., Inc. | | | (2,100 | ) | | | (19,625 | ) | | | (1,407 | ) |
| LIXIL Group Corp. | | | (900 | ) | | | (16,653 | ) | | | (2,288 | ) |
| Marui Group Co., Ltd. | | | (7,900 | ) | | | (57,005 | ) | | | (14,250 | ) |
| Mitsubishi Gas Chemical Co., Inc. | | | (1,000 | ) | | | (5,665 | ) | | | 646 | |
| Mitsui OSK Lines Ltd. | | | (9,000 | ) | | | (25,190 | ) | | | (1,474 | ) |
| Nidec Corp. | | | (300 | ) | | | (18,339 | ) | | | (1,037 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Nissan Motor Co., Ltd. | | | (2,700 | ) | | $ | (22,554 | ) | | $ | (995 | ) |
| Nomura Holdings, Inc. | | | (1,300 | ) | | | (8,138 | ) | | | 781 | |
| Obayashi Corp. | | | (4,000 | ) | | | (24,604 | ) | | | (1,181 | ) |
| Olympus Corp. | | | (1,000 | ) | | | (30,822 | ) | | | (4,208 | ) |
| Ono Pharmaceutical Co., Ltd. | | | (100 | ) | | | (7,559 | ) | | | (1,294 | ) |
| Rakuten, Inc. | | | (4,100 | ) | | | (44,023 | ) | | | (12,990 | ) |
| Ricoh Co., Ltd. | | | (1,000 | ) | | | (9,472 | ) | | | (637 | ) |
| Sega Sammy Holdings, Inc. | | | (1,500 | ) | | | (20,224 | ) | | | 1,033 | |
| Seiko Epson Corp. | | | (100 | ) | | | (4,452 | ) | | | 267 | |
| Shimano, Inc. | | | (100 | ) | | | (10,531 | ) | | | (2,421 | ) |
| Softbank Corp. | | | (600 | ) | | | (36,628 | ) | | | 914 | |
| Sumco Corp. | | | (2,400 | ) | | | (35,076 | ) | | | 717 | |
| Sumitomo Chemical Co., Ltd. | | | (3,000 | ) | | | (9,096 | ) | | | (2,714 | ) |
| Sumitomo Dainippon Pharma Co., Ltd. | | | (400 | ) | | | (4,496 | ) | | | 622 | |
| Terumo Corp. | | | (300 | ) | | | (6,384 | ) | | | (424 | ) |
| Toray Industries, Inc. | | | (1,000 | ) | | | (7,878 | ) | | | (112 | ) |
| Toyota Industries Corp. | | | (200 | ) | | | (8,361 | ) | | | (1,890 | ) |
| Toyota Motor Corp. | | | (400 | ) | | | (20,720 | ) | | | (4,208 | ) |
| Unicharm Corp. | | | (200 | ) | | | (4,336 | ) | | | (458 | ) |
| Yahoo Japan Corp. | | | (15,500 | ) | | | (56,052 | ) | | | 501 | |
| Yakult Honsha Co., Ltd. | | | (200 | ) | | | (8,976 | ) | | | (1,582 | ) |
| Yamato Holdings Co., Ltd. | | | (1,700 | ) | | | (35,591 | ) | | | 1,928 | |
| Yaskawa Electric Corp. | | | (5,800 | ) | | | (66,967 | ) | | | (7,118 | ) |
| Yokogawa Electric Corp. | | | (2,300 | ) | | | (24,840 | ) | | | (399 | ) |
| Yokohama Rubber Co., Ltd./The | | | (1,000 | ) | | | (7,652 | ) | | | (1,453 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (112,121 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (112,121 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 26,980 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (16,386 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 10,594 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
81
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate, which is denominated in EUR based on the local currencies of the positions within the swap. | | 22-25 months maturity 10/12/2016 | | | $4,778 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Accor SA | | | 377 | | | $ | 15,207 | | | $ | 1,740 | |
| Cie Generale des Etablissements Michelin | | | 98 | | | | 8,402 | | | | 444 | |
| Eutelsat Communications SA | | | 266 | | | | 8,013 | | | | 589 | |
| GDF Suez | | | 485 | | | | 11,209 | | | | 101 | |
| Iliad SA | | | 78 | | | | 14,809 | | | | 3,917 | |
| Orange SA | | | 2,710 | | | | 36,064 | | | | 10,024 | |
| Peugeot SA | | | 1,166 | | | | 14,244 | | | | 43 | |
| Sanofi | | | 468 | | | | 44,758 | | | | (2,091 | ) |
| SCOR SE | | | 145 | | | | 4,241 | | | | 152 | |
| SES SA | | | 374 | | | | 12,325 | | | | 1,094 | |
| Sodexo SA | | | 145 | | | | 12,815 | | | | 1,378 | |
| Total SA | | | 525 | | | | 29,986 | | | | (3,089 | ) |
| Vivendi SA | | | 574 | | | | 14,394 | | | | (107 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,195 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 14,195 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Carrefour SA | | | (297 | ) | | | (8,441 | ) | | | (597 | ) |
| Edenred | | | (570 | ) | | | (13,740 | ) | | | (2,024 | ) |
| Eiffage SA | | | (350 | ) | | | (17,416 | ) | | | (329 | ) |
| Essilor International SA | | | (536 | ) | | | (54,147 | ) | | | (5,628 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton SA | | | (163 | ) | | $ | (24,791 | ) | | $ | (1,029 | ) |
| LVMH Moet Hennessy Louis Vuitton SA, Rights | | | (163 | ) | | | (21 | ) | | | (2,852 | ) |
| Renault SA | | | (58 | ) | | | (4,211 | ) | | | (14 | ) |
| Vallourec SA | | | (426 | ) | | | (17,563 | ) | | | 6,017 | |
| Veolia Environnement SA | | | (392 | ) | | | (6,351 | ) | | | (592 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (7,048 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (7,048 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 7,147 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (2,369 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 4,778 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
82
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1Week Forward FX Swap Rate which is denominated in HKD based on the local currencies of the positions within the swap. | | 22-25 months maturity 10/14/2016 | | | $7,103 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | | | | |
| Bank of East Asia Ltd. | | | 2,400 | | | $ | 9,622 | | | $ | 16 | |
| BOC Hong Kong Holdings Ltd. | | | 1,500 | | | | 4,746 | | | | 252 | |
| Cheung Kong Holdings Ltd. | | | 4,000 | | | | 67,530 | | | | (543 | ) |
| CLP Holdings Ltd. | | | 2,000 | | | | 17,241 | | | | 77 | |
| Hutchison Whampoa Ltd. | | | 2,000 | | | | 25,255 | | | | (2,392 | ) |
| Hysan Development Co., Ltd. | | | 11,000 | | | | 50,394 | | | | (1,576 | ) |
| Li & Fung Ltd. | | | 24,000 | | | | 22,995 | | | | (610 | ) |
| MGM China Holdings Ltd. | | | 6,400 | | | | 18,641 | | | | (2,481 | ) |
| MTR Corp. Ltd. | | | 11,000 | | | | 44,480 | | | | 524 | |
| Power Assets Holdings Ltd. | | | 3,000 | | | | 27,608 | | | | 1,396 | |
| Sands China Ltd. | | | 400 | | | | 2,168 | | | | (220 | ) |
| Sino Land Co., Ltd. | | | 26,000 | | | | 41,441 | | | | 297 | |
| SJM Holdings Ltd. | | | 13,000 | | | | 23,096 | | | | (2,544 | ) |
| Swire Pacific Ltd. | | | 500 | | | | 6,456 | | | | 34 | |
| Swire Properties Ltd. | | | 3,600 | | | | 10,878 | | | | (285 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (8,055 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (8,055 | ) |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | | | | |
| AIA Group Ltd. | | | (2,000 | ) | | | (10,594 | ) | | | (437 | ) |
| ASM Pacific Technology Ltd. | | | (3,600 | ) | | | (34,488 | ) | | | 211 | |
| Cathay Pacific Airways Ltd. | | | (4,000 | ) | | | (8,286 | ) | | | (435 | ) |
| First Pacific Co., Ltd. | | | (12,000 | ) | | | (12,808 | ) | | | 958 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Hong Kong (continued) | | | | | | | | | |
| Galaxy Entertainment Group Ltd. | | | (2,000 | ) | | $ | (10,924 | ) | | $ | (190 | ) |
| Hang Lung Properties Ltd. | | | (11,000 | ) | | | (32,321 | ) | | | 1,634 | |
| Hang Seng Bank Ltd. | | | (800 | ) | | | (13,074 | ) | | | (223 | ) |
| Hong Kong & China Gas Co., Ltd. | | | (35,000 | ) | | | (76,921 | ) | | | (2,821 | ) |
| Melco International Development Ltd. | | | (24,000 | ) | | | (56,172 | ) | | | 3,633 | |
| Sun Hung Kai Properties Ltd. | | | (1,000 | ) | | | (14,275 | ) | | | (876 | ) |
| Techtronic Industries Co., Ltd. | | | (4,500 | ) | | | (14,612 | ) | | | 175 | |
| Wynn Macau Ltd. | | | (12,800 | ) | | | (40,632 | ) | | | 4,922 | |
| Xinyi Glass Holdings Ltd. | | | (72,000 | ) | | | (45,225 | ) | | | 9,062 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,613 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 15,613 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 7,558 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (455 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 7,103 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
83
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR EQUITY MARKET NEUTRAL FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Morgan Stanley | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate which is denominated in AUD based on the local currencies of the positions within the swap. | | 22-25 months maturity 10/13/2016 | | | $12,681 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australia | | | | | | | | | |
| Amcor Ltd. | | | 1,103 | | | $ | 10,103 | | | $ | 2,032 | |
| Aurizon Holdings Ltd. | | | 5,156 | | | | 18,965 | | | | 330 | |
| Boral Ltd. | | | 2,633 | | | | 10,482 | | | | 817 | |
| Caltex Australia Ltd. | | | 486 | | | | 11,510 | | | | 1,975 | |
| Coca-Cola Amatil Ltd. | | | 2,078 | | | | 14,744 | | | | 945 | |
| Incitec Pivot Ltd. | | | 3,305 | | | | 7,590 | | | | 959 | |
| Lend Lease Group | | | 371 | | | | 4,402 | | | | 540 | |
| Macquarie Group Ltd. | | | 782 | | | | 36,279 | | | | 598 | |
| Qantas Airways Ltd. | | | 6,875 | | | | 13,359 | | | | (6 | ) |
| Rio Tinto Ltd. | | | 284 | | | | 13,700 | | | | (386 | ) |
| Sonic Healthcare Ltd. | | | 427 | | | | 6,000 | | | | 424 | |
| Telstra Corp. Ltd. | | | 9,074 | | | | 42,690 | | | | 1,363 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,591 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 9,591 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Australia | | | | | | | | | | | | |
| Cochlear Ltd. | | | (222 | ) | | | (12,322 | ) | | | (1,684 | ) |
| Fortescue Metals Group Ltd. | | | (4,057 | ) | | | (9,280 | ) | | | 372 | |
| Iluka Resources Ltd. | | | (6,276 | ) | | | (36,840 | ) | | | 6,699 | |
| QBE Insurance Group Ltd. | | | (3,335 | ) | | | (30,740 | ) | | | 457 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australia (continued) | | | | | | | | | |
| REA Group Ltd. | | | (121 | ) | | $ | (4,533 | ) | | $ | 97 | |
| Santos Ltd. | | | (750 | ) | | | (5,106 | ) | | | 96 | |
| Seek Ltd. | | | (2,023 | ) | | | (25,532 | ) | | | (2,676 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,361 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 3,361 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 12,952 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (271 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 12,681 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
84
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | |
| MONEY MARKET FUNDS - 90.4% | | SHARES | | | VALUE (Note 5) | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% ^(a) | | | 33,004,956 | | | $ | 33,004,956 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% ^(a)(b) | | | 100,000 | | | | 100,000 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(Cost $33,104,956) | | | | | | | 33,104,956 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 90.4%
(Cost $33,104,956) | | | | | | | 33,104,956 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 9.6% (c) | | | | | 3,513,613 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 36,618,569 | |
| | | | | | | | |
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
| (c) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (See Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
Interest rate swap contracts outstanding as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International | | 2.500% | | | | (1) | | AUD | | | 4,900,000 | | | | $(4,284) | | | | 03/09/2017 | | | | $(7,319) | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 3.000 | % | | AUD | | | 2,340,000 | | | | 1,431 | | | | 03/09/2017 | | | | 22,617 | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 3.000 | % | | AUD | | | 9,900,000 | | | | 26,605 | | | | 03/09/2017 | | | | 75,133 | |
| Credit Suisse International | | 3.000% | | | | (1) | | AUD | | | 2,850,000 | | | | (9,331) | | | | 03/09/2017 | | | | (19,956) | |
| Credit Suisse International | | 3.000% | | | | (1) | | AUD | | | 2,390,000 | | | | (8,572) | | | | 03/09/2017 | | | | (15,989) | |
| Credit Suisse International | | 3.000% | | | | (1) | | AUD | | | 6,340,000 | | | | (43,086) | | | | 03/09/2017 | | | | (22,068) | |
| Credit Suisse International | | 3.000% | | | | (1) | | AUD | | | 2,630,000 | | | | (11,110) | | | | 03/09/2017 | | | | (15,918) | |
| Credit Suisse International | | 3.000% | | | | (1) | | AUD | | | 3,840,000 | | | | (14,735) | | | | 03/09/2017 | | | | (24,726) | |
| Credit Suisse International | | 4.000% | | | | (2) | | AUD | | | 570,000 | | | | 729 | | | | 03/13/2025 | | | | (34,686) | |
| Credit Suisse International | | 4.000% | | | | (2) | | AUD | | | 2,350,000 | | | | (33,218) | | | | 03/13/2025 | | | | (106,781) | |
| Credit Suisse International | | 6 Month Australian Bank-Bill Reference Rate | | | 3.500 | % | | AUD | | | 1,460,000 | | | | (5,186) | | | | 03/13/2025 | | | | 40,134 | |
| Credit Suisse International | | 6 Month Australian Bank-Bill Reference Rate | | | 3.500 | % | | AUD | | | 1,120,000 | | | | 20,994 | | | | 03/13/2025 | | | | 5,815 | |
| Credit Suisse International | | 6 Month Australian Bank-Bill Reference Rate | | | 4.000 | % | | AUD | | | 900,000 | | | | 18,473 | | | | 03/13/2025 | | | | 35,144 | |
| Credit Suisse International | | 6 Month Australian Bank-Bill Reference Rate | | | 4.000 | % | | AUD | | | 560,000 | | | | 11,153 | | | | 03/13/2025 | | | | 22,208 | |
| Credit Suisse International | | 6 Month Australian Bank-Bill Reference Rate | | | 4.000 | % | | AUD | | | 690,000 | | | | 15,656 | | | | 03/13/2025 | | | | 25,450 | |
| Credit Suisse International | | 6 Month Australian Bank-Bill Reference Rate | | | 4.000 | % | | AUD | | | 660,000 | | | | 9,029 | | | | 03/13/2025 | | | | 30,290 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
85
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International | | 1.500% | | | | (3) | | CAD | | | 2,510,000 | | | | $ (3,293) | | | | 03/13/2017 | | | | $ 2,479 | |
| Credit Suisse International | | 1.500% | | | | (3) | | CAD | | | 36,110,000 | | | | 51,618 | | | | 03/13/2017 | | | | (63,329) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 550,000 | | | | 4,230 | | | | 03/17/2025 | | | | (12,227) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 540,000 | | | | 2,919 | | | | 03/17/2025 | | | | (10,771) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 610,000 | | | | 1,747 | | | | 03/17/2025 | | | | (10,616) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 520,000 | | | | 3,948 | | | | 03/17/2025 | | | | (11,509) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 520,000 | | | | 3,287 | | | | 03/17/2025 | | | | (10,848) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 510,000 | | | | 5,581 | | | | 03/17/2025 | | | | (12,997) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 600,000 | | | | 6,731 | | | | 03/17/2025 | | | | (15,455) | |
| Credit Suisse International | | 2.500% | | | | (3) | | CAD | | | 570,000 | | | | (4,446) | | | | 03/17/2025 | | | | (3,842) | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 640,000 | | | | (1,944) | | | | 03/13/2017 | | | | 2,152 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,490,000 | | | | (98) | | | | 03/13/2017 | | | | 905 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,300,000 | | | | (2,526) | | | | 03/13/2017 | | | | 3,272 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,290,000 | | | | (875) | | | | 03/13/2017 | | | | 1,617 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,330,000 | | | | 574 | | | | 03/13/2017 | | | | 182 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,290,000 | | | | (2,835) | | | | 03/13/2017 | | | | 3,577 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,320,000 | | | | (334) | | | | 03/13/2017 | | | | 1,086 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,340,000 | | | | (255) | | | | 03/13/2017 | | | | 1,014 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 1.500 | % | | CAD | | | 2,310,000 | | | | (503) | | | | 03/13/2017 | | | | 1,252 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 2.500 | % | | CAD | | | 8,140,000 | | | | (62,289) | | | | 03/17/2025 | | | | 180,646 | |
| Credit Suisse International | | 3 Month London Interbank Offered Rate | | | 2.500 | % | | CAD | | | 520,000 | | | | 7,189 | | | | 03/17/2025 | | | | 372 | |
| Credit Suisse International † | | 0.500% | | | | (4) | | EUR | | | 1,690,000 | | | | (9,947) | | | | 03/15/2017 | | | | (2,587) | |
| Credit Suisse International † | | 0.500% | | | | (4) | | EUR | | | 9,110,000 | | | | (50,703) | | | | 03/15/2017 | | | | (16,866) | |
| Credit Suisse International † | | 0.500% | | | | (4) | | EUR | | | 10,270,000 | | | | (43,754) | | | | 03/15/2017 | | | | (32,419) | |
| Credit Suisse International † | | 1.000% | | | | (4) | | EUR | | | 350,000 | | | | (4,041) | | | | 03/19/2025 | | | | (2,444) | |
| Credit Suisse International † | | 1.000% | | | | (4) | | EUR | | | 570,000 | | | | (678) | | | | 03/19/2025 | | | | (9,884) | |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 340,000 | | | | (11,791) | | | | 03/19/2025 | | | | (14,985) | |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 340,000 | | | | (11,811) | | | | 03/19/2025 | | | | (14,965) | |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 350,000 | | | | (16,203) | | | | 03/19/2025 | | | | (11,360) | |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 370,000 | | | | (15,946) | | | | 03/19/2025 | | | | (13,193) | |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 340,000 | | | | (16,370) | | | | 03/19/2025 | | | | (10,406) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
86
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 340,000 | | | | $ (15,499 | ) | | | 03/19/2025 | | | | $ (11,277 | ) |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 330,000 | | | | (6,211 | ) | | | 03/19/2025 | | | | (19,777 | ) |
| Credit Suisse International † | | 1.500% | | | | (4) | | EUR | | | 350,000 | | | | (8,337 | ) | | | 03/19/2025 | | | | (19,226 | ) |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,620,000 | | | | 10,350 | | | | 03/15/2017 | | | | 1,665 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,600,000 | | | | 8,110 | | | | 03/15/2017 | | | | 3,757 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,600,000 | | | | 8,764 | | | | 03/15/2017 | | | | 3,103 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,570,000 | | | | 8,055 | | | | 03/15/2017 | | | | 3,589 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,680,000 | | | | 10,063 | | | | 03/15/2017 | | | | 2,398 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,630,000 | | | | 8,664 | | | | 03/15/2017 | | | | 3,426 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,610,000 | | | | 9,431 | | | | 03/15/2017 | | | | 2,511 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,620,000 | | | | 10,287 | | | | 03/15/2017 | | | | 1,728 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 1,620,000 | | | | 9,576 | | | | 03/15/2017 | | | | 2,440 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 0.500 | % | | EUR | | | 2,690,000 | | | | 17,104 | | | | 03/15/2017 | | | | 2,848 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 1.500 | % | | EUR | | | 340,000 | | | | 10,078 | | | | 03/19/2025 | | | | 16,698 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 1.500 | % | | EUR | | | 2,190,000 | | | | 73,183 | | | | 03/19/2025 | | | | 99,285 | |
| Credit Suisse International † | | 6 Month Euro Interbank Offered Rate | | | 1.500 | % | | EUR | | | 1,900,000 | | | | 46,107 | | | | 03/19/2025 | | | | 103,524 | |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,280,000 | | | | (7,295 | ) | | | 03/15/2017 | | | | (11,649 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,590,000 | | | | (18,683 | ) | | | 03/15/2017 | | | | (4,849 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,260,000 | | | | (7,395 | ) | | | 03/15/2017 | | | | (11,253 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,420,000 | | | | (9,006 | ) | | | 03/15/2017 | | | | (12,010 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,300,000 | | | | (15,690 | ) | | | 03/15/2017 | | | | (3,550 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,300,000 | | | | (11,919 | ) | | | 03/15/2017 | | | | (7,321 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,290,000 | | | | (18,673 | ) | | | 03/15/2017 | | | | (419 | ) |
| Credit Suisse International † | | 1.500% | | | | (5) | | GBP | | | 1,430,000 | | | | (7,278 | ) | | | 03/15/2017 | | | | (13,886 | ) |
| Credit Suisse International † | | 2.000% | | | | (5) | | GBP | | | 1,260,000 | | | | (14,286 | ) | | | 03/15/2017 | | | | (23,751 | ) |
| Credit Suisse International † | | 3.000% | | | | (5) | | GBP | | | 280,000 | | | | (12,813 | ) | | | 03/19/2025 | | | | (32,922 | ) |
| Credit Suisse International † | | 3.000% | | | | (5) | | GBP | | | 90,000 | | | | (4,800 | ) | | | 03/19/2025 | | | | (9,901 | ) |
| Credit Suisse International † | | 3.000% | | | | (5) | | GBP | | | 8,160,000 | | | | (488,112 | ) | | | 03/19/2025 | | | | (844,737 | ) |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.000 | % | | GBP | | | 370,000 | | | | 3,976 | | | | 03/19/2025 | | | | 2,409 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.000 | % | | GBP | | | 36,100,000 | | | | 389,635 | | | | 03/15/2017 | | | | 700,134 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.000 | % | | GBP | | | 1,580,000 | | | | 19,837 | | | | 03/15/2017 | | | | 27,859 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
87
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 350,000 | | | | $ 6,068 | | | | 03/19/2025 | | | | $ 25,537 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 280,000 | | | | 17,422 | | | | 03/19/2025 | | | | 7,862 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 410,000 | | | | 22,223 | | | | 03/19/2025 | | | | 14,800 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 280,000 | | | | 3,611 | | | | 03/19/2025 | | | | 21,673 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 330,000 | | | | 11,097 | | | | 03/19/2025 | | | | 18,701 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 460,000 | | | | 7,174 | | | | 03/19/2025 | | | | 34,363 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 2.500 | % | | GBP | | | 280,000 | | | | 3,858 | | | | 03/19/2025 | | | | 21,426 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 3.000 | % | | GBP | | | 480,000 | | | | 18,313 | | | | 03/19/2025 | | | | 60,090 | |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 978,640,000 | | | | (10,532 | ) | | | 03/15/2017 | | | | (5,949 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 358,050,000 | | | | (4,777 | ) | | | 03/15/2017 | | | | (1,253 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 1,827,290,000 | | | | (21,338 | ) | | | 03/15/2017 | | | | (9,434 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 666,400,000 | | | | (9,213 | ) | | | 03/15/2017 | | | | (2,009 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 484,740,000 | | | | (7,904 | ) | | | 03/15/2017 | | | | (259 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 241,810,000 | | | | (2,947 | ) | | | 03/15/2017 | | | | (1,125 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 350,950,000 | | | | (3,891 | ) | | | 03/15/2017 | | | | (2,019 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 1,535,700,000 | | | | (23,648 | ) | | | 03/15/2017 | | | | (2,214 | ) |
| Credit Suisse International † | | 0.250% | | | | (5) | | JPY | | | 978,640,000 | | | | (10,563 | ) | | | 03/15/2017 | | | | (5,917 | ) |
| Credit Suisse International † | | 0.750% | | | | (5) | | JPY | | | 58,720,000 | | | | (10,148 | ) | | | 03/19/2025 | | | | (26 | ) |
| Credit Suisse International † | | 0.750% | | | | (5) | | JPY | | | 47,600,000 | | | | (3,301 | ) | | | 03/19/2025 | | | | (4,946 | ) |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.250 | % | | JPY | | | 215,120,000 | | | | 3,404 | | | | 03/15/2017 | | | | 219 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.250 | % | | JPY | | | 236,290,000 | | | | 4,498 | | | | 03/15/2017 | | | | (518 | ) |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 48,510,000 | | | | 1,151 | | | | 03/19/2025 | | | | 7,253 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 137,820,000 | | | | 7,259 | | | | 03/19/2025 | | | | 16,619 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 202,260,000 | | | | 10,780 | | | | 03/19/2025 | | | | 24,262 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 202,260,000 | | | | 10,798 | | | | 03/19/2025 | | | | 24,244 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 76,150,000 | | | | 4,390 | | | | 03/19/2025 | | | | 8,804 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 309,740,000 | | | | 32,346 | | | | 03/19/2025 | | | | 21,319 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 70,870,000 | | | | 2,274 | | | | 03/19/2025 | | | | 10,005 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 375,470,000 | | | | 12,059 | | | | 03/19/2025 | | | | 52,994 | |
| Credit Suisse International † | | 6 Month London Interbank Offered Rate | | | 0.750 | % | | JPY | | | 97,020,000 | | | | 8,612 | | | | 03/19/2025 | | | | 8,198 | |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 108,050,000 | | | | 116,109 | | | | 03/15/2017 | | | | (211,180 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
88
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 14,970,000 | | | | $ 7,851 | | | | 03/15/2017 | | | | $ (21,023 | ) |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 17,340,000 | | | | (1,680 | ) | | | 03/15/2017 | | | | (13,577 | ) |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 15,030,000 | | | | 1,202 | | | | 03/15/2017 | | | | (14,426 | ) |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 14,840,000 | | | | 13,058 | | | | 03/15/2017 | | | | (26,116 | ) |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 14,260,000 | | | | 3,075 | | | | 03/15/2017 | | | | (15,622 | ) |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 45,930,000 | | | | (46,862 | ) | | | 03/15/2017 | | | | 6,449 | |
| Credit Suisse International † | | 1.500% | | | | (6) | | NOK | | | 13,370,000 | | | | 11,498 | | | | 03/15/2017 | | | | (23,262 | ) |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.000 | % | | NOK | | | 9,130,000 | | | | 11,831 | | | | 03/19/2025 | | | | (4,427 | ) |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 3,020,000 | | | | (1,426 | ) | | | 03/19/2025 | | | | 22,716 | |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 2,980,000 | | | | (9,747 | ) | | | 03/19/2025 | | | | 30,755 | |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 3,170,000 | | | | 11,028 | | | | 03/19/2025 | | | | 11,320 | |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 3,120,000 | | | | 5,123 | | | | 03/19/2025 | | | | 16,872 | |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 24,370,000 | | | | (56,604 | ) | | | 03/19/2025 | | | | 228,407 | |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 3,060,000 | | | | 4,533 | | | | 03/19/2025 | | | | 17,039 | |
| Credit Suisse International † | | 6 Month Norwegian Interbank Offered Rate | | | 2.500 | % | | NOK | | | 2,990,000 | | | | (5,109 | ) | | | 03/19/2025 | | | | 26,188 | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 4.500 | % | | NZD | | | 5,000 | | | | — | | | | 03/15/2017 | | | | 50 | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 4.500 | % | | NZD | | | 1,700,000 | | | | 15,874 | | | | 03/12/2025 | | | | 24,746 | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 4.500 | % | | NZD | | | 1,810,000 | | | | 38,127 | | | | 03/12/2025 | | | | 5,121 | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 4.500 | % | | NZD | | | 650,000 | | | | 7,978 | | | | 03/12/2025 | | | | 7,553 | |
| Credit Suisse International | | 3 Month Australian Bank-Bill Reference Rate | | | 4.500 | % | | NZD | | | 5,000 | | | | 18 | | | | 03/15/2017 | | | | 31 | |
| Credit Suisse International | | 4.000% | | | | (1) | | NZD | | | 7,800,000 | | | | (21,812 | ) | | | 03/15/2017 | | | | 2,151 | |
| Credit Suisse International | | 4.000% | | | | (1) | | NZD | | | 2,730,000 | | | | (5,229 | ) | | | 03/15/2017 | | | | (1,652 | ) |
| Credit Suisse International | | 4.000% | | | | (2) | | NZD | | | 7,150,000 | | | | (7,773 | ) | | | 03/15/2017 | | | | (10,250 | ) |
| Credit Suisse International † | | 0.500% | | | | (7) | | SEK | | | 14,980,000 | | | | (4,291 | ) | | | 03/15/2017 | | | | (3,776 | ) |
| Credit Suisse International † | | 0.500% | | | | (7) | | SEK | | | 31,750,000 | | | | (9,408 | ) | | | 03/15/2017 | | | | (7,691 | ) |
| Credit Suisse International † | | 0.500% | | | | (7) | | SEK | | | 14,990,000 | | | | (5,751 | ) | | | 03/15/2017 | | | | (2,321 | ) |
| Credit Suisse International † | | 0.500% | | | | (7) | | SEK | | | 14,680,000 | | | | (1,047 | ) | | | 03/15/2017 | | | | (6,858 | ) |
| Credit Suisse International † | | 1.000% | | | | (7) | | SEK | | | 14,530,000 | | | | (12,932 | ) | | | 03/15/2017 | | | | (13,457 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
89
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International † | | 1.500% | | | | (7) | | SEK | | | 3,310,000 | | | | $ (4,370 | ) | | | 03/19/2025 | | | | $ (3,720 | ) |
| Credit Suisse International † | | 1.500% | | | | (7) | | SEK | | | 3,260,000 | | | | (1,821 | ) | | | 03/19/2025 | | | | (6,147 | ) |
| Credit Suisse International † | | 2.000% | | | | (7) | | SEK | | | 37,990,000 | | | | (105,287 | ) | | | 03/19/2025 | | | | (221,679 | ) |
| Credit Suisse International † | | 2.000% | | | | (7) | | SEK | | | 3,230,000 | | | | (19,627 | ) | | | 03/19/2025 | | | | (8,172 | ) |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 0.500 | % | | SEK | | | 16,780,000 | | | | 6,402 | | | | 03/15/2017 | | | | 2,634 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 0.500 | % | | SEK | | | 15,210,000 | | | | 5,763 | | | | 03/15/2017 | | | | 2,428 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 0.500 | % | | SEK | | | 14,910,000 | | | | 5,170 | | | | 03/15/2017 | | | | 2,859 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 1.000 | % | | SEK | | | 172,630,000 | | | | 147,761 | | | | 03/15/2017 | | | | 165,764 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 2.000 | % | | SEK | | | 3,620,000 | | | | 15,108 | | | | 03/19/2025 | | | | 16,048 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 2.000 | % | | SEK | | | 6,730,000 | | | | 36,801 | | | | 03/19/2025 | | | | 21,122 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 2.000 | % | | SEK | | | 3,730,000 | | | | 9,261 | | | | 03/19/2025 | | | | 22,842 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 2.000 | % | | SEK | | | 3,250,000 | | | | 18,280 | | | | 03/19/2025 | | | | 9,691 | |
| Credit Suisse International † | | 3 Month Stockholm Interbank Offered Rate | | | 2.000 | % | | SEK | | | 3,250,000 | | | | 19,981 | | | | 03/19/2025 | | | | 7,990 | |
| Credit Suisse International † | | 1.000% | | | | (3) | | USD | | | 10,000 | | | | — | | | | 03/20/2017 | | | | 11 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 6,700,000 | | | | 29,428 | | | | 03/20/2017 | | | | (3,593 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 3,250,000 | | | | (835 | ) | | | 03/20/2017 | | | | 13,367 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 4,190,000 | | | | 19,618 | | | | 03/20/2017 | | | | (3,461 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 11,060,000 | | | | 43,823 | | | | 03/20/2017 | | | | (1,174 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 3,120,000 | | | | (2,245 | ) | | | 03/20/2017 | | | | 14,276 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,240,000 | | | | 13,573 | | | | 03/20/2017 | | | | (4,935 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,790,000 | | | | 5,837 | | | | 03/20/2017 | | | | 4,921 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,050,000 | | | | (222 | ) | | | 03/20/2017 | | | | 8,127 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,020,000 | | | | 12,460 | | | | 03/20/2017 | | | | (4,671 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,180,000 | | | | 10,021 | | | | 03/20/2017 | | | | (1,615 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 3,570,000 | | | | 29,375 | | | | 03/20/2017 | | | | (15,609 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,110,000 | | | | (80 | ) | | | 03/20/2017 | | | | 8,217 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 460,000 | | | | (1,266 | ) | | | 03/20/2017 | | | | 3,040 | |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 1.250 | % | | USD | | | 2,510,000 | | | | 12,959 | | | | 03/20/2017 | | | | (3,280 | ) |
| Credit Suisse International † | | 3 Month London Interbank Offered Rate | | | 3.000 | % | | USD | | | 10,000 | | | | 284 | | | | 03/18/2025 | | | | 312 | |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 480,000 | | | | (17,638 | ) | | | 03/18/2025 | | | | (10,976 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 690,000 | | | | (8,529 | ) | | | 03/18/2025 | | | | (32,603 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
90
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | | | | | | | | | | | | | | | | | | | | | | |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 470,000 | | | | $ (1,899 | ) | | | 03/18/2025 | | | | $ (26,118 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 750,000 | | | | (7,103 | ) | | | 03/18/2025 | | | | (37,606 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 1,540,000 | | | | (51,307 | ) | | | 03/18/2025 | | | | (40,495 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 760,000 | | | | (45,550 | ) | | | 03/18/2025 | | | | 245 | |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 2,440,000 | | | | (131,008 | ) | | | 03/18/2025 | | | | (14,444 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 470,000 | | | | (3,096 | ) | | | 03/18/2025 | | | | (24,921 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 460,000 | | | | (20,199 | ) | | | 03/18/2025 | | | | (7,222 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 110,000 | | | | 165 | | | | 03/18/2025 | | | | (6,722 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 920,000 | | | | (33,769 | ) | | | 03/18/2025 | | | | (21,074 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 460,000 | | | | (19,737 | ) | | | 03/18/2025 | | | | (7,683 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 620,000 | | | | 2,074 | | | | 03/18/2025 | | | | (39,033 | ) |
| Credit Suisse International † | | 3.000% | | | | (3) | | USD | | | 460,000 | | | | (17,548 | ) | | | 03/18/2025 | | | | (9,873 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(113,330 | ) | | | | | | | $(8,427 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Forward effective date swap. (See Note 4). |
| (1) | 3 Month Australian Bank-Bill Reference Rate |
| (2) | 6 Month Australian Bank-Bill Reference Rate |
| (3) | 3 Month London Interbank Offered Rate |
| (4) | 6 Month Euro Interbank Offered Rate |
| (5) | 6 Month London Interbank Offered Rate |
| (6) | 6 Month Norwegian Interbank Offered Rate |
| (7) | 3 Month Stockholm Interbank Offered Rate |
Cash held as collateral at Credit Suisse International for interest rate swap contracts was $843,421 at December 31, 2014.
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Canadian Bond March Futures | | | 3/2015 | | | CAD | | | (407,524 | ) | | | $(7,030 | ) |
| Bank of America | | Bovespa Index February Futures | | | 2/2015 | | | BRL | | | (256,943 | ) | | | 1,739 | |
| CitiBank | | Corn March Futures^ | | | 2/2015 | | | USD | | | (311,124 | ) | | | (6,476 | ) |
| Bank of America | | Long Gilt March Futures | | | 3/2015 | | | GBP | | | 465,540 | | | | 19,734 | |
| Bank of America | | MSCI Taiwan Stock Index January Futures | | | 1/2015 | | | USD | | | 135,275 | | | | 1,965 | |
| Barclays Capital | | Natural Gas December Futures^ | | | 1/2015 | | | USD | | | 153,500 | | | | (25,939 | ) |
| Barclays Capital | | Natural Gas December Futures^ | | | 1/2015 | | | USD | | | (171,320 | ) | | | 43,758 | |
| CitiBank | | Natural Gas December Futures^ | | | 1/2015 | | | USD | | | 185,000 | | | | (25,549 | ) |
| CitiBank | | Natural Gas December Futures^ | | | 1/2015 | | | USD | | | (214,100 | ) | | | 54,649 | |
| Barclays Capital | | Natural Gas January Futures^ | | | 2/2015 | | | USD | | | (74,400 | ) | | | 16,620 | |
| CitiBank | | Natural Gas January Futures^ | | | 2/2015 | | | USD | | | (186,200 | ) | | | 41,750 | |
| Bank of America | | SGX S&P CNX Nifty Index January Futures | | | 1/2015 | | | USD | | | 149,756 | | | | 706 | |
| CitiBank | | Soybean March Futures^ | | | 2/2015 | | | USD | | | (51,891 | ) | | | 716 | |
| CitiBank | | Soybean Meal March Futures^ | | | 2/2015 | | | USD | | | (35,676 | ) | | | 916 | |
| Bank of America | | Swiss Market Index March Futures | | | 3/2015 | | | CHF | | | 89,597 | | | | (533 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
91
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | Taiwan Stock Exchange January Futures | | | 1/2015 | | | TWD | | | 3,601,459 | | | | $ 3,492 | |
| Bank of America | | Tel Aviv 25 Index January Futures | | | 1/2015 | | | ILS | | | 444,993 | | | | (1,396 | ) |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | | 3/2015 | | | USD | | | 6,808,499 | | | | 38,532 | |
| CitiBank | | Wheat March Futures^ | | | 2/2015 | | | USD | | | (134,860 | ) | | | (12,577 | ) |
| Bank of America | | WIG20 Index March Futures | | | 3/2015 | | | PLN | | | (46,628 | ) | | | 57 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $145,134 | |
| | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral at CitiBank for total return swap contracts in the amount of $100,000 at December 31, 2014. Cash held as collateral for Bank of America for total return swap contracts was $10,000 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT DECEMBER 31, 2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | $48,364 | | | | $45,685 | | | | $(2,679 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 50,085 | | | | 45,844 | | | | (4,241 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 99,887 | | | | 91,777 | | | | (8,110 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 50,998 | | | | 45,966 | | | | (5,032 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 51,503 | | | | 46,046 | | | | (5,457 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 49,003 | | | | 46,150 | | | | (2,853 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 48,553 | | | | 46,202 | | | | (2,351 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 94,856 | | | | 92,420 | | | | (2,436 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 95,506 | | | | 92,510 | | | | (2,996 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 166,602 | | | | 159,186 | | | | (7,416 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 166,107 | | | | 159,142 | | | | (6,965 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 167,159 | | | | 158,257 | | | | (8,902 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 162,422 | | | | 157,750 | | | | (4,672 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 160,578 | | | | 157,700 | | | | (2,878 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 160,128 | | | | 157,594 | | | | (2,534 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 1/2015 | | | | 99,902 | | | | 90,449 | | | | (9,453 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 53,253 | | | | 54,425 | | | | 1,172 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 54,603 | | | | 54,404 | | | | (199 | ) |
| 11 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | 1,066,966 | | | | 1,131,397 | | | | 64,431 | |
| 19 | | Barclays Capital | | BIST 30 Futures | | | 2/2015 | | | | 85,774 | | | | 87,043 | | | | 1,269 | |
| 15 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | 724,658 | | | | 776,308 | | | | 51,650 | |
| 7 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | 267,534 | | | | 265,376 | | | | (2,158 | ) |
| 6 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | 606,391 | | | | 609,958 | | | | 3,567 | |
| 1 | | Barclays Capital | | FTSE/JSE Top 40 Index Futures | | | 3/2015 | | | | 36,520 | | | | 38,260 | | | | 1,740 | |
| 10 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | 1,189,307 | | | | 1,239,612 | | | | 50,305 | |
| 1 | | Barclays Capital | | KOSPI Index 200 Futures | | | 3/2015 | | | | 112,043 | | | | 110,995 | | | | (1,048 | ) |
| 3 | | Barclays Capital | | MSCI Singapore Index Futures | | | 1/2015 | | | | 171,758 | | | | 172,846 | | | | 1,088 | |
| 3 | | Barclays Capital | | MSCI Taiwan Stock Index Futures | | | 1/2015 | | | | 101,543 | | | | 102,929 | | | | 1,386 | |
| 35 | | Barclays Capital | | OMXS30 Index Futures | | | 1/2015 | | | | 645,642 | | | | 658,533 | | | | 12,891 | |
| 59 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 5,876,821 | | | | 6,054,580 | | | | 177,759 | |
| 5 | | Barclays Capital | | SET50 Index Futures | | | 3/2015 | | | | 30,781 | | | | 30,064 | | | | (717 | ) |
| 9 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | | 1/2015 | | | | 150,231 | | | | 150,462 | | | | 231 | |
| 22 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | 2,634,134 | | | | 2,585,156 | | | | (48,978 | ) |
| 190 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 6/2015 | | | | 57,431,685 | | | | 57,445,767 | | | | 14,082 | |
| 131 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2015 | | | | 39,599,505 | | | | 39,609,322 | | | | 9,817 | |
| 53 | | J.P. Morgan | | 90-Day Sterling Futures | | | 3/2015 | | | | 10,248,120 | | | | 10,263,771 | | | | 15,651 | |
| 119 | | J.P. Morgan | | 90-Day Sterling Futures | | | 6/2015 | | | | 23,001,192 | | | | 23,035,798 | | | | 34,606 | |
| 131 | | J.P. Morgan | | 90-Day Sterling Futures | | | 9/2015 | | | | 25,288,728 | | | | 25,338,319 | | | | 49,591 | |
| 114 | | J.P. Morgan | | 90-Day Sterling Futures | | | 12/2015 | | | | 22,015,682 | | | | 22,027,929 | | | | 12,247 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
92
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT DECEMBER 31, 2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | | | | | |
| 35 | | J.P. Morgan | | Euro - Bund Futures | | | 3/2015 | | | | $ 6,482,793 | | | | $ 6,601,367 | | | | $ 118,574 | |
| 31 | | J.P. Morgan | | Long Gilt Futures | | | 3/2015 | | | | 5,671,555 | | | | 5,775,283 | | | | 103,728 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 205,218,872 | | | | 205,812,582 | | | | 593,710 | |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | | | | | |
| 5 | | Goldman Sachs | | Brent Crude Futures^ | | | 1/2015 | | | | (335,153 | ) | | | (286,650 | ) | | | 48,503 | |
| 20 | | Goldman Sachs | | Corn Futures^ | | | 3/2015 | | | | (389,855 | ) | | | (397,000 | ) | | | (7,145 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (48,248 | ) | | | (45,685 | ) | | | 2,563 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (50,248 | ) | | | (45,844 | ) | | | 4,404 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (99,846 | ) | | | (91,778 | ) | | | 8,068 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (51,123 | ) | | | (45,966 | ) | | | 5,157 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (51,166 | ) | | | (46,045 | ) | | | 5,121 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (49,069 | ) | | | (46,149 | ) | | | 2,920 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (48,543 | ) | | | (46,201 | ) | | | 2,342 | |
| 7 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (337,955 | ) | | | (323,531 | ) | | | 14,424 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (94,876 | ) | | | (92,420 | ) | | | 2,456 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (95,282 | ) | | | (92,510 | ) | | | 2,772 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (166,241 | ) | | | (159,185 | ) | | | 7,056 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (166,573 | ) | | | (159,143 | ) | | | 7,430 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (167,123 | ) | | | (158,258 | ) | | | 8,865 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (322,607 | ) | | | (315,400 | ) | | | 7,207 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (162,103 | ) | | | (157,750 | ) | | | 4,353 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (159,894 | ) | | | (157,593 | ) | | | 2,301 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (50,724 | ) | | | (46,450 | ) | | | 4,274 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 1/2015 | | | | (99,061 | ) | | | (90,450 | ) | | | 8,611 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (97,521 | ) | | | (90,834 | ) | | | 6,687 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (107,857 | ) | | | (108,825 | ) | | | (968 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (53,257 | ) | | | (54,425 | ) | | | (1,168 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (54,548 | ) | | | (54,404 | ) | | | 144 | |
| 24 | | Goldman Sachs | | Natural Gas Futures^ | | | 1/2015 | | | | (810,427 | ) | | | (693,360 | ) | | | 117,067 | |
| 1 | | Goldman Sachs | | Silver Futures^ | | | 3/2015 | | | | (80,972 | ) | | | (77,995 | ) | | | 2,977 | |
| 10 | | Goldman Sachs | | Soybean Futures^ | | | 3/2015 | | | | (523,152 | ) | | | (511,750 | ) | | | 11,402 | |
| 11 | | Goldman Sachs | | Soybean Meal Futures^ | | | 3/2015 | | | | (393,958 | ) | | | (382,360 | ) | | | 11,598 | |
| 34 | | Goldman Sachs | | Soybean Oil Futures^ | | | 3/2015 | | | | (655,266 | ) | | | (655,656 | ) | | | (390 | ) |
| 19 | | Goldman Sachs | | Wheat Futures^ | | | 3/2015 | | | | (506,362 | ) | | | (560,262 | ) | | | (53,900 | ) |
| 7 | | Goldman Sachs | | WTI Crude Futures^ | | | 1/2015 | | | | (422,254 | ) | | | (372,890 | ) | | | 49,364 | |
| 3 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | (878,430 | ) | | | (893,335 | ) | | | (14,905 | ) |
| 2 | | Barclays Capital | | FTSE Bursa Malaysia KLCI Index Futures | | | 1/2015 | | | | (50,064 | ) | | | (50,079 | ) | | | (15 | ) |
| 13 | | Barclays Capital | | FTSE/MIB Index Futures | | | 3/2015 | | | | (1,455,821 | ) | | | (1,499,839 | ) | | | (44,018 | ) |
| 4 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | (609,237 | ) | | | (609,931 | ) | | | (694 | ) |
| 4 | | Barclays Capital | | H-SHARES Index Futures | | | 1/2015 | | | | (308,718 | ) | | | (309,208 | ) | | | (490 | ) |
| 1 | | J.P. Morgan | | Mexican Stock Exchange Price and Quotation Index Futures | | | 3/2015 | | | | (27,487 | ) | | | (29,274 | ) | | | (1,787 | ) |
| 1 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | (144,845 | ) | | | (146,600 | ) | | | (1,755 | ) |
| 17 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | (1,780,677 | ) | | | (1,867,740 | ) | | | (87,063 | ) |
| 269 | | J.P. Morgan | | 10-Year Japanese Government Bond | | | 3/2015 | | | | (32,995,911 | ) | | | (33,201,669 | ) | | | (205,758 | ) |
| 127 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 6/2015 | | | | (31,609,768 | ) | | | (31,611,888 | ) | | | (2,120 | ) |
| 75 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 9/2015 | | | | (18,630,880 | ) | | | (18,628,125 | ) | | | 2,755 | |
| 81 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 12/2015 | | | | (20,076,970 | ) | | | (20,064,712 | ) | | | 12,258 | |
| 99 | | J.P. Morgan | | Australia 10-Year Bond Futures | | | 3/2015 | | | | (10,234,694 | ) | | | (10,357,141 | ) | | | (122,447 | ) |
| 11 | | J.P. Morgan | | Canadian 10-Year Bond Futures | | | 3/2015 | | | | (1,294,981 | ) | | | (1,311,517 | ) | | | (16,536 | ) |
| 62 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 3/2015 | | | | (13,166,456 | ) | | | (13,165,928 | ) | | | 528 | |
| 248 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 6/2015 | | | | (52,650,003 | ) | | | (52,655,707 | ) | | | (5,704 | ) |
| 212 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 9/2015 | | | | (44,999,221 | ) | | | (44,993,888 | ) | | | 5,333 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
93
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT DECEMBER 31, 2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: (continued) | | | | | | | | | | | | | |
| 59 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 12/2015 | | | | $ (12,519,658 | ) | | | $ (12,515,536 | ) | | | $ 4,122 | |
| 5 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 6/2015 | | | | (1,260,354 | ) | | | (1,260,561 | ) | | | (207 | ) |
| 5 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 9/2015 | | | | (1,260,477 | ) | | | (1,260,938 | ) | | | (461 | ) |
| 4 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 12/2015 | | | | (1,008,463 | ) | | | (1,008,751 | ) | | | (288 | ) |
| 14 | | J.P. Morgan | | U.S. Treasury 10-Year Note Futures | | | 3/2015 | | | | (1,769,145 | ) | | | (1,775,156 | ) | | | (6,011 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (255,383,524 | ) | | | (255,584,292 | ) | | | (200,768 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(50,164,652 | ) | | | $(49,771,710 | ) | | | $392,942 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $868,576, $219,382 and $1,132,233, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | AUD | | | 513,000 | | | | $415,675 | | | | $416,629 | | | | $954 | |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 663,000 | | | | 254,786 | | | | 244,523 | | | | (10,263 | ) |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 2,259,000 | | | | 1,966,926 | | | | 1,941,315 | | | | (25,611 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 1,266,000 | | | | 1,304,284 | | | | 1,275,101 | | | | (29,183 | ) |
Chinese Renminbi,
Expiring 03/18/15* | | Credit Suisse International | | CNY | | | 7,250,000 | | | | 1,171,156 | | | | 1,158,974 | | | | (12,182 | ) |
Columbian Peso,
Expiring 03/18/15* | | Credit Suisse International | | COP | | | 840,000,000 | | | | 356,888 | | | | 352,121 | | | | (4,767 | ) |
Czech Republic Koruna,
Expiring 03/18/15 | | Credit Suisse International | | CZK | | | 3,210,000 | | | | 144,695 | | | | 140,355 | | | | (4,340 | ) |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 2,807,000 | | | | 3,484,338 | | | | 3,398,863 | | | | (85,475 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 917,000 | | | | 1,437,165 | | | | 1,428,410 | | | | (8,755 | ) |
Hungarian Forint,
Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 106,009,000 | | | | 428,050 | | | | 404,429 | | | | (23,621 | ) |
Indonesian Rupiah,
Expiring 03/18/15* | | Credit Suisse International | | IDR | | | 5,800,000,000 | | | | 464,595 | | | | 462,225 | | | | (2,370 | ) |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 390,000 | | | | 99,234 | | | | 100,013 | | | | 779 | |
Indian Rupee,
Expiring 03/18/15* | | Credit Suisse International | | INR | | | 25,103,000 | | | | 399,212 | | | | 391,744 | | | | (7,468 | ) |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 276,563,000 | | | | 2,320,730 | | | | 2,310,413 | | | | (10,317 | ) |
Korean Won,
Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 814,673,000 | | | | 740,884 | | | | 738,709 | | | | (2,175 | ) |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 17,149,000 | | | | 1,168,046 | | | | 1,157,119 | | | | (10,927 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
94
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Malaysian Ringgit,
Expiring 03/18/15* | | Credit Suisse International | | MYR | | | 400,000 | | | | $ 114,990 | | | | $ 113,721 | | | | $ (1,269 | ) |
New Zealand Dollar,
Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 4,325,000 | | | | 3,318,682 | | | | 3,350,068 | | | | 31,386 | |
Philippine Peso,
Expiring 03/18/15* | | Credit Suisse International | | PHP | | | 4,500,000 | | | | 100,000 | | | | 100,256 | | | | 256 | |
Poland Zloty,
Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 53,000 | | | | 15,693 | | | | 14,921 | | | | (772 | ) |
Russian Ruble,
Expiring 03/18/15* | | Credit Suisse International | | RUB | | | 30,569,000 | | | | 475,918 | | | | 482,718 | | | | 6,800 | |
Swedish Krona,
Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 8,871,000 | | | | 1,179,452 | | | | 1,138,258 | | | | (41,194 | ) |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 1,189,000 | | | | 907,147 | | | | 896,471 | | | | (10,676 | ) |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 874,000 | | | | 382,434 | | | | 368,435 | | | | (13,999 | ) |
Taiwanese Dollar,
Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 400,000 | | | | 12,884 | | | | 12,663 | | | | (221 | ) |
South African Rand,
Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 911,000 | | | | 80,041 | | | | 77,825 | | | | (2,216 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $22,743,905 | | | | $22,476,279 | | | | $(267,626 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | AUD | | | (3,618,000 | ) | | | $(2,987,048 | ) | | | $(2,938,332 | ) | | | $48,716 | |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (2,062,000 | ) | | | (768,706 | ) | | | (760,496 | ) | | | 8,210 | |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (4,961,000 | ) | | | (4,316,645 | ) | | | (4,263,332 | ) | | | 53,313 | |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (907,000 | ) | | | (936,213 | ) | | | (913,519 | ) | | | 22,694 | |
Chilean Peso,
Expiring 03/18/15* | | Credit Suisse International | | CLP | | | (105,000,000 | ) | | | (170,597 | ) | | | (171,815 | ) | | | (1,218 | ) |
Columbian Peso,
Expiring 03/18/15* | | Credit Suisse International | | COP | | | (1,212,000,000 | ) | | | (536,003 | ) | | | (508,060 | ) | | | 27,943 | |
Czech Republic Koruna,
Expiring 03/18/15 | | Credit Suisse International | | CZK | | | (200,000 | ) | | | (8,918 | ) | | | (8,745 | ) | | | 173 | |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (1,883,000 | ) | | | (2,328,540 | ) | | | (2,280,034 | ) | | | 48,506 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (4,405,000 | ) | | | (6,881,129 | ) | | | (6,861,659 | ) | | | 19,470 | |
Hungarian Forint,
Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (42,792,000 | ) | | | (167,659 | ) | | | (163,253 | ) | | | 4,406 | |
Indonesian Rupiah,
Expiring 03/18/15* | | Credit Suisse International | | IDR | | | (5,180,000,000 | ) | | | (394,564 | ) | | | (412,814 | ) | | | (18,250 | ) |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (660,000 | ) | | | (166,378 | ) | | | (169,253 | ) | | | (2,875 | ) |
Indian Rupee,
Expiring 03/18/15* | | Credit Suisse International | | INR | | | (6,107,000 | ) | | | (95,140 | ) | | | (95,303 | ) | | | (163 | ) |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (64,206,000 | ) | | | (550,240 | ) | | | (536,378 | ) | | | 13,862 | |
Korean Won,
Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (451,892,000 | ) | | | (407,672 | ) | | | (409,756 | ) | | | (2,084 | ) |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (15,016,000 | ) | | | (1,036,028 | ) | | | (1,013,196 | ) | | | 22,832 | |
Malaysian Ringgit,
Expiring 03/18/15* | | Credit Suisse International | | MYR | | | (1,660,000 | ) | | | (480,286 | ) | | | (471,942 | ) | | | 8,344 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
95
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Norwegian Krone,
Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (25,826,000 | ) | | | $ (3,627,814 | ) | | | $ (3,458,065 | ) | | | $ 169,749 | |
New Zealand Dollar,
Expiring 03/18/15 | | Credit Suisse International | | NZD | | | (47,000 | ) | | | (36,525 | ) | | | (36,405 | ) | | | 120 | |
Philippine Peso,
Expiring 03/18/15* | | Credit Suisse International | | PHP | | | (2,900,000 | ) | | | (64,711 | ) | | | (64,609 | ) | | | 102 | |
Poland Zloty,
Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (814,000 | ) | | | (239,647 | ) | | | (229,170 | ) | | | 10,477 | |
Russian Ruble,
Expiring 03/18/15* | | Credit Suisse International | | RUB | | | (30,569,000 | ) | | | (538,978 | ) | | | (482,718 | ) | | | 56,260 | |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (2,012,000 | ) | | | (1,530,452 | ) | | | (1,516,991 | ) | | | 13,461 | |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (982,000 | ) | | | (412,267 | ) | | | (413,964 | ) | | | (1,697 | ) |
South African Rand,
Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (2,505,000 | ) | | | (217,344 | ) | | | (214,001 | ) | | | 3,343 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (28,899,504 | ) | | | (28,393,810 | ) | | | 505,694 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(6,155,599) | | | | $(5,917,531) | | | | $238,068 | |
| | | | | | | | | | | | | | | | | | | | |
| Cash | held as collateral for Credit Suisse International for forward currency exchange contracts was $280,000 at December 31, 2014. |
| * | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
CNY - Chinese Renminbi
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
96
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| MONEY MARKET FUNDS - 91.0% | | SHARES | | | VALUE
(Note 5) | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a) | | | 38,297,057 | | | $ | 38,297,057 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) | | | | | | | | |
(cost $49,827,080) | | | 11,530,023 | | | | 11,530,023 | |
| | | | | | | | |
| | | | | | | 49,827,080 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 91.0%
(cost $49,827,080) | | | | | | | 49,827,080 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 9.0% (c) | | | | | 4,955,067 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 54,782,147 | |
| | | | | | | | |
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (c) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contract outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Goldman Sachs | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 1,053,556 | | | | $15,442 | |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts and total return basket swap contracts in the amount of $8,200,000 at December 31, 2014.
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | |
| 3 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | $286,756 | | | | $308,563 | | | | $21,807 | |
| 23 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | 1,113,973 | | | | 1,190,338 | | | | 76,365 | |
| 4 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | 1,145,167 | | | | 1,191,112 | | | | 45,945 | |
| 26 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | 2,501,896 | | | | 2,643,152 | | | | 141,256 | |
| 2 | | Barclays Capital | | FTSE/MIB Index Futures | | | 3/2015 | | | | 226,723 | | | | 230,745 | | | | 4,022 | |
| 3 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | 458,477 | | | | 457,448 | | | | (1,029 | ) |
| 4 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | 477,483 | | | | 495,844 | | | | 18,361 | |
| 1 | | Barclays Capital | | MSCI Singapore Index Futures | | | 1/2015 | | | | 57,429 | | | | 57,615 | | | | 186 | |
| 26 | | Barclays Capital | | OMXS30 Index Futures | | | 1/2015 | | | | 479,441 | | | | 489,195 | | | | 9,754 | |
| 158 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 15,691,503 | | | | 16,213,960 | | | | 522,457 | |
| 17 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | 2,351,214 | | | | 2,492,202 | | | | 140,988 | |
| 6 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | 627,857 | | | | 659,203 | | | | 31,346 | |
| 19 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | 2,264,605 | | | | 2,232,635 | | | | (31,970 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 27,682,524 | | | | 28,662,012 | | | | 979,488 | |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | |
| 37 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | (1,353,455 | ) | | | (1,402,702 | ) | | | (49,247 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $26,329,069 | | | | $27,259,310 | | | | $930,241 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital for futures contracts was $341,069 at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
97
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 03/18/15 | | CitiBank | | AUD | | | 446,500 | | | | $371,524 | | | | $362,622 | | | | $(8,902 | ) |
Australian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | AUD | | | 446,500 | | | | 371,516 | | | | 362,623 | | | | (8,893 | ) |
Canadian Dollar,
Expiring 03/18/15 | | CitiBank | | CAD | | | 598,000 | | | | 524,447 | | | | 513,903 | | | | (10,544 | ) |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 597,999 | | | | 524,447 | | | | 513,902 | | | | (10,545 | ) |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | 445,000 | | | | 457,447 | | | | 448,199 | | | | (9,248 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 445,000 | | | | 457,442 | | | | 448,199 | | | | (9,243 | ) |
Danish Krone,
Expiring 03/18/15 | | CitiBank | | DKK | | | 444,500 | | | | 74,215 | | | | 72,272 | | | | (1,943 | ) |
Danish Krone,
Expiring 03/18/15 | | Credit Suisse International | | DKK | | | 444,500 | | | | 74,216 | | | | 72,272 | | | | (1,944 | ) |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | 1,175,001 | | | | 1,451,092 | | | | 1,422,752 | | | | (28,340 | ) |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 1,175,000 | | | | 1,451,090 | | | | 1,422,751 | | | | (28,339 | ) |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | 655,501 | | | | 1,024,433 | | | | 1,021,073 | | | | (3,360 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 655,500 | | | | 1,024,439 | | | | 1,021,071 | | | | (3,368 | ) |
Hong Kong Dollar,
Expiring 03/18/15 | | CitiBank | | HKD | | | 1,222,500 | | | | 157,668 | | | | 157,642 | | | | (26 | ) |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 1,222,500 | | | | 157,667 | | | | 157,642 | | | | (25 | ) |
Israeli Shekel,
Expiring 03/18/15 | | CitiBank | | ILS | | | 101,000 | | | | 25,464 | | | | 25,901 | | | | 437 | |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 119,000 | | | | 30,106 | | | | 30,517 | | | | 411 | |
Japanese Yen,
Expiring 03/18/15 | | CitiBank | | JPY | | | 122,858,501 | | | | 1,029,211 | | | | 1,026,362 | | | | (2,849 | ) |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 122,858,500 | | | | 1,029,204 | | | | 1,026,362 | | | | (2,842 | ) |
Norwegian Krone,
Expiring 03/18/15 | | CitiBank | | NOK | | | 264,500 | | | | 37,401 | | | | 35,415 | | | | (1,986 | ) |
Norwegian Krone,
Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 264,500 | | | | 37,400 | | | | 35,416 | | | | (1,984 | ) |
New Zealand Dollar,
Expiring 03/18/15 | | CitiBank | | NZD | | | 8,500 | | | | 6,525 | | | | 6,584 | | | | 59 | |
New Zealand Dollar,
Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 8,499 | | | | 6,523 | | | | 6,584 | | | | 61 | |
Swedish Krona,
Expiring 03/18/15 | | CitiBank | | SEK | | | 1,128,001 | | | | 150,106 | | | | 144,737 | | | | (5,369 | ) |
Swedish Krona,
Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 1,128,000 | | | | 150,106 | | | | 144,736 | | | | (5,370 | ) |
Singapore Dollar,
Expiring 03/18/15 | | CitiBank | | SGD | | | 96,500 | | | | 73,499 | | | | 72,759 | | | | (740 | ) |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 96,500 | | | | 73,501 | | | | 72,758 | | | | (743 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $10,770,689 | | | | $10,625,054 | | | | $(145,635 | ) |
| | | | | | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $30,001 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $150,000 at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
98
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
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
Total Return Basket Swaps* Outstanding at December 31, 2014
Over the Counter
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | | 26 months maturity
11/09/2015 | | | $254,435 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Agnico Eagle Mines Ltd. | | | 1,600 | | | $ | 51,744 | | | $ | (11,916 | ) |
| Aimia, Inc. | | | 8,300 | | | | 104,673 | | | | (298 | ) |
| Alimentation Couche Tard, Inc. | | | 5,900 | | | | 167,161 | | | | 80,102 | |
| Bank of Montreal | | | 700 | | | | 49,237 | | | | 278 | |
| Blackberry Ltd. | | | 20,700 | | | | 221,617 | | | | 5,374 | |
| Canadian Imperial Bank of Commerce | | | 1,300 | | | | 113,264 | | | | (1,548 | ) |
| Canadian Natural Resources Ltd. | | | 3,700 | | | | 117,616 | | | | (3,213 | ) |
| Canadian Tire Corp. Ltd. | | | 1,758 | | | | 162,461 | | | | 23,266 | |
| Cenovus Energy, Inc. | | | 1,900 | | | | 40,542 | | | | (1,341 | ) |
| CI Financial Corp. | | | 700 | | | | 20,814 | | | | (1,359 | ) |
| Dollarama, Inc. | | | 4,200 | | | | 164,159 | | | | 50,577 | |
| Encana Corp. | | | 6,700 | | | | 119,100 | | | | (25,849 | ) |
| Enerplus Corp. | | | 1,200 | | | | 27,307 | | | | (15,750 | ) |
| Finning International, Inc. | | | 24,746 | | | | 620,825 | | | | (83,434 | ) |
| Gibson Energy, Inc. | | | 3,600 | | | | 88,935 | | | | (4,684 | ) |
| Gildan Activewear, Inc. | | | 616 | | | | 30,489 | | | | 4,345 | |
| Intact Financial Corp. | | | 600 | | | | 40,968 | | | | 2,336 | |
| Keyera Corp. | | | 1,200 | | | | 89,902 | | | | (6,166 | ) |
| Linamar Corp. | | | 9,700 | | | | 506,283 | | | | 86,087 | |
| Magna International, Inc. | | | 8,463 | | | | 818,579 | | | | 98,504 | |
| Methanex Corp. | | | 600 | | | | 35,658 | | | | (8,096 | ) |
| Metro, Inc. | | | 535 | | | | 34,854 | | | | 8,110 | |
| National Bank of Canada | | | 1,600 | | | | 66,581 | | | | 1,506 | |
| Open Text Corp. | | | 968 | | | | 42,913 | | | | 13,419 | |
| Pembina Pipeline Corp. | | | 1,500 | | | | 53,317 | | | | 1,348 | |
| Precision Drilling Corp. | | | 3,200 | | | | 38,854 | | | | (19,408 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Canada (continued) | | | | | | | | | |
| Royal Bank of Canada | | | 1,500 | | | $ | 103,527 | | | $ | 71 | |
| Saputo, Inc. | | | 800 | | | | 21,976 | | | | 2,070 | |
| Shaw Communications, Inc. | | | 900 | | | | 22,155 | | | | 2,131 | |
| ShawCor Ltd. | | | 2,100 | | | | 89,669 | | | | (13,029 | ) |
| Suncor Energy, Inc. | | | 1,400 | | | | 43,278 | | | | 1,187 | |
| Toronto-Dominion Bank/The | | | 1,000 | | | | 47,402 | | | | 378 | |
| Vermilion Energy, Inc. | | | 400 | | | | 25,935 | | | | (6,310 | ) |
| West Fraser Timber Co., Ltd. | | | 2,300 | | | | 117,304 | | | | 14,286 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 192,974 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | 192,974 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Canada | | | | | | | | | |
| Agrium, Inc. | | | (500 | ) | | | (47,345 | ) | | | 5 | |
| Barrick Gold Corp. | | | (16,000 | ) | | | (193,457 | ) | | | 21,035 | |
| BCE, Inc. | | | (1,700 | ) | | | (66,740 | ) | | | (11,229 | ) |
| Bombardier, Inc. | | | (82,000 | ) | | | (281,039 | ) | | | (11,868 | ) |
| CAE, Inc. | | | (8,300 | ) | | | (108,307 | ) | | | 574 | |
| Cameco Corp. | | | (5,800 | ) | | | (106,541 | ) | | | 11,439 | |
| Canadian Pacific Railway Ltd. | | | (900 | ) | | | (173,882 | ) | | | 552 | |
| Canadian Utilities Ltd. | | | (9,800 | ) | | | (333,135 | ) | | | (11,949 | ) |
| CGI Group, Inc. | | | (6,400 | ) | | | (220,976 | ) | | | (23,004 | ) |
| Eldorado Gold Corp. | | | (19,900 | ) | | | (129,782 | ) | | | 8,512 | |
| Enbridge, Inc. | | | (657 | ) | | | (26,050 | ) | | | (7,733 | ) |
| First Quantum Minerals Ltd. | | | (34,423 | ) | | | (547,581 | ) | | | 58,406 | |
| Fortis, Inc. | | | (4,500 | ) | | | (138,185 | ) | | | (12,719 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
99
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Canada (continued) | | | | | | | | | |
| Franco-Nevada Corp. | | | (2,100 | ) | | $ | (107,344 | ) | | $ | 3,934 | |
| Goldcorp, Inc. | | | (5,900 | ) | | | (133,397 | ) | | | 24,163 | |
| Loblaw Cos., Ltd. | | | (700 | ) | | | (32,317 | ) | | | (5,142 | ) |
| Lundin Mining Corp. | | | (17,300 | ) | | | (77,727 | ) | | | (7,448 | ) |
| Manulife Financial Corp. | | | (5,114 | ) | | | (92,648 | ) | | | (4,983 | ) |
| MEG Energy Corp. | | | (12,700 | ) | | | (246,146 | ) | | | 32,438 | |
| Penn West Petroleum Ltd. | | | (18,902 | ) | | | (88,888 | ) | | | 49,355 | |
| Potash Corp of Saskatchewan, Inc. | | | (10,162 | ) | | | (328,725 | ) | | | (30,505 | ) |
| Power Financial Corp. | | | (1,300 | ) | | | (37,644 | ) | | | (2,839 | ) |
| Rogers Communications, Inc. | | | (2,900 | ) | | | (105,760 | ) | | | (7,008 | ) |
| Silver Wheaton Corp. | | | (13,300 | ) | | | (275,527 | ) | | | 5,017 | |
| SNC-Lavalin Group, Inc. | | | (8,898 | ) | | | (326,259 | ) | | | (13,103 | ) |
| Sun Life Financial, Inc. | | | (339 | ) | | | (10,671 | ) | | | (1,561 | ) |
| Teck Resources Ltd. | | | (15,600 | ) | | | (256,662 | ) | | | 43,398 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 107,737 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States | | | | | | | | | | | | |
| Valeant Pharmaceuticals International, Inc. | | | (1,100 | ) | | $ | (130,977 | ) | | $ | (26,506 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 81,231 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 274,205 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (19,770 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 254,435 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $3,300,022 at December 31, 2014.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | | 25 months maturity 08/20/2015 | | | $320,730 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| South Africa | | | | | | | | | | | | |
| Mondi PLC | | | 3,298 | | | $ | 54,779 | | | $ | (1,202 | ) |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
| Amec Foster Wheeler PLC | | | 2,624 | | | | 47,364 | | | | (12,707 | ) |
| Anglo American PLC | | | 6,295 | | | | 125,494 | | | | (9,009 | ) |
| Ashtead Group PLC | | | 1,759 | | | | 22,974 | | | | 8,265 | |
| Associated British Foods PLC | | | 2,336 | | | | 106,326 | | | | 7,886 | |
| AstraZeneca PLC | | | 2,615 | | | | 179,802 | | | | 4,897 | |
| BAE Systems PLC | | | 3,394 | | | | 22,588 | | | | 2,233 | |
| Barratt Developments PLC | | | 47,982 | | | | 296,911 | | | | 52,308 | |
| Berkeley Group Holdings PLC | | | 5,898 | | | | 226,305 | | | | 501 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| BT Group PLC | | | 35,158 | | | $ | 207,515 | | | $ | 11,160 | |
| Bunzl PLC | | | 5,715 | | | | 147,404 | | | | 8,837 | |
| Centrica PLC | | | 25,306 | | | | 112,766 | | | | (3,155 | ) |
| Compass Group PLC | | | 7,719 | | | | 121,178 | | | | 10,762 | |
| Direct Line Insurance Group PLC | | | 17,536 | | | | 78,130 | | | | 1,195 | |
| Drax Group PLC | | | 2,595 | | | | 32,889 | | | | (14,306 | ) |
| DS Smith PLC | | | 6,767 | | | | 34,905 | | | | (1,160 | ) |
| easyJet PLC | | | 2,709 | | | | 64,843 | | | | 5,264 | |
| GKN PLC | | | 44,548 | | | | 247,659 | | | | (10,542 | ) |
| Hays PLC | | | 18,527 | | | | 36,200 | | | | 5,483 | |
| Imperial Tobacco Group PLC | | | 3,343 | | | | 146,135 | | | | 1,022 | |
| International Consolidated Airlines Group SA | | | 13,432 | | | | 78,279 | | | | 22,838 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
100
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | |
| ITV PLC | | | 11,822 | | | $ | 33,264 | | | $ | 6,171 | |
| John Wood Group PLC | | | 4,224 | | | | 42,417 | | | | (3,341 | ) |
| Kingfisher PLC | | | 20,923 | | | | 96,441 | | | | 14,161 | |
| National Grid PLC | | | 16,962 | | | | 244,272 | | | | (3,586 | ) |
| Next PLC | | | 1,634 | | | | 167,778 | | | | 5,523 | |
| Persimmon PLC | | | 10,556 | | | | 228,425 | | | | 29,394 | |
| Petrofac Ltd. | | | 5,143 | | | | 57,906 | | | | (1,878 | ) |
| Rexam PLC | | | 16,104 | | | | 117,050 | | | | (3,678 | ) |
| Royal Mail PLC | | | 3,105 | | | | 21,830 | | | | (1,134 | ) |
| Shire PLC | | | 4,491 | | | | 289,650 | | | | 28,762 | |
| Sky PLC | | | 3,614 | | | | 48,050 | | | | 2,388 | |
| Smith & Nephew PLC | | | 4,802 | | | | 77,505 | | | | 9,088 | |
| SSE PLC | | | 2,579 | | | | 63,927 | | | | 1,237 | |
| Standard Chartered PLC | | | 3,160 | | | | 46,747 | | | | 514 | |
| Tate & Lyle PLC | | | 4,277 | | | | 40,256 | | | | (179 | ) |
| Taylor Wimpey PLC | | | 50,665 | | | | 93,196 | | | | 14,894 | |
| Travis Perkins PLC | | | 2,031 | | | | 55,836 | | | | 2,624 | |
| Vodafone Group PLC | | | 38,927 | | | | 133,962 | | | | (480 | ) |
| Weir Group PLC/The | | | 4,664 | | | | 132,943 | | | | 801 | |
| Whitbread PLC | | | 717 | | | | 45,948 | | | | 7,116 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 200,169 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | 198,967 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Coca-Cola HBC AG | | | (818 | ) | | | (17,041 | ) | | | 1,466 | |
| Glencore PLC | | | (103,916 | ) | | | (528,832 | ) | | | 49,174 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 50,640 | |
| | | | | | | | | | | | |
| United Kingdom | | | | | | | | | | | | |
| Aberdeen Asset Management PLC | | | (37,928 | ) | | | (249,661 | ) | | | (3,818 | ) |
| Aggreko PLC | | | (1,621 | ) | | | (44,122 | ) | | | 6,320 | |
| Antofagasta PLC | | | (22,663 | ) | | | (254,380 | ) | | | (9,689 | ) |
| ARM Holdings PLC | | | (24,463 | ) | | | (349,555 | ) | | | (26,255 | ) |
| ASOS PLC | | | (7,089 | ) | | | (268,403 | ) | | | (13,440 | ) |
| Burberry Group PLC | | | (3,645 | ) | | | (84,164 | ) | | | (8,314 | ) |
| Croda International PLC | | | (718 | ) | | | (26,268 | ) | | | (3,367 | ) |
| Diageo PLC | | | (2,204 | ) | | | (60,074 | ) | | | (3,064 | ) |
| Eurasian Natural Resources Corp. Ltd. | | | (15 | ) | | | (52 | ) | | | (1 | ) |
| Experian PLC | | | (6,992 | ) | | | (113,051 | ) | | | (4,813 | ) |
| G4S PLC | | | (11,199 | ) | | | (42,559 | ) | | | (5,749 | ) |
| Hargreaves Lansdown PLC | | | (14,613 | ) | | | (233,326 | ) | | | 4,679 | |
| Informa PLC | | | (1,929 | ) | | | (14,561 | ) | | | 473 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | |
| Inmarsat PLC | | | (36,981 | ) | | $ | (458,800 | ) | | $ | 256 | |
| Intertek Group PLC | | | (1,985 | ) | | | (81,751 | ) | | | 9,909 | |
| Man Group PLC | | | (26,453 | ) | | | (40,508 | ) | | | (25,317 | ) |
| Marks & Spencer Group PLC | | | (30,259 | ) | | | (217,188 | ) | | | (6,886 | ) |
| Meggitt PLC | | | (6,060 | ) | | | (42,823 | ) | | | (5,925 | ) |
| Old Mutual PLC | | | (5,059 | ) | | | (14,181 | ) | | | (729 | ) |
| Pearson PLC | | | (629 | ) | | | (9,878 | ) | | | (1,739 | ) |
| Royal Bank of Scotland Group PLC | | | (11,303 | ) | | | (58,011 | ) | | | (10,759 | ) |
| RSA Insurance Group PLC | | | (18,601 | ) | | | (132,756 | ) | | | 7,172 | |
| Serco Group PLC | | | (118,179 | ) | | | (438,761 | ) | | | 143,902 | |
| Spectris PLC | | | (3,964 | ) | | | (110,727 | ) | | | (18,730 | ) |
| Standard Life PLC | | | (1,641 | ) | | | (9,413 | ) | | | (752 | ) |
| Tesco PLC | | | (71,860 | ) | | | (236,395 | ) | | | 26,873 | |
| William Hill PLC | | | (2,495 | ) | | | (14,532 | ) | | | 512 | |
| WM Morrison Supermarkets PLC | | | (57,513 | ) | | | (167,071 | ) | | | 2,971 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 53,720 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 104,360 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 303,327 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 17,403 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 320,730 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
101
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | | 25 months maturity 08/20/2015 | | | $159,723 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| Aozora Bank Ltd. | | | 27,000 | | | $ | 80,811 | | | $ | 2,764 | |
| Asahi Kasei Corp. | | | 16,000 | | | | 123,394 | | | | 22,565 | |
| Astellas Pharma, Inc. | | | 12,100 | | | | 167,895 | | | | 562 | |
| Bandai Namco Holdings, Inc. | | | 11,400 | | | | 243,074 | | | | (1,721 | ) |
| Bank of Yokohama Ltd./The | | | 9,000 | | | | 47,472 | | | | 1,410 | |
| Bridgestone Corp. | | | 1,400 | | | | 44,570 | | | | 3,982 | |
| Brother Industries Ltd. | | | 1,500 | | | | 22,466 | | | | 4,725 | |
| Calbee, Inc. | | | 3,900 | | | | 106,814 | | | | 27,529 | |
| Casio Computer Co., Ltd. | | | 1,900 | | | | 16,731 | | | | 12,334 | |
| Central Japan Railway Co. | | | 1,100 | | | | 113,388 | | | | 51,476 | |
| Chiyoda Corp. | | | 3,000 | | | | 27,289 | | | | (2,434 | ) |
| Chubu Electric Power Co., Inc. | | | 3,900 | | | | 46,571 | | | | (742 | ) |
| Chugai Pharmaceutical Co., Ltd. | | | 4,600 | | | | 122,615 | | | | (9,674 | ) |
| Citizen Holdings Co., Ltd. | | | 7,900 | | | | 52,877 | | | | 7,909 | |
| Dai Nippon Printing Co., Ltd. | | | 7,000 | | | | 55,930 | | | | 7,116 | |
| Daicel Corp. | | | 21,000 | | | | 239,723 | | | | 5,567 | |
| Daihatsu Motor Co., Ltd. | | | 2,700 | | | | 46,340 | | | | (11,076 | ) |
| Dentsu, Inc. | | | 800 | | | | 27,272 | | | | 6,361 | |
| Electric Power Development Co., Ltd. | | | 1,000 | | | | 27,132 | | | | 6,659 | |
| Fuji Electric Co., Ltd. | | | 39,000 | | | | 147,344 | | | | 8,144 | |
| Fuji Heavy Industries Ltd. | | | 15,600 | | | | 440,747 | | | | 111,294 | |
| FUJIFILM Holdings Corp. | | | 7,600 | | | | 219,500 | | | | 12,403 | |
| Fujitsu Ltd. | | | 68,000 | | | | 373,126 | | | | (10,573 | ) |
| Fukuoka Financial Group, Inc. | | | 8,000 | | | | 35,199 | | | | 6,045 | |
| Gree, Inc. | | | 12,500 | | | | 83,190 | | | | (7,942 | ) |
| Hino Motors Ltd. | | | 3,000 | | | | 37,380 | | | | 2,109 | |
| Hirose Electric Co., Ltd. | | | 100 | | | | 12,467 | | | | (865 | ) |
| Hitachi Chemical Co., Ltd. | | | 1,800 | | | | 26,969 | | | | 4,831 | |
| Hitachi High-Technologies Corp. | | | 9,500 | | | | 254,596 | | | | 18,307 | |
| Hitachi Metals Ltd. | | | 5,000 | | | | 86,293 | | | | (1,339 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Hoya Corp. | | | 9,700 | | | $ | 289,505 | | | $ | 38,596 | |
| Inpex Corp. | | | 1,900 | | | | 24,180 | | | | (3,027 | ) |
| Isuzu Motors Ltd. | | | 11,300 | | | | 144,303 | | | | (6,665 | ) |
| ITOCHU Corp. | | | 8,400 | | | | 84,022 | | | | 5,649 | |
| Japan Airlines Co., Ltd. | | | 18,700 | | | | 511,064 | | | | 43,373 | |
| JGC Corp. | | | 7,000 | | | | 185,322 | | | | (41,214 | ) |
| JTEKT Corp. | | | 3,700 | | | | 47,997 | | | | 14,274 | |
| JX Holdings, Inc. | | | 4,700 | | | | 19,207 | | | | (917 | ) |
| Kajima Corp. | | | 25,000 | | | | 98,486 | | | | 4,322 | |
| Keyence Corp. | | | 200 | | | | 80,808 | | | | 8,311 | |
| Kobe Steel Ltd. | | | 50,000 | | | | 60,985 | | | | 25,140 | |
| Konica Minolta, Inc. | | | 5,100 | | | | 39,511 | | | | 16,059 | |
| Mabuchi Motor Co., Ltd. | | | 6,000 | | | | 229,310 | | | | 8,833 | |
| Marubeni Corp. | | | 8,000 | | | | 48,542 | | | | (675 | ) |
| Mazda Motor Corp. | | | 9,000 | | | | 197,732 | | | | 18,408 | |
| MEIJI Holdings Co., Ltd. | | | 900 | | | | 79,576 | | | | 2,305 | |
| Mitsubishi Chemical Holdings Corp. | | | 9,800 | | | | 50,401 | | | | (2,866 | ) |
| Mitsubishi Electric Corp. | | | 24,000 | | | | 255,533 | | | | 29,541 | |
| Mitsubishi Materials Corp. | | | 11,000 | | | | 27,558 | | | | 8,934 | |
| Mitsubishi Motors Corp. | | | 41,600 | | | | 399,182 | | | | (19,147 | ) |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 4,300 | | | | 20,060 | | | | 162 | |
| Mitsui & Co., Ltd. | | | 12,900 | | | | 174,591 | | | | (1,820 | ) |
| Murata Manufacturing Co., Ltd. | | | 1,000 | | | | 88,599 | | | | 20,522 | |
| Nagoya Railroad Co., Ltd. | | | 13,000 | | | | 48,256 | | | | 145 | |
| Nippon Express Co., Ltd. | | | 17,000 | | | | 81,520 | | | | 4,633 | |
| Nippon Steel & Sumitomo Metal Corp. | | | 25,000 | | | | 56,082 | | | | 5,933 | |
| Nippon Telegraph & Telephone Corp. | | | 3,800 | | | | 181,989 | | | | 12,125 | |
| Nippon Yusen KK | | | 5,000 | | | | 12,184 | | | | 1,939 | |
| Nissin Foods Holdings Co., Ltd. | | | 700 | | | | 34,676 | | | | (1,311 | ) |
| Nitori Holdings Co., Ltd. | | | 2,500 | | | | 141,148 | | | | (6,827 | ) |
| NOK Corp. | | | 9,000 | | | | 212,621 | | | | 16,461 | |
| NTT Data Corp. | | | 1,000 | | | | 32,225 | | | | 5,030 | |
| Omron Corp. | | | 2,900 | | | | 97,947 | | | | 31,786 | |
| Oriental Land Co., Ltd. | | | 700 | | | | 125,478 | | | | 35,952 | |
| Osaka Gas Co., Ltd. | | | 23,000 | | | | 86,135 | | | | (231 | ) |
| Otsuka Corp. | | | 2,600 | | | | 92,262 | | | | (9,829 | ) |
| Otsuka Holdings Co., Ltd. | | | 7,700 | | | | 242,538 | | | | (11,696 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
102
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | |
| Panasonic Corp. | | | 33,000 | | | $ | 336,855 | | | $ | 51,834 | |
| Resona Holdings, Inc. | | | 29,200 | | | | 141,125 | | | | 6,379 | |
| Rohm Co., Ltd. | | | 6,400 | | | | 340,194 | | | | 45,427 | |
| Santen Pharmaceutical Co., Ltd. | | | 1,300 | | | | 71,692 | | | | (1,707 | ) |
| Secom Co., Ltd. | | | 1,200 | | | | 56,729 | | | | 12,217 | |
| Sekisui Chemical Co., Ltd. | | | 20,000 | | | | 232,088 | | | | 8,531 | |
| Seven Bank Ltd. | | | 3,900 | | | | 14,258 | | | | 2,112 | |
| Shimadzu Corp. | | | 6,000 | | | | 63,449 | | | | (2,417 | ) |
| Shimizu Corp. | | | 32,000 | | | | 219,004 | | | | (1,658 | ) |
| Showa Shell Sekiyu KK | | | 6,000 | | | | 53,319 | | | | 5,779 | |
| Sojitz Corp. | | | 34,600 | | | | 48,920 | | | | (601 | ) |
| Sony Corp. | | | 9,300 | | | | 198,552 | | | | (8,746 | ) |
| Sumitomo Electric Industries Ltd. | | | 900 | | | | 10,207 | | | | 1,034 | |
| Sumitomo Heavy Industries Ltd. | | | 15,000 | | | | 78,423 | | | | 2,262 | |
| Sumitomo Metal Mining Co., Ltd. | | | 2,000 | | | | 23,199 | | | | 6,631 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 600 | | | | 25,846 | | | | (4,155 | ) |
| Suruga Bank Ltd. | | | 1,900 | | | | 30,584 | | | | 4,333 | |
| Suzuki Motor Corp. | | | 8,800 | | | | 223,176 | | | | 40,537 | |
| Sysmex Corp. | | | 500 | | | | 18,358 | | | | 3,833 | |
| T&D Holdings, Inc. | | | 3,100 | | | | 31,900 | | | | 5,262 | |
| Taiheiyo Cement Corp. | | | 5,000 | | | | 15,839 | | | | (152 | ) |
| Taisei Corp. | | | 22,000 | | | | 101,380 | | | | 23,404 | |
| TDK Corp. | | | 2,800 | | | | 131,505 | | | | 33,402 | |
| THK Co., Ltd. | | | 600 | | | | 11,378 | | | | 3,041 | |
| Tohoku Electric Power Co., Inc. | | | 19,300 | | | | 207,818 | | | | 16,766 | |
| Tokio Marine Holdings, Inc. | | | 1,400 | | | | 34,407 | | | | 11,062 | |
| Tokyo Electric Power Co., Inc. | | | 14,600 | | | | 48,118 | | | | 11,264 | |
| Tokyo Gas Co., Ltd. | | | 43,000 | | | | 213,871 | | | | 18,143 | |
| Toppan Printing Co., Ltd. | | | 3,000 | | | | 20,041 | | | | (549 | ) |
| TOTO Ltd. | | | 24,000 | | | | 295,676 | | | | (16,491 | ) |
| Toyo Suisan Kaisha Ltd. | | | 1,000 | | | | 27,294 | | | | 4,905 | |
| USS Co., Ltd. | | | 6,700 | | | | 95,683 | | | | 7,260 | |
| West Japan Railway Co. | | | 4,000 | | | | 183,920 | | | | 5,193 | |
| Yamaha Motor Co., Ltd. | | | 11,300 | | | | 217,720 | | | | 8,353 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 832,422 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | 832,422 | |
| | | | | | | | | | | | |
| | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| Acom Co., Ltd. | | | (114,500 | ) | | | (306,683 | ) | | | (42,868 | ) |
| Advantest Corp. | | | (33,900 | ) | | | (366,439 | ) | | | (53,730 | ) |
| Aeon Co., Ltd. | | | (54,200 | ) | | | (533,126 | ) | | | (11,556 | ) |
| AEON Financial Service Co., Ltd. | | | (19,100 | ) | | | (383,777 | ) | | | 6,535 | |
| Amada Co., Ltd. | | | (2,000 | ) | | | (12,308 | ) | | | (4,830 | ) |
| Asahi Group Holdings Ltd. | | | (500 | ) | | | (10,903 | ) | | | (4,565 | ) |
| Asics Corp. | | | (1,800 | ) | | | (28,037 | ) | | | (15,296 | ) |
| Canon, Inc. | | | (400 | ) | | | (10,419 | ) | | | (2,293 | ) |
| Credit Saison Co., Ltd. | | | (2,800 | ) | | | (50,583 | ) | | | (1,487 | ) |
| Daiichi Sankyo Co., Ltd. | | | (1,600 | ) | | | (23,468 | ) | | | 1,096 | |
| Daikin Industries Ltd. | | | (5,600 | ) | | | (362,895 | ) | | | 3,801 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | |
| Daiwa Securities Group, Inc. | | | (18,000 | ) | | $ | (146,028 | ) | | $ | 5,086 | |
| Denso Corp. | | | (3,200 | ) | | | (127,629 | ) | | | (21,516 | ) |
| Disco Corp. | | | (200 | ) | | | (9,790 | ) | | | (6,206 | ) |
| Don Quijote Holdings Co., Ltd. | | | (1,400 | ) | | | (73,882 | ) | | | (22,363 | ) |
| Eisai Co., Ltd. | | | (1,200 | ) | | | (39,225 | ) | | | (7,183 | ) |
| Fast Retailing Co., Ltd. | | | (900 | ) | | | (301,964 | ) | | | (25,541 | ) |
| GS Yuasa Corp. | | | (32,000 | ) | | | (152,359 | ) | | | 16,303 | |
| Hitachi Construction Machinery Co., Ltd. | | | (1,800 | ) | | | (31,111 | ) | | | (6,947 | ) |
| Hitachi Ltd. | | | (10,000 | ) | | | (62,360 | ) | | | (11,447 | ) |
| Hokkaido Electric Power Co., Inc. | | | (22,800 | ) | | | (128,919 | ) | | | (53,594 | ) |
| Honda Motor Co., Ltd. | | | (1,500 | ) | | | (47,547 | ) | | | 3,541 | |
| IHI Corp. | | | (28,000 | ) | | | (135,530 | ) | | | (6,275 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (38,000 | ) | | | (464,767 | ) | | | (5,453 | ) |
| J Front Retailing Co., Ltd. | | | (10,700 | ) | | | (126,646 | ) | | | 2,719 | |
| Japan Display, Inc. | | | (38,500 | ) | | | (121,309 | ) | | | 3,807 | |
| Japan Steel Works Ltd./The | | | (77,000 | ) | | | (273,327 | ) | | | 891 | |
| JFE Holdings, Inc. | | | (1,200 | ) | | | (27,387 | ) | | | 626 | |
| Kakaku.com, Inc. | | | (8,100 | ) | | | (117,238 | ) | | | 1,354 | |
| Kansai Electric Power Co., Inc./The | | | (23,800 | ) | | | (203,461 | ) | | | (22,951 | ) |
| Kawasaki Heavy Industries Ltd. | | | (5,000 | ) | | | (19,775 | ) | | | (2,963 | ) |
| Kintetsu Corp. | | | (8,000 | ) | | | (23,869 | ) | | | (2,434 | ) |
| Komatsu Ltd. | | | (2,100 | ) | | | (38,004 | ) | | | (8,423 | ) |
| Konami Corp. | | | (3,700 | ) | | | (74,195 | ) | | | 6,361 | |
| Kubota Corp. | | | (13,000 | ) | | | (190,582 | ) | | | 1,890 | |
| Kyocera Corp. | | | (1,200 | ) | | | (52,196 | ) | | | (2,716 | ) |
| Kyowa Hakko Kirin Co., Ltd. | | | (1,000 | ) | | | (11,304 | ) | | | 1,888 | |
| Kyushu Electric Power Co., Inc. | | | (11,800 | ) | | | (114,706 | ) | | | (3,473 | ) |
| LIXIL Group Corp. | | | (2,500 | ) | | | (45,568 | ) | | | (7,046 | ) |
| Marui Group Co., Ltd. | | | (47,500 | ) | | | (394,747 | ) | | | (33,689 | ) |
| Mitsubishi Gas Chemical Co., Inc. | | | (2,000 | ) | | | (9,020 | ) | | | (1,018 | ) |
| Mitsui Chemicals, Inc. | | | (19,000 | ) | | | (38,288 | ) | | | (15,527 | ) |
| Mitsui OSK Lines Ltd. | | | (72,000 | ) | | | (203,863 | ) | | | (9,454 | ) |
| Nidec Corp. | | | (3,000 | ) | | | (178,916 | ) | | | (14,841 | ) |
| Nikon Corp. | | | (2,400 | ) | | | (39,785 | ) | | | 7,896 | |
| Nippon Electric Glass Co., Ltd. | | | (52,000 | ) | | | (222,098 | ) | | | (11,880 | ) |
| Nissan Motor Co., Ltd. | | | (11,300 | ) | | | (90,866 | ) | | | (7,690 | ) |
| Nomura Holdings, Inc. | | | (20,100 | ) | | | (114,072 | ) | | | 325 | |
| Obayashi Corp. | | | (49,000 | ) | | | (288,406 | ) | | | (27,457 | ) |
| Odakyu Electric Railway Co., Ltd. | | | (3,000 | ) | | | (25,814 | ) | | | (760 | ) |
| Olympus Corp. | | | (3,500 | ) | | | (89,398 | ) | | | (33,208 | ) |
| Ono Pharmaceutical Co., Ltd. | | | (200 | ) | | | (14,403 | ) | | | (3,304 | ) |
| Rakuten, Inc. | | | (47,600 | ) | | | (523,435 | ) | | | (138,473 | ) |
| Ricoh Co., Ltd. | | | (10,100 | ) | | | (99,588 | ) | | | (2,514 | ) |
| Sega Sammy Holdings, Inc. | | | (13,200 | ) | | | (182,608 | ) | | | 13,725 | |
| Showa Denko KK | | | (13,000 | ) | | | (15,531 | ) | | | (470 | ) |
| Softbank Corp. | | | (1,500 | ) | | | (98,427 | ) | | | 9,142 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
103
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | |
| Sumco Corp. | | | (9,900 | ) | | $ | (146,885 | ) | | $ | 5,156 | |
| Sumitomo Corp. | | | (2,100 | ) | | | (19,543 | ) | | | (2,026 | ) |
| Sumitomo Dainippon Pharma Co., Ltd. | | | (5,900 | ) | | | (87,930 | ) | | | 30,796 | |
| Takeda Pharmaceutical Co., Ltd. | | | (1,000 | ) | | | (37,633 | ) | | | (3,765 | ) |
| Teijin Ltd. | | | (11,000 | ) | | | (21,226 | ) | | | (8,011 | ) |
| Terumo Corp. | | | (2,100 | ) | | | (41,924 | ) | | | (5,738 | ) |
| Toray Industries, Inc. | | | (6,000 | ) | | | (47,168 | ) | | | (772 | ) |
| Toshiba Corp. | | | (27,000 | ) | | | (110,746 | ) | | | (3,122 | ) |
| Toyota Industries Corp. | | | (200 | ) | | | (7,255 | ) | | | (2,995 | ) |
| Toyota Motor Corp. | | | (2,500 | ) | | | (132,952 | ) | | | (22,842 | ) |
| Unicharm Corp. | | | (900 | ) | | | (13,008 | ) | | | (8,564 | ) |
| Yahoo Japan Corp. | | | (121,000 | ) | | | (427,957 | ) | | | (5,698 | ) |
| Yakult Honsha Co., Ltd. | | | (200 | ) | | | (6,513 | ) | | | (4,044 | ) |
| Yamato Holdings Co., Ltd. | | | (14,800 | ) | | | (300,834 | ) | | | 7,769 | |
| Yaskawa Electric Corp. | | | (49,300 | ) | | | (582,609 | ) | | | (47,106 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | |
| Yokogawa Electric Corp. | | | (15,600 | ) | | $ | (183,346 | ) | | $ | 12,166 | |
| Yokohama Rubber Co., Ltd./The | | | (3,000 | ) | | | (23,719 | ) | | | (3,595 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (628,846 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (628,846 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 203,576 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (43,853 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 159,723 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
104
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Association of Singapore Banks Rate plus or minus a specified spread, which is denominated in SGD based on the local currencies of the positions within the swap. | | 25 months maturity
08/20/2015 | | | $16,037 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 145,000 | | | $ | 279,192 | | | $ | 4,561 | |
| Noble Group Ltd. | | | 181,000 | | | | 151,478 | | | | 2,940 | |
| Singapore Airlines Ltd. | | | 8,000 | | | | 62,676 | | | | 7,112 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,613 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | 14,613 | |
| | | | | | | | | | | | |
| | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | | | | |
| CapitaLand Ltd. | | | (88,000 | ) | | | (207,345 | ) | | | (11,454 | ) |
| Global Logistic Properties Ltd. | | | (65,000 | ) | | | (125,183 | ) | | | 3,996 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Singapore (continued) | | | | |
| Golden Agri-Resources Ltd. | | | (71,000 | ) | | $ | (27,630 | ) | | $ | 3,057 | |
| Keppel Corp. Ltd. | | | (3,000 | ) | | | (24,012 | ) | | | 4,016 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (385 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (385 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 14,228 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 1,809 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 16,037 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
105
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | | 22-26 months maturity ranging from 05/22/2015 - 08/22/2015 | | | $62,785 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | | | | |
| Bank of East Asia Ltd. | | | 31,200 | | | $ | 124,489 | | | $ | 811 | |
| BOC Hong Kong Holdings Ltd. | | | 7,000 | | | | 22,765 | | | | 560 | |
| Cheung Kong Holdings Ltd. | | | 36,000 | | | | 614,913 | | | | (12,027 | ) |
| CLP Holdings Ltd. | | | 19,000 | | | | 164,447 | | | | 82 | |
| Hutchison Whampoa Ltd. | | | 11,000 | | | | 141,284 | | | | (15,536 | ) |
| Hysan Development Co., Ltd. | | | 100,000 | | | | 451,929 | | | | (8,129 | ) |
| Kerry Properties Ltd. | | | 20,500 | | | | 70,519 | | | | 3,434 | |
| Li & Fung Ltd. | | | 224,000 | | | | 221,477 | | | | (12,550 | ) |
| MGM China Holdings Ltd. | | | 32,400 | | | | 115,060 | | | | (33,253 | ) |
| MTR Corp. Ltd. | | | 83,500 | | | | 328,923 | | | | 12,697 | |
| Power Assets Holdings Ltd. | | | 26,500 | | | | 244,637 | | | | 11,565 | |
| Sands China Ltd. | | | 10,800 | | | | 71,814 | | | | (19,238 | ) |
| Sino Land Co., Ltd. | | | 216,000 | | | | 351,845 | | | | (5,100 | ) |
| SJM Holdings Ltd. | | | 140,000 | | | | 280,722 | | | | (59,396 | ) |
| Swire Pacific Ltd. | | | 5,000 | | | | 57,020 | | | | 7,883 | |
| Swire Properties Ltd. | | | 17,400 | | | | 55,722 | | | | (4,524 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (132,721 | ) |
| | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Samsonite International SA | | | 4,800 | | | | 15,065 | | | | (840 | ) |
| | | | | | | | | | | | |
| | |
| Total of Long Equity Positions | | | | | | | | (133,561 | ) |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | |
| AIA Group Ltd. | | | (6,200 | ) | | | (31,290 | ) | | | (2,906 | ) |
| ASM Pacific Technology Ltd. | | | (26,800 | ) | | | (266,883 | ) | | | 11,709 | |
| Cathay Pacific Airways Ltd. | | | (105,000 | ) | | | (214,549 | ) | | | (14,385 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Hong Kong (continued) | | | | | | | | | |
| Galaxy Entertainment Group Ltd. | | | (25,000 | ) | | $ | (148,501 | ) | | $ | 9,583 | |
| Hang Lung Properties Ltd. | | | (73,000 | ) | | | (213,207 | ) | | | 9,559 | |
| Hong Kong & China Gas Co., Ltd. | | | (325,200 | ) | | | (732,474 | ) | | | (8,443 | ) |
| Melco International Development Ltd. | | | (258,000 | ) | | | (623,487 | ) | | | 58,694 | |
| Sun Hung Kai Properties Ltd. | | | (5,031 | ) | | | (67,729 | ) | | | (8,493 | ) |
| Techtronic Industries Co., Ltd. | | | (31,000 | ) | | | (95,695 | ) | | | (3,756 | ) |
| Wharf Holdings Ltd. | | | (22,000 | ) | | | (157,158 | ) | | | (782 | ) |
| Wynn Macau Ltd. | | | (108,000 | ) | | | (359,567 | ) | | | 58,263 | |
| Xinyi Glass Holdings Ltd. | | | (546,000 | ) | | | (362,787 | ) | | | 88,548 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 197,591 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 197,591 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 64,030 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (1,245 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 62,785 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
106
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | | 25 months maturity 08/20/2015 | | | $123,265 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Australia | | | | | | | | | | | | |
| Amcor Ltd. | | | 21,382 | | | $ | 191,135 | | | $ | 44,117 | |
| BlueScope Steel Ltd. | | | 4,351 | | | | 17,775 | | | | 1,919 | |
| Boral Ltd. | | | 8,761 | | | | 36,270 | | | | 1,326 | |
| Caltex Australia Ltd. | | | 2,917 | | | | 41,727 | | | | 39,212 | |
| Challenger Ltd. | | | 29,188 | | | | 162,940 | | | | (8,754 | ) |
| Coca-Cola Amatil Ltd. | | | 5,000 | | | | 38,349 | | | | (599 | ) |
| CSL Ltd. | | | 468 | | | | 27,216 | | | | 5,659 | |
| Macquarie Group Ltd. | | | 7,781 | | | | 370,280 | | | | (3,352 | ) |
| Qantas Airways Ltd. | | | 90,622 | | | | 160,798 | | | | 15,218 | |
| Rio Tinto Ltd. | | | 873 | | | | 43,035 | | | | (2,108 | ) |
| Sonic Healthcare Ltd. | | | 1,015 | | | | 14,490 | | | | 780 | |
| Telstra Corp. Ltd. | | | 86,031 | | | | 397,302 | | | | 20,364 | |
| WorleyParsons Ltd. | | | 1,652 | | | | 21,459 | | | | (7,927 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 105,855 | |
| | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| James Hardie Industries PLC | | | 2,088 | | | | 20,382 | | | | 1,908 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | 107,763 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | |
| | | |
| Australia | | | | | | | | | |
| AMP Ltd. | | | (7,147 | ) | | | (29,570 | ) | | | (2,261 | ) |
| Cochlear Ltd. | | | (1,610 | ) | | | (73,889 | ) | | | (27,681 | ) |
| Flight Centre Travel Group Ltd. | | | (1,062 | ) | | | (34,484 | ) | | | 6,372 | |
| Fortescue Metals Group Ltd. | | | (24,617 | ) | | | (64,361 | ) | | | 10,311 | |
| Iluka Resources Ltd. | | | (48,435 | ) | | | (288,641 | ) | | | 56,030 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australia (continued) | |
| Orica Ltd. | | | (2,982 | ) | | $ | (45,714 | ) | | $ | 20 | |
| QBE Insurance Group Ltd. | | | (17,330 | ) | | | (163,554 | ) | | | 6,190 | |
| REA Group Ltd. | | | (1,082 | ) | | | (40,018 | ) | | | 347 | |
| Santos Ltd. | | | (8,716 | ) | | | (59,361 | ) | | | 1,140 | |
| Seek Ltd. | | | (8,307 | ) | | | (83,742 | ) | | | (32,091 | ) |
| Westpac Banking Corp. | | | (2,617 | ) | | | (74,409 | ) | | | 4,023 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 22,400 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 22,400 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 130,163 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (6,898 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 123,265 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
107
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 12 months maturity 05/22/2015 | | | $(2,219 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | | | | |
| Jardine Matheson Holdings Ltd. | | | (3,600 | ) | | $ | (216,557 | ) | | $ | (2,195 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (24 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (2,219 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
Total Return Basket Swaps* Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified, which is denominated in USD based on the local currencies of the positions within the swap. | | 2-13 months maturity 02/20/2015 | | | $2,324,811 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Domtar Corp. | | | 6,400 | | | $ | 273,898 | | | $ | (16,490 | ) |
| | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| Seagate Technology PLC | | | 1,000 | | | | 50,756 | | | | 15,744 | |
| | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | | | | |
| Flextronics International Ltd. | | | 43,200 | | | | 457,176 | | | | 25,800 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Switzerland | | | | | | | | | | | | |
| TE Connectivity Ltd. | | | 3,900 | | | $ | 235,579 | | | $ | 11,096 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Delphi Automotive PLC | | | 2,300 | | | | 157,247 | | | | 10,009 | |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
| Abbott Laboratories | | | 600 | | | | 21,864 | | | | 5,148 | |
| AbbVie, Inc. | | | 6,500 | | | | 422,683 | | | | 2,677 | |
| Abercrombie & Fitch Co. | | | 4,000 | | | | 122,841 | | | | (8,281 | ) |
| Activision Blizzard, Inc. | | | 17,700 | | | | 342,144 | | | | 14,511 | |
| Acuity Brands, Inc. | | | 500 | | | | 69,996 | | | | 39 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
108
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Adobe Systems, Inc. | | | 1,000 | | | $ | 74,648 | | | $ | (1,948 | ) |
| Advance Auto Parts, Inc. | | | 200 | | | | 23,335 | | | | 8,521 | |
| AES Corp. | | | 3,500 | | | | 47,627 | | | | 568 | |
| Aetna, Inc. | | | 6,700 | | | | 535,474 | | | | 59,687 | |
| Aflac, Inc. | | | 2,800 | | | | 166,709 | | | | 4,343 | |
| AGCO Corp. | | | 500 | | | | 27,705 | | | | (5,105 | ) |
| Agilent Technologies, Inc. | | | 1,000 | | | | 39,030 | | | | 1,910 | |
| Akamai Technologies, Inc. | | | 4,900 | | | | 290,257 | | | | 18,247 | |
| Alaska Air Group, Inc. | | | 3,000 | | | | 130,115 | | | | 49,165 | |
| Alexion Pharmaceuticals, Inc. | | | 2,100 | | | | 355,718 | | | | 32,845 | |
| Alliant Techsystems, Inc. | | | 400 | | | | 52,776 | | | | (6,276 | ) |
| Alnylam Pharmaceuticals, Inc. | | | 300 | | | | 27,876 | | | | 1,224 | |
| Amdocs Ltd. | | | 1,700 | | | | 77,703 | | | | 1,610 | |
| American Airlines Group, Inc. | | | 3,200 | | | | 125,894 | | | | 45,722 | |
| American International Group, Inc. | | | 900 | | | | 46,029 | | | | 4,380 | |
| Ameriprise Financial, Inc. | | | 4,900 | | | | 596,325 | | | | 51,700 | |
| Amgen, Inc. | | | 2,900 | | | | 445,399 | | | | 16,542 | |
| ANN, Inc. | | | 2,200 | | | | 84,378 | | | | (4,122 | ) |
| ANSYS, Inc. | | | 800 | | | | 61,537 | | | | 4,063 | |
| Anthem, Inc. | | | 1,600 | | | | 160,361 | | | | 40,711 | |
| AO Smith Corp. | | | 1,400 | | | | 65,327 | | | | 13,647 | |
| American Electric Power Co., Inc. | | | 3,200 | | | | 182,652 | | | | 11,652 | |
| American Express Co. | | | 700 | | | | 62,093 | | | | 3,035 | |
| Apollo Education Group, Inc. | | | 10,300 | | | | 307,294 | | | | 44,039 | |
| Apple, Inc. | | | 900 | | | | 101,536 | | | | (2,194 | ) |
| Applied Materials, Inc. | | | 1,600 | | | | 35,953 | | | | 3,919 | |
| Archer-Daniels-Midland Co. | | | 7,100 | | | | 348,575 | | | | 20,625 | |
| ARRIS Group, Inc. | | | 15,400 | | | | 451,695 | | | | 13,231 | |
| Arrow Electronics, Inc. | | | 9,900 | | | | 569,753 | | | | 3,358 | |
| Ashland, Inc. | | | 300 | | | | 28,587 | | | | 7,341 | |
| Assurant, Inc. | | | 800 | | | | 53,271 | | | | 1,473 | |
| Assured Guaranty Ltd. | | | 1,900 | | | | 39,797 | | | | 9,584 | |
| Atmel Corp. | | | 27,600 | | | | 219,442 | | | | 12,260 | |
| Atwood Oceanics, Inc. | | | 600 | | | | 28,667 | | | | (11,645 | ) |
| Autodesk, Inc. | | | 700 | | | | 34,192 | | | | 7,850 | |
| Avery Dennison Corp. | | | 900 | | | | 44,693 | | | | 1,999 | |
| Avnet, Inc. | | | 5,500 | | | | 238,648 | | | | (2,038 | ) |
| Avon Products, Inc. | | | 8,300 | | | | 80,346 | | | | (2,409 | ) |
| Axis Capital Holdings Ltd. | | | 300 | | | | 13,668 | | | | 1,659 | |
| Babcock & Wilcox Co./The | | | 1,900 | | | | 55,984 | | | | 1,586 | |
| Bed Bath & Beyond, Inc. | | | 1,500 | | | | 102,054 | | | | 12,201 | |
| Best Buy Co., Inc. | | | 6,900 | | | | 234,594 | | | | 34,368 | |
| Big Lots, Inc. | | | 19,000 | | | | 803,508 | | | | (43,128 | ) |
| Biogen Idec, Inc. | | | 2,000 | | | | 641,921 | | | | 36,979 | |
| Boston Scientific Corp. | | | 16,700 | | | | 217,647 | | | | 3,628 | |
| Brinker International, Inc. | | | 2,500 | | | | 139,470 | | | | 7,255 | |
| Bristol-Myers Squibb Co. | | | 300 | | | | 16,154 | | | | 1,555 | |
| Broadcom Corp. | | | 6,100 | | | | 238,798 | | | | 25,515 | |
| Broadridge Financial Solutions, Inc. | | | 3,800 | | | | 166,526 | | | | 8,958 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Brocade Communications Systems, Inc. | | | 63,300 | | | $ | 660,421 | | | $ | 89,051 | |
| CA, Inc. | | | 9,200 | | | | 277,878 | | | | 2,262 | |
| Capital One Financial Corp. | | | 800 | | | | 65,229 | | | | 811 | |
| Cardinal Health, Inc. | | | 900 | | | | 60,188 | | | | 12,469 | |
| Carter’s, Inc. | | | 1,200 | | | | 93,123 | | | | 11,649 | |
| CBOE Holdings, Inc. | | | 1,300 | | | | 64,726 | | | | 17,720 | |
| CBS Corp. | | | 600 | | | | 36,803 | | | | (3,599 | ) |
| Celanese Corp. | | | 1,300 | | | | 76,147 | | | | 1,801 | |
| Celgene Corp. | | | 1,600 | | | | 152,104 | | | | 26,872 | |
| Centene Corp. | | | 1,100 | | | | 109,127 | | | | 5,108 | |
| CF Industries Holdings, Inc. | | | 300 | | | | 71,602 | | | | 10,160 | |
| Chico’s FAS, Inc. | | | 7,800 | | | | 122,307 | | | | 4,131 | |
| Cigna Corp. | | | 4,100 | | | | 399,570 | | | | 22,361 | |
| Cimarex Energy Co. | | | 300 | | | | 29,716 | | | | 2,084 | |
| Cintas Corp. | | | 1,900 | | | | 129,638 | | | | 19,398 | |
| Cisco Systems, Inc. | | | 9,400 | | | | 247,019 | | | | 14,442 | |
| Citrix Systems, Inc. | | | 3,200 | | | | 206,445 | | | | (2,285 | ) |
| Civeo Corp. | | | 9,500 | | | | 116,865 | | | | (77,820 | ) |
| Cleco Corp. | | | 400 | | | | 21,377 | | | | 439 | |
| Cliffs Natural Resources, Inc. | | | 50,800 | | | | 377,685 | | | | (14,973 | ) |
| Coach, Inc. | | | 7,200 | | | | 248,742 | | | | 21,690 | |
| Coca-Cola Enterprises, Inc. | | | 4,000 | | | | 175,011 | | | | 1,869 | |
| Cognizant Technology Solutions Corp. | | | 3,300 | | | | 170,902 | | | | 2,876 | |
| CommVault Systems, Inc. | | | 1,500 | | | | 62,314 | | | | 15,221 | |
| Compass Minerals International, Inc. | | | 700 | | | | 60,226 | | | | 555 | |
| Computer Sciences Corp. | | | 1,900 | | | | 113,372 | | | | 6,423 | |
| Con-way, Inc. | | | 2,600 | | | | 127,143 | | | | 725 | |
| Corning, Inc. | | | 14,100 | | | | 295,703 | | | | 27,610 | |
| CR Bard, Inc. | | | 2,300 | | | | 391,290 | | | | (8,064 | ) |
| CSX Corp. | | | 3,300 | | | | 120,943 | | | | (1,384 | ) |
| Cummins, Inc. | | | 1,800 | | | | 252,944 | | | | 6,562 | |
| CVS Health Corp. | | | 1,500 | | | | 137,569 | | | | 6,896 | |
| Danaher Corp. | | | 1,200 | | | | 96,818 | | | | 6,034 | |
| Deckers Outdoor Corp. | | | 1,300 | | | | 105,393 | | | | 12,959 | |
| Delta Air Lines, Inc. | | | 21,400 | | | | 870,715 | | | | 181,951 | |
| Dillards, Inc. | | | 1,500 | | | | 141,826 | | | | 45,944 | |
| Discover Financial Services | | | 1,100 | | | | 59,989 | | | | 12,050 | |
| DISH Network Corp. | | | 800 | | | | 49,498 | | | | 8,814 | |
| Dollar General Corp. | | | 4,500 | | | | 296,490 | | | | 21,660 | |
| Dollar Tree, Inc. | | | 6,900 | | | | 454,786 | | | | 30,836 | |
| Domino’s Pizza, Inc. | | | 200 | | | | 14,658 | | | | 4,176 | |
| Dover Corp. | | | 800 | | | | 67,047 | | | | (9,671 | ) |
| Dow Chemical Co./The | | | 2,300 | | | | 113,832 | | | | (8,929 | ) |
| DR Horton, Inc. | | | 900 | | | | 18,726 | | | | 4,035 | |
| Dr. Pepper Snapple Group, Inc. | | | 3,100 | | | | 220,166 | | | | 2,042 | |
| DST Systems, Inc. | | | 1,800 | | | | 170,037 | | | | (567 | ) |
| DSW, Inc. | | | 1,100 | | | | 40,579 | | | | 451 | |
| DTE Energy Co. | | | 400 | | | | 26,459 | | | | 8,089 | |
| Dun & Bradstreet Corp./The | | | 500 | | | | 57,094 | | | | 3,386 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
109
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| eBay, Inc. | | | 8,400 | | | $ | 448,513 | | | $ | 22,895 | |
| Edwards Lifesciences Corp. | | | 4,300 | | | | 504,878 | | | | 42,856 | |
| Electronic Arts, Inc. | | | 5,400 | | | | 213,739 | | | | 40,142 | |
| EMC Corp. | | | 3,500 | | | | 98,910 | | | | 5,180 | |
| Emerson Electric Co. | | | 600 | | | | 39,632 | | | | (2,594 | ) |
| EOG Resources, Inc. | | | 300 | | | | 35,367 | | | | (7,746 | ) |
| Equifax, Inc. | | | 500 | | | | 37,666 | | | | 2,769 | |
| Exelis, Inc. | | | 10,600 | | | | 188,039 | | | | (2,221 | ) |
| Expedia, Inc. | | | 800 | | | | 59,555 | | | | 8,733 | |
| F5 Networks, Inc. | | | 400 | | | | 48,505 | | | | 3,681 | |
| Facebook, Inc. | | | 800 | | | | 51,799 | | | | 10,617 | |
| Fairchild Semiconductor International, Inc. | | | 17,500 | | | | 249,620 | | | | 45,780 | |
| FedEx Corp. | | | 1,100 | | | | 195,629 | | | | (4,603 | ) |
| Fifth Third BanCorp. | | | 1,000 | | | | 21,550 | | | | (1,175 | ) |
| First Solar, Inc. | | | 400 | | | | 22,074 | | | | (4,236 | ) |
| Flowserve Corp. | | | 400 | | | | 30,848 | | | | (6,916 | ) |
| Fluor Corp. | | | 500 | | | | 40,609 | | | | (10,294 | ) |
| FNF Group | | | 700 | | | | 21,190 | | | | 2,925 | |
| Foot Locker, Inc. | | | 5,900 | | | | 294,301 | | | | 37,161 | |
| Ford Motor Co. | | | 10,800 | | | | 165,044 | | | | 2,356 | |
| Fortinet, Inc. | | | 1,900 | | | | 48,753 | | | | 9,501 | |
| Fossil Group, Inc. | | | 2,600 | | | | 285,454 | | | | 2,470 | |
| Franklin Resources, Inc. | | | 1,300 | | | | 73,368 | | | | (1,387 | ) |
| GameStop Corp. | | | 700 | | | | 25,908 | | | | (2,248 | ) |
| Gannett Co., Inc. | | | 9,600 | | | | 293,407 | | | | 13,121 | |
| Gap, Inc./The | | | 6,900 | | | | 263,497 | | | | 27,062 | |
| General Dynamics Corp. | | | 4,200 | | | | 599,951 | | | | (21,947 | ) |
| General Motors Co. | | | 4,900 | | | | 154,447 | | | | 16,612 | |
| Genworth Financial, Inc. | | | 17,800 | | | | 151,045 | | | | 255 | |
| Gilead Sciences, Inc. | | | 12,000 | | | | 1,194,114 | | | | (62,994 | ) |
| Goodyear Tire & Rubber Co./The | | | 2,500 | | | | 66,556 | | | | 4,869 | |
| Google, Inc. | | | 300 | | | | 170,169 | | | | (10,971 | ) |
| Guess?, Inc. | | | 600 | | | | 15,936 | | | | (3,288 | ) |
| Halliburton Co. | | | 6,600 | | | | 276,784 | | | | (17,206 | ) |
| Harman International Industries, Inc. | | | 1,700 | | | | 174,858 | | | | 6,549 | |
| Harris Corp. | | | 200 | | | | 14,108 | | | | 256 | |
| HCA Holdings, Inc. | | | 8,000 | | | | 543,418 | | | | 43,702 | |
| Health Net, Inc. | | | 11,900 | | | | 534,349 | | | | 102,658 | |
| Hess Corp. | | | 800 | | | | 61,454 | | | | (2,398 | ) |
| Hewlett-Packard Co. | | | 16,100 | | | | 558,949 | | | | 87,144 | |
| Home Depot, Inc./The | | | 2,600 | | | | 262,070 | | | | 10,852 | |
| Hubbell, Inc. | | | 1,000 | | | | 109,068 | | | | (2,238 | ) |
| Humana, Inc. | | | 2,900 | | | | 349,133 | | | | 67,394 | |
| Huntington Ingalls Industries, Inc. | | | 3,100 | | | | 328,042 | | | | 20,584 | |
| IAC/InterActiveCorp. | | | 2,200 | | | | 153,685 | | | | (19,947 | ) |
| IDEX Corp. | | | 400 | | | | 29,303 | | | | 1,833 | |
| IDEXX Laboratories, Inc. | | | 600 | | | | 87,107 | | | | 1,855 | |
| IHS, Inc. | | | 2,200 | | | | 263,168 | | | | (12,632 | ) |
| Illinois Tool Works, Inc. | | | 100 | | | | 8,266 | | | | 1,204 | |
| Informatica Corp. | | | 4,700 | | | | 161,767 | | | | 17,467 | |
| Ingersoll-Rand PLC | | | 800 | | | | 47,286 | | | | 3,426 | |
| Ingram Micro, Inc. | | | 7,400 | | | | 206,429 | | | | (1,893 | ) |
| Integrated Device Technology, Inc. | | | 13,700 | | | | 217,406 | | | | 51,114 | |
| Intel Corp. | | | 9,800 | | | | 335,678 | | | | 19,964 | |
| International Business Machines Corp. | | | 800 | | | | 130,516 | | | | (2,164 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| International Paper Co. | | | 4,500 | | | $ | 245,920 | | | $ | (4,810 | ) |
| Interpublic Group of Cos., Inc./The | | | 3,000 | | | | 56,904 | | | | 5,406 | |
| Intuit, Inc. | | | 200 | | | | 14,759 | | | | 3,679 | |
| Invesco Ltd. | | | 5,100 | | | | 188,864 | | | | 12,688 | |
| ITT Corp. | | | 3,300 | | | | 141,524 | | | | (8,006 | ) |
| Jabil Circuit, Inc. | | | 10,500 | | | | 221,340 | | | | 7,875 | |
| JetBlue Airways Corp. | | | 5,300 | | | | 80,951 | | | | 3,107 | |
| Johnson & Johnson | | | 1,200 | | | | 120,681 | | | | 4,803 | |
| JPMorgan Chase & Co. | | | 1,700 | | | | 99,630 | | | | 6,756 | |
| Juniper Networks, Inc. | | | 11,700 | | | | 243,286 | | | | 17,858 | |
| KBR, Inc. | | | 10,100 | | | | 209,597 | | | | (38,402 | ) |
| KeyCorp. | | | 1,000 | | | | 13,540 | | | | 360 | |
| Kimberly-Clark Corp. | | | 100 | | | | 9,611 | | | | 1,943 | |
| KLA-Tencor Corp. | | | 600 | | | | 37,644 | | | | 4,548 | |
| Knowles Corp. | | | 1,400 | | | | 27,461 | | | | 5,509 | |
| Kroger Co./The | | | 2,600 | | | | 114,270 | | | | 52,676 | |
| L Brands, Inc. | | | 600 | | | | 50,954 | | | | 976 | |
| L-3 Communications Holdings, Inc. | | | 2,300 | | | | 279,948 | | | | 10,335 | |
| Lam Research Corp. | | | 700 | | | | 45,155 | | | | 10,383 | |
| Lear Corp. | | | 2,900 | | | | 260,501 | | | | 23,931 | |
| Lennox International, Inc. | | | 900 | | | | 77,658 | | | | 7,905 | |
| Lexmark International, Inc. | | | 4,600 | | | | 192,344 | | | | (2,502 | ) |
| LifePoint Hospitals, Inc. | | | 2,100 | | | | 143,858 | | | | 7,153 | |
| Lincoln Electric Holdings, Inc. | | | 700 | | | | 47,233 | | | | 1,130 | |
| Lincoln National Corp. | | | 2,100 | | | | 111,641 | | | | 9,466 | |
| Lockheed Martin Corp. | | | 1,100 | | | | 197,694 | | | | 14,133 | |
| Lowe’s Cos., Inc. | | | 3,700 | | | | 230,194 | | | | 24,366 | |
| LyondellBasell Industries NV | | | 8,000 | | | | 699,567 | | | | (64,447 | ) |
| Macy’s, Inc. | | | 600 | | | | 34,235 | | | | 5,215 | |
| ManpowerGroup, Inc. | | | 3,900 | | | | 286,628 | | | | (20,765 | ) |
| Marathon Oil Corp. | | | 900 | | | | 29,912 | | | | (4,451 | ) |
| Marathon Petroleum Corp. | | | 2,500 | | | | 218,276 | | | | 7,374 | |
| Marvell Technology Group Ltd. | | | 20,700 | | | | 293,554 | | | | 6,596 | |
| Masco Corp. | | | 4,900 | | | | 108,135 | | | | 15,345 | |
| MasterCard, Inc. | | | 500 | | | | 39,140 | | | | 3,940 | |
| McGraw Hill Financial, Inc. | | | 1,300 | | | | 104,306 | | | | 11,368 | |
| Medivation, Inc. | | | 400 | | | | 44,018 | | | | (4,174 | ) |
| Medtronic, Inc. | | | 1,100 | | | | 64,139 | | | | 15,281 | |
| Merck & Co., Inc. | | | 6,700 | | | | 394,474 | | | | (13,981 | ) |
| MetLife, Inc. | | | 200 | | | | 9,904 | | | | 914 | |
| Micron Technology, Inc. | | | 7,100 | | | | 230,129 | | | | 18,441 | |
| Microsoft Corp. | | | 8,900 | | | | 386,405 | | | | 27,000 | |
| Molson Coors Brewing Co. | | | 2,200 | | | | 164,681 | | | | (737 | ) |
| Monster Beverage Corp. | | | 2,500 | | | | 199,495 | | | | 71,380 | |
| Moody’s Corp. | | | 500 | | | | 48,174 | | | | (269 | ) |
| Morgan Stanley | | | 2,800 | | | | 95,255 | | | | 13,385 | |
| Mosaic Co./The | | | 400 | | | | 19,332 | | | | (1,072 | ) |
| Myriad Genetics, Inc. | | | 2,100 | | | | 55,658 | | | | 15,868 | |
| NASDAQ OMX Group, Inc./The | | | 4,700 | | | | 192,792 | | | | 32,620 | |
| National Oilwell Varco, Inc. | | | 300 | | | | 22,725 | | | | (3,066 | ) |
| Navient Corp. | | | 17,900 | | | | 328,754 | | | | 58,065 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
110
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| NCR Corp. | | | 4,900 | | | $ | 137,363 | | | $ | 5,423 | |
| NetApp, Inc. | | | 9,900 | | | | 401,553 | | | | 8,802 | |
| NeuStar, Inc. | | | 1,300 | | | | 32,695 | | | | 3,445 | |
| Newfield Exploration Co. | | | 2,500 | | | | 80,505 | | | | (12,705 | ) |
| News Corp. | | | 800 | | | | 13,008 | | | | (456 | ) |
| NIKE, Inc. | | | 3,300 | | | | 302,219 | | | | 15,076 | |
| Norfolk Southern Corp. | | | 500 | | | | 55,286 | | | | (481 | ) |
| Northrop Grumman Corp. | | | 3,000 | | | | 399,255 | | | | 42,915 | |
| NVIDIA Corp. | | | 13,700 | | | | 268,975 | | | | 5,710 | |
| Oil States International, Inc. | | | 1,700 | | | | 71,755 | | | | 11,375 | |
| Old Republic International Corp. | | | 1,000 | | | | 16,790 | | | | (2,160 | ) |
| ON Semiconductor Corp. | | | 21,900 | | | | 179,350 | | | | 42,497 | |
| Oracle Corp. | | | 9,300 | | | | 366,005 | | | | 52,216 | |
| O’Reilly Automotive, Inc. | | | 200 | | | | 37,628 | | | | 896 | |
| Oshkosh Corp. | | | 1,500 | | | | 78,395 | | | | (5,420 | ) |
| Parker Hannifin Corp. | | | 1,200 | | | | 144,152 | | | | 10,588 | |
| Patterson-UTI Energy, Inc. | | | 10,300 | | | | 214,144 | | | | (43,267 | ) |
| PepsiCo, Inc. | | | 300 | | | | 28,949 | | | | (581 | ) |
| Pfizer, Inc. | | | 9,500 | | | | 287,683 | | | | 8,242 | |
| Pilgrim’s Pride Corp. | | | 9,100 | | | | 279,499 | | | | 18,890 | |
| Pitney Bowes, Inc. | | | 16,000 | | | | 400,866 | | | | (10,946 | ) |
| Priceline Group, Inc./The | | | 100 | | | | 123,391 | | | | (9,370 | ) |
| Procter & Gamble Co./The | | | 500 | | | | 44,975 | | | | 570 | |
| PTC, Inc. | | | 6,400 | | | | 236,602 | | | | (2,042 | ) |
| Public Service Enterprise Group, Inc. | | | 6,200 | | | | 247,977 | | | | 8,765 | |
| PulteGroup, Inc. | | | 7,100 | | | | 134,953 | | | | 17,413 | |
| Quintiles Transnational Holdings, Inc. | | | 1,100 | | | | 62,854 | | | | 1,903 | |
| Rackspace Hosting, Inc. | | | 6,100 | | | | 208,601 | | | | 76,940 | |
| Ralph Lauren Corp. | | | 500 | | | | 80,138 | | | | 12,442 | |
| Raytheon Co. | | | 2,000 | | | | 191,815 | | | | 24,525 | |
| Red Hat, Inc. | | | 200 | | | | 11,427 | | | | 2,401 | |
| Reinsurance Group of America, Inc. | | | 2,600 | | | | 210,469 | | | | 17,343 | |
| Reliance Steel & Aluminum Co. | | | 300 | | | | 22,824 | | | | (4,443 | ) |
| RF Micro Devices, Inc. | | | 5,900 | | | | 54,168 | | | | 43,713 | |
| Rite Aid Corp. | | | 28,600 | | | | 148,631 | | | | 66,441 | |
| Robert Half International, Inc. | | | 200 | | | | 8,387 | | | | 3,289 | |
| Rock-Tenn Co. | | | 4,600 | | | | 235,904 | | | | 44,604 | |
| Rockwell Automation, Inc. | | | 800 | | | | 91,553 | | | | (2,593 | ) |
| Ross Stores, Inc. | | | 1,100 | | | | 84,003 | | | | 19,683 | |
| Ryder System, Inc. | | | 500 | | | | 37,150 | | | | 9,275 | |
| SeaWorld Entertainment, Inc. | | | 3,400 | | | | 60,055 | | | | 805 | |
| SEI Investments Co. | | | 3,400 | | | | 124,079 | | | | 12,057 | |
| Skyworks Solutions, Inc. | | | 5,800 | | | | 269,720 | | | | 151,998 | |
| SM Energy Co. | | | 3,800 | | | | 147,993 | | | | (1,389 | ) |
| Snap-on, Inc. | | | 100 | | | | 9,989 | | | | 3,685 | |
| SolarWinds, Inc. | | | 900 | | | | 46,316 | | | | (1,469 | ) |
| Sonoco Products Co. | | | 1,000 | | | | 43,430 | | | | 270 | |
| Southwest Airlines Co. | | | 3,600 | | | | 76,365 | | | | 75,987 | |
| Spirit AeroSystems Holdings, Inc. | | | 7,300 | | | | 285,301 | | | | 28,891 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Spirit Airlines, Inc. | | | 1,600 | | | $ | 134,866 | | | $ | (13,938 | ) |
| SPX Corp. | | | 400 | | | | 39,888 | | | | (5,520 | ) |
| State Street Corp. | | | 5,500 | | | | 402,232 | | | | 29,518 | |
| Stryker Corp. | | | 100 | | | | 7,820 | | | | 1,613 | |
| Superior Energy Services, Inc. | | | 11,800 | | | | 275,137 | | | | (37,367 | ) |
| SUPERVALU, Inc. | | | 37,400 | | | | 329,740 | | | | 33,040 | |
| Symantec Corp. | | | 13,900 | | | | 345,795 | | | | 10,810 | |
| Teradyne, Inc. | | | 2,200 | | | | 41,989 | | | | 1,549 | |
| Tesoro Corp. | | | 500 | | | | 36,320 | | | | 855 | |
| Texas Instruments, Inc. | | | 700 | | | | 35,950 | | | | 1,476 | |
| Thermo Fisher Scientific, Inc. | | | 500 | | | | 59,334 | | | | 3,311 | |
| Thoratec Corp. | | | 6,800 | | | | 189,919 | | | | 30,809 | |
| Time Warner, Inc. | | | 2,700 | | | | 219,671 | | | | 10,963 | |
| Timken Co./The | | | 10,300 | | | | 443,310 | | | | (3,706 | ) |
| TJX Cos., Inc./The | | | 3,700 | | | | 221,710 | | | | 32,036 | |
| Towers Watson & Co. | | | 800 | | | | 94,944 | | | | (4,408 | ) |
| Travelers Cos., Inc./The | | | 100 | | | | 8,647 | | | | 1,938 | |
| Trinity Industries, Inc. | | | 3,800 | | | | 136,306 | | | | (29,868 | ) |
| TripAdvisor, Inc. | | | 1,800 | | | | 124,068 | | | | 10,320 | |
| Tupperware Brands Corp. | | | 1,800 | | | | 116,231 | | | | (2,831 | ) |
| Tyco International PLC | | | 300 | | | | 13,284 | | | | (126 | ) |
| Tyson Foods, Inc. | | | 5,700 | | | | 229,726 | | | | (1,213 | ) |
| Ulta Salon Cosmetics & Fragrance, Inc. | | | 400 | | | | 51,992 | | | | (856 | ) |
| Union Pacific Corp. | | | 1,200 | | | | 132,267 | | | | 10,689 | |
| United States Steel Corp. | | | 6,200 | | | | 199,673 | | | | (33,885 | ) |
| United Therapeutics Corp. | | | 6,100 | | | | 744,370 | | | | 45,519 | |
| UnitedHealth Group, Inc. | | | 400 | | | | 32,635 | | | | 7,801 | |
| Universal Health Services, Inc. | | | 100 | | | | 10,940 | | | | 186 | |
| Unum Group | | | 6,500 | | | | 216,916 | | | | 9,803 | |
| Urban Outfitters, Inc. | | | 6,600 | | | | 204,276 | | | | 27,582 | |
| Valero Energy Corp. | | | 8,900 | | | | 438,914 | | | | 1,636 | |
| VCA, Inc. | | | 1,700 | | | | 54,784 | | | | 28,125 | |
| VF Corp. | | | 1,000 | | | | 58,717 | | | | 16,183 | |
| Viacom, Inc. | | | 1,800 | | | | 140,551 | | | | (5,101 | ) |
| Voya Financial, Inc. | | | 4,000 | | | | 162,677 | | | | 6,843 | |
| WABCO Holdings, Inc. | | | 900 | | | | 91,058 | | | | 3,244 | |
| Waddell & Reed Financial, Inc. | | | 7,200 | | | | 374,348 | | | | (15,644 | ) |
| Waters Corp. | | | 500 | | | | 57,590 | | | | (1,230 | ) |
| Western Digital Corp. | | | 4,000 | | | | 370,134 | | | | 72,666 | |
| Westlake Chemical Corp. | | | 1,300 | | | | 83,545 | | | | (4,128 | ) |
| Whirlpool Corp. | | | 1,300 | | | | 204,983 | | | | 46,879 | |
| Whiting Petroleum Corp. | | | 2,200 | | | | 93,062 | | | | (20,462 | ) |
| Williams-Sonoma, Inc. | | | 2,900 | | | | 213,751 | | | | 5,721 | |
| Xerox Corp. | | | 17,000 | | | | 212,650 | | | | 22,970 | |
| Xilinx, Inc. | | | 900 | | | | 38,969 | | | | (8 | ) |
| Yahoo!, Inc. | | | 2,400 | | | | 84,904 | | | | 36,320 | |
| Yum! Brands, Inc. | | | 600 | | | | 43,610 | | | | 100 | |
| Zebra Technologies Corp. | | | 3,500 | | | | 245,528 | | | | 25,407 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,124,863 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 3,171,022 | |
| | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
111
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | | | |
| | | |
| Hong Kong | | | | | | | | | | | | |
| Michael Kors Holdings Ltd. | | | (6,600 | ) | | $ | (510,749 | ) | | $ | 15,089 | |
| | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | |
| Alkermes PLC | | | (8,400 | ) | | | (405,117 | ) | | | (86,787 | ) |
| Endo International PLC | | | (8,800 | ) | | | (583,856 | ) | | | (50,800 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (137,587 | ) |
| | | | | | | | | | | | |
| Netherlands | | | | | | | | | |
| Chicago Bridge & Iron Co. NV | | | (17,100 | ) | | | (879,781 | ) | | | 161,923 | |
| Core Laboratories NV | | | (5,600 | ) | | | (751,021 | ) | | | 77,117 | |
| Sensata Technologies Holding NV | | | (11,400 | ) | | | (535,191 | ) | | | (62,283 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 176,757 | |
| | | | | | | | | | | | |
| Panama | | | | | | | | | |
| Copa Holdings SA | | | (1,500 | ) | | | (183,073 | ) | | | 27,612 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | |
| Weatherford International PLC | | | (3,600 | ) | | | (50,162 | ) | | | 8,942 | |
| | | | | | | | | | | | |
| |
| United Kingdom | | | | |
| Aon PLC | | | (1,100 | ) | | | (101,126 | ) | | | (3,187 | ) |
| Ensco PLC | | | (10,000 | ) | | | (349,195 | ) | | | 49,695 | |
| Liberty Global PLC | | | (7,600 | ) | | | (333,103 | ) | | | (48,455 | ) |
| Noble Corp. PLC | | | (8,100 | ) | | | (139,631 | ) | | | 5,414 | |
| Willis Group Holdings PLC | | | (7,000 | ) | | | (293,970 | ) | | | (19,700 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (16,233 | ) |
| | | | | | | | | | | | |
| United States | | | | |
| Actavis PLC | | | (1,500 | ) | | | (380,412 | ) | | | (5,703 | ) |
| ADT Corp./The | | | (8,400 | ) | | | (277,148 | ) | | | (27,184 | ) |
| AECOM Technology Corp. | | | (6,100 | ) | | | (196,306 | ) | | | 11,049 | |
| Air Lease Corp. | | | (2,800 | ) | | | (100,000 | ) | | | 3,932 | |
| Airgas, Inc. | | | (400 | ) | | | (45,650 | ) | | | (422 | ) |
| Alcoa, Inc. | | | (3,800 | ) | | | (61,711 | ) | | | 1,709 | |
| Allegheny Technologies, Inc. | | | (8,100 | ) | | | (273,920 | ) | | | (7,717 | ) |
| Alliance Data Systems Corp. | | | (2,300 | ) | | | (634,855 | ) | | | (23,060 | ) |
| Altera Corp. | | | (1,000 | ) | | | (32,164 | ) | | | (4,776 | ) |
| Amazon.com, Inc. | | | (1,000 | ) | | | (314,432 | ) | | | 4,082 | |
| AMC Networks, Inc. | | | (400 | ) | | | (26,102 | ) | | | 594 | |
| American Eagle Outfitters, Inc. | | | (4,000 | ) | | | (46,478 | ) | | | (9,042 | ) |
| AmerisourceBergen Corp. | | | (400 | ) | | | (31,169 | ) | | | (4,895 | ) |
| AMETEK, Inc. | | | (2,400 | ) | | | (128,062 | ) | | | 1,750 | |
| Amphenol Corp. | | | (3,100 | ) | | | (146,764 | ) | | | (20,047 | ) |
| Apache Corp. | | | (1,100 | ) | | | (75,962 | ) | | | 7,025 | |
| Armstrong World Industries, Inc. | | | (1,200 | ) | | | (67,578 | ) | | | 6,234 | |
| Arthur J Gallagher & Co. | | | (500 | ) | | | (23,125 | ) | | | (415 | ) |
| AT&T, Inc. | | | (4,300 | ) | | | (146,379 | ) | | | 1,942 | |
| AutoNation, Inc. | | | (700 | ) | | | (33,167 | ) | | | (9,120 | ) |
| Avis Budget Group, Inc. | | | (2,200 | ) | | | (131,151 | ) | | | (14,775 | ) |
| B/E Aerospace, Inc. | | | (3,000 | ) | | | (162,326 | ) | | | (11,734 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Ball Corp. | | | (300 | ) | | $ | (19,811 | ) | | $ | (640 | ) |
| Bill Barrett Corp. | | | (11,700 | ) | | | (206,669 | ) | | | 73,406 | |
| BioMarin Pharmaceutical, Inc. | | | (4,100 | ) | | | (328,548 | ) | | | (42,092 | ) |
| Boeing Co./The | | | (600 | ) | | | (75,078 | ) | | | (2,910 | ) |
| BorgWarner, Inc. | | | (3,400 | ) | | | (192,064 | ) | | | 5,234 | |
| Brookdale Senior Living, Inc. | | | (18,300 | ) | | | (598,480 | ) | | | (72,581 | ) |
| Brown-Forman Corp. | | | (900 | ) | | | (74,615 | ) | | | (4,441 | ) |
| Cabela’s, Inc. | | | (8,300 | ) | | | (459,567 | ) | | | 22,074 | |
| Cablevision Systems Corp. | | | (1,200 | ) | | | (19,634 | ) | | | (5,134 | ) |
| Cabot Oil & Gas Corp. | | | (8,000 | ) | | | (254,229 | ) | | | 17,349 | |
| Calpine Corp. | | | (2,100 | ) | | | (40,019 | ) | | | (6,454 | ) |
| Campbell Soup Co. | | | (1,700 | ) | | | (71,377 | ) | | | (3,423 | ) |
| CarMax, Inc. | | | (6,600 | ) | | | (337,361 | ) | | | (102,067 | ) |
| Carnival Corp. | | | (2,000 | ) | | | (80,698 | ) | | | (9,962 | ) |
| Catamaran Corp. | | | (7,100 | ) | | | (333,218 | ) | | | (34,207 | ) |
| CenterPoint Energy, Inc. | | | (500 | ) | | | (12,000 | ) | | | 285 | |
| CenturyLink, Inc. | | | (3,100 | ) | | | (90,936 | ) | | | (31,762 | ) |
| CH Robinson Worldwide, Inc. | | | (1,000 | ) | | | (54,817 | ) | | | (20,073 | ) |
| Charles Schwab Corp./The | | | (700 | ) | | | (18,739 | ) | | | (2,394 | ) |
| Charter Communications, Inc. | | | (300 | ) | | | (41,084 | ) | | | (8,902 | ) |
| Cheniere Energy, Inc. | | | (3,300 | ) | | | (232,608 | ) | | | 288 | |
| Chesapeake Energy Corp. | | | (3,500 | ) | | | (73,141 | ) | | | 4,646 | |
| Church & Dwight Co., Inc. | | | (300 | ) | | | (19,659 | ) | | | (3,984 | ) |
| Ciena Corp. | | | (11,600 | ) | | | (226,096 | ) | | | 940 | |
| Citigroup, Inc. | | | (2,000 | ) | | | (102,032 | ) | | | (6,188 | ) |
| Clean Harbors, Inc. | | | (4,900 | ) | | | (262,777 | ) | | | 27,332 | |
| Clorox Co./The | | | (700 | ) | | | (61,446 | ) | | | (11,501 | ) |
| CME Group, Inc. | | | (2,300 | ) | | | (208,554 | ) | | | 4,659 | |
| Cobalt International Energy, Inc. | | | (9,500 | ) | | | (92,325 | ) | | | 7,870 | |
| Colfax Corp. | | | (7,300 | ) | | | (377,291 | ) | | | 830 | |
| Community Health Systems, Inc. | | | (3,100 | ) | | | (144,202 | ) | | | (22,950 | ) |
| ConAgra Foods, Inc. | | | (1,100 | ) | | | (34,461 | ) | | | (5,447 | ) |
| Concho Resources, Inc. | | | (700 | ) | | | (73,831 | ) | | | 4,006 | |
| CONSOL Energy, Inc. | | | (5,100 | ) | | | (184,997 | ) | | | 12,566 | |
| Constellation Brands, Inc. | | | (400 | ) | | | (35,593 | ) | | | (3,675 | ) |
| CoStar Group, Inc. | | | (2,500 | ) | | | (394,847 | ) | | | (64,228 | ) |
| Covanta Holding Corp. | | | (23,700 | ) | | | (556,513 | ) | | | 34,876 | |
| Cree, Inc. | | | (5,200 | ) | | | (207,959 | ) | | | 40,415 | |
| Crown Holdings, Inc. | | | (4,100 | ) | | | (194,919 | ) | | | (13,771 | ) |
| Cubist Pharmaceuticals, Inc. | | | (4,300 | ) | | | (303,002 | ) | | | (129,793 | ) |
| Cullen/Frost Bankers, Inc. | | | (3,300 | ) | | | (241,104 | ) | | | 7,992 | |
| Darden Restaurants, Inc. | | | (700 | ) | | | (34,097 | ) | | | (6,944 | ) |
| Dean Foods Co. | | | (6,200 | ) | | | (88,909 | ) | | | (31,247 | ) |
| Denbury Resources, Inc. | | | (2,300 | ) | | | (28,068 | ) | | | 9,369 | |
| Discovery Communications, Inc. | | | (600 | ) | | | (23,328 | ) | | | 2,658 | |
| DreamWorks Animation SKG, Inc. | | | (11,300 | ) | | | (267,735 | ) | | | 15,406 | |
| Dril-Quip, Inc. | | | (700 | ) | | | (53,760 | ) | | | 49 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
112
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Dunkin’ Brands Group, Inc. | | | (1,800 | ) | | $ | (81,537 | ) | | $ | 4,767 | |
| E*TRADE Financial Corp. | | | (2,900 | ) | | | (70,592 | ) | | | 253 | |
| Eagle Materials, Inc. | | | (1,500 | ) | | | (131,267 | ) | | | 17,222 | |
| Ecolab, Inc. | | | (1,900 | ) | | | (212,120 | ) | | | 13,532 | |
| EI du Pont de Nemours & Co. | | | (500 | ) | | | (35,253 | ) | | | (1,717 | ) |
| Energen Corp. | | | (500 | ) | | | (31,206 | ) | | | (674 | ) |
| EQT Corp. | | | (700 | ) | | | (61,769 | ) | | | 8,779 | |
| Equinix, Inc. | | | (1,130 | ) | | | (207,973 | ) | | | (48,232 | ) |
| Estee Lauder Cos., Inc./The | | | (200 | ) | | | (15,144 | ) | | | (96 | ) |
| Expeditors International of Washington, Inc. | | | (800 | ) | | | (32,579 | ) | | | (3,109 | ) |
| Express Scripts Holding Co. | | | (400 | ) | | | (30,056 | ) | | | (3,812 | ) |
| Fastenal Co. | | | (14,500 | ) | | | (651,829 | ) | | | (37,791 | ) |
| FEI Co. | | | (1,400 | ) | | | (126,356 | ) | | | (134 | ) |
| First Horizon National Corp. | | | (14,000 | ) | | | (174,513 | ) | | | (15,607 | ) |
| First Niagara Financial Group, Inc. | | | (34,000 | ) | | | (277,037 | ) | | | (9,583 | ) |
| First Republic Bank | | | (7,400 | ) | | | (376,292 | ) | | | (9,396 | ) |
| FirstEnergy Corp. | | | (600 | ) | | | (20,216 | ) | | | (3,178 | ) |
| FleetCor Technologies, Inc. | | | (1,400 | ) | | | (198,291 | ) | | | (9,903 | ) |
| Flowers Foods, Inc. | | | (2,900 | ) | | | (61,075 | ) | | | 5,424 | |
| FMC Technologies, Inc. | | | (2,200 | ) | | | (112,939 | ) | | | 9,891 | |
| Fortune Brands Home & Security, Inc. | | | (2,200 | ) | | | (97,843 | ) | | | (1,751 | ) |
| Freeport-McMoRan, Inc. | | | (2,400 | ) | | | (73,393 | ) | | | 17,329 | |
| Freescale Semiconductor Ltd. | | | (4,300 | ) | | | (82,020 | ) | | | (26,469 | ) |
| Genesee & Wyoming, Inc. | | | (2,900 | ) | | | (278,330 | ) | | | 17,562 | |
| Gentex Corp. | | | (4,300 | ) | | | (143,859 | ) | | | (11,499 | ) |
| Groupon, Inc. | | | (23,600 | ) | | | (151,105 | ) | | | (43,831 | ) |
| Hain Celestial Group, Inc./The | | | (6,000 | ) | | | (320,475 | ) | | | (29,265 | ) |
| Hanesbrands, Inc. | | | (800 | ) | | | (90,589 | ) | | | 1,293 | |
| Harley-Davidson, Inc. | | | (300 | ) | | | (19,834 | ) | | | 61 | |
| Helix Energy Solutions Group, Inc. | | | (6,000 | ) | | | (140,152 | ) | | | 9,952 | |
| Helmerich & Payne, Inc. | | | (300 | ) | | | (26,036 | ) | | | 5,810 | |
| Hertz Global Holdings, Inc. | | | (13,100 | ) | | | (316,964 | ) | | | (9,750 | ) |
| Hexcel Corp. | | | (3,500 | ) | | | (147,308 | ) | | | 2,093 | |
| Hilton Worldwide Holdings, Inc. | | | (1,400 | ) | | | (35,716 | ) | | | (810 | ) |
| Hologic, Inc. | | | (7,000 | ) | | | (170,467 | ) | | | (16,713 | ) |
| HomeAway, Inc. | | | (6,100 | ) | | | (188,673 | ) | | | 7,015 | |
| Hospira, Inc. | | | (600 | ) | | | (26,396 | ) | | | (10,354 | ) |
| Illumina, Inc. | | | (200 | ) | | | (28,981 | ) | | | (7,935 | ) |
| Incyte Corp. Ltd. | | | (6,900 | ) | | | (447,763 | ) | | | (56,696 | ) |
| Intercontinental Exchange, Inc. | | | (500 | ) | | | (112,544 | ) | | | 2,900 | |
| Intuitive Surgical, Inc. | | | (100 | ) | | | (41,086 | ) | | | (11,808 | ) |
| Jacobs Engineering Group, Inc. | | | (800 | ) | | | (41,353 | ) | | | 5,601 | |
| Janus Capital Group, Inc. | | | (4,600 | ) | | | (71,224 | ) | | | (2,974 | ) |
| Jarden Corp. | | | (8,100 | ) | | | (365,606 | ) | | | (22,222 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Jazz Pharmaceuticals PLC | | | (3,900 | ) | | $ | (645,281 | ) | | $ | 6,734 | |
| JB Hunt Transport Services, Inc. | | | (3,400 | ) | | | (263,502 | ) | | | (22,948 | ) |
| JDS Uniphase Corp. | | | (2,900 | ) | | | (38,011 | ) | | | (1,777 | ) |
| Johnson Controls, Inc. | | | (1,000 | ) | | | (49,571 | ) | | | 1,231 | |
| Joy Global, Inc. | | | (700 | ) | | | (37,113 | ) | | | 4,549 | |
| Kansas City Southern | | | (3,400 | ) | | | (395,484 | ) | | | (19,418 | ) |
| Kate Spade & Co. | | | (6,000 | ) | | | (159,140 | ) | | | (32,920 | ) |
| KB Home | | | (7,800 | ) | | | (129,891 | ) | | | 801 | |
| Keurig Green Mountain, Inc. | | | (1,200 | ) | | | (153,736 | ) | | | (5,138 | ) |
| Kinder Morgan, Inc. | | | (10,700 | ) | | | (443,634 | ) | | | (9,083 | ) |
| Kirby Corp. | | | (400 | ) | | | (39,944 | ) | | | 7,648 | |
| KLX, Inc. | | | (1,000 | ) | | | (51,823 | ) | | | 10,573 | |
| Kohl’s Corp. | | | (400 | ) | | | (21,524 | ) | | | (2,892 | ) |
| Laboratory Corp. of America Holdings | | | (200 | ) | | | (18,860 | ) | | | (2,720 | ) |
| Lamar Advertising Co. | | | (6,800 | ) | | | (358,607 | ) | | | (6,145 | ) |
| Laredo Petroleum, Inc. | | | (9,700 | ) | | | (202,567 | ) | | | 102,172 | |
| Las Vegas Sands Corp. | | | (1,300 | ) | | | (78,212 | ) | | | 2,604 | |
| Lennar Corp. | | | (6,300 | ) | | | (262,385 | ) | | | (19,918 | ) |
| Level 3 Communications, Inc. | | | (8,500 | ) | | | (368,595 | ) | | | (51,135 | ) |
| Life Time Fitness, Inc. | | | (1,600 | ) | | | (87,078 | ) | | | (3,514 | ) |
| LinkedIn Corp. | | | (2,500 | ) | | | (529,437 | ) | | | (44,838 | ) |
| Lions Gate Entertainment Corp. | | | (11,800 | ) | | | (364,860 | ) | | | (12,976 | ) |
| Live Nation Entertainment, Inc. | | | (3,400 | ) | | | (86,785 | ) | | | (1,989 | ) |
| Loews Corp. | | | (9,100 | ) | | | (389,138 | ) | | | 6,756 | |
| Louisiana-Pacific Corp. | | | (24,000 | ) | | | (366,120 | ) | | | (31,320 | ) |
| M&T Bank Corp. | | | (2,700 | ) | | | (329,869 | ) | | | (9,305 | ) |
| Madison Square Garden Co./The | | | (300 | ) | | | (14,900 | ) | | | (7,678 | ) |
| Mallinckrodt PLC | | | (2,400 | ) | | | (220,120 | ) | | | (17,552 | ) |
| Manitowoc Co., Inc./The | | | (6,300 | ) | | | (121,347 | ) | | | (17,883 | ) |
| Marriott International, Inc. | | | (700 | ) | | | (34,745 | ) | | | (19,876 | ) |
| Martin Marietta Materials, Inc. | | | (3,000 | ) | | | (356,770 | ) | | | 25,810 | |
| McCormick & Co., Inc. | | | (1,000 | ) | | | (69,194 | ) | | | (5,106 | ) |
| McKesson Corp. | | | (800 | ) | | | (169,797 | ) | | | 3,733 | |
| MDU Resources Group, Inc. | | | (800 | ) | | | (22,258 | ) | | | 3,458 | |
| MeadWestvaco Corp. | | | (600 | ) | | | (21,870 | ) | | | (4,764 | ) |
| MEDNAX, Inc. | | | (500 | ) | | | (26,885 | ) | | | (6,170 | ) |
| Mettler-Toledo International, Inc. | | | (400 | ) | | | (102,112 | ) | | | (18,872 | ) |
| MGM Resorts International | | | (19,300 | ) | | | (421,106 | ) | | | 8,472 | |
| Mohawk Industries, Inc. | | | (300 | ) | | | (39,662 | ) | | | (6,946 | ) |
| Motorola Solutions, Inc. | | | (7,700 | ) | | | (494,323 | ) | | | (22,193 | ) |
| MRC Global, Inc. | | | (11,700 | ) | | | (232,546 | ) | | | 55,291 | |
| MSC Industrial Direct Co., Inc. | | | (800 | ) | | | (67,509 | ) | | | 2,509 | |
| Mylan, Inc. | | | (200 | ) | | | (9,622 | ) | | | (1,652 | ) |
| National Fuel Gas Co. | | | (3,100 | ) | | | (215,268 | ) | | | (275 | ) |
| Navistar International Corp. | | | (12,700 | ) | | | (442,688 | ) | | | 17,492 | |
| Netflix, Inc. | | | (500 | ) | | | (187,559 | ) | | | 16,754 | |
| NetSuite, Inc. | | | (3,700 | ) | | | (371,192 | ) | | | (32,737 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
113
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Newell Rubbermaid, Inc. | | | (1,900 | ) | | $ | (72,267 | ) | | $ | (104 | ) |
| Nielsen NV | | | (5,000 | ) | | | (220,401 | ) | | | (3,249 | ) |
| Noble Energy, Inc. | | | (3,800 | ) | | | (216,807 | ) | | | 36,573 | |
| Nordstrom, Inc. | | | (500 | ) | | | (36,784 | ) | | | (2,911 | ) |
| Northern Trust Corp. | | | (3,000 | ) | | | (201,732 | ) | | | (468 | ) |
| Norwegian Cruise Line Holdings Ltd. | | | (5,200 | ) | | | (189,907 | ) | | | (53,245 | ) |
| NRG Energy, Inc. | | | (12,500 | ) | | | (367,507 | ) | | | 30,632 | |
| Nuance Communications, Inc. | | | (4,600 | ) | | | (70,631 | ) | | | 4,989 | |
| Nucor Corp. | | | (4,900 | ) | | | (262,948 | ) | | | 22,603 | |
| Oasis Petroleum, Inc. | | | (900 | ) | | | (38,772 | ) | | | 23,886 | |
| Oceaneering International, Inc. | | | (1,400 | ) | | | (96,380 | ) | | | 14,046 | |
| Office Depot, Inc. | | | (17,700 | ) | | | (77,672 | ) | | | (74,106 | ) |
| Omnicare, Inc. | | | (4,800 | ) | | | (334,908 | ) | | | (15,156 | ) |
| ONEOK, Inc. | | | (1,500 | ) | | | (88,664 | ) | | | 13,979 | |
| Owens Corning | | | (2,500 | ) | | | (91,889 | ) | | | 2,364 | |
| Owens-Illinois, Inc. | | | (700 | ) | | | (23,795 | ) | | | 4,902 | |
| PacWest Bancorp | | | (6,300 | ) | | | (277,653 | ) | | | (8,745 | ) |
| Palo Alto Networks, Inc. | | | (2,000 | ) | | | (176,397 | ) | | | (68,743 | ) |
| Pandora Media, Inc. | | | (11,500 | ) | | | (250,776 | ) | | | 45,731 | |
| Patterson Cos., Inc. | | | (1,000 | ) | | | (46,140 | ) | | | (1,960 | ) |
| Peabody Energy Corp. | | | (38,700 | ) | | | (417,500 | ) | | | 117,962 | |
| PerkinElmer, Inc. | | | (1,300 | ) | | | (56,020 | ) | | | (829 | ) |
| Perrigo Co PLC | | | (600 | ) | | | (92,880 | ) | | | (7,416 | ) |
| PG&E Corp. | | | (500 | ) | | | (22,300 | ) | | | (4,320 | ) |
| Pharmacyclics, Inc. | | | (3,100 | ) | | | (395,680 | ) | | | 16,674 | |
| Polaris Industries, Inc. | | | (500 | ) | | | (74,624 | ) | | | (996 | ) |
| Post Holdings, Inc. | | | (16,100 | ) | | | (570,256 | ) | | | (104,173 | ) |
| Praxair, Inc. | | | (1,800 | ) | | | (227,204 | ) | | | (6,004 | ) |
| PVH Corp. | | | (400 | ) | | | (47,908 | ) | | | (3,360 | ) |
| Quest Diagnostics, Inc. | | | (500 | ) | | | (27,850 | ) | | | (5,680 | ) |
| Range Resources Corp. | | | (9,100 | ) | | | (601,808 | ) | | | 115,413 | |
| Regeneron Pharmaceuticals, Inc. | | | (800 | ) | | | (285,797 | ) | | | (42,403 | ) |
| Rockwell Collins, Inc. | | | (700 | ) | | | (53,066 | ) | | | (6,070 | ) |
| Roper Industries, Inc. | | | (600 | ) | | | (82,568 | ) | | | (11,242 | ) |
| Rosetta Resources, Inc. | | | (3,600 | ) | | | (119,159 | ) | | | 38,843 | |
| Rowan Cos. PLC | | | (3,700 | ) | | | (78,315 | ) | | | (7,969 | ) |
| Royal Caribbean Cruises Ltd. | | | (700 | ) | | | (37,006 | ) | | | (20,695 | ) |
| salesforce.com, Inc. | | | (8,200 | ) | | | (486,229 | ) | | | (113 | ) |
| Salix Pharmaceuticals Ltd. | | | (3,800 | ) | | | (441,787 | ) | | | 5,015 | |
| SanDisk Corp. | | | (2,700 | ) | | | (254,123 | ) | | | (10,423 | ) |
| SBA Communications Corp. | | | (4,000 | ) | | | (429,390 | ) | | | (13,650 | ) |
| Schlumberger Ltd. | | | (2,000 | ) | | | (192,677 | ) | | | 21,857 | |
| Scripps Networks Interactive, Inc. | | | (3,700 | ) | | | (272,755 | ) | | | (5,744 | ) |
| Seadrill Ltd. | | | (22,600 | ) | | | (398,574 | ) | | | 128,730 | |
| Sealed Air Corp. | | | (12,100 | ) | | | (421,516 | ) | | | (91,887 | ) |
| Seattle Genetics, Inc. | | | (2,500 | ) | | | (82,715 | ) | | | 2,390 | |
| ServiceNow, Inc. | | | (5,000 | ) | | | (318,412 | ) | | | (20,838 | ) |
| Sherwin-Williams Co./The | | | (100 | ) | | | (22,696 | ) | | | (3,608 | ) |
| Signet Jewelers Ltd. | | | (1,400 | ) | | | (169,684 | ) | | | (14,514 | ) |
| Sirius XM Holdings, Inc. | | | (42,900 | ) | | | (143,830 | ) | | | (6,320 | ) |
| Sirona Dental Systems, Inc. | | | (1,100 | ) | | | (87,394 | ) | | | (8,713 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Six Flags Entertainment Corp. | | | (4,300 | ) | | $ | (169,577 | ) | | $ | (15,968 | ) |
| Sotheby’s | | | (9,300 | ) | | | (365,103 | ) | | | (36,471 | ) |
| Southern Co./The | | | (900 | ) | | | (40,006 | ) | | | (4,193 | ) |
| Southwestern Energy Co. | | | (3,800 | ) | | | (119,178 | ) | | | 15,476 | |
| Splunk, Inc. | | | (4,900 | ) | | | (304,350 | ) | | | 15,495 | |
| Sprint Corp. | | | (92,900 | ) | | | (506,312 | ) | | | 120,777 | |
| Staples, Inc. | | | (3,600 | ) | | | (41,905 | ) | | | (23,327 | ) |
| Starbucks Corp. | | | (400 | ) | | | (30,939 | ) | | | (1,881 | ) |
| Stericycle, Inc. | | | (6,000 | ) | | | (743,440 | ) | | | (43,040 | ) |
| Stratasys Ltd. | | | (6,900 | ) | | | (734,684 | ) | | | 161,225 | |
| SunEdison, Inc. | | | (15,500 | ) | | | (278,910 | ) | | | (23,495 | ) |
| Synovus Financial Corp. | | | (11,900 | ) | | | (304,160 | ) | | | (18,211 | ) |
| Tableau Software, Inc. | | | (300 | ) | | | (23,806 | ) | | | (1,622 | ) |
| Target Corp. | | | (2,200 | ) | | | (135,078 | ) | | | (31,924 | ) |
| TECO Energy, Inc. | | | (1,200 | ) | | | (20,549 | ) | | | (4,039 | ) |
| Teekay Corp. | | | (4,600 | ) | | | (246,452 | ) | | | 12,358 | |
| Tempur Sealy International, Inc. | | | (1,800 | ) | | | (98,724 | ) | | | (114 | ) |
| Tenet Healthcare Corp. | | | (6,000 | ) | | | (272,200 | ) | | | (31,820 | ) |
| Terex Corp. | | | (1,200 | ) | | | (40,048 | ) | | | 6,592 | |
| Tesla Motors, Inc. | | | (3,400 | ) | | | (802,625 | ) | | | 46,431 | |
| Textron, Inc. | | | (1,900 | ) | | | (69,532 | ) | | | (10,477 | ) |
| Tidewater, Inc. | | | (6,500 | ) | | | (229,278 | ) | | | 18,613 | |
| Tiffany & Co. | | | (3,100 | ) | | | (304,192 | ) | | | (27,074 | ) |
| Toll Brothers, Inc. | | | (10,300 | ) | | | (349,872 | ) | | | (3,109 | ) |
| Total System Services, Inc. | | | (500 | ) | | | (14,937 | ) | | | (2,043 | ) |
| Tractor Supply Co. | | | (200 | ) | | | (14,151 | ) | | | (1,613 | ) |
| TransDigm Group, Inc. | | | (600 | ) | | | (103,652 | ) | | | (14,158 | ) |
| Trimble Navigation Ltd. | | | (6,000 | ) | | | (178,170 | ) | | | 18,930 | |
| Triumph Group, Inc. | | | (1,000 | ) | | | (73,892 | ) | | | 6,672 | |
| Twenty-First Century Fox, Inc. | | | (1,700 | ) | | | (59,215 | ) | | | (6,073 | ) |
| Umpqua Holdings Corp. | | | (2,700 | ) | | | (46,488 | ) | | | 561 | |
| Under Armour, Inc. | | | (4,400 | ) | | | (262,500 | ) | | | (36,260 | ) |
| United Continental Holdings, Inc. | | | (3,900 | ) | | | (192,282 | ) | | | (68,589 | ) |
| United Natural Foods, Inc. | | | (2,300 | ) | | | (167,786 | ) | | | (10,062 | ) |
| United Rentals, Inc. | | | (2,800 | ) | | | (282,882 | ) | | | (2,746 | ) |
| US Bancorp. | | | (2,100 | ) | | | (96,604 | ) | | | 2,209 | |
| USG Corp. | | | (25,300 | ) | | | (692,410 | ) | | | (15,737 | ) |
| Vantiv, Inc. | | | (7,000 | ) | | | (230,394 | ) | | | (7,046 | ) |
| Varian Medical Systems, Inc. | | | (700 | ) | | | (57,189 | ) | | | (3,368 | ) |
| VeriFone Systems, Inc. | | | (3,200 | ) | | | (106,224 | ) | | | (12,816 | ) |
| VeriSign, Inc. | | | (400 | ) | | | (19,202 | ) | | | (3,598 | ) |
| Vertex Pharmaceuticals, Inc. | | | (900 | ) | | | (101,406 | ) | | | (5,514 | ) |
| Visa, Inc. | | | (1,100 | ) | | | (249,180 | ) | | | (39,240 | ) |
| VMware, Inc. | | | (700 | ) | | | (65,764 | ) | | | 8,000 | |
| Vulcan Materials Co. | | | (1,600 | ) | | | (102,420 | ) | | | (2,748 | ) |
| Waste Management, Inc. | | | (300 | ) | | | (12,226 | ) | | | (3,170 | ) |
| WellCare Health Plans, Inc. | | | (2,500 | ) | | | (183,411 | ) | | | (21,739 | ) |
| Wendy’s Co./The | | | (1,342 | ) | | | (12,051 | ) | | | (67 | ) |
| WESCO International, Inc. | | | (800 | ) | | | (68,734 | ) | | | 7,766 | |
| Western Union Co./The | | | (3,800 | ) | | | (60,357 | ) | | | (7,701 | ) |
| Whole Foods Market, Inc. | | | (4,800 | ) | | | (215,818 | ) | | | (26,198 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
114
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Williams Cos., Inc./The | | | (4,000 | ) | | $ | (181,349 | ) | | $ | 1,589 | |
| Workday, Inc. | | | (1,000 | ) | | | (94,033 | ) | | | 12,423 | |
| WPX Energy, Inc. | | | (1,000 | ) | | | (21,327 | ) | | | 9,696 | |
| WR Grace & Co. | | | (300 | ) | | | (28,706 | ) | | | 89 | |
| Wynn Resorts Ltd. | | | (1,400 | ) | | | (254,953 | ) | | | 46,689 | |
| Yelp, Inc. | | | (8,800 | ) | | | (515,853 | ) | | | 34,229 | |
| Zions Bancorporation | | | (7,000 | ) | | | (202,049 | ) | | | 2,479 | |
| Zoetis, Inc. | | | (4,100 | ) | | | (156,815 | ) | | | (19,608 | ) |
| Zynga, Inc. | | | (71,300 | ) | | | (183,784 | ) | | | (5,874 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (907,570 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (832,990 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 2,338,032 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (13,221 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 2,324,811 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate, plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | | 2-13 months maturity ranging from 01/21/2015 - 02/20/2015 | | | $1,556 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Belgium | | | | | | | | | | | | |
| Belgacom SA | | | 11,039 | | | $ | 350,998 | | | $ | 49,536 | |
| Delhaize Group SA | | | 1,493 | | | | 99,442 | | | | 9,286 | |
| UCB SA | | | 648 | | | | 51,072 | | | | (1,800 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 57,022 | |
| | | | | | | | | | | | |
| Finland | | | | |
| Fortum OYJ | | | 5,734 | | | | 115,965 | | | | 8,529 | |
| Metso OYJ | | | 2,973 | | | | 91,385 | | | | (2,374 | ) |
| Neste Oil OYJ | | | 2,108 | | | | 36,638 | | | | 14,708 | |
| Orion OYJ | | | 13,536 | | | | 443,481 | | | | (22,505 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,642 | ) |
| | | | | | | | | | | | |
| France | | | | |
| AtoS | | | 243 | | | | 19,493 | | | | (185 | ) |
| AXA SA | | | 3,772 | | | | 82,416 | | | | 4,502 | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | |
| Casino Guichard Perrachon SA | | | 261 | | | $ | 28,858 | | | $ | (4,855 | ) |
| Cie Generale des Etablissements Michelin | | | 513 | | | | 50,029 | | | | (3,723 | ) |
| Electricite de France SA | | | 1,606 | | | | 54,854 | | | | (10,643 | ) |
| Eutelsat Communications SA | | | 3,483 | | | | 104,128 | | | | 8,511 | |
| GDF Suez | | | 7,062 | | | | 169,624 | | | | (4,945 | ) |
| Iliad SA | | | 718 | | | | 158,683 | | | | 13,692 | |
| Lagardere SCA | | | 8,713 | | | | 217,582 | | | | 9,321 | |
| Orange SA | | | 15,304 | | | | 214,093 | | | | 46,178 | |
| Peugeot SA | | | 6,006 | | | | 76,474 | | | | (2,886 | ) |
| Safran SA | | | 956 | | | | 59,062 | | | | (81 | ) |
| Sanofi | | | 5,949 | | | | 547,907 | | | | (5,534 | ) |
| SCOR SE | | | 2,532 | | | | 73,697 | | | | 3,024 | |
| SES SA | | | 532 | | | | 16,370 | | | | 2,718 | |
| Sodexo SA | | | 850 | | | | 82,333 | | | | 869 | |
| Suez Environnement Co. | | | 1,473 | | | | 26,111 | | | | (446 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
115
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | |
| Technip SA | | | 1,642 | | | $ | 99,924 | | | $ | (2,114 | ) |
| Thales SA | | | 1,433 | | | | 84,572 | | | | (7,036 | ) |
| Total SA | | | 9,916 | | | | 553,323 | | | | (45,306 | ) |
| Vivendi SA | | | 10,871 | | | | 271,891 | | | | (1,306 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (245 | ) |
| | | | | | | | | | | | |
| Germany | | | | |
| Bayer AG | | | 1,674 | | | | 232,216 | | | | (4,036 | ) |
| Deutsche Post AG | | | 1,335 | | | | 41,911 | | | | 1,425 | |
| E.ON SE | | | 8,045 | | | | 130,929 | | | | 6,574 | |
| Hannover Rueck SE | | | 2,371 | | | | 193,564 | | | | 20,327 | |
| HUGO BOSS AG | | | 2,155 | | | | 267,711 | | | | (4,086 | ) |
| Merck KGaA | | | 3,170 | | | | 273,099 | | | | 25,224 | |
| Muenchener Rueckversicherungs AG | | | 1,194 | | | | 222,025 | | | | 15,745 | |
| OSRAM Licht AG | | | 2,319 | | | | 73,667 | | | | 17,377 | |
| Porsche Automobil Holding SE | | | 1,090 | | | | 90,296 | | | | (2,145 | ) |
| ProSiebenSat.1 Media AG | | | 3,495 | | | | 141,315 | | | | 4,718 | |
| RWE AG | | | 2,614 | | | | 86,393 | | | | (5,713 | ) |
| Stada Arzneimittel AG | | | 457 | | | | 20,822 | | | | (6,956 | ) |
| Symrise AG | | | 1,136 | | | | 64,409 | | | | 4,029 | |
| TUI AG | | | 19,588 | | | | 291,968 | | | | 32,807 | |
| United Internet AG | | | 7,430 | | | | 303,599 | | | | 31,084 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 136,374 | |
| | | | | | | | | | | | |
| Italy | | | | |
| Autogrill SpA | | | 14,499 | | | | 113,779 | | | | (4,435 | ) |
| Enel Green Power SpA | | | 7,074 | | | | 16,701 | | | | (1,880 | ) |
| Enel SpA | | | 123,261 | | | | 573,198 | | | | (23,760 | ) |
| Eni SpA | | | 23,211 | | | | 462,823 | | | | (56,247 | ) |
| Finmeccanica SpA | | | 11,424 | | | | 102,526 | | | | 3,658 | |
| Mediobanca SpA | | | 12,005 | | | | 98,029 | | | | (482 | ) |
| Pirelli & C. SpA | | | 7,774 | | | | 106,155 | | | | (1,304 | ) |
| Snam SpA | | | 38,192 | | | | 195,067 | | | | (6,046 | ) |
| Tenaris SA | | | 2,600 | | | | 40,531 | | | | (1,243 | ) |
| Terna Rete Elettrica Nazionale SpA | | | 9,867 | | | | 42,892 | | | | 1,926 | |
| UnipolSai SpA | | | 53,127 | | | | 131,428 | | | | 11,609 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (78,204 | ) |
| | | | | | | | | | | | |
| Netherlands | | | | |
| Delta Lloyd NV | | | 12,585 | | | | 275,706 | | | | 1,042 | |
| Fugro NV | | | 11,278 | | | | 262,007 | | | | (27,755 | ) |
| Heineken NV | | | 1,220 | | | | 83,737 | | | | 2,893 | |
| Koninklijke Ahold NV | | | 13,019 | | | | 219,673 | | | | 11,712 | |
| Koninklijke Boskalis Westminster NV | | | 4,500 | | | | 235,046 | | | | 11,127 | |
| Royal Dutch Shell PLC | | | 7,009 | | | | 249,239 | | | | (15,635 | ) |
| Wolters Kluwer NV | | | 3,568 | | | | 89,263 | | | | 19,615 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,999 | |
| | | | | | | | | | | | |
| Spain | | | | |
| Acerinox SA | | | 15,123 | | | | 218,449 | | | | 9,708 | |
| ACS Actividades de Construccion y Servicios SA | | | 1,687 | | | | 53,097 | | | | 5,704 | |
| Banco Santander SA | | | 27,186 | | | | 227,298 | | | | 878 | |
| Enagas SA | | | 2,258 | | | | 62,966 | | | | 8,254 | |
| Endesa SA | | | 9,821 | | | | 191,661 | | | | 4,948 | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Spain (continued) | | | | |
| Gas Natural SDG SA | | | 2,594 | | | $ | 57,114 | | | $ | 8,049 | |
| Iberdrola SA | | | 42,923 | | | | 287,837 | | | | 1,496 | |
| Repsol SA | | | 1,782 | | | | 37,775 | | | | (4,415 | ) |
| Tecnicas Reunidas SA | | | 2,815 | | | | 132,066 | | | | (9,023 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 25,599 | |
| | | | | | | | | | | | |
| United Kingdom | | | | |
| Fiat Chrysler Automobiles NV | | | 4,258 | | | | 37,782 | | | | 11,695 | |
| Reed Elsevier NV | | | 21,381 | | | | 485,080 | | | | 25,511 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 37,206 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 179,109 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | |
| | | |
| Finland | | | | | | | | | | | | |
| Kone OYJ | | | (1,039 | ) | | | (39,585 | ) | | | (7,718 | ) |
| Nokia OYJ | | | (9,013 | ) | | | (65,677 | ) | | | (5,605 | ) |
| Nokian Renkaat OYJ | | | (11,852 | ) | | | (352,985 | ) | | | 63,872 | |
| Stora Enso OYJ | | | (4,540 | ) | | | (35,913 | ) | | | (4,679 | ) |
| Wartsila OYJ | | | (540 | ) | | | (26,235 | ) | | | 2,066 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 47,936 | |
| | | | | | | | | | | | |
| France | | | | |
| Airbus Group NV | | | (1,749 | ) | | | (95,735 | ) | | | 9,268 | |
| Alcatel-Lucent | | | (225,726 | ) | | | (712,929 | ) | | | (94,543 | ) |
| Bouygues SA | | | (1,120 | ) | | | (41,891 | ) | | | 1,450 | |
| Bureau Veritas SA | | | (18,195 | ) | | | (424,762 | ) | | | 21,634 | |
| Carrefour SA | | | (1,886 | ) | | | (52,085 | ) | | | (5,309 | ) |
| Edenred | | | (2,559 | ) | | | (67,174 | ) | | | (3,598 | ) |
| Eiffage SA | | | (3,617 | ) | | | (178,999 | ) | | | (4,381 | ) |
| Essilor International SA | | | (1,798 | ) | | | (173,090 | ) | | | (27,422 | ) |
| Faurecia | | | (1,988 | ) | | | (60,623 | ) | | | (13,169 | ) |
| LVMH Moet Hennessy Louis Vuitton SA | | | (1,545 | ) | | | (242,488 | ) | | | (2,243 | ) |
| LVMH Moet Hennessy Louis Vuitton SA | | | (1,545 | ) | | | 196 | | | | (27,032 | ) |
| Renault SA | | | (1,980 | ) | | | (136,678 | ) | | | (7,538 | ) |
| Schneider Electric SE | | | (674 | ) | | | (55,829 | ) | | | 6,743 | |
| Valeo SA | | | (94 | ) | | | (11,424 | ) | | | (272 | ) |
| Vallourec SA | | | (3,820 | ) | | | (142,743 | ) | | | 39,215 | |
| Veolia Environnement SA | | | (5,580 | ) | | | (75,702 | ) | | | (23,136 | ) |
| Vinci SA | | | (615 | ) | | | (32,772 | ) | | | (808 | ) |
| Wendel SA | | | (324 | ) | | | (35,892 | ) | | | (410 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (131,551 | ) |
| | | | | | | | | | | | |
| Germany | | | | |
| adidas AG | | | (3,627 | ) | | | (258,969 | ) | | | 7,090 | |
| Bayerische Motoren Werke AG | | | (2,465 | ) | | | (248,238 | ) | | | (17,781 | ) |
| Bilfinger SE | | | (2,343 | ) | | | (132,335 | ) | | | 1,363 | |
| Commerzbank AG | | | (11,846 | ) | | | (170,149 | ) | | | 14,769 | |
| Continental AG | | | (142 | ) | | | (26,572 | ) | | | (3,379 | ) |
| Daimler AG | | | (1,179 | ) | | | (89,390 | ) | | | (8,531 | ) |
| Deutsche Bank AG | | | (5,920 | ) | | | (230,249 | ) | | | 52,978 | |
| Deutsche Lufthansa AG | | | (2,758 | ) | | | (48,270 | ) | | | 2,568 | |
| GEA Group AG | | | (659 | ) | | | (27,169 | ) | | | (1,805 | ) |
| Infineon Technologies AG | | | (4,384 | ) | | | (46,191 | ) | | | (199 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
116
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Germany (continued) | | | | |
| LANXESS AG | | | (973 | ) | | $ | (59,862 | ) | | $ | 14,800 | |
| Metro AG | | | (6,376 | ) | | | (193,751 | ) | | | (1,148 | ) |
| Rheinmetall AG | | | (3,187 | ) | | | (133,758 | ) | | | (5,001 | ) |
| Salzgitter AG | | | (2,012 | ) | | | (56,498 | ) | | | 196 | |
| SAP SE | | | (498 | ) | | | (35,485 | ) | | | 710 | |
| ThyssenKrupp AG | | | (5,227 | ) | | | (127,609 | ) | | | (5,543 | ) |
| Volkswagen AG | | | (506 | ) | | | (106,913 | ) | | | (5,548 | ) |
| Wacker Chemie AG | | | (816 | ) | | | (84,877 | ) | | | (4,635 | ) |
| Wirecard AG | | | (1,532 | ) | | | (52,060 | ) | | | (14,742 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,162 | |
| | | | | | | | | | | | |
| Italy | | | | |
| A2A SpA | | | (16,250 | ) | | | (17,470 | ) | | | 1,004 | |
| Banca Monte dei Paschi di Siena SpA | | | (20,282 | ) | | | (25,334 | ) | | | 13,780 | |
| Banca Popolare dell’Emilia Romagna SC | | | (5,014 | ) | | | (40,847 | ) | | | 7,975 | |
| Banco Popolare SC | | | (2,168 | ) | | | (27,427 | ) | | | 1,342 | |
| Buzzi Unicem SpA | | | (5,657 | ) | | | (78,073 | ) | | | 6,472 | |
| Mediaset SpA | | | (20,697 | ) | | | (71,670 | ) | | | (13,489 | ) |
| Mediolanum SpA | | | (13,246 | ) | | | (85,182 | ) | | | 769 | |
| Moncler SpA | | | (17,302 | ) | | | (235,013 | ) | | | 3,830 | |
| Prysmian SpA | | | (2,322 | ) | | | (41,748 | ) | | | (568 | ) |
| Saipem SpA | | | (16,968 | ) | | | (225,920 | ) | | | 48,050 | |
| Salvatore Ferragamo SpA | | | (14,289 | ) | | | (354,435 | ) | | | 2,771 | |
| Telecom Italia SpA | | | (378,595 | ) | | | (402,474 | ) | | | (1,293 | ) |
| World Duty Free SpA | | | (40,135 | ) | | | (341,534 | ) | | | (43,803 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,840 | |
| | | | | | | | | | | | |
| Luxembourg | | | | |
| ArcelorMittal | | | (5,241 | ) | | | (61,120 | ) | | | 3,701 | |
| | | | | | | | | | | | |
| | | |
| Netherlands | | | | | | | | | |
| ASML Holding NV | | | (2,252 | ) | | | (171,694 | ) | | | (71,629 | ) |
| Koninklijke KPN NV | | | (41,439 | ) | | | (132,997 | ) | | | 2,159 | |
| Koninklijke Philips NV | | | (1,905 | ) | | | (49,518 | ) | | | (5,701 | ) |
| Randstad Holding NV | | | (2,025 | ) | | | (85,908 | ) | | | (11,527 | ) |
| SBM Offshore NV | | | (17,488 | ) | | | (235,657 | ) | | | 29,983 | |
| TNT Express NV | | | (39,044 | ) | | | (239,008 | ) | | | (21,275 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (77,990 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Spain | | | | |
| Amadeus IT Holding SA | | | (6,485 | ) | | $ | (219,610 | ) | | $ | (38,671 | ) |
| Banco Popular Espanol SA | | | (21,997 | ) | | | (115,797 | ) | | | 6,145 | |
| Bankia SA | | | (53,653 | ) | | | (91,659 | ) | | | 12,042 | |
| Distribuidora Internacional de Alimentacion SA | | | (7,058 | ) | | | (48,437 | ) | | | 611 | |
| Ferrovial SA | | | (1,920 | ) | | | (35,843 | ) | | | (2,112 | ) |
| Grifols SA | | | (7,362 | ) | | | (303,550 | ) | | | 9,780 | |
| Inditex SA | | | (14,440 | ) | | | (378,558 | ) | | | (33,349 | ) |
| Indra Sistemas SA | | | (7,787 | ) | | | (77,285 | ) | | | 1,631 | |
| Mediaset Espana Comunicacion SA | | | (4,595 | ) | | | (45,915 | ) | | | (11,853 | ) |
| Red Electrica Corp. SA | | | (393 | ) | | | (24,919 | ) | | | (9,724 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (65,500 | ) |
| | | | | | | | | | | | |
| Switzerland | | | | |
| STMicroelectronics NV | | | (1,778 | ) | | | (13,579 | ) | | | 285 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
| CNH Industrial NV | | | (53,347 | ) | | | (420,683 | ) | | | (11,165 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (181,282 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (2,173 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 3,729 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 1,556 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
117
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | | 2-13 months maturity ranging from 02/19/2015 - 02/20/2015 | | | $132,906 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| | | |
| Switzerland | | | | | | | | | |
| Actelion Ltd. | | | 5,535 | | | $ | 560,565 | | | $ | 76,631 | |
| Baloise Holding AG | | | 181 | | | | 21,465 | | | | 1,668 | |
| Galenica AG | | | 41 | | | | 35,492 | | | | (2,801 | ) |
| Geberit AG | | | 314 | | | | 104,937 | | | | 1,290 | |
| Lonza Group AG | | | 1,198 | | | | 123,648 | | | | 11,237 | |
| Novartis AG | | | 1,186 | | | | 95,336 | | | | 14,658 | |
| Roche Holding AG | | | 671 | | | | 178,133 | | | | 3,669 | |
| Sonova Holding AG | | | 334 | | | | 49,556 | | | | (488 | ) |
| Swiss Life Holding AG | | | 546 | | | | 120,105 | | | | 8,943 | |
| Swiss Re AG | | | 2,453 | | | | 197,929 | | | | 7,563 | |
| Zurich Insurance Group AG | | | 371 | | | | 111,442 | | | | 4,496 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 126,866 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 126,866 | |
| | | | | | | | | | | | |
| | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Cie Financiere Richemont SA | | | (1,314 | ) | | | (107,626 | ) | | | (8,871 | ) |
| Credit Suisse Group AG | | | (13,730 | ) | | | (359,518 | ) | | | 14,603 | |
| Dufry AG | | | (2,579 | ) | | | (372,903 | ) | | | (12,564 | ) |
| Holcim Ltd. | | | (2,634 | ) | | | (187,210 | ) | | | (1,080 | ) |
| Julius Baer Group Ltd. | | | (4,497 | ) | | | (193,860 | ) | | | (11,464 | ) |
| Sulzer AG | | | (250 | ) | | | (34,526 | ) | | | 7,784 | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Switzerland (continued) | |
| Swatch Group AG/The | | | (1,069 | ) | | $ | (502,036 | ) | | $ | 27,126 | |
| Syngenta AG | | | (78 | ) | | | (27,514 | ) | | | 2,425 | |
| UBS Group AG | | | (8,007 | ) | | | (138,960 | ) | | | 1,322 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,281 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 19,281 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 146,147 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (13,241 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 132,906 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
118
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate, plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap. | | 2-13 months maturity ranging from 02/19/2015 - 02/20/2015 | | | $37,635 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Denmark | | | | | | | | | | | | |
| AP Moeller - Maersk A/S | | | 32 | | | $ | 68,631 | | | $ | (4,984 | ) |
| Coloplast A/S | | | 267 | | | | 15,493 | | | | 6,850 | |
| Novo Nordisk A/S | | | 1,619 | | | | 67,624 | | | | 860 | |
| Pandora A/S | | | 5,107 | | | | 368,412 | | | | 45,547 | |
| TDC A/S | | | 21,139 | | | | 170,101 | | | | (8,876 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 39,397 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 39,397 | |
| | | | | | | | | | | | |
| | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Denmark | | | | | | | | | | | | |
| Carlsberg A/S | | | (172 | ) | | | (14,649 | ) | | | 1,439 | |
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Denmark (continued) | | | | |
| GN Store Nord A/S | | | (2,136 | ) | | $ | (47,773 | ) | | $ | 1,106 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,545 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 2,545 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 41,942 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (4,307 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 37,635 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
119
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate, plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap. | | 3-13 months maturity ranging from 02/19/2015 - 02/20/2015 | | | $(77,948 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Norway | | | | | | | | | | | | |
| Norsk Hydro ASA | | | 72,831 | | | $ | 360,042 | | | $ | 50,218 | |
| Orkla ASA | | | 8,315 | | | | 59,202 | | | | (2,598 | ) |
| Statoil ASA | | | 9,345 | | | | 208,910 | | | | (44,374 | ) |
| Telenor ASA | | | 3,939 | | | | 72,597 | | | | 7,083 | |
| Yara International ASA | | | 555 | | | | 18,776 | | | | 5,940 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,269 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 16,269 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | | | |
| | | |
| Norway | | | | | | | | | | | | |
| Marine Harvest ASA | | | (1,478 | ) | | $ | (16,552 | ) | | $ | (3,742 | ) |
| Schibsted ASA | | | (4,799 | ) | | | (207,771 | ) | | | (96,578 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (100,320 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (100,320 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (84,051 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 6,103 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (77,948 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
120
| | | | |
| Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR LONG-SHORT EQUITY FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate, plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | | 2-13 months maturity ranging from 02/19/2015 - 02/20/2015 | | | $121,957 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | | | | |
| Boliden AB | | | 13,708 | | | $ | 209,840 | | | $ | 9,280 | |
| Electrolux AB | | | 14,766 | | | | 395,167 | | | | 36,284 | |
| Husqvarna AB | | | 32,305 | | | | 225,074 | | | | 12,383 | |
| Meda AB | | | 1,339 | | | | 15,825 | | | | 3,377 | |
| Securitas AB | | | 16,101 | | | | 143,797 | | | | 50,988 | |
| Skanska AB | | | 2,147 | | | | 38,121 | | | | 7,976 | |
| Tele2 AB | | | 6,754 | | | | 78,877 | | | | 2,966 | |
| Telefonaktiebolaget LM Ericsson | | | 9,610 | | | | 101,667 | | | | 14,692 | |
| TeliaSonera AB | | | 31,263 | | | | 202,188 | | | | (1,187 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 136,759 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 136,759 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | | | | |
| Alfa Laval AB | | | (4,401 | ) | | | (85,217 | ) | | | 1,995 | |
| Atlas Copco AB | | | (1,018 | ) | | | (26,746 | ) | | | (1,581 | ) |
| Getinge AB | | | (8,103 | ) | | | (183,200 | ) | | | (1,324 | ) |
| Hexagon AB | | | (9,648 | ) | | | (285,218 | ) | | | (12,419 | ) |
| Sandvik AB | | | (7,204 | ) | | | (75,458 | ) | | | 5,413 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions (continued) | | | | | | | |
| Volvo AB | | | (19,918 | ) | | $ | (216,071 | ) | | $ | 1,286 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (6,630 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (6,630 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 130,129 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (8,172 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 121,957 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
121
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 20.4% | | SHARES | | | VALUE
(Note 5) | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^ | | | 65,081,296 | | | $ | 65,081,296 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | | | 260,325,183 | | | | 260,325,183 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | | | 721,381,083 | | | | 721,381,083 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | | | 45,821,688 | | | | 45,821,688 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | | | 325,406,479 | | | | 325,406,479 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $1,418,015,729) | | | | | | | 1,418,015,729 | |
| | | | | | | | |
| | | | | | | | |
SHORT-TERM
INVESTMENTS - 72.4% | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE
(Note 5) | |
| U.S. Treasury Bill, 0.050%, 01/08/2015 ^(c) | | $ | 489,685 | | | $ | 489,684,021 | |
| U.S. Treasury Bill, 0.055%, 01/29/2015 ^(b)(c) | | | 729,213 | | | | 729,199,145 | |
| U.S. Treasury Bill, 0.045%, 02/05/2015 (c) | | | 355,967 | | | | 355,958,457 | |
| U.S. Treasury Bill, 0.037%, 04/09/2015 ^(c) | | | 478,937 | | | | 478,901,559 | |
| U.S. Treasury Bill, 0.066%, 05/21/2015 (c) | | | 227,352 | | | | 227,301,528 | |
| U.S. Treasury Bill, 0.067%, 05/28/2015 ^(c) | | | 134,500 | | | | 134,464,491 | |
| U.S. Treasury Bill, 0.071%, 06/04/2015 ^(c) | | | 934,500 | | | | 934,222,453 | |
| U.S. Treasury Bill, 0.101%, 06/11/2015 ^(c) | | | 800,000 | | | | 799,768,800 | |
| U.S. Treasury Bill, 0.107%, 06/18/2015 ^(c) | | | 678,847 | | | | 678,579,534 | |
| U.S. Treasury Bill, 0.126%, 06/25/2015 (c) | | | 200,000 | | | | 199,915,400 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $5,027,700,959) | | | | | | | 5,027,995,388 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 92.8%
(cost $6,445,716,688) | | | | | | | 6,446,011,117 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 7.2% (d) | | | | | 498,678,436 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 6,944,689,553 | |
| | | | | | | | |
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (c) | The rate shown is the effective yield at the date of purchase. |
| (d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (See Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | (74,701,506 | ) | | | $(467,526 | ) |
| Barclays Capital | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (14,141,820 | ) | | | 1,836,116 | |
| Barclays Capital | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 779,240 | | | | (33,454 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (83,091,824 | ) | | | 10,804,434 | |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (34,401,517 | ) | | | 1,132,477 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (115,038,099 | ) | | | (2,393,727 | ) |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 90,730,782 | | | | 63,098 | |
| CitiBank | | LME Copper March Futures^ | | 2/2015 | | USD | | | (73,377,500 | ) | | | 4,152,750 | |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | (9,307,200 | ) | | | 618,075 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
122
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | 9,459,925 | | | | $ (770,800 | ) |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | 97,590 | | | | (6,756 | ) |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | (53,925 | ) | | | (488 | ) |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | 55,275 | | | | (863 | ) |
| CitiBank | | Platinum April Futures^ | | 3/2015 | | USD | | | (101,611,768 | ) | | | (893,357 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 24,112,796 | | | | (192,554 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | (23,533,951 | ) | | | (386,165 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | GBP | | | 42,528,761 | | | | 1,815,499 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | GBP | | | (22,995,286 | ) | | | (1,167,052 | ) |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 16,659,644 | | | | (322,444 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | (22,313,238 | ) | | | 307,888 | |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 41,380,319 | | | | (747,127 | ) |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | (167,110,315 | ) | | | (15,883,975 | ) |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 178,421,084 | | | | (1,672,468 | ) |
| Merrill Lynch | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 234,488,280 | | | | (2,785,152 | ) |
| Merrill Lynch | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | (312,477,110 | ) | | | (573,302 | ) |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | (4,799,210 | ) | | | 275,380 | |
| Merrill Lynch | | Silver March Futures^ | | 2/2015 | | USD | | | 39,791,000 | | | | (1,737,215 | ) |
| Merrill Lynch | | Silver March Futures^ | | 2/2015 | | USD | | | (122,785,980 | ) | | | 1,255,067 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | 4,754,550 | | | | (230,740 | ) |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (10,668,143 | ) | | | 964,732 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (48,326,001 | ) | | | 2,204,401 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 44,968,260 | | | | (4,985,380 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (68,056,279 | ) | | | 8,453,894 | |
| Bank of America | | Euro - SCHATZ March Futures | | 3/2015 | | EUR | | | 1,116,731,982 | | | | 1,298,746 | |
| Bank of America | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 271,907,912 | | | | 263,680 | |
| Bank of America | | U.S. Treasury 5-Year Note March Futures | | 3/2015 | | USD | | | 5,587,056 | | | | 2,640 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 309,136,945 | | | | 487,263 | |
| Bank of America | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | 58,430,338 | | | | 266,560 | |
| Bank of America | | 10-Year Japanese Government Bond March Futures | | 3/2015 | | JPY | | | 5,437,116,700 | | | | 262,523 | |
| Bank of America | | Euro - Bobl March Futures | | 3/2015 | | EUR | | | 715,608,474 | | | | 5,787,022 | |
| Bank of America | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 233,467,916 | | | | 4,791,224 | |
| Bank of America | | U.S. Treasury 2-Year Note March Futures | | 3/2015 | | USD | | | 2,332,510,173 | | | | (4,486,736 | ) |
| Bank of America | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 63,921,023 | | | | 890,567 | |
| CitiBank | | Hard Red Winter Wheat March Futures^ | | 2/2015 | | USD | | | (19,926,440 | ) | | | (1,342,801 | ) |
| CitiBank | | Hard Red Winter Wheat March Futures^ | | 2/2015 | | USD | | | 22,217,262 | | | | (947,281 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $5,906,673 | |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, Deutsche Bank and Merrill Lynch for total return swap contracts in the amount of $720, $180,001, $66 and $40,521,282, respectively at December 31, 2014. Cash held as collateral for Bank of America and Deutsche Bank for total return swap contracts was $7,990,000 and $15,400,000, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | |
| 34 | | Goldman Sachs | | Cocoa Futures^ | | | 3/2015 | | | | $1,026,881 | | | | $1,049,250 | | | | $22,369 | |
| 69 | | Goldman Sachs | | Coffee ‘C’ Futures^ | | | 3/2015 | | | | 4,968,499 | | | | 4,310,775 | | | | (657,724 | ) |
| 93 | | Goldman Sachs | | Hard Red Winter Wheat Futures^ | | | 3/2015 | | | | 3,163,637 | | | | 2,913,225 | | | | (250,412 | ) |
| 44 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 2,136,295 | | | | 2,014,100 | | | | (122,195 | ) |
| 86 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 4,154,123 | | | | 3,937,639 | | | | (216,484 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
123
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | | | | | | | | |
| 68 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | $ 3,405,751 | | | | $ 3,117,375 | | | | $ (288,376 | ) |
| 62 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 3,106,017 | | | | 2,842,312 | | | | (263,705 | ) |
| 85 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 4,341,055 | | | | 3,903,498 | | | | (437,557 | ) |
| 89 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 4,534,532 | | | | 4,088,015 | | | | (446,517 | ) |
| 20 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 1,022,045 | | | | 919,875 | | | | (102,170 | ) |
| 69 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 3,519,197 | | | | 3,175,950 | | | | (343,247 | ) |
| 85 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 4,251,817 | | | | 3,916,821 | | | | (334,996 | ) |
| 8 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 394,023 | | | | 368,712 | | | | (25,311 | ) |
| 71 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 3,507,602 | | | | 3,272,922 | | | | (234,680 | ) |
| 39 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 1,924,761 | | | | 1,799,489 | | | | (125,272 | ) |
| 15 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 735,043 | | | | 692,374 | | | | (42,669 | ) |
| 28 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 1,359,480 | | | | 1,292,669 | | | | (66,811 | ) |
| 95 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 4,554,722 | | | | 4,389,143 | | | | (165,579 | ) |
| 69 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 3,427,147 | | | | 3,189,094 | | | | (238,053 | ) |
| 51 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 2,418,821 | | | | 2,356,710 | | | | (62,111 | ) |
| 12 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 575,734 | | | | 554,712 | | | | (21,022 | ) |
| 79 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 13,161,570 | | | | 12,575,674 | | | | (585,896 | ) |
| 28 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 4,696,360 | | | | 4,455,997 | | | | (240,363 | ) |
| 40 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 6,786,426 | | | | 6,333,000 | | | | (453,426 | ) |
| 96 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 15,108,274 | | | | 15,149,400 | | | | 41,126 | |
| 12 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 1,915,534 | | | | 1,893,150 | | | | (22,384 | ) |
| 70 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 11,249,199 | | | | 11,043,707 | | | | (205,492 | ) |
| 45 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 7,237,254 | | | | 7,101,000 | | | | (136,254 | ) |
| 27 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 4,355,852 | | | | 4,260,147 | | | | (95,705 | ) |
| 73 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 11,598,084 | | | | 11,515,750 | | | | (82,334 | ) |
| 44 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 6,942,226 | | | | 6,939,900 | | | | (2,326 | ) |
| 35 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 5,575,600 | | | | 5,516,875 | | | | (58,725 | ) |
| 68 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 3,930,547 | | | | 3,684,121 | | | | (246,426 | ) |
| 61 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 3,526,682 | | | | 3,305,057 | | | | (221,625 | ) |
| 16 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 929,997 | | | | 867,000 | | | | (62,997 | ) |
| 101 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 5,899,584 | | | | 5,473,266 | | | | (426,318 | ) |
| 61 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 3,306,332 | | | | 3,306,200 | | | | (132 | ) |
| 56 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 3,123,941 | | | | 3,034,934 | | | | (89,007 | ) |
| 117 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 6,535,451 | | | | 6,339,206 | | | | (196,245 | ) |
| 60 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 3,387,889 | | | | 3,252,870 | | | | (135,019 | ) |
| 24 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 1,379,837 | | | | 1,303,644 | | | | (76,193 | ) |
| 17 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 925,274 | | | | 924,775 | | | | (499 | ) |
| 72 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 3,893,256 | | | | 3,918,222 | | | | 24,966 | |
| 58 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 3,233,197 | | | | 3,155,925 | | | | (77,272 | ) |
| 41 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 2,183,367 | | | | 2,231,425 | | | | 48,058 | |
| 43 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 2,328,573 | | | | 2,338,394 | | | | 9,821 | |
| 729 | | Goldman Sachs | | Soybean Futures^ | | | 3/2015 | | | | 38,135,167 | | | | 37,306,575 | | | | (828,592 | ) |
| 1,135 | | Goldman Sachs | | Soybean Meal Futures^ | | | 3/2015 | | | | 40,587,238 | | | | 39,452,600 | | | | (1,134,638 | ) |
| 7,652 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2016 | | | | 1,467,424,474 | | | | 1,472,762,203 | | | | 5,337,729 | |
| 925 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | 95,284,857 | | | | 95,140,181 | | | | (144,676 | ) |
| 395 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | 115,189,860 | | | | 117,622,379 | | | | 2,432,519 | |
| 3,614 | | Barclays Capital | | DJIA Mini E-CBOT Futures | | | 3/2015 | | | | 312,552,763 | | | | 320,778,640 | | | | 8,225,877 | |
| 1,494 | | Barclays Capital | | E-Mini Russell 2000 Futures | | | 3/2015 | | | | 177,584,585 | | | | 179,384,580 | | | | 1,799,995 | |
| 635 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | 24,259,664 | | | | 24,073,400 | | | | (186,264 | ) |
| 178 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | 27,395,578 | | | | 27,141,922 | | | | (253,656 | ) |
| 968 | | Barclays Capital | | H-SHARES Index Futures | | | 1/2015 | | | | 74,543,480 | | | | 74,828,341 | | | | 284,861 | |
| 109 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | 13,285,791 | | | | 13,511,766 | | | | 225,975 | |
| 698 | | Barclays Capital | | MSCI Singapore Index Futures | | | 1/2015 | | | | 39,962,259 | | | | 40,215,422 | | | | 253,163 | |
| 3,126 | | Barclays Capital | | NASDAQ 100 E-Mini Futures | | | 3/2015 | | | | 260,609,312 | | | | 264,631,530 | | | | 4,022,218 | |
| 2,733 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 274,687,037 | | | | 280,460,460 | | | | 5,773,423 | |
| 1,799 | | Barclays Capital | | S&P MID 400 E-Mini Futures | | | 3/2015 | | | | 256,382,958 | | | | 260,603,140 | | | | 4,220,182 | |
| 407 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | 58,509,442 | | | | 59,666,242 | | | | 1,156,800 | |
| 3,994 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | | 1/2015 | | | | 66,642,450 | | | | 66,771,692 | | | | 129,242 | |
| 1,976 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | 229,585,638 | | | | 232,194,023 | | | | 2,608,385 | |
| 1,008 | | J.P. Morgan | | 10-Year Japanese Government Bond | | | 3/2015 | | | | 1,236,089,526 | | | | 1,243,716,146 | | | | 7,626,620 | |
| 1,425 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 12/2015 | | | | 430,672,771 | | | | 430,843,258 | | | | 170,487 | |
| 2,921 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 3/2016 | | | | 882,290,106 | | | | 883,064,727 | | | | 774,621 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
124
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | | | | | | | | |
| 4,317 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 6/2016 | | | | $ 1,303,422,906 | | | | $ 1,304,901,823 | | | | $ 1,478,917 | |
| 5,649 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2016 | | | | 1,705,939,396 | | | | 1,707,098,757 | | | | 1,159,361 | |
| 5,571 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 12/2016 | | | | 1,682,135,960 | | | | 1,683,106,234 | | | | 970,274 | |
| 755 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 12/2015 | | | | 187,188,518 | | | | 187,022,938 | | | | (165,580 | ) |
| 555 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 3/2016 | | | | 137,220,246 | | | | 137,112,750 | | | | (107,496 | ) |
| 753 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 6/2016 | | | | 185,722,553 | | | | 185,558,025 | | | | (164,528 | ) |
| 1,271 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 9/2016 | | | | 312,796,905 | | | | 312,459,463 | | | | (337,442 | ) |
| 1,996 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 12/2016 | | | | 490,481,792 | | | | 489,668,700 | | | | (813,092 | ) |
| 7,322 | | J.P. Morgan | | 90-Day Sterling Futures | | | 6/2015 | | | | 1,413,164,679 | | | | 1,417,379,131 | | | | 4,214,452 | |
| 7,627 | | J.P. Morgan | | 90-Day Sterling Futures | | | 9/2015 | | | | 1,470,429,342 | | | | 1,475,231,719 | | | | 4,802,377 | |
| 7,900 | | J.P. Morgan | | 90-Day Sterling Futures | | | 12/2015 | | | | 1,521,269,889 | | | | 1,526,496,884 | | | | 5,226,995 | |
| 8,090 | | J.P. Morgan | | 90-Day Sterling Futures | | | 3/2016 | | | | 1,556,195,873 | | | | 1,561,160,968 | | | | 4,965,095 | |
| 8,193 | | J.P. Morgan | | 90-Day Sterling Futures | | | 6/2016 | | | | 1,573,778,680 | | | | 1,578,962,404 | | | | 5,183,724 | |
| 7,432 | | J.P. Morgan | | 90-Day Sterling Futures | | | 12/2016 | | | | 1,426,748,191 | | | | 1,428,681,945 | | | | 1,933,754 | |
| 3,517 | | J.P. Morgan | | Australia 10-Year Bond Futures | | | 3/2015 | | | | 363,306,692 | | | | 367,940,029 | | | | 4,633,337 | |
| 17,502 | | J.P. Morgan | | Australia 3-Year Bond Futures | | | 3/2015 | | | | 1,584,642,820 | | | | 1,590,064,544 | | | | 5,421,724 | |
| 4,348 | | J.P. Morgan | | Canadian 10-Year Bond Futures | | | 3/2015 | | | | 511,072,047 | | | | 518,406,748 | | | | 7,334,701 | |
| 2,623 | | J.P. Morgan | | Euro - Bobl Futures | | | 3/2015 | | | | 411,945,077 | | | | 413,503,655 | | | | 1,558,578 | |
| 1,756 | | J.P. Morgan | | Euro - Bund Futures | | | 3/2015 | | | | 325,327,718 | | | | 331,200,024 | | | | 5,872,306 | |
| 539 | | J.P. Morgan | | Euro-Buxl 30-Year Bond Futures | | | 3/2015 | | | | 96,751,862 | | | | 101,080,582 | | | | 4,328,720 | |
| 1,416 | | J.P. Morgan | | Long Gilt Futures | | | 3/2015 | | | | 258,171,024 | | | | 263,800,031 | | | | 5,629,007 | |
| 2,564 | | J.P. Morgan | | U.S. Long Bond Futures | | | 3/2015 | | | | 361,799,196 | | | | 370,658,250 | | | | 8,859,054 | |
| 5,439 | | J.P. Morgan | | U.S. Treasury 10-Year Note Futures | | | 3/2015 | | | | 688,105,872 | | | | 689,648,203 | �� | | | 1,542,331 | |
| 8,202 | | J.P. Morgan | | U.S. Treasury 5-Year Note Futures | | | 3/2015 | | | | 977,199,178 | | | | 975,461,297 | | | | (1,737,881 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 26,858,228,860 | | | | 26,964,798,630 | | | | 106,569,770 | |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | | | | | | | | | | |
| 1,736 | | Goldman Sachs | | Brent Crude Futures^ | | | 1/2015 | | | | (120,821,163 | ) | | | (99,524,880 | ) | | | 21,296,283 | |
| 128 | | Goldman Sachs | | Cocoa Futures^ | | | 3/2015 | | | | (3,618,659 | ) | | | (3,724,800 | ) | | | (106,141 | ) |
| 1,581 | | Goldman Sachs | | Cotton No. 2 Futures^ | | | 3/2015 | | | | (47,513,911 | ) | | | (47,643,435 | ) | | | (129,524 | ) |
| 2,601 | | Goldman Sachs | | Gas Oil Futures^ | | | 2/2015 | | | | (146,209,733 | ) | | | (135,577,125 | ) | | | 10,632,608 | |
| 842 | | Goldman Sachs | | Gasoline RBOB Futures^ | | | 1/2015 | | | | (57,877,318 | ) | | | (52,059,344 | ) | | | 5,817,974 | |
| 685 | | Goldman Sachs | | Gold 100 OZ Futures^ | | | 2/2015 | | | | (82,016,698 | ) | | | (81,110,850 | ) | | | 905,848 | |
| 1,758 | | Goldman Sachs | | Heating Oil ULSD Futures^ | | | 1/2015 | | | | (147,746,403 | ) | | | (135,385,690 | ) | | | 12,360,713 | |
| 1,150 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | (38,729,738 | ) | | | (37,352,000 | ) | | | 1,377,738 | |
| 44 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (2,136,268 | ) | | | (2,014,100 | ) | | | 122,168 | |
| 86 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (4,125,022 | ) | | | (3,937,639 | ) | | | 187,383 | |
| 68 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (3,416,853 | ) | | | (3,117,375 | ) | | | 299,478 | |
| 62 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (3,109,166 | ) | | | (2,842,312 | ) | | | 266,854 | |
| 85 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (4,356,079 | ) | | | (3,903,497 | ) | | | 452,582 | |
| 89 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (4,510,439 | ) | | | (4,088,015 | ) | | | 422,424 | |
| 20 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (1,021,844 | ) | | | (919,875 | ) | | | 101,969 | |
| 69 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (3,518,855 | ) | | | (3,175,949 | ) | | | 342,906 | |
| 85 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (4,261,604 | ) | | | (3,916,821 | ) | | | 344,783 | |
| 8 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (394,456 | ) | | | (368,712 | ) | | | 25,744 | |
| 71 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (3,507,183 | ) | | | (3,272,923 | ) | | | 234,260 | |
| 39 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (1,921,155 | ) | | | (1,799,489 | ) | | | 121,666 | |
| 15 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (734,346 | ) | | | (692,374 | ) | | | 41,972 | |
| 28 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (1,361,641 | ) | | | (1,292,669 | ) | | | 68,972 | |
| 395 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (19,275,410 | ) | | | (18,256,406 | ) | | | 1,019,004 | |
| 95 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (4,566,513 | ) | | | (4,389,142 | ) | | | 177,371 | |
| 51 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (2,419,349 | ) | | | (2,356,710 | ) | | | 62,639 | |
| 12 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (573,602 | ) | | | (554,712 | ) | | | 18,890 | |
| 79 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (13,133,070 | ) | | | (12,575,674 | ) | | | 557,396 | |
| 28 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (4,697,633 | ) | | | (4,455,997 | ) | | | 241,636 | |
| 40 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (6,768,408 | ) | | | (6,333,000 | ) | | | 435,408 | |
| 96 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (15,075,081 | ) | | | (15,149,400 | ) | | | (74,319 | ) |
| 12 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (1,914,863 | ) | | | (1,893,150 | ) | | | 21,713 | |
| 70 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (11,242,127 | ) | | | (11,043,707 | ) | | | 198,420 | |
| 45 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (7,235,708 | ) | | | (7,101,000 | ) | | | 134,708 | |
| 27 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (4,361,897 | ) | | | (4,260,148 | ) | | | 101,749 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
125
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: (continued) | | | | | | | | | | | | | | | | |
| 985 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | $(156,982,609 | ) | | | $(155,334,500 | ) | | | $1,648,109 | |
| 73 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (11,594,272 | ) | | | (11,515,750 | ) | | | 78,522 | |
| 44 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (6,958,669 | ) | | | (6,939,900 | ) | | | 18,769 | |
| 35 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (5,557,779 | ) | | | (5,516,875 | ) | | | 40,904 | |
| 1,518 | | Goldman Sachs | | LME Copper Futures^ | | | 3/2015 | | | | (110,809,831 | ) | | | (107,227,725 | ) | | | 3,582,106 | |
| 68 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (3,930,701 | ) | | | (3,684,121 | ) | | | 246,580 | |
| 61 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (3,531,387 | ) | | | (3,305,056 | ) | | | 226,331 | |
| 16 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (926,465 | ) | | | (867,000 | ) | | | 59,465 | |
| 101 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (5,890,607 | ) | | | (5,473,266 | ) | | | 417,341 | |
| 61 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (3,339,359 | ) | | | (3,306,201 | ) | | | 33,158 | |
| 56 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (3,125,555 | ) | | | (3,034,934 | ) | | | 90,621 | |
| 117 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (6,552,801 | ) | | | (6,339,206 | ) | | | 213,595 | |
| 60 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (3,374,858 | ) | | | (3,252,870 | ) | | | 121,988 | |
| 24 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (1,380,531 | ) | | | (1,303,644 | ) | | | 76,887 | |
| 17 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (926,589 | ) | | | (924,774 | ) | | | 1,815 | |
| 72 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (3,899,708 | ) | | | (3,918,222 | ) | | | (18,514 | ) |
| 206 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (11,073,545 | ) | | | (11,208,975 | ) | | | (135,430 | ) |
| 41 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (2,183,552 | ) | | | (2,231,425 | ) | | | (47,873 | ) |
| 43 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (2,305,219 | ) | | | (2,338,394 | ) | | | (33,175 | ) |
| 2,157 | | Goldman Sachs | | Natural Gas Swap Futures^ | | | 1/2015 | | | | (79,883,511 | ) | | | (62,315,731 | ) | | | 17,567,780 | |
| 125 | | Goldman Sachs | | Platinum Futures^ | | | 4/2015 | | | | (7,535,410 | ) | | | (7,559,375 | ) | | | (23,965 | ) |
| 235 | | Goldman Sachs | | Silver Futures^ | | | 3/2015 | | | | (18,708,032 | ) | | | (18,328,826 | ) | | | 379,206 | |
| 286 | | Goldman Sachs | | Soybean Oil Futures^ | | | 3/2015 | | | | (5,514,459 | ) | | | (5,515,224 | ) | | | (765 | ) |
| 14,999 | | Goldman Sachs | | Sugar #11 (World Markets) Futures^ | | | 2/2015 | | | | (273,023,232 | ) | | | (243,919,738 | ) | | | 29,103,494 | |
| 515 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | (25,419,955 | ) | | | (26,653,227 | ) | | | (1,233,272 | ) |
| 348 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | (33,795,022 | ) | | | (35,377,570 | ) | | | (1,582,548 | ) |
| 938 | | J.P. Morgan | | FTSE/JSE Top 40 Index Futures | | | 3/2015 | | | | (34,365,109 | ) | | | (35,887,709 | ) | | | (1,522,600 | ) |
| 118 | | Barclays Capital | | FTSE/MIB Index Futures | | | 3/2015 | | | | (13,212,252 | ) | | | (13,613,922 | ) | | | (401,670 | ) |
| 1,463 | | Barclays Capital | | KOSPI Index 200 Futures | | | 3/2015 | | | | (164,264,391 | ) | | | (162,385,480 | ) | | | 1,878,911 | |
| 1,045 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | (109,447,899 | ) | | | (114,811,040 | ) | | | (5,363,141 | ) |
| 1,922 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 6/2015 | | | | (580,953,810 | ) | | | (581,109,292 | ) | | | (155,482 | ) |
| 48 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2015 | | | | (14,508,921 | ) | | | (14,513,340 | ) | | | (4,419 | ) |
| 2,697 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 6/2015 | | | | (671,188,548 | ) | | | (671,317,012 | ) | | | (128,464 | ) |
| 123 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 9/2015 | | | | (30,534,541 | ) | | | (30,550,125 | ) | | | (15,584 | ) |
| 132 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 3/2015 | | | | (28,033,736 | ) | | | (28,030,686 | ) | | | 3,050 | |
| 1,544 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 6/2015 | | | | (327,907,892 | ) | | | (327,824,239 | ) | | | 83,653 | |
| 862 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 6/2015 | | | | (217,027,295 | ) | | | (217,320,761 | ) | | | (293,466 | ) |
| 239 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 9/2015 | | | | (60,171,711 | ) | | | (60,272,857 | ) | | | (101,146 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (3,814,011,958 | ) | | | (3,711,117,912 | ) | | | 102,894,046 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $23,044,216,902 | | | | $23,253,680,718 | | | | $209,463,816 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $106,447,003 and $93,946,623, respectively at December 31, 2014. Cash held as collateral for Goldman Sachs for futures contracts was $67,445,508 at December 31, 2014. U.S. Treasury Bill is pledged as collateral to Goldman Sachs for futures contracts in the amount of $55,082,098 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Canadian Dollar,
Expiring 03/18/15 | | CitiBank | | CAD | | | 169,011,000 | | | | $148,109,454 | | | | $145,242,892 | | | | $(2,866,562 | ) |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 169,010,999 | | | | 148,109,255 | | | | 145,242,891 | | | | (2,866,364 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
126
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 122,000 | | | | $ 123,185 | | | | $ 122,877 | | | | $ (308 | ) |
Czech Republic Koruna,
Expiring 03/18/15 | | CitiBank | | CZK | | | 575,000,000 | | | | 25,886,384 | | | | 25,141,504 | | | | (744,880 | ) |
Czech Republic Koruna,
Expiring 03/18/15 | | Credit Suisse International | | CZK | | | 575,000,000 | | | | 25,877,104 | | | | 25,141,504 | | | | (735,600 | ) |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | 496,706,000 | | | | 617,402,455 | | | | 601,437,444 | | | | (15,965,011 | ) |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 499,860,000 | | | | 621,276,551 | | | | 605,256,471 | | | | (16,020,080 | ) |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | 89,761,000 | | | | 140,634,941 | | | | 139,820,529 | | | | (814,412 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 89,761,000 | | | | 140,632,579 | | | | 139,820,529 | | | | (812,050 | ) |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 12,040,000 | | | | 1,552,387 | | | | 1,552,567 | | | | 180 | |
Hungarian Forint,
Expiring 03/18/15 | | CitiBank | | HUF | | | 10,813,000,001 | | | | 43,557,881 | | | | 41,251,984 | | | | (2,305,897 | ) |
Hungarian Forint,
Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 10,813,000,001 | | | | 43,557,030 | | | | 41,251,984 | | | | (2,305,046 | ) |
Indonesian Rupiah,
Expiring 03/18/15* | | CitiBank | | IDR | | | 10,950,000,000 | | | | 873,813 | | | | 872,650 | | | | (1,163 | ) |
Indonesian Rupiah,
Expiring 03/18/15* | | Credit Suisse International | | IDR | | | 10,950,000,000 | | | | 873,813 | | | | 872,650 | | | | (1,163 | ) |
Israeli Shekel,
Expiring 03/18/15 | | CitiBank | | ILS | | | 12,500,000 | | | | 3,156,051 | | | | 3,205,547 | | | | 49,496 | |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 12,500,000 | | | | 3,156,893 | | | | 3,205,547 | | | | 48,654 | |
Indian Rupee,
Expiring 03/18/15* | | CitiBank | | INR | | | 5,571,200,000 | | | | 88,068,030 | | | | 86,941,007 | | | | (1,127,023 | ) |
Indian Rupee,
Expiring 03/18/15* | | Credit Suisse International | | INR | | | 5,641,200,000 | | | | 89,155,430 | | | | 88,033,388 | | | | (1,122,042 | ) |
Japanese Yen,
Expiring 03/18/15 | | CitiBank | | JPY | | | 69,085,969,500 | | | | 585,601,205 | | | | 577,145,917 | | | | (8,455,288 | ) |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 69,143,577,500 | | | | 586,060,308 | | | | 577,627,176 | | | | (8,433,132 | ) |
Korean Won,
Expiring 03/18/15* | | CitiBank | | KRW | | | 133,700,000,000 | | | | 120,956,134 | | | | 121,233,545 | | | | 277,411 | |
Korean Won,
Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 133,700,000,000 | | | | 120,956,780 | | | | 121,233,545 | | | | 276,765 | |
Mexican Peso,
Expiring 03/18/15 | | CitiBank | | MXN | | | 565,000,000 | | | | 38,220,967 | | | | 38,123,032 | | | | (97,935 | ) |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 565,000,000 | | | | 38,229,943 | | | | 38,123,032 | | | | (106,911 | ) |
Malaysian Ringgit,
Expiring 03/18/15* | | CitiBank | | MYR | | | 29,000,000 | | | | 8,323,682 | | | | 8,244,810 | | | | (78,872 | ) |
Malaysian Ringgit,
Expiring 03/18/15* | | Credit Suisse International | | MYR | | | 29,000,000 | | | | 8,323,841 | | | | 8,244,810 | | | | (79,031 | ) |
Norwegian Krone,
Expiring 03/18/15 | | CitiBank | | NOK | | | 319,138,000 | | | | 45,937,176 | | | | 42,732,129 | | | | (3,205,047 | ) |
Norwegian Krone,
Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 319,138,000 | | | | 45,936,194 | | | | 42,732,129 | | | | (3,204,065 | ) |
New Zealand Dollar,
Expiring 03/18/15 | | CitiBank | | NZD | | | 747,436,001 | | | | 574,403,543 | | | | 578,950,375 | | | | 4,546,832 | |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 747,436,001 | | | | 574,407,126 | | | | 578,950,376 | | | | 4,543,250 | |
| Philippine Peso, Expiring 03/18/15* | | CitiBank | | PHP | | | 2,700,000,000 | | | | 60,209,443 | | | | 60,153,740 | | | | (55,703 | ) |
Philippine Peso,
Expiring 03/18/15* | | Credit Suisse International | | PHP | | | 2,700,000,000 | | | | 60,209,426 | | | | 60,153,740 | | | | (55,686 | ) |
Poland Zloty,
Expiring 03/18/15 | | CitiBank | | PLN | | | 194,000,000 | | | | 57,390,720 | | | | 54,617,880 | | | | (2,772,840 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
127
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Poland Zloty,
Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 194,000,000 | | | | $ 57,388,838 | | | | $ 54,617,880 | | | | $ (2,770,958 | ) |
Russian Ruble,
Expiring 03/18/15* | | CitiBank | | RUB | | | 215,900,000 | | | | 2,976,933 | | | | 3,409,296 | | | | 432,363 | |
Russian Ruble,
Expiring 03/18/15* | | Credit Suisse International | | RUB | | | 215,900,000 | | | | 3,006,435 | | | | 3,409,296 | | | | 402,861 | |
Swedish Krona,
Expiring 03/18/15 | | CitiBank | | SEK | | | 313,275,500 | | | | 42,083,466 | | | | 40,197,080 | | | | (1,886,386 | ) |
Swedish Krona,
Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 313,275,500 | | | | 42,082,805 | | | | 40,197,080 | | | | (1,885,725 | ) |
Singapore Dollar,
Expiring 03/18/15 | | CitiBank | | SGD | | | 60,000,000 | | | | 45,699,726 | | | | 45,238,294 | | | | (461,432 | ) |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 60,000,000 | | | | 45,696,067 | | | | 45,238,294 | | | | (457,773 | ) |
Turkish Lira,
Expiring 03/18/15 | | CitiBank | | TRY | | | 216,455,000 | | | | 94,633,805 | | | | 91,246,730 | | | | (3,387,075 | ) |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 216,455,000 | | | | 94,640,549 | | | | 91,246,729 | | | | (3,393,820 | ) |
Taiwanese Dollar,
Expiring 03/18/15* | | CitiBank | | TWD | | | 1,120,000,000 | | | | 36,022,275 | | | | 35,456,728 | | | | (565,547 | ) |
Taiwanese Dollar,
Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 1,120,000,000 | | | | 36,022,277 | | | | 35,456,728 | | | | (565,549 | ) |
South African Rand,
Expiring 03/18/15 | | CitiBank | | ZAR | | | 1,062,700,000 | | | | 93,186,604 | | | | 90,785,442 | | | | (2,401,162 | ) |
South African Rand,
Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 1,062,700,000 | | | | 93,186,323 | | | | 90,785,443 | | | | (2,400,880 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $5,753,795,827 | | | | $5,669,965,221 | | | | $(83,830,606 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY AMOUNT SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 03/18/15 | | CitiBank | | AUD | | | (688,243,000 | ) | | | $(569,000,610 | ) | | | $(558,951,684 | ) | | | $10,048,926 | |
Australian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | AUD | | | (688,243,000 | ) | | | (569,029,012 | ) | | | (558,951,683 | ) | | | 10,077,329 | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | (70,530,000 | ) | | | (26,308,732 | ) | | | (26,012,496 | ) | | | 296,236 | |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (70,530,000 | ) | | | (26,308,404 | ) | | | (26,012,496 | ) | | | 295,908 | |
Canadian Dollar,
Expiring 03/18/15 | | CitiBank | | CAD | | | (334,139,000 | ) | | | (288,874,627 | ) | | | (287,148,852 | ) | | | 1,725,775 | |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (334,139,000 | ) | | | (288,879,549 | ) | | | (287,148,852 | ) | | | 1,730,697 | |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | (1,650,000 | ) | | | (1,694,101 | ) | | | (1,661,861 | ) | | | 32,240 | |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (10,689,000 | ) | | | (11,019,867 | ) | | | (10,765,837 | ) | | | 254,030 | |
Chilean Peso,
Expiring 03/18/15* | | CitiBank | | CLP | | | (13,474,000,000 | ) | | | (21,891,573 | ) | | | (22,048,072 | ) | | | (156,499 | ) |
Chilean Peso,
Expiring 03/18/15* | | Credit Suisse International | | CLP | | | (13,474,000,000 | ) | | | (21,891,593 | ) | | | (22,048,072 | ) | | | (156,479 | ) |
Columbian Peso,
Expiring 03/18/15* | | CitiBank | | COP | | | (29,000,000,000 | ) | | | (12,664,244 | ) | | | (12,156,539 | ) | | | 507,705 | |
Columbian Peso,
Expiring 03/18/15* | | Credit Suisse International | | COP | | | (29,000,000,000 | ) | | | (12,664,232 | ) | | | (12,156,539 | ) | | | 507,693 | |
Czech Republic Koruna,
Expiring 03/18/15 | | CitiBank | | CZK | | | (599,916,000 | ) | | | (27,042,221 | ) | | | (26,230,940 | ) | | | 811,281 | |
Czech Republic Koruna,
Expiring 03/18/15 | | Credit Suisse International | | CZK | | | (599,916,000 | ) | | | (27,041,962 | ) | | | (26,230,940 | ) | | | 811,022 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
128
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY AMOUNT SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | (464,200,015 | ) | | | $ (572,483,207 | ) | | | $ (562,077,508 | ) | | | $ 10,405,699 | |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (464,248,013 | ) | | | (572,544,231 | ) | | | (562,135,627 | ) | | | 10,408,604 | |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | (102,331,503 | ) | | | (159,891,329 | ) | | | (159,401,575 | ) | | | 489,754 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (102,331,503 | ) | | | (159,892,575 | ) | | | (159,401,576 | ) | | | 490,999 | |
Hungarian Forint,
Expiring 03/18/15 | | CitiBank | | HUF | | | (14,400,000,000 | ) | | | (56,213,937 | ) | | | (54,936,519 | ) | | | 1,277,418 | |
Hungarian Forint,
Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (14,400,000,000 | ) | | | (56,225,645 | ) | | | (54,936,519 | ) | | | 1,289,126 | |
Indonesian Rupiah,
Expiring 03/18/15* | | CitiBank | | IDR | | | (10,000,000,000 | ) | | | (779,590 | ) | | | (796,940 | ) | | | (17,350 | ) |
Indonesian Rupiah,
Expiring 03/18/15* | | Credit Suisse International | | IDR | | | (10,000,000,000 | ) | | | (779,589 | ) | | | (796,940 | ) | | | (17,351 | ) |
Israeli Shekel,
Expiring 03/18/15 | | CitiBank | | ILS | | | (238,195,000 | ) | | | (60,153,299 | ) | | | (61,083,630 | ) | | | (930,331 | ) |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (238,194,999 | ) | | | (60,152,229 | ) | | | (61,083,630 | ) | | | (931,401 | ) |
Indian Rupee,
Expiring 03/18/15* | | CitiBank | | INR | | | (65,000,000 | ) | | | (1,016,336 | ) | | | (1,014,353 | ) | | | 1,983 | |
Indian Rupee,
Expiring 03/18/15* | | Credit Suisse International | | INR | | | (65,000,000 | ) | | | (1,016,331 | ) | | | (1,014,353 | ) | | | 1,978 | |
Japanese Yen,
Expiring 03/18/15 | | CitiBank | | JPY | | | (229,415,944,501 | ) | | | (1,920,909,879 | ) | | | (1,916,546,536 | ) | | | 4,363,343 | |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (229,415,944,499 | ) | | | (1,920,929,870 | ) | | | (1,916,546,536 | ) | | | 4,383,334 | |
Korean Won,
Expiring 03/18/15* | | CitiBank | | KRW | | | (6,500,000,000 | ) | | | (5,848,321 | ) | | | (5,893,927 | ) | | | (45,606 | ) |
Korean Won,
Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (6,500,000,000 | ) | | | (5,848,489 | ) | | | (5,893,927 | ) | | | (45,438 | ) |
Mexican Peso,
Expiring 03/18/15 | | CitiBank | | MXN | | | (2,505,500,000 | ) | | | (175,922,915 | ) | | | (169,057,092 | ) | | | 6,865,823 | |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (2,505,500,000 | ) | | | (175,948,113 | ) | | | (169,057,092 | ) | | | 6,891,021 | |
Malaysian Ringgit,
Expiring 03/18/15* | | CitiBank | | MYR | | | (169,655,000 | ) | | | (48,750,935 | ) | | | (48,233,558 | ) | | | 517,377 | |
Malaysian Ringgit,
Expiring 03/18/15* | | Credit Suisse International | | MYR | | | (169,655,000 | ) | | | (48,750,945 | ) | | | (48,233,558 | ) | | | 517,387 | |
Norwegian Krone,
Expiring 03/18/15 | | CitiBank | | NOK | | | (2,616,914,502 | ) | | | (365,381,654 | ) | | | (350,401,170 | ) | | | 14,980,484 | |
Norwegian Krone,
Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (2,616,914,502 | ) | | | (365,383,811 | ) | | | (350,401,169 | ) | | | 14,982,642 | |
New Zealand Dollar,
Expiring 03/18/15 | | CitiBank | | NZD | | | (119,898,500 | ) | | | (91,966,551 | ) | | | (92,871,205 | ) | | | (904,654 | ) |
New Zealand Dollar,
Expiring 03/18/15 | | Credit Suisse International | | NZD | | | (119,898,500 | ) | | | (91,991,398 | ) | | | (92,871,205 | ) | | | (879,807 | ) |
Philippine Peso,
Expiring 03/18/15* | | CitiBank | | PHP | | | (2,902,750,000 | ) | | | (64,771,266 | ) | | | (64,670,838 | ) | | | 100,428 | |
Philippine Peso,
Expiring 03/18/15* | | Credit Suisse International | | PHP | | | (2,902,750,000 | ) | | | (64,771,241 | ) | | | (64,670,838 | ) | | | 100,403 | |
Poland Zloty,
Expiring 03/18/15 | | CitiBank | | PLN | | | (394,745,000 | ) | | | (114,553,760 | ) | | | (111,134,721 | ) | | | 3,419,039 | |
Poland Zloty,
Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (394,745,000 | ) | | | (114,543,366 | ) | | | (111,134,720 | ) | | | 3,408,646 | |
Russian Ruble,
Expiring 03/18/15* | | CitiBank | | RUB | | | (215,900,000 | ) | | | (3,828,214 | ) | | | (3,409,295 | ) | | | 418,919 | |
Russian Ruble,
Expiring 03/18/15* | | Credit Suisse International | | RUB | | | (215,900,000 | ) | | | (3,828,201 | ) | | | (3,409,296 | ) | | | 418,905 | |
Swedish Krona,
Expiring 03/18/15 | | CitiBank | | SEK | | | (5,117,352,500 | ) | | | (676,619,114 | ) | | | (656,618,940 | ) | | | 20,000,174 | |
Swedish Krona,
Expiring 03/18/15 | | Credit Suisse International | | SEK | | | (5,117,352,499 | ) | | | (676,625,443 | ) | | | (656,618,941 | ) | | | 20,006,502 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
129
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY AMOUNT SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Singapore Dollar,
Expiring 03/18/15 | | CitiBank | | SGD | | | (47,455,000 | ) | | | $ (36,088,437 | ) | | | $ (35,779,723 | ) | | | $ 308,714 | |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (47,455,000 | ) | | | (36,087,451 | ) | | | (35,779,721 | ) | | | 307,730 | |
Turkish Lira,
Expiring 03/18/15 | | CitiBank | | TRY | | | (175,000,000 | ) | | | (73,189,596 | ) | | | (73,771,351 | ) | | | (581,755 | ) |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (175,000,000 | ) | | | (73,204,798 | ) | | | (73,771,351 | ) | | | (566,553 | ) |
Taiwanese Dollar,
Expiring 03/18/15* | | CitiBank | | TWD | | | (2,746,850,001 | ) | | | (88,181,155 | ) | | | (86,959,209 | ) | | | 1,221,946 | |
Taiwanese Dollar,
Expiring 03/18/15* | | Credit Suisse International | | TWD | | | (2,746,850,000 | ) | | | (88,184,664 | ) | | | (86,959,209 | ) | | | 1,225,455 | |
South African Rand,
Expiring 03/18/15 | | CitiBank | | ZAR | | | (825,000,000 | ) | | | (70,335,260 | ) | | | (70,478,962 | ) | | | (143,702 | ) |
South African Rand,
Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (825,000,000 | ) | | | (70,351,370 | ) | | | (70,478,962 | ) | | | (127,592 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (11,078,255,242 | ) | | | (10,927,857,085 | ) | | | 150,398,157 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(5,324,459,415 | ) | | | $(5,257,891,864 | ) | | | $66,567,551 | |
| | | | | | | | | | | | | | | | | | | | |
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 $30 and $9,588, respectively at December 31, 2014. Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts was $25,790,000 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $104,990,000 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
130
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 33.8% | | SHARES | | | VALUE (Note 5) | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | | | 65,309,409 | | | $ | 65,309,409 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | | | 2,620,038 | | | | 2,620,038 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $67,929,447) | | | | | | | 67,929,447 | |
| | | | | | | | |
| | | | | | | | |
| SHORT-TERM INVESTMENTS - 55.1% | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE (Note 5) | |
| U.S. Treasury Bill, 0.055%, 01/29/2015 (c) | | $ | 38,554 | | | $ | 38,553,268 | |
| U.S. Treasury Bill, 0.045%, 02/05/2015 (c) | | | 2,838 | | | | 2,837,932 | |
| U.S. Treasury Bill, 0.066%, 05/21/2015 (c) | | | 51,432 | | | | 51,420,582 | |
| U.S. Treasury Bill, 0.066%, 05/21/2015 ^(c) | | | 18,099 | | | | 18,094,982 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $110,903,400) | | | | | | | 110,906,764 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 88.9%
(cost $178,832,847) | | | | | | | 178,836,211 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 11.1% (d) | | | | | | | 22,228,389 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 201,064,600 | |
| | | | | | | | |
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
| (c) | The rate shown is the effective yield at the date of purchase. |
| (d) | Includes appreciation/ (depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (See Note 2).
| All | securities are Level 2 with respect to ASC 820. ( Note 5). |
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Japanese Government Bond March Futures | | 3/2015 | | JPY | | | 14,690,910 | | | | $785 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | GBP | | | 1,716,302 | | | | 73,514 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | GBP | | | (968,034 | ) | | | (50,301 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 1,202,776 | | | | (9,674 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | (1,208,200 | ) | | | (13,997 | ) |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 3,709,841 | | | | 2,108 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (4,725,132 | ) | | | (98,386 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (1,879,005 | ) | | | 40,770 | |
| Bank of America | | Euro - Bobl March Futures | | 3/2015 | | EUR | | | 20,066,243 | | | | 156,211 | |
| Bank of America | | Euro - SCHATZ March Futures | | 3/2015 | | EUR | | | 47,057,898 | | | | 54,455 | |
| Barclays Capital | | Gasoline RBOB January Futures^ | | 2/2015 | | USD | | | (2,159,237 | ) | | | 242,563 | |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (2,894,510 | ) | | | 359,554 | |
| Barclays Capital | | Gasoline RBOB December Futures^ | | 1/2015 | | USD | | | 2,140,488 | | | | (247,758 | ) |
| Barclays Capital | | Gasoline RBOB December Futures^ | | 1/2015 | | USD | | | (2,701,129 | ) | | | 808,372 | |
| CitiBank | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 11,254,262 | | | | (242,132 | ) |
| CitiBank | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | (15,676,830 | ) | | | 165,120 | |
| CitiBank | | Hard Red Winter Wheat March Futures^ | | 2/2015 | | USD | | | 1,298,794 | | | | (45,779 | ) |
| CitiBank | | Hard Red Winter Wheat March Futures^ | | 2/2015 | | USD | | | (1,172,469 | ) | | | (80,505 | ) |
| Barclays Capital | | Heating Oil ULSD January Futures^ | | 2/2015 | | USD | | | (1,693,440 | ) | | | 153,216 | |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (3,132,709 | ) | | | 283,294 | |
| Barclays Capital | | Heating Oil ULSD December Futures^ | | 1/2015 | | USD | | | 1,721,160 | | | | (151,361 | ) |
| Barclays Capital | | Heating Oil ULSD December Futures^ | | 1/2015 | | USD | | | (2,035,152 | ) | | | 465,337 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
131
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 14,211,210 | | | | $ 22,658 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 1,934,384 | | | | (212,944 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (2,111,890 | ) | | | 98,130 | |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | 553,506 | | | | (45,100 | ) |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | (546,600 | ) | | | 38,194 | |
| CitiBank | | LME Copper March Futures^ | | 2/2015 | | USD | | | (3,743,750 | ) | | | 211,875 | |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | 195,180 | | | | (13,512 | ) |
| Bank of America | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 2,707,095 | | | | 37,705 | |
| CitiBank | | Platinum April Futures^ | | 3/2015 | | USD | | | (4,316,236 | ) | | | (37,964 | ) |
| Bank of America | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | 3,195,271 | | | | 14,585 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | (165,490 | ) | | | 9,495 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | 163,950 | | | | (7,957 | ) |
| CitiBank | | Silver March Futures^ | | 2/2015 | | USD | | | 1,678,875 | | | | (118,975 | ) |
| CitiBank | | Silver March Futures^ | | 2/2015 | | USD | | | (5,106,937 | ) | | | 193,253 | |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 1,875,574 | | | | (33,263 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | (934,042 | ) | | | 12,888 | |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 1,383,546 | | | | (27,906 | ) |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | (3,066,250 | ) | | | (19,190 | ) |
| CitiBank | | Sugar #11 (World Markets) February Futures^ | | 2/2015 | | USD | | | (1,639,820 | ) | | | 257,516 | |
| Bank of America | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 9,955,787 | | | | 201,805 | |
| Bank of America | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 10,804,242 | | | | 10,479 | |
| Bank of America | | U.S. Treasury 2-Year Note March Futures | | 3/2015 | | USD | | | 97,684,975 | | | | (192,163 | ) |
| Bank of America | | U.S. Treasury 5-Year Note March Futures | | 3/2015 | | USD | | | 27,728,392 | | | | (17,775 | ) |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 7,659,574 | | | | (51,782 | ) |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | (7,159,500 | ) | | | (683,953 | ) |
| Barclays Capital | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 570,540 | | | | (37,833 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (4,469,936 | ) | | | 581,157 | |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 390,262 | | | | (17,370 | ) |
| Barclays Capital | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (612,200 | ) | | | 79,486 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $2,116,945 | |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to CitiBank and Goldman Sachs for total return swap contracts in the amount of $2,490,014 and $10,000, respectively at December 31, 2014. Additional cash held as collateral for Bank of America, Barclays Capital and Deutsche Bank for total return swap contracts in the amount of $270,000, $700,000 and $300,000, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 4 | | Goldman Sachs | | Cocoa Futures^ | | | 3/2015 | | | | $120,966 | | | | $123,441 | | | | $2,475 | |
| 2 | | Goldman Sachs | | Hard Red Winter Wheat future^ | | | 3/2015 | | | | 68,850 | | | | 62,650 | | | | (6,200 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 48,552 | | | | 45,775 | | | | (2,777 | ) |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 192,840 | | | | 183,146 | | | | (9,694 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 100,169 | | | | 91,687 | | | | (8,482 | ) |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 150,291 | | | | 137,531 | | | | (12,760 | ) |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 305,699 | | | | 275,597 | | | | (30,102 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 103,255 | | | | 91,875 | | | | (11,380 | ) |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 201,409 | | | | 183,844 | | | | (17,565 | ) |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 148,209 | | | | 138,293 | | | | (9,916 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 98,706 | | | | 92,282 | | | | (6,424 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 49,003 | | | | 46,158 | | | | (2,845 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 48,553 | | | | 46,167 | | | | (2,386 | ) |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 191,661 | | | | 184,806 | | | | (6,855 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
132
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | $ 94,856 | | | | $ 92,420 | | | | $ (2,436 | ) |
| 3 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 499,806 | | | | 477,557 | | | | (22,249 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 335,454 | | | | 318,285 | | | | (17,169 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 169,647 | | | | 158,377 | | | | (11,270 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 339,321 | | | | 316,650 | | | | (22,671 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 166,971 | | | | 157,938 | | | | (9,033 | ) |
| 7 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 1,103,570 | | | | 1,104,644 | | | | 1,074 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 642,811 | | | | 631,069 | | | | (11,742 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 321,656 | | | | 315,600 | | | | (6,056 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 161,328 | | | | 157,783 | | | | (3,545 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 317,756 | | | | 315,500 | | | | (2,256 | ) |
| 3 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 473,334 | | | | 473,175 | | | | (159 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 159,303 | | | | 157,625 | | | | (1,678 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 115,604 | | | | 108,356 | | | | (7,248 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 115,629 | | | | 108,363 | | | | (7,266 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 58,125 | | | | 54,188 | | | | (3,937 | ) |
| 6 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 350,470 | | | | 325,144 | | | | (25,326 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 108,404 | | | | 108,400 | | | | (4 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 111,569 | | | | 108,390 | | | | (3,179 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 56,233 | | | | 54,180 | | | | (2,053 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 112,017 | | | | 108,351 | | | | (3,666 | ) |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 281,885 | | | | 270,854 | | | | (11,031 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 112,048 | | | | 108,346 | | | | (3,702 | ) |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 167,576 | | | | 162,544 | | | | (5,032 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 56,502 | | | | 54,281 | | | | (2,221 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 107,856 | | | | 108,840 | | | | 984 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 56,172 | | | | 54,413 | | | | (1,759 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 106,506 | | | | 108,850 | | | | 2,344 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 54,153 | | | | 54,381 | | | | 228 | |
| 28 | | Goldman Sachs | | Soybean Futures^ | | | 3/2015 | | | | 1,465,456 | | | | 1,432,900 | | | | (32,556 | ) |
| 29 | | Goldman Sachs | | Soybean Meal Futures^ | | | 3/2015 | | | | 1,036,444 | | | | 1,008,040 | | | | (28,404 | ) |
| 322 | | J.P. Morgan | | 90-Day Sterling Futures | | | 9/2016 | | | | 61,752,351 | | | | 61,974,573 | | | | 222,222 | |
| 40 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | 4,120,837 | | | | 4,114,170 | | | | (6,667 | ) |
| 17 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | 4,961,154 | | | | 5,062,229 | | | | 101,075 | |
| 154 | | Barclays Capital | | DJIA Mini E-CBOT Futures | | | 3/2015 | | | | 13,318,444 | | | | 13,669,040 | | | | 350,596 | |
| 64 | | Barclays Capital | | E-Mini Russell 2000 Futures | | | 3/2015 | | | | 7,606,807 | | | | 7,684,480 | | | | 77,673 | |
| 27 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | 1,031,513 | | | | 1,023,593 | | | | (7,920 | ) |
| 8 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | 1,231,262 | | | | 1,219,862 | | | | (11,400 | ) |
| 39 | | Barclays Capital | | H-SHARES Index Futures | | | 1/2015 | | | | 3,002,070 | | | | 3,014,778 | | | | 12,708 | |
| 5 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | 613,825 | | | | 619,805 | | | | 5,980 | |
| 29 | | Barclays Capital | | MSCI Singapore Index Futures | | | 1/2015 | | | | 1,660,326 | | | | 1,670,842 | | | | 10,516 | |
| 134 | | Barclays Capital | | NASDAQ 100 E-Mini Futures | | | 3/2015 | | | | 11,173,899 | | | | 11,343,770 | | | | 169,871 | |
| 117 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 11,755,173 | | | | 12,006,541 | | | | 251,368 | |
| 77 | | Barclays Capital | | S&P MID 400 E-Mini Futures | | | 3/2015 | | | | 10,979,359 | | | | 11,154,220 | | | | 174,861 | |
| 18 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | 2,590,813 | | | | 2,638,802 | | | | 47,989 | |
| 107 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | | 1/2015 | | | | 1,785,393 | | | | 1,788,826 | | | | 3,433 | |
| 83 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | 9,647,034 | | | | 9,753,089 | | | | 106,055 | |
| 450 | | J.P. Morgan | | 10-Year Japanese Government Bond | | | 3/2015 | | | | 55,185,943 | | | | 55,541,826 | | | | 355,883 | |
| 59 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 12/2015 | | | | 17,831,472 | | | | 17,838,422 | | | | 6,950 | |
| 123 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 3/2016 | | | | 37,159,886 | | | | 37,184,855 | | | | 24,969 | |
| 182 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 6/2016 | | | | 54,960,289 | | | | 55,013,234 | | | | 52,945 | |
| 237 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2016 | | | | 71,571,520 | | | | 71,620,181 | | | | 48,661 | |
| 234 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 12/2016 | | | | 70,655,327 | | | | 70,695,900 | | | | 40,573 | |
| 31 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 12/2015 | | | | 7,685,735 | | | | 7,679,088 | | | | (6,647 | ) |
| 23 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 3/2016 | | | | 5,686,554 | | | | 5,682,150 | | | | (4,404 | ) |
| 31 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 6/2016 | | | | 7,645,791 | | | | 7,639,175 | | | | (6,616 | ) |
| 53 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 9/2016 | | | | 13,043,452 | | | | 13,029,387 | | | | (14,065 | ) |
| 83 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 12/2016 | | | | 20,396,289 | | | | 20,361,975 | | | | (34,314 | ) |
| 307 | | J.P. Morgan | | 90-Day Sterling Futures | | | 6/2015 | | | | 59,259,104 | | | | 59,428,489 | | | | 169,385 | |
| 320 | | J.P. Morgan | | 90-Day Sterling Futures | | | 9/2015 | | | | 61,695,509 | | | | 61,895,129 | | | | 199,620 | |
| 332 | | J.P. Morgan | | 90-Day Sterling Futures | | | 12/2015 | | | | 63,933,695 | | | | 64,151,515 | | | | 217,820 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
133
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | |
| 339 | | J.P. Morgan | | 90-Day Sterling Futures | | | 3/2016 | | | | $ 65,209,040 | | | | $ 65,418,241 | | | | $ 209,201 | |
| 344 | | J.P. Morgan | | 90-Day Sterling Futures | | | 6/2016 | | | | 66,079,655 | | | | 66,295,993 | | | | 216,338 | |
| 312 | | J.P. Morgan | | 90-Day Sterling Futures | | | 12/2016 | | | | 59,896,290 | | | | 59,976,961 | | | | 80,671 | |
| 148 | | J.P. Morgan | | Australia 10-Year Bond Futures | | | 3/2015 | | | | 15,288,232 | | | | 15,483,401 | | | | 195,169 | |
| 736 | | J.P. Morgan | | Australia 3-Year Bond Futures | | | 3/2015 | | | | 66,638,362 | | | | 66,865,930 | | | | 227,568 | |
| 181 | | J.P. Morgan | | Canadian 10-Year Bond Futures | | | 3/2015 | | | | 21,275,582 | | | | 21,580,410 | | | | 304,828 | |
| 186 | | J.P. Morgan | | Euro-Bobl Futures | | | 3/2015 | | | | 29,176,279 | | | | 29,322,028 | | | | 145,749 | |
| 73 | | J.P. Morgan | | Euro-Bund Futures | | | 3/2015 | | | | 13,525,148 | | | | 13,768,566 | | | | 243,418 | |
| 23 | | J.P. Morgan | | Euro-Buxl 30-Year Bond Futures | | | 3/2015 | | | | 4,127,283 | | | | 4,313,271 | | | | 185,988 | |
| 59 | | J.P. Morgan | | Long Gilt Futures | | | 3/2015 | | | | 10,755,499 | | | | 10,991,668 | | | | 236,169 | |
| 107 | | J.P. Morgan | | U.S. Long Bond Futures | | | 3/2015 | | | | 15,093,039 | | | | 15,468,188 | | | | 375,149 | |
| 229 | | J.P. Morgan | | U.S. Treasury 10-Year Note Futures | | | 3/2015 | | | | 28,969,601 | | | | 29,036,484 | | | | 66,883 | |
| 110 | | J.P. Morgan | | U.S. Treasury 5-Year Note Futures | | | 3/2015 | | | | 13,126,985 | | | | 13,082,266 | | | | (44,719 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 1,114,188,446 | | | | 1,118,822,049 | | | | 4,633,603 | |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | |
| 72 | | Goldman Sachs | | Brent Crude Futures^ | | | 1/2015 | | | | (5,010,980 | ) | | | (4,127,760 | ) | | | 883,220 | |
| 2 | | Goldman Sachs | | Cocoa Futures^ | | | 3/2015 | | | | (57,646 | ) | | | (58,200 | ) | | | (554 | ) |
| 51 | | Goldman Sachs | | Cotton No. 2 Futures^ | | | 3/2015 | | | | (1,536,725 | ) | | | (1,536,885 | ) | | | (160 | ) |
| 108 | | Goldman Sachs | | Gas Oil Futures^ | | | 2/2015 | | | | (6,070,969 | ) | | | (5,629,500 | ) | | | 441,469 | |
| 3 | | Goldman Sachs | | Gasoline RBOB Futures^ | | | 1/2015 | | | | (203,948 | ) | | | (185,485 | ) | | | 18,463 | |
| 19 | | Goldman Sachs | | Gold 100 OZ Futures^ | | | 2/2015 | | | | (2,274,991 | ) | | | (2,249,790 | ) | | | 25,201 | |
| 21 | | Goldman Sachs | | Heating Oil ULSD Futures^ | | | 1/2015 | | | | (1,754,926 | ) | | | (1,617,235 | ) | | | 137,691 | |
| 47 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | (1,582,649 | ) | | | (1,526,560 | ) | | | 56,089 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (48,552 | ) | | | (45,775 | ) | | | 2,777 | |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (191,921 | ) | | | (183,146 | ) | | | 8,775 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (100,496 | ) | | | (91,688 | ) | | | 8,808 | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (150,443 | ) | | | (137,531 | ) | | | 12,912 | |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (304,075 | ) | | | (275,597 | ) | | | 28,478 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (103,140 | ) | | | (91,875 | ) | | | 11,265 | |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (202,567 | ) | | | (183,844 | ) | | | 18,723 | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (148,191 | ) | | | (138,293 | ) | | | 9,898 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (98,521 | ) | | | (92,282 | ) | | | 6,239 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (48,956 | ) | | | (46,158 | ) | | | 2,798 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (48,630 | ) | | | (46,167 | ) | | | 2,463 | |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (192,183 | ) | | | (184,805 | ) | | | 7,378 | |
| 13 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (631,325 | ) | | | (600,844 | ) | | | 30,481 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (94,876 | ) | | | (92,420 | ) | | | 2,456 | |
| 3 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (498,724 | ) | | | (477,557 | ) | | | 21,167 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (335,545 | ) | | | (318,285 | ) | | | 17,260 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (170,073 | ) | | | (158,377 | ) | | | 11,696 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (338,420 | ) | | | (316,650 | ) | | | 21,770 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (166,497 | ) | | | (157,937 | ) | | | 8,560 | |
| 7 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (1,102,430 | ) | | | (1,104,644 | ) | | | (2,214 | ) |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (642,407 | ) | | | (631,069 | ) | | | 11,338 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (321,587 | ) | | | (315,600 | ) | | | 5,987 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (161,552 | ) | | | (157,784 | ) | | | 3,768 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (317,651 | ) | | | (315,500 | ) | | | 2,151 | |
| 41 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (6,534,033 | ) | | | (6,465,700 | ) | | | 68,333 | |
| 3 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (474,455 | ) | | | (473,175 | ) | | | 1,280 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (158,794 | ) | | | (157,625 | ) | | | 1,169 | |
| 54 | | Goldman Sachs | | LME Copper Futures^ | | | 3/2015 | | | | (3,909,742 | ) | | | (3,814,425 | ) | | | 95,317 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (115,609 | ) | | | (108,357 | ) | | | 7,252 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (115,783 | ) | | | (108,362 | ) | | | 7,421 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (57,904 | ) | | | (54,187 | ) | | | 3,717 | |
| 6 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (349,937 | ) | | | (325,144 | ) | | | 24,793 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (109,487 | ) | | | (108,400 | ) | | | 1,087 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (111,627 | ) | | | (108,391 | ) | | | 3,236 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (56,148 | ) | | | (54,181 | ) | | | 1,967 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (113,186 | ) | | | (108,351 | ) | | | 4,835 | |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (281,666 | ) | | | (270,854 | ) | | | 10,812 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (111,133 | ) | | | (108,346 | ) | | | 2,787 | |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (168,021 | ) | | | (162,544 | ) | | | 5,477 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
134
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: (continued) | | | | | | | | | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | $ (56,323 | ) | | | $ (54,282 | ) | | | $ 2,041 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (108,062 | ) | | | (108,840 | ) | | | (778 | ) |
| 6 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (321,323 | ) | | | (326,474 | ) | | | (5,151 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (106,515 | ) | | | (108,850 | ) | | | (2,335 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (53,610 | ) | | | (54,382 | ) | | | (772 | ) |
| 89 | | Goldman Sachs | | Natural Gas Futures^ | | | 1/2015 | | | | (3,296,167 | ) | | | (2,571,210 | ) | | | 724,957 | |
| 4 | | Goldman Sachs | | Platinum Futures^ | | | 4/2015 | | | | (241,399 | ) | | | (241,900 | ) | | | (501 | ) |
| 10 | | Goldman Sachs | | Silver Futures^ | | | 3/2015 | | | | (796,067 | ) | | | (779,950 | ) | | | 16,117 | |
| 12 | | Goldman Sachs | | Soybean Oil Futures^ | | | 3/2015 | | | | (231,385 | ) | | | (231,408 | ) | | | (23 | ) |
| 539 | | Goldman Sachs | | Sugar #11 (World Markets) Futures^ | | | 2/2015 | | | | (9,738,967 | ) | | | (8,765,434 | ) | | | 973,533 | |
| 22 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | (1,088,414 | ) | | | (1,138,584 | ) | | | (50,170 | ) |
| 15 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | (1,462,284 | ) | | | (1,524,895 | ) | | | (62,611 | ) |
| 38 | | J.P. Morgan | | FTSE/JSE Top 40 Index Futures | | | 3/2015 | | | | (1,391,935 | ) | | | (1,453,873 | ) | | | (61,938 | ) |
| 5 | | Barclays Capital | | FTSE/MIB Index Futures | | | 3/2015 | | | | (559,666 | ) | | | (576,861 | ) | | | (17,195 | ) |
| 62 | | Barclays Capital | | KOSPI Index 200 Futures | | | 3/2015 | | | | (6,960,471 | ) | | | (6,881,681 | ) | | | 78,790 | |
| 44 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | (4,610,209 | ) | | | (4,834,149 | ) | | | (223,940 | ) |
| 80 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 6/2015 | | | | (24,181,231 | ) | | | (24,187,692 | ) | | | (6,461 | ) |
| 2 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2015 | | | | (604,538 | ) | | | (604,722 | ) | | | (184 | ) |
| 113 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 6/2015 | | | | (28,121,785 | ) | | | (28,127,112 | ) | | | (5,327 | ) |
| 5 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 9/2015 | | | | (1,241,241 | ) | | | (1,241,875 | ) | | | (634 | ) |
| 6 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 3/2015 | | | | (1,274,229 | ) | | | (1,274,122 | ) | | | 107 | |
| 65 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 6/2015 | | | | (13,804,444 | ) | | | (13,800,891 | ) | | | 3,553 | |
| 36 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 6/2015 | | | | (9,064,329 | ) | | | (9,076,041 | ) | | | (11,712 | ) |
| 9 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | | 9/2015 | | | | (2,265,874 | ) | | | (2,269,689 | ) | | | (3,815 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (149,159,589 | ) | | | (145,758,202 | ) | | | 3,401,387 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $965,028,857 | | | | $973,063,847 | | | | $8,034,990 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $3,918,820 and $1,560,871, respectively at December 31, 2014. Cash held as collateral for Goldman Sachs for futures contracts was $608,392 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Canadian Dollar, Expiring 03/18/15 | | CitiBank | | CAD | | | 7,096,500 | | | | $6,218,694 | | | | $6,098,516 | | | | $(120,178 | ) |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 7,096,500 | | | | 6,218,686 | | | | 6,098,516 | | | | (120,170 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 1,000 | | | | 1,008 | | | | 1,007 | | | | (1 | ) |
Czech Republic Koruna,
Expiring 03/18/15 | | CitiBank | | CZK | | | 23,650,000 | | | | 1,064,745 | | | | 1,034,083 | | | | (30,662 | ) |
| Czech Republic Koruna, Expiring 03/18/15 | | Credit Suisse International | | CZK | | | 23,750,000 | | | | 1,068,825 | | | | 1,038,455 | | | | (30,370 | ) |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | 20,618,500 | | | | 25,627,513 | | | | 24,965,952 | | | | (661,561 | ) |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 20,658,500 | | | | 25,676,258 | | | | 25,014,385 | | | | (661,873 | ) |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | 3,786,000 | | | | 5,931,733 | | | | 5,897,444 | | | | (34,289 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 3,786,000 | | | | 5,931,635 | | | | 5,897,444 | | | | (34,191 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
135
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 530,000 | | | | $ 68,336 | | | | $ 68,344 | | | | $ 8 | |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | 453,500,000 | | | | 1,826,469 | | | | 1,730,119 | | | | (96,350 | ) |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 453,500,000 | | | | 1,826,439 | | | | 1,730,119 | | | | (96,320 | ) |
| Indonesian Rupiah, Expiring 03/18/15* | | CitiBank | | IDR | | | 545,000,000 | | | | 43,491 | | | | 43,434 | | | | (57 | ) |
| Indonesian Rupiah, Expiring 03/18/15* | | Credit Suisse International | | IDR | | | 545,000,000 | | | | 43,491 | | | | 43,434 | | | | (57 | ) |
| Israeli Shekel, Expiring 03/18/15 | | CitiBank | | ILS | | | 350,000 | | | | 88,471 | | | | 89,756 | | | | 1,285 | |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 350,000 | | | | 88,489 | | | | 89,756 | | | | 1,267 | |
| Indian Rupee, Expiring 03/18/15* | | CitiBank | | INR | | | 231,500,000 | | | | 3,655,835 | | | | 3,612,658 | | | | (43,177 | ) |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | 234,500,000 | | | | 3,702,437 | | | | 3,659,473 | | | | (42,964 | ) |
| Japanese Yen, Expiring 03/18/15 | | CitiBank | | JPY | | | 2,807,053,500 | | | | 23,796,048 | | | | 23,450,195 | | | | (345,853 | ) |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 2,807,199,500 | | | | 23,796,091 | | | | 23,451,415 | | | | (344,676 | ) |
| Korean Won, Expiring 03/18/15* | | CitiBank | | KRW | | | 5,612,000,001 | | | | 5,077,043 | | | | 5,088,726 | | | | 11,683 | |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 5,612,000,000 | | | | 5,077,065 | | | | 5,088,726 | | | | 11,661 | |
| Mexican Peso, Expiring 03/18/15 | | CitiBank | | MXN | | | 23,250,000 | | | | 1,571,970 | | | | 1,568,779 | | | | (3,191 | ) |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 23,250,000 | | | | 1,572,350 | | | | 1,568,779 | | | | (3,571 | ) |
| Malaysian Ringgit, Expiring 03/18/15* | | CitiBank | | MYR | | | 1,150,000 | | | | 330,128 | | | | 326,949 | | | | (3,179 | ) |
| Malaysian Ringgit, Expiring 03/18/15* | | Credit Suisse International | | MYR | | | 1,150,000 | | | | 330,135 | | | | 326,949 | | | | (3,186 | ) |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | 13,830,500 | | | | 2,003,676 | | | | 1,851,884 | | | | (151,792 | ) |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 13,830,500 | | | | 2,003,595 | | | | 1,851,884 | | | | (151,711 | ) |
New Zealand Dollar,
Expiring 03/18/15 | | CitiBank | | NZD | | | 31,299,500 | | | | 24,053,807 | | | | 24,244,027 | | | | 190,220 | |
New Zealand Dollar,
Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 31,299,500 | | | | 24,053,979 | | | | 24,244,026 | | | | 190,047 | |
| Philippine Peso, Expiring 03/18/15* | | CitiBank | | PHP | | | 110,500,000 | | | | 2,464,196 | | | | 2,461,846 | | | | (2,350 | ) |
| Philippine Peso, Expiring 03/18/15* | | Credit Suisse International | | PHP | | | 110,500,000 | | | | 2,464,195 | | | | 2,461,846 | | | | (2,349 | ) |
Poland Zloty,
Expiring 03/18/15 | | CitiBank | | PLN | | | 8,100,000 | | | | 2,395,813 | | | | 2,280,438 | | | | (115,375 | ) |
Poland Zloty,
Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 8,100,000 | | | | 2,395,743 | | | | 2,280,438 | | | | (115,305 | ) |
| Russian Ruble, Expiring 03/18/15* | | CitiBank | | RUB | | | 8,700,000 | | | | 126,158 | | | | 137,382 | | | | 11,224 | |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | 8,700,000 | | | | 127,235 | | | | 137,382 | | | | 10,147 | |
| Swedish Krona, Expiring 03/18/15 | | CitiBank | | SEK | | | 14,635,000 | | | | 1,965,847 | | | | 1,877,850 | | | | (87,997 | ) |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 14,635,000 | | | | 1,965,817 | | | | 1,877,850 | | | | (87,967 | ) |
| Singapore Dollar, Expiring 03/18/15 | | CitiBank | | SGD | | | 2,520,000 | | | | 1,919,518 | | | | 1,900,008 | | | | (19,510 | ) |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 2,520,000 | | | | 1,919,369 | | | | 1,900,008 | | | | (19,361 | ) |
Turkish Lira,
Expiring 03/18/15 | | CitiBank | | TRY | | | 9,029,000 | | | | 3,947,340 | | | | 3,806,181 | | | | (141,159 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
136
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 9,029,000 | | | | $ 3,947,631 | | | | $ 3,806,178 | | | | $ (141,453 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | CitiBank | | TWD | | | 46,500,000 | | | | 1,495,892 | | | | 1,472,087 | | | | (23,805 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 46,500,000 | | | | 1,495,892 | | | | 1,472,087 | | | | (23,805 | ) |
South African Rand,
Expiring 03/18/15 | | CitiBank | | ZAR | | | 44,165,000 | | | | 3,871,995 | | | | 3,772,974 | | | | (99,021 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 44,165,000 | | | | 3,871,980 | | | | 3,772,974 | | | | (99,006 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $239,123,063 | | | | $235,592,763 | | | | $(3,530,300 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 03/18/15 | | CitiBank | | AUD | | | (28,966,500 | ) | | | $(23,941,111 | ) | | | $(23,524,937 | ) | | | $416,174 | |
| Australian Dollar, Expiring 03/18/15 | | Credit Suisse International | | AUD | | | (28,966,500 | ) | | | (23,942,299 | ) | | | (23,524,938 | ) | | | 417,361 | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | (2,980,000 | ) | | | (1,111,878 | ) | | | (1,099,066 | ) | | | 12,812 | |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (2,980,000 | ) | | | (1,111,855 | ) | | | (1,099,066 | ) | | | 12,789 | |
| Canadian Dollar, Expiring 03/18/15 | | CitiBank | | CAD | | | (14,045,500 | ) | | | (12,143,003 | ) | | | (12,070,274 | ) | | | 72,729 | |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (14,045,500 | ) | | | (12,143,211 | ) | | | (12,070,274 | ) | | | 72,937 | |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | (8,000 | ) | | | (8,213 | ) | | | (8,057 | ) | | | 156 | |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (387,000 | ) | | | (399,240 | ) | | | (389,782 | ) | | | 9,458 | |
Chilean Peso,
Expiring 03/18/15* | | CitiBank | | CLP | | | (549,500,000 | ) | | | (892,787 | ) | | | (899,169 | ) | | | (6,382 | ) |
Chilean Peso,
Expiring 03/18/15* | | Credit Suisse International | | CLP | | | (549,500,000 | ) | | | (892,789 | ) | | | (899,169 | ) | | | (6,380 | ) |
| Columbian Peso, Expiring 03/18/15* | | CitiBank | | COP | | | (1,186,500,000 | ) | | | (518,142 | ) | | | (497,370 | ) | | | 20,772 | |
| Columbian Peso, Expiring 03/18/15* | | Credit Suisse International | | COP | | | (1,186,500,000 | ) | | | (518,142 | ) | | | (497,370 | ) | | | 20,772 | |
Czech Republic Koruna,
Expiring 03/18/15 | | CitiBank | | CZK | | | (24,700,000 | ) | | | (1,113,394 | ) | | | (1,079,992 | ) | | | 33,402 | |
Czech Republic Koruna,
Expiring 03/18/15 | | Credit Suisse International | | CZK | | | (24,700,000 | ) | | | (1,113,383 | ) | | | (1,079,992 | ) | | | 33,391 | |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | (19,283,502 | ) | | | (23,779,167 | ) | | | (23,349,468 | ) | | | 429,699 | |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (19,284,501 | ) | | | (23,780,468 | ) | | | (23,350,677 | ) | | | 429,791 | |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | (4,335,501 | ) | | | (6,773,839 | ) | | | (6,753,401 | ) | | | 20,438 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (4,335,501 | ) | | | (6,773,889 | ) | | | (6,753,401 | ) | | | 20,488 | |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | (606,500,000 | ) | | | (2,367,841 | ) | | | (2,313,820 | ) | | | 54,021 | |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (606,500,000 | ) | | | (2,368,329 | ) | | | (2,313,820 | ) | | | 54,509 | |
| Indonesian Rupiah, Expiring 03/18/15* | | CitiBank | | IDR | | | (450,000,000 | ) | | | (35,139 | ) | | | (35,862 | ) | | | (723 | ) |
| Indonesian Rupiah, Expiring 03/18/15* | | Credit Suisse International | | IDR | | | (450,000,000 | ) | | | (35,139 | ) | | | (35,862 | ) | | | (723 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
137
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Israeli Shekel, Expiring 03/18/15 | | CitiBank | | ILS | | | (9,875,000 | ) | | | $ (2,494,163 | ) | | | $ (2,532,382 | ) | | | $ (38,219 | ) |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (9,875,000 | ) | | | (2,494,139 | ) | | | (2,532,382 | ) | | | (38,243 | ) |
| Japanese Yen, Expiring 03/18/15 | | CitiBank | | JPY | | | (9,553,259,498 | ) | | | (79,982,192 | ) | | | (79,808,169 | ) | | | 174,023 | |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (9,553,259,498 | ) | | | (79,983,061 | ) | | | (79,808,169 | ) | | | 174,892 | |
Korean Won,
Expiring 03/18/15* | | CitiBank | | KRW | | | (260,000,000 | ) | | | (233,774 | ) | | | (235,757 | ) | | | (1,983 | ) |
Korean Won,
Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (260,000,000 | ) | | | (233,781 | ) | | | (235,757 | ) | | | (1,976 | ) |
| Mexican Peso, Expiring 03/18/15 | | CitiBank | | MXN | | | (104,925,000 | ) | | | (7,364,244 | ) | | | (7,079,751 | ) | | | 284,493 | |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (104,925,000 | ) | | | (7,365,339 | ) | | | (7,079,751 | ) | | | 285,588 | |
| Malaysian Ringgit, Expiring 03/18/15* | | CitiBank | | MYR | | | (7,060,000 | ) | | | (2,028,608 | ) | | | (2,007,184 | ) | | | 21,424 | |
| Malaysian Ringgit, Expiring 03/18/15* | | Credit Suisse International | | MYR | | | (7,060,000 | ) | | | (2,028,610 | ) | | | (2,007,185 | ) | | | 21,425 | |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | (110,685,500 | ) | | | (15,449,153 | ) | | | (14,820,633 | ) | | | 628,520 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (110,685,500 | ) | | | (15,449,245 | ) | | | (14,820,634 | ) | | | 628,611 | |
| New Zealand Dollar, Expiring 03/18/15 | | CitiBank | | NZD | | | (4,898,500 | ) | | | (3,759,001 | ) | | | (3,794,289 | ) | | | (35,288 | ) |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | (4,898,500 | ) | | | (3,760,001 | ) | | | (3,794,289 | ) | | | (34,288 | ) |
| Philippine Peso, Expiring 03/18/15* | | CitiBank | | PHP | | | (119,200,000 | ) | | | (2,659,800 | ) | | | (2,655,677 | ) | | | 4,123 | |
| Philippine Peso, Expiring 03/18/15* | | Credit Suisse International | | PHP | | | (119,200,000 | ) | | | (2,659,799 | ) | | | (2,655,677 | ) | | | 4,122 | |
| Poland Zloty, Expiring 03/18/15 | | CitiBank | | PLN | | | (16,565,000 | ) | | | (4,806,788 | ) | | | (4,663,636 | ) | | | 143,152 | |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (16,564,999 | ) | | | (4,806,350 | ) | | | (4,663,636 | ) | | | 142,714 | |
| Russian Ruble, Expiring 03/18/15* | | CitiBank | | RUB | | | (8,700,000 | ) | | | (154,264 | ) | | | (137,382 | ) | | | 16,882 | |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | (8,700,000 | ) | | | (154,263 | ) | | | (137,382 | ) | | | 16,881 | |
| Swedish Krona, Expiring 03/18/15 | | CitiBank | | SEK | | | (216,868,500 | ) | | | (28,670,117 | ) | | | (27,826,882 | ) | | | 843,235 | |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | (216,868,500 | ) | | | (28,670,396 | ) | | | (27,826,883 | ) | | | 843,513 | |
| Singapore Dollar, Expiring 03/18/15 | | CitiBank | | SGD | | | (1,990,500 | ) | | | (1,513,750 | ) | | | (1,500,781 | ) | | | 12,969 | |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (1,990,500 | ) | | | (1,513,710 | ) | | | (1,500,781 | ) | | | 12,929 | |
Turkish Lira,
Expiring 03/18/15 | | CitiBank | | TRY | | | (7,290,000 | ) | | | (3,048,855 | ) | | | (3,073,104 | ) | | | (24,249 | ) |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (7,290,000 | ) | | | (3,049,510 | ) | | | (3,073,104 | ) | | | (23,594 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | CitiBank | | TWD | | | (114,950,000 | ) | | | (3,690,174 | ) | | | (3,639,064 | ) | | | 51,110 | |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | (114,950,000 | ) | | | (3,690,321 | ) | | | (3,639,064 | ) | | | 51,257 | |
| South African Rand, Expiring 03/18/15 | | CitiBank | | ZAR | | | (34,200,000 | ) | | | (2,915,517 | ) | | | (2,921,673 | ) | | | (6,156 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (34,200,000 | ) | | | (2,916,190 | ) | | | (2,921,672 | ) | | | (5,482 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (463,308,373 | ) | | | (457,038,497 | ) | | | 6,269,876 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(224,185,310 | ) | | | $(221,445,734 | ) | | | $2,739,576 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
138
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | |
Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $11, at December 31, 2014. Additional cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $1,060,000 at December 31, 2014. Additional cash held as collateral at CitiBank for forward foreign currency exchange contracts in the amount of $2,720,000 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
139
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| LONG INVESTMENTS - 86.3% | | SHARES | | | VALUE (Note 5) | |
| COMMON STOCKS - 13.7% | | | | | | |
| | |
| Brazil - 1.1% | | | | | | | | |
| AMBEV SA ADR (1) | | | 221,500 | | | $ | 1,377,730 | |
| Banco Bradesco SA ADR (1) | | | 174,860 | | | | 2,337,878 | |
| Banco do Brasil SA (1) | | | 100,100 | | | | 895,108 | |
| BB Seguridade Participacoes SA (1) | | | 35,600 | | | | 430,704 | |
| BR Malls Participacoes SA (1) | | | 30,100 | | | | 186,044 | |
| BR Properties SA (1) | | | 11,500 | | | | 44,344 | |
| BRF SA ADR (1)(a) | | | 27,600 | | | | 644,460 | |
| Cia Brasileira de Distribuicao ADR (1)(a) | | | 18,300 | | | | 673,989 | |
| Cia Energetica de Minas Gerais ADR (1)(a) | | | 131,577 | | | | 653,938 | |
| Estacio Participacoes SA (1) | | | 102,000 | | | | 914,017 | |
| Fibria Celulose SA ADR (1)†(a) | | | 26,100 | | | | 316,593 | |
| Gerdau SA ADR (1)(a) | | | 146,700 | | | | 520,785 | |
| Itau Unibanco Holding SA ADR (1) | | | 166,034 | | | | 2,160,102 | |
| JBS SA (1) | | | 154,293 | | | | 650,095 | |
| Kroton Educacional SA (1) | | | 280,000 | | | | 1,632,684 | |
| Multiplan Empreendimentos Imobiliarios SA (1) | | | 5,700 | | | | 101,726 | |
| Petroleo Brasileiro SA ADR (1)(a) | | | 170,000 | | | | 1,288,600 | |
| Porto Seguro SA (1) | | | 83,400 | | | | 953,788 | |
| Qualicorp SA (1)† | | | 53,100 | | | | 555,331 | |
| Tim Participacoes SA ADR (1)(a) | | | 33,800 | | | | 750,698 | |
| Vale SA ADR (1)(a) | | | 22,900 | | | | 166,254 | |
| | | | | | | | |
| | | | | | | 17,254,868 | |
| | | | | | | | |
| Chile - 0.0% (b) | | | | | | |
| Banco de Chile (1) | | | 812,591 | | | | 94,153 | |
| Banco de Credito e Inversiones (1) | | | 1,368 | | | | 67,496 | |
| Enersis SA ADR (1)(a) | | | 27,300 | | | | 437,619 | |
| | | | | | | | |
| | | | | | | 599,268 | |
| | | | | | | | |
| China - 2.0% | | | | | | |
Agricultural Bank of China Ltd., H Shares (a) | | | 3,003,000 | | | | 1,510,406 | |
| Bank of China Ltd., H Shares (a) | | | 6,136,000 | | | | 3,443,949 | |
| Bank of Communications Co., Ltd., H Shares (a) | | | 596,000 | | | | 554,143 | |
| Beijing Capital International Airport Co., Ltd., H Shares | | | 160,000 | | | | 127,545 | |
| China BlueChemical Ltd., H Shares (a) | | | 542,000 | | | | 191,694 | |
| China CITIC Bank Corp. Ltd., H Shares (a) | | | 1,033,000 | | | | 823,549 | |
China Construction Bank Corp., H Shares (a) | | | 4,752,000 | | | | 3,881,351 | |
| China Merchants Bank Co., Ltd., H Shares (a) | | | 151,500 | | | | 378,167 | |
| China Petroleum & Chemical Corp. ADR (1)(a) | | | 21,920 | | | | 1,775,739 | |
| China Telecom Corp. Ltd., H Shares (a) | | | 2,258,000 | | | | 1,309,611 | |
| CNOOC Ltd. ADR (1)(a) | | | 10,000 | | | | 1,354,400 | |
| Country Garden Holdings Co., Ltd. (a) | | | 329,000 | | | | 131,277 | |
| CSPC Pharmaceutical Group Ltd. (a) | | | 608,000 | | | | 534,411 | |
| Dongfeng Motor Group Co., Ltd., H Shares (a) | | | 1,318,000 | | | | 1,843,649 | |
| Evergrande Real Estate Group Ltd. | | | 295,000 | | | | 118,879 | |
| GOME Electrical Appliances Holding Ltd. (a) | | | 8,420,000 | | | | 1,230,712 | |
| Guangzhou R&F Properties Co., Ltd., H Shares | | | 69,600 | | | | 84,739 | |
| Huaneng Power International, Inc., H Shares (a) | | | 514,000 | | | | 694,539 | |
| Industrial & Commercial Bank of China Ltd., H Shares (a) | | | 4,824,000 | | | | 3,522,448 | |
| Longfor Properties Co., Ltd. | | | 73,000 | | | | 93,597 | |
| PetroChina Co., Ltd. ADR (1)(a) | | | 10,200 | | | | 1,131,792 | |
| Sihuan Pharmaceutical Holdings Group Ltd. (a) | | | 1,578,000 | | | | 1,049,620 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| China - 2.0% (continued) | | | | | | |
| Sino-Ocean Land Holdings Ltd. | | | 136,500 | | | $ | 76,963 | |
| Sinopec Shanghai Petrochemical Co., Ltd., H Shares (a) | | | 3,121,000 | | | | 909,416 | |
| SOHO China Ltd. | | | 39,000 | | | | 27,507 | |
| Tencent Holdings Ltd. (a) | | | 211,000 | | | | 3,052,944 | |
Zhejiang Expressway Co., Ltd.,
H Shares (a) | | | 428,000 | | | | 495,651 | |
| | | | | | | | |
| | | | | | | 30,348,698 | |
| | | | | | | | |
| France - 0.1% | | | | | | |
| Lafarge SA (a) | | | 13,675 | | | | 959,986 | |
| | | | | | | | |
| | |
| Hong Kong - 0.8% | | | | | | | | |
| China Gas Holdings Ltd. (a) | | | 524,000 | | | | 820,625 | |
| China Mobile Ltd. ADR (1) | | | 112,500 | | | | 6,617,250 | |
| China Overseas Land & Investment Ltd. (a) | | | 296,000 | | | | 875,636 | |
| China Resources Land Ltd. (a) | | | 146,000 | | | | 383,691 | |
| China Resources Power Holdings Co., Ltd. (a) | | | 352,000 | | | | 897,855 | |
| Guangdong Investment Ltd . (a) | | | 268,000 | | | | 348,643 | |
| Shimao Property Holdings Ltd. (a) | | | 102,500 | | | | 226,997 | |
| Shougang Fushan Resources Group Ltd. (a) | | | 388,000 | | | | 84,297 | |
| Sino Biopharmaceutical Ltd. (a) | | | 2,368,000 | | | | 2,133,819 | |
| Yuexiu Property Co., Ltd. | | | 354,000 | | | | 67,740 | |
| | | | | | | | |
| | | | | | | 12,456,553 | |
| | | | | | | | |
| India - 0.5% | | | | | | |
| Dr. Reddy’s Laboratories Ltd. ADR (1)(a) | | | 21,500 | | | | 1,084,675 | |
| Infosys Ltd. ADR (1) | | | 70,200 | | | | 2,208,492 | |
| Tata Motors Ltd. ADR (1) | | | 84,300 | | | | 3,564,204 | |
| Wipro Ltd. ADR (1)(a) | | | 105,557 | | | | 1,194,905 | |
| | | | | | | | |
| | | | | | | 8,052,276 | |
| | | | | | | | |
| Indonesia - 0.4% | | | | | | |
| Adaro Energy Tbk PT | | | 6,765,300 | | | | 564,461 | |
| Astra Agro Lestari Tbk PT | | | 106,000 | | | | 207,122 | |
| Bank Negara Indonesia Persero Tbk PT | | | 2,134,400 | | | | 1,045,845 | |
| Bank Rakyat Indonesia Persero Tbk PT | | | 1,111,300 | | | | 1,044,600 | |
| Bumi Serpong Damai Tbk PT | | | 513,800 | | | | 74,574 | |
| Indo Tambangraya Megah Tbk PT | | | 38,700 | | | | 47,733 | |
| Indocement Tunggal Prakarsa Tbk PT | | | 63,400 | | | | 127,925 | |
| Indofood Sukses Makmur Tbk PT | | | 1,202,600 | | | | 655,639 | |
| Lippo Karawaci Tbk PT | | | 1,115,100 | | | | 91,554 | |
| Perusahaan Gas Negara Persero Tbk PT | | | 1,974,500 | | | | 955,506 | |
| Telekomunikasi Indonesia Persero Tbk PT ADR (1) | | | 28,500 | | | | 1,289,055 | |
| | | | | | | | |
| | | | | | | 6,104,014 | |
| | | | | | | | |
| Japan - 0.2% | | | | | | |
| Tokyo Electron Ltd. (a) | | | 43,091 | | | | 3,267,600 | |
| | | | | | | | |
| | |
| Korea, Republic of - 1.4% | | | | | | | | |
| Amorepacific Corp. † | | | 402 | | | | 811,583 | |
| AMOREPACIFIC Group † | | | 415 | | | | 375,343 | |
| Coway Co., Ltd. † | | | 6,809 | | | | 519,197 | |
| DGB Financial Group, Inc. † | | | 6,960 | | | | 71,543 | |
| Dongbu Insurance Co., Ltd. † | | | 21,268 | | | | 1,062,077 | |
| Hana Financial Group, Inc. | | | 1,981 | | | | 57,374 | |
| Hanwha Corp. † | | | 9,693 | | | | 274,052 | |
| Hanwha Life Insurance Co., Ltd. † | | | 34,763 | | | | 262,648 | |
| Hyosung Corp. † | | | 11,899 | | | | 738,451 | |
| Hyundai Department Store Co., Ltd. † | | | 3,150 | | | | 350,358 | |
| Hyundai Development Co.-Engineering & Construction † | | | 15,243 | | | | 534,478 | |
| Hyundai Mobis Co., Ltd. † | | | 6,387 | | | | 1,366,478 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
140
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Korea, Republic of - 1.4% (continued) | | | | | | |
| Industrial Bank of Korea † | | | 38,092 | | | $ | 487,295 | |
| Korea Electric Power Corp. † | | | 48,797 | | | | 1,880,296 | |
| Korea Zinc Co., Ltd. † | | | 2,380 | | | | 869,929 | |
| Korean Air Lines Co., Ltd. † | | | 37,714 | | | | 1,617,706 | |
| KT Corp. ADR (1) | | | 6,400 | | | | 90,368 | |
| LG Display Co., Ltd. ADR (1)† | | | 82,100 | | | | 1,243,815 | |
| Mirae Asset Securities Co., Ltd. † | | | 10,922 | | | | 424,726 | |
| NAVER Corp. † | | | 1,559 | | | | 998,438 | |
| Samsung Card Co., Ltd. † | | | 15,756 | | | | 633,444 | |
| Samsung Fire & Marine Insurance Co., Ltd. † | | | 1,706 | | | | 437,783 | |
| Shinhan Financial Group Co., Ltd. † | | | 9,780 | | | | 393,108 | |
| SK Holdings Co., Ltd. † | | | 7,811 | | | | 1,159,370 | |
| SK Hynix, Inc. † | | | 74,126 | | | | 3,167,806 | |
| SK Networks Co., Ltd. † | | | 50,556 | | | | 407,518 | |
| SK Telecom Co., Ltd. ADR (1) | | | 61,400 | | | | 1,658,414 | |
| | | | | | | | |
| | | | | | | 21,893,598 | |
| | | | | | | | |
| Malaysia - 0.3% | | | | | | |
| Alliance Financial Group Bhd | | | 124,000 | | | | 166,637 | |
| Genting Malaysia Bhd | | | 87,500 | | | | 101,607 | |
| Hong Leong Bank Bhd | | | 3,900 | | | | 15,583 | |
| IOI Corp. Bhd | | | 334,200 | | | | 458,658 | |
| Malayan Banking Bhd | | | 146,800 | | | | 384,443 | |
| MISC Bhd | | | 251,200 | | | | 518,276 | |
| Petronas Chemicals Group Bhd | | | 181,400 | | | | 282,121 | |
| RHB Capital Bhd | | | 25,700 | | | | 55,870 | |
| Tenaga Nasional Bhd | | | 755,900 | | | | 2,977,078 | |
| UEM Sunrise Bhd | | | 109,900 | | | | 44,045 | |
| | | | | | | | |
| | | | | | | 5,004,318 | |
| | | | | | | | |
| Mexico - 0.8% | | | | | | |
| Alfa SAB de CV, Class A (1)†(a) | | | 417,500 | | | | 932,133 | |
| America Movil SAB de CV, Class L ADR (1)(a) | | | 224,200 | | | | 4,972,756 | |
| Arca Continental SAB de CV (1)†(a) | | | 164,400 | | | | 1,040,081 | |
| Cemex SAB de CV ADR (1)† | | | 47,112 | | | | 480,071 | |
| Compartamos SAB de CV (1)†(a) | | | 633,100 | | | | 1,272,315 | |
| Fibra Uno Administracion SA de CV REIT (1)(a) | | | 139,100 | | | | 409,934 | |
| Fomento Economico Mexicano SAB de CV ADR (1)†(a) | | | 7,700 | | | | 677,831 | |
| Gruma SAB de CV, Class B (1)(a) | | | 62,600 | | | | 667,507 | |
| Grupo Aeroportuario del Pacifico SAB de CV ADR (1)(a) | | | 2,200 | | | | 139,040 | |
| Grupo Bimbo SAB de CV, Series A (1)†(a) | | | 159,944 | | | | 441,225 | |
| Grupo Financiero Inbursa SAB de CV, Class O (1) | | | 75,500 | | | | 194,868 | |
| Grupo Lala SAB de CV (1) | | | 42,200 | | | | 81,318 | |
| Grupo Televisa SAB ADR (1)†(a) | | | 24,200 | | | | 824,252 | |
| Industrias Penoles SAB de CV (1) | | | 2,670 | | | | 52,212 | |
| Kimberly-Clark de Mexico SAB de CV, Class A (1)(a) | | | 147,700 | | | | 321,253 | |
| Mexichem SAB de CV (1)†(a) | | | 75,700 | | | | 229,916 | |
| OHL Mexico SAB de CV (1)† | | | 63,200 | | | | 117,158 | |
| | | | | | | | |
| | | | | | | 12,853,870 | |
| | | | | | | | |
| Peru - 0.1% | | | | | | |
| Cia de Minas Buenaventura SAA ADR (1)(a) | | | 9,100 | | | | 86,996 | |
| Credicorp Ltd. (1)(a) | | | 3,200 | | | | 512,576 | |
| | | | | | | | |
| | | | | | | 599,572 | |
| | | | | | | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Poland - 0.4% | | | | | | |
| Bank Pekao SA | | | 2,081 | | | $ | 104,583 | |
| Bank Zachodni WBK SA | | | 6,599 | | | | 695,867 | |
| Jastrzebska Spolka Weglowa SA † | | | 6,858 | | | | 32,264 | |
| KGHM Polska Miedz SA | | | 20,465 | | | | 623,874 | |
| Orange Polska SA | | | 256,316 | | | | 598,903 | |
| PGE Polska Grupa Energetyczna SA | | | 494,516 | | | | 2,614,619 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 373,963 | | | | 466,351 | |
| Powszechny Zaklad Ubezpieczen SA | | | 1,891 | | | | 258,069 | |
| Tauron Polska Energia SA | | | 263,663 | | | | 372,812 | |
| | | | | | | | |
| | | | | | | 5,767,342 | |
| | | | | | | | |
| South Africa - 0.8% | | | | | | |
| African Rainbow Minerals Ltd. | | | 14,945 | | | | 153,042 | |
| AngloGold Ashanti Ltd. ADR (1)†(a) | | | 65,100 | | | | 566,370 | |
| FirstRand Ltd. | | | 182,979 | | | | 795,448 | |
| Growthpoint Properties Ltd. REIT | | | 98,764 | | | | 234,663 | |
| Investec Ltd. | | | 107,728 | | | | 902,838 | |
| Liberty Holdings Ltd. | | | 39,539 | | | | 418,984 | |
| MMI Holdings Ltd. | | | 236,680 | | | | 613,954 | |
| MTN Group Ltd. | | | 113,877 | | | | 2,166,229 | |
| Naspers Ltd., N Shares | | | 11,903 | | | | 1,539,715 | |
| Netcare Ltd. | | | 68,618 | | | | 224,251 | |
| Northam Platinum Ltd. † | | | 29,409 | | | | 92,703 | |
| Redefine Properties Ltd. REIT | | | 197,093 | | | | 182,299 | |
| Remgro Ltd. | | | 19,213 | | | | 420,317 | |
| RMB Holdings Ltd. | | | 162,799 | | | | 899,052 | |
| Sanlam Ltd. | | | 152,387 | | | | 916,956 | |
| Sasol Ltd. ADR (1)(a) | | | 30,200 | | | | 1,146,694 | |
| Vodacom Group Ltd. | | | 4,962 | | | | 54,906 | |
| Woolworths Holdings Ltd. | | | 179,260 | | | | 1,188,805 | |
| | | | | | | | |
| | | | | | | 12,517,226 | |
| | | | | | | | |
| Taiwan - 1.5% | | | | | | |
| Advanced Semiconductor Engineering, Inc. | | | 164,000 | | | | 194,771 | |
| AU Optronics Corp. | | | 2,127,000 | | | | 1,079,596 | |
| Chicony Electronics Co., Ltd. | | | 177,087 | | | | 493,120 | |
| China Motor Corp. | | | 211,000 | | | | 186,371 | |
| CTBC Financial Holding Co., Ltd. | | | 1,280,690 | | | | 828,540 | |
| Delta Electronics, Inc. | | | 59,000 | | | | 348,645 | |
| Far EasTone Telecommunications Co., Ltd. | | | 33,000 | | | | 76,024 | |
| Fubon Financial Holding Co., Ltd. | | | 1,797,297 | | | | 2,860,810 | |
| Hon Hai Precision Industry Co., Ltd. | | | 936,052 | | | | 2,584,921 | |
| Inotera Memories, Inc. † | | | 2,836,000 | | | | 4,449,678 | |
| Inventec Corp. | | | 920,000 | | | | 615,296 | |
| Kinsus Interconnect Technology Corp. | | | 423,000 | | | | 1,397,643 | |
| Largan Precision Co., Ltd. | | | 42,000 | | | | 3,143,963 | |
| Lite-On Technology Corp. | | | 103,535 | | | | 118,276 | |
| MediaTek, Inc. | | | 120,176 | | | | 1,747,050 | |
| President Chain Store Corp. | | | 140,000 | | | | 1,081,335 | |
| Realtek Semiconductor Corp. | | | 225,833 | | | | 749,951 | |
| Ruentex Development Co., Ltd. | | | 48,000 | | | | 75,868 | |
| Taiwan Cooperative Financial Holding Co., Ltd. | | | 113,804 | | | | 58,503 | |
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)(a) | | | 44,700 | | | | 1,000,386 | |
| Uni-President Enterprises Corp. | | | 402,642 | | | | 636,743 | |
| Walsin Lihwa Corp. † | | | 249,000 | | | | 78,098 | |
| | | | | | | | |
| | | | | | | 23,805,588 | |
| | | | | | | | |
| Thailand - 0.2% | | | | | | |
| Airports of Thailand PCL NVDR | | | 175,000 | | | | 1,490,964 | |
| Bangkok Bank PCL NVDR | | | 22,000 | | | | 129,219 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
141
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Thailand - 0.2% (continued) | | | | | | |
| BEC World PCL NVDR | | | 209,700 | | | $ | 324,541 | |
| Bumrungrad Hospital PCL NVDR | | | 18,600 | | | | 79,363 | |
| Kasikornbank PCL NVDR | | | 27,600 | | | | 190,888 | |
| Krung Thai Bank PCL NVDR | | | 1,197,000 | | | | 821,210 | |
| PTT Exploration & Production PCL NVDR | | | 191,200 | | | | 647,477 | |
| | | | | | | | |
| | | | | | | 3,683,662 | |
| | | | | | | | |
| Turkey - 0.4% | | | | | | |
| BIM Birlesik Magazalar AS | | | 49,236 | | | | 1,052,906 | |
| Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | | | 116,228 | | | | 137,471 | |
| Enka Insaat ve Sanayi AS | | | 201,860 | | | | 455,510 | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 281,143 | | | | 534,900 | |
| Koza Altin Isletmeleri AS | | | 82,071 | | | | 548,733 | |
| TAV Havalimanlari Holding AS | | | 162,076 | | | | 1,323,132 | |
| Turkiye Halk Bankasi AS | | | 176,886 | | | | 1,047,800 | |
| Turkiye Is Bankasi, Class C | | | 78,680 | | | | 226,238 | |
| Turkiye Sise ve Cam Fabrikalari AS | | | 124,992 | | | | 194,132 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Turkey - 0.4% (continued) | | | | | | |
| Turkiye Vakiflar Bankasi Tao, Class D | | | 312,023 | | | $ | 648,977 | |
| | | | | | | | |
| | | | | | | 6,169,799 | |
| | | | | | | | |
| United States - 2.7% | | | | | | |
| Cubist Pharmaceuticals, Inc. (1)† | | | 113,785 | | | | 11,452,460 | |
| Herbalife Ltd. (1)(a) | | | 2,771 | | | | 104,467 | |
| Regeneron Pharmaceuticals, Inc. (1)† | | | 60,884 | | | | 24,977,661 | |
| Sirius XM Holdings, Inc. (1)† | | | 1,507,206 | | | | 5,275,221 | |
| Southern Copper Corp. (1)(a) | | | 8,101 | | | | 228,448 | |
| | | | | | | | |
| | | | | | | 42,038,257 | |
| | | | | | | | |
TOTAL COMMON STOCKS (cost $205,282,290) | | | | | | | 213,376,495 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.1% | | | | | | | | |
| Brazil - 0.1% | | | | | | |
| Cia Energetica de Sao Paulo, Series B (1) | | | | | | | | |
(cost $781,503) | | | 86,600 | | | | 873,428 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | |
| CONVERTIBLE PREFERRED STOCKS - 4.1% | | | | | | | | SHARES | | | VALUE (Note 5) | |
| United States - 4.1% | | | | | | | | | | | | | | | | |
| Alcoa, Inc., Series 1, $50.00 par, 5.375% 10/01/17 (1) † | | | | | | | | | | | 16,075 | | | $ | 810,984 | |
| Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1) (c) | | | | | | | | | | | 30,900 | | | | 3,476,250 | |
| Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% 05/17/15 †(a)(c)(d) | | | | | | | | | | | 400 | | | | 414,250 | |
| Dominion Resources, Inc., $50.00 par, 6.375% 07/01/17 (1) † | | | | | | | | | | | 19,150 | | | | 995,991 | |
| Dominion Resources, Inc., Series A, $49.00 par, 6.125% 04/01/16 (1) | | | | | | | | | | | 101,200 | | | | 6,073,012 | |
| Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1) † | | | | | | | | | | | 179,350 | | | | 10,782,522 | |
| NextEra Energy, Inc., $50.00 par, 5.599% 06/01/15 (1) † | | | | | | | | | | | 139,250 | | | | 9,545,588 | |
| NextEra Energy, Inc., $50.00 par, 5.799% 09/01/16 (1) † | | | | | | | | | | | 95,325 | | | | 5,499,299 | |
| NextEra Energy, Inc., $50.00 par, 5.889% 09/01/15 (1) † | | | | | | | | | | | 169,900 | | | | 11,373,106 | |
| Omnicare Capital Trust II, Series B, $50.00 par, 4.000% 06/15/33 † | | | | | | | | | | | 4,950 | | | | 441,633 | |
| Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500% 02/15/19 †(a)(c)(d) | | | | | | | | | | | 22,177 | | | | 1,858,710 | |
| T-Mobile US, Inc., $50.00 par, 5.500% 12/15/17 (1) † | | | | | | | | | | | 160,075 | | | | 8,482,374 | |
| Tyson Foods, Inc., $50.00 par, 4.750% 07/15/17 (1) | | | | | | | | | | | 93,500 | | | | 4,706,790 | |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $58,956,910) | | | | | | | | | | | | | | | 64,460,509 | |
| | | | | | | | | | | | | | | | |
| | | | |
| CORPORATE BONDS - 0.1% | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’s) | | | | |
| United States - 0.1% | | | | | | | | | | | | | | | | |
Forest Oil Corp. (a)
(cost $3,964,123) | | | 7.250% | | | | 06/15/19 | | | $ | 3,950 | | | | 1,422,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
| CONVERTIBLE BONDS - 26.5% | | | | | | | | | | | | |
| Canada - 0.1% | | | | | | | | | | | | | | | | |
| Element Financial Corp. 144A (a)(d) | | | 5.125% | | | | 06/30/19 | | | | 1,550 | | | | 1,440,868 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Cayman Islands - 0.1% | | | | | | | | | | | | | | | | |
| Herbalife Ltd. 144A (d) | | | 2.000% | | | | 08/15/19 | | | | 3,000 | | | | 2,205,000 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Malta - 0.1% | | | | | | | | | | | | | | | | |
| Lufthansa Malta Blues LP, Series JBLU 144A (a)(d) | | | 0.750% | | | | 04/05/17 | | | | 475 | | | | 1,494,067 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Mexico - 0.0% (b) | | | | | | | | | | | | | | | | |
| Cemex SAB de CV | | | 3.750% | | | | 03/15/18 | | | | 350 | | | | 421,969 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
142
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | |
| | | INTEREST
RATE | | | MATURITY
DATE | | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE (Note 5) | |
| | | | |
| Monaco - 0.1% | | | | | | | | | | | | | | | | |
| Scorpio Tankers, Inc. 144A (a)(d) | | | 2.375% | | | | 07/01/19 | | | $ | 1,050 | | | $ | 1,000,781 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Netherlands - 0.6% | | | | | | | | | | | | | | | | |
| Fiat Chrysler Automobiles NV (1) | | | 7.875% | | | | 12/15/16 | | | | 5,848 | | | | 6,286,062 | |
| NXP Semiconductors NV 144A (a)(d) | | | 1.000% | | | | 12/01/19 | | | | 2,550 | | | | 2,612,156 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,898,218 | |
| | | | | | | | | | | | | | | | |
| United States - 25.5% | | | | | | | | | | | | | | | | |
| Acorda Therapeutics, Inc. (a) | | | 1.750% | | | | 06/15/21 | | | | 275 | | | | 316,422 | |
| Alpha Natural Resources, Inc. (a) | | | 4.875% | | | | 12/15/20 | | | | 200 | | | | 73,750 | |
| American Realty Capital Properties, Inc. (a) | | | 3.000% | | | | 08/01/18 | | | | 3,525 | | | | 3,254,015 | |
| American Realty Capital Properties, Inc. (a) | | | 3.750% | | | | 12/15/20 | | | | 525 | | | | 482,344 | |
| Annaly Capital Management, Inc. (a) | | | 5.000% | | | | 05/15/15 | | | | 2,650 | | | | 2,663,250 | |
| Ares Capital Corp. 144A (a)(d) | | | 5.750% | | | | 02/01/16 | | | | 417 | | | | 429,771 | |
| Ciena Corp. (a) | | | 4.000% | | | | 12/15/20 | | | | 1,166 | | | | 1,445,111 | |
| DDR Corp. | | | 1.750% | | | | 11/15/40 | | | | 1,670 | | | | 2,067,669 | |
| Electronic Arts, Inc. | | | 0.750% | | | | 07/15/16 | | | | 450 | | | | 677,813 | |
| Equinix, Inc. | | | 4.750% | | | | 06/15/16 | | | | 4,450 | | | | 12,510,063 | |
| General Cable Corp. (a)(e) | | | 4.500% | | | | 11/15/29 | | | | 1,370 | | | | 988,969 | |
| Health Care REIT, Inc. | | | 3.000% | | | | 12/01/29 | | | | 4,550 | | | | 6,822,156 | |
| Intel Corp. | | | 3.250% | | | | 08/01/39 | | | | 10,800 | | | | 18,778,500 | |
| Lennar Corp. 144A (d) | | | 3.250% | | | | 11/15/21 | | | | 3,325 | | | | 6,450,500 | |
| Lennar Corp. 144A (d) | | | 2.750% | | | | 12/15/20 | | | | 2,650 | | | | 5,353,000 | |
| LinkedIn Corp. 144A (a)(d) | | | 0.500% | | | | 11/01/19 | | | | 10,250 | | | | 10,813,750 | |
| Meritor, Inc. | | | 7.875% | | | | 03/01/26 | | | | 600 | | | | 988,125 | |
| MGIC Investment Corp. (a) | | | 5.000% | | | | 05/01/17 | | | | 3,250 | | | | 3,633,906 | |
| MGIC Investment Corp. (a) | | | 2.000% | | | | 04/01/20 | | | | 10,000 | | | | 14,631,250 | |
| MGM Resorts International (a)* | | | 4.250% | | | | 04/15/15 | | | | 6,950 | | | | 8,201,000 | |
| Microchip Technology, Inc. | | | 2.125% | | | | 12/15/37 | | | | 24,375 | | | | 43,478,906 | |
| Micron Technology, Inc., Series C | | | 2.375% | | | | 05/01/32 | | | | 8,875 | | | | 32,338,281 | |
| Micron Technology, Inc., Series F | | | 2.125% | | | | 02/15/33 | | | | 1,300 | | | | 4,172,187 | |
| NorthStar Realty Finance LP 144A (a)(d) | | | 5.375% | | | | 06/15/33 | | | | 100 | | | | 196,438 | |
| Novellus Systems, Inc. | | | 2.625% | | | | 05/15/41 | | | | 11,700 | | | | 26,822,250 | |
| NRG Yield, Inc. 144A (d) | | | 3.500% | | | | 02/01/19 | | | | 2,925 | | | | 3,224,813 | |
| Palo Alto Networks, Inc. 144A (a)(d) | | | 0.000% | | | | 07/01/19 | | | | 500 | | | | 631,563 | |
| PHH Corp. (a) | | | 6.000% | | | | 06/15/17 | | | | 14,402 | | | | 28,398,944 | |
| Prospect Capital Corp. 144A (a)(d) | | | 4.750% | | | | 04/15/20 | | | | 1,100 | | | | 1,029,875 | |
| Radian Group, Inc. | | | 3.000% | | | | 11/15/17 | | | | 6,425 | | | | 9,818,203 | |
| Radian Group, Inc. | | | 2.250% | | | | 03/01/19 | | | | 6,525 | | | | 10,493,016 | |
| SanDisk Corp. | | | 1.500% | | | | 08/15/17 | | | | 11,190 | | | | 21,484,800 | |
| SL Green Operating Partnership LP 144A (a)(d) | | | 3.000% | | | | 10/15/17 | | | | 5,325 | | | | 7,834,406 | |
| Spirit Realty Capital, Inc. (a) | | | 2.875% | | | | 05/15/19 | | | | 225 | | | | 219,094 | |
| Starwood Property Trust, Inc. (a) | | | 4.550% | | | | 03/01/18 | | | | 4,275 | | | | 4,542,187 | |
| Starwood Property Trust, Inc. | | | 4.000% | | | | 01/15/19 | | | | 4,350 | | | | 4,798,594 | |
| Stillwater Mining Co. (a) | | | 1.750% | | | | 10/15/32 | | | | 2,100 | | | | 2,593,500 | |
| SunEdison, Inc. 144A (d) | | | 2.000% | | | | 10/01/18 | | | | 8,150 | | | | 11,960,125 | |
| SunEdison, Inc. 144A (d) | | | 0.250% | | | | 01/15/20 | | | | 950 | | | | 920,312 | |
| SunEdison, Inc. 144A (d) | | | 2.750% | | | | 01/01/21 | | | | 5,575 | | | | 8,352,047 | |
| SunPower Corp. | | | 4.500% | | | | 03/15/15 | | | | 1,300 | | | | 1,516,937 | |
| Take-Two Interactive Software, Inc. (a) | | | 1.750% | | | | 12/01/16 | | | | 2,450 | | | | 3,705,625 | |
| Tesla Motors, Inc. | | | 1.500% | | | | 06/01/18 | | | | 8,500 | | | | 15,788,750 | |
| UTi Worldwide, Inc. 144A (a)(d) | | | 4.500% | | | | 03/01/19 | | | | 3,275 | | | | 3,616,828 | |
| VeriSign, Inc. | | | 4.086% | | | | 08/15/37 | | | | 19,969 | | | | 34,209,393 | |
| Vishay Intertechnology, Inc. 144A (a)(d) | | | 2.250% | | | | 11/15/40 | | | | 1,175 | | | | 1,302,047 | |
| WebMD Health Corp. (a) | | | 1.500% | | | | 12/01/20 | | | | 1,775 | | | | 1,771,672 | |
| WellPoint, Inc. (a) | | | 2.750% | | | | 10/15/42 | | | | 7,975 | | | | 13,726,969 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 399,529,126 | |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS
(cost $339,901,066) | | | | | | | | | | | | | | | 414,990,029 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
143
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (b) | | SHARES | | | VALUE
(Note 5) | |
Dufry AG (3) †(i)
(cost $—) | | | (4,816 | ) | | $ | — | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 38.3% | | | | | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (f)^ | | | 1,000,097 | | | | 1,000,097 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (f)^ | | | 4,000,388 | | | | 4,000,388 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (f)^ | | | 172,202,636 | | | | 172,202,636 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (f)(g)^ | | | 416,830,116 | | | | 416,830,116 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (f)^ | | | 5,000,819 | | | | 5,000,819 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $599,034,056) | | | | | | | 599,034,056 | |
| | | | | | | | |
| | |
SHORT-TERM
INVESTMENTS - 3.4% | | PRINCIPAL
AMOUNT (000’s) | | | | |
| U.S. Treasury Bill, 0.055%, 1/29/2015 (h)^ | | $ | 25,758 | | | | 25,757,510 | |
| U.S. Treasury Bill, 0.067%, 5/28/2015 (h)^ | | | 11,300 | | | | 11,297,017 | |
| U.S. Treasury Bill, 0.045%, 2/5/2015 (h)^ | | | 16,427 | | | | 16,426,606 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $53,480,094) | | | | | | | 53,481,133 | |
| | | | | | | | |
|
| U.S. TREASURY OBLIGATIONS - 0.1% | |
U.S. Treasury Note 0.250%, 08/15/15
(cost $1,727,231) | | | 1,725 | | | | 1,725,675 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE
(cost $1,263,127,273) | | | | | | | 1,349,363,325 | |
| | | | | | | | |
| | |
| SECURITIES SOLD SHORT- (27.2)% | | SHARES | | | | |
| | |
| COMMON STOCKS - (27.1)% | | | | | | |
| | |
| Canada - 0.0% (b) | | | | | | | | |
| Element Financial Corp. (1) | | | (44,286 | ) | | | (538,995 | ) |
| | | | | | | | |
|
| Mexico - 0.0% (b) | |
| Cemex SAB de CV ADR (1) | | | (27,940 | ) | | | (284,709 | ) |
| | | | | | | | |
|
| Monaco - 0.0% (b) | |
| Scorpio Tankers, Inc. (1) | | | (52,932 | ) | | | (459,979 | ) |
| | | | | | | | |
|
| Netherlands - (0.1)% | |
| NXP Semiconductor NV (1) | | | (15,001 | ) | | | (1,146,076 | ) |
| | | | | | | | |
|
| Spain - 0.0% (b) | |
| Banco Santander SA | | | (1,654 | ) | | | (13,882 | ) |
| | | | | | | | |
|
| Switzerland - (0.1)% | |
| Holcim Ltd. | | | (13,675 | ) | | | (977,546 | ) |
| | | | | | | | |
| | | | | | | | |
| | |
| | | SHARES | | | VALUE
(Note 5) | |
|
| United States - (26.9)% | |
| Acorda Therapeutics, Inc. (1)† | | | (4,652 | ) | | $ | (190,127 | ) |
| Alcoa, Inc. (1) | | | (38,299 | ) | | | (604,741 | ) |
| Alpha Natural Resources, Inc. (1)† | | | (15,100 | ) | | | (25,217 | ) |
| American Realty Capital Properties, Inc. REIT (1) | | | (47,479 | ) | | | (429,685 | ) |
| Anthem, Inc. (1) | | | (89,529 | ) | | | (11,251,109 | ) |
| Applied Materials, Inc. (1) | | | (140,047 | ) | | | (3,489,971 | ) |
| Ares Capital Corp. (1) | | | (1,526 | ) | | | (23,813 | ) |
| Bunge Ltd. (1) | | | (11,441 | ) | | | (1,040,101 | ) |
| Chesapeake Energy Corp. (1) | | | (8,709 | ) | | | (170,435 | ) |
| Ciena Corp. (1)† | | | (36,035 | ) | | | (699,440 | ) |
| DDR Corp. REIT (1) | | | (103,466 | ) | | | (1,899,636 | ) |
| Dominion Resources, Inc. (1) | | | (187,814 | ) | | | (14,442,897 | ) |
| Electronic Arts, Inc. (1)† | | | (12,761 | ) | | | (599,958 | ) |
| Equinix, Inc. (1) | | | (54,618 | ) | | | (12,383,539 | ) |
| General Cable Corp. (1) | | | (32,207 | ) | | | (479,884 | ) |
| Health Care REIT, Inc. REIT (1) | | | (90,469 | ) | | | (6,845,789 | ) |
| Intel Corp. (1) | | | (412,899 | ) | | | (14,984,105 | ) |
| JetBlue Airways Corp. (1)† | | | (91,783 | ) | | | (1,455,678 | ) |
| Lam Research Corp. (1) | | | (321,559 | ) | | | (25,512,491 | ) |
| Lennar Corp., Class A (1) | | | (250,338 | ) | | | (11,217,646 | ) |
| LinkedIn Corp., Class A (1)† | | | (22,272 | ) | | | (5,116,101 | ) |
| Meritor, Inc. (1)† | | | (42,500 | ) | | | (643,875 | ) |
| MGIC Investment Corp. (1)† | | | (1,289,351 | ) | | | (12,016,751 | ) |
| MGM Resorts International (1)† | | | (260,182 | ) | | | (5,562,691 | ) |
| Microchip Technology, Inc. (1) | | | (916,406 | ) | | | (41,339,075 | ) |
| Micron Technology, Inc. (1)† | | | (1,029,357 | ) | | | (36,037,789 | ) |
| NextEra Energy, Inc. (1) | | | (223,302 | ) | | | (23,734,770 | ) |
| NorthStar Realty Finance Corp. REIT (1) | | | (11,526 | ) | | | (202,627 | ) |
| NRG Yield, Inc., Class A (1) | | | (34,245 | ) | | | (1,614,309 | ) |
| Omnicare, Inc. (1) | | | (5,942 | ) | | | (433,350 | ) |
| Palo Alto Networks, Inc. (1)† | | | (3,514 | ) | | | (430,711 | ) |
| PHH Corp. (1)† | | | (1,081,206 | ) | | | (25,905,696 | ) |
| Post Holdings, Inc. (1)† | | | (38,108 | ) | | | (1,596,344 | ) |
| Prospect Capital Corp. (1) | | | (2,662 | ) | | | (21,988 | ) |
| Radian Group, Inc. (1) | | | (1,009,011 | ) | | | (16,870,664 | ) |
| Regeneron Pharmaceuticals, Inc. (1)† | | | (60,839 | ) | | | (24,959,200 | ) |
| SanDisk Corp. (1) | | | (204,812 | ) | | | (20,067,480 | ) |
| Sirius XM Holdings, Inc. (1)† | | | (1,507,206 | ) | | | (5,275,221 | ) |
| SL Green Realty Corp. REIT (1) | | | (60,718 | ) | | | (7,226,657 | ) |
| Spirit Realty Capital, Inc. REIT (1) | | | (8,161 | ) | | | (97,034 | ) |
| Starwood Property Trust, Inc. REIT (1) | | | (228,559 | ) | | | (5,311,711 | ) |
| Stillwater Mining Co. (1)† | | | (135,300 | ) | | | (1,994,322 | ) |
| SunEdison, Inc. (1)† | | | (838,790 | ) | | | (16,364,793 | ) |
| SunPower Corp. (1)† | | | (44,430 | ) | | | (1,147,627 | ) |
| Take-Two Interactive Software, Inc. (1)† | | | (114,203 | ) | | | (3,201,110 | ) |
| Tesla Motors, Inc. (1)† | | | (64,847 | ) | | | (14,422,621 | ) |
| T-Mobile US, Inc. (1)† | | | (90,107 | ) | | | (2,427,483 | ) |
| Tyson Foods, Inc., Class A (1) | | | (85,340 | ) | | | (3,421,281 | ) |
| UTi Worldwide, Inc. (1)† | | | (155,856 | ) | | | (1,881,182 | ) |
| VeriSign, Inc. (1)† | | | (534,551 | ) | | | (30,469,407 | ) |
| Vishay Intertechnology, Inc. (1) | | | (77,855 | ) | | | (1,101,648 | ) |
| WebMD Health Corp. (1)† | | | (23,245 | ) | | | (919,340 | ) |
| | | | | | | | |
| | | | | | | (419,561,120 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS SOLD SHORT
(proceeds $353,556,595) | | | | (422,982,307 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
144
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
U.S. TREASURY
OBLIGATIONS - (0.1)% | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE
(Note 5) | |
| U.S. Treasury Note, 0.250%, 8/15/15 | | | | | | | | |
(proceeds $1,725,757) | | $ | (1,725 | ) | | $ | (1,725,675 | ) |
| | | | | | | | |
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $355,282,352) | | | | | | | (424,707,982 | ) |
| | | | | | | | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 59.1%
(cost $907,844,921) | | | | | | | 924,655,343 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 40.9% (j) | | | | | | | 638,851,792 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 1,563,507,135 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | | $26,462,946 | | | | 1.6 | % |
| Consumer Staples | | | 18,148,309 | | | | 1.2 | |
| Energy | | | 10,678,397 | | | | 0.7 | |
| Financials | | | 71,434,835 | | | | 4.5 | |
| Health Care | | | 19,742,828 | | | | 1.3 | |
| Industrials | | | 12,218,078 | | | | 0.8 | |
| Information Technology | | | 57,550,176 | | | | 3.6 | |
| Materials | | | 9,036,165 | | | | 0.6 | |
| Telecommunication Services | | | 25,639,106 | | | | 1.6 | |
| Utilities | | | 21,229,314 | | | | 1.4 | |
| Money Market Funds | | | 599,034,056 | | | | 38.3 | |
| Other Investments | | | 53,481,133 | | | | 3.5 | |
| | | | | | | | |
Total Investments | | | 924,655,343 | | | | 59.1 | |
| Other Assets in Excess of Liabilities (j) | | | 638,851,792 | | | | 40.9 | |
| | | | | | | | |
Net Assets | | $ | 1,563,507,135 | | | | 100.0 | % |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $151,743,153. In addition, $377,279,845 of cash collateral was pledged. |
| (b) | Represents less than 0.05% 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 December 31, 2014. |
| (d) | 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. |
| (e) | Represents a step bond. The rate shown reflects the yield at December 31, 2014. |
| (f) | Represents annualized seven-day yield as of December 31, 2014. |
| (g) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (h) | The rate shown is the effective yield at the date of purchase. |
| (i) | Security fair valued as of December 31, 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. |
| (j) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
| ^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
| * | All or a portion of this security has been segregated for covered call options written. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
NVDR - Non-Voting Depository Receipt
REIT - Real Estate Investment Trust
Credit default swap contracts sell protection as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | REFERENCE
ENTITY | | FIXED
ANNUAL
RATE
RECEIVED
BY FUND | | | CURRENCY | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared | | | | | | | | | | | | | | | | | | | | | | | | | | |
| CitiBank | | Markit CDX North America High Yield Index Series 23 | | | 5.000% | | | USD | | | 3.557% | | | | 55,875,000 | | | | $2,991,922 | | | | 12/20/2019 | | | | $555,782 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at CitiBank for exchange cleared credit default swap contracts was $351,657.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
145
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
Open written options contracts outstanding at December 31, 2014:
Call options written
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | ISSUER | | COUNTERPARTY | | EXPIRATION DATE | | | PROCEEDS | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| 829 | | MGM Resorts International (Exercise price $19) | | J.P. Morgan | | | 3/20/2015 | | | | $(104,437 | ) | | | $(239,581 | ) | | | $(135,144 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Canadian Bond March Futures | | 3/2015 | | CAD | | | 83,857,967 | | | | $1,407,155 | |
| Bank of America | | 10-Year Japanese Government Bond March Futures | | 3/2015 | | JPY | | | (34,964,794,200 | ) | | | (1,764,660 | ) |
| Bank of America | | 30-Year Euro Buxl Bond March Futures | | 3/2015 | | EUR | | | 7,254,577 | | | | 419,965 | |
| Morgan Stanley and Co., International PLC | | Bovespa Index February Futures | | 2/2015 | | BRL | | | (493,697 | ) | | | (4,016 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | 10,948,403 | | | | (1,374,157 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | (18,139,842 | ) | | | 3,291,046 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 29,601 | | | | 1,259 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 9,404,497 | | | | 123,463 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (10,986,415 | ) | | | (228,761 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (1,964,560 | ) | | | 66,055 | |
| Bank of America | | Euro - Bobl March Futures | | 3/2015 | | EUR | | | 49,985,200 | | | | 371,988 | |
| Bank of America | | Euro - Bund March Futures | | 3/2015 | | EUR | | | 103,896,652 | | | | 2,199,224 | |
| Bank of America | | Euro - SCHATZ March Futures | | 3/2015 | | EUR | | | 56,158,061 | | | | 65,801 | |
| Deutsche Bank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 448,400 | | | | (31,400 | ) |
| Deutsche Bank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (3,525,506 | ) | | | 293,756 | |
| Merrill Lynch | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 565,000 | | | | (43,744 | ) |
| Merrill Lynch | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (7,693,650 | ) | | | 448,209 | |
| Deutsche Bank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | 7,191,031 | | | | (890,356 | ) |
| Deutsche Bank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | (8,559,693 | ) | | | 2,259,018 | |
| Merrill Lynch | | Gas Oil January Futures^ | | 1/2015 | | USD | | | 7,506,000 | | | | (385,713 | ) |
| Merrill Lynch | | Gas Oil January Futures^ | | 1/2015 | | USD | | | (9,667,450 | ) | | | 2,547,097 | |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | 1,724,570 | | | | (117,037 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (10,166,083 | ) | | | 1,262,822 | |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | 3,144,204 | | | | (217,778 | ) |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (13,716,184 | ) | | | 1,240,369 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 57,442,996 | | | | 90,802 | |
| Goldman Sachs | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 14,736,475 | | | | 32,201 | |
| Morgan Stanley and Co., International PLC | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 93,452,166 | | | | 162,698 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 2,776,512 | | | | (308,032 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (2,958,032 | ) | | | 132,272 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | 7,956,250 | | | | (71,250 | ) |
| Bank of America | | Long Gilt March Futures | | 3/2015 | | GBP | | | 48,686,176 | | | | 1,627,360 | |
| Morgan Stanley and Co., International PLC | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 9,852,363 | | | | 166,157 | |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | 19,176,880 | | | | (3,486,913 | ) |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | (19,791,120 | ) | | | 4,101,137 | |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | (20,912,070 | ) | | | 4,618,110 | |
| Morgan Stanley and Co., International PLC | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | (1,631,774 | ) | | | (6,590 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 1,193,045 | | | | (16,020 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
146
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 993,727 | | | | $ (20,447 | ) |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | (4,676,031 | ) | | | (29,265 | ) |
| Morgan Stanley and Co., International PLC | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | (83,202,392 | ) | | | (2,724,001 | ) |
| Morgan Stanley and Co., International PLC | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 73,841,488 | | | | 71,206 | |
| Bank of America | | Tel Aviv 25 Index January Futures | | 1/2015 | | ILS | | | 21,216,693 | | | | (67,899 | ) |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | 3/2015 | | USD | | | 52,681,606 | | | | 319,488 | |
| Bank of America | | U.S. Treasury 2-Year Note March Futures | | 3/2015 | | USD | | | 76,247,372 | | | | (176,747 | ) |
| Bank of America | | U.S. Treasury 5-Year Note March Futures | | 3/2015 | | USD | | | 43,484,498 | | | | (75,162 | ) |
| Bank of America | | U.S. Treasury Long Bond March Futures | | 3/2015 | | USD | | | 16,318,892 | | | | 450,358 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 11,833,114 | | | | (67,579 | ) |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | (11,121,229 | ) | | | (1,056,767 | ) |
| Goldman Sachs | | WIG20 Index March Futures | | 3/2015 | | PLN | | | (1,519,174 | ) | | | 10,117 | |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 7,030,632 | | | | (904,475 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (8,327,552 | ) | | | 1,082,704 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $14,793,068 | |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Bank of America and Deutsche Bank for total return swap contracts and total return basket swap contracts in the amount of $199 and $29,293,570, respectively, at December 31, 2014. Money Market Fund is pledged as collateral to Goldman Sachs, Merrill Lynch and Morgan Stanley and Co., International PLC for total return swap contracts in the amount of $120,000, $48 and $16,808,900, respectively at December 31, 2014. Cash held as collateral for Bank of America, CitiBank and Deutsche Bank for total return swap contracts was $5,450,000, $1,180,000 and $5,850,000, respectively, at December 31, 2014. Cash held as collateral at J.P. Morgan for total return swap contracts and total return basket swap contracts was $107,300,000 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | |
| 43 | | Goldman Sachs | | Cocoa Futures^ | | 3/2015 | | | $1,277,499 | | | | $1,326,992 | | | | $49,493 | |
| 5 | | Goldman Sachs | | Coffee ‘C’ Futures^ | | 3/2015 | | | 360,036 | | | | 312,375 | | | | (47,661 | ) |
| 5 | | Goldman Sachs | | Hard Red Winter Wheat Futures^ | | 3/2015 | | | 170,317 | | | | 156,625 | | | | (13,692 | ) |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 239,729 | | | | 228,200 | | | | (11,529 | ) |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 243,354 | | | | 228,350 | | | | (15,004 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 96,529 | | | | 91,490 | | | | (5,039 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 97,104 | | | | 91,520 | | | | (5,584 | ) |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 290,094 | | | | 274,719 | | | | (15,375 | ) |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 200,338 | | | | 183,375 | | | | (16,963 | ) |
| 13 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 650,162 | | | | 595,968 | | | | (54,194 | ) |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | 305,934 | | | | 275,377 | | | | (30,557 | ) |
| 11 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | 561,784 | | | | 505,159 | | | | (56,625 | ) |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | 305,699 | | | | 275,597 | | | | (30,102 | ) |
| 8 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | 412,045 | | | | 367,500 | | | | (44,545 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | 51,102 | | | | 45,993 | | | | (5,109 | ) |
| 14 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 698,990 | | | | 645,124 | | | | (53,866 | ) |
| 9 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 443,276 | | | | 414,801 | | | | (28,475 | ) |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 247,014 | | | | 230,487 | | | | (16,527 | ) |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 147,684 | | | | 138,423 | | | | (9,261 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 97,106 | | | | 92,334 | | | | (4,772 | ) |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 287,917 | | | | 277,209 | | | | (10,708 | ) |
| 16 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 794,908 | | | | 739,500 | | | | (55,408 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
147
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | $ | 142,284 | | | $ | 138,630 | | | $ | (3,654 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | 47,978 | | | | 46,226 | | | | (1,752 | ) |
| 3 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | 499,806 | | | | 477,557 | | | | (22,249 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | 336,672 | | | | 318,050 | | | | (18,622 | ) |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | 663,209 | | | | 635,700 | | | | (27,509 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | 169,647 | | | | 158,377 | | | | (11,270 | ) |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | 678,643 | | | | 633,300 | | | | (45,343 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 331,178 | | | | 316,575 | | | | (14,603 | ) |
| 35 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 5,855,852 | | | | 5,539,013 | | | | (316,839 | ) |
| 5 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 833,386 | | | | 791,250 | | | | (42,136 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 333,854 | | | | 316,349 | | | | (17,505 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 332,504 | | | | 316,137 | | | | (16,367 | ) |
| 20 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 3,149,482 | | | | 3,156,125 | | | | 6,643 | |
| 8 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 1,277,023 | | | | 1,262,100 | | | | (14,923 | ) |
| 8 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 1,285,623 | | | | 1,262,138 | | | | (23,485 | ) |
| 12 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 1,929,934 | | | | 1,893,600 | | | | (36,334 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 322,656 | | | | 315,567 | | | | (7,089 | ) |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 635,511 | | | | 631,000 | | | | (4,511 | ) |
| 78 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 12,485,197 | | | | 12,300,600 | | | | (184,597 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 315,556 | | | | 315,450 | | | | (106 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 318,606 | | | | 315,250 | | | | (3,356 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | 100,778 | | | | 90,460 | | | | (10,318 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | 93,752 | | | | 90,502 | | | | (3,250 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | 92,042 | | | | 90,538 | | | | (1,504 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | 88,772 | | | | 90,559 | | | | 1,787 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | 94,778 | | | | 90,570 | | | | (4,208 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 2/2015 | | | 91,262 | | | | 90,611 | | | | (651 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | 114,329 | | | | 108,353 | | | | (5,976 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | 111,404 | | | | 108,384 | | | | (3,020 | ) |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | 279,886 | | | | 270,993 | | | | (8,893 | ) |
| 4 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | 216,809 | | | | 216,800 | | | | (9 | ) |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | 167,354 | | | | 162,586 | | | | (4,768 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 2/2015 | | | 56,465 | | | | 54,215 | | | | (2,250 | ) |
| 7 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 388,545 | | | | 380,417 | | | | (8,128 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 55,553 | | | | 54,351 | | | | (1,202 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 55,753 | | | | 54,356 | | | | (1,397 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 54,428 | | | | 54,399 | | | | (29 | ) |
| 9 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 502,363 | | | | 489,712 | | | | (12,651 | ) |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 270,589 | | | | 272,098 | | | | 1,509 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 106,506 | | | | 108,850 | | | | 2,344 | |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | 162,459 | | | | 163,144 | | | | 685 | |
| 39 | | Goldman Sachs | | Silver Futures^ | | 3/2015 | | | 3,248,414 | | | | 3,041,804 | | | | (206,610 | ) |
| 72 | | Goldman Sachs | | Soybean Meal Futures^ | | 3/2015 | | | 2,575,849 | | | | 2,502,720 | | | | (73,129 | ) |
| 401 | | J.P. Morgan | | 90-Day Sterling Futures | | 9/2016 | | | 76,898,863 | | | | 77,179,514 | | | | 280,651 | |
| 140 | | Barclays Capital | | Amsterdam Index Futures | | 1/2015 | | | 14,006,480 | | | | 14,399,595 | | | | 393,115 | |
| 68 | | Barclays Capital | | DAX Index Futures | | 3/2015 | | | 19,601,618 | | | | 20,248,916 | | | | 647,298 | |
| 187 | | Barclays Capital | | DJIA Mini E-CBOT Futures | | 3/2015 | | | 16,175,006 | | | | 16,598,120 | | | | 423,114 | |
| 192 | | Barclays Capital | | FTSE 100 Index Futures | | 3/2015 | | | 19,419,019 | | | | 19,518,660 | | | | 99,641 | |
| 9 | | Barclays Capital | | Hang Seng Index Futures | | 1/2015 | | | 1,385,170 | | | | 1,372,345 | | | | (12,825 | ) |
| 153 | | Barclays Capital | | H-SHARES Index Futures | | 1/2015 | | | 11,782,448 | | | | 11,827,207 | | | | 44,759 | |
| 120 | | Barclays Capital | | IBEX 35 Index Futures | | 1/2015 | | | 14,239,526 | | | | 14,875,338 | | | | 635,812 | |
| 107 | | Barclays Capital | | MSCI Singapore Index Futures | | 1/2015 | | | 6,126,022 | | | | 6,164,829 | | | | 38,807 | |
| 228 | | Barclays Capital | | MSCI Taiwan Stock Index Futures | | 1/2015 | | | 7,722,296 | | | | 7,822,680 | | | | 100,384 | |
| 162 | | Barclays Capital | | NASDAQ 100 E-Mini Futures | | 3/2015 | | | 13,505,487 | | | | 13,714,110 | | | | 208,623 | |
| 93 | | Barclays Capital | | S&P MID 400 E-Mini Futures | | 3/2015 | | | 13,257,200 | | | | 13,471,980 | | | | 214,780 | |
| 21 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | 3/2015 | | | 3,022,438 | | | | 3,078,602 | | | | 56,164 | |
| 519 | | Barclays Capital | | SET50 Index Futures | | 3/2015 | | | 3,184,727 | | | | 3,120,625 | | | | (64,102 | ) |
| 83 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | 1/2015 | | | 1,384,849 | | | | 1,387,594 | | | | 2,745 | |
| 423 | | Barclays Capital | | TOPIX Index Futures | | 3/2015 | | | 49,840,953 | | | | 49,705,502 | | | | (135,451 | ) |
| 107 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 3/2015 | | | 32,341,647 | | | | 32,344,561 | | | | 2,914 | |
| 1,290 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 6/2015 | | | 389,888,179 | | | | 390,026,528 | | | | 138,349 | |
| 1,068 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 9/2015 | | | 322,752,532 | | | | 322,921,805 | | | | 169,273 | |
| 436 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 12/2015 | | | 131,776,136 | | | | 131,822,919 | | | | 46,783 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
148
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | |
| 154 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 3/2016 | | $ | 46,513,232 | | | $ | 46,556,648 | | | $ | 43,416 | |
| 227 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 6/2016 | | | 68,539,313 | | | | 68,615,408 | | | | 76,095 | |
| 298 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 9/2016 | | | 89,992,608 | | | | 90,054,068 | | | | 61,460 | |
| 294 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 12/2016 | | | 88,771,885 | | | | 88,823,054 | | | | 51,169 | |
| 1,121 | | J.P. Morgan | | 90-Day EURODollar Futures | | 6/2015 | | | 278,970,818 | | | | 279,030,912 | | | | 60,094 | |
| 1,088 | | J.P. Morgan | | 90-Day EURODollar Futures | | 9/2015 | | | 270,251,737 | | | | 270,232,000 | | | | (19,737 | ) |
| 878 | | J.P. Morgan | | 90-Day EURODollar Futures | | 12/2015 | | | 217,729,846 | | | | 217,491,574 | | | | (238,272 | ) |
| 30 | | J.P. Morgan | | 90-Day EURODollar Futures | | 3/2016 | | | 7,418,280 | | | | 7,411,500 | | | | (6,780 | ) |
| 41 | | J.P. Morgan | | 90-Day EURODollar Futures | | 6/2016 | | | 10,113,626 | | | | 10,103,425 | | | | (10,201 | ) |
| 68 | | J.P. Morgan | | 90-Day EURODollar Futures | | 9/2016 | | | 16,738,544 | | | | 16,716,950 | | | | (21,594 | ) |
| 106 | | J.P. Morgan | | 90-Day EURODollar Futures | | 12/2016 | | | 26,049,557 | | | | 26,004,450 | | | | (45,107 | ) |
| 460 | | J.P. Morgan | | 90-Day Sterling Futures | | 3/2016 | | | 88,485,651 | | | | 88,768,115 | | | | 282,464 | |
| 425 | | J.P. Morgan | | 90-Day Sterling Futures | | 6/2016 | | | 81,632,618 | | | | 81,906,387 | | | | 273,769 | |
| 392 | | J.P. Morgan | | 90-Day Sterling Futures | | 12/2016 | | | 75,252,659 | | | | 75,355,668 | | | | 103,009 | |
| 874 | | J.P. Morgan | | Australia 3-Year Bond Futures | | 3/2015 | | | 79,130,962 | | | | 79,403,292 | | | | 272,330 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | 2,642,753,244 | | | | 2,645,297,415 | | | | 2,544,171 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | |
| 8 | | Goldman Sachs | | Cocoa Futures^ | | 3/2015 | | | (226,152 | ) | | | (232,800 | ) | | | (6,648 | ) |
| 85 | | Goldman Sachs | | Corn Futures^ | | 3/2015 | | | (1,744,183 | ) | | | (1,687,250 | ) | | | 56,933 | |
| 107 | | Goldman Sachs | | Cotton No. 2 Futures^ | | 3/2015 | | | (3,220,253 | ) | | | (3,224,445 | ) | | | (4,192 | ) |
| 15 | | Goldman Sachs | | Gold 100 OZ Futures^ | | 2/2015 | | | (1,796,079 | ) | | | (1,776,150 | ) | | | 19,929 | |
| 72 | | Goldman Sachs | | Live Cattle Futures^ | | 2/2015 | | | (2,425,251 | ) | | | (2,338,560 | ) | | | 86,691 | |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (239,069 | ) | | | (228,200 | ) | | | 10,869 | |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (244,027 | ) | | | (228,350 | ) | | | 15,677 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (96,833 | ) | | | (91,490 | ) | | | 5,343 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (97,144 | ) | | | (91,520 | ) | | | 5,624 | |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (287,749 | ) | | | (274,719 | ) | | | 13,030 | |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (200,991 | ) | | | (183,375 | ) | | | 17,616 | |
| 13 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (650,272 | ) | | | (595,969 | ) | | | 54,303 | |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 1/2015 | | | (305,988 | ) | | | (275,378 | ) | | | 30,610 | |
| 11 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | (563,728 | ) | | | (505,159 | ) | | | 58,569 | |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | (304,075 | ) | | | (275,597 | ) | | | 28,478 | |
| 8 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | (411,058 | ) | | | (367,500 | ) | | | 43,558 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | 2/2015 | | | (51,092 | ) | | | (45,994 | ) | | | 5,098 | |
| 14 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (700,265 | ) | | | (645,123 | ) | | | 55,142 | |
| 9 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (443,763 | ) | | | (414,801 | ) | | | 28,962 | |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (246,985 | ) | | | (230,488 | ) | | | 16,497 | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (147,468 | ) | | | (138,423 | ) | | | 9,045 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (97,260 | ) | | | (92,333 | ) | | | 4,927 | |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (288,607 | ) | | | (277,209 | ) | | | 11,398 | |
| 36 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (1,765,899 | ) | | | (1,663,875 | ) | | | 102,024 | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (142,315 | ) | | | (138,630 | ) | | | 3,685 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | 3/2015 | | | (47,800 | ) | | | (46,226 | ) | | | 1,574 | |
| 3 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | (498,724 | ) | | | (477,557 | ) | | | 21,167 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | (337,746 | ) | | | (318,050 | ) | | | 19,696 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | (658,347 | ) | | | (635,700 | ) | | | 22,647 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | (170,073 | ) | | | (158,377 | ) | | | 11,696 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 1/2015 | | | (676,841 | ) | | | (633,300 | ) | | | 43,541 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (330,695 | ) | | | (316,575 | ) | | | 14,120 | |
| 35 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (5,849,302 | ) | | | (5,539,013 | ) | | | 310,289 | |
| 5 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (837,198 | ) | | | (791,250 | ) | | | 45,948 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (334,359 | ) | | | (316,350 | ) | | | 18,009 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (332,980 | ) | | | (316,138 | ) | | | 16,842 | |
| 20 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (3,160,463 | ) | | | (3,156,125 | ) | | | 4,338 | |
| 8 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (1,277,680 | ) | | | (1,262,100 | ) | | | 15,580 | |
| 8 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (1,285,527 | ) | | | (1,262,138 | ) | | | 23,389 | |
| 12 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (1,933,123 | ) | | | (1,893,600 | ) | | | 39,523 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (323,103 | ) | | | (315,566 | ) | | | 7,537 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (635,303 | ) | | | (631,000 | ) | | | 4,303 | |
| 54 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (8,618,530 | ) | | | (8,515,800 | ) | | | 102,730 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (316,303 | ) | | | (315,450 | ) | | | 853 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (317,587 | ) | | | (315,250 | ) | | | 2,337 | |
| 155 | | Goldman Sachs | | LME Copper Futures^ | | 3/2015 | | | (11,506,818 | ) | | | (10,948,813 | ) | | | 558,005 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
149
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: | | | | | | | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | $(100,556 | ) | | | $(90,460 | ) | | | $10,096 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | (93,488 | ) | | | (90,502 | ) | | | 2,986 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | (91,696 | ) | | | (90,538 | ) | | | 1,158 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | (89,108 | ) | | | (90,559 | ) | | | (1,451 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 1/2015 | | | (94,619 | ) | | | (90,570 | ) | | | 4,049 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | 2/2015 | | | (90,517 | ) | | | (90,611 | ) | | | (94 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | (113,677 | ) | | | (108,353 | ) | | | 5,324 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | (110,977 | ) | | | (108,384 | ) | | | 2,593 | |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | (279,759 | ) | | | (270,992 | ) | | | 8,767 | |
| 4 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | (218,974 | ) | | | (216,800 | ) | | | 2,174 | |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | 1/2015 | | | (167,440 | ) | | | (162,585 | ) | | | 4,855 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 2/2015 | | | (56,248 | ) | | | (54,215 | ) | | | 2,033 | |
| 7 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (386,301 | ) | | | (380,416 | ) | | | 5,885 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (55,234 | ) | | | (54,350 | ) | | | 884 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (56,006 | ) | | | (54,356 | ) | | | 1,650 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (54,505 | ) | | | (54,398 | ) | | | 107 | |
| 18 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (976,999 | ) | | | (979,425 | ) | | | (2,426 | ) |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (271,017 | ) | | | (272,099 | ) | | | (1,082 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (106,515 | ) | | | (108,850 | ) | | | (2,335 | ) |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | 3/2015 | | | (160,829 | ) | | | (163,144 | ) | | | (2,315 | ) |
| 114 | | Goldman Sachs | | Platinum Futures^ | | 4/2015 | | | (6,844,273 | ) | | | (6,894,150 | ) | | | (49,877 | ) |
| 80 | | Goldman Sachs | | Soybean Futures^ | | 3/2015 | | | (4,175,391 | ) | | | (4,094,000 | ) | | | 81,391 | |
| 17 | | Goldman Sachs | | Soybean Oil Futures^ | | 3/2015 | | | (327,801 | ) | | | (327,828 | ) | | | (27 | ) |
| 934 | | Goldman Sachs | | Sugar #11 (World Markets) Futures^ | | 2/2015 | | | (17,028,154 | ) | | | (15,189,082 | ) | | | 1,839,072 | |
| 501 | | Barclays Capital | | CAC40 Index Futures | | 1/2015 | | | (24,334,712 | ) | | | (25,928,673 | ) | | | (1,593,961 | ) |
| 37 | | Barclays Capital | | E-Mini Russell 2000 Futures | | 3/2015 | | | (4,405,153 | ) | | | (4,442,590 | ) | | | (37,437 | ) |
| 49 | | Barclays Capital | | Euro Stoxx 50 Index | | 3/2015 | | | (1,881,223 | ) | | | (1,857,633 | ) | | | 23,590 | |
| 191 | | Barclays Capital | | FTSE Bursa Malaysia KLCI Index Futures | | 1/2015 | | | (4,790,719 | ) | | | (4,782,511 | ) | | | 8,208 | |
| 443 | | J.P. Morgan | | FTSE/JSE Top 40 Index Futures | | 3/2015 | | | (16,229,576 | ) | | | (16,949,099 | ) | | | (719,523 | ) |
| 85 | | Barclays Capital | | FTSE/MIB Index Futures | | 3/2015 | | | (9,517,768 | ) | | | (9,806,638 | ) | | | (288,870 | ) |
| 198 | | Barclays Capital | | KOSPI Index 200 Futures | | 3/2015 | | | (22,433,256 | ) | | | (21,976,982 | ) | | | 456,274 | |
| 113 | | J.P. Morgan | | Mexican Stock Exchange Price and Quotation Index Futures | | 3/2015 | | | (3,105,968 | ) | | | (3,307,876 | ) | | | (201,908 | ) |
| 1,939 | | Barclays Capital | | MSCI Emerging Markets E-Mini Futures | | 3/2015 | | | (88,569,126 | ) | | | (92,849,015 | ) | | | (4,279,889 | ) |
| 1,520 | | Barclays Capital | | S&P 500 E-Mini Futures | | 3/2015 | | | (153,991,987 | ) | | | (155,982,400 | ) | | | (1,990,413 | ) |
| 417 | | Barclays Capital | | SPI 200 Index Futures | | 3/2015 | | | (43,657,307 | ) | | | (45,814,549 | ) | | | (2,157,242 | ) |
| 761 | | J.P. Morgan | | 90-Day Sterling Futures | | 6/2015 | | | (147,051,763 | ) | | | (147,312,963 | ) | | | (261,200 | ) |
| 299 | | J.P. Morgan | | 90-Day Sterling Futures | | 9/2015 | | | (57,769,614 | ) | | | (57,833,261 | ) | | | (63,647 | ) |
| 297 | | J.P. Morgan | | 90-Day Sterling Futures | | 12/2015 | | | (57,323,083 | ) | | | (57,388,554 | ) | | | (65,471 | ) |
| 1,472 | | J.P. Morgan | | Australia 10-Year Bond Futures | | 3/2015 | | | (152,107,761 | ) | | | (153,997,078 | ) | | | (1,889,317 | ) |
| 144 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 3/2015 | | | (30,580,222 | ) | | | (30,578,929 | ) | | | 1,293 | |
| 1,570 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 6/2015 | | | (333,277,018 | ) | | | (333,344,595 | ) | | | (67,577 | ) |
| 1,486 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 9/2015 | | | (315,338,817 | ) | | | (315,381,693 | ) | | | (42,876 | ) |
| 525 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 12/2015 | | | (111,408,136 | ) | | | (111,367,060 | ) | | | 41,076 | |
| 44 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | 6/2015 | | | (11,077,784 | ) | | | (11,092,940 | ) | | | (15,156 | ) |
| 13 | | J.P. Morgan | | Euro CHF 3-Month LIFFE Futures | | 9/2015 | | | (3,272,926 | ) | | | (3,278,440 | ) | | | (5,514 | ) |
| 4 | | J.P. Morgan | | U.S. Treasury 2-Year Note Futures | | 3/2015 | | | (875,494 | ) | | | (874,375 | ) | | | 1,119 | |
| 7 | | J.P. Morgan | | U.S. Treasury 5-Year Note Futures | | 3/2015 | | | (832,800 | ) | | | (832,507 | ) | | | 293 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | (1,681,927,305 | ) | | | (1,691,204,744 | ) | | | (9,277,439 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | $960,825,939 | | | | $954,092,671 | | | | $(6,733,268 | ) |
| | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $38,037,411, $256,901 and $10,357,241, respectively at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
150
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 03/18/15 | | CitiBank | | AUD | | | 72,983,500 | | | | $60,520,840 | | | | $59,273,032 | | | | $(1,247,808 | ) |
| Australian Dollar, Expiring 03/18/15 | | Credit Suisse International | | AUD | | | 72,983,500 | | | | 60,520,610 | | | | 59,273,033 | | | | (1,247,577 | ) |
| Brazilian Real, Expiring 03/18/15* | | CitiBank | | BRL | | | 29,791,000 | | | | 11,237,993 | | | | 10,987,357 | | | | (250,636 | ) |
| Brazilian Real, Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 29,791,000 | | | | 11,238,047 | | | | 10,987,357 | | | | (250,690 | ) |
| Canadian Dollar, Expiring 03/18/15 | | CitiBank | | CAD | | | 16,787,000 | | | | 14,701,698 | | | | 14,426,234 | | | | (275,464 | ) |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 16,787,000 | | | | 14,701,698 | | | | 14,426,235 | | | | (275,463 | ) |
| Swiss Franc, Expiring 03/18/15 | | CitiBank | | CHF | | | 12,081,000 | | | | 12,490,768 | | | | 12,167,843 | | | | (322,925 | ) |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 12,081,000 | | | | 12,490,824 | | | | 12,167,843 | | | | (322,981 | ) |
| Chilean Peso, Expiring 03/18/15* | | CitiBank | | CLP | | | 2,000,000,000 | | | | 3,243,208 | | | | 3,272,684 | | | | 29,476 | |
| Chilean Peso, Expiring 03/18/15* | | Credit Suisse International | | CLP | | | 2,000,000,000 | | | | 3,243,217 | | | | 3,272,684 | | | | 29,467 | |
| Czech Republic Koruna, Expiring 03/18/15 | | CitiBank | | CZK | | | 108,000,000 | | | | 4,873,021 | | | | 4,722,230 | | | | (150,791 | ) |
| Czech Republic Koruna, Expiring 03/18/15 | | Credit Suisse International | | CZK | | | 109,000,000 | | | | 4,914,806 | | | | 4,765,954 | | | | (148,852 | ) |
| Euro, Expiring 03/18/15 | | CitiBank | | EUR | | | 41,971,227 | | | | 52,240,346 | | | | 50,820,943 | | | | (1,419,403 | ) |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 41,937,666 | | | | 52,197,770 | | | | 50,780,306 | | | | (1,417,464 | ) |
| Euro, Expiring 06/09/15 | | The Royal Bank of Scotland | | EUR | | | 110,000 | | | | 137,005 | | | | 133,309 | | | | (3,696 | ) |
| Euro, Expiring 11/09/15 | | The Royal Bank of Scotland | | EUR | | | 46,110 | | | | 57,557 | | | | 56,027 | | | | (1,530 | ) |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | 14,363,000 | | | | 22,494,550 | | | | 22,373,216 | | | | (121,334 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 14,363,000 | | | | 22,494,302 | | | | 22,373,217 | | | | (121,085 | ) |
| Hong Kong Dollar, Expiring 03/18/15 | | CitiBank | | HKD | | | 11,105,000 | | | | 1,431,428 | | | | 1,431,998 | | | | 570 | |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 11,105,000 | | | | 1,431,232 | | | | 1,431,998 | | | | 766 | |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | 2,125,250,000 | | | | 8,544,890 | | | | 8,107,904 | | | | (436,986 | ) |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 2,125,250,000 | | | | 8,544,443 | | | | 8,107,905 | | | | (436,538 | ) |
Israeli Shekel,
Expiring 03/18/15 | | CitiBank | | ILS | | | 6,500,000 | | | | 1,652,955 | | | | 1,666,885 | | | | 13,930 | |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 6,500,000 | | | | 1,652,476 | | | | 1,666,885 | | | | 14,409 | |
| Indian Rupee, Expiring 03/18/15* | | CitiBank | | INR | | | 1,465,421,500 | | | | 23,296,221 | | | | 22,868,541 | | | | (427,680 | ) |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | 1,465,421,500 | | | | 23,296,247 | | | | 22,868,541 | | | | (427,706 | ) |
Japanese Yen,
Expiring 03/18/15 | | CitiBank | | JPY | | | 5,439,108,500 | | | | 46,151,521 | | | | 45,438,449 | | | | (713,072 | ) |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 5,439,108,500 | | | | 46,149,801 | | | | 45,438,448 | | | | (711,353 | ) |
| Korean Won, Expiring 03/18/15* | | CitiBank | | KRW | | | 26,100,000,000 | | | | 23,652,024 | | | | 23,666,385 | | | | 14,361 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
151
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 26,100,000,000 | | | | $ 23,651,164 | | | | $ 23,666,385 | | | | $ 15,221 | |
Mexican Peso,
Expiring 03/18/15 | | CitiBank | | MXN | | | 86,500,000 | | | | 5,898,684 | | | | 5,836,535 | | | | (62,149 | ) |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 86,500,000 | | | | 5,899,395 | | | | 5,836,535 | | | | (62,860 | ) |
| Malaysian Ringgit, Expiring 03/18/15* | | CitiBank | | MYR | | | 38,746,500 | | | | 11,138,725 | | | | 11,015,776 | | | | (122,949 | ) |
| Malaysian Ringgit, Expiring 03/18/15* | | Credit Suisse International | | MYR | | | 38,746,500 | | | | 11,138,727 | | | | 11,015,777 | | | | (122,950 | ) |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | 5,718,000 | | | | 811,323 | | | | 765,632 | | | | (45,691 | ) |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 5,718,000 | | | | 811,341 | | | | 765,632 | | | | (45,709 | ) |
| New Zealand Dollar, Expiring 03/18/15 | | CitiBank | | NZD | | | 129,329,500 | | | | 99,241,861 | | | | 100,176,285 | | | | 934,424 | |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 129,329,498 | | | | 99,241,341 | | | | 100,176,285 | | | | 934,944 | |
| Philippine Peso, Expiring 03/18/15* | | CitiBank | | PHP | | | 150,000,000 | | | | 3,344,463 | | | | 3,341,875 | | | | (2,588 | ) |
| Philippine Peso, Expiring 03/18/15* | | Credit Suisse International | | PHP | | | 150,000,000 | | | | 3,344,462 | | | | 3,341,875 | | | | (2,587 | ) |
| Poland Zloty, Expiring 03/18/15 | | CitiBank | | PLN | | | 55,541,499 | | | | 16,420,814 | | | | 15,636,903 | | | | (783,911 | ) |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 55,541,500 | | | | 16,420,926 | | | | 15,636,902 | | | | (784,024 | ) |
| Russian Ruble, Expiring 03/18/15* | | CitiBank | | RUB | | | 315,400,000 | | | | 5,577,861 | | | | 4,980,511 | | | | (597,350 | ) |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | 315,400,000 | | | | 5,579,795 | | | | 4,980,511 | | | | (599,284 | ) |
| Swedish Krona, Expiring 03/18/15 | | CitiBank | | SEK | | | 82,773,000 | | | | 10,969,287 | | | | 10,620,788 | | | | (348,499 | ) |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 82,773,000 | | | | 10,969,233 | | | | 10,620,788 | | | | (348,445 | ) |
| Singapore Dollar, Expiring 03/18/15 | | CitiBank | | SGD | | | 45,500,000 | | | | 34,702,694 | | | | 34,305,706 | | | | (396,988 | ) |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 45,500,000 | | | | 34,694,803 | | | | 34,305,706 | | | | (389,097 | ) |
| Turkish Lira, Expiring 03/18/15 | | CitiBank | | TRY | | | 101,663,000 | | | | 44,475,368 | | | | 42,856,097 | | | | (1,619,271 | ) |
| Turkish Lira, Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 101,663,000 | | | | 44,477,079 | | | | 42,856,098 | | | | (1,620,981 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | CitiBank | | TWD | | | 237,522,499 | | | | 7,648,769 | | | | 7,519,438 | | | | (129,331 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 237,522,498 | | | | 7,648,771 | | | | 7,519,438 | | | | (129,333 | ) |
| South African Rand, Expiring 03/18/15 | | CitiBank | | ZAR | | | 122,488,500 | | | | 10,680,365 | | | | 10,464,075 | | | | (216,290 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 122,488,498 | | | | 10,680,870 | | | | 10,464,075 | | | | (216,795 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $1,075,069,619 | | | | $1,057,679,071 | | | | $(17,390,548 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
152
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 03/18/15 | | CitiBank | | AUD | | | (46,650,500 | ) | | | $(38,748,269 | ) | | | $(37,886,873 | ) | | | $861,396 | |
| Australian Dollar, Expiring 03/18/15 | | Credit Suisse International | | AUD | | | (46,650,500 | ) | | | (38,752,548 | ) | | | (37,886,874 | ) | | | 865,674 | |
| Brazilian Real, Expiring 03/18/15* | | CitiBank | | BRL | | | (18,100,000 | ) | | | (6,551,481 | ) | | | (6,675,546 | ) | | | (124,065 | ) |
| Brazilian Real, Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (18,100,000 | ) | | | (6,551,611 | ) | | | (6,675,545 | ) | | | (123,934 | ) |
| Canadian Dollar, Expiring 03/18/15 | | CitiBank | | CAD | | | (35,965,999 | ) | | | (31,063,357 | ) | | | (30,908,079 | ) | | | 155,278 | |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (35,965,999 | ) | | | (31,063,621 | ) | | | (30,908,079 | ) | | | 155,542 | |
| Swiss Franc, Expiring 03/18/15 | | CitiBank | | CHF | | | (13,677,500 | ) | | | (14,025,129 | ) | | | (13,775,821 | ) | | | 249,308 | |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (21,437,500 | ) | | | (22,070,723 | ) | | | (21,591,601 | ) | | | 479,122 | |
| Chilean Peso, Expiring 03/18/15* | | CitiBank | | CLP | | | (8,167,183,000 | ) | | | (13,269,444 | ) | | | (13,364,304 | ) | | | (94,860 | ) |
| Chilean Peso, Expiring 03/18/15* | | Credit Suisse International | | CLP | | | (8,167,183,000 | ) | | | (13,269,455 | ) | | | (13,364,304 | ) | | | (94,849 | ) |
| Columbian Peso, Expiring 03/18/15* | | CitiBank | | COP | | | (1,457,000,000 | ) | | | (636,269 | ) | | | (610,761 | ) | | | 25,508 | |
| Columbian Peso, Expiring 03/18/15* | | Credit Suisse International | | COP | | | (1,457,000,000 | ) | | | (636,268 | ) | | | (610,761 | ) | | | 25,507 | |
| Czech Republic Koruna, Expiring 03/18/15 | | CitiBank | | CZK | | | (115,973,000 | ) | | | (5,227,678 | ) | | | (5,070,845 | ) | | | 156,833 | |
| Czech Republic Koruna, Expiring 03/18/15 | | Credit Suisse International | | CZK | | | (115,973,000 | ) | | | (5,227,628 | ) | | | (5,070,845 | ) | | | 156,783 | |
| Euro, Expiring 03/18/15 | | CitiBank | | EUR | | | (24,029,729 | ) | | | (29,615,567 | ) | | | (29,096,447 | ) | | | 519,120 | |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (24,036,730 | ) | | | (29,624,340 | ) | | | (29,104,922 | ) | | | 519,418 | |
| Euro, Expiring 04/07/15 | | The Royal Bank of Scotland | | EUR | | | (3,562 | ) | | | (4,716 | ) | | | (4,314 | ) | | | 402 | |
| Euro, Expiring 06/09/15 | | The Royal Bank of Scotland | | EUR | | | (110,000 | ) | | | (141,776 | ) | | | (133,309 | ) | | | 8,467 | |
Euro,
Expiring 11/09/15 | | The Royal Bank of Scotland | | EUR | | | (46,110 | ) | | | (59,499 | ) | | | (56,027 | ) | | | 3,472 | |
Euro,
Expiring 04/05/16 | | The Royal Bank of Scotland | | EUR | | | (3,562 | ) | | | (4,730 | ) | | | (4,350 | ) | | | 380 | |
Euro,
Expiring 04/05/17 | | The Royal Bank of Scotland | | EUR | | | (3,562 | ) | | | (4,751 | ) | | | (4,424 | ) | | | 327 | |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | (40,470,502 | ) | | | (63,219,185 | ) | | | (63,040,819 | ) | | | 178,366 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (40,470,502 | ) | | | (63,219,563 | ) | | | (63,040,819 | ) | | | 178,744 | |
| Hong Kong Dollar, Expiring 03/18/15 | | CitiBank | | HKD | | | (91,609,500 | ) | | | (11,815,245 | ) | | | (11,813,112 | ) | | | 2,133 | |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | (91,609,500 | ) | | | (11,815,197 | ) | | | (11,813,112 | ) | | | 2,085 | |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | (730,000,000 | ) | | | (2,849,773 | ) | | | (2,784,978 | ) | | | 64,795 | |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (730,000,000 | ) | | | (2,850,356 | ) | | | (2,784,978 | ) | | | 65,378 | |
| Indonesian Rupiah, Expiring 03/18/15* | | CitiBank | | IDR | | | (18,413,775,500 | ) | | | (1,469,424 | ) | | | (1,467,467 | ) | | | 1,957 | |
| Indonesian Rupiah, Expiring 03/18/15* | | Credit Suisse International | | IDR | | | (18,413,775,500 | ) | | | (1,469,425 | ) | | | (1,467,467 | ) | | | 1,958 | |
Israeli Shekel,
Expiring 03/18/15 | | CitiBank | | ILS | | | (115,712,501 | ) | | | (29,175,996 | ) | | | (29,673,753 | ) | | | (497,757 | ) |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (115,712,500 | ) | | | (29,175,761 | ) | | | (29,673,753 | ) | | | (497,992 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
153
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Indian Rupee, Expiring 03/18/15* | | CitiBank | | INR | | | (520,000,000 | ) | | | $ (8,069,406 | ) | | | $ (8,114,826 | ) | | | $ (45,420 | ) |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | (520,000,000 | ) | | | (8,069,199 | ) | | | (8,114,827 | ) | | | (45,628 | ) |
Japanese Yen,
Expiring 03/18/15 | | CitiBank | | JPY | | | (14,360,152,999 | ) | | | (120,305,603 | ) | | | (119,965,078 | ) | | | 340,525 | |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (14,764,093,999 | ) | | | (123,730,917 | ) | | | (123,339,611 | ) | | | 391,306 | |
| Korean Won, Expiring 03/18/15* | | CitiBank | | KRW | | | (23,797,634,501 | ) | | | (21,505,056 | ) | | | (21,578,695 | ) | | | (73,639 | ) |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (23,797,634,500 | ) | | | (21,505,311 | ) | | | (21,578,695 | ) | | | (73,384 | ) |
Mexican Peso,
Expiring 03/18/15 | | CitiBank | | MXN | | | (1,085,976,501 | ) | | | (75,580,914 | ) | | | (73,275,606 | ) | | | 2,305,308 | |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (1,085,976,501 | ) | | | (75,591,404 | ) | | | (73,275,606 | ) | | | 2,315,798 | |
| Malaysian Ringgit, Expiring 03/18/15* | | CitiBank | | MYR | | | (44,000,000 | ) | | | (12,615,052 | ) | | | (12,509,366 | ) | | | 105,686 | |
| Malaysian Ringgit, Expiring 03/18/15* | | Credit Suisse International | | MYR | | | (44,000,000 | ) | | | (12,615,101 | ) | | | (12,509,367 | ) | | | 105,734 | |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | (572,075,000 | ) | | | (79,497,103 | ) | | | (76,600,039 | ) | | | 2,897,064 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (572,074,998 | ) | | | (79,499,412 | ) | | | (76,600,037 | ) | | | 2,899,375 | |
New Zealand Dollar,
Expiring 03/18/15 | | CitiBank | | NZD | | | (6,730,500 | ) | | | (5,163,740 | ) | | | (5,213,323 | ) | | | (49,583 | ) |
New Zealand Dollar,
Expiring 03/18/15 | | Credit Suisse International | | NZD | | | (6,730,500 | ) | | | (5,165,162 | ) | | | (5,213,323 | ) | | | (48,161 | ) |
| Peru Nuevo Sol, Expiring 03/18/15* | | CitiBank | | PEN | | | (377,500 | ) | | | (125,498 | ) | | | (124,598 | ) | | | 900 | |
| Peru Nuevo Sol, Expiring 03/18/15* | | Credit Suisse International | | PEN | | | (377,500 | ) | | | (125,499 | ) | | | (124,597 | ) | | | 902 | |
| Philippine Peso, Expiring 03/18/15* | | CitiBank | | PHP | | | (162,400,000 | ) | | | (3,623,754 | ) | | | (3,618,136 | ) | | | 5,618 | |
| Philippine Peso, Expiring 03/18/15* | | Credit Suisse International | | PHP | | | (162,400,000 | ) | | | (3,623,752 | ) | | | (3,618,135 | ) | | | 5,617 | |
| Poland Zloty, Expiring 03/18/15 | | CitiBank | | PLN | | | (30,365,000 | ) | | | (8,738,892 | ) | | | (8,548,825 | ) | | | 190,067 | |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (30,364,999 | ) | | | (8,738,326 | ) | | | (8,548,824 | ) | | | 189,502 | |
| Russian Ruble, Expiring 03/18/15* | | CitiBank | | RUB | | | (315,400,000 | ) | | | (5,602,605 | ) | | | (4,980,510 | ) | | | 622,095 | |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | (315,400,000 | ) | | | (5,603,355 | ) | | | (4,980,510 | ) | | | 622,845 | |
| Swedish Krona, Expiring 03/18/15 | | CitiBank | | SEK | | | (640,098,500 | ) | | | (84,883,351 | ) | | | (82,132,469 | ) | | | 2,750,882 | |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | (640,098,498 | ) | | | (84,883,728 | ) | | | (82,132,470 | ) | | | 2,751,258 | |
| Singapore Dollar, Expiring 03/18/15 | | CitiBank | | SGD | | | (78,384,000 | ) | | | (59,633,484 | ) | | | (59,099,306 | ) | | | 534,178 | |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (78,384,000 | ) | | | (59,633,384 | ) | | | (59,099,306 | ) | | | 534,078 | |
| Thailand Baht, Expiring 03/18/15 | | CitiBank | | THB | | | (40,480,500 | ) | | | (1,220,021 | ) | | | (1,226,099 | ) | | | (6,078 | ) |
| Thailand Baht, Expiring 03/18/15 | | Credit Suisse International | | THB | | | (40,480,500 | ) | | | (1,220,020 | ) | | | (1,226,099 | ) | | | (6,079 | ) |
| Turkish Lira, Expiring 03/18/15 | | CitiBank | | TRY | | | (8,400,000 | ) | | | (3,537,725 | ) | | | (3,541,026 | ) | | | (3,301 | ) |
| Turkish Lira, Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (8,400,000 | ) | | | (3,538,530 | ) | | | (3,541,024 | ) | | | (2,494 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | CitiBank | | TWD | | | (82,500,000 | ) | | | (2,625,899 | ) | | | (2,611,768 | ) | | | 14,131 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
154
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | (82,500,000 | ) | | | $ (2,626,075 | ) | | | $ (2,611,768 | ) | | | $ 14,307 | |
South African Rand,
Expiring 03/18/15 | | CitiBank | | ZAR | | | (32,500,000 | ) | | | (2,763,596 | ) | | | (2,776,444 | ) | | | (12,848 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (32,500,000 | ) | | | (2,764,158 | ) | | | (2,776,443 | ) | | | (12,285 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (1,498,033,817 | ) | | | (1,475,571,045 | ) | | | 22,462,772 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(422,964,198 | ) | | | $(417,891,974 | ) | | | $5,072,224 | |
| | | | | | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $60 at December 31, 2014. Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts was $2,300,000 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $5,590,000 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peru Nuevo Sol
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thailand Baht
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
155
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
Total Return Basket Swaps* Outstanding at December 31, 2014
Over the Counter
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Bank of America | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 66-67 months maturity 08/12/2019 | | | $16,290 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | |
| | | |
| Cayman Islands | | | | | | | | | | | | |
| Herbalife Ltd. | | | (22,591 | ) | | $ | (968,024 | ) | | $ | 116,343 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (100,053 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 16,290 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund pledged as collateral to Bank of America is included in the collateral for total return swap contracts.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | | 37 months maturity 12/21/2015 | | | $8,436,045 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| DCC PLC | | | 51,111 | | | $ | 2,690,783 | | | $ | 123,033 | |
| Henderson Group PLC | | | 8,045 | | | | 25,206 | | | | 1,394 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 124,427 | |
| | | | | | | | | | | | |
| South Africa | | | | | | | | | |
| Investec PLC | | | 484,269 | | | | 3,440,290 | | | | 617,048 | |
| Mondi PLC | | | 84,618 | | | | 1,347,277 | | | | 27,383 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 644,431 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Switzerland | | | | | | | | | |
| Wolseley PLC | | | 19,539 | | | $ | 998,770 | | | $ | 118,309 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | |
| Amlin PLC | | | 57,690 | | | | 391,091 | | | | 36,842 | |
| Anglo American PLC | | | 88,848 | | | | 2,057,046 | | | | (412,963 | ) |
| Associated British Foods PLC | | | 68,517 | | | | 3,110,156 | | | | 239,798 | |
| AstraZeneca PLC | | | 87,175 | | | | 5,996,159 | | | | 161,074 | |
| Aviva PLC | | | 1,296,450 | | | | 9,464,354 | | | | 276,367 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
156
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Babcock International Group PLC | | | 236,287 | | | $ | 4,084,144 | | | $ | (213,041 | ) |
| BAE Systems PLC | | | 356,765 | | | | 2,299,021 | | | | 310,071 | |
| Barclays PLC | | | 1,136,142 | | | | 3,973,757 | | | | 297,376 | |
| Barratt Developments PLC | | | 1,114,841 | | | | 6,224,369 | | | | 1,889,579 | |
| Berkeley Group Holdings PLC | | | 74,566 | | | | 2,801,943 | | | | 65,649 | |
| Booker Group PLC | | | 30,585 | | | | 58,183 | | | | 19,511 | |
| BP PLC | | | 1,325,295 | | | | 9,443,478 | | | | (1,031,072 | ) |
| BT Group PLC | | | 963,751 | | | | 5,775,947 | | | | 218,370 | |
| Catlin Group Ltd. | | | 53,097 | | | | 429,631 | | | | 123,473 | |
| Cobham PLC | | | 268,259 | | | | 1,252,204 | | | | 94,472 | |
| Compass Group PLC | | | 51,077 | | | | 796,198 | | | | 76,855 | |
| Direct Line Insurance Group PLC | | | 348,307 | | | | 1,388,407 | | | | 187,192 | |
| Drax Group PLC | | | 81,878 | | | | 768,496 | | | | (182,176 | ) |
| DS Smith PLC | | | 473,672 | | | | 2,151,367 | | | | 210,730 | |
| Evraz PLC | | | 83,566 | | | | 172,126 | | | | 27,612 | |
| G4S PLC | | | 114,848 | | | | 472,271 | | | | 23,140 | |
| GKN PLC | | | 1,377,805 | | | | 6,424,636 | | | | 909,058 | |
| GlaxoSmithKline PLC | | | 105,177 | | | | 2,200,475 | | | | 55,586 | |
| Hays PLC | | | 645,572 | | | | 1,263,836 | | | | 188,616 | |
| HSBC Holdings PLC | | | 573,247 | | | | 5,462,199 | | | | (45,155 | ) |
| Imperial Tobacco Group PLC | | | 30,168 | | | | 1,215,308 | | | | 112,672 | |
| Inchcape PLC | | | 406,513 | | | | 3,429,077 | | | | 1,138,123 | |
| Indivior PLC | | | 22,332 | | | | — | | | | 52,001 | |
| Inmarsat PLC | | | 114,128 | | | | 1,321,879 | | | | 93,247 | |
| Intermediate Capital Group PLC | | | 155,108 | | | | 984,846 | | | | 123,304 | |
| ITV PLC | | | 1,188,995 | | | | 3,552,488 | | | | 413,661 | |
| J Sainsbury PLC | | | 137,307 | | | | 534,892 | | | | (10,523 | ) |
| Kazakhmys PLC | | | 125,206 | | | | 546,867 | | | | (47,267 | ) |
| Kingfisher PLC | | | 861,102 | | | | 4,913,343 | | | | (361,438 | ) |
| Legal & General Group PLC | | | 1,156,602 | | | | 3,781,004 | | | | 684,807 | |
| Lloyds Banking Group PLC | | | 68,945 | | | | 82,324 | | | | (1,226 | ) |
| Lonmin PLC | | | 105,435 | | | | 303,725 | | | | (13,056 | ) |
| National Grid PLC | | | 311,147 | | | | 4,160,152 | | | | 255,304 | |
| Next PLC | | | 42,408 | | | | 3,627,347 | | | | 870,552 | |
| Persimmon PLC | | | 35,128 | | | | 830,247 | | | | 27,715 | |
| Premier Oil PLC | | | 85,821 | | | | 388,939 | | | | (166,967 | ) |
| Provident Financial PLC | | | 36,107 | | | | 1,206,864 | | | | 171,403 | |
| Reckitt Benckiser Group PLC | | | 22,332 | | | | 1,722,812 | | | | 85,944 | |
| Rentokil Initial PLC | | | 595,113 | | | | 1,092,332 | | | | 28,280 | |
| Rexam PLC | | | 191,569 | | | | 1,496,682 | | | | (148,037 | ) |
| Rightmove PLC | | | 21,065 | | | | 729,516 | | | | 5,087 | |
| Rotork PLC | | | 28 | | | | 975 | | | | 34 | |
| Royal Mail PLC | | | 75,774 | | | | 517,173 | | | | (12,161 | ) |
| SABMiller PLC | | | 20,852 | | | | 1,139,645 | | | | (52,606 | ) |
| Serco Group PLC | | | 133,370 | | | | 666,776 | | | | (334,015 | ) |
| Severn Trent PLC | | | 3,595 | | | | 108,353 | | | | 3,787 | |
| Smith & Nephew PLC | | | 99,850 | | | | 1,627,802 | | | | 172,746 | |
| Spectris PLC | | | 9,271 | | | | 293,939 | | | | 8,835 | |
| Standard Chartered PLC | | | 391,995 | | | | 6,600,632 | | | | (737,995 | ) |
| Tate & Lyle PLC | | | 447,791 | | | | 4,893,160 | | | | (697,203 | ) |
| Taylor Wimpey PLC | | | 523,441 | | | | 1,036,050 | | | | 80,666 | |
| Tesco PLC | | | 1,200,432 | | | | 3,443,934 | | | | 56,165 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Travis Perkins PLC | | | 114,303 | | | $ | 3,086,439 | | | $ | 203,660 | |
| UBM PLC | | | 8,592 | | | | 69,457 | | | | (5,247 | ) |
| United Utilities Group PLC | | | 15,545 | | | | 205,919 | | | | 14,897 | |
| Vedanta Resources PLC | | | 15,599 | | | | 190,924 | | | | (52,556 | ) |
| Vodafone Group PLC | | | 102,520 | | | | 339,592 | | | | 11,935 | |
| WPP PLC | | | 157,475 | | | | 3,096,936 | | | | 177,230 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,678,722 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 6,565,889 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Coca-Cola HBC AG | | | (16,560 | ) | | | (323,567 | ) | | | 8,274 | |
| Glencore PLC | | | (509,901 | ) | | | (2,720,320 | ) | | | 366,704 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 374,978 | |
| | | | | | | | | | | | |
| United Kingdom | | | | | | | | | |
| Aberdeen Asset Management PLC | | | (669,759 | ) | | | (4,535,335 | ) | | | 59,273 | |
| Admiral Group PLC | | | (318,180 | ) | | | (6,536,012 | ) | | | 8,521 | |
| Aggreko PLC | | | (155,956 | ) | | | (4,080,856 | ) | | | 443,966 | |
| Amec Foster Wheeler PLC | | | (169,817 | ) | | | (2,909,977 | ) | | | 667,129 | |
| Antofagasta PLC | | | (75,940 | ) | | | (961,436 | ) | | | 76,585 | |
| ARM Holdings PLC | | | (168,171 | ) | | | (2,329,178 | ) | | | (254,328 | ) |
| Ashtead Group PLC | | | (165,234 | ) | | | (2,739,496 | ) | | | (195,044 | ) |
| ASOS PLC | | | (62,073 | ) | | | (2,217,349 | ) | | | (250,537 | ) |
| BG Group PLC | | | (62,306 | ) | | | (793,161 | ) | | | (40,599 | ) |
| British American Tobacco PLC | | | (26,186 | ) | | | (1,333,079 | ) | | | (85,964 | ) |
| Bunzl PLC | | | (82,370 | ) | | | (1,866,132 | ) | | | (385,881 | ) |
| Burberry Group PLC | | | (418,122 | ) | | | (9,725,370 | ) | | | (882,809 | ) |
| Capita PLC | | | (63,503 | ) | | | (1,115,087 | ) | | | 50,289 | |
| Centrica PLC | | | (372,624 | ) | | | (1,684,973 | ) | | | 70,977 | |
| Croda International PLC | | | (118,569 | ) | | | (4,467,454 | ) | | | (426,411 | ) |
| Diageo PLC | | | (163,957 | ) | | | (4,814,074 | ) | | | 117,187 | |
| easyJet PLC | | | (47,532 | ) | | | (1,006,255 | ) | | | (223,829 | ) |
| Eurasian Natural Resources Corp. Ltd. | | | (2,433 | ) | | | (8,414 | ) | | | (282 | ) |
| Experian PLC | | | (83,453 | ) | | | (1,324,317 | ) | | | (82,446 | ) |
| Hargreaves Lansdown PLC | | | (253,999 | ) | | | (3,925,459 | ) | | | (48,835 | ) |
| Hikma Pharmaceuticals PLC | | | (9,953 | ) | | | (289,318 | ) | | | (16,055 | ) |
| ICAP PLC | | | (286,514 | ) | | | (1,652,424 | ) | | | (353,799 | ) |
| IMI PLC | | | (115,404 | ) | | | (2,510,856 | ) | | | 253,098 | |
| Informa PLC | | | (2,937 | ) | | | (20,710 | ) | | | (740 | ) |
| International Consolidated Airlines Group SA | | | (85,851 | ) | | | (564,264 | ) | | | (82,028 | ) |
| Intertek Group PLC | | | (121,411 | ) | | | (5,602,775 | ) | | | 1,208,667 | |
| John Wood Group PLC | | | (180,995 | ) | | | (1,967,812 | ) | | | 293,426 | |
| Johnson Matthey PLC | | | (72,600 | ) | | | (3,202,319 | ) | | | (617,504 | ) |
| Ladbrokes PLC | | | (50,171 | ) | | | (95,389 | ) | | | 9,556 | |
| Man Group PLC | | | (1,831,559 | ) | | | (2,830,263 | ) | | | (1,727,325 | ) |
| Marks & Spencer Group PLC | | | (887,799 | ) | | | (6,077,603 | ) | | | (496,552 | ) |
| Meggitt PLC | | | (198,878 | ) | | | (1,490,890 | ) | | | (108,933 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
157
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Melrose Industries PLC | | | (41,573 | ) | | $ | (161,534 | ) | | $ | (10,556 | ) |
| Old Mutual PLC | | | (517,610 | ) | | | (1,542,556 | ) | | | 17,074 | |
| Pearson PLC | | | (347,271 | ) | | | (6,568,060 | ) | | | 154,615 | |
| Pennon Group PLC | | | (37,403 | ) | | | (347,235 | ) | | | (187,129 | ) |
| Petrofac Ltd. | | | (496,549 | ) | | | (8,730,041 | ) | | | 3,320,661 | |
| Prudential PLC | | | (102,237 | ) | | | (2,105,427 | ) | | | (258,239 | ) |
| Rolls-Royce Holdings PLC, PRF C | | | (3,302,100 | ) | | | (144 | ) | | | (5,291 | ) |
| Rolls-Royce Holdings PLC | | | (20,486 | ) | | | (268,394 | ) | | | (6,812 | ) |
| Royal Bank of Scotland Group PLC | | | (406,899 | ) | | | (2,166,012 | ) | | | (309,638 | ) |
| RSA Insurance Group PLC | | | (420,425 | ) | | | (2,995,468 | ) | | | 156,983 | |
| Sage Group PLC/The | | | (17,079 | ) | | | (98,616 | ) | | | (24,739 | ) |
| Shire PLC | | | (61,386 | ) | | | (4,212,974 | ) | | | (139,296 | ) |
| Sky PLC | | | (168,213 | ) | | | (2,317,828 | ) | | | (29,807 | ) |
| Smiths Group PLC | | | (12,713 | ) | | | (205,859 | ) | | | (10,315 | ) |
| Spirax-Sarco Engineering PLC | | | (8,695 | ) | | | (374,583 | ) | | | (12,491 | ) |
| Sports Direct International PLC | | | (454,223 | ) | | | (4,870,183 | ) | | | (126,592 | ) |
| SSE PLC | | | (9,593 | ) | | | (212,770 | ) | | | (29,617 | ) |
| St. James’s Place PLC | | | (11,080 | ) | | | (117,598 | ) | | | (22,109 | ) |
| Standard Life PLC | | | (40,951 | ) | | | (259,876 | ) | | | 6,214 | |
| TalkTalk Telecom Group PLC | | | (30,341 | ) | | | (140,368 | ) | | | (2,434 | ) |
| Telecity Group PLC | | | (158,538 | ) | | | (1,859,213 | ) | | | (120,892 | ) |
| Weir Group PLC/The | | | (154,131 | ) | | | (5,289,016 | ) | | | 869,193 | |
| Whitbread PLC | | | (12,088 | ) | | | (823,714 | ) | | | (70,882 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| William Hill PLC | | | (160,836 | ) | | $ | (867,782 | ) | | $ | (35,970 | ) |
| WM Morrison Supermarkets PLC | | | (1,214,124 | ) | | | (3,296,634 | ) | | | (167,581 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (66,877 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 308,101 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 6,873,990 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 1,562,055 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 8,436,045 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund pledged as collateral to Deutsche Bank is included in the collateral for total return swap contracts.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | | 12-37 months maturity ranging from 12/21/2015 - 12/28/2015 | | | $5,991,887 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Aeroports de Paris | | | 9,838 | | | $ | 1,095,794 | | | $ | 93,864 | |
| Airbus Group NV | | | 52,694 | | | | 2,881,899 | | | | (276,814 | ) |
| Arkema SA | | | 8,994 | | | | 772,136 | | | | (177,302 | ) |
| AtoS | | | 46,791 | | | | 3,061,372 | | | | 656,429 | |
| AXA SA | | | 628 | | | | 13,418 | | | | 1,053 | |
| Bureau Veritas SA | | | 6,452 | | | | 143,294 | | | | (343 | ) |
| Cap Gemini SA | | | 21,037 | | | | 932,738 | | | | 571,769 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | |
| CGG SA | | | 11,739 | | | $ | 71,117 | | | $ | (1,935 | ) |
| Cie Generale des Etablissements Michelin | | | 68,338 | | | | 5,862,210 | | | | 306,436 | |
| CNP Assurances | | | 33,223 | | | | 625,197 | | | | (36,214 | ) |
| Credit Agricole SA | | | 75,115 | | | | 957,515 | | | | 12,109 | |
| Danone SA | | | 4,562 | | | | 301,320 | | | | (3,065 | ) |
| Dassault Systemes | | | 1,968 | | | | 124,627 | | | | (4,617 | ) |
| Eiffage SA | | | 5,752 | | | | 282,979 | | | | 8,645 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
158
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | |
| Etablissements Maurel et Prom | | | 27,838 | | | $ | 372,200 | | | $ | (112,030 | ) |
| GDF Suez | | | 145,449 | | | | 3,563,558 | | | | (171,827 | ) |
| Groupe Eurotunnel SA | | | 78,564 | | | | 902,859 | | | | 111,416 | |
| Iliad SA | | | 23,975 | | | | 5,346,049 | | | | 409,780 | |
| Imerys SA | | | 11,922 | | | | 850,037 | | | | 27,075 | |
| Ingenico | | | 5,444 | | | | 525,548 | | | | 47,914 | |
| Lagardere SCA | | | 181,582 | | | | 5,394,246 | | | | (665,491 | ) |
| Natixis SA | | | 104,798 | | | | 637,746 | | | | 53,776 | |
| Orange SA | | | 616,860 | | | | 8,533,415 | | | | 1,957,347 | |
| Renault SA | | | 11,641 | | | | 999,700 | | | | (151,813 | ) |
| Rexel SA | | | 182,676 | | | | 3,750,237 | | | | (477,392 | ) |
| Safran SA | | | 2,773 | | | | 164,809 | | | | 6,271 | |
| Sanofi | | | 82,932 | | | | 7,335,882 | | | | 225,067 | |
| SCOR SE | | | 19,538 | | | | 557,848 | | | | 34,160 | |
| SES SA | | | 99,303 | | | | 3,301,212 | | | | 261,777 | |
| Societe BIC SA | | | 16,568 | | | | 1,669,289 | | | | 528,004 | |
| Societe Generale SA | | | 6,890 | | | | 301,695 | | | | (13,347 | ) |
| Sodexo SA | | | 930 | | | | 85,826 | | | | 5,207 | |
| Suez Environnement Co. | | | 247,031 | | | | 3,124,823 | | | | 1,179,252 | |
| Thales SA | | | 23,296 | | | | 1,196,494 | | | | 63,987 | |
| Total SA | | | 131,819 | | | | 7,332,590 | | | | (579,236 | ) |
| Valeo SA | | | 76,541 | | | | 4,080,372 | | | | 5,443,642 | |
| Vivendi SA | | | 116,901 | | | | 2,765,845 | | | | 143,883 | |
| Wendel SA | | | 3,491 | | | | 429,557 | | | | (38,412 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,439,025 | |
| | | | | | | | | | | | |
| Portugal | | | | | | | | | |
| Jeronimo Martins SGPS SA | | | 16,813 | | | | 169,461 | | | | (989 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | 9,438,036 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Accor SA | | | (30,824 | ) | | | (1,033,099 | ) | | | (352,470 | ) |
| Air France-KLM | | | (58,707 | ) | | | (740,267 | ) | | | 177,708 | |
| Air Liquide SA | | | (10,556 | ) | | | (1,178,542 | ) | | | (127,654 | ) |
| Alcatel-Lucent | | | (1,388,586 | ) | | | (1,977,551 | ) | | | (2,989,728 | ) |
| BNP Paribas SA | | | (18,592 | ) | | | (1,070,984 | ) | | | (26,578 | ) |
| Bollore SA | | | (23,135 | ) | | | (102,786 | ) | | | (2,573 | ) |
| Bouygues SA | | | (5,734 | ) | | | (210,921 | ) | | | 3,876 | |
| Carrefour SA | | | (66,841 | ) | | | (2,242,070 | ) | | | 208,004 | |
| Casino Guichard Perrachon SA | | | (2,059 | ) | | | (179,492 | ) | | | (9,863 | ) |
| Christian Dior SA Rights | | | (777 | ) | | | (30 | ) | | | (4,180 | ) |
| Christian Dior SA | | | (777 | ) | | | (125,068 | ) | | | (7,906 | ) |
| Christian Dior SA, EUR 2 Rights | | | (777 | ) | | | (78 | ) | | | (10,719 | ) |
| Cie de Saint-Gobain | | | (86,957 | ) | | | (3,650,047 | ) | | | (33,525 | ) |
| Edenred | | | (37,926 | ) | | | (990,527 | ) | | | (58,355 | ) |
| Electricite de France SA | | | (89,478 | ) | | | (2,472,266 | ) | | | 9,080 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | | | |
| Essilor International SA | | | (60,100 | ) | | $ | (5,855,052 | ) | | $ | (847,258 | ) |
| Eutelsat Communications SA | | | (79,961 | ) | | | (2,258,018 | ) | | | (327,892 | ) |
| Faurecia | | | (21,604 | ) | | | (589,311 | ) | | | (212,594 | ) |
| JCDecaux SA | | | (15,383 | ) | | | (493,241 | ) | | | (36,407 | ) |
| Kering | | | (19,627 | ) | | | (3,690,666 | ) | | | (81,065 | ) |
| Legrand SA | | | (13,205 | ) | | | (649,019 | ) | | | (43,691 | ) |
| LVMH Moet Hennessy Louis Vuitton SA Rights | | | (45,658 | ) | | | (5,792 | ) | | | (798,866 | ) |
| LVMH Moet Hennessy Louis Vuitton SA | | | (46,022 | ) | | | (7,485,636 | ) | | | 195,673 | |
| Neopost SA | | | (12,846 | ) | | | (707,706 | ) | | | (21,243 | ) |
| Pernod Ricard SA | | | (24,018 | ) | | | (2,370,421 | ) | | | (298,884 | ) |
| Peugeot SA | | | (365,543 | ) | | | (4,664,469 | ) | | | 185,693 | |
| Publicis Groupe SA | | | (9,964 | ) | | | (693,448 | ) | | | (21,124 | ) |
| Remy Cointreau SA | | | (36,677 | ) | | | (2,734,830 | ) | | | 287,761 | |
| Schneider Electric SE | | | (42,262 | ) | | | (3,331,829 | ) | | | 253,920 | |
| Societe Television Francaise 1 | | | (224 | ) | | | (3,399 | ) | | | (44 | ) |
| Technip SA | | | (41,544 | ) | | | (3,323,098 | ) | | | 848,425 | |
| Vallourec SA | | | (184,081 | ) | | | (8,159,766 | ) | | | 3,170,867 | |
| Veolia Environnement SA | | | (406,927 | ) | | | (4,216,997 | ) | | | (2,990,837 | ) |
| Vinci SA | | | (12,609 | ) | | | (748,855 | ) | | | 60,372 | |
| Zodiac Aerospace | | | (35,435 | ) | | | (1,056,178 | ) | | | (136,840 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (4,038,917 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 5,399,119 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 592,768 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 5,991,887 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
159
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 37 months maturity 12/21/2015 | | | $(5,587,503 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| India | | | | | | | | | | | | |
| Reliance Industries Ltd. | | | 29,640 | | | $ | 882,666 | | | $ | (55,459 | ) |
| State Bank of India | | | 17,908 | | | | 738,706 | | | | 142,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 87,460 | |
| | | | | | | | | | | | |
| Korea, Republic of | | | | | | | | | |
| Samsung Electronics Co., Ltd. | | | 13,128 | | | | 8,701,289 | | | | (821,239 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (733,779 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (4,853,724 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (5,587,503 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
160
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | | 12-13 months maturity ranging from 11/20/2015 - 12/22/2015 | | | $(38,303 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Amec Foster Wheeler PLC | | | 2,140 | | | $ | 30,217 | | | $ | (2,525 | ) |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
| Allergan, Inc. | | | 26,991 | | | | 5,649,856 | | | | 88,161 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 85,636 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | | | | |
| Actavis PLC | | | (9,941 | ) | | $ | (2,463,568 | ) | | $ | (95,345 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (9,709 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (28,594 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (38,303 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
161
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | | 37 months maturity 12/21/2015 | | | $1,646,278 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Advanced Computer Software Group PLC | | | 1,948,618 | | | $ | 4,194,601 | | | $ | 11,143 | |
| CSR PLC | | | 234,321 | | | | 3,109,956 | | | | (1,275 | ) |
| Friends Life Group Ltd. | | | 558,690 | | | | 3,299,421 | | | | (126,493 | ) |
| Spirit Pub Co. PLC | | | 2,017,826 | | | | 3,298,023 | | | | (19,387 | ) |
| Synergy Health PLC | | | 121,005 | | | | 3,466,864 | | | | 457,139 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 321,127 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 321,127 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Aviva PLC | | | (413,431 | ) | | | (3,248,650 | ) | | | 142,386 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | |
| Greene King PLC | | | (266,756 | ) | | $ | (3,182,774 | ) | | $ | 98,715 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 241,101 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 241,101 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 562,228 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 1,084,050 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 1,646,278 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
162
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION DATE** | | VALUE
(Note 5) | |
| Deutsche Bank | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | | 24 months maturity 10/16/2015 | | | $(301,363 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Australia | | | | | | | | | | | | |
| Goodman Fielder Ltd. | | | 6,366,829 | | | $ | 3,539,276 | | | $ | (219,973 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (81,390 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (301,363 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate, which is denominated in USD based on the local currencies of the positions within the swap. | | 7-25 months maturity ranging from 07/23/2015 - 07/24/2015 | | | $17,420,143 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Domtar Corp. | | | 29,400 | | | $ | 1,231,902 | | | $ | (49,434 | ) |
| Restaurant Brands International, Inc. | | | 9,504 | | | | 336,000 | | | | 35,036 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (14,398 | ) |
| | | | | | | | | | | | |
| Ireland | | | | | | | | | |
| Allegion PLC | | | 1,500 | | | | 80,925 | | | | 2,265 | |
| | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | | | | |
| Avago Technologies Ltd. | | | 8,800 | | | | 808,051 | | | | 77,141 | |
| Flextronics International Ltd. | | | 1,021,300 | | | | 11,438,560 | | | | (20,426 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 56,715 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Sweden | | | | | | | | | |
| Autoliv, Inc. | | | 30,600 | | | $ | 3,046,230 | | | $ | 201,042 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Allied World Assurance Co. Holdings AG | | | 49,862 | | | | 1,869,326 | | | | 21,441 | |
| TE Connectivity Ltd. | | | 98,133 | | | | 6,249,109 | | | | (42,197 | ) |
| Transocean Ltd. | | | 12,400 | | | | 237,491 | | | | (10,199 | ) |
| Weatherford International PLC | | | 205,100 | | | | 2,825,570 | | | | (477,175 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (508,130 | ) |
| | | | | | | | | | | | |
| United Kingdom | | | | | | | | | |
| Aon PLC | | | 33,600 | | | | 3,101,616 | | | | 84,672 | |
| Delphi Automotive PLC | | | 104,300 | | | | 7,545,160 | | | | 39,536 | |
| Pentair PLC | | | 1,100 | | | | 73,993 | | | | (931 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
163
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Willis Group Holdings PLC | | | 13,400 | | | $ | 579,014 | | | $ | 21,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 144,717 | |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| 3D Systems Corp. | | | 10,300 | | | | 324,568 | | | | 13,993 | |
| Abbott Laboratories | | | 74,707 | | | | 3,311,014 | | | | 52,295 | |
| AbbVie, Inc. | | | 69,665 | | | | 4,669,889 | | | | (111,011 | ) |
| Activision Blizzard, Inc. | | | 32,989 | | | | 702,666 | | | | (37,937 | ) |
| Acxiom Corp. | | | 60,168 | | | | 1,169,064 | | | | 50,541 | |
| Adobe Systems, Inc. | | | 7,769 | | | | 558,553 | | | | 6,254 | |
| Advance Auto Parts, Inc. | | | 9,438 | | | | 1,373,984 | | | | 129,301 | |
| Advanced Micro Devices, Inc. | | | 88,818 | | | | 236,447 | | | | 697 | |
| AECOM Technology Corp. | | | 50,363 | | | | 1,697,233 | | | | (167,709 | ) |
| AES Corp. | | | 49,086 | | | | 679,044 | | | | (3,130 | ) |
| Aetna, Inc. | | | 79,500 | | | | 6,909,269 | | | | 152,716 | |
| Agilent Technologies, Inc. | | | 28,845 | | | | 1,216,573 | | | | (35,659 | ) |
| Akamai Technologies, Inc. | | | 13,800 | | | | 885,270 | | | | (16,422 | ) |
| Alaska Air Group, Inc. | | | 46,595 | | | | 2,578,229 | | | | 206,288 | |
| Alcoa, Inc. | | | 82,200 | | | | 1,219,988 | | | | 77,950 | |
| Alere, Inc. | | | 11,015 | | | | 406,273 | | | | 12,297 | |
| Alexion Pharmaceuticals, Inc. | | | 37,100 | | | | 7,202,965 | | | | (338,352 | ) |
| Alliant Energy Corp. | | | 9,700 | | | | 600,042 | | | | 44,232 | |
| Alliant Techsystems, Inc. | | | 10,100 | | | | 1,135,324 | | | | 38,801 | |
| Allison Transmission Holdings, Inc. | | | 12,100 | | | | 404,616 | | | | 5,574 | |
| Allstate Corp./The | | | 42,000 | | | | 2,851,863 | | | | 98,637 | |
| Amdocs Ltd. | | | 64,000 | | | | 3,091,840 | | | | (105,920 | ) |
| AMERCO | | | 2,900 | | | | 799,259 | | | | 25,095 | |
| Ameren Corp. | | | 30,300 | | | | 1,287,144 | | | | 110,595 | |
| American Capital Ltd. | | | 81,160 | | | | 1,211,719 | | | | (25,971 | ) |
| American Electric Power Co., Inc. | | | 63,000 | | | | 3,578,400 | | | | 246,960 | |
| American Express Co. | | | 47,600 | | | | 4,333,504 | | | | 95,200 | |
| American Financial Group, Inc. | | | 52,400 | | | | 3,181,728 | | | | — | |
| American International Group, Inc. | | | 4,300 | | | | 230,124 | | | | 10,719 | |
| American Water Works Co., Inc. | | | 35,000 | | | | 1,828,050 | | | | 37,450 | |
| Ameriprise Financial, Inc. | | | 20,600 | | | | 2,722,702 | | | | 1,648 | |
| AmerisourceBergen Corp. | | | 6,013 | | | | 542,492 | | | | (360 | ) |
| Amgen, Inc. | | | 17,313 | | | | 2,815,215 | | | | (57,427 | ) |
| Anadarko Petroleum Corp. | | | 48,976 | | | | 4,332,988 | | | | (292,468 | ) |
| ANN, Inc. | | | 66,421 | | | | 2,523,998 | | | | (100,960 | ) |
| Anthem, Inc. | | | 50,900 | | | | 6,420,211 | | | | (23,608 | ) |
| AO Smith Corp. | | | 51,305 | | | | 2,809,975 | | | | 84,140 | |
| Apache Corp. | | | 27,700 | | | | 2,073,229 | | | | (337,270 | ) |
| Apollo Education Group, Inc. | | | 53,700 | | | | 1,659,330 | | | | 172,377 | |
| Applied Materials, Inc. | | | 826 | | | | 19,196 | | | | 1,388 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Archer-Daniels-Midland Co. | | | 195,300 | | | $ | 10,341,135 | | | $ | (185,535 | ) |
| ARRIS Group, Inc. | | | 70,180 | | | | 2,055,748 | | | | 62,986 | |
| Arrow Electronics, Inc. | | | 42,866 | | | | 2,496,516 | | | | (15,003 | ) |
| Arthur J. & Gallager Corp. | | | 34,100 | | | | 1,635,777 | | | | (30,349 | ) |
| Ashland, Inc. | | | 200 | | | | 22,550 | | | | 1,402 | |
| Aspen Insurance Holdings Ltd. | | | 6,200 | | | | 272,355 | | | | (981 | ) |
| Associated Banc-Corp. | | | 6,700 | | | | 127,970 | | | | (3,149 | ) |
| Assurant, Inc. | | | 99,300 | | | | 6,787,155 | | | | 7,944 | |
| AT&T, Inc. | | | 28,746 | | | | 996,741 | | | | (31,163 | ) |
| Atmel Corp. | | | 336,300 | | | | 2,611,928 | | | | 211,311 | |
| Atmos Energy Corp. | | | 8,847 | | | | 474,288 | | | | 18,844 | |
| Autodesk, Inc. | | | 60,300 | | | | 3,695,184 | | | | (73,566 | ) |
| Automatic Data Processing, Inc. | | | 9,513 | | | | 806,560 | | | | (13,461 | ) |
| AutoZone, Inc. | | | 1,600 | | | | 914,208 | | | | 76,368 | |
| Avery Dennison Corp. | | | 11,600 | | | | 570,140 | | | | 31,668 | |
| Avnet, Inc. | | | 54,800 | | | | 2,405,720 | | | | (48,224 | ) |
| Axis Capital Holdings Ltd. | | | 24,902 | | | | 1,247,092 | | | | 25,151 | |
| Ball Corp. | | | 36,500 | | | | 2,371,502 | | | | 116,703 | |
| Bank of America Corp. | | | 119,000 | | | | 2,044,420 | | | | 84,490 | |
| Bank of New York Mellon Corp./The | | | 7,000 | | | | 280,280 | | | | 3,710 | |
| Barnes & Noble, Inc. | | | 15,363 | | | | 367,944 | | | | (11,215 | ) |
| BB&T Corp. | | | 6,400 | | | | 243,648 | | | | 5,248 | |
| Becton Dickinson and Co. | | | 2,500 | | | | 327,775 | | | | 20,125 | |
| Best Buy Co., Inc. | | | 80,793 | | | | 3,144,312 | | | | 4,999 | |
| Big Lots, Inc. | | | 79,927 | | | | 3,715,943 | | | | (517,264 | ) |
| Biogen Idec, Inc. | | | 34,949 | | | | 10,720,256 | | | | 1,143,182 | |
| Booz Allen Hamilton Holding Corp. | | | 35,600 | | | | 922,273 | | | | 22,195 | |
| Boston Scientific Corp. | | | 63,671 | | | | 836,637 | | | | 7,004 | |
| Brinker International, Inc. | | | 1,700 | | | | 93,619 | | | | 6,154 | |
| Broadcom Corp. | | | 112,700 | | | | 4,781,827 | | | | 101,464 | |
| Broadridge Financial Solutions, Inc. | | | 46,300 | | | | 2,112,206 | | | | 25,928 | |
| Brocade Communications Systems, Inc. | | | 1,244,936 | | | | 14,553,302 | | | | 186,740 | |
| Brown & Brown, Inc. | | | 21,500 | | | | 694,020 | | | | 13,545 | |
| Bruker Corp. | | | 6,100 | | | | 117,181 | | | | 2,501 | |
| Bunge Ltd. | | | 22,700 | | | | 2,039,822 | | | | 23,835 | |
| CA, Inc. | | | 136,657 | | | | 4,235,551 | | | | (74,346 | ) |
| Cabot Corp. | | | 24,761 | | | | 1,160,796 | | | | (74,778 | ) |
| Calpine Corp. | | | 7,358 | | | | 154,803 | | | | 8,029 | |
| Cameron International Corp. | | | 49,057 | | | | 2,449,108 | | | | 1,289 | |
| Capital One Financial Corp. | | | 85,700 | | | | 7,018,730 | | | | 55,805 | |
| Cardinal Health, Inc. | | | 74,841 | | | | 6,059,876 | | | | (17,962 | ) |
| Career Education Corp. | | | 78,903 | | | | 456,848 | | | | 92,317 | |
| Carlisle Cos., Inc. | | | 21,167 | | | | 1,925,139 | | | | (15,029 | ) |
| Carnival Corp. | | | 16,499 | | | | 692,793 | | | | 55,107 | |
| Caterpillar, Inc. | | | 21,700 | | | | 1,964,044 | | | | 22,157 | |
| CBOE Holdings, Inc. | | | 16,900 | | | | 1,003,522 | | | | 68,276 | |
| CBS Corp. | | | 5,600 | | | | 310,034 | | | | (130 | ) |
| CDW Corp. | | | 14,900 | | | | 503,077 | | | | 20,956 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
164
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Celanese Corp. | | | 7,400 | | | $ | 450,126 | | | $ | (6,422 | ) |
| Celgene Corp. | | | 4,763 | | | | 528,598 | | | | 4,191 | |
| Centene Corp. | | | 17,200 | | | | 1,731,349 | | | | 54,871 | |
| CenterPoint Energy, Inc. | | | 32,338 | | | | 787,430 | | | | (29,751 | ) |
| CenturyLink, Inc. | | | 18,082 | | | | 728,343 | | | | (12,657 | ) |
| CF Industries Holdings, Inc. | | | 18,100 | | | | 4,939,977 | | | | (7,003 | ) |
| Charles River Laboratories International, Inc. | | | 44,000 | | | | 2,885,960 | | | | (85,800 | ) |
| Chevron Corp. | | | 15,468 | | | | 1,818,882 | | | | (83,682 | ) |
| Chico’s FAS, Inc. | | | 198,187 | | | | 3,136,425 | | | | 76,186 | |
| Chipotle Mexican Grill, Inc. | | | 900 | | | | 593,586 | | | | 22,473 | |
| Cigna Corp. | | | 76,568 | | | | 7,840,563 | | | | 39,050 | |
| Cimarex Energy Co. | | | 18,947 | | | | 2,307,555 | | | | (299,173 | ) |
| Cinemark Holdings, Inc. | | | 35,941 | | | | 1,292,303 | | | | (13,522 | ) |
| Cintas Corp. | | | 37,200 | | | | 2,710,392 | | | | 207,576 | |
| Cisco Systems, Inc. | | | 84,406 | | | | 2,266,158 | | | | 81,594 | |
| Citrix Systems, Inc. | | | 14,200 | | | | 861,122 | | | | 44,838 | |
| Civeo Corp. | | | 15,400 | | | | 134,059 | | | | (70,765 | ) |
| Cleco Corp. | | | 16,649 | | | | 891,720 | | | | 16,316 | |
| Cliffs Natural Resources, Inc. | | | 40,129 | | | | 251,755 | | | | 34,766 | |
| Cobalt International Energy, Inc. | | | 105,845 | | | | 1,114,777 | | | | (173,815 | ) |
| Coca-Cola Enterprises, Inc. | | | 49,381 | | | | 2,163,044 | | | | 20,584 | |
| Cognizant Technology Solutions Corp. | | | 60,050 | | | | 3,201,159 | | | | (38,926 | ) |
| Colgate-Palmolive Co. | | | 6,800 | | | | 462,060 | | | | 8,432 | |
| Comcast Corp. | | | 3,311 | | | | 189,180 | | | | 2,891 | |
| Commercial Metals Co. | | | 156,400 | | | | 2,649,416 | | | | (101,660 | ) |
| Computer Sciences Corp. | | | 142,500 | | | | 9,041,625 | | | | (57,000 | ) |
| ConocoPhillips | | | 95,931 | | | | 7,034,620 | | | | (409,625 | ) |
| Consolidated Edison, Inc. | | | 24,600 | | | | 1,522,494 | | | | 101,352 | |
| Convergys Corp. | | | 40,934 | | | | 863,707 | | | | (29,882 | ) |
| Con-way, Inc. | | | 37,990 | | | | 1,838,815 | | | | 29,534 | |
| Cooper Cos., Inc./The | | | 2,400 | | | | 406,368 | | | | (17,352 | ) |
| Copart, Inc. | | | 14,300 | | | | 494,065 | | | | 27,742 | |
| CoreLogic, Inc. | | | 53,200 | | | | 1,781,668 | | | | (101,080 | ) |
| Corning, Inc. | | | 146,900 | | | | 3,084,414 | | | | 284,003 | |
| Costco Wholesale Corp. | | | 6,550 | | | | 912,309 | | | | 16,153 | |
| Covisint Corp. | | | 1,194 | | | | 3,069 | | | | 96 | |
| CR Bard, Inc. | | | 9,500 | | | | 1,592,689 | | | | (9,799 | ) |
| Crane Co. | | | 37,453 | | | | 2,316,468 | | | | (117,977 | ) |
| Crown Holdings, Inc. | | | 63,932 | | | | 3,120,521 | | | | 133,618 | |
| CSX Corp. | | | 23,900 | | | | 897,894 | | | | (31,997 | ) |
| Cummins, Inc. | | | 9,696 | | | | 1,434,911 | | | | (37,039 | ) |
| CVS Health Corp. | | | 82,373 | | | | 7,485,235 | | | | 448,109 | |
| Cytec Industries, Inc. | | | 50,568 | | | | 2,486,258 | | | | (151,533 | ) |
| Danaher Corp. | | | 563 | | | | 47,016 | | | | 1,239 | |
| DaVita HealthCare Partners, Inc. | | | 21,575 | | | | 1,607,122 | | | | 26,969 | |
| Delta Air Lines, Inc. | | | 98,876 | | | | 4,314,197 | | | | 549,513 | |
| Deluxe Corp. | | | 9,400 | | | | 555,388 | | | | 29,762 | |
| Devon Energy Corp. | | | 32,900 | | | | 2,073,309 | | | | (59,500 | ) |
| Diamond Offshore Drilling, Inc. | | | 4,500 | | | | 175,006 | | | | (9,811 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Dick’s Sporting Goods, Inc. | | | 5,700 | | | $ | 282,414 | | | $ | 591 | |
| Dillard’s, Inc. | | | 52,495 | | | | 6,291,838 | | | | 279,487 | |
| Discover Financial Services | | | 58,359 | | | | 3,793,256 | | | | 28,675 | |
| DISH Network Corp. | | | 117,000 | | | | 8,831,917 | | | | (303,787 | ) |
| Dolby Laboratories, Inc. | | | 3,900 | | | | 171,639 | | | | (3,471 | ) |
| Dollar General Corp. | | | 88,697 | | | | 5,926,585 | | | | 344,293 | |
| Dollar Tree, Inc. | | | 63,809 | | | | 4,287,965 | | | | 202,913 | |
| Domino’s Pizza, Inc. | | | 58,600 | | | | 5,471,482 | | | | 46,880 | |
| Dover Corp. | | | 24,300 | | | | 1,991,741 | | | | (248,945 | ) |
| Dow Chemical Co./The | | | 68,000 | | | | 3,494,577 | | | | (393,097 | ) |
| DR Horton, Inc. | | | 79,300 | | | | 1,923,292 | | | | 82,205 | |
| Dr. Pepper Snapple Group, Inc. | | | 45,800 | | | | 3,329,202 | | | | (46,258 | ) |
| DST Systems, Inc. | | | 29,600 | | | | 2,949,563 | | | | (162,723 | ) |
| DSW, Inc. | | | 5,298 | | | | 190,529 | | | | 7,087 | |
| DTE Energy Co. | | | 35,120 | | | | 2,828,214 | | | | 205,101 | |
| East West Bancorp, Inc. | | | 10,093 | | | | 374,148 | | | | 16,553 | |
| Eastman Chemical Co. | | | 10,600 | | | | 891,130 | | | | (87,014 | ) |
| Eaton Corp. PLC | | | 2,100 | | | | 145,689 | | | | (2,973 | ) |
| eBay, Inc. | | | 178,821 | | | | 9,819,930 | | | | 215,504 | |
| EchoStar Corp. | | | 6,400 | | | | 330,310 | | | | 5,690 | |
| Edison International | | | 48,000 | | | | 2,981,280 | | | | 161,760 | |
| Edwards Lifesciences Corp. | | | 24,143 | | | | 3,091,714 | | | | (16,379 | ) |
| Electronic Arts, Inc. | | | 114,800 | | | | 5,043,846 | | | | 353,476 | |
| Eli Lilly & Co. | | | 3,400 | | | | 227,562 | | | | 7,004 | |
| EMC Corp. | | | 126,000 | | | | 3,758,284 | | | | (11,044 | ) |
| Emerson Electric Co. | | | 8,400 | | | | 546,406 | | | | (27,874 | ) |
| Endurance Specialty Holdings Ltd. | | | 3,000 | | | | 177,000 | | | | 2,520 | |
| Energen Corp. | | | 18,771 | | | | 1,285,814 | | | | (88,975 | ) |
| Energizer Holdings, Inc. | | | 14,700 | | | | 1,872,045 | | | | 17,787 | |
| Entergy Corp. | | | 48,400 | | | | 3,945,886 | | | | 288,146 | |
| EOG Resources, Inc. | | | 58,767 | | | | 5,850,843 | | | | (440,165 | ) |
| Equifax, Inc. | | | 11,800 | | | | 939,398 | | | | 14,868 | |
| Estee Lauder Cos., Inc./The | | | 5,700 | | | | 418,969 | | | | 15,371 | |
| Esterline Technologies Corp. | | | 3,100 | | | | 367,319 | | | | (27,311 | ) |
| Everest Re Group Ltd. | | | 22,906 | | | | 4,017,254 | | | | (116,362 | ) |
| Exelis, Inc. | | | 38,000 | | | | 671,190 | | | | (5,050 | ) |
| Expedia, Inc. | | | 53,154 | | | | 4,558,050 | | | | (20,824 | ) |
| Facebook, Inc. | | | 120,950 | | | | 8,953,315 | | | | 483,204 | |
| Fair Isaac Corp. | | | 7,623 | | | | 548,932 | | | | 2,211 | |
| Fairchild Semiconductor International, Inc. | | | 44,186 | | | | 716,322 | | | | 29,538 | |
| FedEx Corp. | | | 23,700 | | | | 4,160,061 | | | | (44,319 | ) |
| Fidelity National Information Services, Inc. | | | 53,100 | | | | 3,191,841 | | | | 110,979 | |
| Fifth Third Bancorp | | | 46,730 | | | | 950,956 | | | | 1,168 | |
| First Solar, Inc. | | | 50,165 | | | | 2,495,699 | | | | (258,591 | ) |
| Fiserv, Inc. | | | 42,300 | | | | 2,987,649 | | | | 14,382 | |
| FleetCor Technologies, Inc. | | | 39,300 | | | | 6,132,765 | | | | (288,462 | ) |
| FLIR Systems, Inc. | | | 6,800 | | | | 215,084 | | | | 4,624 | |
| Fluor Corp. | | | 44,200 | | | | 2,781,799 | | | | (101,953 | ) |
| FNF Group | | | 15,100 | | | | 475,117 | | | | 45,078 | |
| Foot Locker, Inc. | | | 154,587 | | | | 8,723,344 | | | | (38,647 | ) |
| Fortinet, Inc. | | | 80,000 | | | | 2,189,600 | | | | 263,200 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
165
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Freeport-McMoRan, Inc. | | | 171,000 | | | $ | 3,864,383 | | | $ | 130,177 | |
| Frontier Communications Corp. | | | 225,500 | | | | 1,571,735 | | | | (67,650 | ) |
| Fulton Financial Corp. | | | 44,100 | | | | 538,902 | | | | 6,174 | |
| Gannett Co., Inc. | | | 12,900 | | | | 414,674 | | | | (2,777 | ) |
| Gap, Inc./The | | | 119,071 | | | | 4,787,845 | | | | 226,235 | |
| Gartner, Inc. | | | 23,100 | | | | 1,960,959 | | | | (15,708 | ) |
| General Dynamics Corp. | | | 37,600 | | | | 5,327,613 | | | | (153,101 | ) |
| General Electric Co. | | | 174,610 | | | | 4,678,028 | | | | (265,633 | ) |
| Genpact Ltd. | | | 20,600 | | | | 367,710 | | | | 22,248 | |
| Genuine Parts Co. | | | 15,603 | | | | 1,593,846 | | | | 68,965 | |
| Genworth Financial, Inc. | | | 192,017 | | | | 1,739,963 | | | | (107,818 | ) |
| Gilead Sciences, Inc. | | | 54,667 | | | | 5,499,500 | | | | (346,589 | ) |
| Goldman Sachs Group, Inc./The | | | 17,415 | | | | 3,285,246 | | | | 90,304 | |
| Goodyear Tire & Rubber Co./The | | | 51,735 | | | | 1,373,047 | | | | 105,022 | |
| Google, Inc. | | | 6,078 | | | | 3,246,888 | | | | (21,536 | ) |
| Graham Holdings Co. | | | 3,932 | | | | 3,435,891 | | | | (39,783 | ) |
| Groupon, Inc. | | | 487,680 | | | | 3,673,211 | | | | 355,026 | |
| Guess?, Inc. | | | 85,007 | | | | 1,886,930 | | | | (94,983 | ) |
| H&R Block, Inc. | | | 118,926 | | | | 3,941,877 | | | | 63,551 | |
| Halliburton Co. | | | 145,000 | | | | 6,849,929 | | | | (1,147,079 | ) |
| Hanesbrands, Inc. | | | 35,826 | | | | 4,010,045 | | | | (11,147 | ) |
| Hanover Insurance Group, Inc./The | | | 27,743 | | | | 1,980,295 | | | | (1,665 | ) |
| Harman International Industries, Inc. | | | 44,700 | | | | 4,977,345 | | | | (207,408 | ) |
| Harris Corp. | | | 7,600 | | | | 539,980 | | | | 5,852 | |
| Harsco Corp. | | | 61,686 | | | | 1,241,122 | | | | (75,874 | ) |
| Hartford Financial Services Group, Inc./The | | | 13,500 | | | | 561,465 | | | | 1,350 | |
| HCA Holdings, Inc. | | | 145,900 | | | | 10,224,215 | | | | 483,386 | |
| HCC Insurance Holdings, Inc. | | | 22,000 | | | | 1,168,168 | | | | 9,272 | |
| HD Supply Holdings, Inc. | | | 44,800 | | | | 1,296,375 | | | | 24,777 | |
| Health Net, Inc. | | | 163,500 | | | | 8,426,421 | | | | 325,734 | |
| Helix Energy Solutions Group, Inc. | | | 61,700 | | | | 1,575,728 | | | | (236,838 | ) |
| Helmerich & Payne, Inc. | | | 31,700 | | | | 2,377,712 | | | | (240,498 | ) |
| Hertz Global Holdings, Inc. | | | 71,600 | | | | 1,730,734 | | | | 54,970 | |
| Hess Corp. | | | 77,391 | | | | 6,203,626 | | | | (490,622 | ) |
| Hewlett-Packard Co. | | | 288,362 | | | | 10,816,303 | | | | 755,664 | |
| Hill-Rom Holdings, Inc. | | | 40,800 | | | | 1,882,920 | | | | (21,624 | ) |
| Home Depot, Inc./The | | | 41,048 | | | | 4,037,051 | | | | 271,757 | |
| Honeywell International, Inc. | | | 8,100 | | | | 795,987 | | | | 13,365 | |
| Hormel Foods Corp. | | | 6,000 | | | | 324,780 | | | | (12,180 | ) |
| Howard Hughes Corp./The | | | 10,500 | | | | 1,557,465 | | | | (188,055 | ) |
| Hubbell, Inc. | | | 5,206 | | | | 569,484 | | | | (13,327 | ) |
| Humana, Inc. | | | 70,400 | | | | 9,844,736 | | | | 266,816 | |
| Huntington Bancshares, Inc. | | | 1,300 | | | | 13,234 | | | | 442 | |
| Huntington Ingalls Industries, Inc. | | | 34,800 | | | | 3,803,475 | | | | 110,133 | |
| Hyatt Hotels Corp. | | | 4,700 | | | | 276,971 | | | | 6,016 | |
| IAC/InterActiveCorp. | | | 130,829 | | | | 8,617,706 | | | | (664,611 | ) |
| IDEX Corp. | | | 5,200 | | | | 403,988 | | | | 780 | |
| Illinois Tool Works, Inc. | | | 739 | | | | 71,011 | | | | (1,027 | ) |
| Illumina, Inc. | | | 19,920 | | | | 3,750,181 | | | | (73,347 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Ingersoll-Rand PLC | | | 94,300 | | | $ | 6,013,511 | | | $ | (35,834 | ) |
| Ingram Micro, Inc. | | | 181,634 | | | | 4,929,547 | | | | 90,817 | |
| Ingredion, Inc. | | | 17,822 | | | | 1,471,384 | | | | 40,634 | |
| Integrated Device Technology, Inc. | | | 187,900 | | | | 3,530,973 | | | | 151,867 | |
| Intel Corp. | | | 119,378 | | | | 4,327,453 | | | | 4,775 | |
| Intercontinental Exchange, Inc. | | | 300 | | | | 67,553 | | | | (1,766 | ) |
| International Flavors & Fragrances, Inc. | | | 1,945 | | | | 194,092 | | | | 3,054 | |
| International Paper Co. | | | 16,300 | | | | 870,136 | | | | 3,218 | |
| International Rectifier Corp. | | | 300 | | | | 11,955 | | | | 15 | |
| Interpublic Group of Cos., Inc./The | | | 132,918 | | | | 2,688,931 | | | | 71,776 | |
| Intersil Corp. | | | 81,500 | | | | 1,071,720 | | | | 107,585 | |
| Intuit, Inc. | | | 25,400 | | | | 2,353,818 | | | | (12,192 | ) |
| Itron, Inc. | | | 2,900 | | | | 117,450 | | | | 5,191 | |
| ITT Corp. | | | 124,600 | | | | 5,464,532 | | | | (423,216 | ) |
| Jabil Circuit, Inc. | | | 344,775 | | | | 7,194,103 | | | | 332,335 | |
| Jack Henry & Associates, Inc. | | | 5,700 | | | | 351,234 | | | | 2,964 | |
| Jarden Corp. | | | 16,350 | | | | 727,902 | | | | 54,936 | |
| JDS Uniphase Corp. | | | 64,372 | | | | 865,160 | | | | 18,024 | |
| John Wiley & Sons, Inc. | | | 7,722 | | | | 455,521 | | | | 1,931 | |
| Johnson & Johnson | | | 36,070 | | | | 3,855,162 | | | | (83,322 | ) |
| Johnson Controls, Inc. | | | 82,968 | | | | 4,184,912 | | | | (174,239 | ) |
| JPMorgan Chase & Co. | | | 75,205 | | | | 4,584,497 | | | | 121,832 | |
| Juniper Networks, Inc. | | | 215,500 | | | | 4,723,778 | | | | 86,182 | |
| KAR Auction Services, Inc. | | | 6,817 | | | | 235,255 | | | | 954 | |
| Kate Spade & Co. | | | 11,400 | | | | 335,539 | | | | 29,375 | |
| KBR, Inc. | | | 241,144 | | | | 4,441,208 | | | | (353,817 | ) |
| KeyCorp. | | | 190,658 | | | | 2,579,603 | | | | 70,543 | |
| Kimberly-Clark Corp. | | | 23,882 | | | | 2,699,144 | | | | 60,183 | |
| KLA-Tencor Corp. | | | 5,531 | | | | 463,000 | | | | (74,060 | ) |
| Knowles Corp. | | | 8,800 | | | | 183,714 | | | | 23,526 | |
| L-3 Communications Holdings, Inc. | | | 29,900 | | | | 3,661,210 | | | | 112,469 | |
| Lam Research Corp. | | | 4,300 | | | | 343,957 | | | | (2,795 | ) |
| Lear Corp. | | | 63,000 | | | | 6,019,937 | | | | 159,103 | |
| Leidos Holdings, Inc. | | | 11,050 | | | | 467,930 | | | | 12,966 | |
| Lennox International, Inc. | | | 15,600 | | | | 1,471,860 | | | | 11,232 | |
| Leucadia National Corp. | | | 55,518 | | | | 1,318,071 | | | | (73,357 | ) |
| Level 3 Communications, Inc. | | | 13,697 | | | | 685,535 | | | | (9,177 | ) |
| LifePoint Hospitals, Inc. | | | 1,183 | | | | 80,811 | | | | 4,259 | |
| Lincoln Electric Holdings, Inc. | | | 11,300 | | | | 808,342 | | | | (27,625 | ) |
| Live Nation Entertainment, Inc. | | | 83,717 | | | | 2,195,207 | | | | (9,357 | ) |
| Lockheed Martin Corp. | | | 26,300 | | | | 4,965,966 | | | | 98,625 | |
| Loews Corp. | | | 50,700 | | | | 2,168,128 | | | | (37,714 | ) |
| Lowe’s Cos., Inc. | | | 125,336 | | | | 7,976,383 | | | | 646,734 | |
| LPL Financial Holdings, Inc. | | | 38,440 | | | | 1,637,544 | | | | 74,958 | |
| LyondellBasell Industries NV | | | 132,385 | | | | 11,961,526 | | | | (1,451,480 | ) |
| M&T Bank Corp. | | | 6,500 | | | | 819,325 | | | | (2,795 | ) |
| Macy’s, Inc. | | | 79,503 | | | | 5,116,813 | | | | 110,509 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
166
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Madison Square Garden Co./The | | | 8,700 | | | $ | 623,918 | | | $ | 30,844 | |
| Mallinckrodt PLC | | | 1,000 | | | | 91,276 | | | | 7,754 | |
| Manpowergroup, Inc. | | | 91,143 | | | | 6,247,413 | | | | (34,195 | ) |
| Marathon Oil Corp. | | | 209,654 | | | | 6,492,568 | | | | (561,457 | ) |
| Marathon Petroleum Corp. | | | 47,300 | | | | 4,546,476 | | | | (277,178 | ) |
| Marriott International, Inc. | | | 629 | | | | 47,984 | | | | 1,097 | |
| Marsh & McLennan Cos., Inc. | | | 8,100 | | | | 458,217 | | | | 5,427 | |
| Marvell Technology Group Ltd. | | | 356,236 | | | | 4,951,680 | | | | 213,742 | |
| Masco Corp. | | | 72,200 | | | | 1,755,182 | | | | 64,258 | |
| Maxim Integrated Products, Inc. | | | 25,250 | | | | 733,386 | | | | 71,331 | |
| McGraw Hill Financial, Inc. | | | 29,200 | | | | 2,699,248 | | | | (101,032 | ) |
| McKesson Corp. | | | 39,706 | | | | 8,327,142 | | | | (84,971 | ) |
| MDU Resources Group, Inc. | | | 894 | | | | 20,748 | | | | 261 | |
| Medivation, Inc. | | | 32,400 | | | | 3,621,672 | | | | (394,308 | ) |
| Medtronic, Inc. | | | 33,300 | | | | 2,428,569 | | | | (24,309 | ) |
| Merck & Co., Inc. | | | 161,320 | | | | 9,434,304 | | | | (272,942 | ) |
| MetLife, Inc. | | | 37,968 | | | | 2,027,422 | | | | 26,267 | |
| MGM Resorts International | | | 12,800 | | | | 264,707 | | | | 8,957 | |
| Micron Technology, Inc. | | | 58,104 | | | | 1,951,833 | | | | 82,388 | |
| Microsoft Corp. | | | 68,400 | | | | 3,255,156 | | | | (77,976 | ) |
| MKS Instruments, Inc. | | | 4,272 | | | | 151,571 | | | | 4,785 | |
| Mohawk Industries, Inc. | | | 8,000 | | | | 1,231,120 | | | | 11,760 | |
| Mondelez International, Inc. | | | 130,416 | | | | 5,048,026 | | | | (310,665 | ) |
| Monster Beverage Corp. | | | 44,600 | | | | 4,829,654 | | | | 2,756 | |
| MRC Global, Inc. | | | 40,600 | | | | 621,124 | | | | (6,034 | ) |
| MSCI, Inc. | | | 2,600 | | | | 127,192 | | | | (3,848 | ) |
| Murphy Oil Corp. | | | 21,759 | | | | 1,146,861 | | | | (47,596 | ) |
| Murphy USA, Inc. | | | 49,150 | | | | 3,071,572 | | | | 312,897 | |
| Myriad Genetics, Inc. | | | 35,486 | | | | 1,174,587 | | | | 34,067 | |
| National Fuel Gas Co. | | | 1,100 | | | | 76,800 | | | | (317 | ) |
| National Oilwell Varco, Inc. | | | 25,900 | | | | 1,904,945 | | | | (207,718 | ) |
| Navient Corp. | | | 274,256 | | | | 5,747,613 | | | | 179,059 | |
| NetApp, Inc. | | | 150,584 | | | | 6,419,396 | | | | (177,689 | ) |
| New York Times Co./The | | | 18,000 | | | | 234,464 | | | | 3,496 | |
| Newell Rubbermaid, Inc. | | | 84,764 | | | | 3,050,322 | | | | 178,339 | |
| Newfield Exploration Co. | | | 214,715 | | | | 6,468,808 | | | | (645,737 | ) |
| News Corp. | | | 92,900 | | | | 1,437,125 | | | | 20,476 | |
| NextEra Energy, Inc. | | | 3,500 | | | | 361,270 | | | | 10,745 | |
| Nielsen NV | | | 6,500 | | | | 281,599 | | | | 9,146 | |
| NIKE, Inc. | | | 31,900 | | | | 3,124,605 | | | | (57,420 | ) |
| NiSource, Inc. | | | 7,400 | | | | 306,138 | | | | 7,770 | |
| Norfolk Southern Corp. | | | 25,400 | | | | 2,955,290 | | | | (171,196 | ) |
| Northrop Grumman Corp. | | | 71,649 | | | | 10,082,447 | | | | 477,899 | |
| NVIDIA Corp. | | | 84,800 | | | | 1,745,184 | | | | (44,944 | ) |
| NVR, Inc. | | | 200 | | | | 247,748 | | | | 7,318 | |
| Occidental Petroleum Corp. | | | 3,180 | | | | 269,337 | | | | (12,998 | ) |
| OGE Energy Corp. | | | 33,200 | | | | 1,215,120 | | | | (37,184 | ) |
| Oil States International, Inc. | | | 59,700 | | | | 3,090,962 | | | | (171,632 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Old Dominion Freight Line, Inc. | | | 31,200 | | | $ | 2,478,216 | | | $ | (55,848 | ) |
| Old Republic International Corp. | | | 9,798 | | | | 142,595 | | | | 749 | |
| Omnicom Group, Inc. | | | 24,225 | | | | 1,843,765 | | | | 32,946 | |
| ON Semiconductor Corp. | | | 251,894 | | | | 2,221,705 | | | | 329,981 | |
| ONEOK, Inc. | | | 9,900 | | | | 574,596 | | | | (81,675 | ) |
| Oracle Corp. | | | 117,899 | | | | 4,884,556 | | | | 417,362 | |
| O’Reilly Automotive, Inc. | | | 16,600 | | | | 2,995,636 | | | | 201,856 | |
| Oshkosh Corp. | | | 19,900 | | | | 950,104 | | | | 18,031 | |
| Owens-Illinois, Inc. | | | 185,800 | | | | 4,841,623 | | | | 173,119 | |
| Packaging Corp. of America | | | 5,415 | | | | 399,952 | | | | 22,689 | |
| Pandora Media, Inc. | | | 27,509 | | | | 519,494 | | | | (29,009 | ) |
| Parker-Hannifin Corp. | | | 16,725 | | | | 2,218,237 | | | | (61,548 | ) |
| PartnerRe Ltd. | | | 1,600 | | | | 182,716 | | | | (108 | ) |
| Patterson-UTI Energy, Inc. | | | 262,300 | | | | 5,513,188 | | | | (1,161,631 | ) |
| PepsiCo, Inc. | | | 8,450 | | | | 833,846 | | | | (34,814 | ) |
| PerkinElmer, Inc. | | | 12,200 | | | | 554,978 | | | | (21,472 | ) |
| PetSmart, Inc. | | | 27,083 | | | | 2,119,245 | | | | 82,468 | |
| Pfizer, Inc. | | | 289,985 | | | | 8,802,244 | | | | 230,789 | |
| Phillips 66 | | | 97,700 | | | | 7,759,334 | | | | (754,244 | ) |
| Pilgrim’s Pride Corp. | | | 93,711 | | | | 2,970,066 | | | | 102,718 | |
| Pinnacle West Capital Corp. | | | 700 | | | | 43,414 | | | | 4,403 | |
| PNC Financial Services Group, Inc./The | | | 54,082 | | | | 4,760,377 | | | | 173,524 | |
| PNM Resources, Inc. | | | 34,000 | | | | 973,080 | | | | 34,340 | |
| Polaris Industries, Inc. | | | 2,300 | | | | 357,935 | | | | (10,083 | ) |
| Polycom, Inc. | | | 278,164 | | | | 3,660,638 | | | | 94,576 | |
| PPG Industries, Inc. | | | 29,142 | | | | 6,282,141 | | | | 454,032 | |
| ProAssurance Corp. | | | 10,100 | | | | 463,590 | | | | (7,575 | ) |
| Prudential Financial, Inc. | | | 23,567 | | | | 2,030,545 | | | | 101,326 | |
| PTC, Inc. | | | 7,524 | | | | 289,373 | | | | (13,618 | ) |
| Public Service Enterprise Group, Inc. | | | 75,800 | | | | 3,085,818 | | | | 53,060 | |
| PulteGroup, Inc. | | | 335,707 | | | | 7,221,963 | | | | (17,690 | ) |
| PVH Corp. | | | 22,183 | | | | 2,732,619 | | | | 110,576 | |
| Quanta Services, Inc. | | | 23,154 | | | | 745,209 | | | | (87,867 | ) |
| Raytheon Co. | | | 58,100 | | | | 6,192,879 | | | | 91,798 | |
| Regal-Beloit Corp. | | | 5,300 | | | | 388,808 | | | | 9,752 | |
| Regions Financial Corp. | | | 126,057 | | | | 1,283,260 | | | | 47,902 | |
| Reinsurance Group of America, Inc. | | | 33,284 | | | | 2,875,499 | | | | 40,845 | |
| Reliance Steel & Aluminum Co. | | | 69,400 | | | | 4,476,504 | | | | (224,366 | ) |
| RenaissanceRe Holdings Ltd. | | | 5,100 | | | | 503,676 | | | | (7,854 | ) |
| Restaurant Brands International LP | | | 96 | | | | — | | | | 4,209 | |
| Reynolds American, Inc. | | | 1,500 | | | | 97,275 | | | | (870 | ) |
| Rite Aid Corp. | | | 1,302,234 | | | | 7,331,577 | | | | 2,461,222 | |
| Robert Half International, Inc. | | | 1,100 | | | | 62,799 | | | | 1,419 | |
| Rock-Tenn Co. | | | 37,572 | | | | 2,101,778 | | | | 189,363 | |
| Rockwell Automation, Inc. | | | 4,700 | | | | 534,666 | | | | (12,026 | ) |
| Ross Stores, Inc. | | | 34,379 | | | | 3,061,106 | | | | 179,458 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
167
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Rovi Corp. | | | 44,635 | | | $ | 986,778 | | | $ | 21,527 | |
| Royal Caribbean Cruises Ltd. | | | 84,800 | | | | 6,255,914 | | | | 734,150 | |
| RPM International, Inc. | | | 21,600 | | | | 1,030,752 | | | | 64,584 | |
| Ryder System, Inc. | | | 44,800 | | | | 4,170,432 | | | | (10,752 | ) |
| SandRidge Energy, Inc. | | | 314,100 | | | | 775,760 | | | | (204,098 | ) |
| Sears Holdings Corp. | | | 16,500 | | | | 610,314 | | | | (66,144 | ) |
| SeaWorld Entertainment, Inc. | | | 56,200 | | | | 950,841 | | | | 55,139 | |
| SEI Investments Co. | | | 74,900 | | | | 2,971,622 | | | | 27,374 | |
| Sempra Energy | | | 11,900 | | | | 1,310,904 | | | | 14,280 | |
| Sherwin-Williams Co./The | | | 1,285 | | | | 311,009 | | | | 26,998 | |
| Signet Jewelers Ltd. | | | 17,232 | | | | 2,119,364 | | | | 147,851 | |
| Skyworks Solutions, Inc. | | | 75,600 | | | | 4,992,315 | | | | 504,561 | |
| SM Energy Co. | | | 73,500 | | | | 3,369,734 | | | | (534,104 | ) |
| Snap-on, Inc. | | | 13,400 | | | | 1,829,100 | | | | 3,216 | |
| SolarCity Corp. | | | 26,700 | | | | 1,499,175 | | | | (71,259 | ) |
| Southwest Airlines Co. | | | 165,500 | | | | 6,384,271 | | | | 619,689 | |
| Spectrum Brands Holdings, Inc. | | | 2,700 | | | | 249,164 | | | | 9,172 | |
| Spirit AeroSystems Holdings, Inc. | | | 39,600 | | | | 1,669,906 | | | | 34,478 | |
| Spirit Airlines, Inc. | | | 16,900 | | | | 1,187,282 | | | | 90,020 | |
| SPX Corp. | | | 9,400 | | | | 851,644 | | | | (43,996 | ) |
| St. Jude Medical, Inc. | | | 4,800 | | | | 326,832 | | | | (14,688 | ) |
| Starbucks Corp. | | | 39,895 | | | | 3,212,345 | | | | 61,039 | |
| Steel Dynamics, Inc. | | | 167,617 | | | | 3,846,810 | | | | (538,051 | ) |
| Stryker Corp. | | | 3,300 | | | | 301,620 | | | | 9,669 | |
| SunTrust Banks, Inc. | | | 71,296 | | | | 2,844,710 | | | | 142,592 | |
| Superior Energy Services, Inc. | | | 244,900 | | | | 5,736,234 | | | | (801,499 | ) |
| Symantec Corp. | | | 158,641 | | | | 4,092,938 | | | | (23,003 | ) |
| Synopsys, Inc. | | | 44,246 | | | | 1,895,499 | | | | 27,875 | |
| Tech Data Corp. | | | 57,470 | | | | 3,599,346 | | | | 34,482 | |
| Teleflex, Inc. | | | 10,500 | | | | 1,242,360 | | | | (36,750 | ) |
| Telephone & Data Systems, Inc. | | | 52,300 | | | | 1,318,483 | | | | 2,092 | |
| Thermo Fisher Scientific, Inc. | | | 20,900 | | | | 2,662,869 | | | | (44,308 | ) |
| Time Warner, Inc. | | | 85,600 | | | | 6,970,455 | | | | 341,497 | |
| Time, Inc. | | | 9,200 | | | | 219,420 | | | | 6,992 | |
| Timken Co./The | | | 108,800 | | | | 4,695,191 | | | | (51,607 | ) |
| TJX Cos., Inc./The | | | 41,900 | | | | 2,666,549 | | | | 206,953 | |
| Torchmark Corp. | | | 9,555 | | | | 517,212 | | | | 382 | |
| Toro Co./The | | | 8,647 | | | | 573,988 | | | | (22,223 | ) |
| Total System Services, Inc. | | | 34,899 | | | | 1,150,271 | | | | 34,899 | |
| Towers Watson & Co. | | | 30,300 | | | | 3,461,248 | | | | (32,197 | ) |
| Travelers Cos., Inc./The | | | 45,000 | | | | 4,670,550 | | | | 92,700 | |
| Trinity Industries, Inc. | | | 53,300 | | | | 1,942,785 | | | | (449,852 | ) |
| Tupperware Brands Corp. | | | 2,360 | | | | 149,370 | | | | (690 | ) |
| Tyco International PLC | | | 73,634 | | | | 3,130,918 | | | | 98,670 | |
| Tyson Foods, Inc. | | | 163,512 | | | | 6,744,870 | | | | (189,674 | ) |
| UGI Corp. | | | 19,000 | | | | 708,261 | | | | 13,359 | |
| Union Pacific Corp. | | | 48,324 | | | | 5,740,534 | | | | 16,304 | |
| Unit Corp. | | | 39,900 | | | | 1,779,903 | | | | (419,313 | ) |
| United Continental Holdings, Inc. | | | 46,100 | | | | 2,636,859 | | | | 446,770 | |
| United Parcel Service, Inc. | | | 8,200 | | | | 879,532 | | | | 32,062 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| United States Steel Corp. | | | 219,262 | | | $ | 7,339,423 | | | $ | (1,476,357 | ) |
| United Technologies Corp. | | | 6,100 | | | | 687,989 | | | | 13,511 | |
| United Therapeutics Corp. | | | 29,300 | | | | 3,810,959 | | | | (16,902 | ) |
| Universal Health Services, Inc. | | | 31,482 | | | | 3,266,572 | | | | 236,115 | |
| Unum Group | | | 130,836 | | | | 4,435,773 | | | | 127,787 | |
| Valero Energy Corp. | | | 217,700 | | | | 10,892,480 | | | | (116,330 | ) |
| Validus Holdings Ltd. | | | 11,001 | | | | 452,471 | | | | 4,730 | |
| Valmont Industries, Inc. | | | 5,943 | | | | 785,171 | | | | (30,410 | ) |
| Valspar Corp./The | | | 11,895 | | | | 1,009,767 | | | | 18,913 | |
| Vectren Corp. | | | 6,428 | | | | 281,804 | | | | 15,363 | |
| Verisk Analytics, Inc. | | | 12,698 | | | | 788,546 | | | | 24,761 | |
| Verizon Communications, Inc. | | | 3,400 | | | | 166,863 | | | | (7,811 | ) |
| Vertex Pharmaceuticals, Inc. | | | 97,173 | | | | 11,021,267 | | | | 522,885 | |
| VF Corp. | | | 6,100 | | | | 446,603 | | | | 10,287 | |
| Viacom, Inc. | | | 71,900 | | | | 5,359,300 | | | | 51,175 | |
| Vishay Intertechnology, Inc. | | | 45,947 | | | | 641,420 | | | | 8,730 | |
| Visteon Corp. | | | 25,900 | | | | 2,576,273 | | | | 191,401 | |
| Voya Financial, Inc. | | | 19,300 | | | | 788,395 | | | | 29,539 | |
| Vulcan Materials Co. | | | 11,300 | | | | 775,293 | | | | (32,544 | ) |
| WABCO Holdings, Inc. | | | 42,200 | | | | 4,376,562 | | | | 45,154 | |
| Wabtec Corp. | | | 5,137 | | | | 468,700 | | | | (22,346 | ) |
| Waddell & Reed Financial, Inc. | | | 46,800 | | | | 2,295,301 | | | | 36,275 | |
| Walgreens Boots Alliance, Inc. | | | 100,281 | | | | 6,792,032 | | | | 849,380 | |
| Walt Disney Co./The | | | 26,047 | | | | 2,359,337 | | | | 94,030 | |
| Waste Management, Inc. | | | 7,700 | | | | 374,759 | | | | 20,405 | |
| Weight Watchers International, Inc. | | | 23,200 | | | | 644,960 | | | | (68,672 | ) |
| Wells Fargo & Co. | | | 120,295 | | | | 6,507,960 | | | | 86,612 | |
| Western Digital Corp. | | | 105,566 | | | | 10,847,962 | | | | 838,194 | |
| Westlake Chemical Corp. | | | 11,600 | | | | 710,183 | | | | (1,539 | ) |
| WEX, Inc. | | | 800 | | | | 81,202 | | | | (2,066 | ) |
| Whirlpool Corp. | | | 20,923 | | | | 3,864,194 | | | | 189,429 | |
| Whiting Petroleum Corp. | | | 81,973 | | | | 2,546,219 | | | | 158,890 | |
| Whole Foods Market, Inc. | | | 3,200 | | | | 157,431 | | | | 3,913 | |
| Williams-Sonoma, Inc. | | | 14,177 | | | | 1,029,004 | | | | 43,911 | |
| Windstream Holdings, Inc. | | | 3,600 | | | | 35,748 | | | | (6,084 | ) |
| Worthington Industries, Inc. | | | 55,200 | | | | 2,113,551 | | | | (452,583 | ) |
| WPX Energy, Inc. | | | 319,500 | | | | 4,633,700 | | | | (917,915 | ) |
| WR Grace & Co. | | | 9,677 | | | | 932,425 | | | | (9,336 | ) |
| Wyndham Worldwide Corp. | | | 23,953 | | | | 1,947,618 | | | | 106,591 | |
| Wynn Resorts Ltd. | | | 2,200 | | | | 356,855 | | | | (29,583 | ) |
| Xerox Corp. | | | 259,618 | | | | 3,537,137 | | | | 61,168 | |
| Xilinx, Inc. | | | 8,100 | | | | 361,077 | | | | (10,428 | ) |
| Yahoo!, Inc. | | | 81,437 | | | | 4,080,539 | | | | 32,844 | |
| Yum! Brands, Inc. | | | 500 | | | | 34,988 | | | | 1,437 | |
| Zebra Technologies Corp. | | | 6,700 | | | | 492,031 | | | | 26,616 | |
| Zimmer Holdings, Inc. | | | 11,300 | | | | 1,243,904 | | | | 37,742 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
168
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | | | |
| Zoetis, Inc. | | | 10,500 | | | $ | 431,901 | | | $ | 19,914 | |
| Zynga, Inc. | | | 222,623 | | | | 584,769 | | | | 7,408 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,108,422 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 2,990,633 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | |
| | |
| Canada | | | | | | | | | |
| Lululemon Athletica, Inc. | | | (74,300 | ) | | | (3,609,019 | ) | | | (536,178 | ) |
| | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | |
| Alkermes PLC | | | (3,200 | ) | | | (175,611 | ) | | | (11,781 | ) |
| Endo International PLC | | | (100,561 | ) | | | (7,098,051 | ) | | | (154,408 | ) |
| Seagate Technology PLC | | | (42,100 | ) | | | (2,779,863 | ) | | | (19,787 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (185,976 | ) |
| | | | | | | | | | | | |
| Netherlands | | | | | | | | | |
| Chicago Bridge & Iron Co. NV | | | (67,200 | ) | | | (3,009,177 | ) | | | 188,121 | |
| Core Laboratories NV | | | (50,500 | ) | | | (6,620,508 | ) | | | 543,338 | |
| QIAGEN NV | | | (1,101 | ) | | | (26,501 | ) | | | 672 | |
| Sensata Technologies Holding NV | | | (120,300 | ) | | | (6,008,120 | ) | | | (296,803 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 435,328 | |
| | | | | | | | | | | | |
| Norway | | | | | | | | | |
| Golar LNG Ltd. | | | (130,300 | ) | | | (5,510,722 | ) | | | 758,681 | |
| Seadrill Ltd. | | | (260,900 | ) | | | (4,868,537 | ) | | | 1,753,391 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,512,072 | |
| | | | | | | | | | | | |
| Panama | | | | | | | | | |
| Copa Holdings SA | | | (34,300 | ) | | | (3,552,202 | ) | | | (2,650 | ) |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Garmin Ltd. | | | (14,300 | ) | | | (852,709 | ) | | | 97,240 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Ensco PLC | | | (198,000 | ) | | | (7,559,586 | ) | | | 1,629,486 | |
| Liberty Global PLC | | | (160,415 | ) | | | (7,557,151 | ) | | | (496,484 | ) |
| Noble Corp. PLC | | | (111,500 | ) | | | (2,364,915 | ) | | | 517,360 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,650,362 | |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| Aaron’s, Inc. | | | (1,700 | ) | | | (47,659 | ) | | | (4,310 | ) |
| Abercrombie & Fitch Co. | | | (95,103 | ) | | | (2,804,587 | ) | | | 80,838 | |
| Accenture PLC | | | (3,500 | ) | | | (297,255 | ) | | | (15,330 | ) |
| ACI Worldwide, Inc. | | | (75,300 | ) | | | (1,473,291 | ) | | | (45,510 | ) |
| Actavis PLC | | | (5,900 | ) | | | (1,520,101 | ) | | | 1,382 | |
| Acuity Brands, Inc. | | | (1,800 | ) | | | (256,518 | ) | | | 4,392 | |
| ADT Corp./The | | | (237,200 | ) | | | (8,598,220 | ) | | | 4,464 | |
| ADTRAN, Inc. | | | (263,000 | ) | | | (5,384,942 | ) | | | (348,458 | ) |
| Advent Software, Inc. | | | (3,711 | ) | | | (117,268 | ) | | | 3,563 | |
| Aflac, Inc. | | | (30,581 | ) | | | (1,839,110 | ) | | | (29,084 | ) |
| AGCO Corp. | | | (3,700 | ) | | | (162,309 | ) | | | (4,931 | ) |
| Air Lease Corp. | | | (5,100 | ) | | | (194,361 | ) | | | 19,380 | |
| Air Products & Chemicals, Inc. | | | (1,800 | ) | | | (260,550 | ) | | | 936 | |
| Airgas, Inc. | | | (3,596 | ) | | | (421,056 | ) | | | 6,868 | |
| Albemarle Corp. | | | (25,000 | ) | | | (1,546,250 | ) | | | 43,000 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Align Technology, Inc. | | | (34,753 | ) | | $ | (1,962,461 | ) | | $ | 19,421 | |
| Alleghany Corp. | | | (100 | ) | | | (45,631 | ) | | | (719 | ) |
| Allegheny Technologies, Inc. | | | (121,330 | ) | | | (4,150,017 | ) | | | (68,628 | ) |
| Alliance Data Systems Corp. | | | (27,431 | ) | | | (7,316,131 | ) | | | (530,507 | ) |
| Allscripts Healthcare Solutions, Inc. | | | (95,200 | ) | | | (1,162,204 | ) | | | (53,500 | ) |
| Alnylam Pharmaceuticals, Inc. | | | (8,900 | ) | | | (856,029 | ) | | | (7,271 | ) |
| Altera Corp. | | | (161,900 | ) | | | (5,914,207 | ) | | | (66,379 | ) |
| Amazon.com, Inc. | | | (4,305 | ) | | | (1,276,853 | ) | | | (59,204 | ) |
| AMC Networks, Inc. | | | (68,800 | ) | | | (4,258,079 | ) | | | (129,297 | ) |
| American Airlines Group, Inc. | | | (38,770 | ) | | | (1,746,744 | ) | | | (332,491 | ) |
| American Eagle Outfitters, Inc. | | | (242,600 | ) | | | (3,346,650 | ) | | | (20,638 | ) |
| AMETEK, Inc. | | | (35,800 | ) | | | (1,850,144 | ) | | | (34,010 | ) |
| Amphenol Corp. | | | (60,798 | ) | | | (3,188,855 | ) | | | (82,685 | ) |
| Analog Devices, Inc. | | | (20,900 | ) | | | (1,091,831 | ) | | | (68,537 | ) |
| ANSYS, Inc. | | | (9,200 | ) | | | (745,135 | ) | | | (9,265 | ) |
| AOL, Inc. | | | (67,416 | ) | | | (3,142,260 | ) | | | 29,663 | |
| Arch Capital Group Ltd. | | | (26,819 | ) | | | (1,542,824 | ) | | | (42,178 | ) |
| Armstrong World Industries, Inc. | | | (1,400 | ) | | | (68,085 | ) | | | (3,483 | ) |
| Ascena Retail Group, Inc. | | | (22,000 | ) | | | (265,476 | ) | | | (10,844 | ) |
| Assured Guaranty Ltd. | | | (142,900 | ) | | | (3,612,512 | ) | | | (101,459 | ) |
| athenahealth, Inc. | | | (22,800 | ) | | | (2,878,118 | ) | | | (443,842 | ) |
| Atwood Oceanics, Inc. | | | (82,400 | ) | | | (2,978,674 | ) | | | 640,986 | |
| AutoNation, Inc. | | | (4,200 | ) | | | (246,162 | ) | | | (7,560 | ) |
| Avis Budget Group, Inc. | | | (58,200 | ) | | | (3,509,994 | ) | | | (350,412 | ) |
| Avon Products, Inc. | | | (237,582 | ) | | | (2,321,176 | ) | | | 90,281 | |
| B/E Aerospace, Inc. | | | (63,800 | ) | | | (3,532,244 | ) | | | (169,432 | ) |
| Babcock & Wilcox Co./The | | | (33,800 | ) | | | (1,032,590 | ) | | | 8,450 | |
| BancorpSouth, Inc. | | | (36,500 | ) | | | (813,434 | ) | | | (8,181 | ) |
| Bank of Hawaii Corp. | | | (12,800 | ) | | | (753,472 | ) | | | (5,696 | ) |
| BankUnited, Inc. | | | (6,400 | ) | | | (179,593 | ) | | | (5,815 | ) |
| Baxter International, Inc. | | | (43,700 | ) | | | (3,165,628 | ) | | | (37,145 | ) |
| Bed Bath & Beyond, Inc. | | | (24,587 | ) | | | (1,811,816 | ) | | | (60,976 | ) |
| Belden, Inc. | | | (5,600 | ) | | | (429,673 | ) | | | (11,663 | ) |
| Bemis Co., Inc. | | | (14,165 | ) | | | (562,350 | ) | | | (78,049 | ) |
| Bill Barrett Corp. | | | (68,234 | ) | | | (912,276 | ) | | | 135,091 | |
| BioMarin Pharmaceutical, Inc. | | | (91,400 | ) | | | (8,037,716 | ) | | | (224,844 | ) |
| Bio-Techne Corp. | | | (7,800 | ) | | | (705,879 | ) | | | (14,841 | ) |
| Black Hills Corp. | | | (17,283 | ) | | | (937,084 | ) | | | 20,394 | |
| BorgWarner, Inc. | | | (1,100 | ) | | | (63,293 | ) | | | 2,848 | |
| Brookdale Senior Living, Inc. | | | (116,600 | ) | | | (4,092,407 | ) | | | (183,315 | ) |
| Brunswick Corp. | | | (37,400 | ) | | | (1,818,643 | ) | | | (98,481 | ) |
| Cabela’s, Inc. | | | (100,300 | ) | | | (5,384,798 | ) | | | 97,985 | |
| Cablevision Systems Corp. | | | (83,200 | ) | | | (1,636,544 | ) | | | (80,704 | ) |
| Cabot Oil & Gas Corp. | | | (115,800 | ) | | | (3,984,583 | ) | | | 555,745 | |
| Cadence Design Systems, Inc. | | | (252,400 | ) | | | (4,690,731 | ) | | | (97,297 | ) |
| Campbell Soup Co. | | | (45,400 | ) | | | (2,024,386 | ) | | | 26,786 | |
| CARBO Ceramics, Inc. | | | (7,200 | ) | | | (365,904 | ) | | | 77,544 | |
| CarMax, Inc. | | | (187,601 | ) | | | (10,570,458 | ) | | | (1,920,017 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
169
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Carpenter Technology Corp. | | | (44,500 | ) | | $ | (2,263,183 | ) | | $ | 71,558 | |
| Carter’s, Inc. | | | (1,746 | ) | | | (144,534 | ) | | | (7,909 | ) |
| Cash America International, Inc. | | | (9,213 | ) | | | (225,903 | ) | | | 17,505 | |
| Catamaran Corp. | | | (13,202 | ) | | | (653,499 | ) | | | (29,705 | ) |
| Cathay General Bancorp | | | (6,000 | ) | | | (152,218 | ) | | | (1,322 | ) |
| Cerner Corp. | | | (9,600 | ) | | | (616,032 | ) | | | (4,704 | ) |
| CH Robinson Worldwide, Inc. | | | (75,200 | ) | | | (5,461,024 | ) | | | (170,704 | ) |
| Charles Schwab Corp./The | | | (289,399 | ) | | | (8,224,720 | ) | | | (512,236 | ) |
| Charter Communications, Inc. | | | (4,484 | ) | | | (736,632 | ) | | | (10,493 | ) |
| Cheesecake Factory, Inc./The | | | (10,489 | ) | | | (498,123 | ) | | | (29,579 | ) |
| Cheniere Energy, Inc. | | | (133,055 | ) | | | (9,555,581 | ) | | | 188,509 | |
| Chesapeake Energy Corp. | | | (152,900 | ) | | | (3,407,159 | ) | | | 414,906 | |
| Church & Dwight Co., Inc. | | | (6,700 | ) | | | (499,217 | ) | | | (28,810 | ) |
| Ciena Corp. | | | (713,300 | ) | | | (11,955,061 | ) | | | (1,890,092 | ) |
| Cincinnati Financial Corp. | | | (26,770 | ) | | | (1,373,569 | ) | | | (13,920 | ) |
| CIT Group, Inc. | | | (24,400 | ) | | | (1,206,580 | ) | | | 39,528 | |
| Citigroup, Inc. | | | (12,400 | ) | | | (642,268 | ) | | | (28,696 | ) |
| City National Corp. | | | (14,352 | ) | | | (1,123,115 | ) | | | (36,670 | ) |
| CLARCOR, Inc. | | | (11,300 | ) | | | (747,723 | ) | | | (5,309 | ) |
| Clean Harbors, Inc. | | | (33,818 | ) | | | (1,663,521 | ) | | | 38,566 | |
| Clorox Co./The | | | (23,200 | ) | | | (2,304,688 | ) | | | (112,984 | ) |
| Coach, Inc. | | | (417,670 | ) | | | (15,598,785 | ) | | | (88,901 | ) |
| Coca-Cola Co./The | | | (13,963 | ) | | | (618,142 | ) | | | 28,624 | |
| Colfax Corp. | | | (59,758 | ) | | | (2,928,086 | ) | | | (153,634 | ) |
| Comerica, Inc. | | | (27,652 | ) | | | (1,345,546 | ) | | | 50,327 | |
| Commerce Bancshares, Inc. | | | (15,997 | ) | | | (694,039 | ) | | | (1,670 | ) |
| Community Health Systems, Inc. | | | (78,600 | ) | | | (3,772,014 | ) | | | (466,098 | ) |
| CommVault Systems, Inc. | | | (26,957 | ) | | | (1,303,369 | ) | | | (90,038 | ) |
| Compass Minerals International, Inc. | | | (12,100 | ) | | | (1,090,089 | ) | | | 39,446 | |
| ConAgra Foods, Inc. | | | (30,673 | ) | | | (1,087,358 | ) | | | (25,459 | ) |
| Concho Resources, Inc. | | | (24,832 | ) | | | (2,794,415 | ) | | | 317,423 | |
| CONSOL Energy, Inc. | | | (253,854 | ) | | | (10,199,383 | ) | | | 1,616,579 | |
| CoStar Group, Inc. | | | (11,900 | ) | | | (2,027,165 | ) | | | (158,032 | ) |
| Coty, Inc. | | | (28,800 | ) | | | (565,902 | ) | | | (29,106 | ) |
| Covanta Holding Corp. | | | (69,800 | ) | | | (1,711,496 | ) | | | 175,198 | |
| Cree, Inc. | | | (195,367 | ) | | | (6,915,024 | ) | | | 620,300 | |
| CST Brands, Inc. | | | (6,300 | ) | | | (273,294 | ) | | | (1,449 | ) |
| Cubist Pharmaceuticals, Inc. | | | (32,600 | ) | | | (2,440,110 | ) | | | (841,080 | ) |
| Cullen/Frost Bankers, Inc. | | | (10,000 | ) | | | (783,836 | ) | | | 77,436 | |
| CVR Energy, Inc. | | | (21,800 | ) | | | (1,058,390 | ) | | | 214,512 | |
| Cypress Semiconductor Corp | | | (300,800 | ) | | | (3,158,400 | ) | | | (1,137,024 | ) |
| Darden Restaurants, Inc. | | | (80,000 | ) | | | (4,508,800 | ) | | | (181,600 | ) |
| Dean Foods Co. | | | (278,531 | ) | | | (4,782,673 | ) | | | (615,258 | ) |
| Deckers Outdoor Corp. | | | (1,392 | ) | | | (132,866 | ) | | | 6,139 | |
| Denbury Resources, Inc. | | | (300,899 | ) | | | (2,684,466 | ) | | | 238,157 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| DENTSPLY International, Inc. | | | (26,416 | ) | | $ | (1,439,144 | ) | | $ | 31,963 | |
| DeVry, Inc. | | | (17,767 | ) | | | (868,984 | ) | | | 25,584 | |
| Diebold, Inc. | | | (66,269 | ) | | | (2,370,979 | ) | | | 75,421 | |
| Discovery Communications, Inc. | | | (185,579 | ) | | | (6,387,038 | ) | | | (6,159 | ) |
| Dominion Resources, Inc. | | | (53 | ) | | | (3,872 | ) | | | (204 | ) |
| Donaldson Co., Inc. | | | (1,500 | ) | | | (55,502 | ) | | | (2,443 | ) |
| DreamWorks Animation SKG, Inc. | | | (175,503 | ) | | | (4,062,213 | ) | | | 143,231 | |
| Dril-Quip, Inc. | | | (6,400 | ) | | | (467,631 | ) | | | (23,441 | ) |
| Dun & Bradstreet Corp./The | | | (13,700 | ) | | | (1,738,804 | ) | | | 81,652 | |
| Dunkin’ Brands Group, Inc. | | | (30,000 | ) | | | (1,440,000 | ) | | | 160,500 | |
| E*TRADE Financial Corp. | | | (95,100 | ) | | | (2,203,467 | ) | | | (103,184 | ) |
| Eagle Materials, Inc. | | | (9,000 | ) | | | (832,590 | ) | | | 148,320 | |
| Ecolab, Inc. | | | (21,450 | ) | | | (2,456,025 | ) | | | 214,071 | |
| EI du Pont de Nemours & Co. | | | (900 | ) | | | (62,522 | ) | | | (4,024 | ) |
| Enova International, Inc. | | | (9,981 | ) | | | (229,164 | ) | | | 6,987 | |
| EQT Corp. | | | (21,240 | ) | | | (1,929,226 | ) | | | 321,358 | |
| Equinix, Inc. | | | (43,600 | ) | | | (9,788,200 | ) | | | (97,228 | ) |
| Exelon Corp. | | | (23,218 | ) | | | (818,435 | ) | | | (42,489 | ) |
| Expeditors International of Washington, Inc. | | | (7,300 | ) | | | (324,558 | ) | | | (1,095 | ) |
| Express Scripts Holding Co. | | | (3,900 | ) | | | (310,673 | ) | | | (19,540 | ) |
| F5 Networks, Inc. | | | (37,600 | ) | | | (4,895,896 | ) | | | (9,588 | ) |
| FactSet Research Systems, Inc. | | | (13,700 | ) | | | (1,884,846 | ) | | | (43,429 | ) |
| Fastenal Co. | | | (175,600 | ) | | | (7,942,388 | ) | | | (409,148 | ) |
| Federated Investors, Inc. | | | (48,300 | ) | | | (1,526,203 | ) | | | (64,316 | ) |
| FEI Co. | | | (12,500 | ) | | | (1,071,081 | ) | | | (58,294 | ) |
| First American Financial Corp. | | | (33,200 | ) | | | (1,050,780 | ) | | | (74,700 | ) |
| First Horizon National Corp. | | | (429,000 | ) | | | (5,559,840 | ) | | | (265,980 | ) |
| First Niagara Financial Group, Inc. | | | (166,300 | ) | | | (1,365,106 | ) | | | (36,803 | ) |
| First Republic Bank | | | (35,700 | ) | | | (1,829,397 | ) | | | (31,287 | ) |
| FirstEnergy Corp. | | | (30,000 | ) | | | (1,089,600 | ) | | | (80,100 | ) |
| FirstMerit Corp. | | | (79,100 | ) | | | (1,454,208 | ) | | | (39,991 | ) |
| Flowers Foods, Inc. | | | (113,250 | ) | | | (2,203,491 | ) | | | 30,224 | |
| Flowserve Corp. | | | (12,200 | ) | | | (723,164 | ) | | | (6,762 | ) |
| FMC Corp. | | | (74,000 | ) | | | (4,157,223 | ) | | | (62,997 | ) |
| FMC Technologies, Inc. | | | (57,573 | ) | | | (3,119,172 | ) | | | 422,453 | |
| Ford Motor Co. | | | (124,000 | ) | | | (1,943,080 | ) | | | 21,080 | |
| Forest City Enterprises, Inc. | | | (356,920 | ) | | | (7,659,503 | ) | | | 57,107 | |
| Fortune Brands Home & Security, Inc. | | | (55,400 | ) | | | (2,535,658 | ) | | | 27,700 | |
| Fossil Group, Inc. | | | (9,600 | ) | | | (1,020,269 | ) | | | (42,835 | ) |
| Franklin Resources, Inc. | | | (10,607 | ) | | | (593,380 | ) | | | 6,070 | |
| Freescale Semiconductor Ltd. | | | (158,011 | ) | | | (3,405,940 | ) | | | (580,678 | ) |
| FTI Consulting, Inc. | | | (93,606 | ) | | | (3,718,065 | ) | | | 102,065 | |
| GameStop Corp. | | | (2,851 | ) | | | (107,654 | ) | | | 11,290 | |
| GATX Corp. | | | (45,503 | ) | | | (2,906,503 | ) | | | 288,260 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
170
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| General Mills, Inc. | | | (11,300 | ) | | $ | (581,950 | ) | | $ | (20,679 | ) |
| General Motors Co. | | | (10,400 | ) | | | (334,776 | ) | | | (28,288 | ) |
| Genesee & Wyoming, Inc. | | | (17,400 | ) | | | (1,716,532 | ) | | | 151,924 | |
| Gentex Corp. | | | (116,881 | ) | | | (4,156,288 | ) | | | (66,622 | ) |
| Global Payments, Inc. | | | (30,666 | ) | | | (2,618,263 | ) | | | 142,597 | |
| GNC Holdings, Inc. | | | (27,637 | ) | | | (1,235,098 | ) | | | (62,736 | ) |
| Graco, Inc. | | | (12,200 | ) | | | (975,878 | ) | | | (2,318 | ) |
| GrafTech International Ltd. | | | (16,090 | ) | | | (74,497 | ) | | | (6,919 | ) |
| Great Plains Energy, Inc. | | | (19,800 | ) | | | (517,572 | ) | | | (44,946 | ) |
| Greenhill & Co., Inc. | | | (22,370 | ) | | | (990,320 | ) | | | 14,988 | |
| Hain Celestial Group, Inc./The | | | (41,200 | ) | | | (2,230,329 | ) | | | (171,219 | ) |
| Hancock Holding Co. | | | (39,600 | ) | | | (1,342,214 | ) | | | 126,494 | |
| Harley-Davidson, Inc. | | | (604 | ) | | | (41,851 | ) | | | 2,042 | |
| Hasbro, Inc. | | | (400 | ) | | | (22,664 | ) | | | 668 | |
| Herman Miller, Inc. | | | (400 | ) | | | (12,596 | ) | | | 824 | |
| Hershey Co./The | | | (6,300 | ) | | | (608,013 | ) | | | (46,746 | ) |
| Hexcel Corp. | | | (71,400 | ) | | | (3,129,462 | ) | | | 167,076 | |
| HMS Holdings Corp. | | | (188,612 | ) | | | (3,824,201 | ) | | | (163,057 | ) |
| HollyFrontier Corp. | | | (64,877 | ) | | | (2,879,642 | ) | | | 448,052 | |
| Hologic, Inc. | | | (182,100 | ) | | | (4,851,144 | ) | | | (18,210 | ) |
| HomeAway, Inc. | | | (194,200 | ) | | | (5,897,890 | ) | | | 114,614 | |
| Hospira, Inc. | | | (53,483 | ) | | | (3,225,025 | ) | | | (50,809 | ) |
| HSN, Inc. | | | (3,700 | ) | | | (267,769 | ) | | | (13,431 | ) |
| Huntsman Corp. | | | (88,810 | ) | | | (2,122,159 | ) | | | 99,067 | |
| IDACORP, Inc. | | | (3,400 | ) | | | (207,842 | ) | | | (17,204 | ) |
| IDEXX Laboratories, Inc. | | | (5,374 | ) | | | (791,823 | ) | | | (4,980 | ) |
| IHS, Inc. | | | (3,970 | ) | | | (511,495 | ) | | | 59,391 | |
| Incyte Corp. | | | (84,438 | ) | | | (6,363,974 | ) | | | 190,711 | |
| Informatica Corp. | | | (6,349 | ) | | | (232,644 | ) | | | (9,475 | ) |
| InterDigital, Inc. | | | (92,400 | ) | | | (4,655,164 | ) | | | (232,796 | ) |
| International Business Machines Corp. | | | (14,265 | ) | | | (2,220,147 | ) | | | (68,530 | ) |
| Intrepid Potash, Inc. | | | (96,965 | ) | | | (1,443,809 | ) | | | 97,935 | |
| Intuitive Surgical, Inc. | | | (10,274 | ) | | | (5,356,144 | ) | | | (78,185 | ) |
| Invesco Ltd. | | | (33,700 | ) | | | (1,307,344 | ) | | | (24,480 | ) |
| IPG Photonics Corp. | | | (58,869 | ) | | | (4,257,406 | ) | | | (153,059 | ) |
| ITC Holdings Corp. | | | (23,200 | ) | | | (908,280 | ) | | | (29,696 | ) |
| Jacobs Engineering Group, Inc. | | | (35,799 | ) | | | (1,635,886 | ) | | | 36,029 | |
| Janus Capital Group, Inc. | | | (299,100 | ) | | | (4,594,176 | ) | | | (230,307 | ) |
| Jazz Pharmaceuticals PLC | | | (49,500 | ) | | | (8,353,251 | ) | | | 248,616 | |
| JB Hunt Transport Services, Inc. | | | (50,417 | ) | | | (4,126,348 | ) | | | (121,285 | ) |
| JC Penney Co., Inc. | | | (137,497 | ) | | | (1,071,102 | ) | | | 180,121 | |
| JetBlue Airways Corp. | | | (303,700 | ) | | | (4,081,728 | ) | | | (734,954 | ) |
| JM Smucker Co./The | | | (2,300 | ) | | | (228,543 | ) | | | (3,711 | ) |
| Joy Global, Inc. | | | (25,419 | ) | | | (1,304,005 | ) | | | 121,513 | |
| Kansas City Southern | | | (23,500 | ) | | | (2,895,214 | ) | | | 27,509 | |
| KB Home | | | (137,763 | ) | | | (2,457,692 | ) | | | 177,714 | |
| Kellogg Co. | | | (8,270 | ) | | | (538,542 | ) | | | (2,646 | ) |
| Kennametal, Inc. | | | (70,900 | ) | | | (2,690,399 | ) | | | 152,888 | |
| Keurig Green Mountain, Inc. | | | (10,213 | ) | | | (1,413,377 | ) | | | 61,227 | |
| Kinder Morgan, Inc. | | | (135,308 | ) | | | (5,363,780 | ) | | | (361,102 | ) |
| Kirby Corp. | | | (33,200 | ) | | | (3,447,488 | ) | | | 766,920 | |
| KLX, Inc. | | | (12,500 | ) | | | (527,880 | ) | | | 12,255 | |
| Kohl’s Corp. | | | (29,300 | ) | | | (1,726,356 | ) | | | (62,116 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Kosmos Energy Ltd. | | | (44,300 | ) | | $ | (429,710 | ) | | $ | 58,033 | |
| Kraft Foods Group, Inc. | | | (19,100 | ) | | | (1,126,327 | ) | | | (70,479 | ) |
| L Brands, Inc. | | | (26,784 | ) | | | (2,141,916 | ) | | | (176,239 | ) |
| Laboratory Corp. of America Holdings | | | (42,480 | ) | | | (4,320,948 | ) | | | (262,644 | ) |
| Lamar Advertising Co. | | | (52,328 | ) | | | (2,786,989 | ) | | | (19,885 | ) |
| Landstar System, Inc. | | | (200 | ) | | | (15,776 | ) | | | 1,270 | |
| Laredo Petroleum, Inc. | | | (454,900 | ) | | | (6,427,672 | ) | | | 1,719,457 | |
| Las Vegas Sands Corp. | | | (4,500 | ) | | | (231,466 | ) | | | (30,254 | ) |
| Leap Wireless International, Inc. | | | (110,787 | ) | | | (279,183 | ) | | | 13,189 | |
| Legg Mason, Inc. | | | (35,100 | ) | | | (1,986,309 | ) | | | 113,022 | |
| Leggett & Platt, Inc. | | | (51,614 | ) | | | (2,151,272 | ) | | | (48,001 | ) |
| Lennar Corp. | | | (79,609 | ) | | | (3,782,224 | ) | | | 214,944 | |
| Lexmark International, Inc. | | | (16,162 | ) | | | (688,178 | ) | | | 21,172 | |
| Life Time Fitness, Inc. | | | (87,403 | ) | | | (4,860,481 | ) | | | (88,277 | ) |
| Lincoln National Corp. | | | (7,700 | ) | | | (447,986 | ) | | | 3,927 | |
| Linear Technology Corp. | | | (41,700 | ) | | | (1,856,882 | ) | | | (44,638 | ) |
| LinkedIn Corp. | | | (65,300 | ) | | | (14,441,253 | ) | | | (558,810 | ) |
| Lions Gate Entertainment Corp. | | | (79,100 | ) | | | (2,578,482 | ) | | | 45,700 | |
| LKQ Corp. | | | (66,700 | ) | | | (1,921,240 | ) | | | 45,636 | |
| Louisiana-Pacific Corp. | | | (209,200 | ) | | | (3,247,393 | ) | | | (216,959 | ) |
| Manitowoc Co., Inc./The | | | (27,201 | ) | | | (546,621 | ) | | | (54,521 | ) |
| Markel Corp. | | | (1,550 | ) | | | (1,077,808 | ) | | | 19,406 | |
| Martin Marietta Materials, Inc. | | | (33,148 | ) | | | (4,278,797 | ) | | | 621,910 | |
| Masimo Corp. | | | (14,854 | ) | | | (390,957 | ) | | | (297 | ) |
| MasterCard, Inc. | | | (16,800 | ) | | | (1,399,282 | ) | | | (48,206 | ) |
| Mattel, Inc. | | | (74,922 | ) | | | (2,319,868 | ) | | | 1,407 | |
| McCormick & Co., Inc. | | | (18,800 | ) | | | (1,364,880 | ) | | | (31,960 | ) |
| McDonald’s Corp. | | | (11,170 | ) | | | (1,085,389 | ) | | | 38,760 | |
| MDC Holdings, Inc. | | | (70,200 | ) | | | (1,852,377 | ) | | | (5,817 | ) |
| Mead Johnson Nutrition Co. | | | (9,679 | ) | | | (978,257 | ) | | | 5,130 | |
| MEDNAX, Inc. | | | (104,700 | ) | | | (6,775,219 | ) | | | (146,498 | ) |
| Mentor Graphics Corp. | | | (32,217 | ) | | | (702,666 | ) | | | (3,531 | ) |
| Meredith Corp. | | | (15,300 | ) | | | (806,922 | ) | | | (24,174 | ) |
| Mettler-Toledo International, Inc. | | | (10,100 | ) | | | (2,995,332 | ) | | | (59,514 | ) |
| Michael Kors Holdings Ltd. | | | (123,000 | ) | | | (9,303,007 | ) | | | 65,707 | |
| Microchip Technology, Inc. | | | (40,400 | ) | | | (1,780,024 | ) | | | (42,420 | ) |
| Middleby Corp./The | | | (6,200 | ) | | | (579,991 | ) | | | (34,429 | ) |
| Minerals Technologies, Inc. | | | (4,300 | ) | | | (307,474 | ) | | | 8,839 | |
| Monsanto Co. | | | (21,400 | ) | | | (2,579,342 | ) | | | 22,684 | |
| Monster Worldwide, Inc. | | | (233,954 | ) | | | (1,057,472 | ) | | | (23,395 | ) |
| Mosaic Co./The | | | (65,352 | ) | | | (2,970,902 | ) | | | (12,417 | ) |
| Motorola Solutions, Inc. | | | (20,500 | ) | | | (1,344,224 | ) | | | (30,916 | ) |
| MSC Industrial Direct Co., Inc. | | | (46,613 | ) | | | (3,691,897 | ) | | | (95,409 | ) |
| Mylan, Inc. | | | (46,350 | ) | | | (2,593,746 | ) | | | (19,004 | ) |
| National Instruments Corp. | | | (10,200 | ) | | | (331,194 | ) | | | 14,076 | |
| Navistar International Corp. | | | (251,482 | ) | | | (9,059,916 | ) | | | 640,298 | |
| NCR Corp. | | | (142,647 | ) | | | (4,197,077 | ) | | | 40,343 | |
| Netflix, Inc. | | | (6,162 | ) | | | (2,044,360 | ) | | | (60,641 | ) |
| NetSuite, Inc. | | | (81,833 | ) | | | (8,503,392 | ) | | | (430,317 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
171
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| NeuStar, Inc. | | | (53,000 | ) | | $ | (1,452,730 | ) | | $ | (20,670 | ) |
| New York Community Bancorp, Inc. | | | (62,600 | ) | | | (997,903 | ) | | | (3,698 | ) |
| NewMarket Corp. | | | (1,000 | ) | | | (396,310 | ) | | | (7,220 | ) |
| Noble Energy, Inc. | | | (30,900 | ) | | | (1,568,425 | ) | | | 102,838 | |
| Nordson Corp. | | | (13,400 | ) | | | (1,067,444 | ) | | | 22,780 | |
| Nordstrom, Inc. | | | (16,101 | ) | | | (1,227,862 | ) | | | (50,396 | ) |
| Northern Trust Corp. | | | (3,100 | ) | | | (209,994 | ) | | | 1,054 | |
| Norwegian Cruise Line Holdings Ltd. | | | (2,300 | ) | | | (97,060 | ) | | | (10,488 | ) |
| NOW, Inc. | | | (1,300 | ) | | | (37,557 | ) | | | 4,108 | |
| NRG Energy, Inc. | | | (181,563 | ) | | | (5,467,550 | ) | | | 574,428 | |
| Nu Skin Enterprises, Inc. | | | (56,053 | ) | | | (2,299,139 | ) | | | (150,377 | ) |
| Nuance Communications, Inc. | | | (464,700 | ) | | | (7,114,557 | ) | | | 483,288 | |
| Nucor Corp. | | | (26,542 | ) | | | (1,430,879 | ) | | | 128,994 | |
| Oasis Petroleum, Inc. | | | (300,100 | ) | | | (6,786,048 | ) | | | 1,822,394 | |
| Oceaneering International, Inc. | | | (6,200 | ) | | | (367,147 | ) | | | 2,525 | |
| Ocwen Financial Corp. | | | (109,618 | ) | | | (2,582,600 | ) | | | 927,368 | |
| Office Depot, Inc. | | | (162,200 | ) | | | (1,090,795 | ) | | | (300,070 | ) |
| Olin Corp. | | | (28,000 | ) | | | (693,826 | ) | | | 56,266 | |
| Omnicare, Inc. | | | (11,400 | ) | | | (793,196 | ) | | | (38,206 | ) |
| ONE Gas, Inc. | | | (5,100 | ) | | | (198,849 | ) | | | (11,373 | ) |
| Owens & Minor, Inc. | | | (22,308 | ) | | | (759,141 | ) | | | (24,093 | ) |
| Owens Corning | | | (143,600 | ) | | | (5,284,480 | ) | | | 142,164 | |
| PACCAR, Inc. | | | (3,456 | ) | | | (232,727 | ) | | | (2,316 | ) |
| PacWest Bancorp | | | (18,100 | ) | | | (823,062 | ) | | | 236 | |
| Pall Corp. | | | (4,363 | ) | | | (413,132 | ) | | | (28,447 | ) |
| Palo Alto Networks, Inc. | | | (20,300 | ) | | | (2,334,661 | ) | | | (153,510 | ) |
| Panera Bread Co. | | | (19,100 | ) | | | (3,206,351 | ) | | | (132,329 | ) |
| Patterson Cos., Inc. | | | (24,100 | ) | | | (1,148,606 | ) | | | (10,604 | ) |
| PBF Energy, Inc. | | | (186,100 | ) | | | (5,259,168 | ) | | | 301,464 | |
| Peabody Energy Corp. | | | (314,800 | ) | | | (3,097,575 | ) | | | 661,023 | |
| Penn National Gaming, Inc. | | | (40,869 | ) | | | (580,340 | ) | | | 19,208 | |
| Penske Automotive Group, Inc. | | | (9,400 | ) | | | (450,636 | ) | | | (10,622 | ) |
| People’s United Financial, Inc. | | | (34,700 | ) | | | (511,848 | ) | | | (14,897 | ) |
| Perrigo Co. PLC | | | (33,198 | ) | | | (5,208,434 | ) | | | (340,943 | ) |
| Pharmacyclics, Inc. | | | (67,184 | ) | | | (9,339,229 | ) | | | 1,125,313 | |
| Philip Morris International, Inc. | | | (27,097 | ) | | | (2,343,890 | ) | | | 136,840 | |
| Pitney Bowes, Inc. | | | (106,600 | ) | | | (2,625,558 | ) | | | 27,716 | |
| Plantronics, Inc. | | | (22,300 | ) | | | (1,157,475 | ) | | | (24,871 | ) |
| Platform Specialty Products Corp. | | | (12,867 | ) | | | (329,267 | ) | | | 30,495 | |
| PolyOne Corp. | | | (8,600 | ) | | | (327,574 | ) | | | 1,548 | |
| Popular, Inc. | | | (18,800 | ) | | | (612,128 | ) | | | (28,012 | ) |
| Post Holdings, Inc. | | | (151,900 | ) | | | (5,733,168 | ) | | | (629,923 | ) |
| PPL Corp. | | | (4,357 | ) | | | (153,149 | ) | | | (5,141 | ) |
| Praxair, Inc. | | | (3,600 | ) | | | (466,128 | ) | | | (288 | ) |
| Precision Castparts Corp. | | | (6,436 | ) | | | (1,522,659 | ) | | | (27,645 | ) |
| Priceline Group, Inc./The | | | (31 | ) | | | (33,014 | ) | | | (2,332 | ) |
| Principal Financial Group, Inc. | | | (62,700 | ) | | | (3,377,678 | ) | | | 121,040 | |
| Procter & Gamble Co./The | | | (3,300 | ) | | | (290,763 | ) | | | (9,834 | ) |
| Progressive Corp./The | | | (171,489 | ) | | | (4,686,794 | ) | | | 58,306 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Prosperity Bancshares, Inc. | | | (18,600 | ) | | $ | (1,078,060 | ) | | $ | 48,364 | |
| QEP Resources, Inc. | | | (74,600 | ) | | | (1,474,782 | ) | | | (33,630 | ) |
| QUALCOMM, Inc. | | | (10,472 | ) | | | (748,430 | ) | | | (29,954 | ) |
| Quality Systems, Inc. | | | (13,332 | ) | | | (194,114 | ) | | | (13,732 | ) |
| Quest Diagnostics, Inc. | | | (117,640 | ) | | | (7,607,779 | ) | | | (281,160 | ) |
| Questar Corp. | | | (8,100 | ) | | | (194,724 | ) | | | (10,044 | ) |
| Quintiles Transnational Holdings, Inc. | | | (5,900 | ) | | | (339,781 | ) | | | (7,552 | ) |
| Rackspace Hosting, Inc. | | | (77,073 | ) | | | (3,511,446 | ) | | | (96,341 | ) |
| Ralph Lauren Corp. | | | (11,400 | ) | | | (2,067,048 | ) | | | (43,776 | ) |
| Range Resources Corp. | | | (162,357 | ) | | | (11,069,070 | ) | | | 2,391,089 | |
| Red Hat, Inc. | | | (38,700 | ) | | | (2,376,331 | ) | | | (299,387 | ) |
| Regal Entertainment Group | | | (23,700 | ) | | | (540,123 | ) | | | 33,891 | |
| Regeneron Pharmaceuticals, Inc. | | | (38,241 | ) | | | (15,651,346 | ) | | | (37,024 | ) |
| Rent-A-Center, Inc. | | | (115,937 | ) | | | (3,881,993 | ) | | | (328,839 | ) |
| Republic Services, Inc. | | | (11,650 | ) | | | (455,865 | ) | | | (13,048 | ) |
| RF Micro Devices, Inc. | | | (59,974 | ) | | | (909,866 | ) | | | (85,103 | ) |
| Riverbed Technology, Inc. | | | (54,000 | ) | | | (1,099,980 | ) | | | (2,160 | ) |
| Rockwell Collins, Inc. | | | (52,100 | ) | | | (4,436,836 | ) | | | 35,428 | |
| Roper Industries, Inc. | | | (6,580 | ) | | | (1,043,588 | ) | | | 14,805 | |
| Rosetta Resources, Inc. | | | (255,400 | ) | | | (8,265,158 | ) | | | 2,567,184 | |
| Rowan Cos. PLC | | | (102,700 | ) | | | (2,475,749 | ) | | | 80,785 | |
| RPC, Inc. | | | (23,200 | ) | | | (313,058 | ) | | | 10,530 | |
| RR Donnelley & Sons Co. | | | (37,170 | ) | | | (621,482 | ) | | | (3,159 | ) |
| salesforce.com, Inc. | | | (116,313 | ) | | | (6,710,271 | ) | | | (188,253 | ) |
| Salix Pharmaceuticals Ltd. | | | (43,600 | ) | | | (4,682,814 | ) | | | (328,570 | ) |
| Sally Beauty Holdings, Inc. | | | (86,022 | ) | | | (2,683,026 | ) | | | 38,710 | |
| SanDisk Corp. | | | (21,070 | ) | | | (2,168,314 | ) | | | 103,875 | |
| SBA Communications Corp. | | | (46,537 | ) | | | (5,471,820 | ) | | | 317,382 | |
| SCANA Corp. | | | (26,672 | ) | | | (1,497,366 | ) | | | (113,623 | ) |
| Scotts Miracle-Gro Co./The | | | (6,800 | ) | | | (409,904 | ) | | | (13,872 | ) |
| Scripps Networks Interactive, Inc. | | | (30,952 | ) | | | (2,410,222 | ) | | | 80,465 | |
| Sealed Air Corp. | | | (98,048 | ) | | | (3,902,605 | ) | | | (257,572 | ) |
| Seattle Genetics, Inc. | | | (56,024 | ) | | | (1,948,685 | ) | | | 148,634 | |
| Semtech Corp. | | | (17,900 | ) | | | (454,984 | ) | | | (38,519 | ) |
| Service Corp. International | | | (11,000 | ) | | | (242,656 | ) | | | (7,044 | ) |
| ServiceNow, Inc. | | | (41,500 | ) | | | (2,654,755 | ) | | | (161,020 | ) |
| Signature Bank | | | (1,400 | ) | | | (172,830 | ) | | | (3,514 | ) |
| Silgan Holdings, Inc. | | | (100 | ) | | | (4,994 | ) | | | (366 | ) |
| Silicon Laboratories, Inc. | | | (15,103 | ) | | | (686,431 | ) | | | (32,774 | ) |
| Sirius XM Holdings, Inc. | | | (727,481 | ) | | | (2,597,107 | ) | | | 50,924 | |
| Sirona Dental Systems, Inc. | | | (17,100 | ) | | | (1,463,247 | ) | | | (30,780 | ) |
| Six Flags Entertainment Corp. | | | (49,755 | ) | | | (1,989,807 | ) | | | (157,122 | ) |
| SolarWinds, Inc. | | | (68,700 | ) | | | (3,529,119 | ) | | | 105,798 | |
| Solera Holdings, Inc. | | | (19,557 | ) | | | (949,476 | ) | | | (51,452 | ) |
| Sotheby’s | | | (181,700 | ) | | | (7,663,958 | ) | | | (181,848 | ) |
| Southwestern Energy Co. | | | (92,386 | ) | | | (3,023,246 | ) | | | 502,032 | |
| Splunk, Inc. | | | (19,269 | ) | | | (1,290,252 | ) | | | 154,345 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
172
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Sprint Corp. | | | (159,160 | ) | | $ | (709,231 | ) | | $ | 48,717 | |
| StanCorp Financial Group, Inc. | | | (2,300 | ) | | | (153,272 | ) | | | (7,406 | ) |
| Stanley Black & Decker, Inc. | | | (9,900 | ) | | | (943,074 | ) | | | (8,118 | ) |
| Staples, Inc. | | | (375,055 | ) | | | (5,340,783 | ) | | | (1,455,213 | ) |
| Starwood Hotels & Resorts Worldwide, Inc. | | | (600 | ) | | | (46,992 | ) | | | (1,650 | ) |
| State Street Corp. | | | (9,045 | ) | | | (698,364 | ) | | | (11,668 | ) |
| Stericycle, Inc. | | | (19,000 | ) | | | (2,421,170 | ) | | | (69,350 | ) |
| STERIS Corp. | | | (7,830 | ) | | | (497,740 | ) | | | (10,036 | ) |
| Stifel Financial Corp. | | | (781 | ) | | | (36,840 | ) | | | (3,007 | ) |
| Stratasys Ltd. | | | (93,100 | ) | | | (9,732,674 | ) | | | 1,995,133 | |
| SunEdison, Inc. | | | (446,980 | ) | | | (10,231,372 | ) | | | 1,510,792 | |
| SunPower Corp. | | | (11,600 | ) | | | (339,184 | ) | | | 39,556 | |
| SUPERVALU, Inc. | | | (19,200 | ) | | | (180,480 | ) | | | (5,760 | ) |
| SVB Financial Group | | | (15,243 | ) | | | (1,666,282 | ) | | | (102,973 | ) |
| Synovus Financial Corp. | | | (213,712 | ) | | | (5,599,254 | ) | | | (190,204 | ) |
| Sysco Corp. | | | (18,000 | ) | | | (711,900 | ) | | | (2,520 | ) |
| T Rowe Price Group, Inc. | | | (4,200 | ) | | | (349,776 | ) | | | (10,836 | ) |
| Tableau Software, Inc. | | | (23,900 | ) | | | (1,987,764 | ) | | | (38,000 | ) |
| Targa Resources Corp. | | | (1,700 | ) | | | (165,450 | ) | | | (14,835 | ) |
| Target Corp. | | | (46,199 | ) | | | (3,306,462 | ) | | | (200,504 | ) |
| Taylor Morrison Home Corp. | | | (18,575 | ) | | | (360,919 | ) | | | 10,037 | |
| TCF Financial Corp. | | | (66,495 | ) | | | (1,055,276 | ) | | | (1,330 | ) |
| TECO Energy, Inc. | | | (65,100 | ) | | | (1,270,101 | ) | | | (63,798 | ) |
| Teekay Corp. | | | (10,800 | ) | | | (595,728 | ) | | | 46,116 | |
| Tempur Sealy International, Inc. | | | (57,811 | ) | | | (3,269,790 | ) | | | 95,388 | |
| Tenet Healthcare Corp. | | | (204,324 | ) | | | (9,917,887 | ) | | | (435,210 | ) |
| Teradata Corp. | | | (36,410 | ) | | | (1,643,911 | ) | | | 53,523 | |
| Teradyne, Inc. | | | (148,991 | ) | | | (2,942,572 | ) | | | (5,960 | ) |
| Terex Corp. | | | (17,500 | ) | | | (536,716 | ) | | | 48,816 | |
| Tesla Motors, Inc. | | | (18,588 | ) | | | (4,322,052 | ) | | | 187,895 | |
| Tesoro Corp. | | | (51,762 | ) | | | (4,005,105 | ) | | | 156,600 | |
| Textron, Inc. | | | (48,752 | ) | | | (2,156,301 | ) | | | 103,354 | |
| Thomson Reuters Corp. | | | (800 | ) | | | (30,704 | ) | | | (1,568 | ) |
| Thor Industries, Inc. | | | (12,475 | ) | | | (712,413 | ) | | | 15,435 | |
| Thoratec Corp. | | | (35,800 | ) | | | (1,115,494 | ) | | | (46,574 | ) |
| Tidewater, Inc. | | | (111,500 | ) | | | (4,037,209 | ) | | | 423,494 | |
| Tiffany & Co. | | | (43,160 | ) | | | (4,532,232 | ) | | | (79,846 | ) |
| T-Mobile US, Inc. | | | (140,000 | ) | | | (3,476,270 | ) | | | (295,330 | ) |
| Toll Brothers, Inc. | | | (27,400 | ) | | | (963,384 | ) | | | 24,386 | |
| Tractor Supply Co. | | | (9,200 | ) | | | (703,705 | ) | | | (21,439 | ) |
| TransDigm Group, Inc. | | | (16,207 | ) | | | (3,157,772 | ) | | | (24,473 | ) |
| Trimble Navigation Ltd. | | | (147,293 | ) | | | (4,110,946 | ) | | | 201,790 | |
| TripAdvisor, Inc. | | | (59,195 | ) | | | (4,256,568 | ) | | | (162,931 | ) |
| Triumph Group, Inc. | | | (97,900 | ) | | | (6,626,851 | ) | | | 46,013 | |
| Twenty-First Century Fox, Inc. | | | (46,200 | ) | | | (1,655,244 | ) | | | (119,067 | ) |
| Ulta Salon Cosmetics & Fragrance, Inc. | | | (2,400 | ) | | | (304,248 | ) | | | (2,568 | ) |
| Ultra Petroleum Corp. | | | (53,700 | ) | | | (1,225,971 | ) | | | 519,279 | |
| Umpqua Holdings Corp. | | | (44,600 | ) | | | (756,744 | ) | | | (1,902 | ) |
| Under Armour, Inc. | | | (95,291 | ) | | | (6,670,370 | ) | | | 200,111 | |
| United Natural Foods, Inc. | | | (46,047 | ) | | | (3,437,265 | ) | | | (123,320 | ) |
| United Rentals, Inc. | | | (44,400 | ) | | | (5,138,856 | ) | | | 609,612 | |
| Universal Corp. | | | (5,100 | ) | | | (205,324 | ) | | | (18,974 | ) |
| Urban Outfitters, Inc. | | | (89,054 | ) | | | (2,951,828 | ) | | | (176,639 | ) |
| USG Corp. | | | (169,180 | ) | | | (4,928,899 | ) | | | 193,551 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Valley National Bancorp | | | (191,590 | ) | | $ | (1,887,336 | ) | | $ | 26,997 | |
| Vantiv, Inc. | | | (76,600 | ) | | | (2,547,716 | ) | | | (50,556 | ) |
| Varian Medical Systems, Inc. | | | (30,200 | ) | | | (2,680,250 | ) | | | 67,648 | |
| VCA, Inc. | | | (43,700 | ) | | | (2,041,227 | ) | | | (90,022 | ) |
| VeriSign, Inc. | | | (70,290 | ) | | | (4,234,270 | ) | | | 227,740 | |
| Visa, Inc. | | | (2,000 | ) | | | (512,398 | ) | | | (12,002 | ) |
| VMware, Inc. | | | (43,500 | ) | | | (3,682,249 | ) | | | 92,629 | |
| Wal-Mart Stores, Inc. | | | (14,600 | ) | | | (1,246,840 | ) | | | (7,008 | ) |
| Washington Federal, Inc. | | | (3,500 | ) | | | (76,733 | ) | | | (792 | ) |
| Waste Connections, Inc. | | | (2,309 | ) | | | (112,725 | ) | | | 11,152 | |
| Waters Corp. | | | (30,206 | ) | | | (3,518,093 | ) | | | 113,273 | |
| Watsco, Inc. | | | (17,200 | ) | | | (1,764,376 | ) | | | (76,024 | ) |
| Webster Financial Corp. | | | (34,500 | ) | | | (1,101,240 | ) | | | (21,045 | ) |
| WellCare Health Plans, Inc. | | | (32,002 | ) | | | (2,371,968 | ) | | | (254,116 | ) |
| Wendy’s Co./The | | | (63,308 | ) | | | (549,400 | ) | | | (22,272 | ) |
| Werner Enterprises, Inc. | | | (400 | ) | | | (11,772 | ) | | | (688 | ) |
| WESCO International, Inc. | | | (40,600 | ) | | | (3,430,294 | ) | | | 336,168 | |
| Westar Energy, Inc. | | | (38,081 | ) | | | (1,475,258 | ) | | | (95,203 | ) |
| Western Union Co./The | | | (539,100 | ) | | | (9,827,793 | ) | | | 172,512 | |
| WGL Holdings, Inc. | | | (5,800 | ) | | | (278,168 | ) | | | (38,628 | ) |
| WhiteWave Foods Co./The | | | (1,300 | ) | | | (45,864 | ) | | | 377 | |
| Williams Cos., Inc./The | | | (42,103 | ) | | | (2,305,981 | ) | | | 413,872 | |
| Woodward, Inc. | | | (41,232 | ) | | | (2,186,533 | ) | | | 156,682 | |
| Workday, Inc. | | | (35,467 | ) | | | (3,103,599 | ) | | | 209,137 | |
| World Fuel Services Corp. | | | (24,210 | ) | | | (1,114,144 | ) | | | (22,031 | ) |
| WR Berkley Corp. | | | (1,301 | ) | | | (67,847 | ) | | | 1,158 | |
| WW Grainger, Inc. | | | (2,600 | ) | | | (652,210 | ) | | | (10,504 | ) |
| Xylem, Inc. | | | (23,657 | ) | | | (908,429 | ) | | | 7,807 | |
| Yelp, Inc. | | | (176,744 | ) | | | (10,136,207 | ) | | | 463,008 | |
| Zillow, Inc. | | | (8,700 | ) | | | (984,797 | ) | | | 63,554 | |
| Zions Bancorp. | | | (208,700 | ) | | | (6,121,171 | ) | | | 171,134 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,396,448 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 12,366,646 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 15,357,279 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 2,062,864 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 17,420,143 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund is pledged as collateral to Morgan Stanley Capital Services, Inc. in the amount of $193,781,884 for total return basket swaps at December 31, 2014.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
173
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services, Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Effective Overnight Index Average, which is denominated in EUR based on the local currencies of the positions within the swap. | | 16-25 months maturity ranging 04/05/2016 | | | $741,172 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Havas SA | | | 18,108 | | | $ | 139,159 | | | $ | 8,705 | |
| Lafarge SA | | | 187,000 | | | | 12,356,525 | | | | 770,893 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 779,598 | |
| | | | | | | | | | | | |
| Luxembourg | | | | | | | | | |
| GAGFA SA | | | 224,042 | | | | 4,807,445 | | | | 195,943 | |
| | | | | | | | | | | | |
| | | |
| Netherlands | | | | | | | | | |
| Corio NV | | | 92,131 | | | | 4,243,485 | | | | 268,343 | |
| Ziggo NV | | | 4,928 | | | | 229,889 | | | | 26,198 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 294,541 | |
| | | | | | | | | | | | |
| United Kingdom | | | | | | | | | |
| Jazztel PLC | | | 947,275 | | | | 14,597,716 | | | | (281,571 | ) |
| | | | | | | | | | | | |
| | | |
| Total of Long Equity Positions | | | | | | | | | | | 988,511 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Bollore SA | | | (32,600 | ) | | | (147,015 | ) | | | (1,448 | ) |
| Klepierre | | | (105,031 | ) | | | (4,305,167 | ) | | | (204,673 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (206,121 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Germany | | | | | | | | | |
| Deutsche Annington Immobilien SE | | | (79,990 | ) | | $ | (2,491,399 | ) | | $ | (224,394 | ) |
| | | | | | | | | | | | |
| | | |
| Spain | | | | | | | | | |
| Banco Santander SA | | | (62,763 | ) | | | (521,010 | ) | | | (5,767 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (436,282 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 552,229 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 188,943 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 741,172 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
174
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services, Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, which is denominated in USD based on the local currencies of the positions within the swap. | | 7-25 months maturity ranging from
07/23/2015 - 12/08/2016 | | | $19,344,615 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Brookfield Residential Properties, Inc. | | | 6,239 | | | $ | 150,187 | | | $ | (76 | ) |
| Talisman Energy, Inc. | | | 1,067,007 | | | | 8,196,539 | | | | 158,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 158,049 | |
| | | | | | | | | | | | |
| Ireland | | | | | | | | | |
| Covidien PLC | | | 185,134 | | | | 16,662,060 | | | | 2,273,445 | |
| | | | | | | | | | | | |
| | | |
| Spain | | | | | | | | | |
| Banco Santander SA | | | 63,501 | | | | 538,943 | | | | (9,980 | ) |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
| Allergan, Inc. | | | 72,788 | | | | 15,332,393 | | | | 141,608 | |
| American Realty Capital Healthcare Trust, Inc. | | | 1,370,107 | | | | 15,441,106 | | | | 863,167 | |
| AmREIT, Inc. | | | 89,153 | | | | 2,354,047 | | | | 12,073 | |
| Auxilium Pharmaceuticals, Inc. | | | 314,627 | | | | 10,070,691 | | | | 747,758 | |
| Avanir Pharmaceuticals, Inc. | | | 489,840 | | | | 8,291,147 | | | | 11,641 | |
| Aviv REIT, Inc. | | | 60,140 | | | | 2,044,038 | | | | 29,589 | |
| Baker Hughes, Inc. | | | 240,638 | | | | 15,507,081 | | | | (2,014,508 | ) |
| CareFusion Corp. | | | 334,703 | | | | 19,357,566 | | | | 503,710 | |
| Chiquita Brands International, Inc. | | | 241,720 | | | | 3,478,351 | | | | 16,920 | |
| Cleco Corp. | | | 115,068 | | | | 6,156,138 | | | | 119,671 | |
| Covance, Inc. | | | 194,797 | | | | 19,701,824 | | | | 525,897 | |
| Covisint Corp. | | | 13,704 | | | | 43,305 | | | | (6,989 | ) |
| Digital River, Inc. | | | 202,979 | | | | 4,928,332 | | | | 91,338 | |
| DIRECTV | | | 192,068 | | | | 16,151,758 | | | | 500,538 | |
| Dresser-Rand Group, Inc. | | | 240,153 | | | | 19,565,711 | | | | 78,804 | |
| Family Dollar Stores, Inc. | | | 171,189 | | | | 13,306,521 | | | | 253,360 | |
| Furiex Pharmaceuticals, Inc. | | | 44,784 | | | | 447,840 | | | | (6,628 | ) |
| Gentiva Health Services, Inc. | | | 221,567 | | | | 4,318,198 | | | | (97,347 | ) |
| GFI Group, Inc. | | | 410,352 | | | | 2,224,108 | | | | 12,311 | |
| Glimcher Realty Trust | | | 1,035,618 | | | | 14,229,391 | | | | — | |
| Hawaiian Electric Industries, Inc. | | | 199,629 | | | | 6,504,030 | | | | 179,548 | |
| Hudson City Bancorp, Inc. | | | 3,106,595 | | | | 28,953,465 | | | | 2,485,276 | |
| Hudson Valley Holding Corp. | | | 99,587 | | | | 2,515,364 | | | | 189,419 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Integrys Energy Group, Inc. | | | 173,851 | | | $ | 12,316,567 | | | $ | 1,217,734 | |
| International Rectifier Corp. | | | 390,297 | | | | 15,494,791 | | | | 78,059 | |
| Journal Communications, Inc. | | | 69,014 | | | | 652,872 | | | | 135,958 | |
| Lorillard, Inc. | | | 348,928 | | | | 21,629,583 | | | | 331,946 | |
| Pantry, Inc./The | | | 74,166 | | | | 2,700,251 | | | | 48,341 | |
| Pepco Holdings, Inc. | | | 653,741 | | | | 17,834,054 | | | | (228,809 | ) |
| PetSmart, Inc. | | | 93,672 | | | | 7,587,934 | | | | 27,131 | |
| Platinum Underwriters Holdings Ltd. | | | 71,337 | | | | 5,261,045 | | | | (23,482 | ) |
| Protective Life Corp. | | | 316,481 | | | | 22,025,936 | | | | 16,965 | |
| Riverbed Technology, Inc. | | | 369,257 | | | | 7,508,418 | | | | 28,118 | |
| Rockwood Holdings, Inc. | | | 300,192 | | | | 23,567,052 | | | | 88,078 | |
| Sapient Corp. | | | 504,877 | | | | 12,466,893 | | | | 94,447 | |
| Sigma-Aldrich Corp. | | | 172,141 | | | | 23,355,796 | | | | 273,999 | |
| Susquehanna Bancshares, Inc. | | | 498,451 | | | | 6,552,723 | | | | 141,474 | |
| Time Warner Cable, Inc. | | | 201,265 | | | | 28,698,376 | | | | 1,905,980 | |
| TriQuint Semiconductor, Inc. | | | 584,079 | | | | 10,773,401 | | | | 5,317,975 | |
| TRW Automotive Holdings Corp. | | | 189,614 | | | | 19,247,119 | | | | 254,681 | |
| Volcano Corp. | | | 453,845 | | | | 8,099,560 | | | | 15,189 | |
| Whiting Petroleum Corp. | | | 1,592 | | | | 91,970 | | | | (39,434 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,321,506 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 16,743,020 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | |
| Endo International PLC | | | (99,233 | ) | | | (6,675,289 | ) | | | (481,395 | ) |
| | | | | | | | | | | | |
| | | |
| United States | | | | | | | | | |
| Actavis PLC | | | (26,030 | ) | | | (6,836,960 | ) | | | 136,578 | |
| Albemarle Corp. | | | (149,930 | ) | | | (9,054,582 | ) | | | 39,291 | |
| Applied Materials, Inc. | | | (1,189,980 | ) | | | (25,281,125 | ) | | | (4,373,177 | ) |
| AT&T, Inc. | | | (243,686 | ) | | | (8,247,783 | ) | | | 62,370 | |
| BB&T Corp. | | | (126,255 | ) | | | (4,749,791 | ) | | | (160,266 | ) |
| Becton Dickinson and Co. | | | (26,064 | ) | | | (3,399,484 | ) | | | (227,582 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
175
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Comcast Corp. | | | (570,300 | ) | | $ | (31,212,519 | ) | | $ | (1,870,584 | ) |
| Dollar Tree, Inc. | | | (20,175 | ) | | | (1,253,010 | ) | | | (166,907 | ) |
| EW Scripps Co./The | | | (35,615 | ) | | | (661,014 | ) | | | (134,981 | ) |
| Halliburton Co. | | | (261,740 | ) | | | (12,645,857 | ) | | | 2,351,622 | |
| Kindred Healthcare, Inc. | | | (56,637 | ) | | | (1,160,193 | ) | | | 130,533 | |
| Laboratory Corp. of America Holdings | | | (50,663 | ) | | | (5,149,385 | ) | | | (317,152 | ) |
| M&T Bank Corp. | | | (261,037 | ) | | | (30,927,664 | ) | | | (1,863,804 | ) |
| Medtronic, Inc. | | | (179,280 | ) | | | (11,923,913 | ) | | | (1,020,103 | ) |
| NextEra Energy, Inc. | | | (48,299 | ) | | | (5,010,532 | ) | | | (123,169 | ) |
| Omega Healthcare Investors, Inc. | | | (54,126 | ) | | | (2,080,111 | ) | | | (34,592 | ) |
| RenaissanceRe Holdings Ltd. | | | (18,961 | ) | | | (1,862,128 | ) | | | 18,740 | |
| Reynolds American, Inc. | | | (105,698 | ) | | | (6,732,122 | ) | | | (61,088 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| RF Micro Devices, Inc. | | | (992,351 | ) | | $ | (10,980,940 | ) | | $ | (5,482,163 | ) |
| STERIS Corp. | | | (52,129 | ) | | | (3,145,985 | ) | | | (234,581 | ) |
| Sterling Bancorp | | | (193,034 | ) | | | (2,595,242 | ) | | | (180,587 | ) |
| Ventas, Inc. | | | (227,712 | ) | | | (15,410,516 | ) | | | (916,435 | ) |
| Washington Prime Group, Inc. | | | (205,984 | ) | | | (3,637,677 | ) | | | 90,633 | |
| Wisconsin Energy Corp. | | | (197,946 | ) | | | (9,642,208 | ) | | | (797,464 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (15,134,868 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (15,616,263 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 1,126,757 | |
| | | | | | | | | | | | |
Written Options
Call Options Written
| | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | ISSUER | | EXPIRATION DATE | | PROCEEDS | | | VALUE AT
DECEMBER 31,
2014 | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| (2,900) | | Time Warner Cable, Inc.
(Exercise price $130) | | January 17, 2015 | | | (0 | ) | | | $(72,790 | ) | | | $(72,790 | ) |
| (52,200) | | BKW AG
(Exercise price $40) | | January 17, 2015 | | | (10,208 | ) | | | (28,710 | ) | | | (18,502 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | (91,292 | ) |
| | | | | | | | | | | | | | | | |
Put Options Written
| | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | ISSUER | | EXPIRATION DATE | | PROCEEDS | | | VALUE AT
DECEMBER 31,
2014 | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| (52,200) | | BKW AG (Exercise price $40) | | January 17, 2015 | | | (350,407 | ) | | | $93,960 | | | | $(256,447 | ) |
| | | | | | | | | | | | | | | | |
| Total of Written Options | | | | (347,739 | ) |
| | | | | | | | | | | | | | | | |
| Total of Long and Short Equity Positions and Written Options | | | | 779,018 | |
| | | | | | | | | | | | | | | | |
| Net Cash and Other Receivables/ Payables (b) | | | | 18,565,597 | |
| | | | | | | | | | | | | | | | |
| Swaps, at Value | | | | $19,344,615 | |
| | | | | | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
176
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services, Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate, which is denominated in SEK based on the local currencies of the positions within the swap. | | 25 months maturity 10/18/2016 | | | $57,361 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | |
| | | |
| Finland | | | | | | | | | | | | |
| Sanitec OYJ | | | 384,846 | | | $ | 4,674,618 | | | $ | 55,060 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 2,301 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 57,361 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services, Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate, which is denominated in CAD based on the local currencies of the positions within the swap. | | 24-25 months maturity 12/01/2016 | | | $365,546 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Carfinco Financial Group, Inc. | | | 28,132 | | | $ | 270,679 | | | $ | 761 | |
| Restaurant Brands International, Inc. | | | 51,111 | | | | 1,646,386 | | | | 355,293 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 356,054 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 356,054 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 9,492 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 365,546 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
177
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services, Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate, which is denominated in JPY based on the local currencies of the positions within the swap. | | 25 months maturity 10/14/2015 | | | $7,967,932 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| Tokyo Electron Ltd. | | | 371,108 | | | $ | 20,085,408 | | | $ | 8,055,792 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (87,860 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 7,967,932 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| Morgan Stanley Capital Services, Inc. | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, which is denominated in CHF based on the local currencies of the positions within the swap. | | 2-3 months maturity 01/14/2015 | | | $(712,915 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Positions | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Holcim Ltd. | | | (187,000 | ) | | $ | (12,592,456 | ) | | $ | (775,082 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 62,167 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (712,915 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
178
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| J.P. Morgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | | 12-14 months maturity ranging from 12/21/2015 - 01/29/2016 | | | $5,845,981 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Belgium | | | | | | | | | | | | |
| Ageas | | | 238 | | | $ | 8,478 | | | $ | (15 | ) |
| Belgacom SA | | | 60,725 | | | | 2,250,827 | | | | (47,511 | ) |
| bpost SA | | | 49,402 | | | | 1,216,803 | | | | 24,201 | |
| Colruyt SA | | | 6,789 | | | | 318,643 | | | | (3,026 | ) |
| Delhaize Group SA | | | 34,360 | | | | 2,405,173 | | | | 97,106 | |
| Telenet Group Holding NV | | | 7,511 | | | | 400,101 | | | | 21,399 | |
| Umicore SA | | | 23,906 | | | | 955,257 | | | | 6,727 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 98,881 | |
| | | | | | | | | | | | |
| Finland | | | | | | | | | |
| Fortum OYJ | | | 36,915 | | | | 836,901 | | | | (35,419 | ) |
| Kesko OYJ | | | 51,791 | | | | 1,945,325 | | | | (61,761 | ) |
| Metso OYJ | | | 40,216 | | | | 1,183,214 | | | | 20,840 | |
| Neste Oil OYJ | | | 87,994 | | | | 2,063,162 | | | | 80,159 | |
| Orion OYJ | | | 32,262 | | | | 1,073,538 | | | | (70,174 | ) |
| Sampo OYJ | | | 47,314 | | | | 2,167,529 | | | | 47,447 | |
| Stora Enso OYJ | | | 217,746 | | | | 1,765,635 | | | | 181,224 | |
| UPM-Kymmene OYJ | | | 189,566 | | | | 2,933,386 | | | | 173,254 | |
| Wartsila OYJ | | | 31,636 | | | | 1,428,309 | | | | (12,338 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 323,232 | |
| | | | | | | | | | | | |
| Germany | | | | | | | | | |
| Aurubis AG | | | 57,705 | | | | 3,031,751 | | | | 193,968 | |
| Brenntag AG | | | 50,940 | | | | 2,656,337 | | | | 191,723 | |
| Continental AG | | | 20,253 | | | | 3,861,289 | | | | 410,530 | |
| Deutsche Lufthansa AG | | | 263,897 | | | | 4,209,063 | | | | 163,964 | |
| Deutsche Post AG | | | 323,895 | | | | 9,613,251 | | | | 900,997 | |
| Deutsche Telekom AG | | | 164,347 | | | | 2,577,224 | | | | 52,384 | |
| E.ON SE | | | 222,609 | | | | 3,529,802 | | | | 274,962 | |
| Freenet AG | | | 10,508 | | | | 296,114 | | | | 2,652 | |
| GEA Group AG | | | 33,893 | | | | 1,496,184 | | | | (6,038 | ) |
| Hannover Rueck SE | | | 7,016 | | | | 589,820 | | | | 43,103 | |
| HeidelbergCement AG | | | 82,847 | | | | 5,740,289 | | | | 107,046 | |
| Henkel AG & Co. KGaA | | | 2,335 | | | | 238,879 | | | | 12,642 | |
| HOCHTIEF AG | | | 16,524 | | | | 1,197,363 | | | | (31,622 | ) |
| HUGO BOSS AG | | | 13,731 | | | | 1,722,372 | | | | (42,637 | ) |
| Infineon Technologies AG | | | 20,529 | | | | 206,928 | | | | 10,307 | |
| LANXESS AG | | | 19,792 | | | | 917,931 | | | | (1,318 | ) |
| Leoni AG | | | 2,152 | | | | 119,198 | | | | 7,918 | |
| Linde AG | | | 1,136 | | | | 203,157 | | | | 6,097 | |
| Merck KGaA | | | 86,002 | | | | 8,109,517 | | | | (16,007 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Germany (continued) | | | | | | | | | |
| Muenchener Rueckversicherungs AG | | | 21,317 | | | $ | 4,080,032 | | | $ | 164,983 | |
| OSRAM Licht AG | | | 11,124 | | | | 449,764 | | | | (13,037 | ) |
| Porsche Automobil Holding SE | | | 57,343 | | | | 4,465,351 | | | | 172,126 | |
| ProSiebenSat.1 Media AG | | | 129,655 | | | | 5,253,700 | | | | 163,718 | |
| Rhoen Klinikum AG | | | 66,918 | | | | 1,870,335 | | | | 5,156 | |
| Salzgitter AG | | | 6,128 | | | | 176,333 | | | | (4,853 | ) |
| Symrise AG | | | 27,775 | | | | 1,638,550 | | | | 34,758 | |
| Telefonica Deutschland Holding AG | | | 134,902 | | | | 672,381 | | | | 42,579 | |
| TUI AG | | | 124,693 | | | | 1,980,665 | | | | 86,779 | |
| United Internet AG | | | 44,820 | | | | 1,887,629 | | | | 131,283 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,064,163 | |
| | | | | | | | | | | | |
| Italy | | | | | | | | | |
| Atlantia SpA | | | 75,569 | | | | 1,713,289 | | | | 43,083 | |
| Autogrill SpA | | | 8,354 | | | | 56,384 | | | | 6,618 | |
| Banca Monte dei Paschi di Siena SpA | | | 493,702 | | | | 283,149 | | | | (1,901 | ) |
| Banca Popolare dell’Emilia Romagna SC | | | 173,509 | | | | 1,095,601 | | | | 41,920 | |
| Buzzi Unicem SpA | | | 29,399 | | | | 385,642 | | | | (13,535 | ) |
| Enel SpA | | | 1,123,119 | | | | 4,910,715 | | | | 95,607 | |
| Eni SpA | | | 542,423 | | | | 10,021,343 | | | | (519,994 | ) |
| Finmeccanica SpA | | | 72,469 | | | | 657,562 | | | | 16,025 | |
| GTECH SpA | | | 8,303 | | | | 179,886 | | | | 5,510 | |
| Hera SpA | | | 92,789 | | | | 218,839 | | | | (343 | ) |
| Intesa Sanpaolo SpA | | | 24,958 | | | | 68,031 | | | | 4,370 | |
| Mediobanca SpA | | | 354,335 | | | | 2,887,889 | | | | (8,731 | ) |
| Mediolanum SpA | | | 134,189 | | | | 846,209 | | | | 8,936 | |
| Moncler SpA | | | 31,232 | | | | 433,550 | | | | (16,238 | ) |
| Pirelli & C. SpA | | | 297,138 | | | | 3,919,705 | | | | 87,914 | |
| Prysmian SpA | | | 155,131 | | | | 2,697,474 | | | | 129,596 | |
| Snam SpA | | | 427,485 | | | | 2,113,353 | | | | 2,365 | |
| Terna Rete Elettrica Nazionale SpA | | | 359,649 | | | | 1,663,439 | | | | (29,853 | ) |
| UniCredit SpA | | | 566,972 | | | | 3,687,738 | | | | (55,935 | ) |
| Unione di Banche Italiane SCpA | | | 568,533 | | | | 3,892,538 | | | | 173,759 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (30,827 | ) |
| | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
179
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Netherlands | | | | | | | | | |
| Aegon NV | | | 156,292 | | | $ | 1,148,830 | | | $ | 25,857 | |
| Akzo Nobel NV | | | 13,307 | | | | 859,930 | | | | 60,782 | |
| Delta Lloyd NV | | | 138,684 | | | | 3,195,064 | | | | (145,354 | ) |
| Koninklijke Ahold NV | | | 303,347 | | | | 5,088,452 | | | | 302,894 | |
| Koninklijke Boskalis Westminster NV | | | 38,145 | | | | 2,025,737 | | | | 60,988 | |
| Koninklijke DSM NV | | | 19,799 | | | | 1,236,129 | | | | (28,529 | ) |
| Koninklijke KPN NV | | | 626,766 | | | | 1,967,761 | | | | 11,158 | |
| Koninklijke Philips NV | | | 240,750 | | | | 6,626,343 | | | | 352,037 | |
| Nutreco NV | | | 46,557 | | | | 2,600,014 | | | | (101,086 | ) |
| Wolters Kluwer NV | | | 94,061 | | | | 2,556,613 | | | | 313,678 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 852,425 | |
| | | | | | | | | | | | |
| Spain | | | | | | | | | |
| Acerinox SA | | | 105,086 | | | | 1,511,704 | | | | 73,704 | |
| ACS Actividades de Construccion y Servicios SA | | | 134,298 | | | | 4,427,312 | | | | 253,654 | |
| Banco Santander SA | | | 990,992 | | | | 8,026,808 | | | | 290,706 | |
| Bankinter SA | | | 103,201 | | | | 824,468 | | | | 4,619 | |
| Bolsas y Mercados Espanoles SA | | | 11,101 | | | | 419,400 | | | | 10,546 | |
| CaixaBank SA | | | 2,996 | | | | 15,238 | | | | 460 | |
| Distribuidora Internacional de Alimentacion SA | | | 133,497 | | | | 900,878 | | | | 3,708 | |
| Ebro Foods SA | | | 35,679 | | | | 634,415 | | | | (44,648 | ) |
| Enagas SA | | | 214,583 | | | | 6,834,342 | | | | (66,170 | ) |
| Endesa SA | | | 270,079 | | | | 4,792,072 | | | | 614,720 | |
| Ferrovial SA | | | 102,670 | | | | 1,949,391 | | | | 80,207 | |
| Gas Natural SDG SA | | | 101,601 | | | | 2,755,489 | | | | (203,213 | ) |
| Iberdrola SA | | | 536,344 | | | | 3,608,059 | | | | 7,299 | |
| Red Electrica Corp. SA | | | 29,340 | | | | 2,501,792 | | | | 84,571 | |
| Repsol SA | | | 202,124 | | | | 4,362,736 | | | | (578,806 | ) |
| Tecnicas Reunidas SA | | | 7,385 | | | | 316,294 | | | | 6,501 | |
| Telefonica SA | | | 29,192 | | | | 428,244 | | | | (9,119 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 528,739 | |
| | | | | | | | | | | | |
| Switzerland | | | | | | | | | |
| STMicroelectronics NV | | | 203,357 | | | | 1,450,692 | | | | 69,728 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 4,906,341 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Belgium | | | | | | | | | | | | |
| Anheuser-Busch InBev NV | | | (1,530 | ) | | | (166,978 | ) | | | (5,210 | ) |
| KBC Groep NV | | | (25,644 | ) | | | (1,369,122 | ) | | | (62,071 | ) |
| Mobistar SA | | | (5,112 | ) | | | (113,328 | ) | | | (7,876 | ) |
| Solvay SA | | | (484 | ) | | | (62,026 | ) | | | (3,467 | ) |
| UCB SA | | | (10,469 | ) | | | (787,301 | ) | | | (8,735 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (87,359 | ) |
| | | | | | | | | | | | |
| Finland | | | | | | | | | |
| Cargotec OYJ | | | (113,792 | ) | | | (3,620,442 | ) | | | 127,660 | |
| Elisa OYJ | | | (30,603 | ) | | | (843,103 | ) | | | 7,793 | |
| Kone OYJ | | | (113,625 | ) | | | (4,865,424 | ) | | | (307,665 | ) |
| Konecranes OYJ | | | (13,357 | ) | | | (377,217 | ) | | | (4,728 | ) |
| Nokia OYJ | | | (75,299 | ) | | | (567,360 | ) | | | (28,166 | ) |
| Nokian Renkaat OYJ | | | (186,182 | ) | | | (5,088,834 | ) | | | 547,194 | |
| YIT OYJ | | | (28,837 | ) | | | (190,536 | ) | | | 41,302 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 383,390 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Germany | | | | | | | | | |
| adidas AG | | | (54,091 | ) | | $ | (4,254,185 | ) | | $ | 497,807 | |
| AIXTRON SE | | | (262,368 | ) | | | (3,000,697 | ) | | | 51,400 | |
| Allianz SE | | | (17,334 | ) | | | (2,799,314 | ) | | | (71,651 | ) |
| Axel Springer SE | | | (213 | ) | | | (12,268 | ) | | | (579 | ) |
| BASF SE | | | (57,723 | ) | | | (4,947,575 | ) | | | 105,716 | |
| Bayer AG | | | (2,575 | ) | | | (345,844 | ) | | | (5,150 | ) |
| Bayerische Motoren Werke AG | | | (21,295 | ) | | | (2,184,786 | ) | | | (113,334 | ) |
| Beiersdorf AG | | | (2,591 | ) | | | (208,027 | ) | | | (2,347 | ) |
| Bilfinger SE | | | (16,154 | ) | | | (895,530 | ) | | | (7,462 | ) |
| Commerzbank AG | | | (391,309 | ) | | | (5,460,049 | ) | | | 327,407 | |
| Daimler AG | | | (20,899 | ) | | | (1,585,163 | ) | | | (150,583 | ) |
| Deutsche Bank AG | | | (108,305 | ) | | | (3,163,477 | ) | | | (79,647 | ) |
| Deutsche Boerse AG | | | (6,730 | ) | | | (448,402 | ) | | | (29,845 | ) |
| Fraport AG Frankfurt Airport Services Worldwide | | | (25,561 | ) | | | (1,512,058 | ) | | | 37,142 | |
| Fresenius Medical Care AG & Co. KGaA | | | (36,862 | ) | | | (2,601,440 | ) | | | (149,824 | ) |
| FUCHS PETROLUB SE | | | (26,525 | ) | | | (1,033,265 | ) | | | (23,199 | ) |
| K+S AG | | | (219,571 | ) | | | (6,361,231 | ) | | | 302,133 | |
| MAN SE | | | (25,206 | ) | | | (2,783,437 | ) | | | (23,725 | ) |
| METRO AG | | | (115,897 | ) | | | (3,433,589 | ) | | | (109,117 | ) |
| MTU Aero Engines AG | | | (1,184 | ) | | | (100,759 | ) | | | (2,138 | ) |
| Rheinmetall AG | | | (12,096 | ) | | | (495,944 | ) | | | (30,705 | ) |
| RWE AG | | | (48,237 | ) | | | (1,535,544 | ) | | | 46,725 | |
| SAP SE | | | (165,250 | ) | | | (10,925,055 | ) | | | (614,085 | ) |
| Siemens AG | | | (8,831 | ) | | | (972,234 | ) | | | (18,638 | ) |
| Sky Deutschland AG | | | (109,712 | ) | | | (858,586 | ) | | | (27,680 | ) |
| Software AG | | | (20,044 | ) | | | (525,021 | ) | | | 37,933 | |
| STADA Arzneimittel AG | | | (26,642 | ) | | | (904,567 | ) | | | 96,176 | |
| Suedzucker AG | | | (90,809 | ) | | | (1,437,405 | ) | | | 131,769 | |
| ThyssenKrupp AG | | | (283,852 | ) | | | (6,967,457 | ) | | | (263,342 | ) |
| Volkswagen AG | | | (1,978 | ) | | | (416,081 | ) | | | (23,540 | ) |
| Wacker Chemie AG | | | (27,357 | ) | | | (3,185,654 | ) | | | 184,716 | |
| Wirecard AG | | | (49,025 | ) | | | (1,964,197 | ) | | | (173,494 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (101,161 | ) |
| | | | | | | | | | | | |
| Italy | | | | | | | | | |
| A2A SpA | | | (1,663,531 | ) | | | (1,633,654 | ) | | | (51,981 | ) |
| Assicurazioni Generali SpA | | | (308,983 | ) | | | (6,214,239 | ) | | | (130,063 | ) |
| Banco Popolare SC | | | (230,334 | ) | | | (2,745,599 | ) | | | (25,721 | ) |
| Davide Campari-Milano SpA | | | (68,014 | ) | | | (447,089 | ) | | | 22,551 | |
| Enel Green Power SpA | | | (299,929 | ) | | | (644,295 | ) | | | 15,895 | |
| Luxottica Group SpA | | | (1,053 | ) | | | (51,626 | ) | | | (6,098 | ) |
| Mediaset SpA | | | (1,885,989 | ) | | | (6,995,283 | ) | | | (764,724 | ) |
| Saipem SpA | | | (206,777 | ) | | | (2,697,286 | ) | | | 529,714 | |
| Salvatore Ferragamo SpA | | | (165,651 | ) | | | (4,108,403 | ) | | | 31,592 | |
| Telecom Italia SpA | | | (5,194,072 | ) | | | (5,648,142 | ) | | | 108,731 | |
| Tod’s SpA | | | (4,906 | ) | | | (420,306 | ) | | | (4,564 | ) |
| UnipolSai SpA | | | (170,424 | ) | | | (458,475 | ) | | | (368 | ) |
| World Duty Free SpA | | | (142,258 | ) | | | (1,225,822 | ) | | | (140,000 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (415,036 | ) |
| | | | | | | | | | | | |
| Luxembourg | | | | | | | | | |
| Altice SA | | | (15,287 | ) | | | (861,714 | ) | | | (347,406 | ) |
| ArcelorMittal | | | (1,078,306 | ) | | | (12,338,954 | ) | | | 525,145 | |
| Tenaris SA | | | (262,386 | ) | | | (4,565,794 | ) | | | 600,919 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 778,658 | |
| | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
180
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Netherlands | | | | | | | | | |
| ASML Holding NV | | | (77,307 | ) | | $ | (7,858,926 | ) | | $ | (493,900 | ) |
| Fugro NV | | | (79,690 | ) | | | (2,092,237 | ) | | | 437,018 | |
| Gemalto NV | | | (26,476 | ) | | | (2,036,121 | ) | | | (124,650 | ) |
| Heineken NV | | | (12,683 | ) | | | (944,397 | ) | | | 43,806 | |
| Koninklijke Vopak NV | | | (85,501 | ) | | | (4,297,504 | ) | | | (138,456 | ) |
| OCI NV | | | (25,190 | ) | | | (853,352 | ) | | | (22,501 | ) |
| QIAGEN NV | | | (49,027 | ) | | | (1,118,399 | ) | | | (23,590 | ) |
| Randstad Holding NV | | | (3,071 | ) | | | (138,613 | ) | | | (9,152 | ) |
| SBM Offshore NV | | | (422,406 | ) | | | (5,572,228 | ) | | | 604,362 | |
| TNT Express NV | | | (92,048 | ) | | | (582,039 | ) | | | (31,590 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 241,347 | |
| | | | | | | | | | | | |
| Spain | | | | | | | | | |
| Abertis Infraestructuras SA | | | (17,985 | ) | | | (355,831 | ) | | | (808 | ) |
| Acciona SA | | | (12,364 | ) | | | (827,572 | ) | | | (6,743 | ) |
| Amadeus IT Holding SA | | | (3,904 | ) | | | (146,589 | ) | | | (8,897 | ) |
| Banco Bilbao Vizcaya Argentaria SA | | | (189,502 | ) | | | (1,847,353 | ) | | | 57,429 | |
| Banco de Sabadell SA | | | (1,493,956 | ) | | | (3,835,312 | ) | | | (117,638 | ) |
| Banco Popular Espanol SA | | | (1,046,663 | ) | | | (5,324,533 | ) | | | 107,095 | |
| Bankia SA | | | (1,292,913 | ) | | | (2,062,553 | ) | | | 143,963 | |
| Grifols SA | | | (175,748 | ) | | | (7,246,546 | ) | | | 233,578 | |
| Inditex SA | | | (155,494 | ) | | | (4,226,740 | ) | | | (208,788 | ) |
| Indra Sistemas SA | | | (69,684 | ) | | | (657,070 | ) | | | (19,940 | ) |
| Mapfre SA | | | (871,375 | ) | | | (2,971,564 | ) | | | 26,330 | |
| Mediaset Espana Comunicacion SA | | | (300,993 | ) | | | (3,490,588 | ) | | | (293,515 | ) |
| Obrascon Huarte Lain SA | | | (151,815 | ) | | | (3,647,183 | ) | | | 259,562 | |
| Zardoya Otis SA | | | (57,123 | ) | | | (623,059 | ) | | | (10,413 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 161,215 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom | | | | | | | | | |
| CNH Industrial NV | | | (421,539 | ) | | $ | (3,297,984 | ) | | $ | (114,408 | ) |
| Fiat Chrysler Automobiles NV | | | (136,738 | ) | | | (1,618,414 | ) | | | 29,556 | |
| International Consolidated Airlines Group SA | | | (111,792 | ) | | | (727,490 | ) | | | (105,278 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (190,130 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 770,924 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 5,677,265 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 168,716 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 5,845,981 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Cash held as collateral at J.P. Morgan is included in the collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
181
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| J.P. Morgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | | 12-14 months maturity ranging from 12/28/2015 - 01/19/2016 | | | $1,253,929 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Actelion Ltd. | | | 69,845 | | | $ | 7,659,811 | | | $ | 380,821 | |
| Adecco SA | | | 18,076 | | | | 1,190,622 | | | | 51,909 | |
| Aryzta AG | | | 35,751 | | | | 2,895,611 | | | | (148,164 | ) |
| Baloise Holding AG | | | 12,660 | | | | 1,603,413 | | | | 14,682 | |
| Bucher Industries AG | | | 2,663 | | | | 649,597 | | | | 14,507 | |
| Chocoladefabriken Lindt & Sprungli AG | | | 118 | | | | 575,802 | | | | 7,645 | |
| Flughafen Zuerich AG | | | 514 | | | | 324,356 | | | | 19,387 | |
| Galenica AG | | | 897 | | | | 734,167 | | | | (18,959 | ) |
| GAM Holding AG | | | 39,584 | | | | 663,924 | | | | 47,717 | |
| Geberit AG | | | 1,373 | | | | 449,281 | | | | 15,209 | |
| Givaudan SA | | | 1,999 | | | | 3,305,298 | | | | 280,623 | |
| Helvetia Holding AG | | | 1,333 | | | | 627,082 | | | | 6,292 | |
| Lonza Group AG | | | 51,083 | | | | 5,493,698 | | | | 257,822 | |
| Nestle SA | | | 122,691 | | | | 8,820,360 | | | | 123,939 | |
| Novartis AG | | | 62,212 | | | | 5,713,552 | | | | 56,205 | |
| OC Oerlikon Corp. AG | | | 392,721 | | | | 4,706,458 | | | | 195,928 | |
| Partners Group Holding AG | | | 1,010 | | | | 270,248 | | | | 23,599 | |
| Roche Holding AG | | | 18,149 | | | | 5,264,602 | | | | (347,272 | ) |
| Schindler Holding AG | | | 3,672 | | | | 503,806 | | | | 26,300 | |
| Sika AG | | | 1,074 | | | | 3,864,290 | | | | (696,053 | ) |
| Straumann Holding AG | | | 2,441 | | | | 600,971 | | | | 12,306 | |
| Sulzer AG | | | 4,088 | | | | 444,488 | | | | (7,189 | ) |
| Swiss Life Holding AG | | | 34,240 | | | | 7,534,297 | | | | 558,386 | |
| Swiss Re AG | | | 55,452 | | | | 4,519,246 | | | | 126,063 | |
| Swisscom AG | | | 3,586 | | | | 2,073,763 | | | | (192,054 | ) |
| Zurich Insurance Group AG | | | 160 | | | | 47,319 | | | | 2,682 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 812,331 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 812,331 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | |
| Barry Callebaut AG | | | (246 | ) | | | (257,243 | ) | | | 5,037 | |
| Cie Financiere Richemont SA | | | (45,468 | ) | | | (3,888,391 | ) | | | (142,740 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Switzerland (continued) | | | | | | | | | |
| Clariant AG | | | (85,085 | ) | | $ | (1,479,201 | ) | | $ | 53,444 | |
| Credit Suisse Group AG | | | (465,262 | ) | | | (11,720,949 | ) | | | 32,986 | |
| DKSH Holding AG | | | (4,375 | ) | | | (317,088 | ) | | | (15,977 | ) |
| Dufry AG | | | (116 | ) | | | (16,985 | ) | | | (352 | ) |
| EMS-Chemie Holding AG | | | (588 | ) | | | (226,390 | ) | | | (11,646 | ) |
| Holcim Ltd. | | | (46,699 | ) | | | (3,201,637 | ) | | | (136,602 | ) |
| Julius Baer Group Ltd. | | | (203,633 | ) | | | (8,825,142 | ) | | | (472,336 | ) |
| Kuehne + Nagel International AG | | | (24,259 | ) | | | (3,111,145 | ) | | | (184,086 | ) |
| Panalpina Welttransport Holding AG | | | (154 | ) | | | (19,899 | ) | | | (744 | ) |
| SGS SA | | | (458 | ) | | | (953,527 | ) | | | 18,305 | |
| Sonova Holding AG | | | (17,034 | ) | | | (2,511,382 | ) | | | 8,908 | |
| Swatch Group AG/The | | | (24,165 | ) | | | (11,289,114 | ) | | | 553,656 | |
| Syngenta AG | | | (18,325 | ) | | | (5,888,135 | ) | | | (6,242 | ) |
| Transocean Ltd. | | | (144,531 | ) | | | (3,609,911 | ) | | | 957,783 | |
| UBS Group AG | | | (334,404 | ) | | | (5,555,065 | ) | | | (193,239 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 466,155 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 466,155 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 1,278,486 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (24,557 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 1,253,929 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
182
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| J.P. Morgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap. | | 12-13 months maturity 12/28/2015 | | | $(88,721 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Denmark | | | | | | | | | |
| AP Moeller - Maersk A/S | | | 2,634 | | | $ | 5,259,265 | | | $ | (20,365 | ) |
| Carlsberg A/S | | | 10,647 | | | | 870,801 | | | | (53,113 | ) |
| Coloplast A/S | | | 23,881 | | | | 1,982,689 | | | | 15,780 | |
| Danske Bank A/S | | | 68,909 | | | | 1,806,887 | | | | 56,127 | |
| DSV A/S | | | 80,288 | | | | 2,387,557 | | | | 57,133 | |
| GN Store Nord A/S | | | 59,165 | | | | 1,223,249 | | | | 69,378 | |
| Jyske Bank A/S | | | 16,731 | | | | 821,751 | | | | 23,941 | |
| Novo Nordisk A/S | | | 79,155 | | | | 3,357,448 | | | | (9,208 | ) |
| Pandora A/S | | | 21,393 | | | | 1,717,244 | | | | 16,812 | |
| TDC A/S | | | 445,845 | | | | 3,464,150 | | | | (63,732 | ) |
| Tryg A/S | | | 7,646 | | | | 846,733 | | | | 7,607 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 100,360 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 100,360 | |
| | | | | | | | | | | | |
| | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Denmark | | | | | | | | | | | | |
| Chr Hansen Holding A/S | | | (14,378 | ) | | | (602,713 | ) | | | (34,281 | ) |
| FLSmidth & Co. A/S | | | (89,764 | ) | | | (3,651,175 | ) | | | (284,191 | ) |
| H Lundbeck A/S | | | (5,509 | ) | | | (110,074 | ) | | | 724 | |
| Novozymes A/S | | | (76,665 | ) | | | (3,441,786 | ) | | | 214,683 | |
| Vestas Wind Systems A/S | | | (106,084 | ) | | | (3,921,755 | ) | | | 69,131 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Denmark (continued) | | | | | | | | | |
| William Demant Holding A/S | | | (15,151 | ) | | $ | (1,051,892 | ) | | $ | (96,878 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (130,812 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (130,812 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (30,452 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (58,269 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (88,721 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
183
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| J.P. Morgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate, plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | | 12-14 months maturity ranging from 12/25/2015 - 01/26/2016 | | | $(965,622 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| Air Water, Inc. | | | 9,000 | | | $ | 143,779 | | | $ | (1,224 | ) |
| Aisin Seiki Co., Ltd. | | | 25,700 | | | | 871,032 | | | | 52,328 | |
| Ajinomoto Co., Inc. | | | 108,000 | | | | 2,060,338 | | | | (49,713 | ) |
| Alfresa Holdings Corp. | | | 108,500 | | | | 1,239,365 | | | | 70,877 | |
| Amada Co., Ltd. | | | 23,500 | | | | 200,724 | | | | 643 | |
| ANA Holdings, Inc. | | | 344,000 | | | | 788,305 | | | | 62,280 | |
| Asahi Group Holdings Ltd. | | | 20,600 | | | | 627,237 | | | | 10,053 | |
| Asahi Kasei Corp. | | | 815,000 | | | | 6,866,609 | | | | 568,172 | |
| Astellas Pharma, Inc. | | | 384,600 | | | | 5,664,303 | | | | (309,862 | ) |
| Azbil Corp. | | | 8,800 | | | | 202,468 | | | | 269 | |
| Bandai Namco Holdings, Inc. | | | 313,700 | | | | 6,603,476 | | | | 37,957 | |
| Bank of Kyoto Ltd./The | | | 14,000 | | | | 117,324 | | | | (289 | ) |
| Bank of Yokohama Ltd./The | | | 427,000 | | | | 2,404,182 | | | | (85,022 | ) |
| Benesse Holdings, Inc. | | | 29,000 | | | | 888,650 | | | | (28,134 | ) |
| Bridgestone Corp. | | | 49,200 | | | | 1,609,456 | | | | 96,813 | |
| Brother Industries Ltd. | | | 100,000 | | | | 1,787,723 | | | | 25,013 | |
| Calbee, Inc. | | | 58,800 | | | | 2,101,844 | | | | (76,372 | ) |
| Canon, Inc. | | | 11,100 | | | | 343,901 | | | | 8,858 | |
| Central Japan Railway Co. | | | 31,400 | | | | 4,591,861 | | | | 114,256 | |
| Chiba Bank Ltd./The | | | 397,000 | | | | 2,658,489 | | | | (56,986 | ) |
| Chiyoda Corp. | | | 117,000 | | | | 1,061,077 | | | | (91,733 | ) |
| Chubu Electric Power Co., Inc. | | | 58,900 | | | | 688,289 | | | | 3,846 | |
| Chugai Pharmaceutical Co., Ltd. | | | 112,400 | | | | 3,076,855 | | | | (317,168 | ) |
| Chugoku Bank Ltd./The | | | 30,700 | | | | 425,968 | | | | (7,498 | ) |
| Citizen Holdings Co., Ltd. | | | 211,800 | | | | 1,583,917 | | | | 45,757 | |
| Coca-Cola West Co., Ltd. | | | 17,500 | | | | 239,068 | | | | 2,239 | |
| COMSYS Holdings Corp. | | | 9,700 | | | | 145,018 | | | | (12,324 | ) |
| Dai Nippon Printing Co., Ltd. | | | 518,000 | | | | 4,554,978 | | | | 110,414 | |
| Daicel Corp. | | | 172,000 | | | | 1,958,920 | | | | 50,124 | |
| Daiwa House Industry Co., Ltd. | | | 50,200 | | | | 942,664 | | | | 5,677 | |
| Daiwa Securities Group, Inc. | | | 9,000 | | | | 73,177 | | | | (2,706 | ) |
| Denso Corp. | | | 24,800 | | | | 1,146,045 | | | | 9,829 | |
| Dentsu, Inc. | | | 100,700 | | | | 3,767,626 | | | | 465,945 | |
| DIC Corp. | | | 46,000 | | | | 101,459 | | | | 8,817 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Don Quijote Holdings Co., Ltd. | | | 27,200 | | | $ | 1,712,130 | | | $ | 157,777 | |
| East Japan Railway Co. | | | 17,200 | | | | 1,283,000 | | | | 13,379 | |
| FamilyMart Co., Ltd. | | | 20,400 | | | | 757,647 | | | | 10,695 | |
| Fuji Electric Co., Ltd. | | | 803,000 | | | | 3,455,792 | | | | (254,324 | ) |
| Fuji Heavy Industries Ltd. | | | 150,100 | | | | 5,327,027 | | | | (15,591 | ) |
| FUJIFILM Holdings Corp. | | | 138,400 | | | | 4,662,828 | | | | (439,751 | ) |
| Fujitsu Ltd. | | | 1,698,000 | | | | 9,616,764 | | | | (563,595 | ) |
| Fukuoka Financial Group, Inc. | | | 972,000 | | | | 5,223,550 | | | | (212,435 | ) |
| Gree, Inc. | | | 74,000 | | | | 467,289 | | | | (21,822 | ) |
| GungHo Online Entertainment, Inc. | | | 56,100 | | | | 211,496 | | | | (8,386 | ) |
| Hakuhodo DY Holdings, Inc. | | | 95,100 | | | | 911,811 | | | | (1,711 | ) |
| Hikari Tsushin, Inc. | | | 13,800 | | | | 906,823 | | | | (67,469 | ) |
| Hino Motors Ltd. | | | 126,300 | | | | 1,653,912 | | | | 8,615 | |
| Hirose Electric Co., Ltd. | | | 8,400 | | | | 1,047,657 | | | | (73,063 | ) |
| Hisamitsu Pharmaceutical Co., Inc. | | | 500 | | | | 15,416 | | | | 351 | |
| Hitachi Chemical Co., Ltd. | | | 85,000 | | | | 1,553,605 | | | | (51,926 | ) |
| Hitachi High-Technologies Corp. | | | 76,200 | | | | 2,204,323 | | | | (15,350 | ) |
| Hoya Corp. | | | 201,400 | | | | 7,174,410 | | | | (362,087 | ) |
| Ibiden Co., Ltd. | | | 26,000 | | | | 383,382 | | | | 538 | |
| Idemitsu Kosan Co., Ltd. | | | 25,900 | | | | 449,284 | | | | (21,589 | ) |
| Inpex Corp. | | | 29,100 | | | | 343,914 | | | | (19,945 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | 8,200 | | | | 100,045 | | | | 1,423 | |
| Isuzu Motors Ltd. | | | 46,400 | | | | 517,565 | | | | 47,601 | |
| ITOCHU Corp. | | | 241,700 | | | | 2,664,027 | | | | (83,856 | ) |
| Itochu Techno-Solutions Corp. | | | 400 | | | | 15,915 | | | | (1,801 | ) |
| J. Front Retailing Co., Ltd. | | | 252,500 | | | | 3,243,834 | | | | (319,382 | ) |
| Japan Airlines Co., Ltd. | | | 126,000 | | | | 3,491,273 | | | | 244,508 | |
| Japan Petroleum Exploration Co., Ltd. | | | 22,600 | | | | 702,629 | | | | 7,400 | |
| Japan Tobacco, Inc. | | | 99,300 | | | | 3,234,810 | | | | (502,006 | ) |
| JGC Corp. | | | 343,000 | | | | 7,499,075 | | | | (437,802 | ) |
| JSR Corp. | | | 17,400 | | | | 292,739 | | | | 5,920 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
184
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| JTEKT Corp. | | | 369,000 | | | $ | 5,795,716 | | | $ | 414,479 | |
| Kajima Corp. | | | 484,000 | | | | 1,897,920 | | | | 92,450 | |
| Kamigumi Co., Ltd. | | | 29,000 | | | | 266,256 | | | | (7,929 | ) |
| Kaneka Corp. | | | 63,000 | | | | 325,342 | | | | 12,226 | |
| Kansai Electric Power Co., Inc./The | | | 92,800 | | | | 944,300 | | | | (61,484 | ) |
| Kao Corp. | | | 75,800 | | | | 2,853,201 | | | | 135,830 | |
| Kawasaki Heavy Industries Ltd. | | | 506,000 | | | | 2,105,506 | | | | 195,551 | |
| KDDI Corp. | | | 74,600 | | | | 4,789,830 | | | | (103,156 | ) |
| Keio Corp. | | | 36,000 | | | | 263,020 | | | | (4,051 | ) |
| Keisei Electric Railway Co., Ltd. | | | 115,000 | | | | 1,299,852 | | | | 98,487 | |
| Kinden Corp. | | | 67,000 | | | | 643,644 | | | | 33,102 | |
| Kirin Holdings Co., Ltd. | | | 59,100 | | | | 742,448 | | | | (8,125 | ) |
| Kobayashi Pharmaceutical Co., Ltd. | | | 2,100 | | | | 121,074 | | | | 1,119 | |
| Kobe Steel Ltd. | | | 651,000 | | | | 1,018,529 | | | | 102,818 | |
| Konami Corp. | | | 19,600 | | | | 361,837 | | | | (2,503 | ) |
| Konica Minolta, Inc. | | | 683,300 | | | | 7,660,013 | | | | (214,758 | ) |
| Kurita Water Industries Ltd. | | | 57,800 | | | | 1,191,705 | | | | 13,548 | |
| Kyowa Hakko Kirin Co., Ltd. | | | 109,000 | | | | 1,185,944 | | | | (159,592 | ) |
| Lawson, Inc. | | | 5,400 | | | | 330,860 | | | | (4,548 | ) |
| Mabuchi Motor Co., Ltd. | | | 25,800 | | | | 1,027,702 | | | | (3,683 | ) |
| Marubeni Corp. | | | 309,000 | | | | 1,868,095 | | | | (19,231 | ) |
| Maruichi Steel Tube Ltd. | | | 10,100 | | | | 215,728 | | | | (766 | ) |
| Medipal Holdings Corp. | | | 131,800 | | | | 1,444,423 | | | | 94,960 | |
| MEIJI Holdings Co., Ltd. | | | 25,300 | | | | 2,265,554 | | | | 36,220 | |
| Miraca Holdings, Inc. | | | 34,400 | | | | 1,335,142 | | | | 144,708 | |
| Mitsubishi Chemical Holdings Corp. | | | 326,100 | | | | 1,596,573 | | | | (14,827 | ) |
| Mitsubishi Corp. | | | 47,500 | | | | 900,148 | | | | (30,892 | ) |
| Mitsubishi Electric Corp. | | | 755,000 | | | | 8,843,506 | | | | 124,429 | |
| Mitsubishi Heavy Industries Ltd. | | | 355,000 | | | | 2,004,437 | | | | (45,338 | ) |
| Mitsubishi Materials Corp. | | | 153,000 | | | | 466,070 | | | | 41,496 | |
| Mitsubishi Motors Corp. | | | 223,200 | | | | 2,216,801 | | | | (177,765 | ) |
| Mitsubishi Tanabe Pharma Corp. | | | 100,800 | | | | 1,535,159 | | | | (57,571 | ) |
| Mitsubishi UFJ Financial Group, Inc. | | | 847,200 | | | | 4,749,581 | | | | (94,870 | ) |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | 192,800 | | | | 899,290 | | | | 7,415 | |
| Mitsui & Co., Ltd. | | | 140,500 | | | | 1,902,844 | | | | (21,109 | ) |
| Mizuho Financial Group, Inc. | | | 106,100 | | | | 180,412 | | | | (2,556 | ) |
| Murata Manufacturing Co., Ltd. | | | 27,400 | | | | 2,951,323 | | | | 38,592 | |
| Nagoya Railroad Co., Ltd. | | | 122,000 | | | | 490,978 | | | | (36,744 | ) |
| NET One Systems Co., Ltd. | | | 31,800 | | | | 181,980 | | | | 5,399 | |
| Nexon Co., Ltd. | | | 37,800 | | | | 339,629 | | | | 12,739 | |
| NH Foods Ltd. | | | 72,000 | | | | 1,531,238 | | | | 44,000 | |
| NHK Spring Co., Ltd. | | | 228,100 | | | | 1,865,421 | | | | 119,359 | |
| Nippon Express Co., Ltd. | | | 324,000 | | | | 1,495,355 | | | | 146,606 | |
| Nippon Kayaku Co., Ltd. | | | 12,000 | | | | 151,284 | | | | (2,045 | ) |
| Nippon Shokubai Co., Ltd. | | | 27,000 | | | | 326,184 | | | | 27,516 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Nippon Steel & Sumitomo Metal Corp. | | | 337,000 | | | $ | 869,222 | | | $ | (33,249 | ) |
| Nippon Yusen KK | | | 516,000 | | | | 1,352,106 | | | | 105,341 | |
| Nishi-Nippon City Bank Ltd./The | | | 298,000 | | | | 848,577 | | | | 8,872 | |
| Nisshin Seifun Group, Inc. | | | 43,095 | | | | 429,992 | | | | (12,790 | ) |
| Nissin Foods Holdings Co., Ltd. | | | 3,000 | | | | 152,869 | | | | (9,880 | ) |
| NOK Corp. | | | 9,300 | | | | 222,208 | | | | 14,510 | |
| Nomura Holdings, Inc. | | | 17,800 | | | | 105,490 | | | | (4,760 | ) |
| NSK Ltd. | | | 223,000 | | | | 2,688,658 | | | | (55,753 | ) |
| NTT Data Corp. | | | 12,700 | | | | 474,984 | | | | (1,848 | ) |
| NTT DOCOMO, Inc. | | | 143,600 | | | | 2,216,840 | | | | (125,585 | ) |
| Oji Holdings Corp. | | | 43,000 | | | | 155,943 | | | | (2,093 | ) |
| Omron Corp. | | | 121,700 | | | | 5,537,552 | | | | (93,242 | ) |
| Oracle Corp. Japan | | | 2,800 | | | | 101,860 | | | | 12,229 | |
| Osaka Gas Co., Ltd. | | | 852,000 | | | | 3,212,906 | | | | (30,727 | ) |
| Otsuka Corp. | | | 57,600 | | | | 1,903,720 | | | | (77,507 | ) |
| Otsuka Holdings Co., Ltd. | | | 62,700 | | | | 2,068,374 | | | | (188,657 | ) |
| Panasonic Corp. | | | 916,000 | | | | 11,190,288 | | | | (401,239 | ) |
| Park24 Co., Ltd. | | | 20,200 | | | | 292,238 | | | | 5,134 | |
| Resona Holdings, Inc. | | | 1,556,400 | | | | 8,315,472 | | | | (453,314 | ) |
| Rohm Co., Ltd. | | | 147,300 | | | | 9,298,350 | | | | (423,044 | ) |
| Sankyo Co., Ltd. | | | 51,200 | | | | 1,653,450 | | | | 102,906 | |
| Sanrio Co., Ltd. | | | 6,300 | | | | 160,010 | | | | (4,352 | ) |
| Santen Pharmaceutical Co., Ltd. | | | 23,200 | | | | 1,307,527 | | | | (58,560 | ) |
| Secom Co., Ltd. | | | 97,900 | | | | 5,536,481 | | | | 88,325 | |
| Sega Sammy Holdings, Inc. | | | 86,500 | | | | 1,167,842 | | | | (61,146 | ) |
| Seiko Epson Corp. | | | 45,600 | | | | 2,090,777 | | | | (182,680 | ) |
| Sekisui Chemical Co., Ltd. | | | 431,000 | | | | 5,121,410 | | | | 63,939 | |
| Seven & i Holdings Co., Ltd. | | | 171,900 | | | | 6,415,184 | | | | (231,710 | ) |
| Seven Bank Ltd. | | | 42,200 | | | | 180,485 | | | | (3,351 | ) |
| Shimamura Co., Ltd. | | | 23,000 | | | | 1,922,702 | | | | 62,128 | |
| Shimizu Corp. | | | 44,000 | | | | 298,611 | | | | 240 | |
| Shin-Etsu Chemical Co., Ltd. | | | 52,900 | | | | 3,454,017 | | | | (10,239 | ) |
| Shionogi & Co., Ltd. | | | 93,800 | | | | 2,298,711 | | | | 124,692 | |
| Shiseido Co., Ltd. | | | 38,200 | | | | 556,860 | | | | (21,128 | ) |
| Shizuoka Bank Ltd./The | | | 46,000 | | | | 438,384 | | | | (17,746 | ) |
| Showa Denko KK | | | 62,000 | | | | 81,409 | | | | (5,095 | ) |
| Showa Shell Sekiyu KK | | | 81,400 | | | | 678,794 | | | | 122,968 | |
| Sojitz Corp. | | | 451,700 | | | | 607,893 | | | | 22,905 | |
| Sony Corp. | | | 165,500 | | | | 3,269,253 | | | | 108,478 | |
| Stanley Electric Co., Ltd. | | | 1,900 | | | | 39,391 | | | | 1,637 | |
| Sumitomo Corp. | | | 127,100 | | | | 1,329,498 | | | | (24,093 | ) |
| Sumitomo Electric Industries Ltd. | | | 166,800 | | | | 2,095,061 | | | | (11,850 | ) |
| Sumitomo Heavy Industries Ltd. | | | 1,127,000 | | | | 6,160,171 | | | | (98,055 | ) |
| Sumitomo Osaka Cement Co., Ltd. | | | 26,000 | | | | 73,912 | | | | 345 | |
| Sumitomo Rubber Industries Ltd. | | | 22,300 | | | | 317,279 | | | | 14,216 | |
| Suzuken Co., Ltd. | | | 20,300 | | | | 516,510 | | | | 44,245 | |
| Suzuki Motor Corp. | | | 156,800 | | | | 4,836,113 | | | | (137,232 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
185
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| T&D Holdings, Inc. | | | 33,300 | | | $ | 393,576 | | | $ | 5,619 | |
| Taisei Corp. | | | 886,000 | | | | 4,547,440 | | | | 477,963 | |
| Taisho Pharmaceutical Holdings Co., Ltd. | | | 3,300 | | | | 206,766 | | | | (5,135 | ) |
| Takashimaya Co., Ltd. | | | 452,000 | | | | 3,813,973 | | | | (204,894 | ) |
| TDK Corp. | | | 19,900 | | | | 1,163,608 | | | | 8,412 | |
| Teijin Ltd. | | | 145,000 | | | | 382,044 | | | | 3,352 | |
| THK Co., Ltd. | | | 152,900 | | | | 3,559,896 | | | | 114,581 | |
| Tobu Railway Co., Ltd. | | | 61,000 | | | | 283,834 | | | | (22,989 | ) |
| Toho Co., Ltd. | | | 21,600 | | | | 475,037 | | | | 15,057 | |
| Toho Gas Co., Ltd. | | | 7,000 | | | | 35,125 | | | | (878 | ) |
| Tohoku Electric Power Co., Inc. | | | 124,600 | | | | 1,498,551 | | | | (48,645 | ) |
| Tokio Marine Holdings, Inc. | | | 2,800 | | | | 89,528 | | | | 1,410 | |
| Tokyo Electric Power Co., Inc. | | | 1,057,700 | | | | 3,887,503 | | | | 414,495 | |
| Tokyo Gas Co., Ltd. | | | 704,000 | | | | 3,763,202 | | | | 35,346 | |
| Tokyo Steel Manufacturing Co., Ltd. | | | 69,400 | | | | 362,269 | | | | 64,582 | |
| Tokyu Corp. | | | 34,000 | | | | 207,567 | | | | 3,113 | |
| Toppan Printing Co., Ltd. | | | 400,000 | | | | 2,576,173 | | | | 22,806 | |
| TOTO Ltd. | | | 24,000 | | | | 274,433 | | | | 4,752 | |
| Toyo Seikan Group Holdings Ltd. | | | 209,300 | | | | 2,501,532 | | | | 98,295 | |
| Toyo Suisan Kaisha Ltd. | | | 23,000 | | | | 778,288 | | | | (37,714 | ) |
| Toyoda Gosei Co., Ltd. | | | 4,800 | | | | 89,584 | | | | 6,964 | |
| Toyota Boshoku Corp. | | | 16,300 | | | | 190,598 | | | | 25,798 | |
| Toyota Tsusho Corp. | | | 2,900 | | | | 67,285 | | | | 81 | |
| Trend Micro, Inc. | | | 4,800 | | | | 145,732 | | | | (13,112 | ) |
| USS Co., Ltd. | | | 136,500 | | | | 2,018,957 | | | | 78,324 | |
| West Japan Railway Co. | | | 66,200 | | | | 3,162,539 | | | | (32,718 | ) |
| Yamaha Corp. | | | 137,300 | | | | 1,954,286 | | | | 69,502 | |
| Yamato Kogyo Co., Ltd. | | | 2,600 | | | | 73,723 | | | | (1,005 | ) |
| Yamazaki Baking Co., Ltd. | | | 25,000 | | | | 317,564 | | | | (9,100 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,198,595 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (2,198,595 | ) |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Japan | | | | | | | | | | | | |
| ABC-Mart, Inc. | | | (53,549 | ) | | | (2,583,032 | ) | | | (8,109 | ) |
| Acom Co., Ltd. | | | (1,023,430 | ) | | | (3,098,172 | ) | | | (26,207 | ) |
| Advantest Corp. | | | (443,796 | ) | | | (5,170,712 | ) | | | (329,853 | ) |
| Aeon Co., Ltd. | | | (166,900 | ) | | | (1,581,073 | ) | | | (96,188 | ) |
| AEON Financial Service Co., Ltd. | | | (316,700 | ) | | | (6,577,991 | ) | | | 322,875 | |
| Aozora Bank Ltd. | | | (124,000 | ) | | | (401,785 | ) | | | 17,961 | |
| Asahi Glass Co., Ltd. | | | (415,000 | ) | | | (1,979,012 | ) | | | (41,107 | ) |
| Asics Corp. | | | (186,500 | ) | | | (4,708,308 | ) | | | 218,447 | |
| Casio Computer Co., Ltd. | | | (7,800 | ) | | | (123,381 | ) | | | 4,061 | |
| Chugoku Electric Power Co., Inc./The | | | (116,100 | ) | | | (1,532,460 | ) | | | 14,513 | |
| Credit Saison Co., Ltd. | | | (159,713 | ) | | | (3,051,700 | ) | | | 81,613 | |
| Daido Steel Co., Ltd. | | | (158,000 | ) | | | (573,683 | ) | | | (23,075 | ) |
| Daihatsu Motor Co., Ltd. | | | (15,900 | ) | | | (202,610 | ) | | | (5,058 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Dai-ichi Life Insurance Co., Ltd./The | | | (51,100 | ) | | $ | (726,486 | ) | | $ | (49,204 | ) |
| Daiichi Sankyo Co., Ltd. | | | (117,800 | ) | | | (1,688,780 | ) | | | 41,611 | |
| Daikin Industries Ltd. | | | (141,500 | ) | | | (8,521,409 | ) | | | (552,148 | ) |
| Dena Co., Ltd. | | | (115,100 | ) | | | (1,466,696 | ) | | | 91,779 | |
| Disco Corp. | | | (35,100 | ) | | | (2,651,713 | ) | | | (155,675 | ) |
| Eisai Co., Ltd. | | | (9,700 | ) | | | (349,996 | ) | | | (25,134 | ) |
| Electric Power Development Co., Ltd. | | | (23,700 | ) | | | (802,169 | ) | | | 1,323 | |
| FANUC Corp. | | | (18,400 | ) | | | (3,100,373 | ) | | | 66,574 | |
| Fast Retailing Co., Ltd. | | | (33,200 | ) | | | (11,915,063 | ) | | | (166,256 | ) |
| Furukawa Electric Co., Ltd. | | | (101,000 | ) | | | (161,895 | ) | | | (5,656 | ) |
| GS Yuasa Corp. | | | (977,853 | ) | | | (4,530,922 | ) | | | 373,341 | |
| Hamamatsu Photonics KK | | | (13,600 | ) | | | (689,950 | ) | | | 42,549 | |
| Hitachi Capital Corp. | | | (45,700 | ) | | | (997,940 | ) | | | (7,891 | ) |
| Hitachi Construction Machinery Co., Ltd. | | | (179,895 | ) | | | (3,690,587 | ) | | | (112,965 | ) |
| Hitachi Ltd. | | | (884,000 | ) | | | (6,556,513 | ) | | | 31,916 | |
| Hitachi Metals Ltd. | | | (193,000 | ) | | | (3,172,714 | ) | | | (106,526 | ) |
| Hokkaido Electric Power Co., Inc. | | | (343,295 | ) | | | (2,747,499 | ) | | | (562 | ) |
| Hokuriku Electric Power Co. | | | (8,024 | ) | | | (104,583 | ) | | | 2,113 | |
| Honda Motor Co., Ltd. | | | (73,000 | ) | | | (2,227,010 | ) | | | 85,391 | |
| IHI Corp. | | | (25,000 | ) | | | (121,785 | ) | | | (4,826 | ) |
| Japan Display, Inc. | | | (895,600 | ) | | | (2,980,183 | ) | | | 246,818 | |
| Japan Steel Works Ltd./The | | | (295,000 | ) | | | (1,032,919 | ) | | | (10,829 | ) |
| JFE Holdings, Inc. | | | (39,200 | ) | | | (800,819 | ) | | | (73,376 | ) |
| Joyo Bank Ltd./The | | | (11,000 | ) | | | (53,336 | ) | | | (1,135 | ) |
| JX Holdings, Inc. | | | (26,400 | ) | | | (98,311 | ) | | | (4,428 | ) |
| Kakaku.com, Inc. | | | (191,400 | ) | | | (2,740,781 | ) | | | 2,477 | |
| Kansai Paint Co., Ltd. | | | (206,000 | ) | | | (3,117,055 | ) | | | (74,292 | ) |
| Keikyu Corp. | | | (167,000 | ) | | | (1,287,308 | ) | | | 51,710 | |
| Keyence Corp. | | | (1,100 | ) | | | (510,696 | ) | | | 20,542 | |
| Kikkoman Corp. | | | (51,000 | ) | | | (1,245,886 | ) | | | (4,075 | ) |
| Kintetsu Corp. | | | (415,000 | ) | | | (1,407,275 | ) | | | 42,794 | |
| Koito Manufacturing Co., Ltd. | | | (26,700 | ) | | | (774,702 | ) | | | (42,098 | ) |
| Komatsu Ltd. | | | (298,400 | ) | | | (6,741,963 | ) | | | 144,956 | |
| Kubota Corp. | | | (640,000 | ) | | | (9,692,996 | ) | | | 403,538 | |
| Kuraray Co., Ltd. | | | (117,300 | ) | | | (1,367,217 | ) | | | 34,528 | |
| Kyocera Corp. | | | (46,700 | ) | | | (2,197,584 | ) | | | 60,609 | |
| Kyushu Electric Power Co., Inc. | | | (477,600 | ) | | | (4,992,311 | ) | | | 209,050 | |
| LIXIL Group Corp. | | | (349,300 | ) | | | (7,164,627 | ) | | | (186,654 | ) |
| M3, Inc. | | | (240,200 | ) | | | (3,975,518 | ) | | | (43,510 | ) |
| Makita Corp. | | | (85,500 | ) | | | (4,442,195 | ) | | | 589,395 | |
| Marui Group Co., Ltd. | | | (58,600 | ) | | | (519,553 | ) | | | (9,002 | ) |
| Mazda Motor Corp. | | | (280,200 | ) | | | (6,931,100 | ) | | | 201,935 | |
| Mitsubishi Gas Chemical Co., Inc. | | | (318,000 | ) | | | (1,851,403 | ) | | | 255,395 | |
| Mitsubishi Logistics Corp. | | | (100,000 | ) | | | (1,548,673 | ) | | | 94,287 | |
| Mitsui Chemicals, Inc. | | | (1,494,025 | ) | | | (4,108,998 | ) | | | (122,646 | ) |
| Mitsui OSK Lines Ltd. | | | (561,000 | ) | | | (1,639,500 | ) | | | (22,599 | ) |
| MS&AD Insurance Group Holdings, Inc. | | | (29,000 | ) | | | (628,851 | ) | | | (58,397 | ) |
| Nabtesco Corp. | | | (149,503 | ) | | | (3,532,110 | ) | | | (81,176 | ) |
| Nachi-Fujikoshi Corp. | | | (9,000 | ) | | | (52,130 | ) | | | (3,153 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
186
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| NGK Insulators Ltd. | | | (194,000 | ) | | $ | (4,399,700 | ) | | $ | 423,030 | |
| NGK Spark Plug Co., Ltd. | | | (13,800 | ) | | | (398,728 | ) | | | (20,591 | ) |
| Nidec Corp. | | | (167,600 | ) | | | (10,559,249 | ) | | | (265,307 | ) |
| Nikon Corp. | | | (241,995 | ) | | | (3,429,632 | ) | | | 214,267 | |
| Nintendo Co., Ltd. | | | (4,400 | ) | | | (460,609 | ) | | | 1,436 | |
| Nippon Electric Glass Co., Ltd. | | | (118,000 | ) | | | (518,225 | ) | | | (12,726 | ) |
| Nippon Paint Holdings Co., Ltd. | | | (51,000 | ) | | | (1,199,295 | ) | | | (278,583 | ) |
| Nissan Motor Co., Ltd. | | | (576,000 | ) | | | (5,182,940 | ) | | | 159,201 | |
| Nitori Holdings Co., Ltd. | | | (49,700 | ) | | | (2,894,603 | ) | | | 224,296 | |
| Nitto Denko Corp. | | | (58,900 | ) | | | (3,075,978 | ) | | | (215,090 | ) |
| Nomura Research Institute Ltd. | | | (7,300 | ) | | | (219,120 | ) | | | (4,152 | ) |
| NTN Corp. | | | (54,402 | ) | | | (241,553 | ) | | | 1,303 | |
| Obayashi Corp. | | | (115,000 | ) | | | (729,229 | ) | | | (12,083 | ) |
| Odakyu Electric Railway Co., Ltd. | | | (38,000 | ) | | | (345,904 | ) | | | 9,296 | |
| Olympus Corp. | | | (52,700 | ) | | | (1,851,846 | ) | | | 5,747 | |
| Ono Pharmaceutical Co., Ltd. | | | (52,545 | ) | | | (4,618,644 | ) | | | (33,454 | ) |
| Oriental Land Co., Ltd. | | | (8,000 | ) | | | (1,671,878 | ) | | | (173,034 | ) |
| Rakuten, Inc. | | | (823,668 | ) | | | (11,029,871 | ) | | | (423,748 | ) |
| Ricoh Co., Ltd. | | | (196,500 | ) | | | (2,051,118 | ) | | | 64,688 | |
| Rinnai Corp. | | | (13,700 | ) | | | (1,031,340 | ) | | | 110,806 | |
| Sharp Corp. | | | (1,754,000 | ) | | | (4,221,717 | ) | | | 341,349 | |
| Shikoku Electric Power Co., Inc. | | | (324,173 | ) | | | (4,083,446 | ) | | | 151,329 | |
| Shimadzu Corp. | | | (17,000 | ) | | | (166,611 | ) | | | (6,313 | ) |
| Shimano, Inc. | | | (12,000 | ) | | | (1,550,526 | ) | | | (3,705 | ) |
| Shinsei Bank Ltd. | | | (1,178,000 | ) | | | (2,185,062 | ) | | | 134,849 | |
| SMC Corp. | | | (14,200 | ) | | | (3,779,759 | ) | | | 56,177 | |
| SoftBank Corp. | | | (112,400 | ) | | | (7,169,443 | ) | | | 479,025 | |
| Sompo Japan Nipponkoa Holdings, Inc. | | | (4,700 | ) | | | (113,254 | ) | | | (4,940 | ) |
| Sony Financial Holdings, Inc. | | | (40,800 | ) | | | (588,076 | ) | | | (12,709 | ) |
| Sumco Corp. | | | (391,200 | ) | | | (4,954,673 | ) | | | (645,770 | ) |
| Sumitomo Chemical Co., Ltd. | | | (7,000 | ) | | | (24,789 | ) | | | (2,768 | ) |
| Sumitomo Dainippon Pharma Co., Ltd. | | | (63,200 | ) | | | (663,207 | ) | | | 51,186 | |
| Sumitomo Mitsui Financial Group, Inc. | | | (32,900 | ) | | | (1,232,901 | ) | | | 43,476 | |
| Sumitomo Mitsui Trust Holdings, Inc. | | | (843,000 | ) | | | (3,317,228 | ) | | | 88,294 | |
| Suruga Bank Ltd. | | | (44,200 | ) | | | (834,186 | ) | | | 21,923 | |
| Sysmex Corp. | | | (72,500 | ) | | | (2,978,097 | ) | | | (239,634 | ) |
| Taiheiyo Cement Corp. | | | (56,923 | ) | | | (173,415 | ) | | | (5,174 | ) |
| Taiyo Nippon Sanso Corp. | | | (204,516 | ) | | | (2,216,488 | ) | | | (34,947 | ) |
| Takara Bio, Inc. | | | (29,100 | ) | | | (376,281 | ) | | | 34,827 | |
| Takeda Pharmaceutical Co., Ltd. | | | (17,500 | ) | | | (726,687 | ) | | | 2,226 | |
| Terumo Corp. | | | (229,900 | ) | | | (5,216,203 | ) | | | (1,668 | ) |
| Tokai Carbon Co., Ltd. | | | (85,000 | ) | | | (232,082 | ) | | | (16,182 | ) |
| TonenGeneral Sekiyu KK | | | (18,000 | ) | | | (151,068 | ) | | | (2,574 | ) |
| Toshiba Corp. | | | (1,751,398 | ) | | | (7,379,352 | ) | | | (6,821 | ) |
| Toyota Industries Corp. | | | (33,500 | ) | | | (1,625,244 | ) | | | (91,690 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Japan (continued) | | | | | | | | | |
| Toyota Motor Corp. | | | (17,300 | ) | | $ | (1,028,640 | ) | | $ | (49,451 | ) |
| Tsumura & Co. | | | (133,800 | ) | | | (3,014,068 | ) | | | 55,331 | |
| Ube Industries Ltd. | | | (123,000 | ) | | | (178,327 | ) | | | (4,553 | ) |
| Unicharm Corp. | | | (75,800 | ) | | | (1,734,633 | ) | | | (82,201 | ) |
| Yahoo Japan Corp. | | | (2,569,500 | ) | | | (9,417,413 | ) | | | 208,518 | |
| Yakult Honsha Co., Ltd. | | | (22,968 | ) | | | (1,265,125 | ) | | | 52,761 | |
| Yamada Denki Co., Ltd. | | | (2,446,070 | ) | | | (8,155,741 | ) | | | (51,121 | ) |
| Yamaha Motor Co., Ltd. | | | (94,519 | ) | | | (1,981,491 | ) | | | 90,512 | |
| Yamato Holdings Co., Ltd. | | | (45,500 | ) | | | (1,002,714 | ) | | | 101,736 | |
| Yaskawa Electric Corp. | | | (679,700 | ) | | | (8,248,916 | ) | | | (432,980 | ) |
| Yokogawa Electric Corp. | | | (72,900 | ) | | | (903,080 | ) | | | 103,144 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,397,055 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 1,397,055 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (801,540 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (164,082 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (965,622 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
187
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| J.P. Morgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate, plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap. | | 12-14 months maturity ranging from
12/28/2015 - 01/19/2016 | | | $916,236 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | | | | |
| | | |
| Norway | | | | | | | | | | | | |
| Aker Solutions ASA | | | 26,014 | | | $ | 130,887 | | | $ | 13,810 | |
| DNB ASA | | | 342,778 | | | | 5,555,545 | | | | (499,356 | ) |
| Fred Olsen Energy ASA | | | 7,654 | | | | 58,030 | | | | 12,008 | |
| Gjensidige Forsikring ASA | | | 38,950 | | | | 653,483 | | | | (17,920 | ) |
| Norsk Hydro ASA | | | 255,480 | | | | 1,386,789 | | | | 52,339 | |
| Orkla ASA | | | 159,680 | | | | 1,137,174 | | | | (50,157 | ) |
| Statoil ASA | | | 155,652 | | | | 3,157,647 | | | | (417,108 | ) |
| Telenor ASA | | | 197,181 | | | | 4,109,388 | | | | (120,690 | ) |
| Yara International ASA | | | 81,699 | | | | 3,479,386 | | | | 158,866 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (868,208 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (868,208 | ) |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Norway | | | | | | | | | | | | |
| Marine Harvest ASA | | | (132,068 | ) | | | (1,783,925 | ) | | | (29,424 | ) |
| Petroleum Geo-Services ASA | | | (37,037 | ) | | | (206,676 | ) | | | (1,822 | ) |
| Schibsted ASA | | | (41,724 | ) | | | (2,568,011 | ) | | | (78,098 | ) |
| Seadrill Ltd. | | | (392,106 | ) | | | (6,638,683 | ) | | | 2,101,951 | |
| Storebrand ASA | | | (22,769 | ) | | | (104,930 | ) | | | 15,987 | |
| TGS Nopec Geophysical Co. ASA | | | (140,568 | ) | | | (3,406,662 | ) | | | 370,852 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,379,446 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom | | | | | | | | | | | | |
| Subsea 7 SA | | | (93,580 | ) | | $ | (974,480 | ) | | $ | 16,885 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 2,396,331 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 1,528,123 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (611,887 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 916,236 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
188
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | |
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE
(Note 5) | |
| J.P. Morgan | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate, plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | | 12-13 months maturity ranging from 12/21/2015 - 12/28/2015 | | | $1,409,793 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | | | | |
| Boliden AB | | | 221,149 | | | $ | 3,456,783 | | | $ | 78,241 | |
| Electrolux AB | | | 210,696 | | | | 5,670,137 | | | | 486,238 | |
| Hennes & Mauritz AB | | | 38,731 | | | | 1,536,646 | | | | 72,434 | |
| Holmen AB | | | 2,473 | | | | 77,527 | | | | 6,505 | |
| Meda AB | | | 237,922 | | | | 3,155,435 | | | | 256,463 | |
| Nordea Bank AB | | | 279,146 | | | | 3,284,476 | | | | (53,142 | ) |
| Securitas AB | | | 205,473 | | | | 2,363,579 | | | | 122,172 | |
| Skandinaviska Enskilda Banken AB | | | 326,419 | | | | 3,916,741 | | | | 228,311 | |
| Skanska AB | | | 149,225 | | | | 2,997,714 | | | | 206,207 | |
| Svenska Cellulosa AB SCA | | | 103,530 | | | | 2,250,702 | | | | (18,730 | ) |
| Swedbank AB | | | 97,007 | | | | 2,362,513 | | | | 44,321 | |
| Swedish Match AB | | | 49,614 | | | | 1,524,696 | | | | 29,935 | |
| Tele2 AB | | | 71,449 | | | | 857,532 | | | | 8,265 | |
| Telefonaktiebolaget LM Ericsson | | | 869,190 | | | | 10,218,108 | | | | 306,136 | |
| TeliaSonera AB | | | 191,532 | | | | 1,257,174 | | | | (25,744 | ) |
| Trelleborg AB | | | 73,135 | | | | 1,142,147 | | | | 89,062 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,836,674 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 1,836,674 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | | | | |
| Alfa Laval AB | | | (75,311 | ) | | | (1,436,906 | ) | | | 12,789 | |
| Assa Abloy AB | | | (20,967 | ) | | | (1,049,927 | ) | | | (57,477 | ) |
| Atlas Copco AB | | | (200,568 | ) | | | (5,475,459 | ) | | | (105,478 | ) |
| Elekta AB | | | (545,108 | ) | | | (5,390,559 | ) | | | (176,391 | ) |
| Getinge AB | | | (51,081 | ) | | | (1,122,632 | ) | | | (40,603 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Sweden (continued) | | | | | | | | | |
| Hexagon AB | | | (95,024 | ) | | $ | (2,983,014 | ) | | $ | 51,567 | |
| Husqvarna AB | | | (8,271 | ) | | | (56,674 | ) | | | (4,122 | ) |
| Modern Times Group MTG AB | | | (45,538 | ) | | | (1,345,944 | ) | | | (98,184 | ) |
| Sandvik AB | | | (707,451 | ) | | | (7,074,702 | ) | | | 196,098 | |
| SKF AB | | | (46,591 | ) | | | (903,340 | ) | | | (78,123 | ) |
| SSAB AB | | | (333,025 | ) | | | (2,172,300 | ) | | | 246,518 | |
| Svenska Handelsbanken AB | | | (30,519 | ) | | | (1,368,979 | ) | | | (58,940 | ) |
| Volvo AB | | | (753,200 | ) | | | (7,934,800 | ) | | | (187,328 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (299,674 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (299,674 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 1,537,000 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (127,207 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 1,409,793 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
189
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
| | | | | | | | |
| | |
| MONEY MARKET FUNDS - 106.9% | | SHARES | | | VALUE
(Note 5) | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% ^(a) | | | 2,244,715 | | | $ | 2,244,715 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% ^(a) | | | 8,978,861 | | | | 8,978,861 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% ^(a) | | | 40,112,698 | | | | 40,112,698 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% ^(a)(b) | | | 8,731,525 | | | | 8,731,525 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% ^(a) | | | 11,223,577 | | | | 11,223,577 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $71,291,376) | | | | | | | 71,291,376 | |
| | | | | | | | |
| | | | | | | | |
| SHORT-TERM INVESTMENTS - 0.5% | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE
(Note 5) | |
U.S. Treasury Bill, 0.071%, 6/4/2015 ^(c)
(cost $351,893) | | $ | 352 | | | $ | 351,895 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 107.4%
(cost $71,643,269) | | | | | | | 71,643,271 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (7.4%) (d) | | | | | (4,954,511) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 66,688,760 | |
| | | | | | | | |
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
| (c) | The rate shown is the effective yield at the date of purchase. |
| (d) | Includes appreciation/(depreciation) on futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (See Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | Brent Crude February Futures^ | | 3/2015 | | USD | | | 1,933,106 | | | | $(303,147 | ) |
| CitiBank | | Brent Crude February Futures^ | | 3/2015 | | USD | | | (593,232 | ) | | | 69,324 | |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | 3,145,473 | | | | (966,837 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | (2,779,734 | ) | | | 601,134 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 908,651 | | | | (6,550 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | (768,090 | ) | | | (17,606 | ) |
| CitiBank | | Coffee ‘C’ March Futures^ | | 2/2015 | | USD | | | 3,950,732 | | | | (514,473 | ) |
| CitiBank | | Coffee ‘C’ March Futures^ | | 2/2015 | | USD | | | (2,023,614 | ) | | | 211,784 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 8,379,408 | | | | 592,600 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (5,482,126 | ) | | | (214,754 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | 1,926,300 | | | | (57,917 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (873,450 | ) | | | (465 | ) |
| CitiBank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 1,406,270 | | | | (230,259 | ) |
| CitiBank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (1,478,175 | ) | | | 302,145 | |
| CitiBank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | 1,017,700 | | | | (281,020 | ) |
| CitiBank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | (1,024,100 | ) | | | 287,420 | |
| CitiBank | | Gas Oil March Futures^ | | 3/2015 | | USD | | | 514,074 | | | | (29,311 | ) |
| CitiBank | | Gas Oil March Futures^ | | 3/2015 | | USD | | | (56,600 | ) | | | 2,738 | |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | 1,430,591 | | | | (167,147 | ) |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | (143,682 | ) | | | 17,338 | |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | 2,189,722 | | | | (644,018 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (1,870,646 | ) | | | 324,941 | |
| Barclays Capital | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 2,750,570 | | | | (27,134 | ) |
| Barclays Capital | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | (2,758,460 | ) | | | 35,022 | |
| CitiBank | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 6,946,698 | | | | 37,004 | |
| CitiBank | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | (1,339,514 | ) | | | (78,918 | ) |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | 414,431 | | | | (32,819 | ) |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | (340,326 | ) | | | 35,036 | |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | 1,593,119 | | | | (283,928 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
190
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (1,676,881 | ) | | | $ 367,691 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 6,862,352 | | | | (189,512 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (3,679,490 | ) | | | 81,390 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 1,925,358 | | | | (171,438 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (1,804,704 | ) | | | 180,704 | |
| CitiBank | | LME Aluminum June Futures^ | | 6/2015 | | USD | | | 5,895,325 | | | | (391,363 | ) |
| CitiBank | | LME Aluminum June Futures^ | | 6/2015 | | USD | | | (2,046,500 | ) | | | 134,106 | |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | 9,525,800 | | | | (1,113,988 | ) |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | (9,110,875 | ) | | | 699,063 | |
| CitiBank | | LME Copper June Futures^ | | 6/2015 | | USD | | | (3,977,400 | ) | | | 53,338 | |
| CitiBank | | LME Copper June Futures^ | | 6/2015 | | USD | | | 8,260,500 | | | | (98,450 | ) |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | (17,400,200 | ) | | | 526,300 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | 18,440,225 | | | | (1,566,325 | ) |
| CitiBank | | LME Lead June Futures^ | | 6/2015 | | USD | | | (405,400 | ) | | | 31,700 | |
| CitiBank | | LME Lead June Futures^ | | 6/2015 | | USD | | | 754,825 | | | | (54,138 | ) |
| CitiBank | | LME Lead March Futures^ | | 3/2015 | | USD | | | 1,739,075 | | | | (252,675 | ) |
| CitiBank | | LME Lead March Futures^ | | 3/2015 | | USD | | | (1,647,625 | ) | | | 161,225 | |
| CitiBank | | LME Nickel June Futures^ | | 6/2015 | | USD | | | 1,555,320 | | | | (96,216 | ) |
| CitiBank | | LME Nickel June Futures^ | | 6/2015 | | USD | | | (297,750 | ) | | | 24,168 | |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | (3,164,100 | ) | | | 257,412 | |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | 3,459,066 | | | | (552,378 | ) |
| CitiBank | | LME Zinc June Futures^ | | 6/2015 | | USD | | | 3,196,750 | | | | (25,238 | ) |
| CitiBank | | LME Zinc June Futures^ | | 6/2015 | | USD | | | (1,551,400 | ) | | | 20,325 | |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | (4,618,350 | ) | | | 102,113 | |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | 4,929,419 | | | | (413,181 | ) |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | 1,867,990 | | | | (401,040 | ) |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | (2,007,440 | ) | | | 540,486 | |
| CitiBank | | Natural Gas Swap February Futures^ | | 3/2015 | | USD | | | 36,480 | | | | (7,517 | ) |
| CitiBank | | Natural Gas Swap February Futures^ | | 3/2015 | | USD | | | (291,200 | ) | | | 59,498 | |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | 2,063,860 | | | | (677,030 | ) |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | (1,924,746 | ) | | | 537,939 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | 2,068,625 | | | | (118,698 | ) |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | (2,031,875 | ) | | | 81,964 | |
| CitiBank | | Silver March Futures^ | | 2/2015 | | USD | | | 7,755,513 | | | | (267,993 | ) |
| CitiBank | | Silver March Futures^ | | 2/2015 | | USD | | | (3,317,200 | ) | | | 197,400 | |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 6,080,394 | | | | 367,537 | |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | (6,505,709 | ) | | | 57,640 | |
| CitiBank | | Soybean May Futures^ | | 4/2015 | | USD | | | 4,810,197 | | | | (121,317 | ) |
| CitiBank | | Soybean May Futures^ | | 4/2015 | | USD | | | (736,320 | ) | | | 14,957 | |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 1,916,780 | | | | (39,727 | ) |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | (356,680 | ) | | | 9,077 | |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | 2,167,118 | | | | 11,970 | |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | (289,755 | ) | | | 495 | |
| CitiBank | | Sugar #11 (World Markets) February Futures^ | | 2/2015 | | USD | | | 8,888,764 | | | | (1,228,806 | ) |
| CitiBank | | Sugar #11 (World Markets) February Futures^ | | 2/2015 | | USD | | | (6,323,654 | ) | | | 534,080 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 3,184,304 | | | | 29,824 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | (3,856,260 | ) | | | (389,814 | ) |
| CitiBank | | WTI Crude February Futures^ | | 3/2015 | | USD | | | 2,642,320 | | | | (333,115 | ) |
| CitiBank | | WTI Crude February Futures^ | | 3/2015 | | USD | | | (247,360 | ) | | | 32,550 | |
| Barclays Capital | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 1,004,770 | | | | (312,203 | ) |
| Barclays Capital | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (883,590 | ) | | | 191,045 | |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 3,309,910 | | | | (1,019,180 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (2,804,290 | ) | | | 513,619 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(5,361,543 | ) |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Barclays Capital, CitiBank, Deutsche Bank for total return swap contracts in the amount of $181,417, $7,400,085 and $850,022, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
191
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | |
| 9 | | Goldman Sachs | | Gasoline RBOB Futures^ | | | 2/2015 | | | | $640,012 | | | | $568,550 | | | | $(71,462 | ) |
| 47 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | 1,633,689 | | | | 1,526,560 | | | | (107,129 | ) |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 143,124 | | | | 137,359 | | | | (5,765 | ) |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 200,709 | | | | 183,375 | | | | (17,334 | ) |
| 15 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 736,946 | | | | 688,107 | | | | (48,839 | ) |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 203,921 | | | | 183,586 | | | | (20,335 | ) |
| 31 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 1,591,917 | | | | 1,424,063 | | | | (167,854 | ) |
| 20 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 1,007,607 | | | | 919,875 | | | | (87,732 | ) |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 152,259 | | | | 138,163 | | | | (14,096 | ) |
| 18 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 904,426 | | | | 829,444 | | | | (74,982 | ) |
| 12 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 590,134 | | | | 553,068 | | | | (37,066 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 97,868 | | | | 92,281 | | | | (5,587 | ) |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 245,014 | | | | 230,747 | | | | (14,267 | ) |
| 119 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 6,000,811 | | | | 5,500,031 | | | | (500,780 | ) |
| 80 | | J.P. Morgan | | LME Aluminum Futures^ | | | 6/2015 | | | | 3,951,603 | | | | 3,731,500 | | | | (220,103 | ) |
| 16 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 2,745,158 | | | | 2,523,200 | | | | (221,958 | ) |
| 5 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 253,048 | | | | 232,107 | | | | (20,941 | ) |
| 4 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 202,652 | | | | 185,693 | | | | (16,959 | ) |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 50,878 | | | | 46,425 | | | | (4,453 | ) |
| 5 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 252,764 | | | | 232,170 | | | | (20,594 | ) |
| 3 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 151,209 | | | | 139,308 | | | | (11,901 | ) |
| 9 | | J.P. Morgan | | LME Lead Futures^ | | | 6/2015 | | | | 456,362 | | | | 420,413 | | | | (35,949 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 98,533 | | | | 90,753 | | | | (7,780 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 99,003 | | | | 90,790 | | | | (8,213 | ) |
| 2 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 235,342 | | | | 181,668 | | | | (53,674 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 6/2015 | | | | 99,327 | | | | 91,194 | | | | (8,133 | ) |
| 6 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 342,543 | | | | 324,996 | | | | (17,547 | ) |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 111,506 | | | | 108,659 | | | | (2,847 | ) |
| 4 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 222,811 | | | | 217,381 | | | | (5,430 | ) |
| 10 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 581,047 | | | | 544,125 | | | | (36,922 | ) |
| 15 | | Goldman Sachs | | Soybean Futures^ | | | 5/2015 | | | | 785,911 | | | | 772,875 | | | | (13,036 | ) |
| 4 | | Goldman Sachs | | Soybean Oil Futures^ | | | 3/2015 | | | | 77,401 | | | | 77,136 | | | | (265 | ) |
| 39 | | Goldman Sachs | | WTI Crude Oil Futures^ | | | 2/2015 | | | | 2,353,836 | | | | 2,094,300 | | | | (259,536 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 27,219,371 | | | | 25,079,902 | | | | (2,139,469) | |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | | | | | | | | | | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | $(144,369 | ) | | | $(137,360 | ) | | | $7,009 | |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (200,991 | ) | | | (183,375 | ) | | | 17,616 | |
| 15 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (734,970 | ) | | | (688,106 | ) | | | 46,864 | |
| 4 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (204,416 | ) | | | (183,585 | ) | | | 20,831 | |
| 31 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (1,594,950 | ) | | | (1,424,062 | ) | | | 170,888 | |
| 20 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (1,004,955 | ) | | | (919,875 | ) | | | 85,080 | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (152,737 | ) | | | (138,163 | ) | | | 14,574 | |
| 18 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (900,354 | ) | | | (829,445 | ) | | | 70,909 | |
| 12 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (589,086 | ) | | | (553,068 | ) | | | 36,018 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (98,077 | ) | | | (92,282 | ) | | | 5,795 | |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (245,595 | ) | | | (230,748 | ) | | | 14,847 | |
| 119 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (5,930,476 | ) | | | (5,500,031 | ) | | | 430,445 | |
| 32 | | J.P. Morgan | | LME Aluminum Futures^ | | | 6/2015 | | | | (1,595,090 | ) | | | (1,492,600 | ) | | | 102,490 | |
| 16 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (2,705,267 | ) | | | (2,523,200 | ) | | | 182,067 | |
| 5 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (252,986 | ) | | | (232,107 | ) | | | 20,879 | |
| 4 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (201,589 | ) | | | (185,693 | ) | | | 15,896 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (50,979 | ) | | | (46,425 | ) | | | 4,554 | |
| 5 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (252,332 | ) | | | (232,170 | ) | | | 20,162 | |
| 3 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (151,156 | ) | | | (139,307 | ) | | | 11,849 | |
| 9 | | J.P. Morgan | | LME Lead Futures^ | | | 6/2015 | | | | (457,462 | ) | | | (420,413 | ) | | | 37,049 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (98,937 | ) | | | (90,753 | ) | | | 8,184 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
192
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: (continued) | | | | | | | | | | | | | | | | | | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | $ (99,118 | ) | | | $ (90,791 | ) | | | $ 8,327 | |
| 2 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (217,052 | ) | | | (181,668 | ) | | | 35,384 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 6/2015 | | | | (99,351 | ) | | | (91,194 | ) | | | 8,157 | |
| 6 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (342,736 | ) | | | (324,996 | ) | | | 17,740 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (112,102 | ) | | | (108,659 | ) | | | 3,443 | |
| 4 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (219,910 | ) | | | (217,381 | ) | | | 2,529 | |
| 10 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (561,837 | ) | | | (544,125 | ) | | | 17,712 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (19,218,880 | ) | | | (17,801,582 | ) | | | 1,417,298 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $8,000,491 | | | | $7,278,320 | | | | $(722,171 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Goldman Sachs and J.P. Morgan for futures contracts was $708,024 and $458,361, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
193
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
| GOVERNMENT RELATED OBLIGATIONS - 14.7% | | INTEREST
RATE | | | MATURITY
DATE | | | CURRENCY | | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE
(Note 5) | |
| Sovereign Debt - 14.7% | | | | | | | | | | | | | | | | | | | | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 0.100% | | | | 04/15/23 | | | | EUR | | | | 15,748 | | | $ | 19,904,568 | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 0.750% | | | | 04/15/18 | | | | EUR | | | | 12,017 | | | | 14,934,075 | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 1.750% | | | | 04/15/20 | | | | EUR | | | | 7,125 | | | | 9,614,270 | |
| France Government Bond OAT (France) | | | 0.250% | | | | 07/25/18 | | | | EUR | | | | 5,619 | | | | 6,922,428 | |
| France Government Bond OAT (France) | | | 0.250% | | | | 07/25/24 | | | | EUR | | | | 405 | | | | 511,243 | |
| France Government Bond OAT (France) | | | 1.100% | | | | 07/25/22 | | | | EUR | | | | 868 | | | | 1,159,449 | |
| France Government Bond OAT (France) | | | 1.300% | | | | 07/25/19 | | | | EUR | | | | 12,574 | | | | 16,394,056 | |
| France Government Bond OAT (France) | | | 2.100% | | | | 07/25/23 | | | | EUR | | | | 329 | | | | 481,735 | |
| United Kingdom Index Linked Treasury Gilt (United Kingdom) | | | 0.125% | | | | 03/22/24 | | | | GBP | | | | 2,657 | | | | 4,554,017 | |
| United Kingdom Treasury Gilt (United Kingdom) | | | 1.875% | | | | 11/22/22 | | | | GBP | | | | 8,771 | | | | 16,997,333 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL GOVERNMENT RELATED OBLIGATIONS
(cost $95,976,097) | | | | | | | | | | | | | | | | | | | 91,473,174 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| U.S. TREASURY OBLIGATIONS - 18.8% | | | | | | | | | | | | | | | |
| U.S. Treasury Inflation Protected Securities - 18.8% | | | | | | | | | | | | | | | | | | | | |
| U.S. Treasury Inflation Protected Securities | | | 0.125% | | | | 04/15/18 | | | | USD | | | | 37,500 | | | | 38,373,308 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125% | | | | 04/15/19 | | | | USD | | | | 36,800 | | | | 36,878,296 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125% | | | | 01/15/23 | | | | USD | | | | 9,300 | | | | 9,250,213 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125% | | | | 07/15/24 | | | | USD | | | | 6,000 | | | | 5,777,993 | |
| U.S. Treasury Inflation Protected Securities | | | 0.375% | | | | 07/15/23 | | | | USD | | | | 9,600 | | | | 9,683,544 | |
| U.S. Treasury Inflation Protected Securities | | | 0.625% | | | | 01/15/24 | | | | USD | | | | 8,400 | | | | 8,584,401 | |
| U.S. Treasury Inflation Protected Securities | | | 2.125% | | | | 01/15/19 | | | | USD | | | | 6,800 | | | | 8,080,456 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(cost $118,706,191) | | | | | | | | | | | | | | | | | | | 116,628,211 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| MONEY MARKET FUNDS - 46.5% | | | | | | | | | | | SHARES | | | | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^ | | | | | | | | | | | | | | | 15,123,489 | | | | 15,123,489 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | | | | | | | | | | | | | | | 60,493,955 | | | | 60,493,955 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | | | | | | | | | | | | | | | 95,657,547 | | | | 95,657,547 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | | | | | | | | | | | | | | | 41,412,776 | | | | 41,412,776 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | | | | | | | | | | | | | | | 75,618,289 | | | | 75,618,289 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $288,306,056) | | | | | | | | | | | | | | | | | | | 288,306,056 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| SHORT-TERM INVESTMENTS - 18.6% | | | | | | | | | | | PRINCIPAL
AMOUNT
(000’s) | | | | |
| U.S. Treasury Bill, 0.037%, 04/09/2015 (c) | | | | | | | | | | | | | | $ | 28,080 | | | | 28,080,922 | |
| U.S. Treasury Bill, 0.045%, 02/05/2015 (c)^ | | | | | | | | | | | | | | | 66,833 | | | | 66,834,396 | |
| U.S. Treasury Bill, 0.055%, 01/29/2015 (c)^ | | | | | | | | | | | | | | | 13,019 | | | | 13,018,952 | |
| U.S. Treasury Bill, 0.067%, 05/28/2015 (c)^ | | | | | | | | | | | | | | | 4,190 | | | | 4,189,894 | |
| U.S. Treasury Bill, 0.071%, 06/04/2015 (c)^ | | | | | | | | | | | | | | | 3,306 | | | | 3,306,018 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $115,427,721) | | | | | | | | | | | | | | | | | | | 115,430,182 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 98.6%
(cost $618,416,065) | | | | | | | | | | | | | | | | 611,837,623 | |
| | | | | | | | | | | | | | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.4% (d) | | | | | | | | | | | | | | | | | | | 8,417,183 | |
| | | | | | | | | | | | | | | | | | | | |
NET ASSETS - 100.0% | | | | | | | | | | | | | | | | | | $ | 620,254,806 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (c) | The rate shown is the effective yield at the date of purchase. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
194
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| (d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
| ^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Credit default swap contracts sell protection as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | REFERENCE
ENTITY | | FIXED
ANNUAL
RATE
RECEIVED
BY FUND | | CURRENCY | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
(RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| CitiBank | | iTraxx Europe Crossover Series 22.V1 | | 5.000% | | EUR | | | 3.459% | | | | $63,475,000 | | | | $4,633,899 | | | | 12/20/2019 | | | | $618,744 | |
| CitiBank | | iTraxx Europe Series 22.V1 | | 1.000% | | EUR | | | 0.629% | | | | 140,000,000 | | | | 2,747,341 | | | | 12/20/2019 | | | | 360,843 | |
| CitiBank | | Markit CDX Emerging Market Index Series 22 | | 1.000% | | USD | | | 3.394% | | | | 19,500,000 | | | | (1,432,838 | ) | | | 12/20/2019 | | | | (597,222 | ) |
| CitiBank | | Markit CDX North America High Yield Index Series 23 | | 5.000% | | USD | | | 3.557% | | | | 86,050,000 | | | | 4,744,569 | | | | 12/20/2019 | | | | 719,053 | |
| CitiBank | | Markit CDX North America Investment Grade Index Series 23 | | 1.000% | | USD | | | 0.661% | | | | 172,625,000 | | | | 2,561,885 | | | | 12/20/2019 | | | | 259,940 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $13,254,856 | | | | | | | | $1,361,358 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at CitiBank for credit default swap contracts and over the counter interest rate swap contracts was $1,920,828 at December 31, 2014.
Interest rate swap contracts outstanding as of December 31, 2014:
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM (RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared | |
| | | | | | | |
| CitiBank† | | 1.000% | | | | (1) | | CZK | | | $10,000,000 | | | | $(7,087 | ) | | | 03/18/2020 | | | | $(2,762 | ) |
| CitiBank† | | 1.000% | | | | (1) | | CZK | | | 30,000,000 | | | | (19,555 | ) | | | 03/18/2020 | | | | (9,991 | ) |
| CitiBank† | | 1.000% | | | | (1) | | CZK | | | 10,000,000 | | | | (9,154 | ) | | | 03/18/2020 | | | | (695 | ) |
| CitiBank† | | 1.000% | | | | (1) | | CZK | | | 10,000,000 | | | | (10,083 | ) | | | 03/18/2020 | | | | 234 | |
| CitiBank† | | 1.000% | | | | (1) | | CZK | | | 10,000,000 | | | | (9,478 | ) | | | 03/18/2020 | | | | (370 | ) |
| CitiBank† | | 6 Month Prague Interbank Offered Rate | | | 1.000 | % | | CZK | | | 10,000,000 | | | | 9,370 | | | | 03/18/2020 | | | | 479 | |
| CitiBank† | | 6 Month Prague Interbank Offered Rate | | | 1.000 | % | | CZK | | | 20,000,000 | | | | 18,431 | | | | 03/18/2020 | | | | 1,267 | |
| CitiBank† | | 6 Month Prague Interbank Offered Rate | | | 1.000 | % | | CZK | | | 330,000,000 | | | | 199,886 | | | | 03/18/2020 | | | | 125,126 | |
| CitiBank† | | 6 Month Prague Interbank Offered Rate | | | 1.000 | % | | CZK | | | 10,000,000 | | | | 8,051 | | | | 03/18/2020 | | | | 1,798 | |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | 6,000,000 | | | | (6,552 | ) | | | 03/18/2020 | | | | 2,834 | |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | 4,000,000 | | | | (6,947 | ) | | | 03/18/2020 | | | | 4,467 | |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | 5,000,000 | | | | (7,829 | ) | | | 03/18/2020 | | | | 4,730 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
195
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM (RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | $6,000,000 | | | | $(10,665 | ) | | | 03/18/2020 | | | | $6,946 | |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | 1,000,000 | | | | 1,011 | | | | 03/18/2020 | | | | (1,631 | ) |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | 5,000,000 | | | | (8,968 | ) | | | 03/18/2020 | | | | 5,869 | |
| CitiBank† | | 2.000% | | | | (2) | | HKD | | | 22,000,000 | | | | 12,923 | | | | 03/18/2020 | | | | (26,558 | ) |
| CitiBank† | | 3 Month Hong Kong Interbank Offered Rate | | | 2.000 | % | | HKD | | | 9,000,000 | | | | 13,419 | | | | 03/18/2020 | | | | (7,841 | ) |
| CitiBank† | | 3 Month Hong Kong Interbank Offered Rate | | | 2.000 | % | | HKD | | | 6,000,000 | | | | 6,549 | | | | 03/18/2020 | | | | (2,831 | ) |
| CitiBank† | | 3 Month Hong Kong Interbank Offered Rate | | | 2.000 | % | | HKD | | | 3,000,000 | | | | 3,064 | | | | 03/18/2020 | | | | (1,205 | ) |
| CitiBank† | | 3 Month Hong Kong Interbank Offered Rate | | | 2.000 | % | | HKD | | | 128,000,000 | | | | (40,547 | ) | | | 03/18/2020 | | | | 119,879 | |
| CitiBank† | | 3 Month Hong Kong Interbank Offered Rate | | | 2.000 | % | | HKD | | | 128,000,000 | | | | (40,188 | ) | | | 03/18/2020 | | | | 119,520 | |
| CitiBank† | | 2.500% | | | | (3) | | HUF | | | 100,000,000 | | | | (1,683 | ) | | | 03/18/2020 | | | | 2,813 | |
| CitiBank† | | 2.500% | | | | (3) | | HUF | | | 100,000,000 | | | | (226 | ) | | | 03/18/2020 | | | | 1,357 | |
| CitiBank† | | 2.500% | | | | (3) | | HUF | | | 100,000,000 | | | | 2,449 | | | | 03/18/2020 | | | | (1,319 | ) |
| CitiBank† | | 3.000% | | | | (3) | | HUF | | | 100,000,000 | | | | (2,268 | ) | | | 03/18/2020 | | | | (5,603 | ) |
| CitiBank† | | 3.000% | | | | (3) | | HUF | | | 300,000,000 | | | | 3,348 | | | | 03/18/2020 | | | | (26,963 | ) |
| CitiBank† | | 6 Month Budapest Interbank Offered Rate | | | 3.000 | % | | HUF | | | 100,000,000 | | | | 7,913 | | | | 03/18/2020 | | | | (41 | ) |
| CitiBank† | | 6 Month Budapest Interbank Offered Rate | | | 3.000 | % | | HUF | | | 100,000,000 | | | | 4,666 | | | | 03/18/2020 | | | | 3,206 | |
| CitiBank† | | 6 Month Budapest Interbank Offered Rate | | | 3.500 | % | | HUF | | | 4,100,000,000 | | | | 234,867 | | | | 03/18/2020 | | | | 456,967 | |
| CitiBank† | | 2.000% | | | | (5) | | PLN | | | 2,000,000 | | | | 3,083 | | | | 03/18/2020 | | | | (4,208 | ) |
| CitiBank† | | 2.000% | | | | (5) | | PLN | | | 1,000,000 | | | | 1,520 | | | | 03/18/2020 | | | | (2,082 | ) |
| CitiBank† | | 2.000% | | | | (5) | | PLN | | | 2,000,000 | | | | 2,953 | | | | 03/18/2020 | | | | (4,078 | ) |
| CitiBank† | | 2.000% | | | | (5) | | PLN | | | 2,000,000 | | | | 2,238 | | | | 03/18/2020 | | | | (3,363 | ) |
| CitiBank† | | 2.000% | | | | (5) | | PLN | | | 3,000,000 | | | | 5,773 | | | | 03/18/2020 | | | | (7,460 | ) |
| CitiBank† | | 2.500% | | | | (5) | | PLN | | | 8,000,000 | | | | (18,582 | ) | | | 03/18/2020 | | | | (39,650 | ) |
| CitiBank† | | 6 Month Warsaw Interbank Offered Rate | | | 2.000 | % | | PLN | | | 3,000,000 | | | | 2,098 | | | | 03/18/2020 | | | | (411 | ) |
| CitiBank† | | 6 Month Warsaw Interbank Offered Rate | | | 2.000 | % | | PLN | | | 3,000,000 | | | | (653 | ) | | | 03/18/2020 | | | | 2,340 | |
| CitiBank† | | 6 Month Warsaw Interbank Offered Rate | | | 2.000 | % | | PLN | | | 2,000,000 | | | | 629 | | | | 03/18/2020 | | | | 495 | |
| CitiBank† | | 6 Month Warsaw Interbank Offered Rate | | | 2.500 | % | | PLN | | | 2,000,000 | | | | 2,418 | | | | 03/18/2020 | | | | 12,141 | |
| CitiBank† | | 6 Month Warsaw Interbank Offered Rate | | | 2.500 | % | | PLN | | | 106,000,000 | | | | (34,822 | ) | | | 03/18/2020 | | | | 806,401 | |
| CitiBank† | | 6 Month Warsaw Interbank Offered Rate | | | 2.500 | % | | PLN | | | 2,000,000 | | | | 13,366 | | | | 03/18/2020 | | | | 1,192 | |
| CitiBank† | | 2.000% | | | | (6) | | SGD | | | 2,000,000 | | | | (13,499 | ) | | | 03/18/2020 | | | | 13,243 | |
| CitiBank† | | 2.000% | | | | (6) | | SGD | | | 2,000,000 | | | | (12,097 | ) | | | 03/18/2020 | | | | 11,841 | |
| CitiBank† | | 2.000% | | | | (6) | | SGD | | | 1,000,000 | | | | (3,573 | ) | | | 03/18/2020 | | | | 3,445 | |
| CitiBank† | | 2.000% | | | | (6) | | SGD | | | 5,000,000 | | | | (25,293 | ) | | | 03/18/2020 | | | | 24,652 | |
| CitiBank† | | 2.000% | | | | (6) | | SGD | | | 1,000,000 | | | | (7,568 | ) | | | 03/18/2020 | | | | 7,440 | |
| CitiBank† | | 2.000% | | | | (6) | | SGD | | | 2,000,000 | | | | (16,028 | ) | | | 03/18/2020 | | | | 15,772 | |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 20,500,000 | | | | 3,883 | | | | 03/18/2020 | | | | (1,259 | ) |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 20,500,000 | | | | 3,768 | | | | 03/18/2020 | | | | (1,144 | ) |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 2,000,000 | | | | 14,152 | | | | 03/18/2020 | | | | (13,896 | ) |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 1,000,000 | | | | 4,615 | | | | 03/18/2020 | | | | (4,487 | ) |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 4,000,000 | | | | 28,123 | | | | 03/18/2020 | | | | (27,610 | ) |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 20,500,000 | | | | 3,679 | | | | 03/18/2020 | | | | (1,054 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
196
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | PAYMENTS
MADE BY
THE FUND | | PAYMENTS
RECEIVED
BY THE
FUND | | | CURRENCY | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM (RECEIVED)
PAID | | | TERMINATION
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Exchange Cleared (continued) | |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | $20,500,000 | | | | $3,988 | | | | 03/18/2020 | | | | $(1,363 | ) |
| CitiBank† | | 6 Month Singapore Interbank Offered Rate | | | 2.000 | % | | SGD | | | 1,000,000 | | | | (3,306 | ) | | | 03/18/2020 | | | | 3,434 | |
| CitiBank† | | 3 Month Johannesburg Interbank Agreed Rate | | | 7.500 | % | | ZAR | | | 410,000,000 | | | | (110,382 | ) | | | 03/18/2020 | | | | 142,798 | |
| CitiBank† | | 3 Month Johannesburg Interbank Agreed Rate | | | 7.500 | % | | ZAR | | | 10,000,000 | | | | 4,254 | | | | 03/18/2020 | | | | (3,463 | ) |
| CitiBank† | | 3 Month Johannesburg Interbank Agreed Rate | | | 7.500 | % | | ZAR | | | 10,000,000 | | | | (11,720 | ) | | | 03/18/2020 | | | | 12,511 | |
| CitiBank† | | 7.000% | | | | (7) | | ZAR | | | 10,000,000 | | | | 13,376 | | | | 03/18/2020 | | | | 3,554 | |
| CitiBank† | | 7.500% | | | | (7) | | ZAR | | | 20,000,000 | | | | 25,113 | | | | 03/18/2020 | | | | (26,694 | ) |
| CitiBank† | | 7.500% | | | | (7) | | ZAR | | | 10,000,000 | | | | 2,462 | | | | 03/18/2020 | | | | (3,253 | ) |
| Over the Counter | | | | | | | | | | | | | | | | | | | | | | | | |
| CitiBank† | | 2.190% | | | | (4) | | KRW* | | | 1,000,000,000 | | | | — | | | | 03/18/2020 | | | | 1,226 | |
| CitiBank† | | 2.253% | | | | (4) | | KRW* | | | 2,000,000,000 | | | | — | | | | 03/18/2020 | | | | (2,905 | ) |
| CitiBank† | | 2.280% | | | | (4) | | KRW* | | | 2,000,000,000 | | | | — | | | | 03/18/2020 | | | | (5,262 | ) |
| CitiBank† | | 2.335% | | | | (4) | | KRW* | | | 1,000,000,000 | | | | — | | | | 03/18/2020 | | | | (4,989 | ) |
| CitiBank† | | 2.400% | | | | (4) | | KRW* | | | 1,000,000,000 | | | | — | | | | 03/18/2020 | | | | (7,775 | ) |
| CitiBank† | | 2.444% | | | | (4) | | KRW* | | | 4,000,000,000 | | | | — | | | | 03/18/2020 | | | | (38,642 | ) |
| CitiBank | | 2.645% | | | | (4) | | KRW* | | | 16,750,000,000 | | | | — | | | | 09/18/2019 | | | | (313,454 | ) |
| CitiBank | | 2.655% | | | | (4) | | KRW* | | | 16,750,000,000 | | | | — | | | | 09/18/2019 | | | | (320,326 | ) |
| CitiBank | | 2.675% | | | | (4) | | KRW* | | | 16,750,000,000 | | | | — | | | | 09/18/2019 | | | | (334,068 | ) |
| CitiBank | | 2.688% | | | | (4) | | KRW* | | | 16,750,000,000 | | | | — | | | | 09/18/2019 | | | | (342,658 | ) |
| CitiBank | | 2.713% | | | | (4) | | KRW* | | | 2,000,000,000 | | | | — | | | | 09/18/2019 | | | | (42,966 | ) |
| CitiBank | | 2.723% | | | | (4) | | KRW* | | | 3,000,000,000 | | | | — | | | | 09/18/2019 | | | | (65,679 | ) |
| CitiBank | | 2.970% | | | | (4) | | KRW* | | | 10,000,000,000 | | | | — | | | | 09/18/2019 | | | | (320,463 | ) |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.223 | % | | KRW* | | | 4,000,000,000 | | | | — | | | | 03/18/2020 | | | | 667 | |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.225 | % | | KRW* | | | 2,000,000,000 | | | | — | | | | 03/18/2020 | | | | 548 | |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.450 | % | | KRW* | | | 2,000,000,000 | | | | — | | | | 03/18/2020 | | | | 19,835 | |
| CitiBank | | 3 Month Korean Certificate of Deposit | | | 2.648 | % | | KRW* | | | 2,000,000,000 | | | | — | | | | 09/18/2019 | | | | 37,633 | |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.710 | % | | KRW* | | | 17,000,000,000 | | | | — | | | | 03/18/2020 | | | | 358,047 | |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.715 | % | | KRW* | | | 17,000,000,000 | | | | — | | | | 03/18/2020 | | | | 361,691 | |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.735 | % | | KRW* | | | 17,000,000,000 | | | | — | | | | 03/18/2020 | | | | 376,264 | |
| CitiBank† | | 3 Month Korean Certificate of Deposit | | | 2.746 | % | | KRW* | | | 17,000,000,000 | | | | — | | | | 03/18/2020 | | | | 384,279 | |
| CitiBank | | 3 Month Korean Certificate of Deposit | | | 3.098 | % | | KRW* | | | 29,000,000,000 | | | | — | | | | 09/18/2019 | | | | 1,082,917 | |
| CitiBank | | 3 Month Korean Certificate of Deposit | | | 3.146 | % | | KRW* | | | 29,000,000,000 | | | | — | | | | 09/18/2019 | | | | 1,140,086 | |
| CitiBank | | 3 Month Korean Certificate of Deposit | | | 3.153 | % | | KRW* | | | 29,000,000,000 | | | | — | | | | 09/18/2019 | | | | 1,147,828 | |
| CitiBank | | 3.150% | | | | (4) | | KRW* | | | 7,000,000,000 | | | | — | | | | 09/18/2019 | | | | (276,344 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $228,685 | | | | | | | | $4,520,956 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| † | Forward effective date swap. (See Note 4). |
| * | Non-deliverable swap. (See Note 4). |
| (1) | 6 Month Prague Interbank Offered Rate |
| (2) | 3 Month Hong Kong Interbank Offered Rate |
| (3) | 6 Month Budapest Interbank Offered Rate |
| (4) | 3 Month Korean Certificate of Deposit |
| (5) | 6 Month Warsaw Interbank Offered Rate |
| (6) | 6 Month Singapore Interbank Offered Rate |
| (7) | 3 Month Johannesburg Interbank Agreed Rate |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
197
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
Cash held as collateral at CitiBank for over the counter interest rate swap contracts is included in the collateral for credit default swap contracts.
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Canadian Bond March Futures | | 3/2015 | | CAD | | | 25,151,557 | | | | $415,079 | |
| Bank of America | | 10-Year Japanese Government Bond March Futures | | 3/2015 | | JPY | | | 6,043,739,600 | | | | 131,967 | |
| Morgan Stanley and Co., International PLC | | Bovespa Index February Futures | | 2/2015 | | BRL | | | 12,354,577 | | | | 95,898 | |
| CitiBank | | Brent Crude February Futures^ | | 3/2015 | | USD | | | 2,274,976 | | | | (412,256 | ) |
| Merrill Lynch | | Brent Crude February Futures^ | | 3/2015 | | USD | | | (1,423,880 | ) | | | 85,048 | |
| Merrill Lynch | | Brent Crude February Futures^ | | 3/2015 | | USD | | | 8,589,790 | | | | (1,546,153 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | (2,254,080 | ) | | | 419,478 | |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | 2,655,521 | | | | (820,880 | ) |
| Merrill Lynch | | Brent Crude January Futures^ | | 2/2015 | | USD | | | 11,407,440 | | | | (3,839,701 | ) |
| Merrill Lynch | | Brent Crude January Futures^ | | 2/2015 | | USD | | | (9,461,410 | ) | | | 1,893,777 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 1,407,592 | | | | (10,790 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | (1,133,475 | ) | | | (30,519 | ) |
| CitiBank | | Coffee ‘C’ March Futures^ | | 2/2015 | | USD | | | 4,582,086 | | | | (645,992 | ) |
| CitiBank | | Coffee ‘C’ March Futures^ | | 2/2015 | | USD | | | (1,107,405 | ) | | | 107,777 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 8,821,020 | | | | 726,595 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (3,464,816 | ) | | | (68,462 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | 2,594,270 | | | | (93,045 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (963,530 | ) | | | (790 | ) |
| Bank of America | | Euro - Bund March Futures | | 3/2015 | | EUR | | | 116,531,172 | | | | 2,379,873 | |
| Merrill Lynch | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 3,592,000 | | | | (933,488 | ) |
| Merrill Lynch | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (2,881,500 | ) | | | 223,092 | |
| Merrill Lynch | | Gas Oil January Futures^ | | 1/2015 | | USD | | | 4,972,000 | | | | (1,744,772 | ) |
| Merrill Lynch | | Gas Oil January Futures^ | | 1/2015 | | USD | | | (4,438,850 | ) | | | 1,211,647 | |
| Merrill Lynch | | Gas Oil March Futures^ | | 3/2015 | | USD | | | 3,118,600 | | | | (229,725 | ) |
| Merrill Lynch | | Gasoline RBOB December Futures^ | | 1/2015 | | USD | | | (3,494,400 | ) | | | 3,494,361 | |
| Merrill Lynch | | Gasoline RBOB December Futures^ | | 1/2015 | | USD | | | 3,881,304 | | | | (3,881,260 | ) |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | 6,445,824 | | | | (886,670 | ) |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | (1,261,222 | ) | | | 60,950 | |
| Merrill Lynch | | Gasoline RBOB February Futures^ | | 3/2015 | | USD | | | (140,591 | ) | | | 14,246 | |
| Merrill Lynch | | Gasoline RBOB February Futures^ | | 3/2015 | | USD | | | 146,992 | | | | (20,643 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | 7,672,134 | | | | (2,231,252 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (6,368,947 | ) | | | 928,066 | |
| Merrill Lynch | | Gasoline RBOB January Futures^ | | 2/2015 | | USD | | | (3,297,454 | ) | | | 824,248 | |
| Merrill Lynch | | Gasoline RBOB January Futures^ | | 2/2015 | | USD | | | 3,508,680 | | | | (1,035,455 | ) |
| Barclays Capital | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 2,511,390 | | | | (24,774 | ) |
| Barclays Capital | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | (2,511,480 | ) | | | 24,864 | |
| Merrill Lynch | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 9,266,155 | | | | (148,585 | ) |
| Bank of America | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 21,063,066 | | | | 28,495 | |
| Merrill Lynch | | Heating Oil ULSD December Futures^ | | 1/2015 | | USD | | | (508,305 | ) | | | 508,299 | |
| Merrill Lynch | | Heating Oil ULSD December Futures^ | | 1/2015 | | USD | | | 550,200 | | | | (550,200 | ) |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | 2,299,979 | | | | (239,274 | ) |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | (237,972 | ) | | | 9,005 | |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | 2,954,627 | | | | (721,302 | ) |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (2,494,099 | ) | | | 260,774 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 7,696,767 | | | | 12,398 | |
| Goldman Sachs | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 14,733,925 | | | | 32,529 | |
| Morgan Stanley and Co., International PLC | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 49,091,961 | | | | 85,468 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 2,775,755 | | | | (93,535 | ) |
| Merrill Lynch | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (3,594,890 | ) | | | (68,621 | ) |
| Merrill Lynch | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 8,069,970 | | | | (284,955 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
198
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 1,258,202 | | | | $(88,922 | ) |
| Merrill Lynch | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (1,070,450 | ) | | | 96,039 | |
| Merrill Lynch | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 3,147,654 | | | | (321,842 | ) |
| CitiBank | | LME Aluminum June Futures^ | | 6/2015 | | USD | | | 12,001,150 | | | | (899,937 | ) |
| CitiBank | | LME Aluminum June Futures^ | | 6/2015 | | USD | | | (963,400 | ) | | | 30,525 | |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | 16,757,700 | | | | (1,967,700 | ) |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | (16,088,225 | ) | | | 1,298,225 | |
| CitiBank | | LME Copper June Futures^ | | 6/2015 | | USD | | | 11,925,000 | | | | (152,813 | ) |
| CitiBank | | LME Copper June Futures^ | | 6/2015 | | USD | | | (5,097,175 | ) | | | 74,375 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | (22,709,075 | ) | | | 788,775 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | 24,044,950 | | | | (2,124,650 | ) |
| CitiBank | | LME Lead June Futures^ | | 6/2015 | | USD | | | (245,725 | ) | | | 12,163 | |
| CitiBank | | LME Lead June Futures^ | | 6/2015 | | USD | | | 660,238 | | | | (52,975 | ) |
| CitiBank | | LME Lead March Futures^ | | 3/2015 | | USD | | | 1,497,738 | | | | (243,588 | ) |
| CitiBank | | LME Lead March Futures^ | | 3/2015 | | USD | | | (1,381,700 | ) | | | 127,550 | |
| CitiBank | | LME Nickel June Futures^ | | 6/2015 | | USD | | | 2,362,185 | | | | (173,529 | ) |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | 3,811,524 | | | | (723,168 | ) |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | (3,359,310 | ) | | | 270,954 | |
| CitiBank | | LME Zinc June Futures^ | | 6/2015 | | USD | | | 3,936,063 | | | | (53,694 | ) |
| CitiBank | | LME Zinc June Futures^ | | 6/2015 | | USD | | | (1,256,725 | ) | | | (944 | ) |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | (5,470,125 | ) | | | 137,700 | |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | 5,816,113 | | | | (483,688 | ) |
| Bank of America | | Long Gilt March Futures | | 3/2015 | | GBP | | | 25,781,880 | | | | 994,389 | |
| Morgan Stanley and Co., International PLC | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 8,131,574 | | | | 137,136 | |
| CitiBank | | Natural Gas December Futures^ | | 1/2015 | | USD | | | 4,755,250 | | | | (1,087,873 | ) |
| CitiBank | | Natural Gas December Futures^ | | 1/2015 | | USD | | | (4,950,660 | ) | | | 1,283,278 | |
| CitiBank | | Natural Gas February Futures^ | | 3/2015 | | USD | | | 1,780,660 | | | | (361,488 | ) |
| CitiBank | | Natural Gas February Futures^ | | 3/2015 | | USD | | | (402,340 | ) | | | 83,749 | |
| CitiBank | | Natural Gas January Futures^ | | 2/2015 | | USD | | | (3,848,670 | ) | | | 901,744 | |
| CitiBank | | Natural Gas January Futures^ | | 2/2015 | | USD | | | 4,413,540 | | | | (1,466,523 | ) |
| Morgan Stanley and Co., International PLC | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | 4,231,305 | | | | 15,067 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | 2,647,840 | | | | (151,934 | ) |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | (671,550 | ) | | | 47,569 | |
| Merrill Lynch | | Silver March Futures^ | | 2/2015 | | USD | | | 5,178,470 | | | | (186,790 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 8,192,009 | | | | 507,577 | |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | (8,954,750 | ) | | | 254,918 | |
| Merrill Lynch | | Soybean March Futures^ | | 3/2015 | | USD | | | (2,779,525 | ) | | | (35,092 | ) |
| Merrill Lynch | | Soybean March Futures^ | | 3/2015 | | USD | | | 2,633,813 | | | | 180,780 | |
| CitiBank | | Soybean May Futures^ | | 4/2015 | | USD | | | 9,481,392 | | | | (258,417 | ) |
| Merrill Lynch | | Soybean May Futures^ | | 5/2015 | | USD | | | (52,263 | ) | | | 738 | |
| Merrill Lynch | | Soybean May Futures^ | | 5/2015 | | USD | | | 159,300 | | | | (4,723 | ) |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 924,820 | | | | (21,060 | ) |
| Deutsche Bank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | (106,200 | ) | | | 1,920 | |
| Deutsche Bank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 1,508,010 | | | | (48,090 | ) |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | 2,989,593 | | | | 18,705 | |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | (422,574 | ) | | | (1,673 | ) |
| CitiBank | | Sugar #11 (World Markets) February Futures^ | | 2/2015 | | USD | | | 7,787,539 | | | | (1,217,166 | ) |
| CitiBank | | Sugar #11 (World Markets) February Futures^ | | 2/2015 | | USD | | | (5,412,697 | ) | | | 533,817 | |
| Morgan Stanley and Co., International PLC | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 7,131,905 | | | | 176,007 | |
| Morgan Stanley and Co., International PLC | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 5,403,731 | | | | 5,188 | |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | 3/2015 | | USD | | | 398,702,688 | | | | 2,482,625 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 1,533,278 | | | | 176,940 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | (53,434 | ) | | | (5,540 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
199
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | WTI Crude February Futures^ | | 3/2015 | | USD | | | 12,093,580 | | | | $(1,890,580 | ) |
| Merrill Lynch | | WTI Crude February Futures^ | | 3/2015 | | USD | | | (1,239,150 | ) | | | 57,750 | |
| Merrill Lynch | | WTI Crude February Futures^ | | 3/2015 | | USD | | | 4,557,490 | | | | (744,661 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 12,079,639 | | | | (3,556,019 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (10,224,000 | ) | | | 1,700,599 | |
| Merrill Lynch | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (4,620,080 | ) | | | 784,594 | |
| Merrill Lynch | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 5,589,360 | | | | (1,753,814 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(13,486,662 | ) |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank, Goldman Sachs, Merrill Lynch and Morgan Stanley and Co., International PLC for total return swap contracts in the amount of $2,081, $252,170, $13,470,107, $4,240,027, $70,000, $14,170,385 and $5,631,639, respectively at December 31, 2014. Additional cash held as collateral for Bank of America for total return swap contracts in the amount of $5,500,000 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | |
| 11 | | Goldman Sachs | | Live Cattle Futures^ | | 2/2015 | | | $384,198 | | | | $357,280 | | | | $(26,918 | ) |
| 6 | | Goldman Sachs | | Live Cattle Futures^ | | 3/2015 | | | 648,679 | | | | 651,975 | | | | 3,296 | |
| 25 | | Barclays Capital | | Amsterdam Index Futures | | 1/2015 | | | 2,551,615 | | | | 2,571,356 | | | | 19,741 | |
| 61 | | Barclays Capital | | CAC40 Index Futures | | 1/2015 | | | 3,128,325 | | | | 3,156,984 | | | | 28,659 | |
| 16 | | Barclays Capital | | DAX Index Futures | | 3/2015 | | | 4,718,996 | | | | 4,764,451 | | | | 45,455 | |
| 61 | | Barclays Capital | | E-Mini Russell 2000 Futures | | 3/2015 | | | 6,951,920 | | | | 7,324,270 | | | | 372,350 | |
| 245 | | Barclays Capital | | Euro Stoxx 50 Index | | 3/2015 | | | 9,025,649 | | | | 9,288,163 | | | | 262,514 | |
| 138 | | Barclays Capital | | FTSE 100 Index Futures | | 3/2015 | | | 13,482,727 | | | | 14,029,036 | | | | 546,309 | |
| 70 | | J.P. Morgan | | FTSE/JSE Top 40 Index Futures | | 3/2015 | | | 2,560,551 | | | | 2,678,188 | | | | 117,637 | |
| 22 | | Barclays Capital | | Hang Seng Index Futures | | 1/2015 | | | 3,346,073 | | | | 3,354,620 | | | | 8,547 | |
| 62 | | Barclays Capital | | H-SHARES Index Futures | | 1/2015 | | | 4,775,513 | | | | 4,792,725 | | | | 17,212 | |
| 10 | | Barclays Capital | | IBEX 35 Index Futures | | 1/2015 | | | 1,184,844 | | | | 1,239,612 | | | | 54,768 | |
| 50 | | Barclays Capital | | KOSPI Index 200 Futures | | 3/2015 | | | 5,706,322 | | | | 5,549,743 | | | | (156,579 | ) |
| 873 | | Barclays Capital | | S&P 500 E-Mini Futures | | 3/2015 | | | 86,465,526 | | | | 89,587,260 | | | | 3,121,734 | |
| 58 | | Barclays Capital | | S&P MID 400 E-Mini Futures | | 3/2015 | | | 8,066,746 | | | | 8,401,880 | | | | 335,134 | |
| 27 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | 3/2015 | | | 3,728,786 | | | | 3,958,202 | | | | 229,416 | |
| 16 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | 1/2015 | | | 266,913 | | | | 267,488 | | | | 575 | |
| 20 | | Barclays Capital | | SPI 200 Index Futures | | 3/2015 | | | 2,200,060 | | | | 2,197,340 | | | | (2,720 | ) |
| 141 | | Barclays Capital | | TOPIX Index Futures | | 3/2015 | | | 16,919,403 | | | | 16,568,501 | | | | (350,902 | ) |
| 141 | | J.P. Morgan | | Australia 10-Year Bond Futures | | 3/2015 | | | 14,566,353 | | | | 14,751,078 | | | | 184,725 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | $190,679,199 | | | | $195,490,152 | | | | $4,810,953 | |
| | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $4,852,531, $54,445 and $181,925, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
200
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | 22,423,500 | | | | $8,445,473 | | | | $8,270,115 | | | | $(175,358 | ) |
| Brazilian Real, Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 22,423,500 | | | | 8,445,428 | | | | 8,270,115 | | | | (175,313 | ) |
| Canadian Dollar, Expiring 03/18/15 | | CitiBank | | CAD | | | 375,000 | | | | 328,557 | | | | 322,264 | | | | (6,293 | ) |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 599,000 | | | | 526,407 | | | | 514,763 | | | | (11,644 | ) |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 375,000 | | | | 388,802 | | | | 377,696 | | | | (11,106 | ) |
| Chinese Renminbi, Expiring 03/18/15* | | CitiBank | | CNY | | | 54,579,500 | | | | 8,732,513 | | | | 8,719,342 | | | | (13,171 | ) |
| Chinese Renminbi, Expiring 03/18/15* | | Credit Suisse International | | CNY | | | 54,579,500 | | | | 8,733,253 | | | | 8,719,342 | | | | (13,911 | ) |
| Euro, Expiring 03/18/15 | | CitiBank | | EUR | | | 16,726,000 | | | | 20,817,906 | | | | 20,252,711 | | | | (565,195 | ) |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 21,708,955 | | | | 26,981,762 | | | | 26,286,330 | | | | (695,432 | ) |
| British Pound, Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 1,294,432 | | | | 2,038,048 | | | | 2,016,334 | | | | (21,714 | ) |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 3,412,000 | | | | 440,059 | | | | 439,980 | | | | (79 | ) |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | 1,884,688,500 | | | | 7,594,167 | | | | 7,190,155 | | | | (404,012 | ) |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 1,884,688,500 | | | | 7,594,193 | | | | 7,190,155 | | | | (404,038 | ) |
| Israeli Shekel, Expiring 03/18/15 | | CitiBank | | ILS | | | 26,955,500 | | | | 6,795,201 | | | | 6,912,570 | | | | 117,369 | |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 26,955,500 | | | | 6,795,172 | | | | 6,912,571 | | | | 117,399 | |
| Indian Rupee, Expiring 03/18/15* | | CitiBank | | INR | | | 30,338,000 | | | | 469,470 | | | | 473,438 | | | | 3,968 | |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | 33,079,000 | | | | 512,047 | | | | 516,213 | | | | 4,166 | |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 18,635,000 | | | | 156,833 | | | | 155,678 | | | | (1,155 | ) |
| Korean Won, Expiring 03/18/15* | | CitiBank | | KRW | | | 10,111,736,500 | | | | 9,140,695 | | | | 9,168,897 | | | | 28,202 | |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 10,111,736,499 | | | | 9,140,803 | | | | 9,168,897 | | | | 28,094 | |
| Mexican Peso, Expiring 03/18/15 | | CitiBank | | MXN | | | 129,899,500 | | | | 9,165,283 | | | | 8,764,890 | | | | (400,393 | ) |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 129,899,500 | | | | 9,165,350 | | | | 8,764,890 | | | | (400,460 | ) |
| Poland Zloty, Expiring 03/18/15 | | CitiBank | | PLN | | | 24,069,000 | | | | 7,124,641 | | | | 6,776,278 | | | | (348,363 | ) |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 24,069,000 | | | | 7,124,843 | | | | 6,776,277 | | | | (348,566 | ) |
| Singapore Dollar, Expiring 03/18/15 | | CitiBank | | SGD | | | 14,521,000 | | | | 11,047,690 | | | | 10,948,421 | | | | (99,269 | ) |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 14,521,000 | | | | 11,047,663 | | | | 10,948,420 | | | | (99,243 | ) |
| Turkish Lira, Expiring 03/18/15 | | CitiBank | | TRY | | | 40,604,000 | | | | 17,766,948 | | | | 17,116,640 | | | | (650,308 | ) |
| Turkish Lira, Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 40,604,000 | | | | 17,766,999 | | | | 17,116,640 | | | | (650,359 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | CitiBank | | TWD | | | 214,838,500 | | | | 6,919,612 | | | | 6,801,313 | | | | (118,299 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
201
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 214,838,500 | | | | $6,919,613 | | | | $6,801,313 | | | | $(118,300 | ) |
| South African Rand, Expiring 03/18/15 | | CitiBank | | ZAR | | | 111,379,501 | | | | 9,756,477 | | | | 9,515,044 | | | | (241,433 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 111,379,501 | | | | 9,756,493 | | | | 9,515,044 | | | | (241,449 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $257,638,401 | | | | $251,722,736 | | | | $(5,915,665 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | (5,740,500 | ) | | | $(2,069,619 | ) | | | $(2,117,180 | ) | | | $(47,561 | ) |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (5,740,500 | ) | | | (2,069,645 | ) | | | (2,117,180 | ) | | | (47,535 | ) |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | (157,500 | ) | | | (161,710 | ) | | | (158,633 | ) | | | 3,077 | |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (157,500 | ) | | | (161,710 | ) | | | (158,633 | ) | | | 3,077 | |
Chinese Renminbi,
Expiring 03/18/15* | | CitiBank | | CNY | | | (6,956,000 | ) | | | (1,110,902 | ) | | | (1,111,255 | ) | | | (353 | ) |
Chinese Renminbi,
Expiring 03/18/15* | | Credit Suisse International | | CNY | | | (6,956,000 | ) | | | (1,110,982 | ) | | | (1,111,255 | ) | | | (273 | ) |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | (74,871,953 | ) | | | (92,337,530 | ) | | | (90,658,853 | ) | | | 1,678,677 | |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (78,932,641 | ) | | | (97,351,497 | ) | | | (95,575,745 | ) | | | 1,775,752 | |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | (7,700,344 | ) | | | (12,027,189 | ) | | | (11,994,810 | ) | | | 32,379 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (7,700,343 | ) | | | (12,027,261 | ) | | | (11,994,809 | ) | | | 32,452 | |
Hong Kong Dollar,
Expiring 03/18/15 | | CitiBank | | HKD | | | (877,000 | ) | | | (113,110 | ) | | | (113,090 | ) | | | 20 | |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | (1,202,000 | ) | | | (155,011 | ) | | | (154,999 | ) | | | 12 | |
Hungarian Forint,
Expiring 03/18/15 | | CitiBank | | HUF | | | (647,374,500 | ) | | | (2,587,981 | ) | | | (2,469,758 | ) | | | 118,223 | |
Hungarian Forint,
Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (647,374,500 | ) | | | (2,588,395 | ) | | | (2,469,758 | ) | | | 118,637 | |
Israeli Shekel,
Expiring 03/18/15 | | CitiBank | | ILS | | | (19,838,000 | ) | | | (5,052,548 | ) | | | (5,087,332 | ) | | | (34,784 | ) |
Israeli Shekel,
Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (19,838,000 | ) | | | (5,054,409 | ) | | | (5,087,332 | ) | | | (32,923 | ) |
Korean Won,
Expiring 03/18/15* | | CitiBank | | KRW | | | (2,737,817,000 | ) | | | (2,449,037 | ) | | | (2,482,537 | ) | | | (33,500 | ) |
Korean Won,
Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (2,737,817,000 | ) | | | (2,449,053 | ) | | | (2,482,537 | ) | | | (33,484 | ) |
Mexican Peso,
Expiring 03/18/15 | | CitiBank | | MXN | | | (68,788,500 | ) | | | (4,744,733 | ) | | | (4,641,463 | ) | | | 103,270 | |
Mexican Peso,
Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (68,788,500 | ) | | | (4,745,723 | ) | | | (4,641,463 | ) | | | 104,260 | |
Poland Zloty,
Expiring 03/18/15 | | CitiBank | | PLN | | | (6,014,500 | ) | | | (1,766,400 | ) | | | (1,693,295 | ) | | | 73,105 | |
Poland Zloty,
Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (6,014,500 | ) | | | (1,766,510 | ) | | | (1,693,295 | ) | | | 73,215 | |
Singapore Dollar,
Expiring 03/18/15 | | CitiBank | | SGD | | | (6,145,000 | ) | | | (4,680,810 | ) | | | (4,633,154 | ) | | | 47,656 | |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (6,145,000 | ) | | | (4,679,697 | ) | | | (4,633,154 | ) | | | 46,543 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
202
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Turkish Lira,
Expiring 03/18/15 | | CitiBank | | TRY | | | (13,616,500 | ) | | | $(5,695,775 | ) | | | $(5,740,043 | ) | | | $(44,268 | ) |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (13,616,500 | ) | | | (5,697,119 | ) | | | (5,740,043 | ) | | | (42,924 | ) |
Taiwanese Dollar,
Expiring 03/18/15* | | CitiBank | | TWD | | | (158,145,000 | ) | | | (5,089,843 | ) | | | (5,006,521 | ) | | | 83,322 | |
Taiwanese Dollar,
Expiring 03/18/15* | | Credit Suisse International | | TWD | | | (158,145,000 | ) | | | (5,089,701 | ) | | | (5,006,522 | ) | | | 83,179 | |
South African Rand,
Expiring 03/18/15 | | CitiBank | | ZAR | | | (55,266,500 | ) | | | (4,707,104 | ) | | | (4,721,364 | ) | | | (14,260 | ) |
South African Rand,
Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (55,266,500 | ) | | | (4,708,492 | ) | | | (4,721,364 | ) | | | (12,872 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (294,249,496 | ) | | | (290,217,377 | ) | | | 4,032,119 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(36,611,095 | ) | | | $(38,494,641 | ) | | | $(1,883,546 | ) |
| | | | | | | | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to CitiBank, Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $800,000, $1,150,010 and $16,352, respectively at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
| USD | - United States Dollar |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
203
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II HV FUND | | |
| | | | | | | | | | | | | | | | | | |
| GOVERNMENT RELATED OBLIGATIONS - 18.4% | | INTEREST
RATE | | | MATURITY
DATE | | | CURRENCY | | PRINCIPAL
AMOUNT
(000’s) | | | VALUE
(Note 5) | |
| Sovereign Debt - 18.4% | | | | | | | | | | | | | | | | | | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 0.100 | % | | | 04/15/23 | | | EUR | | | 1,761 | | | $ | 2,226,169 | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 0.750 | % | | | 04/15/18 | | | EUR | | | 1,276 | | | | 1,585,919 | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 1.750 | % | | | 04/15/20 | | | EUR | | | 767 | | | | 1,035,383 | |
| France Government Bond OAT (France) | | | 0.250 | % | | | 07/25/18 | | | EUR | | | 624 | | | | 769,159 | |
| France Government Bond OAT (France) | | | 1.300 | % | | | 07/25/19 | | | EUR | | | 1,385 | | | | 1,806,125 | |
| United Kingdom Index Linked Treasury Gilt (United Kingdom) | | | 0.125 | % | | | 03/22/24 | | | GBP | | | 213 | | | | 364,321 | |
| United Kingdom Treasury Gilt (United Kingdom) | | | 1.875 | % | | | 11/22/22 | | | GBP | | | 752 | | | | 1,456,914 | |
| | | | | | | | | | | | | | | | | | |
TOTAL GOVERNMENT RELATED OBLIGATIONS
(cost $9,871,292) | | | | | | | | | | | | | | | | | 9,243,990 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| U.S. TREASURY OBLIGATIONS - 23.4% | | | | | | | | | | | | | | |
| U.S. Treasury Inflation Protected Securities - 23.4% | | | | | | | | | | | | | | | | | | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 04/15/18 | | | USD | | | 4,100 | | | | 4,195,482 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 04/15/19 | | | USD | | | 4,000 | | | | 4,008,510 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 01/15/23 | | | USD | | | 800 | | | | 795,717 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 07/15/24 | | | USD | | | 500 | | | | 481,499 | |
| U.S. Treasury Inflation Protected Securities | | | 0.375 | % | | | 07/15/23 | | | USD | | | 700 | | | | 706,092 | |
| U.S. Treasury Inflation Protected Securities | | | 0.625 | % | | | 01/15/24 | | | USD | | | 700 | | | | 715,367 | |
| U.S. Treasury Inflation Protected Securities | | | 2.125 | % | | | 01/15/19 | | | USD | | | 700 | | | | 831,812 | |
| | | | | | | | | | | | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(cost $11,964,894) | | | | | | | | | | | | | | | | | 11,734,479 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| MONEY MARKET FUNDS - 41.8% | | | | | | | | | | SHARES | | | | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^ | | | | | | | | | | | | | 240,007 | | | | 240,007 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | | | | | | | | | | | | | 960,029 | | | | 960,029 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (a)^ | | | | | | | | | | | | | 15,447,290 | | | | 15,447,290 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | | | | | | | | | | | | | 3,150,023 | | | | 3,150,023 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | | | | | | | | | | | | | 1,200,037 | | | | 1,200,037 | |
| | | | | | | | | | | | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $20,997,386) | | | | | | | | | | | | | | | | | 20,997,386 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| SHORT-TERM INVESTMENTS - 14.9% | | | | | | | | | | PRINCIPAL
AMOUNT
(000’s) | | | | |
| U.S. Treasury Bill, 0.037%, 04/09/2015 (c) | | | | | | | | | | | | $ | 1,630 | | | | 1,629,880 | |
| U.S. Treasury Bill, 0.045%, 02/05/2015 (c) | | | | | | | | | | | | | 1,113 | | | | 1,112,973 | |
| U.S. Treasury Bill, 0.055%, 01/29/2015 (c)^ | | | | | | | | | | | | | 4,492 | | | | 4,491,915 | |
| U.S. Treasury Bill, 0.064%, 05/28/2015 (c)^ | | | | | | | | | | | | | 250 | | | | 249,934 | |
| | | | | | | | | | | | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $7,484,526) | | | | | | | | | | | | | | | | | 7,484,702 | |
| | | | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES,
AT VALUE - 98.5%
(cost $50,318,098) | | | | | | | | | | | | | | | | | 49,460,557 | |
| | | | | | | | | | | | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.5% (d) | | | | | | | | | | | | | | | | | 746,508 | |
| | | | | | | | | | | | | | | | | | |
NET ASSETS - 100.0% | | | | | | | | | | | | | | | | $ | 50,207,065 | |
| | | | | | | | | | | | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for futures, forward foreign currency exchange and swap contracts |
| (c) | The rate shown is the effective yield at the date of purchase. |
| (d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (See Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
204
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II HV FUND | | |
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Canadian Bond March Futures | | 3/2015 | | CAD | | | 271,754 | | | | $4,624 | |
| Goldman Sachs | | Bovespa Index February Futures | | 2/2015 | | BRL | | | 1,931,198 | | | | 32,279 | |
| Deutsche Bank | | Brent Crude February Futures^ | | 2/2015 | | USD | | | 1,222,810 | | | | (233,240 | ) |
| Deutsche Bank | | Brent Crude February Futures^ | | 2/2015 | | USD | | | (122,540 | ) | | | 6,120 | |
| Deutsche Bank | | Brent Crude January Futures^ | | 1/2015 | | USD | | | (1,299,670 | ) | | | 267,730 | |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | 418,594 | | | | (131,931 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | (352,200 | ) | | | 65,544 | |
| Deutsche Bank | | Brent Crude January Futures^ | | 1/2015 | | USD | | | 1,553,220 | | | | (521,280 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | (28,580 | ) | | | (520 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 29,144 | | | | (44 | ) |
| CitiBank | | Coffee ‘C’ March Futures^ | | 2/2015 | | USD | | | 292,838 | | | | (42,937 | ) |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (164,363 | ) | | | (14,282 | ) |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 813,994 | | | | 79,231 | |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (30,335 | ) | | | 200 | |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | 186,780 | | | | (5,969 | ) |
| Bank of America | | Euro-Bund March Futures | | 3/2015 | | EUR | | | 5,056,853 | | | | 107,120 | |
| Deutsche Bank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 426,900 | | | | (114,150 | ) |
| CitiBank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | 78,800 | | | | (26,180 | ) |
| CitiBank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | (69,300 | ) | | | 16,680 | |
| Deutsche Bank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (334,200 | ) | | | 21,450 | |
| CitiBank | | Gas Oil March Futures^ | | 3/2015 | | USD | | | 171,500 | | | | (13,925 | ) |
| CitiBank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 130,200 | | | | (23,289 | ) |
| CitiBank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (112,600 | ) | | | 5,694 | |
| Deutsche Bank | | Gas Oil March Futures^ | | 3/2015 | | USD | | | 336,150 | | | | (21,000 | ) |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | 878,976 | | | | (120,910 | ) |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | (138,281 | ) | | | 11,936 | |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (1,124,563 | ) | | | 197,140 | |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | 1,311,454 | | | | (384,031 | ) |
| Barclays Capital | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 1,076,310 | | | | (10,620 | ) |
| Bank of America | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 1,169,970 | | | | 1,609 | |
| Goldman Sachs | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 2,343,542 | | | | 2,754 | |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | 340,738 | | | | (35,448 | ) |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | 408,035 | | | | (99,990 | ) |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (343,241 | ) | | | 35,196 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 1,775,818 | | | | 2,907 | |
| Goldman Sachs | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 7,661,029 | | | | 16,994 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (62,804 | ) | | | (2,616 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 880,870 | | | | (30,410 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 464,686 | | | | (42,446 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (109,212 | ) | | | 11,772 | |
| CitiBank | | LME Aluminum June Futures^ | | 6/2015 | | USD | | | 201,700 | | | | (15,125 | ) |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | 210,500 | | | | (25,625 | ) |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | (200,800 | ) | | | 15,925 | |
| CitiBank | | LME Copper June Futures^ | | 6/2015 | | USD | | | 477,000 | | | | (6,113 | ) |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | (478,125 | ) | | | 5,025 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | 520,688 | | | | (47,588 | ) |
| CitiBank | | LME Nickel June Futures^ | | 6/2015 | | USD | | | 97,965 | | | | (6,771 | ) |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | 112,422 | | | | (21,588 | ) |
| CitiBank | | LME Nickel March Futures^ | | 3/2015 | | USD | | | (97,620 | ) | | | 6,786 | |
| CitiBank | | LME Zinc June Futures^ | | 6/2015 | | USD | | | 221,750 | | | | (3,025 | ) |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | 238,925 | | | | (21,275 | ) |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | (221,000 | ) | | | 3,350 | |
| Bank of America | | Long Gilt March Futures | | 3/2015 | | GBP | | | 1,513,006 | | | | 64,136 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
205
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II HV FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Goldman Sachs | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 811,035 | | | | $12,405 | |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | 413,500 | | | | (94,598 | ) |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | (436,400 | ) | | | 117,497 | |
| CitiBank | | Natural Gas Swap February Futures^ | | 3/2015 | | USD | | | (72,960 | ) | | | 15,034 | |
| CitiBank | | Natural Gas Swap February Futures^ | | 3/2015 | | USD | | | 290,720 | | | | (59,018 | ) |
| Deutsche Bank | | Natural Gas Swap January Futures^ | | 1/2015 | | USD | | | (157,412 | ) | | | 41,852 | |
| Deutsche Bank | | Natural Gas Swap January Futures^ | | 1/2015 | | USD | | | 170,820 | | | | (55,260 | ) |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | (367,460 | ) | | | 78,547 | |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | 432,700 | | | | (143,777 | ) |
| Goldman Sachs | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | 433,316 | | | | 1,352 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | 165,490 | | | | (9,500 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 95,786 | | | | 6,562 | |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | (105,350 | ) | | | 2,999 | |
| Deutsche Bank | | Soybean March Futures^ | | 2/2015 | | USD | | | 477,700 | | | | 34,050 | |
| Deutsche Bank | | Soybean March Futures^ | | 2/2015 | | USD | | | (524,938 | ) | | | 13,188 | |
| CitiBank | | Soybean May Futures^ | | 4/2015 | | USD | | | 106,029 | | | | (2,979 | ) |
| Deutsche Bank | | Soybean May Futures^ | | 4/2015 | | USD | | | 528,375 | | | | (13,125 | ) |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 248,990 | | | | (5,670 | ) |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | 325,789 | | | | 2,039 | |
| Goldman Sachs | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 1,146,334 | | | | 11,695 | |
| Goldman Sachs | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 12,618,120 | | | | 11,805 | |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | 3/2015 | | USD | | | 46,480,626 | | | | 307,421 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 78,970 | | | | 9,493 | |
| Deutsche Bank | | WTI Crude February Futures^ | | 2/2015 | | USD | | | (166,260 | ) | | | 5,160 | |
| Deutsche Bank | | WTI Crude February Futures^ | | 2/2015 | | USD | | | 889,980 | | | | (138,180 | ) |
| CitiBank | | WTI Crude February Futures^ | | 3/2015 | | USD | | | 1,398,844 | | | | (217,444 | ) |
| CitiBank | | WTI Crude February Futures^ | | 3/2015 | | USD | | | 355,465 | | | | (64,415 | ) |
| Deutsche Bank | | WTI Crude January Futures^ | | 1/2015 | | USD | | | 1,078,280 | | | | (332,500 | ) |
| Deutsche Bank | | WTI Crude January Futures^ | | 1/2015 | | USD | | | (887,320 | ) | | | 141,540 | |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 1,353,759 | | | | (394,852 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (1,150,200 | ) | | | 191,317 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(1,567,488 | ) |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $1,100,007, $1,700,015 and $350,000, respectively at December 31, 2014. Additional cash held as collateral for Bank of America for total return swap contracts was $320,000 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | |
| 2 | | Goldman Sachs | | Cocoa Futures^ | | | 3/2015 | | | | $58,892 | | | | $58,200 | | | | $(692 | ) |
| 3 | | Goldman Sachs | | Coffee ‘C’ Futures^ | | | 3/2015 | | | | 213,806 | | | | 187,425 | | | | (26,381 | ) |
| 13 | | Goldman Sachs | | Corn Futures^ | | | 3/2015 | | | | 251,663 | | | | 258,050 | | | | 6,387 | |
| 2 | | Goldman Sachs | | Cotton No. 2 Futures^ | | | 3/2015 | | | | 61,445 | | | | 60,270 | | | | (1,175 | ) |
| 2 | | Goldman Sachs | | Gold 100 OZ Futures^ | | | 2/2015 | | | | 244,330 | | | | 236,820 | | | | (7,510 | ) |
| 5 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | 175,126 | | | | 162,400 | | | | (12,726 | ) |
| 3 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | 202,385 | | | | 196,260 | | | | (6,125 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 96,254 | | | | 91,573 | | | | (4,681 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 50,097 | | | | 45,844 | | | | (4,253 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 50,434 | | | | 45,896 | | | | (4,538 | ) |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 256,761 | | | | 229,688 | | | | (27,073 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 51,596 | | | | 45,970 | | | | (5,626 | ) |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 100,698 | | | | 91,988 | | | | (8,710 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
206
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | | | | | | | | |
| 34 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | $1,750,568 | | | | $1,571,438 | | | | $(179,130 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 47,503 | | | | 46,210 | | | | (1,293 | ) |
| 25 | | J.P. Morgan | | LME Aluminum Futures^ | | | 6/2015 | | | | 1,244,028 | | | | 1,166,094 | | | | (77,934 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 165,837 | | | | 158,288 | | | | (7,549 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 166,252 | | | | 158,068 | | | | (8,184 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 321,431 | | | | 315,535 | | | | (5,896 | ) |
| 13 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 2,202,404 | | | | 2,050,100 | | | | (152,304 | ) |
| 7 | | J.P. Morgan | | LME Copper Futures^ | | | 6/2015 | | | | 1,118,533 | | | | 1,098,738 | | | | (19,795 | ) |
| 3 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 157,107 | | | | 139,350 | | | | (17,757 | ) |
| 2 | | J.P. Morgan | | LME Lead Futures^ | | | 6/2015 | | | | 102,162 | | | | 93,425 | | | | (8,737 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 101,332 | | | | 90,758 | | | | (10,574 | ) |
| 3 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 354,984 | | | | 272,502 | | | | (82,482 | ) |
| 3 | | J.P. Morgan | | LME Nickel Futures^ | | | 6/2015 | | | | 299,217 | | | | 273,582 | | | | (25,635 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 57,103 | | | | 54,166 | | | | (2,937 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | 55,427 | | | | 54,181 | | | | (1,246 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 54,128 | | | | 54,393 | | | | 265 | |
| 8 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 466,493 | | | | 435,300 | | | | (31,193 | ) |
| 5 | | J.P. Morgan | | LME Zinc Futures^ | | | 6/2015 | | | | 278,271 | | | | 273,407 | | | | (4,864 | ) |
| 10 | | Goldman Sachs | | Silver Futures^ | | | 3/2015 | | | | 815,597 | | | | 779,950 | | | | (35,647 | ) |
| 11 | | Goldman Sachs | | Soybean Futures^ | | | 5/2015 | | | | 579,146 | | | | 566,775 | | | | (12,371 | ) |
| 1 | | Goldman Sachs | | Soybean Meal Futures^ | | | 3/2015 | | | | 35,955 | | | | 34,760 | | | | (1,195 | ) |
| 1 | | Goldman Sachs | | Soybean Oil Futures^ | | | 3/2015 | | | | 19,350 | | | | 19,284 | | | | (66 | ) |
| 20 | | Goldman Sachs | | Sugar #11 (World Markets) Futures^ | | | 2/2015 | | | | 369,517 | | | | 325,248 | | | | (44,269 | ) |
| 5 | | Goldman Sachs | | Wheat Futures^ | | | 3/2015 | | | | 135,094 | | | | 147,437 | | | | 12,343 | |
| 4 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | 412,484 | | | | 411,417 | | | | (1,067 | ) |
| 10 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | 510,512 | | | | 517,538 | | | | 7,026 | |
| 3 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | 888,450 | | | | 893,334 | | | | 4,884 | |
| 10 | | Barclays Capital | | E-Mini Russell 2000 Futures | | | 3/2015 | | | | 1,139,923 | | | | 1,200,700 | | | | 60,777 | |
| 39 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | 1,436,882 | | | | 1,478,523 | | | | 41,641 | |
| 22 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | 2,147,806 | | | | 2,236,513 | | | | 88,707 | |
| 13 | | J.P. Morgan | | FTSE/JSE Top 40 Index Futures | | | 3/2015 | | | | 475,531 | | | | 497,378 | | | | 21,847 | |
| 3 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | 461,556 | | | | 457,448 | | | | (4,108 | ) |
| 12 | | Barclays Capital | | H-SHARES Index Futures | | | 1/2015 | | | | 924,757 | | | | 927,624 | | | | 2,867 | |
| 2 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | 236,969 | | | | 247,923 | | | | 10,954 | |
| 8 | | Barclays Capital | | KOSPI Index 200 Futures | | | 3/2015 | | | | 912,292 | | | | 887,959 | | | | (24,333 | ) |
| 142 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 14,081,662 | | | | 14,572,040 | | | | 490,378 | |
| 9 | | Barclays Capital | | S&P MID 400 E-Mini Futures | | | 3/2015 | | | | 1,251,873 | | | | 1,303,740 | | | | 51,867 | |
| 5 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | 686,553 | | | | 733,001 | | | | 46,448 | |
| 15 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | | 1/2015 | | | | 250,266 | | | | 250,770 | | | | 504 | |
| 1 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | 110,672 | | | | 109,867 | | | | (805 | ) |
| 21 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | 2,518,206 | | | | 2,467,649 | | | | (50,557 | ) |
| 47 | | J.P. Morgan | | 10-Year Japanese Government Bond | | | 3/2015 | | | | 5,770,615 | | | | 5,801,035 | | | | 30,420 | |
| 20 | | J.P. Morgan | | Australia 10-Year Bond Futures | | | 3/2015 | | | | 2,064,664 | | | | 2,092,352 | | | | 27,688 | |
| 25 | | J.P. Morgan | | Canadian 10-Year Bond Futures | | | 3/2015 | | | | 2,927,607 | | | | 2,980,720 | | | | 53,113 | |
| 77 | | J.P. Morgan | | Euro - Bund Futures | | | 3/2015 | | | | 14,279,598 | | | | 14,523,008 | | | | 243,410 | |
| 18 | | J.P. Morgan | | Long Gilt Futures | | | 3/2015 | | | | 3,280,911 | | | | 3,353,390 | | | | 72,479 | |
| 53 | | J.P. Morgan | | U.S. Treasury 10-Year Note Futures | | | 3/2015 | | | | 6,695,593 | | | | 6,720,235 | | | | 24,642 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 76,176,308 | | | | 76,553,537 | | | | 377,229 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
207
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: | | | | | | | | | | | | | | | | | | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | $(96,004 | ) | | | $(91,573 | ) | | | $4,431 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (50,248 | ) | | | (45,844 | ) | | | 4,404 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (50,498 | ) | | | (45,896 | ) | | | 4,602 | |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (256,417 | ) | | | (229,687 | ) | | | 26,730 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (51,198 | ) | | | (45,971 | ) | | | 5,227 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (100,496 | ) | | | (91,988 | ) | | | 8,508 | |
| 34 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (1,690,884 | ) | | | (1,571,438 | ) | | | 119,446 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (47,438 | ) | | | (46,210 | ) | | | 1,228 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 6/2015 | | | | (96,038 | ) | | | (93,288 | ) | | | 2,750 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (165,423 | ) | | | (158,288 | ) | | | 7,135 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (166,399 | ) | | | (158,069 | ) | | | 8,330 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (321,204 | ) | | | (315,535 | ) | | | 5,669 | |
| 13 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (2,110,036 | ) | | | (2,050,100 | ) | | | 59,936 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | | 6/2015 | | | | (636,514 | ) | | | (627,850 | ) | | | 8,664 | |
| 3 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (148,030 | ) | | | (139,350 | ) | | | 8,680 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 6/2015 | | | | (47,097 | ) | | | (46,712 | ) | | | 385 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (101,397 | ) | | | (90,758 | ) | | | 10,639 | |
| 3 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (300,970 | ) | | | (272,502 | ) | | | 28,468 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (57,123 | ) | | | (54,166 | ) | | | 2,957 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 2/2015 | | | | (55,668 | ) | | | (54,181 | ) | | | 1,487 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (54,461 | ) | | | (54,393 | ) | | | 68 | |
| 8 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (446,058 | ) | | | (435,300 | ) | | | 10,758 | |
| 2 | | J.P. Morgan | | LME Zinc Futures^ | | | 6/2015 | | | | (108,176 | ) | | | (109,363 | ) | | | (1,187 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (7,157,777 | ) | | | (6,828,462 | ) | | | 329,315 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $69,018,531 | | | | $69,725,075 | | | | $706,544 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $596,426, $240,462 and $578,002, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | 160,000 | | | | $60,261 | | | | $59,011 | | | | $(1,250 | ) |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 160,000 | | | | 60,261 | | | | 59,011 | | | | (1,250 | ) |
Canadian Dollar,
Expiring 03/18/15 | | CitiBank | | CAD | | | 4,000 | | | | 3,505 | | | | 3,437 | | | | (68 | ) |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 6,000 | | | | 5,278 | | | | 5,156 | | | | (122 | ) |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | 35,000 | | | | 35,935 | | | | 35,252 | | | | (683 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 46,000 | | | | 47,261 | | | | 46,331 | | | | (930 | ) |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 169,629 | | | | 209,738 | | | | 205,396 | | | | (4,342 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 61,000 | | | | 96,124 | | | | 95,019 | | | | (1,105 | ) |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 526,000 | | | | 67,836 | | | | 67,828 | | | | (8 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $586,199 | | | | $576,441 | | | | $(9,758 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
208
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II HV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | (175,000 | ) | | | $(64,295 | ) | | | $(64,543 | ) | | | $(248 | ) |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (175,000 | ) | | | (64,421 | ) | | | (64,543 | ) | | | (122 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (7,000 | ) | | | (7,120 | ) | | | (7,050 | ) | | | 70 | |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | (2,950,213 | ) | | | (3,637,978 | ) | | | (3,572,271 | ) | | | 65,707 | |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (3,393,453 | ) | | | (4,185,436 | ) | | | (4,108,969 | ) | | | 76,467 | |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | (521,059 | ) | | | (813,915 | ) | | | (811,653 | ) | | | 2,262 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (676,612 | ) | | | (1,057,330 | ) | | | (1,053,957 | ) | | | 3,373 | |
Hong Kong Dollar,
Expiring 03/18/15 | | CitiBank | | HKD | | | (276,000 | ) | | | (35,597 | ) | | | (35,590 | ) | | | 7 | |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | (323,000 | ) | | | (41,657 | ) | | | (41,651 | ) | | | 6 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (9,907,749 | ) | | | (9,760,227 | ) | | | 147,522 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(9,321,550 | ) | | | $(9,183,786 | ) | | | $137,764 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at CitiBank for forward foreign currency exchange contracts was $170,000 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
TWD - Taiwanese Dollar
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
209
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II MV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
| GOVERNMENT RELATED OBLIGATIONS - 11.5% | | INTEREST
RATE | | | MATURITY
DATE | | | CURRENCY | | | PRINCIPAL
AMOUNT
(000’S) | | | VALUE
(Note 5) | |
| Sovereign Debt - 11.5% | | | | | | | | | | | | | | | | | | | | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 0.100 | % | | | 04/15/23 | | | | EUR | | | $ | 2,487 | | | $ | 3,142,827 | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 0.750 | % | | | 04/15/18 | | | | EUR | | | | 1,914 | | | | 2,378,879 | |
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | | | 1.750 | % | | | 04/15/20 | | | | EUR | | | | 1,096 | | | | 1,479,118 | |
| France Government Bond OAT (France) | | | 0.250 | % | | | 07/25/18 | | | | EUR | | | | 832 | | | | 1,025,545 | |
| France Government Bond OAT (France) | | | 1.300 | % | | | 07/25/19 | | | | EUR | | | | 2,025 | | | | 2,639,721 | |
| United Kingdom Index Linked Treasury Gilt (United Kingdom) | | | 0.125 | % | | | 03/22/24 | | | | GBP | | | | 319 | | | | 546,482 | |
| United Kingdom Treasury Gilt (United Kingdom) | | | 1.875 | % | | | 11/22/22 | | | | GBP | | | | 1,002 | | | | 1,942,552 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL GOVERNMENT RELATED OBLIGATIONS
(cost $14,202,529) | | | | | | | | | | | | | | | | | | | 13,155,124 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| U.S. TREASURY OBLIGATIONS - 14.9% | | | | | | | | | | | | | | | |
| U.S. Treasury Inflation Protected Securities - 14.9% | | | | | | | | | | | | | | | | | | | | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 04/15/18 | | | | USD | | | | 5,900 | | | | 6,037,400 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 04/15/19 | | | | USD | | | | 5,800 | | | | 5,812,340 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 01/15/23 | | | | USD | | | | 1,000 | | | | 994,646 | |
| U.S. Treasury Inflation Protected Securities | | | 0.125 | % | | | 07/15/24 | | | | USD | | | | 700 | | | | 674,099 | |
| U.S. Treasury Inflation Protected Securities | | | 0.375 | % | | | 07/15/23 | | | | USD | | | | 1,100 | | | | 1,109,573 | |
| U.S. Treasury Inflation Protected Securities | | | 0.625 | % | | | 01/15/24 | | | | USD | | | | 1,000 | | | | 1,021,953 | |
| U.S. Treasury Inflation Protected Securities | | | 2.125 | % | | | 01/15/19 | | | | USD | | | | 1,100 | | | | 1,307,133 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(cost $17,272,678) | | | | | | | | | | | | | | | | | | | 16,957,144 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| MONEY MARKET FUNDS - 56.2% | | | | | | | | | | | SHARES | | | | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (a)^ | | | | | | | | | | | | | | | 657,626 | | | | 657,626 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | | | | | | | | | | | | | | | 2,630,501 | | | | 2,630,501 | |
J.P. Morgan U.S. Treasury Plus Money Market Fund -
IM Shares, 0.000% (a)^ | | | | | | | | | | | | | | | 53,119,315 | | | | 53,119,315 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | | | | | | | | | | | | | | | 4,600,031 | | | | 4,600,031 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | | | | | | | | | | | | | | | 3,288,127 | | | | 3,288,127 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $64,295,600) | | | | | | | | | | | | | | | | | | | 64,295,600 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| SHORT-TERM INVESTMENTS - 16.4% | | | | | | | | | | | PRINCIPAL
AMOUNT
(000’S) | | | | |
| U.S. Treasury Bills, 0.037%, 04/09/2015 (c) | | | | | | | | | | | | | | $ | 7,457 | | | | 7,457,448 | |
| U.S. Treasury Bills, 0.045%, 02/05/2015 (c) | | | | | | | | | | | | | | | 2,944 | | | | 2,943,929 | |
| U.S. Treasury Bills, 0.045%, 02/05/2015 (c)^ | | | | | | | | | | | | | | | 900 | | | | 899,979 | |
| U.S. Treasury Bills, 0.055%, 01/29/2015 (c) | | | | | | | | | | | | | | | 5,151 | | | | 5,150,902 | |
| U.S. Treasury Bills, 0.055%, 01/29/2015 (c)^ | | | | | | | | | | | | | | | 2,319 | | | | 2,318,956 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(cost $18,770,755) | | | | | | | | | | | | | | | | | | | 18,771,214 | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES,
AT VALUE - 99.0%
(cost $114,541,562) | | | | | | | | | | | | | | | | | | | 113,179,082 | |
| | | | | | | | | | | | | | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% (d) | | | | | | | | | | | | | | | | | | | 1,185,634 | |
| | | | | | | | | | | | | | | | | | | | |
NET ASSETS - 100.0% | | | | | | | | | | | | | | | | | | $ | 114,364,716 | |
| | | | | | | | | | | | | | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Represents annualized seven-day yield as of December 31, 2014. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (c) | The rate shown is the effective yield at the date of purchase. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
210
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II MV FUND | | |
| (d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (See Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Canadian Bond March Futures | | 3/2015 | | CAD | | | 407,631 | | | | $6,935 | |
| Goldman Sachs | | Bovespa Index February Futures | | 2/2015 | | BRL | | | 2,651,547 | | | | 45,818 | |
| CitiBank | | Brent Crude February Futures^ | | 3/2015 | | USD | | | 710,930 | | | | (128,830 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | 828,916 | | | | (255,591 | ) |
| CitiBank | | Brent Crude January Futures^ | | 2/2015 | | USD | | | (704,400 | ) | | | 131,087 | |
| Deutsche Bank | | Brent Crude February Futures^ | | 2/2015 | | USD | | | 1,654,390 | | | | (315,560 | ) |
| Deutsche Bank | | Brent Crude February Futures^ | | 2/2015 | | USD | | | (250,260 | ) | | | 17,420 | |
| Deutsche Bank | | Brent Crude January Futures^ | | 1/2015 | | USD | | | 2,070,960 | | | | (695,040 | ) |
| Deutsche Bank | | Brent Crude January Futures^ | | 1/2015 | | USD | | | (1,727,470 | ) | | | 351,550 | |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | 29,280 | | | | (180 | ) |
| CitiBank | | Cocoa March Futures^ | | 2/2015 | | USD | | | (28,580 | ) | | | (520 | ) |
| CitiBank | | Coffee ‘C’ March Futures^ | | 2/2015 | | USD | | | 292,838 | | | | (42,938 | ) |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 1,158,789 | | | | 111,575 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (146,235 | ) | | | (12,561 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | 397,420 | | | | (5,664 | ) |
| CitiBank | | Cotton No. 2 March Futures^ | | 2/2015 | | USD | | | (60,670 | ) | | | 400 | |
| Bank of America | | Euro - Bund March Futures | | 3/2015 | | EUR | | | 5,517,912 | | | | 115,193 | |
| Deutsche Bank | | Gas Oil March Futures^ | | 3/2015 | | USD | | | 504,225 | | | | (31,500 | ) |
| CitiBank | | Gas Oil March Futures^ | | 3/2015 | | USD | | | 169,800 | | | | (12,225 | ) |
| CitiBank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | 78,800 | | | | (26,180 | ) |
| CitiBank | | Gas Oil January Futures^ | | 1/2015 | | USD | | | (69,300 | ) | | | 16,680 | |
| CitiBank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 189,975 | | | | (29,610 | ) |
| CitiBank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (168,900 | ) | | | 8,541 | |
| Deutsche Bank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | 640,350 | | | | (171,225 | ) |
| Deutsche Bank | | Gas Oil February Futures^ | | 2/2015 | | USD | | | (501,300 | ) | | | 32,175 | |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | 1,245,216 | | | | (171,289 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | 1,919,818 | | | | (559,598 | ) |
| Deutsche Bank | | Gasoline RBOB January Futures^ | | 1/2015 | | USD | | | (1,644,577 | ) | | | 284,357 | |
| Deutsche Bank | | Gasoline RBOB February Futures^ | | 2/2015 | | USD | | | (269,501 | ) | | | 16,813 | |
| Barclays Capital | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 1,435,080 | | | | (14,160 | ) |
| Goldman Sachs | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 2,343,542 | | | | 2,754 | |
| Bank of America | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 2,339,940 | | | | 3,218 | |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | 592,460 | | | | (58,204 | ) |
| Deutsche Bank | | Heating Oil ULSD February Futures^ | | 2/2015 | | USD | | | (78,309 | ) | | | 1,987 | |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | 610,239 | | | | (148,172 | ) |
| Deutsche Bank | | Heating Oil ULSD January Futures^ | | 1/2015 | | USD | | | (514,861 | ) | | | 52,794 | |
| Goldman Sachs | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 15,324,608 | | | | 33,660 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 2,962,806 | | | | 4,445 | |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 1,422,570 | | | | (48,750 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (62,804 | ) | | | (2,616 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | 571,403 | | | | (51,723 | ) |
| Deutsche Bank | | Live Cattle February Futures^ | | 2/2015 | | USD | | | (36,296 | ) | | | 3,816 | |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | 157,875 | | | | (19,219 | ) |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | 694,250 | | | | (63,450 | ) |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | 59,731 | | | | (5,319 | ) |
| CitiBank | | LME Aluminum March Futures^ | | 3/2015 | | USD | | | (150,600 | ) | | | 11,944 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | (637,500 | ) | | | 6,700 | |
| CitiBank | | LME Zinc March Futures^ | | 3/2015 | | USD | | | (55,250 | ) | | | 838 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
211
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II MV FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | LME Aluminum June Futures^ | | 6/2015 | | USD | | | 151,275 | | | | $(11,344 | ) |
| CitiBank | | LME Copper June Futures^ | | 6/2015 | | USD | | | 636,000 | | | | (8,150 | ) |
| CitiBank | | LME Zinc June Futures^ | | 6/2015 | | USD | | | 55,438 | | | | (756 | ) |
| CitiBank | | LME Lead March Futures^ | | 3/2015 | | USD | | | 56,187 | | | | (9,738 | ) |
| CitiBank | | LME Lead March Futures^ | | 3/2015 | | USD | | | (50,600 | ) | | | 4,150 | |
| CitiBank | | LME Lead June Futures^ | | 6/2015 | | USD | | | 50,787 | | | | (4,075 | ) |
| Bank of America | | Long Gilt March Futures | | 3/2015 | | GBP | | | 932,132 | | | | 37,811 | |
| Goldman Sachs | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 1,621,971 | | | | 24,909 | |
| Deutsche Bank | | Natural Gas Swap January Futures^ | | 1/2015 | | USD | | | 256,230 | | | | (82,890 | ) |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | 578,900 | | | | (132,437 | ) |
| CitiBank | | Natural Gas Swap February Futures^ | | 3/2015 | | USD | | | 399,740 | | | | (81,150 | ) |
| CitiBank | | Natural Gas Swap February Futures^ | | 3/2015 | | USD | | | (109,660 | ) | | | 22,772 | |
| Deutsche Bank | | Natural Gas Swap January Futures^ | | 1/2015 | | USD | | | (234,426 | ) | | | 61,086 | |
| CitiBank | | Natural Gas Swap December Futures^ | | 1/2015 | | USD | | | (610,960 | ) | | | 164,496 | |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | 605,780 | | | | (201,287 | ) |
| CitiBank | | Natural Gas Swap January Futures^ | | 2/2015 | | USD | | | (514,470 | ) | | | 109,992 | |
| Goldman Sachs | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | 699,972 | | | | 2,184 | |
| Barclays Capital | | Silver March Futures^ | | 2/2015 | | USD | | | 82,745 | | | | (4,750 | ) |
| Deutsche Bank | | Soybean May Futures^ | | 4/2015 | | USD | | | 634,050 | | | | (15,750 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | 143,678 | | | | 9,844 | |
| CitiBank | | Soybean May Futures^ | | 4/2015 | | USD | | | 159,043 | | | | (4,468 | ) |
| CitiBank | | Soybean March Futures^ | | 2/2015 | | USD | | | (158,025 | ) | | | 4,499 | |
| Deutsche Bank | | Soybean March Futures^ | | 2/2015 | | USD | | | 573,240 | | | | 40,860 | |
| Deutsche Bank | | Soybean March Futures^ | | 2/2015 | | USD | | | (629,925 | ) | | | 15,825 | |
| CitiBank | | Soybean Meal March Futures^ | | 2/2015 | | USD | | | 284,560 | | | | (6,480 | ) |
| CitiBank | | Soybean Oil March Futures^ | | 2/2015 | | USD | | | 421,609 | | | | 2,639 | |
| CitiBank | | Sugar #11 (World Markets) February Futures^ | | 2/2015 | | USD | | | 173,628 | | | | (27,267 | ) |
| Goldman Sachs | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 1,585,315 | | | | 18,129 | |
| Goldman Sachs | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 5,406,840 | | | | 5,089 | |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | 3/2015 | | USD | | | 46,744,445 | | | | 297,196 | |
| CitiBank | | Wheat March Futures^ | | 2/2015 | | USD | | | 157,940 | | | | 18,986 | |
| CitiBank | | WTI Crude February Futures^ | | 3/2015 | | USD | | | 2,036,960 | | | | (318,560 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | 2,022,843 | | | | (584,484 | ) |
| CitiBank | | WTI Crude January Futures^ | | 2/2015 | | USD | | | (1,725,300 | ) | | | 286,976 | |
| Deutsche Bank | | WTI Crude February Futures^ | | 2/2015 | | USD | | | 1,207,830 | | | | (187,530 | ) |
| Deutsche Bank | | WTI Crude February Futures^ | | 2/2015 | | USD | | | (166,260 | ) | | | 5,160 | |
| Deutsche Bank | | WTI Crude January Futures^ | | 1/2015 | | USD | | | 1,463,380 | | | | (451,250 | ) |
| Deutsche Bank | | WTI Crude January Futures^ | | 1/2015 | | USD | | | (1,204,220 | ) | | | 192,090 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(2,417,097 | ) |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $1,550,009, $2,520,021, and $530,000, respectively at December 31, 2014. Additional cash held as collateral for Bank of America for total return swap contracts in the amount of $320,000 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | |
| 1 | | Goldman Sachs | | Cocoa Futures^ | | | 3/2015 | | | | $28,742 | | | | $29,100 | | | | $358 | |
| 5 | | Goldman Sachs | | Coffee ‘C’ Futures^ | | | 3/2015 | | | | 357,040 | | | | 312,375 | | | | (44,665 | ) |
| 15 | | Goldman Sachs | | Corn Futures^ | | | 3/2015 | | | | 291,078 | | | | 297,750 | | | | 6,672 | |
| 5 | | Goldman Sachs | | Gold 100 OZ Futures^ | | | 2/2015 | | | | 603,813 | | | | 592,050 | | | | (11,763 | ) |
| 5 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | 175,978 | | | | 162,400 | | | | (13,578 | ) |
| 2 | | Goldman Sachs | | Live Cattle Futures^ | | | 2/2015 | | | | 133,685 | | | | 130,840 | | | | (2,845 | ) |
| 1 | | Goldman Sachs | | Live Cattle Futures^ | | | 3/2015 | | | | 108,517 | | | | 108,663 | | | | 146 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | 96,254 | | | | 91,573 | | | | (4,681 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
212
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II MV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | | | | | | | | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | $100,194 | | | | $91,687 | | | | $(8,507 | ) |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 308,113 | | | | 275,625 | | | | (32,488 | ) |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 253,123 | | | | 229,969 | | | | (23,154 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | 50,349 | | | | 45,994 | | | | (4,355 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 49,378 | | | | 46,098 | | | | (3,280 | ) |
| 51 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 2,626,620 | | | | 2,357,156 | | | | (269,464 | ) |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | 47,503 | | | | 46,210 | | | | (1,293 | ) |
| 40 | | J.P. Morgan | | LME Aluminum Futures^ | | | 6/2015 | | | | 1,989,652 | | | | 1,865,750 | | | | (123,902 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 167,998 | | | | 158,325 | | | | (9,673 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 167,023 | | | | 158,250 | | | | (8,773 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 167,002 | | | | 158,175 | | | | (8,827 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 160,715 | | | | 157,767 | | | | (2,948 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 321,406 | | | | 315,600 | | | | (5,806 | ) |
| 16 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 2,723,672 | | | | 2,523,200 | | | | (200,472 | ) |
| 10 | | J.P. Morgan | | LME Copper Futures^ | | | 6/2015 | | | | 1,596,091 | | | | 1,569,625 | | | | (26,466 | ) |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 1/2015 | | | | 49,852 | | | | 46,219 | | | | (3,633 | ) |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 1/2015 | | | | 50,761 | | | | 46,284 | | | | (4,477 | ) |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 50,878 | | | | 46,425 | | | | (4,453 | ) |
| 4 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | 218,090 | | | | 185,800 | | | | (32,290 | ) |
| 3 | | J.P. Morgan | | LME Lead Futures^ | | | 6/2015 | | | | 152,952 | | | | 140,138 | | | | (12,814 | ) |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 101,332 | | | | 90,758 | | | | (10,574 | ) |
| 5 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | 586,048 | | | | 454,169 | | | | (131,879 | ) |
| 5 | | J.P. Morgan | | LME Nickel Futures^ | | | 6/2015 | | | | 495,098 | | | | 455,970 | | | | (39,128 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | 56,681 | | | | 54,190 | | | | (2,491 | ) |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 55,703 | | | | 54,356 | | | | (1,347 | ) |
| 14 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | 812,625 | | | | 761,775 | | | | (50,850 | ) |
| 12 | | J.P. Morgan | | LME Zinc Futures^ | | | 6/2015 | | | | 668,997 | | | | 656,175 | | | | (12,822 | ) |
| 16 | | Goldman Sachs | | Silver Futures^ | | | 3/2015 | | | | 1,303,743 | | | | 1,247,920 | | | | (55,823 | ) |
| 19 | | Goldman Sachs | | Soybean Futures^ | | | 5/2015 | | | | 1,001,894 | | | | 978,975 | | | | (22,919 | ) |
| 4 | | Goldman Sachs | | Soybean Meal Futures^ | | | 3/2015 | | | | 142,938 | | | | 139,040 | | | | (3,898 | ) |
| 4 | | Goldman Sachs | | Soybean Oil Futures^ | | | 3/2015 | | | | 77,231 | | | | 77,136 | | | | (95 | ) |
| 19 | | Goldman Sachs | | Sugar #11 (World Markets) Futures^ | | | 2/2015 | | | | 348,519 | | | | 308,986 | | | | (39,533 | ) |
| 5 | | Goldman Sachs | | Wheat Futures^ | | | 3/2015 | | | | 138,110 | | | | 147,438 | | | | 9,328 | |
| 5 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | 508,069 | | | | 514,271 | | | | 6,202 | |
| 15 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | 762,832 | | | | 776,307 | | | | 13,475 | |
| 4 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | 1,188,817 | | | | 1,191,112 | | | | 2,295 | |
| 14 | | Barclays Capital | | E-Mini Russell 2000 Futures | | | 3/2015 | | | | 1,595,892 | | | | 1,680,980 | | | | 85,088 | |
| 55 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | 2,023,221 | | | | 2,085,097 | | | | 61,876 | |
| 32 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | 3,120,779 | | | | 3,253,110 | | | | 132,331 | |
| 19 | | J.P. Morgan | | FTSE/JSE Top 40 Index Futures | | | 3/2015 | | | | 695,007 | | | | 726,937 | | | | 31,930 | |
| 5 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | 769,372 | | | | 762,414 | | | | (6,958 | ) |
| 9 | | Barclays Capital | | H-SHARES Index Futures | | | 1/2015 | | | | 694,059 | | | | 695,718 | | | | 1,659 | |
| 2 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | 236,969 | | | | 247,923 | | | | 10,954 | |
| 12 | | Barclays Capital | | KOSPI Index 200 Futures | | | 3/2015 | | | | 1,371,846 | | | | 1,331,938 | | | | (39,908 | ) |
| 202 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 20,020,784 | | | | 20,729,240 | | | | 708,456 | |
| 14 | | Barclays Capital | | S&P MID 400 E-Mini Futures | | | 3/2015 | | | | 1,947,741 | | | | 2,028,040 | | | | 80,299 | |
| 7 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | 961,381 | | | | 1,026,201 | | | | 64,820 | |
| 17 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | | 1/2015 | | | | 283,675 | | | | 284,206 | | | | 531 | |
| 2 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | 215,313 | | | | 219,734 | | | | 4,421 | |
| 31 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | 3,722,203 | | | | 3,642,720 | | | | (79,483 | ) |
| 19 | | J.P. Morgan | | 10-Year Japanese Government Bond | | | 3/2015 | | | | 2,329,811 | | | | 2,345,100 | | | | 15,289 | |
| 6 | | J.P. Morgan | | 10-Year Japanese Government Bond | | | 3/2015 | | | | 7,375,224 | | | | 7,403,072 | | | | 27,848 | |
| 29 | | J.P. Morgan | | Australia 10-Year Bond Futures | | | 3/2015 | | | | 2,994,008 | | | | 3,033,910 | | | | 39,902 | |
| 36 | | J.P. Morgan | | Canadian 10-Year Bond Futures | | | 3/2015 | | | | 4,217,172 | | | | 4,292,236 | | | | 75,064 | |
| 123 | | J.P. Morgan | | Euro - Bund Futures | | | 3/2015 | | | | 22,799,827 | | | | 23,199,091 | | | | 399,264 | |
| 37 | | J.P. Morgan | | Long Gilt Futures | | | 3/2015 | | | | 6,743,376 | | | | 6,893,079 | | | | 149,703 | |
| 241 | | J.P. Morgan | | U.S. Treasury 10-Year Note Futures | | | 3/2015 | | | | 30,437,050 | | | | 30,558,047 | | | | 120,997 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 135,849,826 | | | | 136,536,419 | | | | 686,593 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
213
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II MV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts: | | | | | | | | | | | | | | | | | | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | $(96,004 | ) | | | $(91,573 | ) | | | $4,431 | |
| 2 | | J.P. Morgan | | LME Aluminum Futures^ | | | 1/2015 | | | | (100,496 | ) | | | (91,688 | ) | | | 8,808 | |
| 6 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (307,701 | ) | | | (275,625 | ) | | | 32,076 | |
| 5 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (251,614 | ) | | | (229,969 | ) | | | 21,645 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 2/2015 | | | | (50,248 | ) | | | (45,994 | ) | | | 4,254 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (49,397 | ) | | | (46,098 | ) | | | 3,299 | |
| 51 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (2,535,549 | ) | | | (2,357,156 | ) | | | 178,393 | |
| 1 | | J.P. Morgan | | LME Aluminum Futures^ | | | 3/2015 | | | | (47,438 | ) | | | (46,210 | ) | | | 1,228 | |
| 3 | | J.P. Morgan | | LME Aluminum Futures^ | | | 6/2015 | | | | (145,685 | ) | | | (139,931 | ) | | | 5,754 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (169,248 | ) | | | (158,325 | ) | | | 10,923 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (166,660 | ) | | | (158,250 | ) | | | 8,410 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (167,329 | ) | | | (158,175 | ) | | | 9,154 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (160,602 | ) | | | (157,767 | ) | | | 2,835 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (321,587 | ) | | | (315,600 | ) | | | 5,987 | |
| 16 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (2,598,861 | ) | | | (2,523,200 | ) | | | 75,661 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | | 6/2015 | | | | (638,501 | ) | | | (627,850 | ) | | | 10,651 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 1/2015 | | | | (49,821 | ) | | | (46,219 | ) | | | 3,602 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 1/2015 | | | | (50,748 | ) | | | (46,284 | ) | | | 4,464 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (51,022 | ) | | | (46,425 | ) | | | 4,597 | |
| 4 | | J.P. Morgan | | LME Lead Futures^ | | | 3/2015 | | | | (202,265 | ) | | | (185,800 | ) | | | 16,465 | |
| 1 | | J.P. Morgan | | LME Lead Futures^ | | | 6/2015 | | | | (51,122 | ) | | | (46,712 | ) | | | 4,410 | |
| 1 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (101,397 | ) | | | (90,758 | ) | | | 10,639 | |
| 5 | | J.P. Morgan | | LME Nickel Futures^ | | | 3/2015 | | | | (496,204 | ) | | | (454,170 | ) | | | 42,034 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 1/2015 | | | | (56,248 | ) | | | (54,190 | ) | | | 2,058 | |
| 1 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (56,006 | ) | | | (54,356 | ) | | | 1,650 | |
| 14 | | J.P. Morgan | | LME Zinc Futures^ | | | 3/2015 | | | | (772,406 | ) | | | (761,775 | ) | | | 10,631 | |
| 3 | | J.P. Morgan | | LME Zinc Futures^ | | | 6/2015 | | | | (163,535 | ) | | | (164,044 | ) | | | (509 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (9,857,694 | ) | | | (9,374,144 | ) | | | 483,550 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $125,992,132 | | | | $127,162,275 | | | | $1,170,143 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $792,818, $346,926 and $1,053,245, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | 265,000 | | | | $97,095 | | | | $97,736 | | | | $641 | |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 265,000 | | | | 97,095 | | | | 97,736 | | | | 641 | |
Canadian Dollar,
Expiring 03/18/15 | | CitiBank | | CAD | | | 4,000 | | | | 3,505 | | | | 3,437 | | | | (68 | ) |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 7,000 | | | | 6,165 | | | | 6,015 | | | | (150 | ) |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | 35,500 | | | | 36,449 | | | | 35,755 | | | | (694 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 45,500 | | | | 46,746 | | | | 45,827 | | | | (919 | ) |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 32,000 | | | | 39,413 | | | | 38,748 | | | | (665 | ) |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 70,000 | | | | 110,439 | | | | 109,038 | | | | (1,401 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
214
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR RISK PARITY II MV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Hong Kong Dollar,
Expiring 03/18/15 | | CitiBank | | HKD | | | 9,500 | | | | $ 1,225 | | | | $ 1,225 | | | | $ — | |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 1,009,500 | | | | 130,190 | | | | 130,176 | | | | (14 | ) |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 35,000 | | | | 295 | | | | 292 | | | | (3 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $568,617 | | | | $565,985 | | | | $(2,632 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | (290,000 | ) | | | $(106,547 | ) | | | $(106,956 | ) | | | $(409 | ) |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (290,000 | ) | | | (106,756 | ) | | | (106,956 | ) | | | (200 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (11,000 | ) | | | (11,189 | ) | | | (11,079 | ) | | | 110 | |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | (4,215,260 | ) | | | (5,197,937 | ) | | | (5,104,055 | ) | | | 93,882 | |
Euro,
Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (4,662,791 | ) | | | (5,751,573 | ) | | | (5,645,950 | ) | | | 105,623 | |
British Pound,
Expiring 03/18/15 | | CitiBank | | GBP | | | (731,214 | ) | | | (1,142,186 | ) | | | (1,139,011 | ) | | | 3,175 | |
British Pound,
Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (847,613 | ) | | | (1,324,486 | ) | | | (1,320,325 | ) | | | 4,161 | |
Hong Kong Dollar,
Expiring 03/18/15 | | CitiBank | | HKD | | | (915,000 | ) | | | (118,030 | ) | | | (117,990 | ) | | | 40 | |
Hong Kong Dollar,
Expiring 03/18/15 | | Credit Suisse International | | HKD | | | (972,000 | ) | | | (125,381 | ) | | | (125,340 | ) | | | 41 | |
Japanese Yen,
Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (35,000 | ) | | | (294 | ) | | | (292 | ) | | | 2 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (13,884,379 | ) | | | (13,677,954 | ) | | | 206,425 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(13,315,762 | ) | | | $(13,111,969 | ) | | | $203,793 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $10,000 at December 31, 2014. Cash held as collateral at CitiBank for forward foreign currency exchange contracts in the amount of $150,000 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
TWD - Taiwanese Dollar
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
215
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | |
| LONG INVESTMENTS - 119.5% | | SHARES | | | VALUE (Note 5) | |
| COMMON STOCKS - 39.1% | | | | | | | | |
|
| Belgium - 0.8% | |
| Anheuser-Busch InBev NV (a) | | | 2,441 | | | $ | 274,714 | |
| Belgacom SA (a) | | | 52,241 | | | | 1,895,487 | |
| bpost SA (a) | | | 27,720 | | | | 696,341 | |
| Colruyt SA (a) | | | 3,388 | | | | 157,506 | |
| Delhaize Group SA (a) | | | 12,914 | | | | 940,466 | |
| Umicore SA (a) | | | 3,384 | | | | 136,173 | |
| | | | | | | | |
| | | | | | | 4,100,687 | |
| | | | | | | | |
|
| Denmark - 0.8% | |
| AP Moeller - Maersk A/S, Class B (a) | | | 708 | | | | 1,408,178 | |
| Chr Hansen Holding A/S (a) | | | 3,135 | | | | 138,891 | |
| Coloplast A/S, Class B (a) | | | 1,478 | | | | 123,686 | |
| Danske Bank A/S (a) | | | 15,138 | | | | 409,269 | |
| GN Store Nord A/ S (a) | | | 6,850 | | | | 149,658 | |
| H Lundbeck A/S | | | 1,328 | | | | 26,360 | |
| Jyske Bank A/S †(a) | | | 12,072 | | | | 610,196 | |
| Novo Nordisk A/S, Class B (a) | | | 6,118 | | | | 258,790 | |
| TDC A/S (a) | | | 59,461 | | | | 453,503 | |
| Tryg A/S (a) | | | 1,100 | | | | 122,910 | |
| William Demant Holding A/S †(a) | | | 1,581 | | | | 119,874 | |
| | | | | | | | |
| | | | | | | 3,821,315 | |
| | | | | | | | |
|
| Finland - 0.9% | |
| Elisa OYJ (a) | | | 10,943 | | | | 298,689 | |
| Fortum OYJ (a) | | | 22,558 | | | | 489,769 | |
| Kesko OYJ, B Shares (a) | | | 3,714 | | | | 135,073 | |
| Metso OYJ (a) | | | 2,565 | | | | 76,795 | |
| Neste Oil OYJ (a) | | | 43,039 | | | | 1,048,326 | |
| Orion OYJ, Class B (a) | | | 33,884 | | | | 1,053,809 | |
| Sampo OYJ, A Shares (a) | | | 8,740 | | | | 409,158 | |
| Stora Enso OYJ, R Shares (a) | | | 22,643 | | | | 202,450 | |
| UPM-Kymmene OYJ (a) | | | 36,207 | | | | 593,367 | |
| | | | | | | | |
| | | | | | | 4,307,436 | |
| | | | | | | | |
|
| Germany - 3.2% | |
| Aurubis AG (a) | | | 6,814 | | | | 380,904 | |
| Axel Springer SE (a) | | | 4,774 | | | | 287,943 | |
| BASF SE (a) | | | 2,655 | | | | 222,704 | |
| Bayer AG (a) | | | 4,087 | | | | 557,093 | |
| Bayerische Motoren Werke AG (a) | | | 5,619 | | | | 606,393 | |
| Brenntag AG (a) | | | 12,861 | | | | 719,060 | |
| Continental AG (a) | | | 3,870 | | | | 816,271 | |
| Deutsche Post AG (a) | | | 27,524 | | | | 893,481 | |
| Deutsche Telekom AG (a) | | | 70,506 | | | | 1,128,120 | |
| Fraport AG Frankfurt Airport Services Worldwide (a) | | | 159 | | | | 9,175 | |
| Fresenius Medical Care AG & Co. KGaA (a) | | | 16,819 | | | | 1,255,317 | |
| GEA Group AG (a) | | | 2,560 | | | | 112,553 | |
| Hannover Rueck SE (a) | | | 14,434 | | | | 1,302,111 | |
| HeidelbergCement AG (a) | | | 2,769 | | | | 195,436 | |
| HUGO BOSS AG (a) | | | 1,451 | | | | 177,503 | |
| K+S AG (a) | | | 22,175 | | | | 611,923 | |
| Linde AG (a) | | | 1,597 | | | | 294,171 | |
| Merck KGaA (a) | | | 20,015 | | | | 1,883,579 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | | | 11,350 | | | | 2,260,211 | |
| ProSiebenSat.1 Media AG (a) | | | 6,285 | | | | 262,608 | |
| Rhoen Klinikum AG (a) | | | 22,300 | | | | 624,995 | |
| STADA Arzneimittel AG (a) | | | 3,387 | | | | 102,771 | |
| Symrise AG (a) | | | 7,912 | | | | 476,659 | |
| Telefonica Deutschland Holding AG † | | | 9,809 | | | | 51,986 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Germany - 3.2% (continued) | |
| TUI AG | | | 11,703 | | | $ | 194,039 | |
| United Internet AG (a) | | | 747 | | | | 33,649 | |
| | | | | | | | |
| | | | | | | 15,460,655 | |
| | | | | | | | |
|
| Italy - 1.8% | |
| A2A SpA | | | 193,716 | | | | 196,290 | |
| Atlantia SpA | | | 26,828 | | | | 623,535 | |
| Autogrill SpA † | | | 57,877 | | | | 436,479 | |
| Davide Campari-Milano SpA | | | 18,587 | | | | 116,019 | |
| Enel SpA | | | 126,884 | | | | 565,588 | |
| Eni SpA (a) | | | 104,201 | | | | 1,825,236 | |
| Finmeccanica SpA † | | | 47,102 | | | | 437,805 | |
| GTECH SpA | | | 13,265 | | | | 296,192 | |
| Hera SpA | | | 56,648 | | | | 133,393 | |
| Luxottica Group SpA | | | 2,445 | | | | 134,032 | |
| Mediobanca SpA | | | 123,204 | | | | 1,001,097 | |
| Pirelli & C. SpA | | | 61,332 | | | | 827,209 | |
| Snam SpA | | | 130,098 | | | | 643,884 | |
| Terna Rete Elettrica Nazionale SpA | | | 187,180 | | | | 850,203 | |
| Tod’s SpA | | | 319 | | | | 27,626 | |
| Unione di Banche Italiane SCpA | | | 65,262 | | | | 466,771 | |
| | | | | | | | |
| | | | | | | 8,581,359 | |
| | | | | | | | |
|
| Japan - 20.8% | |
| ABC-Mart, Inc. (a) | | | 11,000 | | | | 532,270 | �� |
| Air Water, Inc. (a) | | | 11,000 | | | | 174,234 | |
| Aisin Seiki Co., Ltd. (a) | | | 16,700 | | | | 600,005 | |
| Ajinomoto Co., Inc. (a) | | | 2,000 | | | | 37,234 | |
| Alfresa Holdings Corp. (a) | | | 63,000 | | | | 760,785 | |
| ANA Holdings, Inc. (a) | | | 136,000 | | | | 336,278 | |
| Aozora Bank Ltd. (a) | | | 205,000 | | | | 634,587 | |
| Asahi Group Holdings Ltd. (a) | | | 8,100 | | | | 250,592 | |
| Asahi Kasei Corp. (a) | | | 292,000 | | | | 2,663,750 | |
| Astellas Pharma, Inc. (a) | | | 68,800 | | | | 957,841 | |
| Bandai Namco Holdings, Inc. (a) | | | 60,400 | | | | 1,278,746 | |
| Bank of Kyoto Ltd./The (a) | | | 4,000 | | | | 33,438 | |
| Bank of Yokohama Ltd./The (a) | | | 144,000 | | | | 782,105 | |
| Benesse Holdings, Inc. (a) | | | 10,200 | | | | 302,664 | |
| Bridgestone Corp. (a) | | | 15,400 | | | | 534,102 | |
| Brother Industries Ltd. (a) | | | 129,800 | | | | 2,352,930 | |
| Calbee, Inc. (a) | | | 3,900 | | | | 134,343 | |
| Canon, Inc. (a) | | | 46,000 | | | | 1,462,053 | |
| Central Japan Railway Co. (a) | | | 14,900 | | | | 2,233,157 | |
| Chiba Bank Ltd./The (a) | | | 71,000 | | | | 465,256 | |
| Chiyoda Corp. (a) | | | 66,000 | | | | 546,810 | |
| Chugoku Bank Ltd./The (a) | | | 39,200 | | | | 534,333 | |
| Coca-Cola West Co., Ltd. (a) | | | 20,400 | | | | 281,313 | |
| Dai Nippon Printing Co., Ltd. (a) | | | 94,000 | | | | 846,616 | |
| Daicel Corp. (a) | | | 105,000 | | | | 1,226,451 | |
| Daihatsu Motor Co., Ltd. (a) | | | 30,600 | | | | 399,662 | |
| Daiwa House Industry Co., Ltd. (a) | | | 13,000 | | | | 245,586 | |
| Denso Corp. (a) | | | 10,600 | | | | 494,043 | |
| Dentsu, Inc. (a) | | | 1,400 | | | | 58,858 | |
| Disco Corp. (a) | | | 5,800 | | | | 463,899 | |
| East Japan Railway Co. (a) | | | 8,800 | | | | 663,263 | |
| Electric Power Development Co., Ltd. (a) | | | 11,600 | | | | 391,975 | |
| FamilyMart Co., Ltd. (a) | | | 8,300 | | | | 312,610 | |
| Fuji Electric Co., Ltd. (a) | | | 138,000 | | | | 550,190 | |
| Fuji Heavy Industries Ltd. (a) | | | 26,000 | | | | 920,036 | |
| FUJIFILM Holdings Corp. (a) | | | 30,600 | | | | 933,715 | |
| Fujitsu Ltd. (a) | | | 258,000 | | | | 1,375,570 | |
| Fukuoka Financial Group, Inc. (a) | | | 183,000 | | | | 943,451 | |
| Hakuhodo DY Holdings, Inc. (a) | | | 83,600 | | | | 800,046 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
216
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Japan - 20.8% (continued) | |
| Hikari Tsushin, Inc. (a) | | | 13,800 | | | $ | 839,377 | |
| Hino Motors Ltd. (a) | | | 21,500 | | | | 283,011 | |
| Hirose Electric Co., Ltd. (a) | | | 700 | | | | 81,216 | |
| Hitachi Chemical Co., Ltd. (a) | | | 40,700 | | | | 719,039 | |
| Hitachi High-Technologies Corp. (a) | | | 23,600 | | | | 677,950 | |
| Hitachi Metals Ltd. (a) | | | 53,000 | | | | 900,517 | |
| Hokuriku Electric Power Co. (a) | | | 2,300 | | | | 29,372 | |
| Hoya Corp. (a) | | | 64,300 | | | | 2,174,937 | |
| Ibiden Co., Ltd. (a) | | | 16,300 | | | | 240,688 | |
| Idemitsu Kosan Co., Ltd. (a) | | | 17,600 | | | | 290,634 | |
| Inpex Corp. (a) | | | 45,200 | | | | 503,210 | |
| ITOCHU Corp. (a) | | | 75,900 | | | | 810,240 | |
| Itochu Techno-Solutions Corp. (a) | | | 18,100 | | | | 638,647 | |
| Japan Airlines Co., Ltd. (a) | | | 100,500 | | | | 2,979,730 | |
| Japan Petroleum Exploration Co., Ltd. (a) | | | 2,300 | | | | 72,260 | |
| JGC Corp. (a) | | | 34,000 | | | | 699,951 | |
| Joyo Bank Ltd./The (a) | | | 32,000 | | | | 158,460 | |
| JTEKT Corp. (a) | | | 19,100 | | | | 321,449 | |
| JX Holdings, Inc. (a) | | | 2,800 | | | | 10,896 | |
| Kamigumi Co., Ltd. (a) | | | 28,000 | | | | 249,419 | |
| Kaneka Corp. (a) | | | 54,000 | | | | 289,344 | |
| Kao Corp. (a) | | | 16,200 | | | | 638,840 | |
| KDDI Corp. (a) | | | 17,600 | | | | 1,105,703 | |
| Keyence Corp. (a) | | | 1,500 | | | | 668,392 | |
| Kinden Corp. (a) | | | 86,000 | | | | 868,660 | |
| Kobayashi Pharmaceutical Co., Ltd. (a) | | | 600 | | | | 34,912 | |
| Koito Manufacturing Co., Ltd. (a) | | | 3,500 | | | | 107,071 | |
| Komatsu Ltd. (a) | | | 42,200 | | | | 932,955 | |
| Konica Minolta, Inc. (a) | | | 50,500 | | | | 550,249 | |
| Kurita Water Industries Ltd. (a) | | | 26,300 | | | | 548,411 | |
| Lawson, Inc. (a) | | | 4,600 | | | | 277,969 | |
| Mabuchi Motor Co., Ltd. (a) | | | 9,800 | | | | 388,986 | |
| Makita Corp. (a) | | | 12,600 | | | | 567,781 | |
| Marubeni Corp. (a) | | | 46,100 | | | | 275,834 | |
| Maruichi Steel Tube Ltd. (a) | | | 13,600 | | | | 289,453 | |
| Medipal Holdings Corp. (a) | | | 20,000 | | | | 233,594 | |
| MEIJI Holdings Co., Ltd. (a) | | | 3,800 | | | | 345,721 | |
| Miraca Holdings, Inc. (a) | | | 6,500 | | | | 279,623 | |
| Mitsubishi Electric Corp. (a) | | | 100,000 | | | | 1,187,806 | |
| Mitsubishi Tanabe Pharma Corp. (a) | | | 67,000 | | | | 982,127 | |
| Mitsubishi UFJ Financial Group, Inc. (a) | | | 67,300 | | | | 369,762 | |
| Mitsui & Co., Ltd. (a) | | | 123,100 | | | | 1,648,695 | |
| Mizuho Financial Group, Inc. | | | 194,800 | | | | 326,544 | |
| Murata Manufacturing Co., Ltd. (a) | | | 10,200 | | | | 1,113,034 | |
| Nagoya Railroad Co., Ltd. (a) | | | 122,000 | | | | 454,233 | |
| NGK Spark Plug Co., Ltd. (a) | | | 4,100 | | | | 124,580 | |
| NH Foods Ltd. (a) | | | 40,000 | | | | 875,132 | |
| NHK Spring Co., Ltd. (a) | | | 30,800 | | | | 268,002 | |
| Nidec Corp. (a) | | | 6,600 | | | | 426,265 | |
| Nippon Express Co., Ltd. (a) | | | 27,000 | | | | 136,830 | |
| Nippon Telegraph & Telephone Corp. (a) | | | 38,400 | | | | 1,961,573 | |
| Nippon Yusen KK (a) | | | 13,000 | | | | 36,719 | |
| Nishi-Nippon City Bank Ltd./The (a) | | | 258,000 | | | | 742,355 | |
| Nissin Foods Holdings Co., Ltd. (a) | | | 11,500 | | | | 548,126 | |
| Nitori Holdings Co., Ltd. (a) | | | 11,100 | | | | 596,387 | |
| NOK Corp. (a) | | | 41,100 | | | | 1,046,139 | |
| Nomura Research Institute Ltd. (a) | | | 4,700 | | | | 143,750 | |
| NTT DOCOMO, Inc. (a) | | | 66,200 | | | | 964,074 | |
| Omron Corp. (a) | | | 20,100 | | | | 899,183 | |
| Oracle Corp. Japan (a) | | | 1,200 | | | | 48,895 | |
| Oriental Land Co., Ltd. (a) | | | 10,700 | | | | 2,467,569 | |
| Osaka Gas Co., Ltd. (a) | | | 250,000 | | | | 933,738 | |
| Otsuka Corp. (a) | | | 25,600 | | | | 811,736 | |
| Otsuka Holdings Co., Ltd. (a) | | | 127,400 | | | | 3,819,607 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Japan - 20.8% (continued) | |
| Park24 Co., Ltd. (a) | | | 6,200 | | | $ | 91,272 | |
| Resona Holdings, Inc. (a) | | | 442,600 | | | | 2,235,795 | |
| Ricoh Co., Ltd. (a) | | | 41,000 | | | | 414,471 | |
| Rinnai Corp. (a) | | | 1,400 | | | | 94,069 | |
| Rohm Co., Ltd. (a) | | | 25,400 | | | | 1,530,433 | |
| Sankyo Co., Ltd. (a) | | | 9,800 | | | | 336,178 | |
| Santen Pharmaceutical Co., Ltd. (a) | | | 500 | | | | 26,917 | |
| Secom Co., Ltd. (a) | | | 24,200 | | | | 1,390,402 | |
| Seiko Epson Corp. (a) | | | 23,500 | | | | 983,339 | |
| Sekisui Chemical Co., Ltd. (a) | | | 102,000 | | | | 1,227,159 | |
| Seven & i Holdings Co., Ltd. (a) | | | 36,200 | | | | 1,302,163 | |
| Seven Bank Ltd. (a) | | | 221,600 | | | | 930,163 | |
| Shimadzu Corp. (a) | | | 22,000 | | | | 223,784 | |
| Shimamura Co., Ltd. (a) | | | 4,900 | | | | 422,855 | |
| Shimano, Inc. (a) | | | 4,700 | | | | 608,752 | |
| Showa Shell Sekiyu KK (a) | | | 34,300 | | | | 337,871 | |
| SMC Corp. (a) | | | 1,100 | | | | 288,447 | |
| Stanley Electric Co., Ltd. (a) | | | 12,900 | | | | 278,556 | |
| Sumitomo Corp. (a) | | | 35,300 | | | | 362,555 | |
| Sumitomo Heavy Industries Ltd. (a) | | | 363,000 | | | | 1,952,572 | |
| Sumitomo Metal Mining Co., Ltd. (a) | | | 4,000 | | | | 59,660 | |
| Sumitomo Mitsui Financial Group, Inc. (a) | | | 12,000 | | | | 433,833 | |
| Sumitomo Rubber Industries Ltd. (a) | | | 64,300 | | | | 955,888 | |
| Suruga Bank Ltd. (a) | | | 9,100 | | | | 167,231 | |
| Suzuken Co., Ltd. (a) | | | 5,700 | | | | 157,453 | |
| Suzuki Motor Corp. (a) | | | 15,000 | | | | 449,510 | |
| Sysmex Corp. (a) | | | 1,400 | | | | 62,136 | |
| Taisei Corp. (a) | | | 116,000 | | | | 657,954 | |
| Taisho Pharmaceutical Holdings Co., Ltd. (a) | | | 5,200 | | | | 317,723 | |
| Takashimaya Co., Ltd. (a) | | | 12,000 | | | | 95,816 | |
| THK Co., Ltd. (a) | | | 21,300 | | | | 511,879 | |
| Toho Co., Ltd. (a) | | | 3,700 | | | | 83,951 | |
| Toho Gas Co., Ltd. (a) | | | 83,000 | | | | 406,067 | |
| Tohoku Electric Power Co., Inc. (a) | | | 106,900 | | | | 1,243,940 | |
| Tokio Marine Holdings, Inc. (a) | | | 4,200 | | | | 136,406 | |
| Tokyo Electric Power Co., Inc. †(a) | | | 152,700 | | | | 621,079 | |
| Tokyo Gas Co., Ltd. (a) | | | 272,000 | | | | 1,467,621 | |
| TonenGeneral Sekiyu KK (a) | | | 25,000 | | | | 213,415 | |
| Toppan Printing Co., Ltd. (a) | | | 35,000 | | | | 227,411 | |
| TOTO Ltd. (a) | | | 89,000 | | | | 1,035,311 | |
| Toyo Suisan Kaisha Ltd. (a) | | | 21,100 | | | | 679,397 | |
| Toyoda Gosei Co., Ltd. (a) | | | 5,000 | | | | 100,571 | |
| Toyota Industries Corp. (a) | | | 6,200 | | | | 317,761 | |
| Unicharm Corp. (a) | | | 6,000 | | | | 143,815 | |
| USS Co., Ltd. (a) | | | 71,500 | | | | 1,098,576 | |
| West Japan Railway Co. (a) | | | 16,800 | | | | 794,275 | |
| Yamada Denki Co., Ltd. (a) | | | 45,900 | | | | 154,000 | |
| Yamaha Corp. (a) | | | 9,800 | | | | 144,451 | |
| Yamaha Motor Co., Ltd. (a) | | | 45,800 | | | | 916,334 | |
| Yamato Holdings Co., Ltd. (a) | | | 8,700 | | | | 172,275 | |
| Yamazaki Baking Co., Ltd. (a) | | | 40,000 | | | | 493,570 | |
| Yokohama Rubber Co., Ltd./The (a) | | | 5,000 | | | | 45,527 | |
| | | | | | | | |
| | | | | | | 101,934,748 | |
| | | | | | | | |
|
| Luxembourg - 0.0% (b) | |
| Millicom International Cellular SA SDR | | | 1,153 | | | | 85,432 | |
| | | | | | | | |
|
| Netherlands - 1.6% | |
| Boskalis Westminster NV (a) | | | 34,903 | | | | 1,909,371 | |
| Delta Lloyd NV (a) | | | 72,035 | | | | 1,584,075 | |
| Heineken NV (a) | | | 5,469 | | | | 388,341 | |
| Koninklijke Ahold NV (a) | | | 86,852 | | | | 1,543,609 | |
| Koninklijke DSM NV (a) | | | 2,204 | | | | 134,429 | |
| Koninklijke Philips NV (a) | | | 7,973 | | | | 231,105 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
217
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Netherlands - 1.6% (continued) | |
| QIAGEN NV †(a) | | | 1,569 | | | $ | 36,547 | |
| Royal Dutch Shell PLC, A Shares (a) | | | 30,332 | | | | 1,010,940 | |
| Wolters Kluwer NV (a) | | | 38,081 | | | | 1,162,050 | |
| | | | | | | | |
| | | | | | | 8,000,467 | |
| | | | | | | | |
|
| Norway - 1.5% | |
| DNB ASA (a) | | | 115,332 | | | | 1,701,219 | |
| Gjensidige Forsikring ASA (a) | | | 13,157 | | | | 214,688 | |
| Marine Harvest ASA (a) | | | 44,676 | | | | 613,420 | |
| Orkla ASA (a) | | | 43,247 | | | | 294,403 | |
| Statoil ASA (a) | | | 97,819 | | | | 1,722,283 | |
| Telenor ASA (a) | | | 47,330 | | | | 957,420 | |
| Yara International ASA (a) | | | 44,920 | | | | 2,000,396 | |
| | | | | | | | |
| | | | | | | 7,503,829 | |
| | | | | | | | |
|
| Spain - 2.6% | |
| Acciona SA †(a) | | | 2,683 | | | | 181,047 | |
| Acerinox SA | | | 14,008 | | | | 211,336 | |
| ACS Actividades de Construccion y Servicios SA (a) | | | 16,433 | | | | 572,773 | |
| Amadeus IT Holding SA, A Shares (a) | | | 21,424 | | | | 853,261 | |
| Banco de Sabadell SA | | | 77,174 | | | | 204,200 | |
| Banco Santander SA (a) | | | 226,427 | | | | 1,900,429 | |
| Bankinter SA (a) | | | 18,424 | | | | 148,013 | |
| Bolsas y Mercados Espanoles SA (a) | | | 12,074 | | | | 467,630 | |
| Distribuidora Internacional de Alimentacion SA (a) | | | 24,323 | | | | 164,815 | |
| Ebro Foods SA | | | 17,233 | | | | 284,858 | |
| Enagas SA (a) | | | 46,568 | | | | 1,468,804 | |
| Endesa SA (a) | | | 106,864 | | | | 2,139,342 | |
| Ferrovial SA (a) | | | 8,983 | | | | 177,577 | |
| Gas Natural SDG SA (a) | | | 36,850 | | | | 925,694 | |
| Iberdrola SA (a) | | | 177,953 | | | | 1,199,536 | |
| Prosegur Cia de Seguridad SA | | | 6,977 | | | | 39,750 | |
| Red Electrica Corp. SA (a) | | | 4,795 | | | | 422,686 | |
| Repsol SA (a) | | | 25,898 | | | | 484,832 | |
| Tecnicas Reunidas SA (a) | | | 15,630 | | | | 683,180 | |
| | | | | | | | |
| | | | | | | 12,529,763 | |
| | | | | | | | |
|
| Sweden - 1.8% | |
| Assa Abloy AB, Class B (a) | | | 2,346 | | | | 123,908 | |
| Hexagon AB, B Shares | | | 2,206 | | | | 68,054 | |
| Holmen AB, B Shares | | | 788 | | | | 26,776 | |
| Husqvarna AB, B Shares | | | 56,965 | | | | 418,719 | |
| ICA Gruppen AB | | | 36,426 | | | | 1,418,368 | |
| Meda AB, A Shares | | | 32,313 | | | | 463,382 | |
| Nordea Bank AB (a) | | | 77,933 | | | | 902,136 | |
| Securitas AB, B Shares (a) | | | 50,793 | | | | 614,478 | |
| Skandinaviska Enskilda Banken AB, Class A (a) | | | 129,578 | | | | 1,645,454 | |
| Skanska AB, B Shares (a) | | | 19,666 | | | | 422,237 | |
| SKF AB, B Shares (a) | | | 5,631 | | | | 118,620 | |
| Svenska Cellulosa AB SCA, Class B (a) | | | 16,609 | | | | 358,068 | |
| Swedbank AB, A Shares (a) | | | 3,698 | | | | 91,751 | |
| Swedish Match AB (a) | | | 5,274 | | | | 165,258 | |
| Telefonaktiebolaget LM Ericsson, B Shares (a) | | | 108,838 | | | | 1,317,822 | |
| TeliaSonera AB (a) | | | 119,903 | | | | 770,901 | |
| | | | | | | | |
| | | | | | | 8,925,932 | |
| | | | | | | | |
|
| Switzerland - 2.7% | |
| Actelion Ltd. †(a) | | | 2,368 | | | | 272,607 | |
| Aryzta AG †(a) | | | 6,971 | | | | 535,718 | |
| Baloise Holding AG (a) | | | 339 | | | | 43,328 | |
| Barry Callebaut AG †(a) | | | 158 | | | | 161,986 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Switzerland - 2.7% (continued) | |
| Bucher Industries AG (a) | | | 681 | | | $ | 169,829 | |
| Chocoladefabriken Lindt & Sprungli AG (a) | | | 69 | | | | 341,169 | |
| DKSH Holding AG (a) | | | 1,268 | | | | 96,532 | |
| Flughafen Zuerich AG (a) | | | 107 | | | | 71,558 | |
| Galenica AG (a) | | | 587 | | | | 468,034 | |
| Geberit AG (a) | | | 236 | | | | 79,840 | |
| Givaudan SA †(a) | | | 443 | | | | 794,679 | |
| Helvetia Holding AG (a) | | | 76 | | | | 36,111 | |
| Lonza Group AG †(a) | | | 8,699 | | | | 979,435 | |
| Nestle SA (a) | | | 17,213 | | | | 1,254,845 | |
| Novartis AG (a) | | | 24,734 | | | | 2,293,917 | |
| OC Oerlikon Corp. AG †(a) | | | 5,517 | | | | 68,869 | |
| Roche Holding AG (a) | | | 3,281 | | | | 888,962 | |
| Sika AG (a) | | | 99 | | | | 292,044 | |
| Sonova Holding AG (a) | | | 572 | | | | 84,033 | |
| Straumann Holding AG (a) | | | 500 | | | | 125,620 | |
| Swiss Life Holding AG †(a) | | | 5,761 | | | | 1,361,622 | |
| Swiss Re AG †(a) | | | 16,141 | | | | 1,352,159 | |
| Swisscom AG (a) | | | 2,736 | | | | 1,435,682 | |
| | | | | | | | |
| | | | | | | 13,208,579 | |
| | | | | | | | |
|
| United Kingdom - 0.6% | |
| Fiat Chrysler Automobiles NV †(a) | | | 90,724 | | | | 1,054,188 | |
| Reed Elsevier NV (a) | | | 21,493 | | | | 513,266 | |
| Unilever NV CVA (a) | | | 39,482 | | | | 1,544,446 | |
| | | | | | | | |
| | | | | | | 3,111,900 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $200,212,318) | | | | | | | 191,572,102 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.8% | | | | | | | | |
| | |
| Germany - 0.8% | | | | | | | | |
| FUCHS PETROLUB SE (a) | | | 232 | | | | 9,240 | |
| Henkel AG & Co. KGaA (a) | | | 9,681 | | | | 1,042,817 | |
| Porsche Automobil Holding SE | | | 16,518 | | | | 1,335,854 | |
| Volkswagen AG (a) | | | 6,172 | | | | 1,371,760 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $4,104,837) | | | | | | | 3,759,671 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (b) | | | | | | | | |
| GTECH SpA † | | | | | | | | |
(cost $—) | | | 13,265 | | | | — | |
| | | | | | | | |
|
| MONEY MARKET FUNDS - 79.6% | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (c) | | | 5,229,369 | | | | 5,229,369 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (c) | | | 20,917,478 | | | | 20,917,478 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)^ | | | 300,539,790 | | | | 300,539,790 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)^ | | | 36,480,083 | | | | 36,480,083 | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c) | | | 26,146,847 | | | | 26,146,847 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $389,313,567) | | | | | | | 389,313,567 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE
(cost $593,630,722) | | | | | | | 584,645,340 | |
| | | | | | | | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
218
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | |
| SECURITIES SOLD SHORT- (33.0)% | | SHARES | | | VALUE (Note 5) | |
| COMMON STOCKS - (33.0)% | |
|
| Belgium - (0.4)% | |
| KBC Groep NV † | | | (7,004 | ) | | $ | (390,894 | ) |
| Telenet Group Holding NV † | | | (9,685 | ) | | | (543,500 | ) |
| UCB SA | | | (14,833 | ) | | | (1,127,863 | ) |
| | | | | | | | |
| | | | | | | (2,062,257 | ) |
| | | | | | | | |
|
| Denmark - (0.3)% | |
| Carlsberg A/S, Class B | | | (1,034 | ) | | | (79,411 | ) |
| FLSmidth & Co. A/S | | | (11,081 | ) | | | (485,805 | ) |
| Novozymes A/S, B Shares | | | (9,463 | ) | | | (398,331 | ) |
| Vestas Wind Systems A/S † | | | (12,318 | ) | | | (447,350 | ) |
| | | | | | | | |
| | | | | | | (1,410,897 | ) |
| | | | | | | | |
|
| Finland - (0.7)% | |
| Cargotec OYJ, B Shares | | | (5,764 | ) | | | (176,923 | ) |
| Kone OYJ, Class B | | | (9,078 | ) | | | (413,301 | ) |
| Nokia OYJ | | | (106,484 | ) | | | (842,162 | ) |
| Nokian Renkaat OYJ | | | (84,280 | ) | | | (2,055,888 | ) |
| Wartsila OYJ | | | (2,654 | ) | | | (118,788 | ) |
| | | | | | | | |
| | | | | | | (3,607,062 | ) |
| | | | | | | | |
|
| Germany - (3.3)% | |
| adidas AG | | | (9,078 | ) | | | (630,427 | ) |
| AIXTRON SE † | | | (54,730 | ) | | | (615,224 | ) |
| Allianz SE | | | (2,487 | ) | | | (411,912 | ) |
| Beiersdorf AG | | | (1,413 | ) | | | (114,727 | ) |
| Bilfinger SE | | | (20,533 | ) | | | (1,147,774 | ) |
| Commerzbank AG † | | | (109,597 | ) | | | (1,437,540 | ) |
| Daimler AG | | | (1,839 | ) | | | (152,736 | ) |
| Deutsche Bank AG | | | (27,774 | ) | | | (831,675 | ) |
| Deutsche Boerse AG | | | (2,191 | ) | | | (155,697 | ) |
| Deutsche Lufthansa AG | | | (6,142 | ) | | | (101,779 | ) |
| E.ON SE | | | (19,035 | ) | | | (325,340 | ) |
| HOCHTIEF AG | | | (2,956 | ) | | | (208,541 | ) |
| Infineon Technologies AG | | | (24,400 | ) | | | (258,197 | ) |
| LANXESS AG | | | (30,292 | ) | | | (1,402,891 | ) |
| MAN SE | | | (987 | ) | | | (109,921 | ) |
| METRO AG † | | | (41,827 | ) | | | (1,278,556 | ) |
| MTU Aero Engines AG | | | (1,352 | ) | | | (117,496 | ) |
| OSRAM Licht AG † | | | (241 | ) | | | (9,462 | ) |
| Rheinmetall AG | | | (15,378 | ) | | | (669,544 | ) |
| RWE AG | | | (28,917 | ) | | | (892,514 | ) |
| Salzgitter AG | | | (32,362 | ) | | | (905,591 | ) |
| SAP SE | | | (17,935 | ) | | | (1,252,372 | ) |
| Siemens AG | | | (4,770 | ) | | | (535,212 | ) |
| Software AG | | | (7,849 | ) | | | (190,738 | ) |
| Suedzucker AG | | | (12,962 | ) | | | (186,365 | ) |
| ThyssenKrupp AG † | | | (55,334 | ) | | | (1,409,569 | ) |
| Wacker Chemie AG | | | (5,318 | ) | | | (583,360 | ) |
| Wirecard AG | | | (7,415 | ) | | | (323,325 | ) |
| | | | | | | | |
| | | | | | | (16,258,485 | ) |
| | | | | | | | |
|
| Italy - (1.8)% | |
| Assicurazioni Generali SpA | | | (12,345 | ) | | | (253,478 | ) |
| Banca Monte dei Paschi di Siena SpA † | | | (330,363 | ) | | | (188,199 | ) |
| Banca Popolare dell’Emilia Romagna SC † | | | (195,727 | ) | | | (1,283,181 | ) |
| Banco Popolare SC † | | | (75,109 | ) | | | (903,692 | ) |
| Buzzi Unicem SpA | | | (9,945 | ) | | | (125,875 | ) |
| Enel Green Power SpA | | | (40,269 | ) | | | (84,370 | ) |
| Mediaset SpA † | | | (312,787 | ) | | | (1,286,980 | ) |
| Mediolanum SpA | | | (166,964 | ) | | | (1,064,010 | ) |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Italy - (1.8)% (continued) | |
| Moncler SpA | | | (16,476 | ) | | $ | (220,147 | ) |
| Prysmian SpA | | | (3,505 | ) | | | (63,874 | ) |
| Saipem SpA † | | | (795 | ) | | | (8,334 | ) |
| Salvatore Ferragamo SpA | | | (56,355 | ) | | | (1,386,944 | ) |
| Telecom Italia SpA † | | | (408,507 | ) | | | (435,668 | ) |
| Tenaris SA | | | (17,751 | ) | | | (268,233 | ) |
| UniCredit SpA | | | (62,817 | ) | | | (402,381 | ) |
| UnipolSai SpA | | | (38,824 | ) | | | (104,528 | ) |
| World Duty Free SpA † | | | (61,154 | ) | | | (587,141 | ) |
| | | | | | | | |
| | | | | | | (8,667,035 | ) |
| | | | | | | | |
|
| Japan - (17.2)% | |
| Acom Co., Ltd. † | | | (683,700 | ) | | | (2,087,234 | ) |
| Advantest Corp. | | | (220,700 | ) | | | (2,735,434 | ) |
| Aeon Co., Ltd. | | | (207,600 | ) | | | (2,086,275 | ) |
| Aeon Credit Service Co., Ltd. | | | (75,500 | ) | | | (1,491,194 | ) |
| Amada Co., Ltd. | | | (111,400 | ) | | | (954,563 | ) |
| Asahi Glass Co., Ltd. | | | (194,000 | ) | | | (944,426 | ) |
| Asics Corp. | | | (3,200 | ) | | | (77,041 | ) |
| Chubu Electric Power Co., Inc. † | | | (15,700 | ) | | | (184,491 | ) |
| Chugai Pharmaceutical Co., Ltd. | | | (2,400 | ) | | | (58,928 | ) |
| Chugoku Electric Power Co., Inc./The | | | (38,400 | ) | | | (502,060 | ) |
| Citizen Holdings Co., Ltd. | | | (12,300 | ) | | | (94,641 | ) |
| Credit Saison Co., Ltd. | | | (108,600 | ) | | | (2,019,569 | ) |
| Daido Steel Co., Ltd. | | | (40,000 | ) | | | (151,078 | ) |
| Dai-ichi Life Insurance Co., Ltd./The | | | (62,900 | ) | | | (954,813 | ) |
| Daiichi Sankyo Co., Ltd. | | | (12,200 | ) | | | (170,590 | ) |
| Daikin Industries Ltd. | | | (35,000 | ) | | | (2,244,343 | ) |
| Dena Co., Ltd. | | | (32,800 | ) | | | (391,810 | ) |
| Don Quijote Holdings Co., Ltd. | | | (3,000 | ) | | | (206,241 | ) |
| Eisai Co., Ltd. | | | (7,300 | ) | | | (282,314 | ) |
| FANUC Corp. | | | (3,100 | ) | | | (511,129 | ) |
| Fast Retailing Co., Ltd. | | | (5,500 | ) | | | (2,001,423 | ) |
| GS Yuasa Corp. | | | (343,000 | ) | | | (1,458,348 | ) |
| Hamamatsu Photonics KK | | | (700 | ) | | | (33,322 | ) |
| Hitachi Capital Corp. | | | (9,500 | ) | | | (209,090 | ) |
| Hitachi Construction Machinery Co., Ltd. | | | (24,000 | ) | | | (507,436 | ) |
| Hitachi Ltd. | | | (67,000 | ) | | | (494,511 | ) |
| Hokkaido Electric Power Co., Inc. † | | | (155,500 | ) | | | (1,244,771 | ) |
| Honda Motor Co., Ltd. | | | (3,100 | ) | | | (90,949 | ) |
| IHI Corp. | | | (106,000 | ) | | | (536,833 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (77,800 | ) | | | (962,713 | ) |
| J Front Retailing Co., Ltd. | | | (28,300 | ) | | | (327,770 | ) |
| Japan Display, Inc. † | | | (119,500 | ) | | | (364,713 | ) |
| Japan Steel Works Ltd./The | | | (608,000 | ) | | | (2,151,182 | ) |
| Japan Tobacco, Inc. | | | (12,900 | ) | | | (355,044 | ) |
| JFE Holdings, Inc. | | | (20,100 | ) | | | (448,248 | ) |
| Kajima Corp. | | | (117,000 | ) | | | (481,143 | ) |
| Kakaku.com, Inc. | | | (139,500 | ) | | | (1,995,786 | ) |
| Kansai Electric Power Co., Inc./The † | | | (165,400 | ) | | | (1,573,466 | ) |
| Kansai Paint Co., Ltd. | | | (6,000 | ) | | | (92,952 | ) |
| Kawasaki Heavy Industries Ltd. | | | (180,000 | ) | | | (818,558 | ) |
| Keikyu Corp. | | | (73,000 | ) | | | (540,112 | ) |
| Keio Corp. | | | (11,000 | ) | | | (79,129 | ) |
| Keisei Electric Railway Co., Ltd. | | | (3,000 | ) | | | (36,478 | ) |
| Kikkoman Corp. | | | (11,000 | ) | | | (269,599 | ) |
| Kintetsu Corp. | | | (154,000 | ) | | | (506,338 | ) |
| Kobe Steel Ltd. | | | (63,000 | ) | | | (108,517 | ) |
| Konami Corp. | | | (25,500 | ) | | | (467,501 | ) |
| Kubota Corp. | | | (63,000 | ) | | | (914,431 | ) |
| Kyocera Corp. | | | (1,300 | ) | | | (59,488 | ) |
| Kyowa Hakko Kirin Co., Ltd. | | | (9,000 | ) | | | (84,749 | ) |
| Kyushu Electric Power Co., Inc. † | | | (197,600 | ) | | | (1,979,004 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
219
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Japan - (17.2)% (continued) | |
| LIXIL Group Corp. | | | (4,200 | ) | | $ | (88,392 | ) |
| M3, Inc. | | | (23,000 | ) | | | (384,836 | ) |
| Marui Group Co., Ltd. | | | (23,200 | ) | | | (209,257 | ) |
| Mazda Motor Corp. | | | (22,300 | ) | | | (535,547 | ) |
| Mitsubishi Chemical Holdings Corp. | | | (54,800 | ) | | | (265,807 | ) |
| Mitsubishi Gas Chemical Co., Inc. | | | (54,000 | ) | | | (271,020 | ) |
| Mitsubishi Logistics Corp. | | | (58,000 | ) | | | (843,544 | ) |
| Mitsubishi Materials Corp. | | | (195,000 | ) | | | (646,898 | ) |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | (11,900 | ) | | | (55,964 | ) |
| Mitsui Chemicals, Inc. | | | (469,000 | ) | | | (1,328,385 | ) |
| Mitsui OSK Lines Ltd. | | | (361,000 | ) | | | (1,069,550 | ) |
| MS&AD Insurance Group Holdings, Inc. | | | (11,000 | ) | | | (260,680 | ) |
| Nexon Co., Ltd. | | | (5,600 | ) | | | (52,204 | ) |
| NGK Insulators Ltd. | | | (25,000 | ) | | | (512,458 | ) |
| Nintendo Co., Ltd. | | | (27,300 | ) | | | (2,848,963 | ) |
| Nippon Electric Glass Co., Ltd. | | | (110,000 | ) | | | (494,975 | ) |
| Nippon Paint Holdings Co., Ltd. | | | (13,000 | ) | | | (376,714 | ) |
| Nippon Shokubai Co., Ltd. | | | (24,000 | ) | | | (314,400 | ) |
| Nippon Steel & Sumitomo Metal Corp. | | | (593,000 | ) | | | (1,471,016 | ) |
| Nissan Motor Co., Ltd. | | | (102,000 | ) | | | (889,621 | ) |
| Nitto Denko Corp. | | | (27,600 | ) | | | (1,542,164 | ) |
| NSK Ltd. | | | (30,000 | ) | | | (354,202 | ) |
| NTT Data Corp. | | | (900 | ) | | | (33,529 | ) |
| Obayashi Corp. | | | (143,000 | ) | | | (921,806 | ) |
| Odakyu Electric Railway Co., Ltd. | | | (120,000 | ) | | | (1,062,975 | ) |
| Olympus Corp. † | | | (26,800 | ) | | | (938,813 | ) |
| Ono Pharmaceutical Co., Ltd. | | | (7,300 | ) | | | (646,309 | ) |
| Panasonic Corp. | | | (27,700 | ) | | | (326,263 | ) |
| Rakuten, Inc. | | | (205,200 | ) | | | (2,853,473 | ) |
| Sega Sammy Holdings, Inc. | | | (13,400 | ) | | | (171,442 | ) |
| Sharp Corp. † | | | (578,000 | ) | | | (1,278,707 | ) |
| Shikoku Electric Power Co., Inc. † | | | (65,900 | ) | | | (799,346 | ) |
| Shimizu Corp. | | | (13,000 | ) | | | (88,297 | ) |
| Shin-Etsu Chemical Co., Ltd. | | | (6,900 | ) | | | (449,188 | ) |
| Shinsei Bank Ltd. | | | (358,000 | ) | | | (623,070 | ) |
| Shionogi & Co., Ltd. | | | (8,600 | ) | | | (222,188 | ) |
| Shizuoka Bank Ltd./The | | | (1,000 | ) | | | (9,144 | ) |
| Showa Denko KK | | | (474,000 | ) | | | (583,499 | ) |
| SoftBank Corp. | | | (12,300 | ) | | | (732,137 | ) |
| Sojitz Corp. | | | (51,700 | ) | | | (72,199 | ) |
| Sony Corp. | | | (96,600 | ) | | | (1,971,534 | ) |
| Sony Financial Holdings, Inc. | | | (23,700 | ) | | | (348,985 | ) |
| Sumco Corp. | | | (93,600 | ) | | | (1,339,988 | ) |
| Sumitomo Dainippon Pharma Co., Ltd. | | | (16,200 | ) | | | (156,879 | ) |
| Sumitomo Electric Industries Ltd. | | | (7,700 | ) | | | (96,167 | ) |
| Sumitomo Mitsui Trust Holdings, Inc. | | | (384,000 | ) | | | (1,470,831 | ) |
| T&D Holdings, Inc. | | | (8,400 | ) | | | (100,698 | ) |
| Taiheiyo Cement Corp. | | | (132,000 | ) | | | (414,134 | ) |
| Takeda Pharmaceutical Co., Ltd. | | | (14,000 | ) | | | (579,569 | ) |
| TDK Corp. | | | (6,300 | ) | | | (371,041 | ) |
| Teijin Ltd. | | | (158,000 | ) | | | (419,949 | ) |
| Terumo Corp. | | | (23,600 | ) | | | (535,632 | ) |
| Tobu Railway Co., Ltd. | | | (95,000 | ) | | | (406,234 | ) |
| Tokyu Corp. | | | (12,000 | ) | | | (74,358 | ) |
| Toray Industries, Inc. | | | (84,000 | ) | | | (671,159 | ) |
| Toshiba Corp. | | | (329,000 | ) | | | (1,387,492 | ) |
| Toyo Seikan Group Holdings Ltd. | | | (17,900 | ) | | | (222,346 | ) |
| Toyota Boshoku Corp. | | | (30,000 | ) | | | (398,275 | ) |
| Toyota Tsusho Corp. | | | (27,000 | ) | | | (627,208 | ) |
| Trend Micro, Inc. | | | (15,000 | ) | | | (414,499 | ) |
| Tsumura & Co. | | | (1,800 | ) | | | (39,804 | ) |
| Ube Industries Ltd. | | | (217,000 | ) | | | (322,643 | ) |
| Yahoo Japan Corp. | | | (563,700 | ) | | | (2,020,259 | ) |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
|
| Japan - (17.2)% (continued) | |
| Yakult Honsha Co., Ltd. | | | (4,000 | ) | | $ | (211,140 | ) |
| Yaskawa Electric Corp. | | | (190,600 | ) | | | (2,434,558 | ) |
| Yokogawa Electric Corp. | | | (88,200 | ) | | | (967,823 | ) |
| | | | | | | | |
| | | | | | | (83,973,965 | ) |
| | | | | | | | |
| Luxembourg - (0.6)% | |
| Altice SA † | | | (13,450 | ) | | | (1,063,823 | ) |
| ArcelorMittal | | | (155,166 | ) | | | (1,699,983 | ) |
| | | | | | | | |
| | | | | | | (2,763,806 | ) |
| | | | | | | | |
| Netherlands - (1.8)% | |
| Aegon NV | | | (1,308 | ) | | | (9,831 | ) |
| Akzo Nobel NV | | | (5,560 | ) | | | (384,697 | ) |
| ASML Holding NV | | | (12,614 | ) | | | (1,362,911 | ) |
| Fugro NV CVA | | | (94,152 | ) | | | (1,955,606 | ) |
| Koninklijke KPN NV | | | (392,459 | ) | | | (1,239,130 | ) |
| OCI NV † | | | (25,789 | ) | | | (896,679 | ) |
| Randstad Holding NV | | | (22,112 | ) | | | (1,063,949 | ) |
| SBM Offshore NV † | | | (59,525 | ) | | | (700,066 | ) |
| TNT Express NV | | | (154,587 | ) | | | (1,030,540 | ) |
| | | | | | | | |
| | | | | | | (8,643,409 | ) |
| | | | | | | | |
| Norway - (0.7)% | |
| Aker Solutions ASA 144A †(e) | | | (59,332 | ) | | | (330,019 | ) |
| Fred Olsen Energy ASA | | | (42,267 | ) | | | (386,766 | ) |
| Norsk Hydro ASA | | | (30,544 | ) | | | (172,055 | ) |
| Petroleum Geo-Services ASA | | | (65,164 | ) | | | (366,838 | ) |
| Schibsted ASA | | | (25,424 | ) | | | (1,612,374 | ) |
| Seadrill Ltd. | | | (58,975 | ) | | | (682,351 | ) |
| | | | | | | | |
| | | | | | | (3,550,403 | ) |
| | | | | | | | |
| Portugal - (0.0)% (b) | |
| Banco Espirito Santo SA (3)(f) | | | (216,618 | ) | | | (31,454 | ) |
| | | | | | | | |
|
| Spain - (2.0)% | |
| Abertis Infraestructuras SA | | | (462 | ) | | | (9,161 | ) |
| Banco Bilbao Vizcaya Argentaria SA | | | (88,954 | ) | | | (840,118 | ) |
| Banco Popular Espanol SA | | | (106,224 | ) | | | (529,509 | ) |
| Bankia SA † | | | (195,955 | ) | | | (290,783 | ) |
| CaixaBank SA | | | (139,885 | ) | | | (732,978 | ) |
| Grifols SA | | | (27,884 | ) | | | (1,112,670 | ) |
| Inditex SA | | | (54,144 | ) | | | (1,544,479 | ) |
| Indra Sistemas SA | | | (128,334 | ) | | | (1,246,821 | ) |
| Mapfre SA | | | (300,544 | ) | | | (1,015,834 | ) |
| Mediaset Espana Comunicacion SA † | | | (29,728 | ) | | | (373,742 | ) |
| Obrascon Huarte Lain SA | | | (39,360 | ) | | | (878,284 | ) |
| Telefonica SA | | | (15,994 | ) | | | (229,634 | ) |
| Zardoya Otis SA | | | (96,752 | ) | | | (1,072,943 | ) |
| | | | | | | | |
| | | | | | | (9,876,956 | ) |
| | | | | | | | |
| Sweden - (1.4)% | |
| Alfa Laval AB | | | (6,677 | ) | | | (126,261 | ) |
| Atlas Copco AB, A Shares | | | (16,455 | ) | | | (457,871 | ) |
| Boliden AB | | | (40,073 | ) | | | (640,559 | ) |
| Electrolux AB, Series B | | | (20,253 | ) | | | (591,777 | ) |
| Elekta AB, B Shares | | | (170,901 | ) | | | (1,745,337 | ) |
| Getinge AB, B Shares | | | (32,955 | ) | | | (750,464 | ) |
| Hennes & Mauritz AB, B Shares | | | (9,197 | ) | | | (382,090 | ) |
| Modern Times Group MTG, B Shares | | | (7,167 | ) | | | (227,284 | ) |
| Sandvik AB | | | (105,201 | ) | | | (1,022,878 | ) |
| Svenska Handelsbanken AB, A Shares | | | (6,536 | ) | | | (305,806 | ) |
| Tele2 AB, B Shares | | | (26,928 | ) | | | (326,305 | ) |
| Trelleborg AB, B Shares | | | (10,979 | ) | | | (184,829 | ) |
| | | | | | | | |
| | | | | | | (6,761,461 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
220
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Switzerland - (2.3)% | |
| Adecco SA † | | | (7,825 | ) | | $ | (537,885 | ) |
| Cie Financiere Richemont SA | | | (13,950 | ) | | | (1,236,788 | ) |
| Credit Suisse Group AG † | | | (41,009 | ) | | | (1,030,197 | ) |
| Dufry AG † | | | (4,210 | ) | | | (629,244 | ) |
| EMS-Chemie Holding AG | | | (881 | ) | | | (356,649 | ) |
| GAM Holding AG † | | | (6,698 | ) | | | (120,417 | ) |
| Holcim Ltd. † | | | (4,732 | ) | | | (338,263 | ) |
| Julius Baer Group Ltd. † | | | (11,360 | ) | | | (518,675 | ) |
| Kuehne + Nagel International AG | | | (1,308 | ) | | | (177,673 | ) |
| Panalpina Welttransport Holding AG | | | (2,358 | ) | | | (316,086 | ) |
| Partners Group Holding AG | | | (59 | ) | | | (17,165 | ) |
| Schindler Holding AG | | | (471 | ) | | | (67,996 | ) |
| SGS SA | | | (98 | ) | | | (200,113 | ) |
| STMicroelectronics NV | | | (54,682 | ) | | | (408,836 | ) |
| Sulzer AG | | | (11,601 | ) | | | (1,240,973 | ) |
| Swatch Group AG/The | | | (1,289 | ) | | | (572,647 | ) |
| Syngenta AG | | | (1,903 | ) | | | (612,114 | ) |
| Transocean Ltd. | | | (66,687 | ) | | | (1,223,698 | ) |
| UBS Group AG † | | | (75,676 | ) | | | (1,300,848 | ) |
| Zurich Insurance Group AG † | | | (1,306 | ) | | | (408,128 | ) |
| | | | | | | | |
| | | | | | | (11,314,395 | ) |
| | | | | | | | |
| United Kingdom - (0.2)% | |
| CNH Industrial NV | | | (53,269 | ) | | | (431,217 | ) |
| International Consolidated Airlines Group SA † | | | (51,164 | ) | | | (381,134 | ) |
| Subsea 7 SA | | | (28,097 | ) | | | (287,514 | ) |
| | | | | | | | |
| | | | | | | (1,099,865 | ) |
| | | | | | | | |
| United States - (0.3)% | |
| Zimmer Holdings, Inc. (1) | | | (13,591 | ) | | | (1,541,491 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS SOLD SHORT
(proceeds $169,892,486) | | | | | | | (161,562,941 | ) |
| | | | | | | | |
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $169,892,486) | | | | | | | (161,562,941 | ) |
| | | | | | | | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 86.5%
(cost $423,738,236) | | | | | | | 423,082,399 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 13.5% (g) | | | 66,050,479 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 489,132,878 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $179,802,119. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents annualized seven-day yield as of December 31, 2014. |
| (d) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
| (e) | 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. |
| (f) | Security fair valued as of December 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $(31,454) or (0.0)% of total net assets. |
| (g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
| ^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certification
SDR - Special Drawing Rights
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET ASSETS | |
| Consumer Discretionary | | $ | 1,127,211 | | | | 0.2 | % |
| Consumer Staples | | | 13,510,518 | | | | 2.7 | |
| Energy | | | 1,993,660 | | | | 0.4 | |
| Financials | | | 3,163,643 | | | | 0.6 | |
| Health Care | | | 8,987,836 | | | | 1.8 | |
| Industrials | | | 255,605 | | | | 0.1 | |
| Information Technology | | | (4,053,970 | ) | | | (0.8 | ) |
| Materials | | | (6,086,032 | ) | | | (1.2 | ) |
| Telecommunication Services | | | 8,145,697 | | | | 1.7 | |
| Utilities | | | 6,724,664 | | | | 1.4 | |
| Money Market Funds | | | 389,313,567 | | | | 79.6 | |
| | | | | | | | |
Total Investments | | | 423,082,399 | | | | 86.5 | |
| Other Assets in Excess of Liabilities (g) | | | 66,050,479 | | | | 13.5 | |
| | | | | | | | |
Net Assets | | $ | 489,132,878 | | | | 100.0 | % |
| | | | | | | | |
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Barclays Capital | | 10-Year Canadian Bond March Futures | | 3/2015 | | CAD | | | 54,577,242 | | | | $969,440 | |
| Barclays Capital | | 10-Year Japanese Government Bond March Futures | | 3/2015 | | JPY | | | (31,131,466,480 | ) | | | (1,685,941 | ) |
| Bank of America | | 30-Year Euro Buxl Bond March Futures | | 3/2015 | | EUR | | | (11,394,357 | ) | | | (666,952 | ) |
| Goldman Sachs | | BIST 30 Futures February Futures | | 2/2015 | | TRY | | | 2,122,944 | | | | 11,454 | |
| Bank of America | | Bovespa Index February Futures | | 2/2015 | | BRL | | | (22,258,604 | ) | | | (372,148 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
221
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 7,015,080 | | | | $ 150,722 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (15,412,642 | ) | | | 28,882 | |
| Bank of America | | Euro - Bobl March Futures | | 3/2015 | | EUR | | | 4,011,750 | | | | 33,094 | |
| Bank of America | | Euro - Bund March Futures | | 3/2015 | | EUR | | | 7,202,275 | | | | 152,454 | |
| Bank of America | | Euro - SCHATZ March Futures | | 3/2015 | | EUR | | | (222,488,870 | ) | | | (440,879 | ) |
| CitiBank | | Gold 100 OZ February Futures^ | | 1/2015 | | USD | | | 122,343 | | | | (3,933 | ) |
| Bank of America | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 292,545,690 | | | | 395,368 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 1,182,325 | | | | 2,138 | |
| CitiBank | | LME Copper March Futures^ | | 3/2015 | | USD | | | 2,864,250 | | | | (25,650 | ) |
| Barclays Capital | | Long Gilt March Futures | | 3/2015 | | GBP | | | 38,217,429 | | | | 1,361,460 | |
| Bank of America | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 3,654,498 | | | | 50,982 | |
| Bank of America | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | (611,827 | ) | | | (11,863 | ) |
| Bank of America | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 64,825,718 | | | | 62,864 | |
| Bank of America | | Tel Aviv 25 Index January Futures | | 1/2015 | | ILS | | | 6,676,905 | | | | (21,449 | ) |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | 3/2015 | | USD | | | 54,112,168 | | | | 156,894 | |
| Bank of America | | U.S. Treasury 2-Year Note March Futures | | 3/2015 | | USD | | | (178,128,108 | ) | | | 192,796 | |
| Bank of America | | U.S. Treasury 5-Year Note March Futures | | 3/2015 | | USD | | | 2,615,886 | | | | 567 | |
| Bank of America | | U.S. Treasury Long Bond March Futures | | 3/2015 | | USD | | | (7,874,619 | ) | | | (220,881 | ) |
| Goldman Sachs | | WIG20 Index March Futures | | 3/2015 | | PLN | | | 5,946,153 | | | | (43,047 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $76,372 | |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts and total return basket swap contracts in the amount of $34,500,000 at December 31, 2014. Money Market Fund is pledged as collateral to Bank of America, Barclays Capital and Deutsche Bank for total return swap contracts in the amounts of $1,220,067, $430,000 and $10, respectively at December 31, 2014. Additional cash held as collateral at CitiBank for total return swap contracts in the amount of $420,000 at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | | | | | | | | | | |
| 182 | | Goldman Sachs | | Gold 100 OZ Futures^ | | | 2/2015 | | | | $21,947,807 | | | | $21,550,619 | | | | $(397,188 | ) |
| 13 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | 2,188,366 | | | | 2,067,325 | | | | (121,041 | ) |
| 15 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | 2,465,178 | | | | 2,368,407 | | | | (96,771 | ) |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 319,329 | | | | 315,612 | | | | (3,717 | ) |
| 7 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 1,117,395 | | | | 1,104,338 | | | | (13,057 | ) |
| 14 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 2,256,506 | | | | 2,209,200 | | | | (47,306 | ) |
| 156 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | 24,977,620 | | | | 24,601,200 | | | | (376,420 | ) |
| 257 | | Goldman Sachs | | Silver Futures^ | | | 3/2015 | | | | 21,345,079 | | | | 20,044,715 | | | | (1,300,364 | ) |
| 156 | | Barclays Capital | | Amsterdam Index Futures | | | 1/2015 | | | | 15,036,213 | | | | 16,045,263 | | | | 1,009,050 | |
| 793 | | J.P. Morgan | | BIST 30 Futures | | | 2/2015 | | | | 3,584,898 | | | | 3,632,878 | | | | 47,980 | |
| 154 | | Barclays Capital | | DAX Index Futures | | | 3/2015 | | | | 44,184,277 | | | | 45,857,839 | | | | 1,673,562 | |
| 288 | | Barclays Capital | | Hang Seng Index Futures | | | 1/2015 | | | | 43,753,906 | | | | 43,915,019 | | | | 161,113 | |
| 40 | | Barclays Capital | | H-SHARES Index Futures | | | 1/2015 | | | | 3,080,108 | | | | 3,092,080 | | | | 11,972 | |
| 86 | | Barclays Capital | | KOSPI Index 200 Futures | | | 3/2015 | | | | 9,835,561 | | | | 9,545,558 | | | | (290,003 | ) |
| 117 | | Barclays Capital | | MSCI Singapore Index Futures | | | 1/2015 | | | | 6,698,544 | | | | 6,740,980 | | | | 42,436 | |
| 212 | | Barclays Capital | | MSCI Taiwan Stock Index Futures | | | 1/2015 | | | | 7,180,509 | | | | 7,273,720 | | | | 93,211 | |
| 65 | | Barclays Capital | | S&P 500 E-Mini Futures | | | 3/2015 | | | | 6,624,769 | | | | 6,670,300 | | | | 45,531 | |
| 481 | | Barclays Capital | | SET50 Index Futures | | | 3/2015 | | | | 2,951,565 | | | | 2,892,140 | | | | (59,425 | ) |
| 34 | | Barclays Capital | | SGX S&P CNX Nifty Index Futures | | | 1/2015 | | | | 567,232 | | | | 568,412 | | | | 1,180 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
222
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | |
| 207 | | Barclays Capital | | TOPIX Index Futures | | | 3/2015 | | | | $ 24,597,384 | | | | $ 24,323,969 | | | | $ (273,415 | ) |
| 1,307 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 6/2015 | | | | 394,804,376 | | | | 395,166,412 | | | | 362,036 | |
| 1,058 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 9/2015 | | | | 319,764,325 | | | | 319,898,192 | | | | 133,867 | |
| 273 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | | 12/2015 | | | | 82,518,222 | | | | 82,540,497 | | | | 22,275 | |
| 1,179 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 6/2015 | | | | 293,470,211 | | | | 293,467,837 | | | | (2,374 | ) |
| 1,217 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 9/2015 | | | | 302,164,730 | | | | 302,272,375 | | | | 107,645 | |
| 1,125 | | J.P. Morgan | | 90-Day EURODollar Futures | | | 12/2015 | | | | 278,975,989 | | | | 278,676,562 | | | | (299,427 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | 1,916,410,099 | | | | 1,916,841,449 | | | | 431,350 | |
| | | | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | | | | | | | | | | |
| 236 | | Goldman Sachs | | Brent Crude Futures^ | | | 1/2015 | | | | (16,239,399 | ) | | | (13,529,880 | ) | | | 2,709,519 | |
| 571 | | Goldman Sachs | | Corn Futures^ | | | 3/2015 | | | | (11,416,587 | ) | | | (11,334,350 | ) | | | 82,237 | |
| 13 | | J.P. Morgan | | LME Copper Futures^ | | | 1/2015 | | | | (2,195,347 | ) | | | (2,067,325 | ) | | | 128,022 | |
| 15 | | J.P. Morgan | | LME Copper Futures^ | | | 2/2015 | | | | (2,465,582 | ) | | | (2,368,406 | ) | | | 97,176 | |
| 2 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (318,594 | ) | | | (315,612 | ) | | | 2,982 | |
| 7 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (1,118,108 | ) | | | (1,104,337 | ) | | | 13,771 | |
| 14 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (2,251,510 | ) | | | (2,209,200 | ) | | | 42,310 | |
| 7 | | J.P. Morgan | | LME Copper Futures^ | | | 3/2015 | | | | (1,116,480 | ) | | | (1,103,900 | ) | | | 12,580 | |
| 105 | | Goldman Sachs | | Natural Gas Futures^ | | | 1/2015 | | | | (3,899,012 | ) | | | (3,033,450 | ) | | | 865,562 | |
| 279 | | Goldman Sachs | | Soybean Futures^ | | | 3/2015 | | | | (14,556,341 | ) | | | (14,277,825 | ) | | | 278,516 | |
| 138 | | Barclays Capital | | CAC40 Index Futures | | | 1/2015 | | | | (6,681,307 | ) | | | (7,142,030 | ) | | | (460,723 | ) |
| 745 | | Barclays Capital | | Euro Stoxx 50 Index | | | 3/2015 | | | | (27,065,894 | ) | | | (28,243,595 | ) | | | (1,177,701 | ) |
| 351 | | Barclays Capital | | FTSE 100 Index Futures | | | 3/2015 | | | | (34,462,908 | ) | | | (35,682,549 | ) | | | (1,219,641 | ) |
| 6 | | Barclays Capital | | FTSE Bursa Malaysia KLCI Index Futures | | | 1/2015 | | | | (150,496 | ) | | | (150,236 | ) | | | 260 | |
| 582 | | Barclays Capital | | FTSE/JSE Top 40 Index Futures | | | 3/2015 | | | | (21,356,975 | ) | | | (22,267,214 | ) | | | (910,239 | ) |
| 253 | | Barclays Capital | | FTSE/MIB Index Futures | | | 3/2015 | | | | (28,326,676 | ) | | | (29,189,170 | ) | | | (862,494 | ) |
| 61 | | Barclays Capital | | IBEX 35 Index Futures | | | 1/2015 | | | | (7,498,020 | ) | | | (7,561,630 | ) | | | (63,610 | ) |
| 8 | | J.P. Morgan | | Mexican Stock Exchange Price and Quotation Index Futures | | | 3/2015 | | | | (221,834 | ) | | | (234,186 | ) | | | (12,352 | ) |
| 747 | | Barclays Capital | | OMXS30 Index Futures | | | 1/2015 | | | | (13,537,123 | ) | | | (14,054,970 | ) | | | (517,847 | ) |
| 42 | | Barclays Capital | | S&P/Toronto Stock Exchange 60 Index Futures | | | 3/2015 | | | | (6,001,048 | ) | | | (6,157,204 | ) | | | (156,156 | ) |
| 163 | | Barclays Capital | | SPI 200 Index Futures | | | 3/2015 | | | | (17,077,427 | ) | | | (17,908,324 | ) | | | (830,897 | ) |
| 1,565 | | J.P. Morgan | | 90-Day Sterling Futures | | | 6/2015 | | | | (302,831,200 | ) | | | (302,949,787 | ) | | | (118,587 | ) |
| 1,507 | | J.P. Morgan | | 90-Day Sterling Futures | | | 9/2015 | | | | (290,940,112 | ) | | | (291,487,374 | ) | | | (547,262 | ) |
| 1,002 | | J.P. Morgan | | 90-Day Sterling Futures | | | 12/2015 | | | | (193,444,876 | ) | | | (193,613,909 | ) | | | (169,033 | ) |
| 301 | | J.P. Morgan | | Australia 10-Year Bond Futures | | | 3/2015 | | | | (31,120,294 | ) | | | (31,489,892 | ) | | | (369,598 | ) |
| 1,621 | | J.P. Morgan | | Australia 3-Year Bond Futures | | | 3/2015 | | | | (146,757,271 | ) | | | (147,268,576 | ) | | | (511,305 | ) |
| 234 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 3/2015 | | | | (49,708,203 | ) | | | (49,690,760 | ) | | | 17,443 | |
| 905 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 6/2015 | | | | (192,167,557 | ) | | | (192,150,865 | ) | | | 16,692 | |
| 743 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 9/2015 | | | | (157,730,574 | ) | | | (157,690,846 | ) | | | 39,728 | |
| 428 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | | 12/2015 | | | | (90,822,263 | ) | | | (90,790,669 | ) | | | 31,594 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (1,673,479,018 | ) | | | (1,677,068,071 | ) | | | (3,589,053 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $242,931,081 | | | | $239,773,378 | | | | $(3,157,703 | ) |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $24,364,543, $2,574,702 and $8,780,931, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
223
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY AMOUNT PURCHASED | | | VALUE AT SETTLEMENT DATE | | | VALUE AT DECEMBER 31, 2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 03/18/15 | | Credit Suisse International | | AUD | | | 17,941,989 | | | | $14,770,197 | | | | $14,571,460 | | | | $(198,737 | ) |
| Brazilian Real, Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 23,010,000 | | | | 8,545,522 | | | | 8,486,426 | | | | (59,096 | ) |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 66,890,943 | | | | 58,602,861 | | | | 57,484,034 | | | | (1,118,827 | ) |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 22,543,000 | | | | 23,460,959 | | | | 22,705,049 | | | | (755,910 | ) |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 41,493,009 | | | | 51,251,102 | | | | 50,241,892 | | | | (1,009,210 | ) |
| British Pound, Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 19,831,095 | | | | 31,010,002 | | | | 30,890,856 | | | | (119,146 | ) |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 20,669,000 | | | | 2,665,556 | | | | 2,665,283 | | | | (273 | ) |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 1,011,000,000 | | | | 4,064,290 | | | | 3,857,002 | | | | (207,288 | ) |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 18,200,000 | | | | 4,621,721 | | | | 4,667,275 | | | | 45,554 | |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | 1,093,248,690 | | | | 17,275,579 | | | | 17,060,623 | | | | (214,956 | ) |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 1,746,287,000 | | | | 14,627,855 | | | | 14,588,526 | | | | (39,329 | ) |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 16,510,000,000 | | | | 14,859,165 | | | | 14,970,575 | | | | 111,410 | |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 75,000,000 | | | | 5,089,862 | | | | 5,060,579 | | | | (29,283 | ) |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 3,097,000 | | | | 414,629 | | | | 414,684 | | | | 55 | |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 45,182,857 | | | | 34,672,285 | | | | 34,997,822 | | | | 325,537 | |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 49,690,450 | | | | 14,707,789 | | | | 13,989,624 | | | | (718,165 | ) |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | 375,445,018 | | | | 7,003,484 | | | | 5,928,687 | | | | (1,074,797 | ) |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 32,096,000 | | | | 4,220,348 | | | | 4,118,310 | | | | (102,038 | ) |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 21,400,000 | | | | 16,344,920 | | | | 16,134,991 | | | | (209,929 | ) |
| Turkish Lira, Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 103,676,950 | | | | 45,201,923 | | | | 43,705,079 | | | | (1,496,844 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 103,736,316 | | | | 3,332,151 | | | | 3,284,063 | | | | (48,088 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 138,722,992 | | | | 12,088,518 | | | | 11,850,972 | | | | (237,546 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $388,830,718 | | | | $381,673,812 | | | | $(7,156,906 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY AMOUNT SOLD | | | VALUE AT
SETTLEMENT DATE | | | VALUE AT DECEMBER 31, 2014 | | | UNREALIZED APPRECIATION (DEPRECIATION) | |
| Australian Dollar, Expiring 03/18/15 | | Credit Suisse International | | AUD | | | (5,870,000 | ) | | | $(4,978,632 | ) | | | $(4,767,279 | ) | | | $211,353 | |
| Brazilian Real, Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (43,859,430 | ) | | | (16,138,122 | ) | | | (16,176,000 | ) | | | (37,878 | ) |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (11,501,000 | ) | | | (9,857,562 | ) | | | (9,883,608 | ) | | | (26,046 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
224
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY AMOUNT SOLD | | | VALUE AT
SETTLEMENT DATE | | | VALUE AT DECEMBER 31, 2014 | | | UNREALIZED APPRECIATION (DEPRECIATION) | |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (92,726,222 | ) | | | $ (95,303,559 | ) | | | $ (93,392,779 | ) | | | $ 1,910,780 | |
| Danish Krone, Expiring 03/18/15 | | Credit Suisse International | | DKK | | | (14,592,423 | ) | | | (2,433,536 | ) | | | (2,372,611 | ) | | | 60,925 | |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (15,777,000 | ) | | | (19,626,301 | ) | | | (19,103,612 | ) | | | 522,689 | |
| British Pound, Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (6,573,000 | ) | | | (10,286,730 | ) | | | (10,238,749 | ) | | | 47,981 | |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | (27,369,000 | ) | | | (3,528,457 | ) | | | (3,529,254 | ) | | | (797 | ) |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (430,000,000 | ) | | | (1,694,714 | ) | | | (1,640,466 | ) | | | 54,248 | |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (71,459,091 | ) | | | (18,023,879 | ) | | | (18,325,240 | ) | | | (301,361 | ) |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (4,095,215,132 | ) | | | (34,291,881 | ) | | | (34,211,530 | ) | | | 80,351 | |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (21,589,668,960 | ) | | | (19,463,901 | ) | | | (19,576,605 | ) | | | (112,704 | ) |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (461,865,659 | ) | | | (32,400,480 | ) | | | (31,164,105 | ) | | | 1,236,375 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (377,776,398 | ) | | | (53,440,918 | ) | | | (50,583,728 | ) | | | 2,857,190 | |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | (9,274,000 | ) | | | (7,069,781 | ) | | | (7,183,472 | ) | | | (113,691 | ) |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (25,100,000 | ) | | | (7,358,334 | ) | | | (7,066,541 | ) | | | 291,793 | |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | (375,445,018 | ) | | | (6,811,319 | ) | | | (5,928,687 | ) | | | 882,632 | |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | (363,446,268 | ) | | | (48,337,516 | ) | | | (46,634,603 | ) | | | 1,702,913 | |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (45,444,499 | ) | | | (34,557,925 | ) | | | (34,263,860 | ) | | | 294,065 | |
| Turkish Lira, Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (27,600,000 | ) | | | (11,648,462 | ) | | | (11,634,795 | ) | | | 13,667 | |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (54,400,000 | ) | | | (4,692,515 | ) | | | (4,647,340 | ) | | | 45,175 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (441,944,524 | ) | | | (432,324,864 | ) | | | 9,619,660 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(53,113,806 | ) | | | $(50,651,052 | ) | | | $2,462,754 | |
| | | | | | | | | | | | | | | | | | | | |
Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $2,610,000 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
225
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
Total Return Basket Swaps* Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | | 2-13 months maturity 02/20/2015 | | | $17,217,988 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| Domtar Corp. | | | 4,900 | | | $ | 194,880 | | | $ | 2,198 | |
| Restaurant Brands International, Inc. | | | 1,584 | | | | 47,056 | | | | 14,783 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,981 | |
| | | | | | | | | | | | |
| Ireland | | | | | | | | | |
| Alkermes PLC | | | 1,309 | | | | 59,385 | | | | 17,270 | |
| Covidien PLC | | | 2,006 | | | | 136,036 | | | | 69,138 | |
| Mallinckrodt PLC | | | 15,038 | | | | 1,195,022 | | | | 294,191 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 380,599 | |
| | | | | | | | | | | | |
| | | |
| Netherlands | | | | | | | | | | | | |
| QIAGEN NV | | | 1,318 | | | | 32,653 | | | | (1,733 | ) |
| | | | | | | | | | | | |
| | | |
| Singapore | | | | | | | | | | | | |
| Avago Technologies Ltd. | | | 13,439 | | | | 1,045,318 | | | | 306,511 | |
| Flextronics International Ltd. | | | 91,200 | | | | 1,010,595 | | | | 9,021 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 315,532 | |
| | | | | | | | | | | | |
| | | |
| Sweden | | | | | | | | | | | | |
| Autoliv, Inc. | | | 4,502 | | | | 408,126 | | | | 69,626 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Allied World Assurance Co. Holdings AG | | | 8,708 | | | | 327,203 | | | | 3,004 | |
| Garmin Ltd. | | | 14,371 | | | | 805,117 | | | | (45,897 | ) |
| Noble Corp. PLC | | | 7,037 | | | | 164,990 | | | | (48,387 | ) |
| TE Connectivity Ltd. | | | 18,482 | | | | 1,024,677 | | | | 144,309 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 53,029 | |
| | | | | | | | | | | | |
| United Kingdom | | | | | | | | | |
| Aon PLC | | | 13,619 | | | | 1,078,153 | | | | 213,337 | |
| Delphi Automotive PLC | | | 32,815 | | | | 2,102,966 | | | | 283,341 | |
| Willis Group Holdings PLC | | | 626 | | | | 26,178 | | | | 1,873 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 498,551 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States | | | | | | | | | |
| 3M Co. | | | 8,624 | | | $ | 1,086,202 | | | $ | 330,893 | |
| Abbott Laboratories | | | 6,209 | | | | 244,823 | | | | 34,707 | |
| AbbVie, Inc. | | | 8,963 | | | | 439,030 | | | | 147,509 | |
| Accenture PLC | | | 1,887 | | | | 148,617 | | | | 19,911 | |
| ACE Ltd. | | | 12,993 | | | | 1,205,532 | | | | 287,104 | |
| Actavis PLC | | | 4,309 | | | | 1,096,330 | | | | 12,850 | |
| Activision Blizzard, Inc. | | | 55,672 | | | | 951,373 | | | | 170,418 | |
| Acuity Brands, Inc. | | | 3,279 | | | | 452,988 | | | | 6,301 | |
| Advance Auto Parts, Inc. | | | 6,015 | | | | 806,601 | | | | 151,468 | |
| Advent Software, Inc. | | | 2,156 | | | | 67,091 | | | | (1,031 | ) |
| AECOM Technology Corp. | | | 11,287 | | | | 358,256 | | | | (15,470 | ) |
| Aetna, Inc. | | | 25,368 | | | | 1,987,623 | | | | 265,816 | |
| Aflac, Inc. | | | 6,400 | | | | 369,258 | | | | 21,718 | |
| AGCO Corp. | | | 11,229 | | | | 591,517 | | | | (83,966 | ) |
| Agilent Technologies, Inc. | | | 3,144 | | | | 127,238 | | | | 1,478 | |
| AGL Resources, Inc. | | | 4,444 | | | | 217,723 | | | | 24,519 | |
| Air Lease Corp. | | | 4,282 | | | | 136,168 | | | | 10,748 | |
| Akamai Technologies, Inc. | | | 10,579 | | | | 604,062 | | | | 61,992 | |
| Alaska Air Group, Inc. | | | 27,652 | | | | 1,053,412 | | | | 599,071 | |
| Alexion Pharmaceuticals, Inc. | | | 2,000 | | | | 369,751 | | | | 309 | |
| Alliant Energy Corp. | | | 5,989 | | | | 309,681 | | | | 88,108 | |
| Alliant Techsystems, Inc. | | | 5,982 | | | | 788,268 | | | | (92,860 | ) |
| Allstate Corp./The | | | 13,916 | | | | 846,585 | | | | 131,014 | |
| Altria Group, Inc. | | | 17,899 | | | | 693,724 | | | | 188,160 | |
| Amdocs Ltd. | | | 14,764 | | | | 692,074 | | | | (3,259 | ) |
| AMERCO | | | 2,400 | | | | 669,160 | | | | 13,064 | |
| Ameren Corp. | | | 9,702 | | | | 404,197 | | | | 43,356 | |
| American Electric Power Co., Inc. | | | 44,677 | | | | 2,394,232 | | | | 318,555 | |
| American Express Co. | | | 7,877 | | | | 707,622 | | | | 25,254 | |
| American Financial Group, Inc. | | | 7,478 | | | | 406,252 | | | | 47,812 | |
| American Water Works Co., Inc. | | | 6,900 | | | | 362,406 | | | | 5,364 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
226
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Ameriprise Financial, Inc. | | | 19,808 | | | $ | 2,084,462 | | | $ | 535,146 | |
| AmerisourceBergen Corp. | | | 5,001 | | | | 352,721 | | | | 98,170 | |
| Amgen, Inc. | | | 16,970 | | | | 2,357,008 | | | | 346,144 | |
| Analog Devices, Inc. | | | 1,527 | | | | 82,210 | | | | 2,569 | |
| ANN, Inc. | | | 10,600 | | | | 429,190 | | | | (42,502 | ) |
| ANSYS, Inc. | | | 340 | | | | 25,865 | | | | 2,015 | |
| Anthem, Inc. | | | 27,935 | | | | 2,562,398 | | | | 948,193 | |
| AO Smith Corp. | | | 1,797 | | | | 82,845 | | | | 18,524 | |
| AOL, Inc. | | | 3,264 | | | | 156,138 | | | | (5,439 | ) |
| Apollo Education Group, Inc. | | | 18,512 | | | | 524,664 | | | | 106,781 | |
| Apple, Inc. | | | 15,937 | | | | 1,673,143 | | | | 85,983 | |
| Archer-Daniels-Midland Co. | | | 36,144 | | | | 1,422,454 | | | | 457,034 | |
| ARRIS Group, Inc. | | | 43,300 | | | | 1,274,121 | | | | 33,106 | |
| Arrow Electronics, Inc. | | | 12,277 | | | | 682,604 | | | | 28,111 | |
| Arthur J Gallagher & Co. | | | 600 | | | | 27,335 | | | | 913 | |
| Ascena Retail Group, Inc. | | | 9,762 | | | | 176,236 | | | | (53,625 | ) |
| Aspen Insurance Holdings Ltd. | | | 5,000 | | | | 218,580 | | | | 270 | |
| Associated Banc-Corp. | | | 1,757 | | | | 28,629 | | | | 4,104 | |
| Assurant, Inc. | | | 12,527 | | | | 811,694 | | | | 45,529 | |
| AT&T, Inc. | | | 42,586 | | | | 1,538,801 | | | | (108,337 | ) |
| Atmos Energy Corp. | | | 8,492 | | | | 435,587 | | | | 37,757 | |
| Atwood Oceanics, Inc. | | | 2,875 | | | | 131,205 | | | | (49,641 | ) |
| AutoNation, Inc. | | | 8,982 | | | | 527,686 | | | | 14,917 | |
| AutoZone, Inc. | | | 3,828 | | | | 2,074,087 | | | | 295,866 | |
| Avery Dennison Corp. | | | 3,563 | | | | 176,402 | | | | 8,447 | |
| Avnet, Inc. | | | 16,919 | | | | 674,578 | | | | 53,277 | |
| Axis Capital Holdings Co. | | | 5,041 | | | | 229,336 | | | | 28,208 | |
| Babcock & Wilcox Co./The | | | 6,618 | | | | 220,987 | | | | (20,462 | ) |
| Ball Corp. | | | 16,750 | | | | 1,049,934 | | | | 91,914 | |
| Bank of New York Mellon Corp./The | | | 11,326 | | | | 384,989 | | | | 74,507 | |
| BankUnited, Inc. | | | 2,246 | | | | 72,321 | | | | (7,255 | ) |
| Baxter International, Inc. | | | 1,148 | | | | 80,413 | | | | 3,724 | |
| BB&T Corp. | | | 1,477 | | | | 54,403 | | | | 3,037 | |
| Becton Dickinson and Co. | | | 6,139 | | | | 652,640 | | | | 201,664 | |
| Bed Bath & Beyond, Inc. | | | 5,420 | | | | 341,618 | | | | 71,224 | |
| Bemis Co., Inc. | | | 619 | | | | 23,813 | | | | 4,172 | |
| Big Lots, Inc. | | | 5,319 | | | | 235,246 | | | | (22,380 | ) |
| Biogen Idec, Inc. | | | 4,505 | | | | 1,443,793 | | | | 85,429 | |
| Bio-Techne Corp. | | | 1,557 | | | | 137,823 | | | | 6,044 | |
| Boeing Co./The | | | 1,334 | | | | 185,886 | | | | (12,492 | ) |
| Booz Allen Hamilton Holding Corp. | | | 29,000 | | | | 779,344 | | | | (9,974 | ) |
| Boston Scientific Corp. | | | 13,116 | | | | 177,197 | | | | (3,410 | ) |
| Brinker International, Inc. | | | 3,200 | | | | 169,630 | | | | 18,178 | |
| Broadcom Corp. | | | 21,721 | | | | 897,574 | | | | 43,597 | |
| Broadridge Financial Solutions, Inc. | | | 16,983 | | | | 618,209 | | | | 166,066 | |
| Brocade Communications Systems, Inc. | | | 183,710 | | | | 1,683,118 | | | | 492,009 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Bunge Ltd. | | | 3,989 | | | $ | 346,488 | | | $ | 16,152 | |
| CA, Inc. | | | 37,072 | | | | 1,161,818 | | | | (32,976 | ) |
| Cablevision Systems Corp. | | | 46,100 | | | | 868,582 | | | | 82,922 | |
| Cabot Corp. | | | 1,919 | | | | 98,002 | | | | (13,834 | ) |
| California Resources Corp. | | | 1,860 | | | | 117,397 | | | | (107,148 | ) |
| Capital One Financial Corp. | | | 29,451 | | | | 2,458,347 | | | | (27,167 | ) |
| Cardinal Health, Inc. | | | 18,425 | | | | 1,317,550 | | | | 169,900 | |
| Carlisle Cos., Inc. | | | 1,228 | | | | 89,309 | | | | 21,506 | |
| Carter’s, Inc. | | | 3,444 | | | | 242,113 | | | | 58,582 | |
| Caterpillar, Inc. | | | 6,909 | | | | 691,393 | | | | (59,012 | ) |
| Celanese Corp. | | | 749 | | | | 41,270 | | | | 3,640 | |
| Celgene Corp. | | | 7,239 | | | | 543,822 | | | | 265,933 | |
| Centene Corp. | | | 5,300 | | | | 457,326 | | | | 93,079 | |
| CenturyLink, Inc. | | | 10,000 | | | | 408,580 | | | | (12,780 | ) |
| CF Industries Holdings, Inc. | | | 710 | | | | 184,292 | | | | 9,211 | |
| Charles River Laboratories International, Inc. | | | 8,738 | | | | 536,587 | | | | 19,500 | |
| Cheesecake Factory, Inc./The | | | 838 | | | | 36,503 | | | | 5,657 | |
| Chesapeake Energy Corp. | | | 11,598 | | | | 284,059 | | | | (57,086 | ) |
| Chevron Corp. | | | 16,293 | | | | 1,834,559 | | | | (6,811 | ) |
| Chubb Corp./The | | | 4,282 | | | | 357,961 | | | | 85,097 | |
| Church & Dwight Co., Inc. | | | 340 | | | | 22,410 | | | | 4,385 | |
| Cigna Corp. | | | 10,241 | | | | 872,905 | | | | 180,996 | |
| Cimarex Energy Co. | | | 3,026 | | | | 385,822 | | | | (65,066 | ) |
| Cinemark Holdings, Inc. | | | 7,168 | | | | 231,757 | | | | 23,281 | |
| Cintas Corp. | | | 13,216 | | | | 831,405 | | | | 205,258 | |
| Cisco Systems, Inc. | | | 72,184 | | | | 1,651,909 | | | | 355,889 | |
| Cleco Corp. | | | 519 | | | | 28,329 | | | | (23 | ) |
| Clorox Co./The | | | 1,647 | | | | 148,181 | | | | 23,453 | |
| CMS Energy Corp. | | | 10,162 | | | | 298,743 | | | | 54,386 | |
| Coca-Cola Enterprises, Inc. | | | 7,407 | | | | 327,921 | | | | (383 | ) |
| Cognizant Technology Solutions Corp. | | | 1,617 | | | | 80,264 | | | | 4,887 | |
| Comcast Corp. | | | 3,563 | | | | 190,933 | | | | 15,757 | |
| Comerica, Inc. | | | 2,825 | | | | 131,041 | | | | 1,282 | |
| Commerce Bancshares, Inc. | | | 561 | | | | 24,262 | | | | 136 | |
| Commercial Metals Co. | | | 17,140 | | | | 318,848 | | | | (39,637 | ) |
| Computer Sciences Corp. | | | 20,535 | | | | 1,219,487 | | | | 75,245 | |
| ConocoPhillips | | | 39,542 | | | | 3,065,310 | | | | (334,540 | ) |
| Consolidated Edison, Inc. | | | 21,204 | | | | 1,241,845 | | | | 157,831 | |
| Convergys Corp. | | | 1,937 | | | | 37,647 | | | | 1,810 | |
| Cooper Cos., Inc./The | | | 3,258 | | | | 491,674 | | | | 36,415 | |
| Corning, Inc. | | | 52,843 | | | | 900,418 | | | | 311,272 | |
| CR Bard, Inc. | | | 6,280 | | | | 955,727 | | | | 90,647 | |
| Crane Co. | | | 4,851 | | | | 296,094 | | | | (11,340 | ) |
| Crown Holdings, Inc. | | | 7,820 | | | | 344,678 | | | | 53,360 | |
| CST Brands, Inc. | | | 5,001 | | | | 156,970 | | | | 61,124 | |
| CSX Corp. | | | 15,691 | | | | 411,865 | | | | 156,620 | |
| Cullen/Frost Bankers, Inc. | | | 410 | | | | 29,893 | | | | (931 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
227
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Cummins, Inc. | | | 5,003 | | | $ | 695,415 | | | $ | 25,868 | |
| CVR Energy, Inc. | | | 2,300 | | | | 105,319 | | | | (16,286 | ) |
| CVS Health Corp. | | | 30,788 | | | | 2,212,913 | | | | 752,279 | |
| Cytec Industries, Inc. | | | 3,324 | | | | 155,042 | | | | (1,573 | ) |
| Danaher Corp. | | | 2,336 | | | | 172,137 | | | | 28,082 | |
| Deckers Outdoor Corp. | | | 13,167 | | | | 1,189,445 | | | | 9,279 | |
| Delta Air Lines, Inc. | | | 59,412 | | | | 2,241,187 | | | | 681,289 | |
| Deluxe Corp. | | | 9,254 | | | | 524,472 | | | | 51,589 | |
| Devon Energy Corp. | | | 16,352 | | | | 1,007,392 | | | | (6,486 | ) |
| DeVry Education Group, Inc. | | | 7,187 | | | | 254,341 | | | | 86,826 | |
| Dillard’s, Inc. | | | 4,671 | | | | 402,524 | | | | 182,192 | |
| Discover Financial Services | | | 36,747 | | | | 2,280,826 | | | | 125,735 | |
| Dolby Laboratories, Inc. | | | 3,400 | | | | 142,117 | | | | 4,491 | |
| Dollar General Corp. | | | 3,900 | | | | 245,875 | | | | 29,855 | |
| Dollar Tree, Inc. | | | 2,006 | | | | 100,225 | | | | 40,958 | |
| Dominion Resources, Inc. | | | 479 | | | | 33,146 | | | | 3,689 | |
| Domino’s Pizza, Inc. | | | 2,240 | | | | 201,432 | | | | 9,508 | |
| Dover Corp. | | | 8,954 | | | | 673,262 | | | | (31,082 | ) |
| Dow Chemical Co./The | | | 11,757 | | | | 576,862 | | | | (40,626 | ) |
| DR Horton, Inc. | | | 8,077 | | | | 201,331 | | | | 2,936 | |
| Dr Pepper Snapple Group, Inc. | | | 43,732 | | | | 2,941,780 | | | | 192,930 | |
| DST Systems, Inc. | | | 8,140 | | | | 729,769 | | | | 36,612 | |
| DTE Energy Co. | | | 14,479 | | | | 1,069,501 | | | | 181,050 | |
| Dun & Bradstreet Corp./The | | | 2,156 | | | | 232,068 | | | | 28,721 | |
| Eastman Chemical Co. | | | 2,485 | | | | 198,502 | | | | (9,990 | ) |
| eBay, Inc. | | | 13,829 | | | | 753,469 | | | | 22,614 | |
| Edison International | | | 18,793 | | | | 970,939 | | | | 259,627 | |
| EI du Pont de Nemours & Co. | | | 2,686 | | | | 167,166 | | | | 31,437 | |
| Electronic Arts, Inc. | | | 29,046 | | | | 1,105,793 | | | | 259,804 | |
| Eli Lilly & Co. | | | 24,531 | | | | 1,494,295 | | | | 198,099 | |
| EMC Corp. | | | 36,294 | | | | 1,056,810 | | | | 22,573 | |
| Endurance Specialty Holdings Ltd. | | | 2,948 | | | | 160,215 | | | | 16,194 | |
| Energen Corp. | | | 928 | | | | 63,596 | | | | (4,427 | ) |
| Energizer Holdings, Inc. | | | 6,220 | | | | 606,495 | | | | 193,148 | |
| Entergy Corp. | | | 30,513 | | | | 2,315,742 | | | | 353,535 | |
| EOG Resources, Inc. | | | 6,152 | | | | 649,500 | | | | (83,085 | ) |
| Equifax, Inc. | | | 1,428 | | | | 102,513 | | | | 12,970 | |
| Everest Re Group Ltd. | | | 8,020 | | | | 1,315,729 | | | | 50,077 | |
| Exelis, Inc. | | | 10,162 | | | | 190,581 | | | | (12,441 | ) |
| Exelon Corp. | | | 32,400 | | | | 1,163,155 | | | | 38,237 | |
| Expedia, Inc. | | | 32,198 | | | | 2,771,601 | | | | (23,180 | ) |
| Express Scripts PLC | | | 1,340 | | | | 98,173 | | | | 15,285 | |
| Exxon Mobil Corp. | | | 9,536 | | | | 904,103 | | | | (22,500 | ) |
| Fair Isaac Corp. | | | 639 | | | | 39,481 | | | | 6,719 | |
| FedEx Corp. | | | 4,728 | | | | 732,624 | | | | 88,441 | |
| Fidelity National Information Services, Inc. | | | 8,226 | | | | 420,011 | | | | 91,647 | |
| Fifth Third BanCorp. | | | 5,273 | | | | 111,610 | | | | (4,172 | ) |
| Fiserv, Inc. | | | 16,746 | | | | 1,051,456 | | | | 137,008 | |
| FleetCor Technologies, Inc. | | | 329 | | | | 35,437 | | | | 13,489 | |
| FLIR Systems, Inc. | | | 8,684 | | | | 290,393 | | | | (9,813 | ) |
| Fluor Corp. | | | 5,185 | | | | 384,342 | | | | (69,976 | ) |
| Foot Locker, Inc. | | | 62,618 | | | | 3,152,913 | | | | 364,966 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Franklin Resources, Inc. | | | 6,171 | | | $ | 329,296 | | | $ | 12,393 | |
| Freeport-McMoRan, Inc. | | | 11,296 | | | | 409,082 | | | | (145,208 | ) |
| Frontier Communications Corp. | | | 9,200 | | | | 63,227 | | | | (1,863 | ) |
| Fulton Financial Corp. | | | 2,207 | | | | 26,291 | | | | 987 | |
| GameStop Corp. | | | 23,137 | | | | 780,788 | | | | 1,242 | |
| Gannett Co., Inc. | | | 46,859 | | | | 1,420,723 | | | | 75,485 | |
| Gap, Inc./The | | | 13,218 | | | | 497,340 | | | | 59,270 | |
| Gartner, Inc. | | | 2,900 | | | | 242,380 | | | | 1,829 | |
| GATX Corp. | | | 4,799 | | | | 283,057 | | | | (6,922 | ) |
| General Dynamics Corp. | | | 14,098 | | | | 1,972,771 | | | | (32,604 | ) |
| General Mills, Inc. | | | 9,304 | | | | 449,063 | | | | 47,120 | |
| Genuine Parts Co. | | | 8,306 | | | | 668,856 | | | | 216,315 | |
| Gilead Sciences, Inc. | | | 32,242 | | | | 3,027,986 | | | | 11,145 | |
| Global Payments, Inc. | | | 2,540 | | | | 184,489 | | | | 20,565 | |
| Google, Inc. | | | 1,889 | | | | 1,103,734 | | | | (101,317 | ) |
| Graham Holdings Co. | | | 1,418 | | | | 997,222 | | | | 227,519 | |
| Great Plains Energy, Inc. | | | 9,054 | | | | 222,028 | | | | 35,196 | |
| Guess?, Inc. | | | 4,612 | | | | 130,482 | | | | (33,261 | ) |
| H&R Block, Inc. | | | 11,185 | | | | 342,908 | | | | 33,803 | |
| Halliburton Co. | | | 23,738 | | | | 1,261,570 | | | | (327,955 | ) |
| Hanesbrands, Inc. | | | 11,609 | | | | 794,618 | | | | 501,178 | |
| Hanover Insurance Group, Inc./The | | | 569 | | | | 30,527 | | | | 10,054 | |
| Harris Corp. | | | 10,074 | | | | 681,000 | | | | 42,515 | |
| Hasbro, Inc. | | | 5,031 | | | | 243,001 | | | | 33,654 | |
| HCA Holdings, Inc. | | | 26,246 | | | | 1,809,446 | | | | 116,748 | |
| HCC Insurance Holdings, Inc. | | | 1,348 | | | | 60,673 | | | | 11,471 | |
| Health Net, Inc. | | | 26,043 | | | | 1,210,903 | | | | 183,179 | |
| Helix Energy Solutions Group, Inc. | | | 9,378 | | | | 217,883 | | | | (14,380 | ) |
| Helmerich & Payne, Inc. | | | 15,573 | | | | 1,625,414 | | | | (575,482 | ) |
| Henry Schein, Inc. | | | 2,006 | | | | 223,086 | | | | 50,031 | |
| Hershey Co./The | | | 1,228 | | | | 121,022 | | | | 6,604 | |
| Hess Corp. | | | 22,717 | | | | 1,694,870 | | | | (17,901 | ) |
| Hewlett-Packard Co. | | | 53,705 | | | | 1,707,773 | | | | 447,408 | |
| Hill-Rom Holdings, Inc. | | | 5,390 | | | | 191,839 | | | | 54,053 | |
| HollyFrontier Corp. | | | 2,866 | | | | 132,955 | | | | (25,537 | ) |
| Home Depot, Inc./The | | | 7,844 | | | | 697,276 | | | | 126,108 | |
| Honeywell International, Inc. | | | 12,337 | | | | 1,107,513 | | | | 125,200 | |
| Hormel Foods Corp. | | | 9,743 | | | | 432,800 | | | | 74,810 | |
| Howard Hughes Corp./The | | | 2,487 | | | | 336,525 | | | | (12,170 | ) |
| Hubbell, Inc. | | | 479 | | | | 56,896 | | | | (5,724 | ) |
| Humana, Inc. | | | 17,817 | | | | 1,976,720 | | | | 582,336 | |
| Huntington Ingalls Industries, Inc. | | | 10,567 | | | | 1,096,133 | | | | 92,231 | |
| IAC/InterActiveCorp. | | | 19,764 | | | | 1,311,209 | | | | (109,756 | ) |
| IDACORP, Inc. | | | 1,797 | | | | 97,898 | | | | 21,046 | |
| IDEX Corp. | | | 370 | | | | 28,375 | | | | 426 | |
| Illinois Tool Works, Inc. | | | 1,797 | | | | 148,540 | | | | 21,636 | |
| Ingram Micro, Inc. | | | 21,052 | | | | 511,773 | | | | 70,104 | |
| Ingredion, Inc. | | | 4,059 | | | | 317,144 | | | | 27,222 | |
| Intel Corp. | | | 77,208 | | | | 2,248,216 | | | | 553,663 | |
| International Business Machines Corp. | | | 4,432 | | | | 774,414 | | | | (63,344 | ) |
| International Flavors & Fragrances, Inc. | | | 410 | | | | 37,772 | | | | 3,785 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
228
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Intersil Corp. | | | 3,983 | | | $ | 57,832 | | | $ | (198 | ) |
| Intuit, Inc. | | | 2,327 | | | | 173,270 | | | | 41,256 | |
| ITC Holdings Corp. | | | 709 | | | | 24,645 | | | | 4,020 | |
| ITT Corp. | | | 6,385 | | | | 269,703 | | | | (11,366 | ) |
| Jack Henry & Associates, Inc. | | | 2,665 | | | | 145,222 | | | | 20,381 | |
| Jacobs Engineering Group, Inc. | | | 3,354 | | | | 209,971 | | | | (60,081 | ) |
| JetBlue Airways Corp. | | | 15,780 | | | | 194,773 | | | | 55,498 | |
| JM Smucker Co./The | | | 3,653 | | | | 349,491 | | | | 19,389 | |
| John Wiley & Sons, Inc. | | | 470 | | | | 25,457 | | | | 2,386 | |
| Johnson & Johnson | | | 14,583 | | | | 1,278,076 | | | | 246,868 | |
| Johnson Controls, Inc. | | | 8,055 | | | | 361,299 | | | | 28,080 | |
| JPMorgan Chase & Co. | | | 25,266 | | | | 1,458,881 | | | | 122,265 | |
| Juniper Networks, Inc. | | | 9,900 | | | | 217,668 | | | | 3,300 | |
| Kellogg Co. | | | 1,570 | | | | 95,512 | | | | 7,229 | |
| Kemper Corp. | | | 2,000 | | | | 68,154 | | | | 4,066 | |
| KeyCorp. | | | 31,482 | | | | 391,187 | | | | 46,413 | |
| Kimberly-Clark Corp. | | | 11,909 | | | | 1,128,488 | | | | 247,477 | |
| Kirby Corp. | | | 300 | | | | 33,858 | | | | (9,636 | ) |
| KLA-Tencor Corp. | | | 3,713 | | | | 275,942 | | | | (14,844 | ) |
| Kohl’s Corp. | | | 9,907 | | | | 581,505 | | | | 23,219 | |
| L-3 Communications Holdings, Inc. | | | 3,024 | | | | 331,375 | | | | 50,284 | |
| Lam Research Corp. | | | 13,385 | | | | 849,211 | | | | 212,755 | |
| Landstar System, Inc. | | | 2,400 | | | | 186,447 | | | | (12,375 | ) |
| Lear Corp. | | | 16,610 | | | | 1,300,916 | | | | 328,193 | |
| Leggett & Platt, Inc. | | | 629 | | | | 18,714 | | | | 8,088 | |
| Leidos Holdings, Inc. | | | 8,744 | | | | 399,099 | | | | (18,560 | ) |
| Lennar Corp. | | | 5,793 | | | | 266,354 | | | | (6,770 | ) |
| Lennox International, Inc. | | | 310 | | | | 27,318 | | | | 2,154 | |
| Lexmark International, Inc. | | | 35,069 | | | | 1,445,310 | | | | 1,987 | |
| Liberty Media Corp. | | | 1,974 | | | | 68,561 | | | | 1,062 | |
| LifePoint Hospitals, Inc. | | | 7,299 | | | | 518,951 | | | | 5,920 | |
| Lincoln Electric Holdings, Inc. | | | 3,743 | | | | 259,339 | | | | (735 | ) |
| Lincoln National Corp. | | | 18,889 | | | | 889,159 | | | | 200,170 | |
| Lockheed Martin Corp. | | | 17,127 | | | | 2,920,306 | | | | 377,841 | |
| Loews Corp. | | | 5,310 | | | | 232,457 | | | | (9,331 | ) |
| Lowe’s Cos., Inc. | | | 7,751 | | | | 405,094 | | | | 128,175 | |
| LyondellBasell Industries NV | | | 20,541 | | | | 1,755,725 | | | | (124,975 | ) |
| M&T Bank Corp. | | | 4,522 | | | | 503,125 | | | | 64,929 | |
| Macy’s, Inc. | | | 2,598 | | | | 154,749 | | | | 16,070 | |
| ManpowerGroup, Inc. | | | 11,499 | | | | 851,516 | | | | (67,629 | ) |
| Marathon Oil Corp. | | | 26,138 | | | | 877,930 | | | | (138,486 | ) |
| Marathon Petroleum Corp. | | | 2,699 | | | | 239,258 | | | | 4,353 | |
| Marriott International, Inc. | | | 4,466 | | | | 268,776 | | | | 79,706 | |
| Marsh & McLennan Cos., Inc. | | | 16,524 | | | | 809,545 | | | | 136,289 | |
| Martin Marietta Materials, Inc. | | | 300 | | | | 36,942 | | | | (3,846 | ) |
| Marvell Technology Group Ltd. | | | 39,138 | | | | 610,003 | | | | (42,502 | ) |
| MasterCard, Inc. | | | 8,115 | | | | 608,655 | | | | 90,533 | |
| Mattel, Inc. | | | 13,445 | | | | 489,594 | | | | (73,539 | ) |
| Maxim Integrated Products, Inc. | | | 4,612 | | | | 154,530 | | | | (7,546 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| McDonald’s Corp. | | | 2,286 | | | $ | 216,956 | | | $ | (2,758 | ) |
| McGraw Hill Financial, Inc. | | | 2,819 | | | | 235,742 | | | | 15,093 | |
| McKesson Corp. | | | 7,425 | | | | 1,299,905 | | | | 241,377 | |
| Medtronic, Inc. | | | 24,256 | | | | 1,341,308 | | | | 409,975 | |
| Mentor Graphics Corp. | | | 10,511 | | | | 210,247 | | | | 20,154 | |
| Merck & Co., Inc. | | | 25,205 | | | | 1,444,108 | | | | (12,716 | ) |
| Meredith Corp. | | | 459 | | | | 20,695 | | | | 4,238 | |
| Microchip Technology, Inc. | | | 3,713 | | | | 180,624 | | | | (13,131 | ) |
| Micron Technology, Inc. | | | 71,365 | | | | 2,100,808 | | | | 397,681 | |
| Microsoft Corp. | | | 35,036 | | | | 1,303,232 | | | | 324,190 | |
| Mondelez International, Inc. | | | 4,500 | | | | 152,911 | | | | 10,552 | |
| Monster Beverage Corp. | | | 4,182 | | | | 445,896 | | | | 7,224 | |
| Moody’s Corp. | | | 5,100 | | | | 495,377 | | | | (6,746 | ) |
| Murphy Oil Corp. | | | 14,643 | | | | 823,249 | | | | (83,485 | ) |
| Murphy USA, Inc. | | | 19,781 | | | | 1,054,451 | | | | 307,669 | |
| Mylan, Inc. | | | 11,800 | | | | 657,615 | | | | 7,551 | |
| Myriad Genetics, Inc. | | | 36,147 | | | | 1,189,086 | | | | 42,081 | |
| National Oilwell Varco, Inc. | | | 19,819 | | | | 1,426,110 | | | | (127,371 | ) |
| Navient Corp. | | | 126,863 | | | | 2,088,030 | | | | 653,479 | |
| NetApp, Inc. | | | 6,588 | | | | 293,100 | | | | (20,028 | ) |
| New York Community Bancorp., Inc. | | | 16,662 | | | | 261,617 | | | | 4,975 | |
| Newfield Exploration Co. | | | 20,422 | | | | 536,670 | | | | 17,175 | |
| NewMarket Corp. | | | 210 | | | | 69,635 | | | | 15,106 | |
| NextEra Energy, Inc. | | | 5,969 | | | | 547,851 | | | | 86,594 | |
| NiSource, Inc. | | | 1,968 | | | | 78,623 | | | | 4,860 | |
| Nordstrom, Inc. | | | 4,888 | | | | 332,501 | | | | 55,558 | |
| Norfolk Southern Corp. | | | 15,742 | | | | 1,546,922 | | | | 178,559 | |
| Northeast Utilities | | | 1,647 | | | | 70,418 | | | | 17,730 | |
| Northern Trust Corp. | | | 400 | | | | 26,844 | | | | 116 | |
| Northrop Grumman Corp. | | | 22,650 | | | | 2,741,784 | | | | 596,599 | |
| Norwegian Cruise Line Holdings Ltd. | | | 18,900 | | | | 819,787 | | | | 63,977 | |
| Nucor Corp. | | | 2,875 | | | | 147,717 | | | | (6,699 | ) |
| NVIDIA Corp. | | | 11,865 | | | | 206,012 | | | | 31,881 | |
| Occidental Petroleum Corp. | | | 4,652 | | | | 293,621 | | | | 81,376 | |
| OGE Energy Corp. | | | 988 | | | | 33,701 | | | | 1,354 | |
| Oil States International, Inc. | | | 2,905 | | | | 185,685 | | | | (43,631 | ) |
| Old Dominion Freight Line, Inc. | | | 5,076 | | | | 358,224 | | | | 35,877 | |
| Olin Corp. | | | 12,277 | | | | 308,446 | | | | (28,899 | ) |
| Omnicare, Inc. | | | 5,959 | | | | 373,896 | | | | 60,693 | |
| Omnicom Group, Inc. | | | 1,800 | | | | 121,725 | | | | 17,721 | |
| ONEOK, Inc. | | | 4,253 | | | | 281,074 | | | | (69,317 | ) |
| Oracle Corp. | | | 28,304 | | | | 1,086,296 | | | | 186,535 | |
| O’Reilly Automotive, Inc. | | | 6,936 | | | | 1,159,460 | | | | 176,553 | |
| Owens & Minor, Inc. | | | 4,342 | | | | 147,212 | | | | 5,236 | |
| Owens-Illinois, Inc. | | | 3,294 | | | | 111,502 | | | | (22,597 | ) |
| PACCAR, Inc. | | | 7,906 | | | | 433,571 | | | | 104,116 | |
| Packaging Corp. of America | | | 9,320 | | | | 642,510 | | | | 84,916 | |
| Parker-Hannifin Corp. | | | 3,054 | | | | 336,796 | | | | 57,018 | |
| PartnerRe Ltd. | | | 14,353 | | | | 1,608,682 | | | | 29,426 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
229
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Patterson Cos., Inc. | | | 1,916 | | | $ | 76,760 | | | $ | 15,400 | |
| Penske Automotive Group, Inc. | | | 500 | | | | 21,015 | | | | 3,520 | |
| People’s United Financial, Inc. | | | 16,370 | | | | 228,487 | | | | 20,009 | |
| PepsiCo, Inc. | | | 8,834 | | | | 700,070 | | | | 135,273 | |
| Perrigo Co PLC | | | 780 | | | | 119,762 | | | | 10,623 | |
| PetSmart, Inc. | | | 2,848 | | | | 190,688 | | | | 40,840 | |
| Pfizer, Inc. | | | 43,542 | | | | 1,331,189 | | | | 25,144 | |
| PG&E Corp. | | | 21,029 | | | | 1,013,637 | | | | 105,947 | |
| Phillips 66 | | | 22,321 | | | | 1,712,297 | | | | (111,881 | ) |
| Pilgrim’s Pride Corp. | | | 63,800 | | | | 2,139,734 | | | | (47,732 | ) |
| Pinnacle Foods, Inc. | | | 9,000 | | | | 308,601 | | | | 9,099 | |
| Pinnacle West Capital Corp. | | | 8,744 | | | | 458,076 | | | | 139,227 | |
| Plantronics, Inc. | | | 1,198 | | | | 51,277 | | | | 12,241 | |
| PNC Financial Services Group, Inc./The | | | 21,521 | | | | 1,700,746 | | | | 262,615 | |
| Polaris Industries, Inc. | | | 809 | | | | 110,744 | | | | 11,609 | |
| Polycom, Inc. | | | 21,400 | | | | 274,606 | | | | 14,294 | |
| PPG Industries, Inc. | | | 2,279 | | | | 441,390 | | | | 85,401 | |
| PPL Corp. | | | 6,199 | | | | 183,817 | | | | 41,392 | |
| priceline.com, Inc. | | | 749 | | | | 852,562 | | | | 1,456 | |
| Procter & Gamble Co./The | | | 7,366 | | | | 588,396 | | | | 82,573 | |
| Prosperity Bancshares, Inc. | | | 459 | | | | 27,354 | | | | (1,944 | ) |
| PTC, Inc. | | | 2,136 | | | | 73,577 | | | | 4,708 | |
| Public Service Enterprise Group, Inc. | | | 43,907 | | | | 1,627,791 | | | | 190,398 | |
| Pulte Group, Inc. | | | 35,946 | | | | 664,064 | | | | 107,337 | |
| Quanta Services, Inc. | | | 22,892 | | | | 709,719 | | | | (59,815 | ) |
| Raytheon Co. | | | 15,758 | | | | 1,499,310 | | | | 205,233 | |
| Regal Entertainment Group | | | 16,430 | | | | 313,799 | | | | 37,145 | |
| Reinsurance Group of America, Inc. | | | 19,647 | | | | 1,578,520 | | | | 142,950 | |
| Reliance Steel & Aluminum Co. | | | 18,596 | | | | 1,290,751 | | | | (151,374 | ) |
| RenaissanceRe Holdings Ltd. | | | 3,639 | | | | 365,184 | | | | (11,400 | ) |
| Rent-A-Center, Inc. | | | 4,312 | | | | 130,520 | | | | 26,091 | |
| Republic Services, Inc. | | | 4,779 | | | | 184,418 | | | | 7,937 | |
| ResMed, Inc. | | | 3,743 | | | | 159,087 | | | | 50,745 | |
| Restaurant Brands International LP | | | 16 | | | | 475 | | | | 226 | |
| Reynolds American, Inc. | | | 19,493 | | | | 1,156,384 | | | | 96,431 | |
| RF Micro Devices, Inc. | | | 33,000 | | | | 437,028 | | | | 110,442 | |
| Rock-Tenn Co. | | | 12,126 | | | | 616,948 | | | | 122,495 | |
| Rockwell Automation, Inc. | | | 1,527 | | | | 182,064 | | | | (12,262 | ) |
| Ross Stores, Inc. | | | 5,570 | | | | 371,407 | | | | 153,621 | |
| Rovi Corp. | | | 2,537 | | | | 55,390 | | | | 1,920 | |
| Royal Caribbean Cruises Ltd. | | | 7,800 | | | | 525,027 | | | | 117,927 | |
| RR Donnelley & Sons Co. | | | 11,898 | | | | 210,423 | | | | (10,477 | ) |
| Ryder System, Inc. | | | 16,494 | | | | 1,319,535 | | | | 211,933 | |
| SanDisk Corp. | | | 3,054 | | | | 208,366 | | | | 90,865 | |
| SCANA Corp. | | | 5,275 | | | | 272,763 | | | | 45,847 | |
| Schlumberger Ltd. | | | 749 | | | | 85,799 | | | | (21,827 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Scotts Miracle-Gro Co./The | | | 2,875 | | | $ | 166,357 | | | $ | 12,813 | |
| Seagate Technology PLC | | | 7,576 | | | | 411,990 | | | | 91,814 | |
| SEI Investments Co. | | | 3,268 | | | | 116,206 | | | | 14,645 | |
| Sempra Energy | | | 1,467 | | | | 135,856 | | | | 27,509 | |
| Sherwin-Williams Co./The | | | 2,991 | | | | 740,409 | | | | 46,344 | |
| Signature Bank | | | 250 | | | | 29,874 | | | | 1,616 | |
| Signet Jewelers Ltd. | | | 8,852 | | | | 680,220 | | | | 484,438 | |
| Silgan Holdings, Inc. | | | 539 | | | | 24,733 | | | | 4,157 | |
| Skyworks Solutions, Inc. | | | 24,008 | | | | 1,153,934 | | | | 591,687 | |
| SM Energy Co. | | | 5,943 | | | | 419,095 | | | | (189,815 | ) |
| Snap-on, Inc. | | | 6,937 | | | | 868,840 | | | | 79,725 | |
| Sonoco Products Co. | | | 5,300 | | | | 213,695 | | | | 17,915 | |
| Southern Co./The | | | 1,808 | | | | 76,447 | | | | 12,344 | |
| Southwest Airlines Co. | | | 58,098 | | | | 1,191,282 | | | | 1,267,425 | |
| Spectra Energy Corp. | | | 12,200 | | | | 467,659 | | | | (24,799 | ) |
| Spectrum Brands Holdings, Inc. | | | 8,200 | | | | 766,002 | | | | 18,574 | |
| StanCorp Financial Group, Inc. | | | 2,306 | | | | 144,820 | | | | 16,277 | |
| Steel Dynamics, Inc. | | | 58,145 | | | | 998,343 | | | | 149,439 | |
| STERIS Corp. | | | 5,702 | | | | 284,431 | | | | 85,343 | |
| Stryker Corp. | | | 3,833 | | | | 299,381 | | | | 62,186 | |
| Superior Energy Services, Inc. | | | 13,100 | | | | 254,592 | | | | 9,373 | |
| Symantec Corp. | | | 21,211 | | | | 450,577 | | | | 93,592 | |
| Synopsys, Inc. | | | 5,779 | | | | 223,937 | | | | 27,276 | |
| Sysco Corp. | | | 3,783 | | | | 138,189 | | | | 11,958 | |
| Targa Resources Corp. | | | 4,400 | | | | 516,392 | | | | (49,772 | ) |
| Tech Data Corp. | | | 6,192 | | | | 339,911 | | | | 51,609 | |
| Teleflex, Inc. | | | 3,359 | | | | 387,213 | | | | (1,533 | ) |
| Telephone & Data Systems, Inc. | | | 4,641 | | | | 126,235 | | | | (9,050 | ) |
| Texas Instruments, Inc. | | | 10,690 | | | | 521,299 | | | | 50,242 | |
| Thermo Fisher Scientific, Inc. | | | 2,845 | | | | 329,707 | | | | 26,743 | |
| Thomson Reuters Corp. | | | 2,700 | | | | 102,537 | | | | 6,381 | |
| Time Warner, Inc. | | | 11,065 | | | | 668,249 | | | | 276,923 | |
| Timken Co./The | | | 1,621 | | | | 60,039 | | | | 9,146 | |
| TJX Cos., Inc./The | | | 3,683 | | | | 207,440 | | | | 45,140 | |
| Torchmark Corp. | | | 2,809 | | | | 145,552 | | | | 6,611 | |
| Toro Co./The | | | 479 | | | | 30,330 | | | | 235 | |
| Total System Services, Inc. | | | 10,281 | | | | 297,567 | | | | 51,576 | |
| Towers Watson & Co. | | | 6,857 | | | | 787,131 | | | | (11,124 | ) |
| Tractor Supply Co. | | | 749 | | | | 48,116 | | | | 10,920 | |
| Travelers Cos., Inc./The | | | 22,070 | | | | 1,775,006 | | | | 561,103 | |
| Trinity Industries, Inc. | | | 4,255 | | | | 197,607 | | | | (78,424 | ) |
| Tupperware Brands Corp. | | | 3,563 | | | | 313,383 | | | | (88,914 | ) |
| Tyco International PLC | | | 4,400 | | | | 191,628 | | | | 1,356 | |
| Tyson Foods, Inc. | | | 47,440 | | | | 1,768,031 | | | | 133,838 | |
| UGI Corp. | | | 23,284 | | | | 827,313 | | | | 57,014 | |
| Ultra Petroleum Corp. | | | 10,424 | | | | 281,675 | | | | (144,495 | ) |
| Union Pacific Corp. | | | 24,429 | | | | 2,373,977 | | | | 536,250 | |
| Unit Corp. | | | 27,420 | | | | 1,257,228 | | | | (322,206 | ) |
| United Parcel Service, Inc. | | | 3,400 | | | | 332,609 | | | | 45,369 | |
| United Rentals, Inc. | | | 4,645 | | | | 440,819 | | | | 33,017 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
230
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| United States Steel Corp. | | | 86,439 | | | $ | 2,629,646 | | | $ | (318,267 | ) |
| United Technologies Corp. | | | 8,235 | | | | 933,914 | | | | 13,111 | |
| United Therapeutics Corp. | | | 15,331 | | | | 1,509,533 | | | | 475,678 | |
| UnitedHealth Group, Inc. | | | 24,303 | | | | 1,845,414 | | | | 611,376 | |
| Universal Health Services, Inc. | | | 1,767 | | | | 149,842 | | | | 46,755 | |
| Unum Group | | | 22,981 | | | | 730,626 | | | | 70,951 | |
| US Bancorp. | | | 16,484 | | | | 680,348 | | | | 60,608 | |
| Valero Energy Corp. | | | 37,053 | | | | 1,883,900 | | | | (49,777 | ) |
| Validus Holdings Ltd. | | | 1,209 | | | | 46,098 | | | | 4,148 | |
| Valmont Industries, Inc. | | | 3,084 | | | | 462,105 | | | | (70,437 | ) |
| Vectren Corp. | | | 4,827 | | | | 204,607 | | | | 18,545 | |
| VeriSign, Inc. | | | 12,632 | | | | 704,303 | | | | 15,721 | |
| Verizon Communications, Inc. | | | 5,264 | | | | 257,082 | | | | (10,832 | ) |
| VF Corp. | | | 10,720 | | | | 610,718 | | | | 192,210 | |
| Viacom, Inc. | | | 11,409 | | | | 909,988 | | | | (51,460 | ) |
| Visa, Inc. | | | 899 | | | | 193,026 | | | | 42,692 | |
| WABCO Holdings, Inc. | | | 380 | | | | 36,912 | | | | 2,904 | |
| Wabtec Corp. | | | 838 | | | | 62,775 | | | | 10,039 | |
| Walgreens Boots Alliance, Inc. | | | 11,589 | | | | 669,325 | | | | 213,757 | |
| Wal-Mart Stores, Inc. | | | 3,485 | | | | 266,150 | | | | 33,142 | |
| Walt Disney Co./The | | | 11,674 | | | | 880,995 | | | | 218,579 | |
| Washington Federal, Inc. | | | 2,096 | | | | 44,423 | | | | 2,004 | |
| Waste Connections, Inc. | | | 1,797 | | | | 74,575 | | | | 4,475 | |
| Waste Management, Inc. | | | 9,343 | | | | 402,870 | | | | 76,613 | |
| Wells Fargo & Co. | | | 45,443 | | | | 2,172,530 | | | | 318,655 | |
| Werner Enterprises, Inc. | | | 4,338 | | | | 126,966 | | | | 8,163 | |
| WESCO International, Inc. | | | 1,377 | | | | 111,375 | | | | (6,434 | ) |
| Westar Energy, Inc. | | | 14,120 | | | | 483,823 | | | | 98,486 | |
| Western Digital Corp. | | | 17,045 | | | | 1,441,900 | | | | 444,981 | |
| Westlake Chemical Corp. | | | 5,586 | | | | 336,955 | | | | 4,294 | |
| WGL Holdings, Inc. | | | 479 | | | | 18,374 | | | | 7,789 | |
| Whirlpool Corp. | | | 6,259 | | | | 799,102 | | | | 413,517 | |
| Whiting Petroleum Corp. | | | 9,669 | | | | 689,169 | | | | (370,092 | ) |
| Williams-Sonoma, Inc. | | | 370 | | | | 21,054 | | | | 6,947 | |
| Wisconsin Energy Corp. | | | 549 | | | | 24,386 | | | | 4,568 | |
| World Fuel Services Corp. | | | 6,655 | | | | 308,981 | | | | 3,338 | |
| Worthington Industries, Inc. | | | 10,002 | | | | 408,539 | | | | (107,579 | ) |
| WR Berkley Corp. | | | 1,649 | | | | 78,459 | | | | 6,068 | |
| Wyndham Worldwide Corp. | | | 800 | | | | 61,887 | | | | 6,721 | |
| Xcel Energy, Inc. | | | 12,976 | | | | 366,822 | | | | 99,276 | |
| Xerox Corp. | | | 9,593 | | | | 117,143 | | | | 15,816 | |
| Xilinx, Inc. | | | 1,557 | | | | 75,248 | | | | (7,846 | ) |
| Yahoo!, Inc. | | | 24,644 | | | | 961,118 | | | | 283,650 | |
| Zebra Technologies Corp. | | | 2,000 | | | | 142,250 | | | | 12,570 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Zimmer Holdings, Inc. | | | 19,400 | | | $ | 1,832,602 | | | $ | 367,746 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,044,469 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 32,377,054 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| lululemon athletica, Inc. | | | (9,100 | ) | | | (391,255 | ) | | | (116,434 | ) |
| | | | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| Endo International PLC | | | (39,796 | ) | | | (2,753,173 | ) | | | (116,914 | ) |
| Jazz Pharmaceuticals PLC | | | (4,162 | ) | | | (616,789 | ) | | | (64,655 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (181,569 | ) |
| | | | | | | | | | | | |
| Netherlands | | | | | | | | | |
| Chicago Bridge & Iron Co. NV | | | (9,800 | ) | | | (452,282 | ) | | | 40,878 | |
| Core Laboratories NV | | | (7,821 | ) | | | (1,012,367 | ) | | | 71,188 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 112,066 | |
| | | | | | | | | | | | |
| | | |
| Norway | | | | | | | | | | | | |
| Golar LNG Ltd. | | | (19,200 | ) | | | (866,479 | ) | | | 166,255 | |
| | | | | | | | | | | | |
| | | |
| Panama | | | | | | | | | | | | |
| Copa Holdings SA | | | (523 | ) | | | (57,840 | ) | | | 3,636 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Weatherford International PLC | | | (46,025 | ) | | | (722,700 | ) | | | 195,713 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Ensco PLC | | | (9,420 | ) | | | (363,853 | ) | | | 81,724 | |
| Liberty Global PLC | | | (8,590 | ) | | | (373,070 | ) | | | (58,191 | ) |
| Pentair PLC | | | (8,140 | ) | | | (533,633 | ) | | | (7,026 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,507 | |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| Abercrombie & Fitch Co. | | | (17,727 | ) | | | (677,752 | ) | | | 170,051 | |
| Acxiom Corp. | | | (23,300 | ) | | | (451,331 | ) | | | (20,960 | ) |
| Adobe Systems, Inc. | | | (2,396 | ) | | | (138,674 | ) | | | (35,515 | ) |
| ADT Corp./The | | | (4,600 | ) | | | (158,618 | ) | | | (8,040 | ) |
| ADTRAN, Inc. | | | (46,572 | ) | | | (1,019,865 | ) | | | 4,595 | |
| Advanced Micro Devices, Inc. | | | (44,300 | ) | | | (124,244 | ) | | | 5,963 | |
| AES Corp. | | | (5,900 | ) | | | (81,577 | ) | | | 334 | |
| Albemarle Corp. | | | (1,228 | ) | | | (76,788 | ) | | | 2,948 | |
| Alcoa, Inc. | | | (41,392 | ) | | | (662,362 | ) | | | 8,783 | |
| Alere, Inc. | | | (3,753 | ) | | | (144,285 | ) | | | 1,671 | |
| Align Technology, Inc. | | | (16,600 | ) | | | (872,133 | ) | | | (55,973 | ) |
| Allegheny Technologies, Inc. | | | (36,470 | ) | | | (1,262,513 | ) | | | (5,549 | ) |
| Alliance Data Systems Corp. | | | (240 | ) | | | (61,654 | ) | | | (6,998 | ) |
| Allscripts Healthcare Solutions, Inc. | | | (59,577 | ) | | | (800,724 | ) | | | 39,926 | |
| Alnylam Pharmaceuticals, Inc. | | | (13,700 | ) | | | (1,135,259 | ) | | | (193,641 | ) |
| Altera Corp. | | | (25,019 | ) | | | (825,674 | ) | | | (98,528 | ) |
| Amazon.com, Inc. | | | (7,349 | ) | | | (2,339,976 | ) | | | 59,214 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
231
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| AMC Networks, Inc. | | | (1,370 | ) | | $ | (79,586 | ) | | $ | (7,778 | ) |
| American Eagle Outfitters, Inc. | | | (105,118 | ) | | | (1,267,389 | ) | | | (191,648 | ) |
| American International Group, Inc. | | | (11,679 | ) | | | (567,342 | ) | | | (86,799 | ) |
| AMETEK, Inc. | | | (2,126 | ) | | | (110,595 | ) | | | (1,297 | ) |
| Anadarko Petroleum Corp. | | | (4,788 | ) | | | (450,411 | ) | | | 55,401 | |
| Apache Corp. | | | (3,223 | ) | | | (204,126 | ) | | | 2,140 | |
| Armstrong World Industries, Inc. | | | (12,627 | ) | | | (648,437 | ) | | | 2,945 | |
| Artisan Partners Asset Management, Inc. | | | (23,400 | ) | | | (1,158,887 | ) | | | (23,515 | ) |
| Ashland, Inc. | | | (329 | ) | | | (32,538 | ) | | | (6,863 | ) |
| Assured Guaranty Ltd. | | | (20,183 | ) | | | (440,393 | ) | | | (84,163 | ) |
| athenahealth, Inc. | | | (12,200 | ) | | | (1,581,652 | ) | | | (195,888 | ) |
| Atmel Corp. | | | (77,865 | ) | | | (618,997 | ) | | | (34,679 | ) |
| Autodesk, Inc. | | | (6,918 | ) | | | (347,308 | ) | | | (68,187 | ) |
| Avis Budget Group, Inc. | | | (16,719 | ) | | | (608,048 | ) | | | (500,923 | ) |
| Avon Products, Inc. | | | (150,850 | ) | | | (1,902,641 | ) | | | 486,159 | |
| B/E Aerospace, Inc. | | | (27,157 | ) | | | (1,400,596 | ) | | | (175,053 | ) |
| BancorpSouth, Inc. | | | (15,775 | ) | | | (352,718 | ) | | | (2,377 | ) |
| Bank of America Corp. | | | (54,810 | ) | | | (863,705 | ) | | | (116,846 | ) |
| Belden, Inc. | | | (1,600 | ) | | | (110,189 | ) | | | (15,907 | ) |
| Best Buy Co., Inc. | | | (6,110 | ) | | | (204,366 | ) | | | (33,801 | ) |
| Bill Barrett Corp. | | | (78,134 | ) | | | (1,391,917 | ) | | | 501,971 | |
| BioMarin Pharmaceutical, Inc. | | | (27,530 | ) | | | (1,607,280 | ) | | | (881,432 | ) |
| Bristol-Myers Squibb Co. | | | (8,487 | ) | | | (417,277 | ) | | | (83,711 | ) |
| Brookdale Senior Living, Inc. | | | (56,414 | ) | | | (1,585,162 | ) | | | (483,540 | ) |
| Brown & Brown, Inc. | | | (1,129 | ) | | | (35,313 | ) | | | (1,843 | ) |
| Bruker Corp. | | | (48,213 | ) | | | (966,247 | ) | | | 20,308 | |
| Brunswick Corp./DE | | | (7,600 | ) | | | (346,983 | ) | | | (42,593 | ) |
| Cabela’s, Inc. | | | (13,316 | ) | | | (786,628 | ) | | | 84,742 | |
| Cabot Oil & Gas Corp. | | | (33,849 | ) | | | (1,123,707 | ) | | | 121,438 | |
| Calpine Corp. | | | (73,395 | ) | | | (1,381,866 | ) | | | (242,365 | ) |
| Cameron International Corp. | | | (17,817 | ) | | | (1,054,007 | ) | | | 164,048 | |
| Campbell Soup Co. | | | (3,923 | ) | | | (158,129 | ) | | | (14,483 | ) |
| CARBO Ceramics, Inc. | | | (18,500 | ) | | | (827,866 | ) | | | 86,941 | |
| CarMax, Inc. | | | (16,956 | ) | | | (809,933 | ) | | | (318,997 | ) |
| Carnival Corp. | | | (27,490 | ) | | | (1,057,386 | ) | | | (188,735 | ) |
| Carpenter Technology Corp. | | | (16,300 | ) | | | (813,552 | ) | | | 10,777 | |
| Catamaran Corp. | | | (7,159 | ) | | | (341,274 | ) | | | (29,204 | ) |
| CBS Corp. | | | (505 | ) | | | (27,661 | ) | | | (285 | ) |
| CenterPoint Energy, Inc. | | | (3,065 | ) | | | (71,901 | ) | | | 88 | |
| Cerner Corp. | | | (2,959 | ) | | | (174,431 | ) | | | (16,898 | ) |
| CH Robinson Worldwide, Inc. | | | (5,809 | ) | | | (334,826 | ) | | | (100,210 | ) |
| Charles Schwab Corp./The | | | (52,730 | ) | | | (1,466,978 | ) | | | (124,941 | ) |
| Charter Communications, Inc. | | | (3,953 | ) | | | (543,543 | ) | | | (115,106 | ) |
| Cheniere Energy, Inc. | | | (17,477 | ) | | | (783,324 | ) | | | (447,056 | ) |
| Chico’s FAS, Inc. | | | (42,609 | ) | | | (660,525 | ) | | | (30,167 | ) |
| Chipotle Mexican Grill, Inc. | | | (100 | ) | | | (68,154 | ) | | | (297 | ) |
| Ciena Corp. | | | (156,879 | ) | | | (2,740,565 | ) | | | (304,456 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| Cincinnati Financial Corp. | | | (7,660 | ) | | $ | (369,857 | ) | | $ | (27,160 | ) |
| CIT Group, Inc. | | | (14,742 | ) | | | (664,325 | ) | | | (40,784 | ) |
| Citigroup, Inc. | | | (21,411 | ) | | | (1,053,425 | ) | | | (105,124 | ) |
| Citrix Systems, Inc. | | | (6,242 | ) | | | (362,257 | ) | | | (35,983 | ) |
| Civeo Corp. | �� | | (10,400 | ) | | | (93,279 | ) | | | 50,535 | |
| CLARCOR, Inc. | | | (400 | ) | | | (24,767 | ) | | | (1,889 | ) |
| Clean Harbors, Inc. | | | (11,834 | ) | | | (586,490 | ) | | | 17,866 | |
| Coach, Inc. | | | (84,607 | ) | | | (2,878,758 | ) | | | (299,081 | ) |
| Cobalt International Energy, Inc. | | | (285,900 | ) | | | (3,130,907 | ) | | | 589,256 | |
| Coca-Cola Co./The | | | (7,649 | ) | | | (326,909 | ) | | | 3,968 | |
| Colfax Corp. | | | (27,805 | ) | | | (1,502,596 | ) | | | 68,692 | |
| Colgate-Palmolive Co. | | | (9,000 | ) | | | (594,079 | ) | | | (28,631 | ) |
| Community Health Systems, Inc. | | | (8,470 | ) | | | (397,721 | ) | | | (58,982 | ) |
| CommVault Systems, Inc. | | | (15,897 | ) | | | (777,213 | ) | | | (44,502 | ) |
| Compass Minerals International, Inc. | | | (5,779 | ) | | | (446,862 | ) | | | (54,928 | ) |
| ConAgra Foods, Inc. | | | (6,857 | ) | | | (211,972 | ) | | | (36,800 | ) |
| Concho Resources, Inc. | | | (4,222 | ) | | | (407,494 | ) | | | (13,651 | ) |
| CONSOL Energy, Inc. | | | (42,656 | ) | | | (1,587,850 | ) | | | 145,650 | |
| Con-way, Inc. | | | (2,526 | ) | | | (102,913 | ) | | | (21,315 | ) |
| Copart, Inc. | | | (5,460 | ) | | | (193,478 | ) | | | (5,757 | ) |
| Corporate Executive Board Co./The | | | (4,000 | ) | | | (292,563 | ) | | | 2,443 | |
| CoStar Group, Inc. | | | (6,000 | ) | | | (948,502 | ) | | | (153,278 | ) |
| Costco Wholesale Corp. | | | (3,414 | ) | | | (382,376 | ) | | | (101,558 | ) |
| Coty, Inc. | | | (19,500 | ) | | | (389,493 | ) | | | (13,377 | ) |
| Covanta Holding Corp. | | | (22,978 | ) | | | (408,610 | ) | | | (97,135 | ) |
| Cree, Inc. | | | (31,620 | ) | | | (1,418,815 | ) | | | 400,019 | |
| Cubist Pharmaceuticals, Inc. | | | (3,341 | ) | | | (221,693 | ) | | | (114,579 | ) |
| Cypress Semiconductor Corp. | | | (142,374 | ) | | | (1,395,278 | ) | | | (637,822 | ) |
| Darden Restaurants, Inc. | | | (15,871 | ) | | | (739,447 | ) | | | (191,070 | ) |
| DaVita HealthCare Partners, Inc. | | | (8,265 | ) | | | (526,523 | ) | | | (99,468 | ) |
| Dean Foods Co. | | | (134,623 | ) | | | (1,990,591 | ) | | | (618,403 | ) |
| Deere & Co. | | | (5,902 | ) | | | (483,527 | ) | | | (38,623 | ) |
| Denbury Resources, Inc. | | | (17,798 | ) | | | (279,636 | ) | | | 134,939 | |
| Dick’s Sporting Goods, Inc. | | | (3,504 | ) | | | (187,814 | ) | | | 13,841 | |
| Diebold, Inc. | | | (15,122 | ) | | | (498,046 | ) | | | (25,780 | ) |
| Discovery Communications, Inc. | | | (23,435 | ) | | | (841,766 | ) | | | 34,431 | |
| Donaldson Co., Inc. | | | (2,458 | ) | | | (100,968 | ) | | | 6,016 | |
| DreamWorks Animation SKG, Inc. | | | (59,106 | ) | | | (1,384,322 | ) | | | 64,485 | |
| Dril-Quip, Inc. | | | (2,700 | ) | | | (212,680 | ) | | | 5,509 | |
| DSW, Inc. | | | (45,349 | ) | | | (1,528,526 | ) | | | (162,991 | ) |
| Dunkin’ Brands Group, Inc. | | | (23,406 | ) | | | (1,070,557 | ) | | | 72,291 | |
| E*TRADE Financial Corp. | | | (53,476 | ) | | | (1,094,236 | ) | | | (202,825 | ) |
| Eagle Materials, Inc. | | | (2,066 | ) | | | (162,683 | ) | | | 5,605 | |
| East West Bancorp, Inc. | | | (1,800 | ) | | | (64,761 | ) | | | (4,917 | ) |
| Ecolab, Inc. | | | (988 | ) | | | (102,900 | ) | | | (366 | ) |
| Edwards Lifesciences Corp. | | | (7,316 | ) | | | (501,439 | ) | | | (430,473 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
232
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| Emerson Electric Co. | | | (9,100 | ) | | $ | (574,349 | ) | | $ | 12,606 | |
| EQT Corp. | | | (1,800 | ) | | | (161,405 | ) | | | 25,145 | |
| Equinix, Inc. | | | (7,972 | ) | | | (1,404,917 | ) | | | (402,574 | ) |
| Estee Lauder Cos., Inc./The | | | (8,362 | ) | | | (612,743 | ) | | | (24,441 | ) |
| Esterline Technologies Corp. | | | (3,024 | ) | | | (300,438 | ) | | | (31,234 | ) |
| Expeditors International of Washington, Inc. | | | (11,642 | ) | | | (489,276 | ) | | | (30,074 | ) |
| F5 Networks, Inc. | | | (4,731 | ) | | | (496,122 | ) | | | (121,108 | ) |
| Facebook, Inc. | | | (6,789 | ) | | | (398,945 | ) | | | (130,732 | ) |
| Fairchild Semiconductor International, Inc. | | | (22,456 | ) | | | (278,794 | ) | | | (100,264 | ) |
| Fastenal Co. | | | (26,994 | ) | | | (1,171,621 | ) | | | (112,214 | ) |
| Federated Investors, Inc. | | | (16,900 | ) | | | (507,925 | ) | | | (48,592 | ) |
| FEI Co. | | | (9,700 | ) | | | (819,159 | ) | | | (57,237 | ) |
| First American Financial Corp. | | | (7,097 | ) | | | (184,636 | ) | | | (55,952 | ) |
| First Horizon National Corp. | | | (55,459 | ) | | | (634,827 | ) | | | (118,306 | ) |
| First Niagara Financial Group, Inc. | | | (155,144 | ) | | | (1,253,564 | ) | | | (54,300 | ) |
| First Republic Bank | | | (11,371 | ) | | | (575,970 | ) | | | (16,686 | ) |
| First Solar, Inc. | | | (14,370 | ) | | | (829,909 | ) | | | 189,079 | |
| FirstEnergy Corp. | | | (9,163 | ) | | | (298,805 | ) | | | (58,460 | ) |
| FirstMerit Corp. | | | (10,700 | ) | | | (189,502 | ) | | | (12,621 | ) |
| Flowers Foods, Inc. | | | (14,321 | ) | | | (268,192 | ) | | | (6,628 | ) |
| Flowserve Corp. | | | (15,600 | ) | | | (970,783 | ) | | | 37,435 | |
| FMC Corp. | | | (24,577 | ) | | | (1,395,520 | ) | | | (6,106 | ) |
| FMC Technologies, Inc. | | | (5,001 | ) | | | (245,029 | ) | | | 10,782 | |
| FNF Group | | | (14,562 | ) | | | (365,281 | ) | | | (136,379 | ) |
| Ford Motor Co. | | | (55,848 | ) | | | (812,628 | ) | | | (53,017 | ) |
| Forest City Enterprises, Inc. | | | (36,244 | ) | | | (679,926 | ) | | | (92,071 | ) |
| Fortinet, Inc. | | | (46,496 | ) | | | (949,802 | ) | | | (475,766 | ) |
| Fortune Brands Home & Security, Inc. | | | (14,009 | ) | | | (556,180 | ) | | | (78,007 | ) |
| Fossil Group, Inc. | | | (1,801 | ) | | | (197,505 | ) | | | (1,938 | ) |
| Freescale Semiconductor Ltd. | | | (16,792 | ) | | | (295,298 | ) | | | (128,364 | ) |
| FTI Consulting, Inc. | | | (12,148 | ) | | | (435,937 | ) | | | (33,340 | ) |
| General Electric Co. | | | (10,850 | ) | | | (288,249 | ) | | | 14,069 | |
| General Motors Co. | | | (11,329 | ) | | | (379,975 | ) | | | (15,521 | ) |
| Genesee & Wyoming, Inc. | | | (4,157 | ) | | | (384,494 | ) | | | 10,696 | |
| Genpact Ltd. | | | (3,432 | ) | | | (56,224 | ) | | | (8,743 | ) |
| Genworth Financial, Inc. | | | (118,543 | ) | | | (1,162,948 | ) | | | 155,333 | |
| GNC Holdings, Inc. | | | (28,384 | ) | | | (1,089,076 | ) | | | (243,837 | ) |
| Goodyear Tire & Rubber Co./The | | | (2,545 | ) | �� | | (62,429 | ) | | | (10,282 | ) |
| Graco, Inc. | | | (5,010 | ) | | | (380,754 | ) | | | (20,948 | ) |
| Groupon, Inc. | | | (79,864 | ) | | | (488,598 | ) | | | (171,079 | ) |
| Hain Celestial Group, Inc./The | | | (400 | ) | | | (20,606 | ) | | | (2,710 | ) |
| Harley-Davidson, Inc. | | | (3,499 | ) | | | (210,531 | ) | | | (20,088 | ) |
| Harman International Industries, Inc. | | | (2,426 | ) | | | (219,504 | ) | | | (39,374 | ) |
| Harsco Corp. | | | (53,278 | ) | | | (1,138,640 | ) | | | 132,219 | |
| Hertz Global Holdings, Inc. | | | (83,791 | ) | | | (2,195,948 | ) | | | 106,201 | |
| Hexcel Corp. | | | (14,369 | ) | | | (593,174 | ) | | | (2,996 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| Hilton Worldwide Holdings, Inc. | | | (7,200 | ) | | $ | (173,582 | ) | | $ | (14,266 | ) |
| HMS Holdings Corp. | | | (66,838 | ) | | | (1,376,767 | ) | | | (36,188 | ) |
| Hologic, Inc. | | | (45,291 | ) | | | (1,091,153 | ) | | | (119,928 | ) |
| HomeAway, Inc. | | | (47,735 | ) | | | (1,523,527 | ) | | | 101,979 | |
| Hospira, Inc. | | | (2,455 | ) | | | (105,239 | ) | | | (45,130 | ) |
| HSN, Inc. | | | (749 | ) | | | (40,211 | ) | | | (16,713 | ) |
| Huntington Bancshares, Inc. | | | (42,501 | ) | | | (379,299 | ) | | | (67,812 | ) |
| Huntsman Corp. | | | (6,678 | ) | | | (143,488 | ) | | | (8,637 | ) |
| IDEXX Laboratories, Inc. | | | (359 | ) | | | (40,749 | ) | | | (12,480 | ) |
| IHS, Inc. | | | (479 | ) | | | (56,096 | ) | | | 1,547 | |
| Illumina, Inc. | | | (2,755 | ) | | | (375,617 | ) | | | (132,901 | ) |
| Incyte Corp. | | | (23,305 | ) | | | (1,384,354 | ) | | | (319,474 | ) |
| Informatica Corp. | | | (2,547 | ) | | | (101,235 | ) | | | 4,105 | |
| Ingersoll-Rand PLC | | | (1,827 | ) | | | (113,859 | ) | | | (1,955 | ) |
| Integrated Device Technology, Inc. | | | (1,498 | ) | | | (17,372 | ) | | | (11,989 | ) |
| InterDigital, Inc. | | | (6,897 | ) | | | (191,404 | ) | | | (173,447 | ) |
| International Paper Co. | | | (3,700 | ) | | | (175,219 | ) | | | (23,027 | ) |
| Intuitive Surgical, Inc. | | | (4,931 | ) | | | (1,915,786 | ) | | | (692,417 | ) |
| Itron, Inc. | | | (14,783 | ) | | | (587,653 | ) | | | (37,520 | ) |
| Jabil Circuit, Inc. | | | (21,770 | ) | | | (382,399 | ) | | | (92,840 | ) |
| Janus Capital Group, Inc. | | | (54,942 | ) | | | (630,093 | ) | | | (256,121 | ) |
| Jarden Corp. | | | (555 | ) | | | (21,705 | ) | | | (4,868 | ) |
| JB Hunt Transport Services, Inc. | | | (539 | ) | | | (39,989 | ) | | | (5,422 | ) |
| JDS Uniphase Corp. | | | (133,056 | ) | | | (1,670,711 | ) | | | (154,818 | ) |
| Joy Global, Inc. | | | (8,028 | ) | | | (415,392 | ) | | | 41,929 | |
| Kansas City Southern | | | (3,957 | ) | | | (459,148 | ) | | | (23,724 | ) |
| Kate Spade & Co. | | | (32,200 | ) | | | (925,945 | ) | | | (104,777 | ) |
| KB Home | | | (42,584 | ) | | | (632,836 | ) | | | (71,929 | ) |
| KBR, Inc. | | | (13,211 | ) | | | (286,748 | ) | | | 62,822 | |
| Kennametal, Inc. | | | (4,700 | ) | | | (174,201 | ) | | | 5,988 | |
| Keurig Green Mountain, Inc. | | | (2,419 | ) | | | (313,077 | ) | | | (7,186 | ) |
| KLX, Inc. | | | (13,578 | ) | | | (700,272 | ) | | | 140,180 | |
| Kosmos Energy Ltd. | | | (71,900 | ) | | | (630,457 | ) | | | 27,216 | |
| L Brands, Inc. | | | (1,018 | ) | | | (52,127 | ) | | | (35,981 | ) |
| Laboratory Corp. of America Holdings | | | (1,018 | ) | | | (90,452 | ) | | | (19,390 | ) |
| Lamar Advertising Co. | | | (17,997 | ) | | | (857,419 | ) | | | (107,940 | ) |
| Laredo Petroleum, Inc. | | | (77,181 | ) | | | (1,236,424 | ) | | | 437,600 | |
| Las Vegas Sands Corp. | | | (12,674 | ) | | | (941,969 | ) | | | 204,850 | |
| Legg Mason, Inc. | | | (4,612 | ) | | | (202,513 | ) | | | (43,630 | ) |
| Leucadia National Corp. | | | (9,127 | ) | | | (229,250 | ) | | | 24,623 | |
| Level 3 Communications, Inc. | | | (12,416 | ) | | | (389,172 | ) | | | (223,930 | ) |
| Life Time Fitness, Inc. | | | (14,500 | ) | | | (699,195 | ) | | | (121,795 | ) |
| LinkedIn Corp. | | | (8,157 | ) | | | (1,387,745 | ) | | | (486,000 | ) |
| Lions Gate Entertainment Corp. | | | (39,710 | ) | | | (1,275,780 | ) | | | 4,266 | |
| Live Nation Entertainment, Inc. | | | (1,000 | ) | | | (26,600 | ) | | | 490 | |
| LKQ Corp. | | | (26,097 | ) | | | (739,083 | ) | | | 5,236 | |
| Louisiana-Pacific Corp. | | | (79,274 | ) | | | (1,110,556 | ) | | | (202,221 | ) |
| LPL Financial Holdings, Inc. | | | (652 | ) | | | (27,880 | ) | | | (1,167 | ) |
| Madison Square Garden Co./The | | | (3,566 | ) | | | (219,356 | ) | | | (49,021 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
233
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| Manitowoc Co., Inc./The | | | (17,885 | ) | | $ | (430,228 | ) | | $ | 34,969 | |
| Markel Corp. | | | (150 | ) | | | (84,987 | ) | | | (17,439 | ) |
| Masco Corp. | | | (35,635 | ) | | | (750,498 | ) | | | (147,504 | ) |
| MDC Holdings, Inc. | | | (12,400 | ) | | | (314,602 | ) | | | (13,626 | ) |
| Mead Johnson Nutrition Co. | | | (7,307 | ) | | | (601,220 | ) | | | (133,426 | ) |
| MeadWestvaco Corp. | | | (589 | ) | | | (22,376 | ) | | | (3,770 | ) |
| Medivation, Inc. | | | (7,408 | ) | | | (554,880 | ) | | | (183,031 | ) |
| MEDNAX, Inc. | | | (1,499 | ) | | | (82,937 | ) | | | (16,162 | ) |
| MetLife, Inc. | | | (1,797 | ) | | | (100,837 | ) | | | 3,637 | |
| MGM Resorts International | | | (29,901 | ) | | | (713,250 | ) | | | 73,967 | |
| Michael Kors Holdings Ltd. | | | (11,116 | ) | | | (856,124 | ) | | | 21,313 | |
| Middleby Corp./The | | | (1,700 | ) | | | (148,871 | ) | | | (19,599 | ) |
| Mohawk Industries, Inc. | | | (479 | ) | | | (64,475 | ) | | | (9,942 | ) |
| Monsanto Co. | | | (9,589 | ) | | | (1,031,651 | ) | | | (113,947 | ) |
| Mosaic Co./The | | | (14,839 | ) | | | (660,873 | ) | | | (16,528 | ) |
| Motorola Solutions, Inc. | | | (12,716 | ) | | | (813,581 | ) | | | (39,408 | ) |
| MSC Industrial Direct Co., Inc. | | | (928 | ) | | | (75,788 | ) | | | 388 | |
| MSCI, Inc. | | | (559 | ) | | | (24,415 | ) | | | (2,104 | ) |
| National Fuel Gas Co. | | | (700 | ) | | | (48,660 | ) | | | (11 | ) |
| Navistar International Corp. | | | (68,619 | ) | | | (2,412,456 | ) | | | 115,091 | |
| NCR Corp. | | | (30,360 | ) | | | (982,102 | ) | | | 97,411 | |
| Netflix, Inc. | | | (2,700 | ) | | | (956,151 | ) | | | 33,804 | |
| NetSuite, Inc. | | | (10,348 | ) | | | (862,289 | ) | | | (267,403 | ) |
| New York Times Co./The | | | (30,472 | ) | | | (411,266 | ) | | | 8,426 | |
| Newell Rubbermaid, Inc. | | | (749 | ) | | | (23,647 | ) | | | (4,883 | ) |
| News Corp. | | | (13,446 | ) | | | (230,616 | ) | | | 19,648 | |
| Nielsen Holdings NV | | | (2,815 | ) | | | (125,042 | ) | | | (873 | ) |
| NIKE, Inc. | | | (6,977 | ) | | | (543,649 | ) | | | (127,189 | ) |
| Noble Energy, Inc. | | | (19,200 | ) | | | (1,033,404 | ) | | | 122,748 | |
| Nordson Corp. | | | (3,167 | ) | | | (228,784 | ) | | | (18,115 | ) |
| NRG Energy, Inc. | | | (18,314 | ) | | | (527,697 | ) | | | 34,134 | |
| Nuance Communications, Inc. | | | (31,324 | ) | | | (471,602 | ) | | | 24,609 | |
| Oasis Petroleum, Inc. | | | (39,115 | ) | | | (747,220 | ) | | | 100,257 | |
| Oceaneering International, Inc. | | | (4,461 | ) | | | (285,942 | ) | | | 23,591 | |
| Ocwen Financial Corp. | | | (60,058 | ) | | | (1,410,578 | ) | | | 503,702 | |
| Office Depot, Inc. | | | (194,542 | ) | | | (878,590 | ) | | | (789,608 | ) |
| Old Republic International Corp. | | | (3,116 | ) | | | (50,143 | ) | | | 4,556 | |
| ON Semiconductor Corp. | | | (27,303 | ) | | | (222,115 | ) | | | (54,464 | ) |
| Oshkosh Corp. | | | (600 | ) | | | (27,970 | ) | | | (1,220 | ) |
| Owens Corning | | | (15,092 | ) | | | (578,036 | ) | | | 37,592 | |
| PacWest Bancorp | | | (3,400 | ) | | | (157,669 | ) | | | 3,105 | |
| Pall Corp. | | | (1,189 | ) | | | (98,775 | ) | | | (21,564 | ) |
| Palo Alto Networks, Inc. | | | (14,652 | ) | | | (870,328 | ) | | | (925,568 | ) |
| Pandora Media, Inc. | | | (61,918 | ) | | | (1,392,332 | ) | | | 288,334 | |
| Panera Bread Co. | | | (1,108 | ) | | | (163,625 | ) | | | (30,053 | ) |
| PBF Energy, Inc. | | | (43,100 | ) | | | (1,152,174 | ) | | | 3,990 | |
| Peabody Energy Corp. | | | (259,706 | ) | | | (3,123,996 | ) | | | 1,113,872 | |
| PerkinElmer, Inc. | | | (7,187 | ) | | | (312,380 | ) | | | (1,907 | ) |
| Pharmacyclics, Inc. | | | (14,071 | ) | | | (1,792,248 | ) | | | 71,927 | |
| Philip Morris International, Inc. | | | (5,181 | ) | | | (404,331 | ) | | | (17,661 | ) |
| Pitney Bowes, Inc. | | | (5,506 | ) | | | (140,067 | ) | | | 5,886 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | |
| PolyOne Corp. | | | (700 | ) | | $ | (24,901 | ) | | $ | (1,636 | ) |
| Post Holdings, Inc. | | | (63,985 | ) | | | (2,592,808 | ) | | | (87,524 | ) |
| Precision Castparts Corp. | | | (2,308 | ) | | | (567,193 | ) | | | 11,242 | |
| Principal Financial Group, Inc. | | | (6,109 | ) | | | (259,501 | ) | | | (57,800 | ) |
| Progressive Corp./The | | | (28,213 | ) | | | (668,701 | ) | | | (92,768 | ) |
| Prudential Financial, Inc. | | | (359 | ) | | | (32,512 | ) | | | 37 | |
| PVH Corp. | | | (7,077 | ) | | | (790,703 | ) | | | (116,356 | ) |
| QUALCOMM, Inc. | | | (3,700 | ) | | | (274,457 | ) | | | (564 | ) |
| Quest Diagnostics, Inc. | | | (629 | ) | | | (37,128 | ) | | | (5,052 | ) |
| Rackspace Hosting, Inc. | | | (12,887 | ) | | | (453,497 | ) | | | (149,744 | ) |
| Ralph Lauren Corp. | | | (659 | ) | | | (104,750 | ) | | | (17,270 | ) |
| Range Resources Corp. | | | (29,593 | ) | | | (2,263,422 | ) | | | 681,677 | |
| Red Hat, Inc. | | | (9,133 | ) | | | (532,821 | ) | | | (98,634 | ) |
| Regeneron Pharmaceuticals, Inc. | | | (1,868 | ) | | | (601,392 | ) | | | (164,955 | ) |
| Regions Financial Corp. | | | (25,154 | ) | | | (269,485 | ) | | | 3,859 | |
| Rite Aid Corp. | | | (30,900 | ) | | | (174,837 | ) | | | (57,531 | ) |
| Robert Half International, Inc. | | | (459 | ) | | | (19,969 | ) | | | (6,828 | ) |
| Rockwell Collins, Inc. | | | (2,096 | ) | | | (157,337 | ) | | | (19,733 | ) |
| Rosetta Resources, Inc. | | | (32,634 | ) | | | (1,088,121 | ) | | | 360,056 | |
| Rowan Cos. PLC | | | (8,228 | ) | | | (209,198 | ) | | | 17,321 | |
| RPC, Inc. | | | (2,000 | ) | | | (25,720 | ) | | | (360 | ) |
| Salesforce.com, Inc. | | | (28,700 | ) | | | (1,684,491 | ) | | | (17,706 | ) |
| Salix Pharmaceuticals Ltd. | | | (9,100 | ) | | | (1,251,784 | ) | | | 205,830 | |
| Sally Beauty Holdings, Inc. | | | (12,487 | ) | | | (343,298 | ) | | | (40,552 | ) |
| SBA Communications Corp. | | | (3,983 | ) | | | (367,108 | ) | | | (74,050 | ) |
| Scripps Networks Interactive, Inc. | | | (2,009 | ) | | | (154,867 | ) | | | 3,650 | |
| Seadrill Ltd. | | | (117,425 | ) | | | (1,509,449 | ) | | | 107,395 | |
| Sealed Air Corp. | | | (22,720 | ) | | | (731,064 | ) | | | (232,945 | ) |
| Seattle Genetics, Inc. | | | (30,747 | ) | | | (1,127,273 | ) | | | 139,372 | |
| SeaWorld Entertainment, Inc. | | | (23,600 | ) | | | (413,842 | ) | | | (8,598 | ) |
| Semtech Corp. | | | (28,958 | ) | | | (699,947 | ) | | | (98,425 | ) |
| Sensata Technologies Holding NV | | | (11,956 | ) | | | (441,796 | ) | | | (184,818 | ) |
| Service Corp. International | | | (35,613 | ) | | | (685,329 | ) | | | (123,086 | ) |
| ServiceNow, Inc. | | | (7,205 | ) | | | (425,542 | ) | | | (63,318 | ) |
| Silicon Laboratories, Inc. | | | (2,816 | ) | | | (129,818 | ) | | | (4,280 | ) |
| Sirius XM Holdings, Inc. | | | (675,113 | ) | | | (2,230,032 | ) | | | (132,864 | ) |
| Sirona Dental Systems, Inc. | | | (2,955 | ) | | | (208,889 | ) | | | (49,289 | ) |
| Six Flags Entertainment Corp. | | | (11,117 | ) | | | (422,158 | ) | | | (57,540 | ) |
| SolarWinds, Inc. | | | (13,895 | ) | | | (543,721 | ) | | | (148,667 | ) |
| Solera Holdings, Inc. | | | (5,140 | ) | | | (267,231 | ) | | | 4,166 | |
| Sotheby’s | | | (43,088 | ) | | | (1,758,264 | ) | | | (102,276 | ) |
| Southwestern Energy Co. | | | (14,104 | ) | | | (573,906 | ) | | | 189,008 | |
| Spirit AeroSystems Holdings, Inc. | | | (8,415 | ) | | | (284,080 | ) | | | (78,101 | ) |
| Spirit Airlines, Inc. | | | (1,800 | ) | | | (136,451 | ) | | | 407 | |
| Splunk, Inc. | | | (27,166 | ) | | | (1,459,904 | ) | | | (141,532 | ) |
| Sprint Corp. | | | (282,820 | ) | | | (1,729,544 | ) | | | 555,841 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
234
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Stanley Black & Decker, Inc. | | | (5,274 | ) | | $ | (428,356 | ) | | $ | (78,370 | ) |
| Staples, Inc. | | | (12,558 | ) | | | (140,438 | ) | | | (87,113 | ) |
| Starbucks Corp. | | | (16,644 | ) | | | (1,275,106 | ) | | | (90,535 | ) |
| Starwood Hotels & Resorts Worldwide, Inc. | | | (2,800 | ) | | | (223,415 | ) | | | (3,581 | ) |
| State Street Corp. | | | (1,318 | ) | | | (90,911 | ) | | | (12,552 | ) |
| Stratasys Ltd. | | | (13,811 | ) | | | (1,533,770 | ) | | | 385,937 | |
| SunEdison, Inc. | | | (117,857 | ) | | | (1,979,164 | ) | | | (320,227 | ) |
| SunPower Corp. | | | (3,400 | ) | | | (131,125 | ) | | | 43,303 | |
| SunTrust Banks, Inc. | | | (5,720 | ) | | | (225,025 | ) | | | (14,643 | ) |
| SUPERVALU, Inc. | | | (42,900 | ) | | | (260,837 | ) | | | (155,293 | ) |
| SVB Financial Group | | | (350 | ) | | | (38,490 | ) | | | (2,135 | ) |
| Synovus Financial Corp. | | | (49,832 | ) | | | (1,149,863 | ) | | | (200,086 | ) |
| T Rowe Price Group, Inc. | | | (419 | ) | | | (34,475 | ) | | | (1,500 | ) |
| Tableau Software, Inc. | | | (11,600 | ) | | | (789,989 | ) | | | (193,227 | ) |
| Target Corp. | | | (27,749 | ) | | | (1,689,797 | ) | | | (416,629 | ) |
| Taylor Morrison Home Corp. | | | (15,900 | ) | | | (278,409 | ) | | | (21,942 | ) |
| TCF Financial Corp. | | | (5,761 | ) | | | (95,075 | ) | | | 3,532 | |
| Teekay Corp. | | | (10,009 | ) | | | (527,485 | ) | | | 18,127 | |
| Tempur Sealy International, Inc. | | | (17,159 | ) | | | (871,156 | ) | | | (71,044 | ) |
| Tenet Healthcare Corp. | | | (53,888 | ) | | | (2,453,636 | ) | | | (276,869 | ) |
| Teradata Corp. | | | (11,978 | ) | | | (492,116 | ) | | | (31,083 | ) |
| Terex Corp. | | | (14,158 | ) | | | (475,568 | ) | | | 80,843 | |
| Tesla Motors, Inc. | | | (3,428 | ) | | | (786,412 | ) | | | 23,991 | |
| Tesoro Corp. | | | (13,535 | ) | | | (711,670 | ) | | | (294,657 | ) |
| Textron, Inc. | | | (13,236 | ) | | | (459,649 | ) | | | (97,719 | ) |
| Thor Industries, Inc. | | | (499 | ) | | | (26,057 | ) | | | (1,823 | ) |
| Thoratec Corp. | | | (19,556 | ) | | | (656,472 | ) | | | 21,685 | |
| Tidewater, Inc. | | | (9,022 | ) | | | (296,939 | ) | | | 4,536 | |
| Tiffany & Co. | | | (4,222 | ) | | | (366,090 | ) | | | (85,073 | ) |
| Time, Inc. | | | (1,100 | ) | | | (25,171 | ) | | | (1,900 | ) |
| T-Mobile US, Inc. | | | (20,500 | ) | | | (581,665 | ) | | | 29,395 | |
| Toll Brothers, Inc. | | | (11,589 | ) | | | (417,335 | ) | | | 20,180 | |
| TransDigm Group, Inc. | | | (3,414 | ) | | | (568,689 | ) | | | (101,650 | ) |
| Trimble Navigation Ltd. | | | (27,190 | ) | | | (844,750 | ) | | | 123,127 | |
| TripAdvisor, Inc. | | | (12,225 | ) | | | (939,387 | ) | | | 26,669 | |
| Triumph Group, Inc. | | | (12,146 | ) | | | (796,361 | ) | | | (20,093 | ) |
| Twenty-First Century Fox, Inc. | | | (32,946 | ) | | | (1,095,722 | ) | | | (169,569 | ) |
| Ulta Salon Cosmetics & Fragrance, Inc. | | | (10,002 | ) | | | (838,706 | ) | | | (439,950 | ) |
| Umpqua Holdings Corp. | | | (74,900 | ) | | | (1,287,199 | ) | | | 13,150 | |
| Under Armour, Inc. | | | (9,157 | ) | | | (472,007 | ) | | | (149,753 | ) |
| United Continental Holdings, Inc. | | | (12,968 | ) | | | (599,503 | ) | | | (267,927 | ) |
| United Natural Foods, Inc. | | | (4,900 | ) | | | (328,010 | ) | | | (50,882 | ) |
| Urban Outfitters, Inc. | | | (12,758 | ) | | | (447,176 | ) | | | (1,013 | ) |
| USG Corp. | | | (48,700 | ) | | | (1,376,367 | ) | | | 13,254 | |
| Valspar Corp./The | | | (1,348 | ) | | | (95,369 | ) | | | (21,206 | ) |
| Vantiv, Inc. | | | (7,037 | ) | | | (225,279 | ) | | | (13,417 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | | | | |
| Varian Medical Systems, Inc. | | | (1,048 | ) | | $ | (83,166 | ) | | $ | (7,497 | ) |
| VCA, Inc. | | | (600 | ) | | | (23,378 | ) | | | (5,884 | ) |
| VeriFone Systems, Inc. | | | (59,455 | ) | | | (1,888,014 | ) | | | (323,712 | ) |
| Verisk Analytics, Inc. | | | (4,567 | ) | | | (285,888 | ) | | | (6,628 | ) |
| Vertex Pharmaceuticals, Inc. | | | (19,453 | ) | | | (1,383,388 | ) | | | (927,629 | ) |
| Visteon Corp. | | | (539 | ) | | | (42,935 | ) | | | (14,663 | ) |
| VMware, Inc. | | | (5,757 | ) | | | (507,496 | ) | | | 32,429 | |
| Vulcan Materials Co | | | (18,386 | ) | | | (1,102,105 | ) | | | (106,407 | ) |
| Waddell & Reed Financial, Inc. | | | (7,754 | ) | | | (368,620 | ) | | | (17,685 | ) |
| Waters Corp. | | | (479 | ) | | | (50,853 | ) | | | (3,140 | ) |
| Watsco, Inc. | | | (300 | ) | | | (26,165 | ) | | | (5,935 | ) |
| Webster Financial Corp. | | | (7,157 | ) | | | (223,468 | ) | | | (9,350 | ) |
| WellCare Health Plans, Inc. | | | (18,755 | ) | | | (1,266,994 | ) | | | (272,041 | ) |
| Wendy’s Co./The | | | (57,027 | ) | | | (482,034 | ) | | | (32,919 | ) |
| Western Union Co./The | | | (56,912 | ) | | | (868,540 | ) | | | (150,754 | ) |
| WEX, Inc. | | | (1,258 | ) | | | (105,288 | ) | | | (19,153 | ) |
| WhiteWave Foods Co./The | | | (4,100 | ) | | | (147,120 | ) | | | 3,661 | |
| Williams Cos., Inc./The | | | (15,667 | ) | | | (623,276 | ) | | | (80,799 | ) |
| Woodward, Inc. | | | (2,745 | ) | | | (115,096 | ) | | | (20,040 | ) |
| Workday, Inc. | | | (7,000 | ) | | | (634,630 | ) | | | 63,360 | |
| WPX Energy, Inc. | | | (21,980 | ) | | | (464,220 | ) | | | 208,593 | |
| WR Grace & Co. | | | (9,110 | ) | | | (853,348 | ) | | | (15,655 | ) |
| WW Grainger, Inc. | | | (800 | ) | | | (203,404 | ) | | | (508 | ) |
| Wynn Resorts Ltd. | | | (922 | ) | | | (168,579 | ) | | | 31,422 | |
| Xylem, Inc. | | | (14,284 | ) | | | (469,622 | ) | | | (74,170 | ) |
| Yelp, Inc. | | | (21,700 | ) | | | (1,452,717 | ) | | | 265,076 | |
| Yum! Brands, Inc. | | | (12,547 | ) | | | (836,305 | ) | | | (77,744 | ) |
| Zions Bancorporation | | | (26,659 | ) | | | (761,946 | ) | | | 1,898 | |
| Zoetis, Inc. | | | (14,300 | ) | | | (526,703 | ) | | | (88,626 | ) |
| Zynga, Inc. | | | (424,643 | ) | | | (1,492,256 | ) | | | 362,705 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (15,073,263 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (14,877,089 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 17,499,965 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | (281,977 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 17,217,988 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
| | Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
235
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
Total Return Basket Swaps Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | | 2-13 months maturity ranging from 01/21/2015 - 02/20/2015 | | | $(484,266 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |
| Long Positions | |
| |
| Ireland | | | | |
| DCC PLC | | | 14,505 | | | $ | 636,236 | | | $ | 162,309 | |
| | | | | | | | | | | | |
| | |
| South Africa | | | | | | |
| Investec PLC | | | 131,199 | | | | 909,101 | | | | 190,120 | |
| Mondi PLC | | | 20,249 | | | | 289,002 | | | | 39,953 | |
| | | | | | | | | | | | |
| | | | | | | 230,073 | |
| | | | | | | | | | | | |
| | |
| Switzerland | | | | | | |
| Glencore PLC | | | 119,166 | | | | 660,422 | | | | (110,372 | ) |
| | | | | | | | | | | | |
| |
| United Kingdom | | | | |
| Amec Foster Wheeler PLC | | | 18,339 | | | | 307,567 | | | | (65,369 | ) |
| Amlin PLC | | | 547 | | | | 3,642 | | | | 415 | |
| Anglo American PLC | | | 42,416 | | | | 1,012,885 | | | | (228,000 | ) |
| Ashtead Group PLC | | | 40,204 | | | | 578,811 | | | | 135,208 | |
| Associated British Foods PLC | | | 47,544 | | | | 2,058,617 | | | | 265,766 | |
| AstraZeneca PLC | | | 10,801 | | | | 749,785 | | | | 13,097 | |
| Aviva PLC | | | 341,149 | | | | 2,655,208 | | | | (92,026 | ) |
| Babcock International Group PLC | | | 58,029 | | | | 1,160,800 | | | | (210,154 | ) |
| Barratt Developments PLC | | | 279,713 | | | | 1,954,400 | | | | 81,385 | |
| Berkeley Group Holdings PLC | | | 5,185 | | | | 181,268 | | | | 18,093 | |
| Booker Group PLC | | | 92,625 | | | | 172,231 | | | | 63,061 | |
| BP PLC | | | 73,120 | | | | 511,344 | | | | (47,210 | ) |
| British American Tobacco PLC | | | 10,173 | | | | 563,427 | | | | (12,143 | ) |
| BT Group PLC | | | 294,953 | | | | 1,754,880 | | | | 79,746 | |
| Bunzl PLC | | | 36,346 | | | | 988,883 | | | | 4,715 | |
| Capita PLC | | | 23,454 | | | | 358,265 | | | | 35,004 | |
| Catlin Group Ltd. | | | 9,007 | | | | 75,441 | | | | 18,384 | |
| Centrica PLC | | | 57,878 | | | | 285,131 | | | | (34,436 | ) |
| Cobham PLC | | | 40,344 | | | | 177,244 | | | | 25,285 | |
| Compass Group PLC | | | 86,383 | | | | 1,451,738 | | | | 24,796 | |
| Direct Line Insurance Group PLC | | | 289,468 | | | | 1,102,091 | | | | 207,344 | |
| DS Smith PLC | | | 45,051 | | | | 224,884 | | | | (225 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |
| United Kingdom (continued) | | | | |
| easyJet PLC | | | 54,762 | | | $ | 1,387,554 | | | $ | 29,636 | |
| GKN PLC | | | 190,911 | | | | 1,131,755 | | | | (115,586 | ) |
| GlaxoSmithKline PLC | | | 10,062 | | | | 261,017 | | | | (45,151 | ) |
| Hays PLC | | | 118,615 | | | | 222,116 | | | | 44,752 | |
| Henderson Group PLC | | | 49,896 | | | | 166,114 | | | | (1,143 | ) |
| Hikma Pharmaceuticals PLC | | | 5,445 | | | | 148,309 | | | | 18,752 | |
| HSBC Holdings PLC | | | 143,010 | | | | 1,410,932 | | | | (59,523 | ) |
| ICAP PLC | | | 45,044 | | | | 272,096 | | | | 43,310 | |
| Imperial Tobacco Group PLC | | | 55,951 | | | | 2,460,229 | | | | 2,704 | |
| Inchcape PLC | | | 64,323 | | | | 675,824 | | | | 46,849 | |
| Indivior PLC | | | 8,406 | | | | 14,616 | | | | 4,958 | |
| Inmarsat PLC | | | 18,841 | | | | 202,543 | | | | 31,075 | |
| Intermediate Capital Group PLC | | | 20,640 | | | | 128,101 | | | | 19,349 | |
| International Consolidated Airlines Group SA | | | 38,318 | | | | 272,269 | | | | 16,191 | |
| ITV PLC | | | 154,008 | | | | 487,559 | | | | 26,167 | |
| J Sainsbury PLC | | | 282,997 | | | | 1,528,519 | | | | (447,843 | ) |
| Kingfisher PLC | | | 178,602 | | | | 1,169,633 | | | | (225,518 | ) |
| Legal & General Group PLC | | | 167,051 | | | | 607,932 | | | | 37,076 | |
| Marks & Spencer Group PLC | | | 592 | | | | 3,921 | | | | 462 | |
| Meggitt PLC | | | 18,467 | | | | 149,832 | | | | (1,279 | ) |
| National Grid PLC | | | 169,850 | | | | 2,293,410 | | | | 116,640 | |
| Next PLC | | | 15,004 | | | | 1,475,645 | | | | 115,633 | |
| Persimmon PLC | | | 12,310 | | | | 280,772 | | | | 19,886 | |
| Provident Financial PLC | | | 24,830 | | | | 873,434 | | | | 74,370 | |
| Reckitt Benckiser Group PLC | | | 8,406 | | | | 631,384 | | | | 49,451 | |
| Rentokil Initial PLC | | | 249,212 | | | | 454,977 | | | | 14,295 | |
| Rexam PLC | | | 47,938 | | | | 393,489 | | | | (56,006 | ) |
| Rightmove PLC | | | 11,988 | | | | 477,065 | | | | (59,006 | ) |
| Royal Mail PLC | | | 26,004 | | | | 179,225 | | | | (5,935 | ) |
| Sage Group PLC/The | | | 50,464 | | | | 308,106 | | | | 56,374 | |
| Shire PLC | | | 4,571 | | | | 205,878 | | | | 118,206 | |
| Sky PLC | | | 64,795 | | | | 910,425 | | | | (6,125 | ) |
| Smith & Nephew PLC | | | 25,178 | | | | 344,751 | | | | 109,272 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
236
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |
| United Kingdom (continued) | | | | |
| Smiths Group PLC | | | 26,532 | | | $ | 598,622 | | | $ | (147,468 | ) |
| Sports Direct International PLC | | | 37,646 | | | | 447,483 | | | | (33,351 | ) |
| SSE PLC | | | 29,037 | | | | 621,520 | | | | 112,161 | |
| Standard Chartered PLC | | | 20,949 | | | | 308,915 | | | | 4,396 | |
| TalkTalk Telecom Group PLC | | | 3,126 | | | | 14,531 | | | | 181 | |
| Tate & Lyle PLC | | | 29,167 | | | | 271,060 | | | | 2,220 | |
| Taylor Wimpey PLC | | | 421,007 | | | | 740,452 | | | | 157,730 | |
| Travis Perkins PLC | | | 24,448 | | | | 676,971 | | | | 26,741 | |
| UBM PLC | | | 13,098 | | | | 113,213 | | | | (15,328 | ) |
| United Utilities Group PLC | | | 29,787 | | | | 391,387 | | | | 31,705 | |
| Whitbread PLC | | | 13,915 | | | | 921,165 | | | | 108,631 | |
| WPP PLC | | | 31,250 | | | | 663,216 | | | | (13,477 | ) |
| | | | | | | | | | | | |
| | | | | | | 489,170 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | 771,180 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | |
| Switzerland | | | | | | | | |
| Coca-Cola HBC AG | | | (11,290 | ) | | | (239,283 | ) | | | 24,327 | |
| Wolseley PLC | | | (20,118 | ) | | | (1,047,885 | ) | | | (102,297 | ) |
| | | | | | | | | | | | |
| | | | (77,970 | ) |
| | | | | | | | | | | | |
| United Kingdom | | | | |
| Aberdeen Asset Management PLC | | | (102,046 | ) | | | (734,697 | ) | | | 52,830 | |
| Admiral Group PLC | | | (19,551 | ) | | | (388,391 | ) | | | (12,699 | ) |
| Aggreko PLC | | | (9,947 | ) | | | (282,564 | ) | | | 50,601 | |
| Antofagasta PLC | | | (58,868 | ) | | | (702,403 | ) | | | 16,475 | |
| ARM Holdings PLC | | | (171,255 | ) | | | (2,314,261 | ) | | | (316,623 | ) |
| ASOS PLC | | | (63,143 | ) | | | (2,277,220 | ) | | | (233,206 | ) |
| Barclays PLC | | | (219,233 | ) | | | (729,947 | ) | | | (94,222 | ) |
| BG Group PLC | | | (33,734 | ) | | | (512,181 | ) | | | 60,762 | |
| Burberry Group PLC | | | (91,564 | ) | | | (2,100,727 | ) | | | (222,410 | ) |
| Croda International PLC | | | (18,902 | ) | | | (720,420 | ) | | | (59,749 | ) |
| Diageo PLC | | | (64,260 | ) | | | (1,793,221 | ) | | | (47,639 | ) |
| Drax Group PLC | | | (24,967 | ) | | | (225,820 | ) | | | 47,034 | |
| Evraz PLC | | | (282,824 | ) | | | (530,342 | ) | | | (145,660 | ) |
| Experian PLC | | | (58,418 | ) | | | (938,676 | ) | | | (46,074 | ) |
| G4S PLC | | | (29,885 | ) | | | (109,771 | ) | | | (19,142 | ) |
| Hargreaves Lansdown PLC | | | (68,175 | ) | | | (1,064,395 | ) | | | (2,332 | ) |
| IMI PLC | | | (72,785 | ) | | | (1,414,323 | ) | | | (9,639 | ) |
| Intertek Group PLC | | | (22,849 | ) | | | (985,598 | ) | | | 158,647 | |
| John Wood Group PLC | | | (61,951 | ) | | | (616,932 | ) | | | 43,823 | |
| Johnson Matthey PLC | | | (15,656 | ) | | | (820,251 | ) | | | (3,423 | ) |
| Kazakhmys PLC | | | (164,658 | ) | | | (640,222 | ) | | | (16,799 | ) |
| Ladbrokes PLC | | | (97,285 | ) | | | (202,480 | ) | | | 36,045 | |
| Lloyds Banking Group PLC | | | (575,637 | ) | | | (689,231 | ) | | | 12,132 | |
| Lonmin PLC | | | (99,452 | ) | | | (354,920 | ) | | | 80,746 | |
| Man Group PLC | | | (422,762 | ) | | | (655,466 | ) | | | (396,520 | ) |
| Melrose Industries PLC | | | (258,216 | ) | | | (1,030,324 | ) | | | (38,549 | ) |
| Old Mutual PLC | | | (239,170 | ) | | | (710,289 | ) | | | 5,416 | |
| Pearson PLC | | | (76,646 | ) | | | (1,424,597 | ) | | | 9,089 | |
| Pennon Group PLC | | | (36,035 | ) | | | (374,089 | ) | | | (140,731 | ) |
| Petrofac Ltd. | | | (37,550 | ) | | | (601,562 | ) | | | 192,494 | |
| Premier Oil PLC | | | (68,350 | ) | | | (220,962 | ) | | | 44,178 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET UNREALIZED APPRECIATION (DEPRECIATION) | |
| United Kingdom (continued) | | | | |
| Prudential PLC | | | (3,763 | ) | | $ | (70,427 | ) | | $ | (16,572 | ) |
| Rolls-Royce Holdings PLC | | | (11,872 | ) | | | (175,494 | ) | | | 16,007 | |
| Rolls-Royce Holdings PLC | | | (1,068,480 | ) | | | 47 | | | | (1,712 | ) |
| Rotork PLC | | | (4,998 | ) | | | (196,650 | ) | | | 16,613 | |
| Royal Bank of Scotland Group PLC | | | (126,113 | ) | | | (657,392 | ) | | | (109,903 | ) |
| RSA Insurance Group PLC | | | (55,739 | ) | | | (411,881 | ) | | | 35,561 | |
| SABMiller PLC | | | (29,289 | ) | | | (1,222,627 | ) | | | (304,242 | ) |
| Serco Group PLC | | | (279,226 | ) | | | (1,152,004 | ) | | | 455,330 | |
| Severn Trent PLC | | | (19,000 | ) | | | (499,688 | ) | | | (92,907 | ) |
| Spectric PLC | | | (625 | ) | | | (17,831 | ) | | | (2,580 | ) |
| Spirax-Sarco Engineering PLC | | | (6,785 | ) | | | (306,081 | ) | | | 4,035 | |
| St James’s Place PLC | | | (27,420 | ) | | | (318,170 | ) | | | (27,566 | ) |
| Standard Life PLC | | | (75,260 | ) | | | (422,758 | ) | | | (43,424 | ) |
| Telecity Group PLC | | | (12,877 | ) | | | (151,582 | ) | | | (9,249 | ) |
| Tesco PLC | | | (721,553 | ) | | | (2,023,309 | ) | | | (80,523 | ) |
| Vedanta Resources PLC | | | (6,291 | ) | | | (67,508 | ) | | | 11,705 | |
| Vodafone Group PLC | | | (19,526 | ) | | | (62,256 | ) | | | (4,692 | ) |
| Weir Group PLC/The | | | (26,716 | ) | | | (922,700 | ) | | | 156,598 | |
| William Hill PLC | | | (15,459 | ) | | | (86,294 | ) | | | (571 | ) |
| WM Morrison Supermarkets PLC | | | (166,877 | ) | | | (417,196 | ) | | | (58,948 | ) |
| | | | | | | | | | | | |
| | | | | | | (1,052,185 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | (1,130,155 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | (358,975 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | (125,291 | ) |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | $ | (484,266 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
237
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
Total Return Basket Swaps Outstanding at December 31, 2014
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | | 2-13 months maturity 02/20/2015 | | | $(429,183 | ) |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Accor SA | | | 605 | | | $ | 25,198 | | | $ | 1,997 | |
| Aeroports de Paris | | | 3,919 | | | | 451,744 | | | | 22,160 | |
| Air Liquide SA | | | 78 | | | | 9,050 | | | | 602 | |
| AtoS | | | 2,210 | | | | 176,473 | | | | (876 | ) |
| BNP Paribas SA | | | 3,971 | | | | 260,929 | | | | (26,505 | ) |
| Bollore SA | | | 7,400 | | | | 42,212 | | | | (8,511 | ) |
| Cap Gemini SA | | | 5,352 | | | | 327,909 | | | | 54,851 | |
| Casino Guichard Perrachon SA | | | 1,132 | | | | 126,369 | | | | (22,266 | ) |
| Christian Dior SA | | | 437 | | | | 74,929 | | | | (142 | ) |
| Christian Dior SA Rights | | | 437 | | | | (17 | ) | | | 2,351 | |
| Christian Dior SA, EUR 2 Rights | | | 437 | | | | (44 | ) | | | 6,029 | |
| Cie Generale des Etablissements Michelin | | | 12,384 | | | | 1,197,226 | | | | (79,363 | ) |
| CNP Assurances | | | 3,352 | | | | 62,347 | | | | (2,922 | ) |
| Credit Agricole SA | | | 54,747 | | | | 743,862 | | | | (37,159 | ) |
| Danone SA | | | 6,505 | | | | 439,793 | | | | (14,509 | ) |
| Dassault Systemes | | | 1,996 | | | | 118,360 | | | | 3,357 | |
| Eiffage SA | | | 2,813 | | | | 149,786 | | | | (7,168 | ) |
| Electricite de France | | | 44,327 | | | | 1,359,020 | | | | (138,769 | ) |
| Etablissements Maurel et Prom | | | 4,826 | | | | 64,733 | | | | (19,630 | ) |
| GDF Suez | | | 17,828 | | | | 402,520 | | | | 13,211 | |
| Iliad SA | | | 5,542 | | | | 1,332,861 | | | | (2,358 | ) |
| Imerys SA | | | 4,506 | | | | 332,684 | | | | (1,174 | ) |
| Ingenico | | | 704 | | | | 64,023 | | | | 10,135 | |
| Lagardere SCA | | | 15,509 | | | | 484,119 | | | | (80,234 | ) |
| Legrand SA | | | 2,497 | | | | 123,556 | | | | 7,432 | |
| L’Oreal SA | | | 4,099 | | | | 627,714 | | | | 58,344 | |
| Natixis SA | | | 11,036 | | | | 66,834 | | | | 5,989 | |
| Neopost SA | | | 10,388 | | | | 726,727 | | | | (137,258 | ) |
| Orange SA | | | 72,782 | | | | 1,094,485 | | | | 143,297 | |
| Pernod-Ricard SA | | | 1,437 | | | | 153,807 | | | | 5,898 | |
| Publicis Groupe SA | | | 3,944 | | | | 329,429 | | | | (46,584 | ) |
| Rexel SA | | | 20,198 | | | | 476,550 | | | | (114,680 | ) |
| Safran SA | | | 11,053 | | | | 705,829 | | | | (23,914 | ) |
| Sanofi | | | 16,157 | | | | 1,469,302 | | | | 3,739 | |
| SCOR SE | | | 19,343 | | | | 569,782 | | | | 16,317 | |
| SES SA | | | 8,644 | | | | 247,799 | | | | 62,348 | |
| Societe BIC SA | | | 2,503 | | | | 306,364 | | | | 25,590 | |
| Societe Generale SA | | | 9,319 | | | | 479,622 | | | | (89,621 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | | | |
| Suez Environnement Co. | | | 72,048 | | | $ | 1,212,733 | | | $ | 42,575 | |
| Thales SA | | | 9,082 | | | | 522,774 | | | | (31,372 | ) |
| Total SA | | | 32,972 | | | | 1,799,332 | | | | (110,110 | ) |
| Valeo SA | | | 3,469 | | | | 380,222 | | | | 51,426 | |
| Vinci SA | | | 15,252 | | | | 907,534 | | | | (74,736 | ) |
| Zodiac Aerospace | | | 5,695 | | | | 164,587 | | | | 27,151 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (505,062 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (505,062 | ) |
| | | | | | | | | �� | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| France | | | | | | | | | | | | |
| Air France-KLM | | | (44,931 | ) | | | (460,164 | ) | | | 29,613 | |
| Alcatel-Lucent | | | (632,665 | ) | | | (2,007,238 | ) | | | (255,945 | ) |
| AXA SA | | | (9,266 | ) | | | (216,232 | ) | | | 2,716 | |
| Bouygues SA | | | (16,124 | ) | | | (575,511 | ) | | | (6,697 | ) |
| Carrefour SA | | | (6,824 | ) | | | (212,373 | ) | | | 4,709 | |
| Cie de Saint-Gobain | | | (24,902 | ) | | | (1,146,288 | ) | | | 91,418 | |
| Edenred | | | (13,619 | ) | | | (319,153 | ) | | | (57,494 | ) |
| Essilor International SA | | | (7,420 | ) | | | (691,183 | ) | | | (136,291 | ) |
| European Aeronautic Defence and Space Co. NV | | | (10,560 | ) | | | (608,026 | ) | | | 85,961 | |
| Eutelsat Communications SA | | | (7,120 | ) | | | (180,233 | ) | | | (50,025 | ) |
| Faurecia | | | (6,450 | ) | | | (204,898 | ) | | | (34,515 | ) |
| JCDecaux SA | | | (5,441 | ) | | | (173,832 | ) | | | (13,506 | ) |
| Kering | | | (2,266 | ) | | | (419,793 | ) | | | (15,666 | ) |
| LVMH Moet Hennessy Louis Vuitton SA | | | (5,104 | ) | | | (788,310 | ) | | | (20,173 | ) |
| LVMH Moet Hennessy Louis Vuitton SA Rights | | | (5,104 | ) | | | 647 | | | | (89,303 | ) |
| Peugeot SA | | | (132,550 | ) | | | (1,641,011 | ) | | | 16,957 | |
| Remy Cointreau SA | | | (25,977 | ) | | | (1,717,923 | ) | | | (15,249 | ) |
| Renault SA | | | (8,472 | ) | | | (621,617 | ) | | | 4,548 | |
| Schneider Electric SE | | | (11,637 | ) | | | (849,724 | ) | | | 2,210 | |
| Societe Television Francaise 1 | | | (10,787 | ) | | | (151,727 | ) | | | (14,106 | ) |
| Technip SA | | | (8,525 | ) | | | (670,227 | ) | | | 162,414 | |
| Vallourec SA | | | (26,043 | ) | | | (1,072,463 | ) | | | 366,655 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
238
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | | | |
| Veolia Environnement SA | | | (86,448 | ) | | $ | (1,173,166 | ) | | $ | (358,074 | ) |
| Wendel SA | | | (422 | ) | | | (53,176 | ) | | | 5,893 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (293,950 | ) |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | (293,950 | ) |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (799,012 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 369,829 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | (429,183 | ) |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
239
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | |
| LONG INVESTMENTS - 111.8% | | SHARES | | | VALUE (Note 5) | |
| COMMON STOCKS - 21.3% | | | | | | |
| | |
| Belgium - 0.7% | | | | | | | | |
| Belgacom SA | | | 3,434 | | | $ | 124,598 | |
| bpost SA | | | 7,271 | | | | 182,651 | |
| Colruyt SA | | | 63 | | | | 2,929 | |
| Delhaize Group SA | | | 1,334 | | | | 97,149 | |
| | | | | | | | |
| | | | | | | 407,327 | |
| | | | | | | | |
| Denmark - 0.5% | | | | | | |
| AP Moeller - Maersk A/S, Class B (a) | | | 28 | | | | 55,691 | |
| Danske Bank A/S (a) | | | 1,380 | | | | 37,309 | |
| GN Store Nord A/S (a) | | | 387 | | | | 8,455 | |
| H Lundbeck A/S | | | 1,399 | | | | 27,769 | |
| Jyske Bank A/S †(a) | | | 898 | | | | 45,391 | |
| Novo Nordisk A/S, Class B (a) | | | 1,097 | | | | 46,403 | |
| TDC A/S (a) | | | 6,995 | | | | 53,350 | |
| William Demant Holding A/S †(a) | | | 44 | | | | 3,336 | |
| | | | | | | | |
| | | | | | | 277,704 | |
| | | | | | | | |
| Finland - 0.5% | | | | | | |
| Elisa OYJ | | | 162 | | | | 4,422 | |
| Fortum OYJ | | | 2,691 | | | | 58,426 | |
| Kesko OYJ, B Shares | | | 1,228 | | | | 44,661 | |
| Metso OYJ | | | 723 | | | | 21,646 | |
| Neste Oil OYJ | | | 1,435 | | | | 34,953 | |
| Orion OYJ, Class B | | | 3,826 | | | | 118,990 | |
| UPM-Kymmene OYJ | | | 1,965 | | | | 32,203 | |
| Wartsila OYJ | | | 461 | | | | 20,633 | |
| | | | | | | | |
| | | | | | | 335,934 | |
| | | | | | | | |
| Germany - 1.7% | | | | | | |
| Allianz SE (a) | | | 15 | | | | 2,484 | |
| Aurubis AG (a) | | | 2,156 | | | | 120,521 | |
| Axel Springer SE (a) | | | 479 | | | | 28,891 | |
| Bayer AG (a) | | | 76 | | | | 10,359 | |
| Bayerische Motoren Werke AG (a) | | | 146 | | | | 15,756 | |
| Brenntag AG (a) | | | 246 | | | | 13,754 | |
| Daimler AG (a) | | | 951 | | | | 78,984 | |
| Deutsche Telekom AG (a) | | | 1,842 | | | | 29,473 | |
| Fresenius Medical Care AG & Co. KGaA (a) | | | 1,631 | | | | 121,733 | |
| GEA Group AG (a) | | | 51 | | | | 2,242 | |
| Hannover Rueck SE (a) | | | 1,416 | | | | 127,739 | |
| HeidelbergCement AG (a) | | | 580 | | | | 40,936 | |
| HOCHTIEF AG (a) | | | 567 | | | | 40,001 | |
| Infineon Technologies AG (a) | | | 224 | | | | 2,370 | |
| K+S AG (a) | | | 2,189 | | | | 60,406 | |
| MAN SE (a) | | | 59 | | | | 6,571 | |
| Merck KGaA (a) | | | 1,204 | | | | 113,307 | |
| MTU Aero Engines AG (a) | | | 88 | | | | 7,648 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | | | 457 | | | | 91,006 | |
| ProSiebenSat.1 Media AG (a) | | | 38 | | | | 1,588 | |
| Rhoen Klinikum AG (a) | | | 2,341 | | | | 65,610 | |
| Software AG (a) | | | 476 | | | | 11,567 | |
| Symrise AG (a) | | | 456 | | | | 27,472 | |
| Wacker Chemie AG (a) | | | 59 | | | | 6,472 | |
| | | | | | | | |
| | | | | | | 1,026,890 | |
| | | | | | | | |
| Italy - 1.0% | | | | | | |
| Atlantia SpA | | | 691 | | | | 16,060 | |
| Autogrill SpA † | | | 2,909 | | | | 21,938 | |
| Davide Campari-Milano SpA | | | 4,583 | | | | 28,607 | |
| Enel SpA | | | 10,328 | | | | 46,037 | |
| Eni SpA | | | 6,732 | | | | 117,921 | |
| Finmeccanica SpA † | | | 2,536 | | | | 23,572 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Italy - 1.0% (continued) | | | | | | |
| GTECH SpA | | | 1,544 | | | $ | 34,476 | |
| Hera SpA | | | 25,481 | | | | 60,002 | |
| Mediobanca SpA | | | 12,700 | | | | 103,194 | |
| Pirelli & C. SpA | | | 4,378 | | | | 59,048 | |
| Saipem SpA † | | | 1,240 | | | | 12,998 | |
| Snam SpA | | | 3,821 | | | | 18,911 | |
| Tenaris SA | | | 1,064 | | | | 16,078 | |
| Terna Rete Elettrica Nazionale SpA | | | 981 | | | | 4,456 | |
| Unione di Banche Italiane SCpA | | | 3,058 | | | | 21,872 | |
| | | | | | | | |
| | | | | | | 585,170 | |
| | | | | | | | |
| Japan - 11.0% | | | | | | |
| ABC-Mart, Inc. (a) | | | 900 | | | | 43,549 | |
| Air Water, Inc. (a) | | | 3,000 | | | | 47,518 | |
| Aisin Seiki Co., Ltd. (a) | | | 1,800 | | | | 64,671 | |
| Ajinomoto Co., Inc. (a) | | | 1,000 | | | | 18,617 | |
| Alfresa Holdings Corp. (a) | | | 7,100 | | | | 85,739 | |
| ANA Holdings, Inc. (a) | | | 7,000 | | | | 17,308 | |
| Aozora Bank Ltd. (a) | | | 12,000 | | | | 37,146 | |
| Asahi Group Holdings Ltd. (a) | | | 400 | | | | 12,375 | |
| Asahi Kasei Corp. (a) | | | 20,000 | | | | 182,449 | |
| Astellas Pharma, Inc. (a) | | | 5,000 | | | | 69,610 | |
| Bandai Namco Holdings, Inc. (a) | | | 2,600 | | | | 55,045 | |
| Bank of Yokohama Ltd./The (a) | | | 4,000 | | | | 21,725 | |
| Benesse Holdings, Inc. (a) | | | 800 | | | | 23,738 | |
| Bridgestone Corp. (a) | | | 800 | | | | 27,746 | |
| Brother Industries Ltd. (a) | | | 9,900 | | | | 179,461 | |
| Calbee, Inc. (a) | | | 500 | | | | 17,223 | |
| Canon, Inc. (a) | | | 1,400 | | | | 44,497 | |
| Central Japan Railway Co. (a) | | | 700 | | | | 104,913 | |
| Chiba Bank Ltd./The (a) | | | 1,000 | | | | 6,553 | |
| Chugoku Bank Ltd./The (a) | | | 7,000 | | | | 95,417 | |
| Dai Nippon Printing Co., Ltd. (a) | | | 2,000 | | | | 18,013 | |
| Daicel Corp. (a) | | | 5,000 | | | | 58,402 | |
| Daihatsu Motor Co., Ltd. (a) | | | 1,900 | | | | 24,816 | |
| Disco Corp. (a) | | | 1,000 | | | | 79,983 | |
| East Japan Railway Co. (a) | | | 800 | | | | 60,297 | |
| Electric Power Development Co., Ltd. (a) | | | 200 | | | | 6,758 | |
| FamilyMart Co., Ltd. (a) | | | 800 | | | | 30,131 | |
| FUJIFILM Holdings Corp. (a) | | | 1,300 | | | | 39,668 | |
| Fujitsu Ltd. (a) | | | 13,000 | | | | 69,312 | |
| Fukuoka Financial Group, Inc. (a) | | | 16,000 | | | | 82,487 | |
| Hakuhodo DY Holdings, Inc. (a) | | | 18,600 | | | | 178,001 | |
| Hikari Tsushin, Inc. (a) | | | 700 | | | | 42,577 | |
| Hitachi Chemical Co., Ltd. (a) | | | 2,800 | | | | 49,467 | |
| Hitachi High-Technologies Corp. (a) | | | 1,500 | | | | 43,090 | |
| Hitachi Metals Ltd. (a) | | | 5,000 | | | | 84,954 | |
| Hoya Corp. (a) | | | 3,500 | | | | 118,387 | |
| Ibiden Co., Ltd. (a) | | | 3,400 | | | | 50,205 | |
| Inpex Corp. (a) | | | 3,600 | | | | 40,079 | |
| Isuzu Motors Ltd. (a) | | | 2,600 | | | | 31,669 | |
| ITOCHU Corp. (a) | | | 3,800 | | | | 40,565 | |
| Itochu Techno-Solutions Corp. (a) | | | 2,800 | | | | 98,796 | |
| Japan Airlines Co., Ltd. (a) | | | 8,000 | | | | 237,192 | |
| Japan Tobacco, Inc. (a) | | | 300 | | | | 8,257 | |
| JGC Corp. (a) | | | 1,000 | | | | 20,587 | |
| JTEKT Corp. (a) | | | 1,600 | | | | 26,928 | |
| Kamigumi Co., Ltd. (a) | | | 5,000 | | | | 44,539 | |
| Kaneka Corp. (a) | | | 4,000 | | | | 21,433 | |
| Kao Corp. (a) | | | 600 | | | | 23,661 | |
| KDDI Corp. (a) | | | 900 | | | | 56,542 | |
| Kinden Corp. (a) | | | 16,000 | | | | 161,611 | |
| Kobayashi Pharmaceutical Co., Ltd. (a) | | | 300 | | | | 17,456 | |
| Kobe Steel Ltd. | | | 11,000 | | | | 18,947 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
240
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Japan - 11.0% (continued) | | | | | | |
| Komatsu Ltd. (a) | | | 4,500 | | | $ | 99,486 | |
| Konica Minolta, Inc. (a) | | | 1,600 | | | | 17,434 | |
| Kuraray Co., Ltd. (a) | | | 1,000 | | | | 11,362 | |
| Kurita Water Industries Ltd. (a) | | | 1,700 | | | | 35,449 | |
| Mabuchi Motor Co., Ltd. (a) | | | 400 | | | | 15,877 | |
| Makita Corp. (a) | | | 1,800 | | | | 81,112 | |
| Marubeni Corp. (a) | | | 700 | | | | 4,188 | |
| Maruichi Steel Tube Ltd. (a) | | | 1,000 | | | | 21,283 | |
| Medipal Holdings Corp. (a) | | | 3,900 | | | | 45,551 | |
| Miraca Holdings, Inc. (a) | | | 100 | | | | 4,302 | |
| Mitsubishi Chemical Holdings Corp. (a) | | | 3,900 | | | | 18,917 | |
| Mitsubishi Electric Corp. (a) | | | 7,000 | | | | 83,146 | |
| Mitsubishi Motors Corp. (a) | | | 2,400 | | | | 21,925 | |
| Mitsubishi Tanabe Pharma Corp. (a) | | | 5,400 | | | | 79,156 | |
| Mitsubishi UFJ Financial Group, Inc. (a) | | | 16,700 | | | | 91,754 | |
| Mitsui & Co., Ltd. (a) | | | 6,000 | | | | 80,359 | |
| Mizuho Financial Group, Inc. | | | 9,700 | | | | 16,260 | |
| Murata Manufacturing Co., Ltd. (a) | | | 200 | | | | 21,824 | |
| Nagoya Railroad Co., Ltd. (a) | | | 7,000 | | | | 26,063 | |
| NH Foods Ltd. (a) | | | 2,000 | | | | 43,757 | |
| NHK Spring Co., Ltd. (a) | | | 3,200 | | | | 27,844 | |
| Nippon Express Co., Ltd. | | | 3,000 | | | | 15,203 | |
| Nippon Telegraph & Telephone Corp. (a) | | | 1,300 | | | | 66,407 | |
| Nishi-Nippon City Bank Ltd./The (a) | | | 66,000 | | | | 189,905 | |
| Nissin Foods Holdings Co., Ltd. (a) | | | 500 | | | | 23,832 | |
| Nitori Holdings Co., Ltd. (a) | | | 600 | | | | 32,237 | |
| NOK Corp. (a) | | | 3,300 | | | | 83,997 | |
| NTT DOCOMO, Inc. (a) | | | 1,600 | | | | 23,301 | |
| Omron Corp. (a) | | | 200 | | | | 8,947 | |
| Oriental Land Co., Ltd. (a) | | | 400 | | | | 92,246 | |
| Osaka Gas Co., Ltd. (a) | | | 21,000 | | | | 78,434 | |
| Otsuka Corp. (a) | | | 1,600 | | | | 50,733 | |
| Otsuka Holdings Co., Ltd. (a) | | | 7,700 | | | | 230,855 | |
| Resona Holdings, Inc. (a) | | | 26,100 | | | | 131,844 | |
| Ricoh Co., Ltd. | | | 2,600 | | | | 26,284 | |
| Rohm Co., Ltd. (a) | | | 2,000 | | | | 120,507 | |
| Sankyo Co., Ltd. (a) | | | 1,000 | | | | 34,304 | |
| Secom Co., Ltd. (a) | | | 400 | | | | 22,982 | |
| Seiko Epson Corp. (a) | | | 2,000 | | | | 83,688 | |
| Sekisui Chemical Co., Ltd. (a) | | | 6,000 | | | | 72,186 | |
| Seven & i Holdings Co., Ltd. (a) | | | 1,500 | | | | 53,957 | |
| Seven Bank Ltd. (a) | | | 1,100 | | | | 4,617 | |
| Shimamura Co., Ltd. (a) | | | 1,000 | | | | 86,297 | |
| Shimano, Inc. (a) | | | 400 | | | | 51,809 | |
| Sumitomo Heavy Industries Ltd. (a) | | | 37,000 | | | | 199,022 | |
| Sumitomo Rubber Industries Ltd. (a) | | | 8,600 | | | | 127,848 | |
| Suruga Bank Ltd. (a) | | | 800 | | | | 14,702 | |
| Suzuken Co., Ltd. (a) | | | 700 | | | | 19,336 | |
| Suzuki Motor Corp. (a) | | | 800 | | | | 23,974 | |
| Taiheiyo Cement Corp. | | | 1,000 | | | | 3,137 | |
| Taisei Corp. (a) | | | 2,000 | | | | 11,344 | |
| Taisho Pharmaceutical Holdings Co., Ltd. (a) | | | 600 | | | | 36,660 | |
| Takashimaya Co., Ltd. (a) | | | 1,000 | | | | 7,985 | |
| THK Co., Ltd. (a) | | | 300 | | | | 7,210 | |
| Toho Gas Co., Ltd. (a) | | | 30,000 | | | | 146,771 | |
| Tohoku Electric Power Co., Inc. (a) | | | 10,600 | | | | 123,347 | |
| Tokyo Gas Co., Ltd. (a) | | | 16,000 | | | | 86,331 | |
| TonenGeneral Sekiyu KK (a) | | | 1,000 | | | | 8,537 | |
| TOTO Ltd. (a) | | | 1,000 | | | | 11,633 | |
| Toyo Suisan Kaisha Ltd. (a) | | | 1,700 | | | | 54,738 | |
| Toyoda Gosei Co., Ltd. (a) | | | 400 | | | | 8,046 | |
| Toyota Industries Corp. (a) | | | 100 | | | | 5,125 | |
| USS Co., Ltd. (a) | | | 2,000 | | | | 30,729 | |
| West Japan Railway Co. (a) | | | 2,400 | | | | 113,468 | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Japan - 11.0% (continued) | | | | | | |
| Yamada Denki Co., Ltd. (a) | | | 4,300 | | | $ | 14,427 | |
| Yamaha Motor Co., Ltd. (a) | | | 2,600 | | | | 52,019 | |
| Yamato Kogyo Co., Ltd. | | | 100 | | | | 2,797 | |
| Yamazaki Baking Co., Ltd. (a) | | | 7,000 | | | | 86,375 | |
| | | | | | | | |
| | | | | | | 6,667,292 | |
| | | | | | | | |
Luxembourg - 0.0% (b) | | | | | | | | |
| Millicom International Cellular SA SDR | | | 401 | | | | 29,712 | |
| | | | | | | | |
| | |
| Netherlands - 1.1% | | | | | | | | |
| Boskalis Westminster NV | | | 2,585 | | | | 141,413 | |
| Delta Lloyd NV | | | 5,205 | | | | 114,460 | |
| Heineken NV | | | 348 | | | | 24,711 | |
| Koninklijke Ahold NV | | | 6,292 | | | | 111,827 | |
| Koninklijke DSM NV | | | 233 | | | | 14,211 | |
| Koninklijke Vopak NV | | | 1,567 | | | | 81,299 | |
| QIAGEN NV †(a) | | | 759 | | | | 17,679 | |
| Royal Dutch Shell PLC, A Shares (a) | | | 1,195 | | | | 39,828 | |
| Wolters Kluwer NV | | | 3,547 | | | | 108,238 | |
| | | | | | | | |
| | | | | | | 653,666 | |
| | | | | | | | |
| Norway - 0.7% | | | | | | |
| DNB ASA (a) | | | 10,286 | | | | 151,725 | |
| Gjensidige Forsikring ASA (a) | | | 584 | | | | 9,529 | |
| Marine Harvest ASA (a) | | | 1,219 | | | | 16,738 | |
| Orkla ASA (a) | | | 401 | | | | 2,730 | |
| Statoil ASA (a) | | | 3,662 | | | | 64,476 | |
| Telenor ASA (a) | | | 940 | | | | 19,015 | |
| Yara International ASA (a) | | | 3,047 | | | | 135,690 | |
| | | | | | | | |
| | | | | | | 399,903 | |
| | | | | | | | |
| Spain - 1.3% | | | | | | |
| Acciona SA † | | | 130 | | | | 8,772 | |
| Acerinox SA | | | 1,420 | | | | 21,423 | |
| Amadeus IT Holding SA, A Shares | | | 83 | | | | 3,306 | |
| Banco de Sabadell SA | | | 2,018 | | | | 5,339 | |
| Banco Santander SA | | | 6,672 | | | | 55,999 | |
| Bolsas y Mercados Espanoles SA | | | 21 | | | | 813 | |
| Ebro Foods SA | | | 2,074 | | | | 34,283 | |
| Enagas SA | | | 1,835 | | | | 57,878 | |
| Endesa SA | | | 7,084 | | | | 141,817 | |
| Ferrovial SA | | | 2,466 | | | | 48,748 | |
| Gas Natural SDG SA | | | 2,626 | | | | 65,967 | |
| Iberdrola SA | | | 21,278 | | | | 143,430 | |
| Prosegur Cia de Seguridad SA | | | 3,439 | | | | 19,593 | |
| Red Electrica Corp. SA | | | 64 | | | | 5,642 | |
| Repsol SA | | | 650 | | | | 12,168 | |
| Tecnicas Reunidas SA | | | 1,729 | | | | 75,574 | |
| Telefonica SA | | | 4,393 | | | | 63,073 | |
| | | | | | | | |
| | | | | | | 763,825 | |
| | | | | | | | |
| Sweden - 1.0% | | | | | | |
| Boliden AB (a) | | | 5,033 | | | | 80,452 | |
| Electrolux AB, Series B (a) | | | 632 | | | | 18,467 | |
| Holmen AB, B Shares | | | 340 | | | | 11,553 | |
| Husqvarna AB, B Shares | | | 8,480 | | | | 62,332 | |
| ICA Gruppen AB | | | 2,133 | | | | 83,055 | |
| Meda AB, A Shares | | | 1,329 | | | | 19,058 | |
| Nordea Bank AB (a) | | | 1,515 | | | | 17,537 | |
| Securitas AB, B Shares (a) | | | 3,334 | | | | 40,334 | |
| Skandinaviska Enskilda Banken AB, Class A (a) | | | 6,308 | | | | 80,103 | |
| Skanska AB, B Shares (a) | | | 2,829 | | | | 60,740 | |
| Swedish Match AB (a) | | | 1,208 | | | | 37,852 | |
| Tele2 AB, B Shares | | | 1,031 | | | | 12,493 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
241
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Sweden - 1.0% (continued) | | | | | | |
| Telefonaktiebolaget LM Ericsson, B Shares (a) | | | 3,536 | | | $ | 42,814 | |
| TeliaSonera AB (a) | | | 7,784 | | | | 50,046 | |
| | | | | | | | |
| | | | | | | 616,836 | |
| | | | | | | | |
| Switzerland - 1.5% | | | | | | |
| Actelion Ltd. †(a) | | | 78 | | | | 8,979 | |
| Aryzta AG †(a) | | | 524 | | | | 40,269 | |
| Bucher Industries AG (a) | | | 336 | | | | 83,792 | |
| Chocoladefabriken Lindt & Sprungli AG (a) | | | 1 | | | | 4,944 | |
| Flughafen Zuerich AG (a) | | | 1 | | | | 669 | |
| Galenica AG (a) | | | 8 | | | | 6,379 | |
| Givaudan SA †(a) | | | 3 | | | | 5,382 | |
| Lonza Group AG †(a) | | | 436 | | | | 49,090 | |
| Nestle SA (a) | | | 182 | | | | 13,268 | |
| Novartis AG (a) | | | 1,236 | | | | 114,629 | |
| OC Oerlikon Corp. AG †(a) | | | 1,116 | | | | 13,931 | |
| Partners Group Holding AG (a) | | | 16 | | | | 4,655 | |
| Roche Holding AG (a) | | | 233 | | | | 63,129 | |
| Sika AG (a) | | | 33 | | | | 97,348 | |
| Sonova Holding AG (a) | | | 5 | | | | 735 | |
| STMicroelectronics NV | | | 4,614 | | | | 34,497 | |
| Straumann Holding AG (a) | | | 71 | | | | 17,838 | |
| Swiss Life Holding AG †(a) | | | 330 | | | | 77,996 | |
| Swiss Re AG †(a) | | | 1,175 | | | | 98,432 | |
| Swisscom AG (a) | | | 259 | | | | 135,905 | |
| Zurich Insurance Group AG †(a) | | | 35 | | | | 10,938 | |
| | | | | | | | |
| | | | | | | 882,805 | |
| | | | | | | | |
| United Kingdom - 0.3% | | | | | | |
| Fiat Chrysler Automobiles NV † | | | 4,256 | | | | 49,454 | |
| International Consolidated Airlines Group SA †(a) | | | 8,294 | | | | 61,784 | |
| Reed Elsevier NV | | | 1,549 | | | | 36,991 | |
| Unilever NV CVA | | | 1,584 | | | | 61,962 | |
| | | | | | | | |
| | | | | | | 210,191 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(cost $13,334,992) | | | | | | | 12,857,255 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.2% | | | | | | | | |
| | |
| Germany - 0.2% | | | | | | | | |
| Henkel AG & Co. KGaA (a) | | | 19 | | | | 2,047 | |
| Porsche Automobil Holding SE | | | 440 | | | | 35,584 | |
| Volkswagen AG (a) | | | 479 | | | | 106,460 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(cost $148,196) | | | | | | | 144,091 | |
| | | | | | | | |
| | |
| RIGHTS - 0.0% (b) | | | | | | | | |
| GTECH SpA † | | | | | | | | |
(cost $—) | | | 883 | | | | — | |
| | | | | | | | |
| |
| MONEY MARKET FUNDS - 90.3% | | | | |
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.070% (c) | | | 279,051 | | | | 279,051 | |
| Dreyfus Treasury Cash Management, Class I, 0.010% (c) | | | 1,116,205 | | | | 1,116,205 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c)^ | | | 48,140,757 | | | | 48,140,757 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) | | | 3,550,002 | | | | 3,550,002 | |
| | | | | | | | |
MONEY MARKET FUNDS - 90.3%
(continued) | | SHARES | | | VALUE (Note 5) | |
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c) | | | 1,395,256 | | | $ | 1,395,256 | |
| | | | | | | | |
TOTAL MONEY MARKET FUNDS
(cost $54,481,271) | | | | | | | 54,481,271 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES, AT VALUE
(cost $67,964,459) | | | | | | | 67,482,617 | |
| | | | | | | | |
| | |
| SECURITIES SOLD SHORT - (17.7)% | | | | | | | | |
| | |
| COMMON STOCKS - (17.7)% | | | | | | | | |
| | |
| Belgium - (0.4)% | | | | | | | | |
| KBC Groep NV † | | | (872 | ) | | | (48,667 | ) |
| Telenet Group Holding NV † | | | (1,191 | ) | | | (66,836 | ) |
| UCB SA | | | (1,606 | ) | | | (122,116 | ) |
| | | | | | | | |
| | | | | | | (237,619 | ) |
| | | | | | | | |
| Denmark - (0.4)% | | | | | | |
| FLSmidth & Co. A/S | | | (3,600 | ) | | | (157,829 | ) |
| Novozymes A/S, B Shares | | | (492 | ) | | | (20,710 | ) |
| Tryg A/S | | | (8 | ) | | | (894 | ) |
| Vestas Wind Systems A/S † | | | (1,040 | ) | | | (37,769 | ) |
| | | | | | | | |
| | | | | | | (217,202 | ) |
| | | | | | | | |
| Finland - (0.5)% | | | | | | |
| Cargotec OYJ, B Shares | | | (4,486 | ) | | | (137,695 | ) |
| Kone OYJ, Class B | | | (389 | ) | | | (17,710 | ) |
| Nokia OYJ | | | (3,455 | ) | | | (27,325 | ) |
| Nokian Renkaat OYJ | | | (6,036 | ) | | | (147,240 | ) |
| | | | | | | | |
| | | | | | | (329,970 | ) |
| | | | | | | | |
| Germany - (1.7)% | | | | | | |
| adidas AG | | | (377 | ) | | | (26,181 | ) |
| AIXTRON SE † | | | (5,212 | ) | | | (58,589 | ) |
| Bilfinger SE | | | (2,561 | ) | | | (143,157 | ) |
| Commerzbank AG † | | | (3,938 | ) | | | (51,653 | ) |
| Deutsche Bank AG | | | (2,800 | ) | | | (83,844 | ) |
| Deutsche Lufthansa AG | | | (429 | ) | | | (7,109 | ) |
| E.ON SE | | | (467 | ) | | | (7,982 | ) |
| LANXESS AG | | | (3,027 | ) | | | (140,187 | ) |
| METRO AG † | | | (1,505 | ) | | | (46,004 | ) |
| Rheinmetall AG | | | (2,192 | ) | | | (95,438 | ) |
| RWE AG | | | (3,174 | ) | | | (97,964 | ) |
| Salzgitter AG | | | (3,146 | ) | | | (88,035 | ) |
| Siemens AG | | | (99 | ) | | | (11,108 | ) |
| Telefonica Deutschland Holding AG † | | | (5,628 | ) | | | (29,828 | ) |
| ThyssenKrupp AG † | | | (2,702 | ) | | | (68,830 | ) |
| Wirecard AG | | | (908 | ) | | | (39,593 | ) |
| | | | | | | | |
| | | | | | | (995,502 | ) |
| | | | | | | | |
| Italy - (1.0)% | | | | | | |
| A2A SpA | | | (23,949 | ) | | | (24,267 | ) |
| Banca Monte dei Paschi di Siena SpA † | | | (30,590 | ) | | | (17,426 | ) |
| Banca Popolare dell’Emilia Romagna SC † | | | (15,487 | ) | | | (101,532 | ) |
| Banco Popolare SC † | | | (7,467 | ) | | | (89,841 | ) |
| Buzzi Unicem SpA | | | (513 | ) | | | (6,493 | ) |
| Mediaset SpA † | | | (16,299 | ) | | | (67,063 | ) |
| Mediolanum SpA | | | (24,730 | ) | | | (157,597 | ) |
| Moncler SpA | | | (2,558 | ) | | | (34,179 | ) |
| Salvatore Ferragamo SpA | | | (3,184 | ) | | | (78,361 | ) |
| Telecom Italia SpA † | | | (5,971 | ) | | | (6,368 | ) |
| World Duty Free SpA † | | | (3,142 | ) | | | (30,167 | ) |
| | | | | | | | |
| | | | | | | (613,294 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
242
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Japan - (9.1)% | | | | | | |
| Acom Co., Ltd. † | | | (49,600 | ) | | $ | (151,421 | ) |
| Advantest Corp. | | | (14,300 | ) | | | (177,239 | ) |
| Aeon Co., Ltd. | | | (18,400 | ) | | | (184,911 | ) |
| Aeon Credit Service Co., Ltd. | | | (4,600 | ) | | | (90,854 | ) |
| Amada Co., Ltd. | | | (1,600 | ) | | | (13,710 | ) |
| Asahi Glass Co., Ltd. | | | (8,000 | ) | | | (38,945 | ) |
| Chubu Electric Power Co., Inc. † | | | (2,100 | ) | | | (24,677 | ) |
| Chugoku Electric Power Co., Inc./The | | | (1,900 | ) | | | (24,842 | ) |
| Citizen Holdings Co., Ltd. | | | (3,900 | ) | | | (30,008 | ) |
| Credit Saison Co., Ltd. | | | (7,000 | ) | | | (130,175 | ) |
| Dai-ichi Life Insurance Co., Ltd./The | | | (3,000 | ) | | | (45,540 | ) |
| Daiichi Sankyo Co., Ltd. | | | (1,000 | ) | | | (13,983 | ) |
| Daikin Industries Ltd. | | | (1,900 | ) | | | (121,836 | ) |
| Dena Co., Ltd. | | | (3,400 | ) | | | (40,614 | ) |
| Don Quijote Holdings Co., Ltd. | | | (500 | ) | | | (34,374 | ) |
| Eisai Co., Ltd. | | | (700 | ) | | | (27,071 | ) |
| FANUC Corp. | | | (200 | ) | | | (32,976 | ) |
| Fast Retailing Co., Ltd. | | | (400 | ) | | | (145,558 | ) |
| Fuji Electric Co., Ltd. | | | (3,000 | ) | | | (11,961 | ) |
| GS Yuasa Corp. | | | (33,000 | ) | | | (140,308 | ) |
| Hisamitsu Pharmaceutical Co., Inc. | | | (100 | ) | | | (3,153 | ) |
| Hitachi Capital Corp. | | | (1,200 | ) | | | (26,411 | ) |
| Hokkaido Electric Power Co., Inc. † | | | (12,700 | ) | | | (101,663 | ) |
| Hokuriku Electric Power Co. | | | (300 | ) | | | (3,831 | ) |
| IHI Corp. | | | (17,000 | ) | | | (86,096 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (7,700 | ) | | | (95,281 | ) |
| J Front Retailing Co., Ltd. | | | (200 | ) | | | (2,316 | ) |
| Japan Display, Inc. † | | | (10,700 | ) | | | (32,656 | ) |
| Japan Steel Works Ltd./The | | | (50,000 | ) | | | (176,906 | ) |
| JFE Holdings, Inc. | | | (1,200 | ) | | | (26,761 | ) |
| JSR Corp. | | | (600 | ) | | | (10,299 | ) |
| JX Holdings, Inc. | | | (11,900 | ) | | | (46,310 | ) |
| Kajima Corp. | | | (9,000 | ) | | | (37,011 | ) |
| Kakaku.com, Inc. | | | (6,300 | ) | | | (90,132 | ) |
| Kansai Electric Power Co., Inc./The † | | | (7,800 | ) | | | (74,202 | ) |
| Kansai Paint Co., Ltd. | | | (3,000 | ) | | | (46,476 | ) |
| Kawasaki Heavy Industries Ltd. | | | (6,000 | ) | | | (27,285 | ) |
| Keikyu Corp. | | | (7,000 | ) | | | (51,792 | ) |
| Keisei Electric Railway Co., Ltd. | | | (1,000 | ) | | | (12,160 | ) |
| Kikkoman Corp. | | | (3,000 | ) | | | (73,527 | ) |
| Kintetsu Corp. | | | (4,000 | ) | | | (13,152 | ) |
| Kubota Corp. | | | (4,000 | ) | | | (58,059 | ) |
| Kyocera Corp. | | | (700 | ) | | | (32,032 | ) |
| Kyushu Electric Power Co., Inc. | | | (15,300 | ) | | | (153,233 | ) |
| LIXIL Group Corp. | | | (3,200 | ) | | | (67,346 | ) |
| M3, Inc. | | | (1,900 | ) | | | (31,791 | ) |
| Marui Group Co., Ltd. | | | (4,000 | ) | | | (36,079 | ) |
| Mazda Motor Corp. | | | (1,600 | ) | | | (38,425 | ) |
| Mitsubishi Gas Chemical Co., Inc. | | | (5,000 | ) | | | (25,095 | ) |
| Mitsubishi Logistics Corp. | | | (3,000 | ) | | | (43,632 | ) |
| Mitsubishi Materials Corp. | | | (37,000 | ) | | | (122,745 | ) |
| Mitsubishi UFJ Lease & Finance Co., Ltd. | | | (100 | ) | | | (470 | ) |
| Mitsui Chemicals, Inc. | | | (26,000 | ) | | | (73,642 | ) |
| Mitsui OSK Lines Ltd. | | | (16,000 | ) | | | (47,404 | ) |
| Nexon Co., Ltd. | | | (2,800 | ) | | | (26,102 | ) |
| NGK Insulators Ltd. | | | (3,000 | ) | | | (61,495 | ) |
| NGK Spark Plug Co., Ltd. | | | (400 | ) | | | (12,154 | ) |
| Nintendo Co., Ltd. | | | (1,800 | ) | | | (187,844 | ) |
| Nippon Electric Glass Co., Ltd. | | | (3,000 | ) | | | (13,499 | ) |
| Nippon Paint Holdings Co., Ltd. | | | (2,000 | ) | | | (57,956 | ) |
| Nippon Steel & Sumitomo Metal Corp. | | | (24,000 | ) | | | (59,535 | ) |
| Nissan Motor Co., Ltd. | | | (1,400 | ) | | | (12,211 | ) |
| Nitto Denko Corp. | | | (1,100 | ) | | | (61,463 | ) |
| NSK Ltd. | | | (2,000 | ) | | | (23,614 | ) |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Japan - (9.1)% (continued) | | | | | | |
| NTT Data Corp. | | | (300 | ) | | $ | (11,177 | ) |
| Obayashi Corp. | | | (2,000 | ) | | | (12,892 | ) |
| Odakyu Electric Railway Co., Ltd. | | | (3,000 | ) | | | (26,574 | ) |
| Olympus Corp. † | | | (1,300 | ) | | | (45,539 | ) |
| Ono Pharmaceutical Co., Ltd. | | | (1,100 | ) | | | (97,389 | ) |
| Panasonic Corp. | | | (3,700 | ) | | | (43,580 | ) |
| Rakuten, Inc. | | | (11,600 | ) | | | (161,307 | ) |
| Santen Pharmaceutical Co., Ltd. | | | (100 | ) | | | (5,384 | ) |
| Sharp Corp. † | | | (45,000 | ) | | | (99,553 | ) |
| Shikoku Electric Power Co., Inc. † | | | (5,500 | ) | | | (66,713 | ) |
| Shimizu Corp. | | | (1,000 | ) | | | (6,792 | ) |
| Shinsei Bank Ltd. | | | (26,000 | ) | | | (45,251 | ) |
| Shionogi & Co., Ltd. | | | (1,100 | ) | | | (28,419 | ) |
| Shizuoka Bank Ltd./The | | | (1,000 | ) | | | (9,144 | ) |
| Showa Denko KK | | | (37,000 | ) | | | (45,547 | ) |
| Showa Shell Sekiyu KK | | | (500 | ) | | | (4,925 | ) |
| SoftBank Corp. | | | (1,000 | ) | | | (59,523 | ) |
| Sony Corp. | | | (6,700 | ) | | | (136,742 | ) |
| Sony Financial Holdings, Inc. | | | (1,100 | ) | | | (16,198 | ) |
| Sumco Corp. | | | (2,500 | ) | | | (35,790 | ) |
| Sumitomo Mitsui Trust Holdings, Inc. | | | (13,000 | ) | | | (49,794 | ) |
| T&D Holdings, Inc. | | | (100 | ) | | | (1,199 | ) |
| Takeda Pharmaceutical Co., Ltd. | | | (1,200 | ) | | | (49,677 | ) |
| TDK Corp. | | | (300 | ) | | | (17,669 | ) |
| Teijin Ltd. | | | (4,000 | ) | | | (10,632 | ) |
| Terumo Corp. | | | (1,700 | ) | | | (38,584 | ) |
| Tobu Railway Co., Ltd. | | | (3,000 | ) | | | (12,828 | ) |
| Tokyu Corp. | | | (4,000 | ) | | | (24,786 | ) |
| Toray Industries, Inc. | | | (4,000 | ) | | | (31,960 | ) |
| Toshiba Corp. | | | (10,000 | ) | | | (42,173 | ) |
| Toyo Seikan Group Holdings Ltd. | | | (3,900 | ) | | | (48,444 | ) |
| Toyota Boshoku Corp. | | | (1,900 | ) | | | (25,224 | ) |
| Trend Micro, Inc. | | | (1,200 | ) | | | (33,160 | ) |
| Ube Industries Ltd. | | | (13,000 | ) | | | (19,329 | ) |
| Yahoo Japan Corp. | | | (36,000 | ) | | | (129,021 | ) |
| Yamaha Corp. | | | (300 | ) | | | (4,422 | ) |
| Yaskawa Electric Corp. | | | (12,900 | ) | | | (164,773 | ) |
| Yokogawa Electric Corp. | | | (4,900 | ) | | | (53,768 | ) |
| | | | | | | | |
| | | | | | | (5,480,131 | ) |
| | | | | | | | |
| Luxembourg - (0.3)% | | | | | | |
| Altice SA † | | | (900 | ) | | | (71,185 | ) |
| ArcelorMittal | | | (12,271 | ) | | | (134,440 | ) |
| | | | | | | | |
| | | | | | | (205,625 | ) |
| | | | | | | | |
| Netherlands - (1.0)% | | | | | | |
| Akzo Nobel NV | | | (598 | ) | | | (41,376 | ) |
| ASML Holding NV | | | (756 | ) | | | (81,684 | ) |
| Fugro NV CVA | | | (4,667 | ) | | | (96,937 | ) |
| Koninklijke KPN NV | | | (30,555 | ) | | | (96,473 | ) |
| OCI NV † | | | (3,173 | ) | | | (110,325 | ) |
| Randstad Holding NV | | | (1,986 | ) | | | (95,559 | ) |
| SBM Offshore NV † | | | (1,924 | ) | | | (22,628 | ) |
| TNT Express NV | | | (12,187 | ) | | | (81,243 | ) |
| | | | | | | | |
| | | | | | | (626,225 | ) |
| | | | | | | | |
| Norway - (0.4)% | | | | | | |
| Aker Solutions ASA 144A †(e) | | | (4,569 | ) | | | (25,414 | ) |
| Fred Olsen Energy ASA | | | (10,120 | ) | | | (92,603 | ) |
| Petroleum Geo-Services ASA | | | (4,000 | ) | | | (22,518 | ) |
| Schibsted ASA | | | (1,538 | ) | | | (97,539 | ) |
| | | | | | | | |
| | | | | | | (238,074 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
243
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | |
| | | SHARES | | | VALUE (Note 5) | |
| Spain - (1.1)% | | | | | | |
| Abertis Infraestructuras SA | | | (77 | ) | | $ | (1,527 | ) |
| Banco Bilbao Vizcaya Argentaria SA | | | (637 | ) | | | (6,016 | ) |
| Banco Popular Espanol SA | | | (14,876 | ) | | | (74,154 | ) |
| Bankia SA † | | | (21,037 | ) | | | (31,217 | ) |
| CaixaBank SA | | | (5,004 | ) | | | (26,220 | ) |
| Grifols SA | | | (1,137 | ) | | | (45,370 | ) |
| Inditex SA | | | (3,981 | ) | | | (113,560 | ) |
| Indra Sistemas SA | | | (13,154 | ) | | | (127,797 | ) |
| Mapfre SA | | | (17,190 | ) | | | (58,102 | ) |
| Mediaset Espana Comunicacion SA † | | | (3,950 | ) | | | (49,660 | ) |
| Obrascon Huarte Lain SA | | | (1,568 | ) | | | (34,989 | ) |
| Zardoya Otis SA | | | (9,992 | ) | | | (110,807 | ) |
| | | | | | | | |
| | | | | | | (679,419 | ) |
| | | | | | | | |
| Sweden - (0.8)% | | | | | | |
| Alfa Laval AB | | | (655 | ) | | | (12,386 | ) |
| Assa Abloy AB, Class B | | | (568 | ) | | | (30,000 | ) |
| Atlas Copco AB, A Shares | | | (801 | ) | | | (22,288 | ) |
| Elekta AB, B Shares | | | (12,992 | ) | | | (132,682 | ) |
| Getinge AB, B Shares | | | (543 | ) | | | (12,365 | ) |
| Hennes & Mauritz AB, B Shares | | | (667 | ) | | | (27,711 | ) |
| Modern Times Group MTG, B Shares | | | (264 | ) | | | (8,372 | ) |
| Sandvik AB | | | (5,161 | ) | | | (50,181 | ) |
| SKF AB, B Shares | | | (2,599 | ) | | | (54,749 | ) |
| SSAB AB, A Shares † | | | (12,400 | ) | | | (71,705 | ) |
| Svenska Cellulosa AB SCA, Class B | | | (1,200 | ) | | | (25,871 | ) |
| Trelleborg AB, B Shares | | | (2,190 | ) | | | (36,868 | ) |
| | | | | | | | |
| | | | | | | (485,178 | ) |
| | | | | | | | |
| Switzerland - (1.0)% | | | | | | |
| Adecco SA † | | | (282 | ) | | | (19,385 | ) |
| Cie Financiere Richemont SA | | | (1,497 | ) | | | (132,720 | ) |
| Credit Suisse Group AG † | | | (1,989 | ) | | | (49,966 | ) |
| DKSH Holding AG | | | (48 | ) | | | (3,654 | ) |
| Dufry AG † | | | (112 | ) | | | (16,740 | ) |
| EMS-Chemie Holding AG | | | (138 | ) | | | (55,866 | ) |
| GAM Holding AG † | | | (167 | ) | | | (3,002 | ) |
| Holcim Ltd. † | | | (9 | ) | | | (643 | ) |
| Julius Baer Group Ltd. † | | | (508 | ) | | | (23,194 | ) |
| Panalpina Welttransport Holding AG | | | (538 | ) | | | (72,118 | ) |
| Sulzer AG | | | (783 | ) | | | (83,759 | ) |
| Swatch Group AG/The | | | (74 | ) | | | (32,875 | ) |
| Transocean Ltd. | | | (4,877 | ) | | | (89,490 | ) |
| | | | | | | | |
| | | | | | | (583,412 | ) |
| | | | | | | | |
| United Kingdom - 0.0% (b) | | | | | | |
| Subsea 7 SA | | | (843 | ) | | | (8,627 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS SOLD SHORT (proceeds $11,194,359) | | | | | | | (10,700,278 | ) |
| | | | | | | | |
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $11,194,359) | | | | | | | (10,700,278 | ) |
| | | | | | | | |
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 94.1% (cost $56,770,100) | | | | | | | 56,782,339 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 5.9% (f) | | | | | | | 3,583,563 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 60,365,902 | |
| | | | | | | | |
| † | Non income-producing security. |
| (a) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At December 31, 2014, the value of these securities was $7,818,229. In addition, $2,363,465 of cash collateral was pledged. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents annualized seven-day yield as of December 31, 2014. |
| (d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) | 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. |
| (f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
| ^ | All or a portion represents positions held in the respective Subsidiary (See Note 2). |
All securities are Level 2 with respect to ASC 820, (See Note 5).
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certification
SDR - Special Drawing Rights
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 75,399 | | | | 0.1 | % |
| Consumer Staples | | | 667,096 | | | | 1.1 | |
| Energy | | | 94,458 | | | | 0.2 | |
| Financials | | | 359,148 | | | | 0.6 | |
| Health Care | | | 731,168 | | | | 1.2 | |
| Industrials | | | (219,417 | ) | | | (0.4 | ) |
| Information Technology | | | (263,102 | ) | | | (0.4 | ) |
| Materials | | | (93,432 | ) | | | (0.2 | ) |
| Telecommunication Services | | | 476,147 | | | | 0.8 | |
| Utilities | | | 473,603 | | | | 0.8 | |
| Money Market Funds | | | 54,481,271 | | | | 90.3 | |
| | | | | | | | |
Total Investments | | | 56,782,339 | | | | 94.1 | |
| Other Assets in Excess of Liabilities (f) | | | 3,583,563 | | | | 5.9 | |
| | | | | | | | |
Net Assets | | $ | 60,365,902 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
244
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
Total return swap contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | UNDERLYING REFERENCE INSTRUMENT | | TERMINATION
DATE | | CURRENCY | | NOTIONAL
VALUE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Bank of America | | 10-Year Canadian Bond March Futures | | 3/2015 | | CAD | | | 5,331,887 | | | | $61,405 | |
| Bank of America | | 10-Year Japanese Government Bond March Futures | | 3/2015 | | JPY | | | (1,028,376,300 | ) | | | (51,902 | ) |
| Bank of America | | 30-Year Euro Buxl Bond March Futures | | 3/2015 | | EUR | | | (905,804 | ) | | | (29,720 | ) |
| Goldman Sachs | | BIST 30 February Futures | | 2/2015 | | TRY | | | 31,686 | | | | 171 | |
| Bank of America | | Bovespa Index February Futures | | 2/2015 | | BRL | | | (1,235,149 | ) | | | (9,751 | ) |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | 253,029 | | | | 5,020 | |
| CitiBank | | Corn March Futures^ | | 2/2015 | | USD | | | (253,812 | ) | | | (4,236 | ) |
| Bank of America | | Euro - Bobl March Futures | | 3/2015 | | EUR | | | 388,234 | | | | 3,203 | |
| Bank of America | | Euro - Bund March Futures | | 3/2015 | | EUR | | | 461,689 | | | | 7,291 | |
| Bank of America | | Euro - SCHATZ March Futures | | 3/2015 | | EUR | | | (9,871,141 | ) | | | (19,560 | ) |
| Bank of America | | Hang Seng Index January Futures | | 1/2015 | | HKD | | | 1,169,970 | | | | 1,609 | |
| Bank of America | | H-SHARES Index January Futures | | 1/2015 | | HKD | | | 1,802,610 | | | | (548 | ) |
| Bank of America | | Long Gilt March Futures | | 3/2015 | | GBP | | | 3,186,753 | | | | 63,344 | |
| Bank of America | | MSCI Taiwan Stock Index January Futures | | 1/2015 | | USD | | | 270,710 | | | | 3,770 | |
| Bank of America | | SGX S&P CNX Nifty Index January Futures | | 1/2015 | | USD | | | 16,678 | | | | 40 | |
| Bank of America | | Swiss Market Index March Futures | | 3/2015 | | CHF | | | 358,068 | | | | (1,808 | ) |
| Bank of America | | Taiwan Stock Exchange January Futures | | 1/2015 | | TWD | | | 1,800,662 | | | | 1,748 | |
| Bank of America | | Tel Aviv 25 Index January Futures | | 1/2015 | | ILS | | | 1,031,624 | | | | (1,554 | ) |
| Bank of America | | U.S. Treasury 10-Year Note March Futures | | 3/2015 | | USD | | | 2,149,315 | | | | 6,232 | |
| Bank of America | | U.S. Treasury 2-Year Note March Futures | | 3/2015 | | USD | | | (7,877,902 | ) | | | 8,527 | |
| Bank of America | | U.S. Treasury 5-Year Note March Futures | | 3/2015 | | USD | | | 475,616 | | | | 103 | |
| Bank of America | | U.S. Treasury Long Bond March Futures | | 3/2015 | | USD | | | (1,126,829 | ) | | | (29,671 | ) |
| Goldman Sachs | | WIG20 Index March Futures | | 3/2015 | | PLN | | | 284,072 | | | | (1,667 | ) |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $12,046 | |
| | | | | | | | | | | | | | |
Money Market Fund is pledged as collateral to Bank of America for total return swap contracts in the amount of $120,000 at December 31, 2014. Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts and total return basket swap contracts in the amount of $3,330,000 at December 31, 2014.
Open futures contracts outstanding at December 31, 2014:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: | | | | | | | | | |
| 12 | | Goldman Sachs | | Gold 100 OZ Futures^ | | 2/2015 | | $ | 1,429,936 | | | $ | 1,420,920 | | | $ | (9,016 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 165,352 | | | | 158,287 | | | | (7,065 | ) |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | 162,177 | | | | 157,850 | | | | (4,327 | ) |
| 10 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 1,595,504 | | | | 1,577,000 | | | | (18,504 | ) |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | 634,321 | | | | 630,313 | | | | (4,008 | ) |
| 16 | | Goldman Sachs | | Silver Futures^ | | 3/2015 | | | 1,310,254 | | | | 1,247,920 | | | | (62,334 | ) |
| 9 | | Barclays Capital | | Amsterdam Index Futures | | 1/2015 | | | 881,419 | | | | 925,688 | | | | 44,269 | |
| 11 | | J.P. Morgan | | BIST 30 Futures | | 2/2015 | | | 49,727 | | | | 50,393 | | | | 666 | |
| 11 | | Barclays Capital | | DAX Index Futures | | 3/2015 | | | 3,215,992 | | | | 3,275,560 | | | | 59,568 | |
| 3 | | J.P. Morgan | | FTSE Bursa Malaysia KLCI Index Futures | | 1/2015 | | | 75,468 | | | | 75,118 | | | | (350 | ) |
| 33 | | Barclays Capital | | Hang Seng Index Futures | | 1/2015 | | | 5,019,377 | | | | 5,031,930 | | | | 12,553 | |
| 3 | | Barclays Capital | | H-SHARES Index Futures | | 1/2015 | | | 232,554 | | | | 231,906 | | | | (648 | ) |
| 6 | | Barclays Capital | | KOSPI Index 200 Futures | | 3/2015 | | | 679,605 | | | | 665,969 | | | | (13,636 | ) |
| 3 | | J.P. Morgan | | MSCI Singapore Index Futures | | 1/2015 | | | 170,997 | | | | 172,846 | | | | 1,849 | |
| 6 | | Barclays Capital | | MSCI Taiwan Stock Index Futures | | 1/2015 | | | 203,277 | | | | 205,860 | | | | 2,583 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
245
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | | | | | | | |
NUMBER OF
CONTRACTS | | COUNTERPARTY | | DESCRIPTION | | EXPIRATION DATE | | VALUE AT
TRADE DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts: (continued) | | | | | | | | | |
| 7 | | J.P. Morgan | | SET50 Index Futures | | 3/2015 | | | $ 43,287 | | | | $ 42,089 | | | | $ (1,198 | ) |
| 2 | | J.P. Morgan | | SGX S&P CNX Nifty Index Futures | | 1/2015 | | | 33,362 | | | | 33,436 | | | | 74 | |
| 14 | | Barclays Capital | | TOPIX Index Futures | | 3/2015 | | | 1,659,413 | | | | 1,645,099 | | | | (14,314 | ) |
| 47 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 6/2015 | | | 14,207,993 | | | | 14,210,268 | | | | 2,275 | |
| 58 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 9/2015 | | | 17,532,530 | | | | 17,536,952 | | | | 4,422 | |
| 8 | | J.P. Morgan | | 3-Month Euro Euribor Futures | | 12/2015 | | | 2,418,070 | | | | 2,418,769 | | | | 699 | |
| 77 | | J.P. Morgan | | 90-Day EURODollar Futures | | 6/2015 | | | 19,164,377 | | | | 19,166,263 | | | | 1,886 | |
| 61 | | J.P. Morgan | | 90-Day EURODollar Futures | | 9/2015 | | | 15,136,740 | | | | 15,150,875 | | | | 14,135 | |
| 52 | | J.P. Morgan | | 90-Day EURODollar Futures | | 12/2015 | | | 12,891,981 | | | | 12,881,050 | | | | (10,931 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | 98,913,713 | | | | 98,912,361 | | | | (1,352 | ) |
| | | | | | | | | | | | | | | | | | |
| Short Contracts: | | | | | | | | | |
| 12 | | Goldman Sachs | | Brent Crude Futures^ | | 1/2015 | | | $(805,968 | ) | | | $(687,960 | ) | | | $118,008 | |
| 47 | | Goldman Sachs | | Corn Futures^ | | 3/2015 | | | (951,358 | ) | | | (932,950 | ) | | | 18,408 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (165,593 | ) | | | (158,287 | ) | | | 7,306 | |
| 1 | | J.P. Morgan | | LME Copper Futures^ | | 2/2015 | | | (162,122 | ) | | | (157,850 | ) | | | 4,272 | |
| 4 | | J.P. Morgan | | LME Copper Futures^ | | 3/2015 | | | (634,489 | ) | | | (630,313 | ) | | | 4,176 | |
| 13 | | Goldman Sachs | | Natural Gas Futures^ | | 1/2015 | | | (432,704 | ) | | | (375,570 | ) | | | 57,134 | |
| 15 | | Goldman Sachs | | Soybean Futures^ | | 3/2015 | | | (782,572 | ) | | | (767,625 | ) | | | 14,947 | |
| 19 | | Barclays Capital | | CAC40 Index Futures | | 1/2015 | | | (967,228 | ) | | | (983,323 | ) | | | (16,095 | ) |
| 49 | | Barclays Capital | | Euro Stoxx 50 Index | | 3/2015 | | | (1,822,969 | ) | | | (1,857,633 | ) | | | (34,664 | ) |
| 17 | | Barclays Capital | | FTSE 100 Index Futures | | 3/2015 | | | (1,681,809 | ) | | | (1,728,214 | ) | | | (46,405 | ) |
| 28 | | Barclays Capital | | FTSE/JSE Top 40 Index Futures | | 3/2015 | | | (1,037,903 | ) | | | (1,071,275 | ) | | | (33,372 | ) |
| 10 | | Barclays Capital | | FTSE/MIB Index Futures | | 3/2015 | | | (1,119,331 | ) | | | (1,153,722 | ) | | | (34,391 | ) |
| 3 | | Barclays Capital | | IBEX 35 Index Futures | | 1/2015 | | | (371,348 | ) | | | (371,884 | ) | | | (536 | ) |
| 7 | | J.P. Morgan | | Mexican Stock Exchange Price and Quotation Index Futures | | 3/2015 | | | (203,803 | ) | | | (204,913 | ) | | | (1,110 | ) |
| 6 | | Barclays Capital | | OMXS30 Index Futures | | 1/2015 | | | (107,728 | ) | | | (112,891 | ) | | | (5,163 | ) |
| 8 | | J.P. Morgan | | S&P 500 E-Mini Futures | | 3/2015 | | | (832,572 | ) | | | (820,960 | ) | | | 11,612 | |
| 12 | | J.P. Morgan | | S&P/Toronto Stock Exchange 60 Index Futures | | 3/2015 | | | (1,747,315 | ) | | | (1,759,201 | ) | | | (11,886 | ) |
| 5 | | J.P. Morgan | | SPI 200 Index Futures | | 3/2015 | | | (522,372 | ) | | | (549,335 | ) | | | (26,963 | ) |
| 35 | | J.P. Morgan | | 10-Year Japanese Government Bond | | 3/2015 | | | (4,314,308 | ) | | | (4,319,920 | ) | | | (5,612 | ) |
| 106 | | J.P. Morgan | | 90-Day Sterling Futures | | 6/2015 | | | (20,511,653 | ) | | | (20,519,282 | ) | | | (7,629 | ) |
| 84 | | J.P. Morgan | | 90-Day Sterling Futures | | 9/2015 | | | (16,205,507 | ) | | | (16,247,472 | ) | | | (41,965 | ) |
| 48 | | J.P. Morgan | | 90-Day Sterling Futures | | 12/2015 | | | (9,267,183 | ) | | | (9,274,918 | ) | | | (7,735 | ) |
| 40 | | J.P. Morgan | | Australia 10-Year Bond Futures | | 3/2015 | | | (4,138,690 | ) | | | (4,184,703 | ) | | | (46,013 | ) |
| 135 | | J.P. Morgan | | Australia 3-Year Bond Futures | | 3/2015 | | | (12,221,095 | ) | | | (12,264,811 | ) | | | (43,716 | ) |
| 16 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 6/2015 | | | (3,397,916 | ) | | | (3,397,142 | ) | | | 774 | |
| 33 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 9/2015 | | | (7,001,040 | ) | | | (7,003,765 | ) | | | (2,725 | ) |
| 16 | | J.P. Morgan | | Canadian 3-Month Bank Acceptance Futures | | 12/2015 | | | (3,395,159 | ) | | | (3,394,044 | ) | | | 1,115 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | (94,801,735 | ) | | | (94,929,963 | ) | | | (128,228 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | $ | 4,111,978 | | | $ | 3,982,398 | | | $ | (129,580 | ) |
| | | | | | | | | | | | | | | | | | |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,222,885, $199,706 and $835,995, respectively at December 31, 2014.
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
246
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
Forward foreign currency exchange contracts outstanding as of December 31, 2014:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Australian Dollar,
Expiring 03/18/15 | | CitiBank | | AUD | | | 397,000 | | | | $325,495 | | | | $322,422 | | | | $(3,073 | ) |
Australian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | AUD | | | 397,000 | | | | 325,465 | | | | 322,420 | | | | (3,045 | ) |
Brazilian Real,
Expiring 03/18/15* | | CitiBank | | BRL | | | 450,000 | | | | 167,895 | | | | 165,967 | | | | (1,928 | ) |
Brazilian Real,
Expiring 03/18/15* | | Credit Suisse International | | BRL | | | 450,000 | | | | 167,859 | | | | 165,967 | | | | (1,892 | ) |
Canadian Dollar,
Expiring 03/18/15 | | CitiBank | | CAD | | | 2,200,000 | | | | 1,911,222 | | | | 1,890,613 | | | | (20,609 | ) |
Canadian Dollar,
Expiring 03/18/15 | | Credit Suisse International | | CAD | | | 2,271,000 | | | | 1,974,167 | | | | 1,951,628 | | | | (22,539 | ) |
Swiss Franc,
Expiring 03/18/15 | | CitiBank | | CHF | | | 413,500 | | | | 430,508 | | | | 416,473 | | | | (14,035 | ) |
Swiss Franc,
Expiring 03/18/15 | | Credit Suisse International | | CHF | | | 441,500 | | | | 459,371 | | | | 444,674 | | | | (14,697 | ) |
Danish Krone,
Expiring 03/18/15 | | Credit Suisse International | | DKK | | | 193,000 | | | | 31,562 | | | | 31,380 | | | | (182 | ) |
Euro,
Expiring 03/18/15 | | CitiBank | | EUR | | | 1,205,500 | | | | 1,479,970 | | | | 1,459,684 | | | | (20,286 | ) |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | 1,251,500 | | | | 1,536,790 | | | | 1,515,384 | | | | (21,406 | ) |
| British Pound, Expiring 03/18/15 | | CitiBank | | GBP | | | 348,000 | | | | 543,776 | | | | 542,079 | | | | (1,697 | ) |
| British Pound, Expiring 03/18/15 | | Credit Suisse International | | GBP | | | 403,000 | | | | 630,436 | | | | 627,753 | | | | (2,683 | ) |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | 27,000 | | | | 3,482 | | | | 3,482 | | | | — | |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | 17,500,000 | | | | 70,379 | | | | 66,763 | | | | (3,616 | ) |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | 18,500,000 | | | | 74,411 | | | | 70,576 | | | | (3,835 | ) |
| Israeli Shekel, Expiring 03/18/15 | | CitiBank | | ILS | | | 370,000 | | | | 94,199 | | | | 94,885 | | | | 686 | |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | 370,000 | | | | 94,172 | | | | 94,885 | | | | 713 | |
| Indian Rupee, Expiring 03/18/15* | | CitiBank | | INR | | | 23,250,000 | | | | 368,650 | | | | 362,825 | | | | (5,825 | ) |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | 43,150,000 | | | | 677,800 | | | | 673,374 | | | | (4,426 | ) |
| Japanese Yen, Expiring 03/18/15 | | CitiBank | | JPY | | | 53,375,000 | | | | 445,518 | | | | 445,896 | | | | 378 | |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | 53,375,000 | | | | 445,495 | | | | 445,896 | | | | 401 | |
| Korean Won, Expiring 03/18/15* | | CitiBank | | KRW | | | 273,000,000 | | | | 245,931 | | | | 247,545 | | | | 1,614 | |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | 273,000,000 | | | | 245,928 | | | | 247,545 | | | | 1,617 | |
| Mexican Peso, Expiring 03/18/15 | | CitiBank | | MXN | | | 1,620,000 | | | | 109,897 | | | | 109,308 | | | | (589 | ) |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | 1,620,000 | | | | 109,956 | | | | 109,308 | | | | (648 | ) |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | 52,500 | | | | 7,029 | | | | 7,030 | | | | 1 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | 52,500 | | | | 7,029 | | | | 7,030 | | | | 1 | |
| New Zealand Dollar, Expiring 03/18/15 | | CitiBank | | NZD | | | 1,032,000 | | | | 792,691 | | | | 799,369 | | | | 6,678 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
247
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
PURCHASE
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
PURCHASED | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | 1,032,000 | | | | $ 792,626 | | | | $ 799,368 | | | | $ 6,742 | |
| Poland Zloty, Expiring 03/18/15 | | CitiBank | | PLN | | | 880,000 | | | | 260,432 | | | | 247,751 | | | | (12,681 | ) |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | 1,200,000 | | | | 350,046 | | | | 337,842 | | | | (12,204 | ) |
| Russian Ruble, Expiring 03/18/15* | | CitiBank | | RUB | | | 6,100,000 | | | | 113,402 | | | | 96,326 | | | | (17,076 | ) |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | 8,000,000 | | | | 150,457 | | | | 126,329 | | | | (24,128 | ) |
| Swedish Krona, Expiring 03/18/15 | | CitiBank | | SEK | | | 473,500 | | | | 62,257 | | | | 60,756 | | | | (1,501 | ) |
| Swedish Krona, Expiring 03/18/15 | | Credit Suisse International | | SEK | | | 473,500 | | | | 62,257 | | | | 60,756 | | | | (1,501 | ) |
| Singapore Dollar, Expiring 03/18/15 | | CitiBank | | SGD | | | 407,000 | | | | 310,973 | | | | 306,866 | | | | (4,107 | ) |
| Singapore Dollar, Expiring 03/18/15 | | Credit Suisse International | | SGD | | | 407,000 | | | | 310,867 | | | | 306,866 | | | | (4,001 | ) |
| Turkish Lira, Expiring 03/18/15 | | CitiBank | | TRY | | | 1,950,000 | | | | 851,562 | | | | 822,025 | | | | (29,537 | ) |
| Turkish Lira, Expiring 03/18/15 | | Credit Suisse International | | TRY | | | 3,690,000 | | | | 1,590,423 | | | | 1,555,521 | | | | (34,902 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | CitiBank | | TWD | | | 1,950,000 | | | | 62,681 | | | | 61,732 | | | | (949 | ) |
| Taiwanese Dollar, Expiring 03/18/15* | | Credit Suisse International | | TWD | | | 1,950,000 | | | | 62,679 | | | | 61,732 | | | | (947 | ) |
| South African Rand, Expiring 03/18/15 | | CitiBank | | ZAR | | | 2,520,000 | | | | 219,657 | | | | 215,281 | | | | (4,376 | ) |
| South African Rand, Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | 3,120,000 | | | | 270,810 | | | | 266,539 | | | | (4,271 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $19,248,212 | | | | $18,967,851 | | | | $(280,361 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Australian Dollar, Expiring 03/18/15 | | CitiBank | | AUD | | | (92,500 | ) | | | $(78,435 | ) | | | $(75,123 | ) | | | $3,312 | |
| Australian Dollar, Expiring 03/18/15 | | Credit Suisse International | | AUD | | | (92,500 | ) | | | (78,454 | ) | | | (75,123 | ) | | | 3,331 | |
| Brazilian Real, Expiring 03/18/15* | | CitiBank | | BRL | | | (865,000 | ) | | | (318,749 | ) | | | (319,025 | ) | | | (276 | ) |
| Brazilian Real, Expiring 03/18/15* | | Credit Suisse International | | BRL | | | (1,495,000 | ) | | | (547,011 | ) | | | (551,379 | ) | | | (4,368 | ) |
| Canadian Dollar, Expiring 03/18/15 | | CitiBank | | CAD | | | (235,500 | ) | | | (202,175 | ) | | | (202,381 | ) | | | (206 | ) |
| Canadian Dollar, Expiring 03/18/15 | | Credit Suisse International | | CAD | | | (235,500 | ) | | | (202,175 | ) | | | (202,381 | ) | | | (206 | ) |
| Swiss Franc, Expiring 03/18/15 | | CitiBank | | CHF | | | (3,470,500 | ) | | | (3,546,434 | ) | | | (3,495,447 | ) | | | 50,987 | |
| Swiss Franc, Expiring 03/18/15 | | Credit Suisse International | | CHF | | | (3,645,500 | ) | | | (3,723,498 | ) | | | (3,671,705 | ) | | | 51,793 | |
| Danish Krone, Expiring 03/18/15 | | CitiBank | | DKK | | | (222,000 | ) | | | (37,043 | ) | | | (36,095 | ) | | | 948 | |
| Danish Krone, Expiring 03/18/15 | | Credit Suisse International | | DKK | | | (335,000 | ) | | | (55,859 | ) | | | (54,468 | ) | | | 1,391 | |
| Euro, Expiring 03/18/15 | | CitiBank | | EUR | | | (184,000 | ) | | | (229,526 | ) | | | (222,796 | ) | | | 6,730 | |
| Euro, Expiring 03/18/15 | | Credit Suisse International | | EUR | | | (292,000 | ) | | | (360,867 | ) | | | (353,568 | ) | | | 7,299 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
248
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | | | | | | | | | |
SALES
CONTRACTS | | COUNTERPARTY | | CURRENCY | | CURRENCY
AMOUNT
SOLD | | | VALUE AT
SETTLEMENT
DATE | | | VALUE AT
DECEMBER 31,
2014 | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| British Pound, Expiring 03/18/15 | | CitiBank | | GBP | | | (100,500 | ) | | | $ (157,264 | ) | | | $ (156,548 | ) | | | $ 716 | |
| British Pound, Expiring 03/18/15 | | Credit Suisse International | | GBP | | | (100,500 | ) | | | (157,269 | ) | | | (156,548 | ) | | | 721 | |
| Hong Kong Dollar, Expiring 03/18/15 | | CitiBank | | HKD | | | (34,000 | ) | | | (4,385 | ) | | | (4,384 | ) | | | 1 | |
| Hong Kong Dollar, Expiring 03/18/15 | | Credit Suisse International | | HKD | | | (61,000 | ) | | | (7,866 | ) | | | (7,866 | ) | | | — | |
| Hungarian Forint, Expiring 03/18/15 | | CitiBank | | HUF | | | (7,000,000 | ) | | | (27,445 | ) | | | (26,707 | ) | | | 738 | |
| Hungarian Forint, Expiring 03/18/15 | | Credit Suisse International | | HUF | | | (7,000,000 | ) | | | (27,447 | ) | | | (26,707 | ) | | | 740 | |
| Israeli Shekel, Expiring 03/18/15 | | CitiBank | | ILS | | | (1,380,000 | ) | | | (348,432 | ) | | | (353,891 | ) | | | (5,459 | ) |
| Israeli Shekel, Expiring 03/18/15 | | Credit Suisse International | | ILS | | | (2,510,000 | ) | | | (636,142 | ) | | | (643,673 | ) | | | (7,531 | ) |
| Indian Rupee, Expiring 03/18/15* | | CitiBank | | INR | | | (2,550,000 | ) | | | (40,543 | ) | | | (39,794 | ) | | | 749 | |
| Indian Rupee, Expiring 03/18/15* | | Credit Suisse International | | INR | | | (2,550,000 | ) | | | (40,542 | ) | | | (39,794 | ) | | | 748 | |
| Japanese Yen, Expiring 03/18/15 | | CitiBank | | JPY | | | (56,716,000 | ) | | | (474,550 | ) | | | (473,806 | ) | | | 744 | |
| Japanese Yen, Expiring 03/18/15 | | Credit Suisse International | | JPY | | | (155,228,000 | ) | | | (1,296,006 | ) | | | (1,296,778 | ) | | | (772 | ) |
| Korean Won, Expiring 03/18/15* | | CitiBank | | KRW | | | (369,500,000 | ) | | | (332,763 | ) | | | (335,047 | ) | | | (2,284 | ) |
| Korean Won, Expiring 03/18/15* | | Credit Suisse International | | KRW | | | (369,500,000 | ) | | | (332,766 | ) | | | (335,047 | ) | | | (2,281 | ) |
| Mexican Peso, Expiring 03/18/15 | | CitiBank | | MXN | | | (8,965,000 | ) | | | (632,397 | ) | | | (604,909 | ) | | | 27,488 | |
| Mexican Peso, Expiring 03/18/15 | | Credit Suisse International | | MXN | | | (15,765,000 | ) | | | (1,092,192 | ) | | | (1,063,735 | ) | | | 28,457 | |
| Norwegian Krone, Expiring 03/18/15 | | CitiBank | | NOK | | | (6,871,000 | ) | | | (968,921 | ) | | | (920,017 | ) | | | 48,904 | |
| Norwegian Krone, Expiring 03/18/15 | | Credit Suisse International | | NOK | | | (7,993,000 | ) | | | (1,122,232 | ) | | | (1,070,251 | ) | | | 51,981 | |
| New Zealand Dollar, Expiring 03/18/15 | | CitiBank | | NZD | | | (132,000 | ) | | | (100,715 | ) | | | (102,244 | ) | | | (1,529 | ) |
| New Zealand Dollar, Expiring 03/18/15 | | Credit Suisse International | | NZD | | | (132,000 | ) | | | (100,747 | ) | | | (102,244 | ) | | | (1,497 | ) |
| Poland Zloty, Expiring 03/18/15 | | CitiBank | | PLN | | | (415,000 | ) | | | (121,452 | ) | | | (116,835 | ) | | | 4,617 | |
| Poland Zloty, Expiring 03/18/15 | | Credit Suisse International | | PLN | | | (415,000 | ) | | | (121,443 | ) | | | (116,837 | ) | | | 4,606 | |
| Russian Ruble, Expiring 03/18/15* | | CitiBank | | RUB | | | (7,050,000 | ) | | | (127,383 | ) | | | (111,327 | ) | | | 16,056 | |
| Russian Ruble, Expiring 03/18/15* | | Credit Suisse International | | RUB | | | (7,050,000 | ) | | | (127,394 | ) | | | (111,327 | ) | | | 16,067 | |
Swedish Krona,
Expiring 03/18/15 | | CitiBank | | SEK | | | (6,442,500 | ) | | | (857,182 | ) | | | (826,651 | ) | | | 30,531 | |
Swedish Krona,
Expiring 03/18/15 | | Credit Suisse International | | SEK | | | (7,520,500 | ) | | | (995,922 | ) | | | (964,973 | ) | | | 30,949 | |
Singapore Dollar,
Expiring 03/18/15 | | CitiBank | | SGD | | | (862,500 | ) | | | (656,341 | ) | | | (650,301 | ) | | | 6,040 | |
Singapore Dollar,
Expiring 03/18/15 | | Credit Suisse International | | SGD | | | (1,412,500 | ) | | | (1,070,475 | ) | | | (1,064,985 | ) | | | 5,490 | |
Turkish Lira,
Expiring 03/18/15 | | CitiBank | | TRY | | | (505,000 | ) | | | (212,813 | ) | | | (212,884 | ) | | | (71 | ) |
Turkish Lira,
Expiring 03/18/15 | | Credit Suisse International | | TRY | | | (505,000 | ) | | | (212,852 | ) | | | (212,884 | ) | | | (32 | ) |
South African Rand,
Expiring 03/18/15 | | CitiBank | | ZAR | | | (925,000 | ) | | | (79,485 | ) | | | (79,022 | ) | | | 463 | |
South African Rand,
Expiring 03/18/15 | | Credit Suisse International | | ZAR | | | (925,000 | ) | | | (79,491 | ) | | | (79,022 | ) | | | 469 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | (21,943,083 | ) | | | (21,566,529 | ) | | | 376,554 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | $(2,694,871 | ) | | | $(2,598,678 | ) | | | $96,193 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
249
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
Money Market Fund is pledged as collateral to CitiBank for forward foreign currency exchange contracts in the amount of $100,002 at December 31, 2014.
| * | Non-deliverable forward. (See Note 4). |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
Total Return Basket Swaps* Outstanding at December 31, 2014
Over the Counter
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | | 9 -12 months maturity ranging from
09/23/2015 - 01/04/2016 | | | $277,614 | |
| | | | | | | | |
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| Canada | | | | | |
| Domtar Corp. | | | 1,000 | | | $ | 40,010 | | | $ | 210 | |
| | | | | | | | | | | | |
| |
| Netherlands | | | | | |
| QIAGEN NV | | | 400 | | | | 9,525 | | | | (141 | ) |
| | | | | | | | | | | | |
| |
| Singapore | | | | | |
| Avago Technologies Ltd. | | | 400 | | | | 39,582 | | | | 654 | |
| Flextronics International Ltd. | | | 10,600 | | | | 118,985 | | | | (477 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 177 | |
| | | | | | | | | | | | |
| |
| Sweden | | | | | |
| Autoliv, Inc. | | | 300 | | | | 29,860 | | | | 1,976 | |
| | | | | | | | | | | | |
| |
| Switzerland | | | | | |
| Allied World Assurance Co. Holdings AG | | | 1,100 | | | | 40,975 | | | | 737 | |
| Garmin Ltd. | | | 1,000 | | | | 53,139 | | | | (309 | ) |
| TE Connectivity Ltd. | | | 1,600 | | | | 101,428 | | | | (228 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom | | | | |
| Aon PLC | | | 800 | | | $ | 72,719 | | | $ | 3,145 | |
| Delphi Automotive PLC | | | 1,900 | | | | 133,424 | | | | 4,744 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,889 | |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| 3M Co. | | | 300 | | | | 43,809 | | | | 5,487 | |
| AbbVie, Inc. | | | 800 | | | | 53,178 | | | | (826 | ) |
| Accenture PLC | | | 100 | | | | 8,052 | | | | 879 | |
| ACE Ltd. | | | 200 | | | | 21,413 | | | | 1,563 | |
| Actavis PLC | | | 300 | | | | 78,423 | | | | (1,200 | ) |
| Activision Blizzard, Inc. | | | 3,700 | | | | 76,771 | | | | (2,216 | ) |
| Acuity Brands, Inc. | | | 600 | | | | 84,207 | | | | (165 | ) |
| Advance Auto Parts, Inc. | | | 300 | | | | 44,716 | | | | 3,068 | |
| AECOM Technology Corp. | | | 600 | | | | 21,148 | | | | (2,926 | ) |
| Aetna, Inc. | | | 2,300 | | | | 200,270 | | | | 4,039 | |
| AGCO Corp. | | | 200 | | | | 9,286 | | | | (246 | ) |
| AGL Resources, Inc. | | | 800 | | | | 42,044 | | | | 1,564 | |
| Akamai Technologies, Inc. | | | 1,100 | | | | 70,089 | | | | (833 | ) |
| Alaska Air Group, Inc. | | | 2,100 | | | | 107,705 | | | | 17,791 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
250
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Alexion Pharmaceuticals, Inc. | | | 300 | | | $ | 57,410 | | | $ | (1,901 | ) |
| Alliant Techsystems, Inc. | | | 200 | | | | 27,438 | | | | (4,188 | ) |
| Allstate Corp./The | | | 1,100 | | | | 76,090 | | | | 1,185 | |
| Altria Group, Inc. | | | 700 | | | | 35,451 | | | | (962 | ) |
| Amdocs Ltd. | | | 800 | | | | 38,301 | | | | (977 | ) |
| AMERCO | | | 400 | | | | 109,449 | | | | 4,255 | |
| Ameren Corp. | | | 1,300 | | | | 49,725 | | | | 10,244 | |
| American Airlines Group, Inc. | | | 1,300 | | | | 67,923 | | | | 1,796 | |
| American Electric Power Co., Inc. | | | 3,400 | | | | 193,005 | | | | 13,443 | |
| American Express Co. | | | 300 | | | | 27,547 | | | | 365 | |
| American Financial Group, Inc. | | | 1,300 | | | | 78,486 | | | | 450 | |
| American Water Works Co., Inc. | | | 100 | | | | 4,914 | | | | 416 | |
| Ameriprise Financial, Inc. | | | 1,400 | | | | 184,338 | | | | 812 | |
| AmerisourceBergen Corp. | | | 700 | | | | 62,742 | | | | 370 | |
| Amgen, Inc. | | | 1,100 | | | | 168,803 | | | | 6,416 | |
| ANN, Inc. | | | 400 | | | | 16,548 | | | | (1,956 | ) |
| Anthem, Inc. | | | 1,900 | | | | 236,520 | | | | 2,253 | |
| Apollo Education Group, Inc. | | | 1,400 | | | | 37,273 | | | | 10,481 | |
| Apple, Inc. | | | 1,100 | | | | 122,246 | | | | (828 | ) |
| AptarGroup, Inc. | | | 100 | | | | 6,204 | | | | 480 | |
| Archer-Daniels-Midland Co. | | | 2,800 | | | | 146,976 | | | | (1,376 | ) |
| ARRIS Group, Inc. | | | 3,400 | | | | 103,499 | | | | (853 | ) |
| Arrow Electronics, Inc. | | | 600 | | | | 36,738 | | | | (2,004 | ) |
| Ascena Retail Group, Inc. | | | 1,900 | | | | 26,953 | | | | (3,089 | ) |
| Aspen Insurance Holdings Ltd. | | | 700 | | | | 30,517 | | | | 122 | |
| Associated Banc-Corp. | | | 300 | | | | 5,564 | | | | 25 | |
| Assurant, Inc. | | | 500 | | | | 32,817 | | | | 1,398 | |
| AT&T, Inc. | | | 400 | | | | 14,057 | | | | (621 | ) |
| Atmos Energy Corp. | | | 900 | | | | 46,825 | | | | 3,341 | |
| AutoNation, Inc. | | | 1,000 | | | | 58,410 | | | | 2,000 | |
| AutoZone, Inc. | | | 200 | | | | 115,544 | | | | 8,278 | |
| Avnet, Inc. | | | 300 | | | | 13,302 | | | | (396 | ) |
| Axis Capital Holdings Co. | | | 200 | | | | 9,649 | | | | 569 | |
| Ball Corp. | | | 800 | | | | 52,472 | | | | 2,064 | |
| Bank of New York Mellon Corp./The | | | 100 | | | | 4,071 | | | | (14 | ) |
| Baxter International, Inc. | | | 300 | | | | 21,809 | | | | 178 | |
| BB&T Corp. | | | 1,000 | | | | 38,890 | | | | — | |
| Becton Dickinson and Co. | | | 400 | | | | 45,985 | | | | 9,679 | |
| Bed Bath & Beyond, Inc. | | | 200 | | | | 12,873 | | | | 2,361 | |
| Bemis Co., Inc. | | | 100 | | | | 3,902 | | | | 619 | |
| Big Lots, Inc. | | | 2,500 | | | | 100,346 | | | | (296 | ) |
| Bill Barrett Corp. | | | 500 | | | | 5,855 | | | | (160 | ) |
| Biogen Idec, Inc. | | | 200 | | | | 65,407 | | | | 2,483 | |
| Bio-Techne Corp. | | | 100 | | | | 9,403 | | | | (163 | ) |
| BlackRock, Inc. | | | 100 | | | | 36,379 | | | | (623 | ) |
| Booz Allen Hamilton Holding Corp. | | | 2,800 | | | | 73,089 | | | | 1,195 | |
| Brinker International, Inc. | | | 100 | | | | 5,701 | | | | 168 | |
| Broadcom Corp. | | | 1,500 | | | | 63,588 | | | | 1,407 | |
| Broadridge Financial Solutions, Inc. | | | 1,600 | | | | 69,861 | | | | 4,027 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Brocade Communications Systems, Inc. | | | 13,600 | | | $ | 154,151 | | | $ | 6,873 | |
| Bunge Ltd. | | | 600 | | | | 54,679 | | | | (133 | ) |
| CA, Inc. | | | 1,200 | | | | 34,539 | | | | 2,001 | |
| Cablevision Systems Corp. | | | 4,600 | | | | 92,475 | | | | 2,469 | |
| Cabot Corp. | | | 300 | | | | 16,595 | | | | (3,437 | ) |
| Capital One Financial Corp. | | | 2,400 | | | | 200,559 | | | | (2,439 | ) |
| Cardinal Health, Inc. | | | 900 | | | | 68,499 | | | | 4,158 | |
| Carlisle Cos., Inc. | | | 100 | | | | 9,143 | | | | (119 | ) |
| Carnival Corp. | | | 1,200 | | | | 55,054 | | | | (658 | ) |
| Caterpillar, Inc. | | | 1,100 | | | | 106,396 | | | | (5,713 | ) |
| Celanese Corp. | | | 500 | | | | 30,529 | | | | (549 | ) |
| Celgene Corp. | | | 200 | | | | 18,579 | | | | 3,793 | |
| Centene Corp. | | | 700 | | | | 68,945 | | | | 3,750 | |
| CenturyLink, Inc. | | | 1,300 | | | | 52,597 | | | | (1,143 | ) |
| Charles River Laboratories International, Inc. | | | 800 | | | | 48,683 | | | | 2,229 | |
| Chesapeake Energy Corp. | | | 700 | | | | 17,398 | | | | (3,699 | ) |
| Chevron Corp. | | | 800 | | | | 96,209 | | | | (6,465 | ) |
| Cigna Corp. | | | 200 | | | | 18,991 | | | | 1,591 | |
| Cinemark Holdings, Inc. | | | 1,600 | | | | 56,758 | | | | 170 | |
| Cintas Corp. | | | 700 | | | | 50,795 | | | | 4,113 | |
| Cisco Systems, Inc. | | | 4,700 | | | | 128,165 | | | | 2,566 | |
| CMS Energy Corp. | | | 100 | | | | 2,944 | | | | 531 | |
| Coca-Cola Enterprises, Inc. | | | 100 | | | | 4,585 | | | | (163 | ) |
| Commercial Metals Co. | | | 1,700 | | | | 30,716 | | | | (3,023 | ) |
| Compass Minerals International, Inc. | | | 100 | | | | 8,466 | | | | 217 | |
| Computer Sciences Corp. | | | 1,700 | | | | 105,949 | | | | 1,236 | |
| ConocoPhillips | | | 2,100 | | | | 155,739 | | | | (10,713 | ) |
| Consolidated Edison, Inc. | | | 1,300 | | | | 76,062 | | | | 9,751 | |
| Convergys Corp. | | | 2,400 | | | | 48,571 | | | | 317 | |
| Corning, Inc. | | | 3,300 | | | | 71,632 | | | | 4,037 | |
| CR Bard, Inc. | | | 500 | | | | 75,592 | | | | 7,718 | |
| Crane Co. | | | 100 | | | | 6,827 | | | | (957 | ) |
| Crown Holdings, Inc. | | | 600 | | | | 31,105 | | | | (565 | ) |
| CST Brands, Inc. | | | 900 | | | | 38,969 | | | | 280 | |
| CSX Corp. | | | 1,300 | | | | 45,950 | | | | 1,149 | |
| Cummins, Inc. | | | 400 | | | | 57,290 | | | | 378 | |
| CVR Energy, Inc. | | | 200 | | | | 7,970 | | | | (228 | ) |
| CVS Caremark Corp. | | | 1,700 | | | | 149,661 | | | | 14,066 | |
| Cytec Industries, Inc. | | | 200 | | | | 10,069 | | | | (835 | ) |
| Deckers Outdoor Corp. | | | 1,100 | | | | 104,691 | | | | (4,547 | ) |
| Delta Air Lines, Inc. | | | 3,300 | | | | 139,346 | | | | 22,981 | |
| Deluxe Corp. | | | 1,400 | | | | 86,451 | | | | 699 | |
| Devon Energy Corp. | | | 1,500 | | | | 96,316 | | | | (4,501 | ) |
| DeVry, Inc. | | | 900 | | | | 43,865 | | | | (1,142 | ) |
| Dillard’s, Inc. | | | 400 | | | | 48,170 | | | | 1,902 | |
| Discover Financial Services | | | 2,100 | | | | 138,448 | | | | (919 | ) |
| DISH Network Corp. | | | 100 | | | | 7,293 | | | | (4 | ) |
| Dolby Laboratories, Inc. | | | 800 | | | | 34,948 | | | | (452 | ) |
| Dollar General Corp. | | | 200 | | | | 13,779 | | | | 361 | |
| Dollar Tree, Inc. | | | 100 | | | | 5,702 | | | | 1,336 | |
| Dover Corp. | | | 300 | | | | 25,633 | | | | (4,117 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
251
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Dow Chemical Co./The | | | 1,600 | | | $ | 77,386 | | | $ | (4,410 | ) |
| DR Horton, Inc. | | | 600 | | | | 14,956 | | | | 218 | |
| Dr Pepper Snapple Group, Inc. | | | 2,300 | | | | 156,338 | | | | 8,526 | |
| DST Systems, Inc. | | | 900 | | | | 82,442 | | | | 2,293 | |
| DTE Energy Co. | | | 800 | | | | 60,606 | | | | 8,490 | |
| Dun & Bradstreet Corp./The | | | 100 | | | | 11,721 | | | | 375 | |
| Eastman Chemical Co. | | | 200 | | | | 15,377 | | | | (205 | ) |
| eBay, Inc. | | | 1,700 | | | | 95,650 | | | | (246 | ) |
| EchoStar Corp. | | | 200 | | | | 10,502 | | | | (2 | ) |
| Edison International | | | 900 | | | | 55,224 | | | | 3,708 | |
| Edwards Lifesciences Corp. | | | 200 | | | | 23,357 | | | | 2,119 | |
| EI du Pont de Nemours & Co. | | | 200 | | | | 14,711 | | | | 77 | |
| Electronic Arts, Inc. | | | 1,100 | | | | 45,559 | | | | 6,157 | |
| Eli Lilly & Co. | | | 1,700 | | | | 118,267 | | | | (984 | ) |
| EMC Corp. | | | 3,800 | | | | 115,230 | | | | (2,218 | ) |
| Endurance Specialty Holdings Ltd. | | | 400 | | | | 22,923 | | | | 1,013 | |
| Energizer Holdings, Inc. | | | 600 | | | | 77,542 | | | | (406 | ) |
| Entergy Corp. | | | 1,800 | | | | 147,196 | | | | 10,268 | |
| EOG Resources, Inc. | | | 400 | | | | 39,532 | | | | (2,704 | ) |
| Equifax, Inc. | | | 200 | | | | 15,560 | | | | 614 | |
| Everest Re Group Ltd. | | | 500 | | | | 82,094 | | | | 3,056 | |
| Exelon Corp. | | | 3,000 | | | | 109,342 | | | | 1,898 | |
| Expedia, Inc. | | | 1,600 | | | | 140,406 | | | | (3,830 | ) |
| Express Scripts PLC | | | 200 | | | | 14,901 | | | | 2,033 | |
| Exxon Mobil Corp. | | | 600 | | | | 56,836 | | | | (1,366 | ) |
| FedEx Corp. | | | 400 | | | | 66,999 | | | | 2,465 | |
| Fidelity National Information Services, Inc. | | | 600 | | | | 34,854 | | | | 2,466 | |
| Fifth Third BanCorp. | | | 300 | | | | 6,315 | | | | (203 | ) |
| Fiserv, Inc. | | | 1,300 | | | | 91,269 | | | | 992 | |
| Fluor Corp. | | | 100 | | | | 7,012 | | | | (949 | ) |
| Foot Locker, Inc. | | | 4,500 | | | | 254,664 | | | | (1,854 | ) |
| Ford Motor Co. | | | 100 | | | | 1,564 | | | | (14 | ) |
| Franklin Resources, Inc. | | | 200 | | | | 11,316 | | | | (242 | ) |
| Freeport-McMoRan, Inc. | | | 800 | | | | 27,505 | | | | (8,817 | ) |
| Frontier Communications Corp. | | | 1,800 | | | | 12,264 | | | | (258 | ) |
| GameStop Corp. | | | 100 | | | | 4,398 | | | | (1,018 | ) |
| Gannett Co., Inc. | | | 3,800 | | | | 122,867 | | | | (1,533 | ) |
| Gap, Inc./The | | | 1,600 | | | | 67,909 | | | | (533 | ) |
| Gartner, Inc. | | | 300 | | | | 25,606 | | | | (343 | ) |
| GATX Corp. | | | 400 | | | | 24,515 | | | | (1,499 | ) |
| General Dynamics Corp. | | | 1,200 | | | | 168,458 | | | | (3,314 | ) |
| General Mills, Inc. | | | 200 | | | | 10,168 | | | | 498 | |
| Genuine Parts Co. | | | 600 | | | | 60,630 | | | | 3,312 | |
| Gilead Sciences, Inc. | | | 1,600 | | | | 164,152 | | | | (13,336 | ) |
| Google, Inc. | | | 100 | | | | 59,605 | | | | (6,539 | ) |
| Graham Holdings Co. | | | 200 | | | | 161,883 | | | | 10,859 | |
| H&R Block, Inc. | | | 600 | | | | 19,331 | | | | 877 | |
| Halliburton Co. | | | 2,700 | | | | 116,171 | | | | (9,980 | ) |
| Hanesbrands, Inc. | | | 200 | | | | 22,452 | | | | (128 | ) |
| Hanover Insurance Group, Inc./The | | | 200 | | | | 13,434 | | | | 830 | |
| Harman International Industries, Inc. | | | 100 | | | | 10,895 | | | | (224 | ) |
| Harris Corp. | | | 600 | | | | 42,067 | | | | 1,025 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Hasbro, Inc. | | | 100 | | | $ | 5,610 | | | $ | (111 | ) |
| HCA Holdings, Inc. | | | 2,000 | | | | 146,502 | | | | 278 | |
| HCC Insurance Holdings, Inc. | | | 500 | | | | 27,272 | | | | (512 | ) |
| Health Net, Inc. | | | 2,200 | | | | 111,754 | | | | 6,012 | |
| Helix Energy Solutions Group, Inc. | | | 5,600 | | | | 122,140 | | | | (620 | ) |
| Helmerich & Payne, Inc. | | | 1,100 | | | | 89,538 | | | | (15,376 | ) |
| Herman Miller, Inc. | | | 800 | | | | 23,837 | | | | (293 | ) |
| Hess Corp. | | | 1,700 | | | | 139,242 | | | | (13,748 | ) |
| Hewlett-Packard Co. | | | 4,100 | | | | 158,920 | | | | 5,613 | |
| Home Depot, Inc./The | | | 400 | | | | 38,086 | | | | 3,902 | |
| Honeywell International, Inc. | | | 300 | | | | 28,822 | | | | 1,154 | |
| Hormel Foods Corp. | | | 700 | | | | 36,574 | | | | (104 | ) |
| Hospira, Inc. | | | 200 | | | | 11,894 | | | | 356 | |
| Howard Hughes Corp./The | | | 100 | | | | 15,177 | | | | (2,135 | ) |
| Humana, Inc. | | | 900 | | | | 123,868 | | | | 5,399 | |
| Huntington Ingalls Industries, Inc. | | | 1,200 | | | | 135,282 | | | | (330 | ) |
| IAC/InterActiveCorp. | | | 900 | | | | 59,343 | | | | (4,632 | ) |
| Illinois Tool Works, Inc. | | | 100 | | | | 8,885 | | | | 585 | |
| Ingram Micro, Inc. | | | 1,400 | | | | 39,250 | | | | (554 | ) |
| Ingredion, Inc. | | | 600 | | | | 49,905 | | | | 999 | |
| Intel Corp. | | | 4,700 | | | | 169,809 | | | | 754 | |
| InterDigital, Inc. | | | 1,000 | | | | 54,520 | | | | (1,620 | ) |
| International Business Machines Corp. | | | 200 | | | | 38,711 | | | | (6,623 | ) |
| International Flavors & Fragrances, Inc. | | | 100 | | | | 10,016 | | | | 120 | |
| International Paper Co. | | | 500 | | | | 27,253 | | | | (463 | ) |
| Interpublic Group of Cos., Inc./The | | | 100 | | | | 1,876 | | | | 201 | |
| ITT Corp. | | | 500 | | | | 24,074 | | | | (3,844 | ) |
| Jabil Circuit, Inc. | | | 2,800 | | | | 61,569 | | | | (445 | ) |
| Jacobs Engineering Group, Inc. | | | 200 | | | | 8,904 | | | | 34 | |
| Jarden Corp. | | | 150 | | | | 6,143 | | | | 1,039 | |
| JetBlue Airways Corp. | | | 900 | | | | 12,353 | | | | 1,921 | |
| JM Smucker Co./The | | | 100 | | | | 9,968 | | | | 130 | |
| Johnson & Johnson | | | 1,000 | | | | 106,380 | | | | (1,810 | ) |
| Johnson Controls, Inc. | | | 200 | | | | 9,326 | | | | 342 | |
| JPMorgan Chase & Co. | | | 1,000 | | | | 62,088 | | | | 492 | |
| Juniper Networks, Inc. | | | 800 | | | | 18,285 | | | | (429 | ) |
| Kellogg Co. | | | 300 | �� | | | 18,798 | | | | 834 | |
| Kimberly-Clark Corp. | | | 1,000 | | | | 106,857 | | | | 8,683 | |
| KLA-Tencor Corp. | | | 200 | | | | 16,064 | | | | (2,000 | ) |
| Kohl’s Corp. | | | 600 | | | | 37,544 | | | | (920 | ) |
| L-3 Communications Holdings, Inc. | | | 100 | | | | 11,584 | | | | 1,037 | |
| Lam Research Corp. | | | 1,100 | | | | 86,923 | | | | 351 | |
| Landstar System, Inc. | | | 500 | | | | 37,145 | | | | (880 | ) |
| Lear Corp. | | | 1,100 | | | | 109,386 | | | | (1,498 | ) |
| Legg Mason, Inc. | | | 300 | | | | 15,699 | | | | 312 | |
| Lennar Corp. | | | 600 | | | | 26,840 | | | | 46 | |
| Lexmark International, Inc. | | | 3,800 | | | | 168,523 | | | | (11,697 | ) |
| LifePoint Hospitals, Inc. | | | 1,000 | | | | 73,997 | | | | (2,087 | ) |
| Lincoln National Corp. | | | 400 | | | | 22,891 | | | | 177 | |
| Lockheed Martin Corp. | | | 800 | | | | 146,967 | | | | 7,089 | |
| Loews Corp. | | | 500 | | | | 21,485 | | | | (475 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
252
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Lowe’s Cos., Inc. | | | 1,300 | | | $ | 84,939 | | | $ | 4,501 | |
| LyondellBasell Industries NV | | | 500 | | | | 53,453 | | | | (13,758 | ) |
| M&T Bank Corp. | | | 100 | | | | 12,741 | | | | (179 | ) |
| Mallinckrodt PLC | | | 1,200 | | | | 114,792 | | | | 4,044 | |
| ManpowerGroup, Inc. | | | 200 | | | | 15,185 | | | | (1,551 | ) |
| Marathon Oil Corp. | | | 1,500 | | | | 56,094 | | | | (13,659 | ) |
| Marathon Petroleum Corp. | | | 100 | | | | 8,858 | | | | 168 | |
| Marriott International, Inc. | | | 200 | | | | 15,564 | | | | 42 | |
| Marsh & McLennan Cos., Inc. | | | 1,500 | | | | 84,110 | | | | 1,750 | |
| Marvell Technology Group Ltd. | | | 1,100 | | | | 15,290 | | | | 660 | |
| McGraw Hill Financial, Inc. | | | 200 | | | | 17,310 | | | | 486 | |
| McKesson Corp. | | | 300 | | | | 58,843 | | | | 3,431 | |
| MeadWestvaco Corp. | | | 100 | | | | 4,504 | | | | (65 | ) |
| Medivation, Inc. | | | 200 | | | | 20,053 | | | | (131 | ) |
| Medtronic, Inc. | | | 1,000 | | | | 69,275 | | | | 2,925 | |
| Mentor Graphics Corp. | | | 400 | | | | 8,856 | | | | (88 | ) |
| Merck & Co., Inc. | | | 1,300 | | | | 76,751 | | | | (2,924 | ) |
| Microchip Technology, Inc. | | | 100 | | | | 4,893 | | | | (382 | ) |
| Micron Technology, Inc. | | | 4,400 | | | | 150,298 | | | | 3,746 | |
| Microsoft Corp. | | | 1,400 | | | | 66,034 | | | | (1,004 | ) |
| Mondelez International, Inc. | | | 400 | | | | 14,221 | | | | 309 | |
| Monster Beverage Corp. | | | 200 | | | | 21,654 | | | | 16 | |
| Moody’s Corp. | | | 400 | | | | 38,704 | | | | (380 | ) |
| Murphy Oil Corp. | | | 900 | | | | 49,824 | | | | (4,356 | ) |
| Murphy USA, Inc. | | | 1,700 | | | | 104,080 | | | | 12,982 | |
| Mylan, Inc. | | | 800 | | | | 46,362 | | | | (1,266 | ) |
| Myriad Genetics, Inc. | | | 1,600 | | | | 59,915 | | | | (5,419 | ) |
| National Oilwell Varco, Inc. | | | 1,700 | | | | 124,404 | | | | (13,003 | ) |
| Navient Corp. | | | 9,900 | | | | 209,101 | | | | 4,838 | |
| NetApp, Inc. | | | 500 | | | | 21,708 | | | | (983 | ) |
| New York Community Bancorp., Inc. | | | 1,600 | | | | 26,321 | | | | (721 | ) |
| Newfield Exploration Co. | | | 1,700 | | | | 45,749 | | | | 355 | |
| NextEra Energy, Inc. | | | 100 | | | | 9,502 | | | | 1,127 | |
| Nordstrom, Inc. | | | 400 | | | | 29,714 | | | | 2,042 | |
| Norfolk Southern Corp. | | | 1,100 | | | | 123,062 | | | | (2,491 | ) |
| Northrop Grumman Corp. | | | 1,200 | | | | 166,423 | | | | 10,445 | |
| Norwegian Cruise Line Holdings Ltd. | | | 800 | | | | 35,274 | | | | 2,134 | |
| Nucor Corp. | | | 800 | | | | 39,516 | | | | (276 | ) |
| NVIDIA Corp. | | | 1,400 | | | | 29,061 | | | | (991 | ) |
| Occidental Petroleum Corp. | | | 400 | | | | 27,969 | | | | 4,275 | |
| Oil States International, Inc. | | | 100 | | | | 6,290 | | | | (1,400 | ) |
| Omnicom Group, Inc. | | | 300 | | | | 21,190 | | | | 2,051 | |
| ON Semiconductor Corp. | | | 900 | | | | 8,855 | | | | 262 | |
| Oracle Corp. | | | 1,200 | | | | 49,944 | | | | 4,020 | |
| O’Reilly Automotive, Inc. | | | 400 | | | | 69,944 | | | | 7,104 | |
| PACCAR, Inc. | | | 400 | | | | 27,964 | | | | (760 | ) |
| Packaging Corp. of America | | | 500 | | | | 38,967 | | | | 58 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Parker-Hannifin Corp. | | | 200 | | | $ | 23,399 | | | $ | 2,391 | |
| PartnerRe Ltd. | | | 1,600 | | | | 182,738 | | | | (130 | ) |
| Patterson Cos., Inc. | | | 100 | | | | 4,093 | | | | 717 | |
| Penske Automotive Group, Inc. | | | 400 | | | | 17,711 | | | | 1,917 | |
| People’s United Financial, Inc. | | | 1,000 | | | | 15,019 | | | | 161 | |
| PepsiCo, Inc. | | | 600 | | | | 57,217 | | | | (481 | ) |
| Pfizer, Inc. | | | 2,000 | | | | 61,351 | | | | 949 | |
| PG&E Corp. | | | 2,500 | | | | 133,826 | | | | (726 | ) |
| Phillips 66 | | | 700 | | | | 60,169 | | | | (9,979 | ) |
| Pilgrim’s Pride Corp. | | | 4,400 | | | | 147,864 | | | | (3,588 | ) |
| Pinnacle Foods, Inc. | | | 1,000 | | | | 35,305 | | | | (5 | ) |
| Pinnacle West Capital Corp. | | | 200 | | | | 13,641 | | | | 21 | |
| PNC Financial Services Group, Inc./The | | | 1,900 | | | | 171,256 | | | | 2,081 | |
| Polycom, Inc. | | | 3,100 | | | | 41,397 | | | | 453 | |
| PPG Industries, Inc. | | | 200 | | | | 40,706 | | | | 5,524 | |
| PTC, Inc. | | | 600 | | | | 22,829 | | | | (839 | ) |
| Public Service Enterprise Group, Inc. | | | 3,300 | | | | 136,447 | | | | 206 | |
| Pulte Group, Inc. | | | 2,900 | | | | 58,717 | | | | 3,517 | |
| Quanta Services, Inc. | | | 1,200 | | | | 35,866 | | | | (1,797 | ) |
| Rackspace Hosting, Inc. | | | 600 | | | | 28,962 | | | | (876 | ) |
| Raytheon Co. | | | 1,100 | | | | 115,708 | | | | 3,279 | |
| Regal Entertainment Group | | | 1,300 | | | | 26,686 | | | | 1,082 | |
| Reinsurance Group of America, Inc. | | | 2,500 | | | | 215,823 | | | | 3,227 | |
| Reliance Steel & Aluminum Co. | | | 1,100 | | | | 73,738 | | | | (6,341 | ) |
| RenaissanceRe Holdings Ltd. | | | 100 | | | | 10,197 | | | | (475 | ) |
| Republic Services, Inc. | | | 1,800 | | | | 72,590 | | | | (140 | ) |
| Reynolds American, Inc. | | | 1,200 | | | | 73,012 | | | | 4,112 | |
| RF Micro Devices, Inc. | | | 1,100 | | | | 14,079 | | | | 4,170 | |
| Rock-Tenn Co. | | | 600 | | | | 36,068 | | | | 520 | |
| Ross Stores, Inc. | | | 400 | | | | 32,058 | | | | 5,646 | |
| Rovi Corp. | | | 1,100 | | | | 24,000 | | | | 849 | |
| Royal Caribbean Cruises Ltd. | | | 400 | | | | 28,737 | | | | 4,235 | |
| RR Donnelley & Sons Co. | | | 200 | | | | 3,432 | | | | (71 | ) |
| Ryder System, Inc. | | | 1,300 | | | | 121,562 | | | | (857 | ) |
| SCANA Corp. | | | 200 | | | | 9,998 | | | | 2,082 | |
| Seagate Technology PLC | | | 200 | | | | 11,894 | | | | 1,406 | |
| SEI Investments Co. | | | 800 | | | | 31,000 | | | | 1,032 | |
| Sensient Technologies Corp. | | | 100 | | | | 5,539 | | | | 495 | |
| Sherwin-Williams Co./The | | | 200 | | | | 51,259 | | | | 1,349 | |
| Silgan Holdings, Inc. | | | 500 | | | | 26,083 | | | | 717 | |
| Skyworks Solutions, Inc. | | | 800 | | | | 48,342 | | | | 9,826 | |
| SM Energy Co. | | | 800 | | | | 45,328 | | | | (14,464 | ) |
| Snap-on, Inc. | | | 600 | | | | 81,709 | | | | 335 | |
| Southern Co./The | | | 400 | | | | 18,219 | | | | 1,425 | |
| Southwest Airlines Co. | | | 2,700 | | | | 98,205 | | | | 16,059 | |
| Spectra Energy Corp. | | | 500 | | | | 18,867 | | | | (717 | ) |
| Spectrum Brands Holdings, Inc. | | | 900 | | | | 86,076 | | | | 36 | |
| Spirit AeroSystems Holdings, Inc. | | | 100 | | | | 4,342 | | | | (38 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
253
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| SPX Corp. | | | 300 | | | $ | 30,234 | | | $ | (4,458 | ) |
| Steel Dynamics, Inc. | | | 4,700 | | | | 98,351 | | | | (5,573 | ) |
| STERIS Corp. | | | 500 | | | | 31,259 | | | | 1,166 | |
| SunTrust Banks, Inc. | | | 100 | | | | 4,018 | | | | 172 | |
| Superior Energy Services, Inc. | | | 900 | | | | 17,491 | | | | 644 | |
| SUPERVALU, Inc. | | | 1,000 | | | | 9,716 | | | | (16 | ) |
| Symantec Corp. | | | 1,200 | | | | 30,841 | | | | (55 | ) |
| Synopsys, Inc. | | | 800 | | | | 33,995 | | | | 781 | |
| Sysco Corp. | | | 300 | | | | 11,393 | | | | 514 | |
| Targa Resources Corp. | | | 100 | | | | 10,813 | | | | (208 | ) |
| Tech Data Corp. | | | 900 | | | | 59,000 | | | | (2,093 | ) |
| Teleflex, Inc. | | | 800 | | | | 90,433 | | | | 1,423 | |
| Teradyne, Inc. | | | 100 | | | | 2,080 | | | | (101 | ) |
| Texas Instruments, Inc. | | | 200 | | | | 9,784 | | | | 909 | |
| Textron, Inc. | | | 1,400 | | | | 58,742 | | | | 212 | |
| Time Warner, Inc. | | | 500 | | | | 38,716 | | | | 3,994 | |
| Total System Services, Inc. | | | 400 | | | | 12,694 | | | | 890 | |
| Travelers Cos., Inc./The | | | 1,400 | | | | 143,057 | | | | 5,133 | |
| Tupperware Brands Corp. | | | 100 | | | | 7,315 | | | | (1,015 | ) |
| Tyco International PLC | | | 100 | | | | 4,480 | | | | (94 | ) |
| Tyson Foods, Inc. | | | 2,300 | | | | 90,953 | | | | 1,254 | |
| UGI Corp. | | | 2,900 | | | | 110,656 | | | | (514 | ) |
| Ultra Petroleum Corp. | | | 600 | | | | 14,929 | | | | (7,033 | ) |
| Union Pacific Corp. | | | 1,600 | | | | 186,958 | | | | 3,650 | |
| Unit Corp. | | | 2,700 | | | | 113,116 | | | | (21,046 | ) |
| United Parcel Service, Inc. | | | 200 | | | | 19,934 | | | | 2,300 | |
| United Rentals, Inc. | | | 400 | | | | 43,612 | | | | (2,808 | ) |
| United States Steel Corp. | | | 6,500 | | | | 202,992 | | | | (29,182 | ) |
| United Technologies Corp. | | | 300 | | | | 32,538 | | | | 1,962 | |
| United Therapeutics Corp. | | | 600 | | | | 77,632 | | | | 62 | |
| UnitedHealth Group, Inc. | | | 1,800 | | | | 173,191 | | | | 8,771 | |
| Unum Group | | | 1,300 | | | | 47,293 | | | | (1,949 | ) |
| US Bancorp. | | | 1,000 | | | | 43,040 | | | | 1,910 | |
| Valero Energy Corp. | | | 1,400 | | | | 67,797 | | | | 1,503 | |
| Validus Holdings Ltd. | | | 300 | | | | 11,834 | | | | 634 | |
| Valmont Industries, Inc. | | | 200 | | | | 27,523 | | | | (2,123 | ) |
| Valspar Corp./The | | | 300 | | | | 25,976 | | | | (32 | ) |
| Vectren Corp. | | | 900 | | | | 39,414 | | | | 2,193 | |
| VeriSign, Inc. | | | 1,300 | | | | 75,034 | | | | (934 | ) |
| Verizon Communications, Inc. | | | 300 | | | | 14,876 | | | | (842 | ) |
| VF Corp. | | | 100 | | | | 6,652 | | | | 838 | |
| Vishay Intertechnology, Inc. | | | 200 | | | | 3,125 | | | | (295 | ) |
| WABCO Holdings, Inc. | | | 200 | | | | 18,755 | | | | 2,201 | |
| Walgreens Boots Alliance, Inc. | | | 100 | | | | 6,308 | | | | 1,312 | |
| Wal-Mart Stores, Inc. | | | 100 | | | | 7,631 | | | | 957 | |
| Walt Disney Co./The | | | 500 | | | | 45,955 | | | | 1,140 | |
| Wells Fargo & Co. | | | 2,500 | | | | 135,235 | | | | 1,815 | |
| Werner Enterprises, Inc. | | | 500 | | | | 12,752 | | | | 2,823 | |
| Westar Energy, Inc. | | | 1,400 | | | | 55,706 | | | | 2,030 | |
| Western Digital Corp. | | | 1,000 | | | | 103,335 | | | | 7,365 | |
| Whirlpool Corp. | | | 200 | | | | 37,780 | | | | 968 | |
| Whiting Petroleum Corp. | | | 400 | | | | 33,112 | | | | (19,912 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| World Fuel Services Corp. | | | 2,100 | | | $ | 97,709 | | | $ | 844 | |
| Worthington Industries, Inc. | | | 700 | | | | 24,915 | | | | (3,852 | ) |
| WR Berkley Corp. | | | 400 | | | | 20,786 | | | | (282 | ) |
| Wyndham Worldwide Corp. | | | 200 | | | | 16,386 | | | | 766 | |
| Xcel Energy, Inc. | | | 800 | | | | 26,255 | | | | 2,481 | |
| Yahoo!, Inc. | | | 1,200 | | | | 60,266 | | | | 346 | |
| Zebra Technologies Corp. | | | 100 | | | | 7,551 | | | | 190 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 132,286 | |
| | | | | | | | | | | | |
Total of Long Equity
Positions | | | | | | | | 142,597 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| Canada | | | | | | | | | | | | |
| lululemon athletica, Inc. | | | (400 | ) | | | (19,489 | ) | | | (2,827 | ) |
| | | | | | | | | | | | |
| |
| Ireland | | | | |
| Allegion PLC | | | (700 | ) | | | (35,486 | ) | | | (3,336 | ) |
| Endo International PLC | | | (3,400 | ) | | | (241,072 | ) | | | (4,136 | ) |
| Jazz Pharmaceuticals PLC | | | (400 | ) | | | (66,859 | ) | | | 1,367 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (6,105 | ) |
| | | | | | | | | | | | |
| Netherlands | | | | | | | | | |
| Chicago Bridge & Iron Co. NV | | | (900 | ) | | | (43,196 | ) | | | 5,414 | |
| Core Laboratories NV | | | (1,300 | ) | | | (159,975 | ) | | | 3,533 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,947 | |
| | | | | | | | | | | | |
| Norway | | | | | | | | | |
| Golar LNG Ltd. | | | (900 | ) | | | (53,178 | ) | | | 20,355 | |
| | | | | | | | | | | | |
| | | |
| Switzerland | | | | | | | | | | | | |
| Weatherford International PLC | | | (2,100 | ) | | | (46,914 | ) | | | 22,869 | |
| | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Ensco PLC | | | (200 | ) | | | (7,644 | ) | | | 1,654 | |
| Liberty Global PLC | | | (1,000 | ) | | | (48,098 | ) | | | (2,107 | ) |
| Noble Corp. PLC | | | (100 | ) | | | (1,945 | ) | | | 288 | |
| Pentair PLC | | | (1,000 | ) | | | (67,032 | ) | | | 612 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 447 | |
| | | | | | | | | | | | |
| United States | | | | | | | | | |
| Aaron’s, Inc. | | | (500 | ) | | | (15,312 | ) | | | 27 | |
| Abercrombie & Fitch Co. | | | (200 | ) | | | (5,704 | ) | | | (24 | ) |
| ACI Worldwide, Inc. | | | (100 | ) | | | (1,916 | ) | | | (101 | ) |
| Acxiom Corp. | | | (2,500 | ) | | | (49,445 | ) | | | (1,230 | ) |
| Adobe Systems, Inc. | | | (100 | ) | | | (7,290 | ) | | | 20 | |
| ADT Corp./The | | | (400 | ) | | | (13,900 | ) | | | (592 | ) |
| ADTRAN, Inc. | | | (4,800 | ) | | | (105,215 | ) | | | 575 | |
| Advent Software, Inc. | | | (100 | ) | | | (3,134 | ) | | | 70 | |
| AES Corp. | | | (3,400 | ) | | | (47,861 | ) | | | 1,043 | |
| Agilent Technologies, Inc. | | | (400 | ) | | | (16,955 | ) | | | 579 | |
| Alcoa, Inc. | | | (3,100 | ) | | | (50,194 | ) | | | 1,245 | |
| Alere, Inc. | | | (200 | ) | | | (7,966 | ) | | | 366 | |
| Align Technology, Inc. | | | (1,600 | ) | | | (90,018 | ) | | | 562 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
254
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Allegheny Technologies, Inc. | | | (3,800 | ) | | $ | (139,081 | ) | | $ | 6,955 | |
| Alliance Data Systems Corp. | | | (100 | ) | | | (24,914 | ) | | | (3,691 | ) |
| Allison Transmission Holdings, Inc. | | | (200 | ) | | | (5,983 | ) | | | (797 | ) |
| Allscripts Healthcare Solutions, Inc. | | | (3,100 | ) | | | (40,467 | ) | | | 880 | |
| Alnylam Pharmaceuticals, Inc. | | | (1,200 | ) | | | (100,075 | ) | | | (16,325 | ) |
| Altera Corp. | | | (700 | ) | | | (25,898 | ) | | | 40 | |
| Amazon.com, Inc. | | | (400 | ) | | | (126,475 | ) | | | 2,335 | |
| AMC Networks, Inc. | | | (300 | ) | | | (18,825 | ) | | | (306 | ) |
| American Eagle Outfitters, Inc. | | | (4,300 | ) | | | (61,111 | ) | | | 1,427 | |
| Anadarko Petroleum Corp. | | | (100 | ) | | | (10,685 | ) | | | 2,435 | |
| ANSYS, Inc. | | | (100 | ) | | | (8,304 | ) | | | 104 | |
| Apache Corp. | | | (800 | ) | | | (51,136 | ) | | | 1,000 | |
| Armstrong World Industries, Inc. | | | (1,800 | ) | | | (93,067 | ) | | | 1,051 | |
| Artisan Partners Asset Management, Inc. | | | (2,100 | ) | | | (106,404 | ) | | | 291 | |
| athenahealth, Inc. | | | (900 | ) | | | (121,242 | ) | | | (9,888 | ) |
| Atmel Corp. | | | (8,200 | ) | | | (70,003 | ) | | | 1,164 | |
| Autodesk, Inc. | | | (200 | ) | | | (11,134 | ) | | | (878 | ) |
| Avis Budget Group, Inc. | | | (200 | ) | | | (12,863 | ) | | | (403 | ) |
| Avon Products, Inc. | | | (6,500 | ) | | | (70,068 | ) | | | 9,033 | |
| B/E Aerospace, Inc. | | | (2,900 | ) | | | (166,543 | ) | | | (1,715 | ) |
| BancorpSouth, Inc. | | | (2,300 | ) | | | (51,375 | ) | | | (398 | ) |
| Bank of America Corp. | | | (2,700 | ) | | | (46,126 | ) | | | (2,177 | ) |
| BankUnited, Inc. | | | (200 | ) | | | (5,891 | ) | | | 97 | |
| Belden, Inc. | | | (100 | ) | | | (7,108 | ) | | | (773 | ) |
| BioMarin Pharmaceutical, Inc. | | | (1,200 | ) | | | (85,012 | ) | | | (23,468 | ) |
| Black Hills Corp. | | | (300 | ) | | | (15,347 | ) | | | (565 | ) |
| BorgWarner, Inc. | | | (100 | ) | | | (5,620 | ) | | | 125 | |
| Boston Scientific Corp. | | | (1,700 | ) | | | (21,123 | ) | | | (1,402 | ) |
| Bristol-Myers Squibb Co. | | | (500 | ) | | | (27,284 | ) | | | (2,231 | ) |
| Brookdale Senior Living, Inc. | | | (2,400 | ) | | | (80,150 | ) | | | (7,858 | ) |
| Bruker Corp. | | | (5,100 | ) | | | (101,170 | ) | | | 1,108 | |
| Brunswick Corp./DE | | | (600 | ) | | | (27,572 | ) | | | (3,184 | ) |
| Cabela’s, Inc. | | | (1,100 | ) | | | (62,351 | ) | | | 4,370 | |
| Cabot Oil & Gas Corp. | | | (2,800 | ) | | | (88,721 | ) | | | 5,813 | |
| Calpine Corp. | | | (1,600 | ) | | | (36,044 | ) | | | 636 | |
| Cameron International Corp. | | | (100 | ) | | | (7,113 | ) | | | 2,118 | |
| CarMax, Inc. | | | (1,100 | ) | | | (65,136 | ) | | | (8,102 | ) |
| Carpenter Technology Corp. | | | (2,300 | ) | | | (113,881 | ) | | | 606 | |
| Catamaran Corp. | | | (600 | ) | | | (28,023 | ) | | | (3,027 | ) |
| Cathay General Bancorp | | | (300 | ) | | | (7,862 | ) | | | 185 | |
| CBOE Holdings, Inc. | | | (100 | ) | | | (5,625 | ) | | | (717 | ) |
| CBS Corp. | | | (900 | ) | | | (50,105 | ) | | | 299 | |
| CDW Corp./DE | | | (200 | ) | | | (6,316 | ) | | | (718 | ) |
| CenterPoint Energy, Inc. | | | (1,000 | ) | | | (24,211 | ) | | | 781 | |
| Cerner Corp. | | | (200 | ) | | | (11,698 | ) | | | (1,234 | ) |
| Charles Schwab Corp./The | | | (4,600 | ) | | | (140,200 | ) | | | 1,326 | |
| Charter Communications, Inc. | | | (200 | ) | | | (32,401 | ) | | | (923 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Cheniere Energy, Inc. | | | (1,100 | ) | | $ | (84,551 | ) | | $ | 7,111 | |
| Chico’s FAS, Inc. | | | (500 | ) | | | (7,759 | ) | | | (346 | ) |
| Chipotle Mexican Grill, Inc. | | | (100 | ) | | | (69,345 | ) | | | 894 | |
| Ciena Corp. | | | (9,100 | ) | | | (168,858 | ) | | | (7,773 | ) |
| Cincinnati Financial Corp. | | | (1,300 | ) | | | (64,012 | ) | | | (3,367 | ) |
| CIT Group, Inc. | | | (100 | ) | | | (4,806 | ) | | | 23 | |
| Citigroup, Inc. | | | (500 | ) | | | (26,794 | ) | | | (261 | ) |
| Citrix Systems, Inc. | | | (100 | ) | | | (7,237 | ) | | | 857 | |
| Civeo Corp. | | | (1,100 | ) | | | (27,969 | ) | | | 23,448 | |
| Clean Harbors, Inc. | | | (1,000 | ) | | | (50,935 | ) | | | 2,885 | |
| Cleco Corp. | | | (300 | ) | | | (16,557 | ) | | | 195 | |
| Coach, Inc. | | | (5,300 | ) | | | (194,616 | ) | | | (4,452 | ) |
| Cobalt International Energy, Inc. | | | (19,500 | ) | | | (203,955 | ) | | | 30,600 | |
| Coca-Cola Co./The | | | (200 | ) | | | (8,332 | ) | | | (112 | ) |
| Colfax Corp. | | | (3,100 | ) | | | (166,969 | ) | | | 7,102 | |
| Colgate-Palmolive Co. | | | (900 | ) | | | (60,882 | ) | | | (1,388 | ) |
| Comcast Corp. | | | (200 | ) | | | (11,399 | ) | | | (203 | ) |
| Community Health Systems, Inc. | | | (300 | ) | | | (17,079 | ) | | | 903 | |
| CommVault Systems, Inc. | | | (1,800 | ) | | | (93,207 | ) | | | 165 | |
| ConAgra Foods, Inc. | | | (300 | ) | | | (9,879 | ) | | | (1,005 | ) |
| Concho Resources, Inc. | | | (100 | ) | | | (13,327 | ) | | | 3,352 | |
| CONSOL Energy, Inc. | | | (1,900 | ) | | | (71,759 | ) | | | 7,520 | |
| Copart, Inc. | | | (200 | ) | | | (6,762 | ) | | | (536 | ) |
| CoreLogic, Inc. | | | (500 | ) | | | (14,061 | ) | | | (1,734 | ) |
| Corporate Executive Board Co./The | | | (500 | ) | | | (34,600 | ) | | | (1,665 | ) |
| CoStar Group, Inc. | | | (500 | ) | | | (85,898 | ) | | | (5,917 | ) |
| Costco Wholesale Corp. | | | (100 | ) | | | (12,636 | ) | | | (1,539 | ) |
| Coty, Inc. | | | (3,600 | ) | | | (67,341 | ) | | | (7,035 | ) |
| Covanta Holding Corp. | | | (1,300 | ) | | | (28,008 | ) | | | (605 | ) |
| Cree, Inc. | | | (1,100 | ) | | | (43,993 | ) | | | 8,551 | |
| Cubist Pharmaceuticals, Inc. | | | (500 | ) | | | (33,294 | ) | | | (17,031 | ) |
| Darden Restaurants, Inc. | | | (200 | ) | | | (9,975 | ) | | | (1,751 | ) |
| DaVita HealthCare Partners, Inc. | | | (200 | ) | | | (15,209 | ) | | | 61 | |
| Dean Foods Co. | | | (10,800 | ) | | | (188,700 | ) | | | (20,604 | ) |
| Deere & Co. | | | (100 | ) | | | (8,368 | ) | | | (479 | ) |
| Denbury Resources, Inc. | | | (2,200 | ) | | | (28,112 | ) | | | 10,226 | |
| Diebold, Inc. | | | (600 | ) | | | (21,605 | ) | | | 821 | |
| Discovery Communications, Inc. | | | (2,100 | ) | | | (77,501 | ) | | | 5,156 | |
| Donaldson Co., Inc. | | | (700 | ) | | | (27,411 | ) | | | 370 | |
| DreamWorks Animation SKG, Inc. | | | (4,000 | ) | | | (93,224 | ) | | | 3,904 | |
| Dril-Quip, Inc. | | | (600 | ) | | | (46,624 | ) | | | 586 | |
| DSW, Inc. | | | (4,100 | ) | | | (144,894 | ) | | | (8,036 | ) |
| Dunkin’ Brands Group, Inc. | | | (1,100 | ) | | | (50,499 | ) | | | 3,584 | |
| E*TRADE Financial Corp. | | | (3,000 | ) | | | (72,946 | ) | | | 181 | |
| Eagle Materials, Inc. | | | (100 | ) | | | (7,660 | ) | | | 57 | |
| Emerson Electric Co. | | | (800 | ) | | | (51,583 | ) | | | 2,199 | |
| Energen Corp. | | | (400 | ) | | | (30,207 | ) | | | 4,703 | |
| EQT Corp. | | | (200 | ) | | | (19,100 | ) | | | 3,960 | |
| Equinix, Inc. | | | (103 | ) | | | (21,797 | ) | | | (1,556 | ) |
| Estee Lauder Cos., Inc./The | | | (900 | ) | | | (68,333 | ) | | | (247 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
255
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Expeditors International of Washington, Inc. | | | (300 | ) | | $ | (12,662 | ) | | $ | (721 | ) |
| Facebook, Inc. | | | (600 | ) | | | (47,132 | ) | | | 320 | |
| Fastenal Co. | | | (1,300 | ) | | | (60,817 | ) | | | (1,011 | ) |
| Federated Investors, Inc. | | | (900 | ) | | | (28,149 | ) | | | (1,488 | ) |
| FEI Co. | | | (1,500 | ) | | | (135,032 | ) | | | (493 | ) |
| First Horizon National Corp. | | | (3,300 | ) | | | (42,600 | ) | | | (2,214 | ) |
| First Niagara Financial Group, Inc. | | | (17,900 | ) | | | (148,816 | ) | | | (2,081 | ) |
| First Republic Bank | | | (800 | ) | | | (40,143 | ) | | | (1,553 | ) |
| First Solar, Inc. | | | (700 | ) | | | (39,662 | ) | | | 8,445 | |
| FirstEnergy Corp. | | | (300 | ) | | | (10,326 | ) | | | (1,371 | ) |
| FirstMerit Corp. | | | (300 | ) | | | (5,325 | ) | | | (342 | ) |
| FLIR Systems, Inc. | | | (200 | ) | | | (6,710 | ) | | | 248 | |
| Flowers Foods, Inc. | | | (800 | ) | | | (15,246 | ) | | | (106 | ) |
| Flowserve Corp. | | | (1,000 | ) | | | (61,565 | ) | | | 1,735 | |
| FMC Corp. | | | (2,300 | ) | | | (131,713 | ) | | | 544 | |
| FNF Group | | | (800 | ) | | | (22,622 | ) | | | (4,938 | ) |
| Forest City Enterprises, Inc. | | | (4,800 | ) | | | (100,950 | ) | | | (1,290 | ) |
| Fortinet, Inc. | | | (1,000 | ) | | | (26,683 | ) | | | (3,977 | ) |
| Fortune Brands Home & Security, Inc. | | | (1,200 | ) | | | (52,052 | ) | | | (2,272 | ) |
| Fossil Group, Inc. | | | (200 | ) | | | (22,143 | ) | | | (5 | ) |
| Freescale Semiconductor Ltd. | | | (200 | ) | | | (4,404 | ) | | | (642 | ) |
| FTI Consulting, Inc. | | | (800 | ) | | | (30,539 | ) | | | (364 | ) |
| General Motors Co. | | | (500 | ) | | | (16,479 | ) | | | (976 | ) |
| Genesee & Wyoming, Inc. | | | (100 | ) | | | (9,290 | ) | | | 298 | |
| Genworth Financial, Inc. | | | (6,900 | ) | | | (69,823 | ) | | | 11,173 | |
| GNC Holdings, Inc. | | | (1,800 | ) | | | (75,586 | ) | | | (8,942 | ) |
| Goodyear Tire & Rubber Co./The | | | (100 | ) | | | (2,419 | ) | | | (438 | ) |
| Graco, Inc. | | | (700 | ) | | | (54,472 | ) | | | (1,654 | ) |
| Groupon, Inc. | | | (3,100 | ) | | | (23,545 | ) | | | (2,061 | ) |
| Guess?, Inc. | | | (900 | ) | | | (18,538 | ) | | | (434 | ) |
| Hain Celestial Group, Inc./The | | | (400 | ) | | | (20,608 | ) | | | (2,708 | ) |
| Harley-Davidson, Inc. | | | (300 | ) | | | (19,794 | ) | | | 21 | |
| Harsco Corp. | | | (6,600 | ) | | | (133,115 | ) | | | 8,441 | |
| Hartford Financial Services Group, Inc./The | | | (100 | ) | | | (3,793 | ) | | | (376 | ) |
| HD Supply Holdings, Inc. | | | (700 | ) | | | (20,337 | ) | | | (306 | ) |
| Hertz Global Holdings, Inc. | | | (5,800 | ) | | | (148,031 | ) | | | 3,379 | |
| Hexcel Corp. | | | (1,400 | ) | | | (55,558 | ) | | | (2,528 | ) |
| Hilton Worldwide Holdings, Inc. | | | (2,500 | ) | | | (63,838 | ) | | | (1,387 | ) |
| HMS Holdings Corp. | | | (6,500 | ) | | | (141,970 | ) | | | 4,560 | |
| HollyFrontier Corp. | | | (900 | ) | | | (34,522 | ) | | | 790 | |
| Hologic, Inc. | | | (1,900 | ) | | | (46,754 | ) | | | (4,052 | ) |
| HomeAway, Inc. | | | (4,300 | ) | | | (132,024 | ) | | | 3,970 | |
| Huntsman Corp. | | | (600 | ) | | | (14,284 | ) | | | 616 | |
| Illumina, Inc. | | | (100 | ) | | | (17,722 | ) | | | (736 | ) |
| Incyte Corp. | | | (1,700 | ) | | | (94,836 | ) | | | (29,451 | ) |
| Informatica Corp. | | | (500 | ) | | | (18,920 | ) | | | (148 | ) |
| Ingersoll-Rand PLC | | | (200 | ) | | | (12,034 | ) | | | (644 | ) |
| Intersil Corp. | | | (1,000 | ) | | | (15,755 | ) | | | 1,285 | |
| Intuitive Surgical, Inc. | | | (100 | ) | | | (47,271 | ) | | | (5,623 | ) |
| InvesCo., Ltd. | | | (100 | ) | | | (4,125 | ) | | | 173 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Itron, Inc. | | | (700 | ) | | $ | (29,006 | ) | | $ | (597 | ) |
| Janus Capital Group, Inc. | | | (1,800 | ) | | | (27,688 | ) | | | (1,346 | ) |
| JDS Uniphase Corp. | | | (6,900 | ) | | | (94,607 | ) | | | (61 | ) |
| Joy Global, Inc. | | | (500 | ) | | | (27,763 | ) | | | 4,503 | |
| Kansas City Southern | | | (300 | ) | | | (36,368 | ) | | | (241 | ) |
| Kate Spade & Co. | | | (2,100 | ) | | | (63,938 | ) | | | (3,283 | ) |
| KBR, Inc. | | | (500 | ) | | | (8,768 | ) | | | 293 | |
| Kennametal, Inc. | | | (900 | ) | | | (34,237 | ) | | | 2,026 | |
| Keurig Green Mountain, Inc. | | | (200 | ) | | | (27,333 | ) | | | 854 | |
| KLX, Inc. | | | (550 | ) | | | (30,382 | ) | | | 7,694 | |
| Kosmos Energy Ltd. | | | (4,400 | ) | | | (41,147 | ) | | | 4,231 | |
| Lamar Advertising Co. | | | (800 | ) | | | (40,432 | ) | | | (2,480 | ) |
| Laredo Petroleum, Inc. | | | (400 | ) | | | (5,169 | ) | | | 1,029 | |
| Las Vegas Sands Corp. | | | (1,600 | ) | | | (94,740 | ) | | | 1,684 | |
| Leidos Holdings, Inc. | | | (100 | ) | | | (4,296 | ) | | | (56 | ) |
| Leucadia National Corp. | | | (300 | ) | | | (7,217 | ) | | | 491 | |
| Level 3 Communications, Inc. | | | (200 | ) | | | (9,922 | ) | | | 46 | |
| Liberty Media Corp. | | | (200 | ) | | | (7,380 | ) | | | 326 | |
| Life Time Fitness, Inc. | | | (500 | ) | | | (25,170 | ) | | | (3,140 | ) |
| Linear Technology Corp. | | | (800 | ) | | | (37,134 | ) | | | 654 | |
| LinkedIn Corp. | | | (400 | ) | | | (86,755 | ) | | | (5,129 | ) |
| Lions Gate Entertainment Corp. | | | (2,400 | ) | | | (79,945 | ) | | | 3,097 | |
| Live Nation Entertainment, Inc. | | | (1,300 | ) | | | (34,424 | ) | | | 481 | |
| LKQ Corp. | | | (3,100 | ) | | | (87,161 | ) | | | (11 | ) |
| Louisiana-Pacific Corp. | | | (4,300 | ) | | | (65,148 | ) | | | (6,060 | ) |
| LPL Financial Holdings, Inc. | | | (300 | ) | | | (13,470 | ) | | | 105 | |
| Madison Square Garden Co./The | | | (200 | ) | | | (13,170 | ) | | | (1,882 | ) |
| Manitowoc Co., Inc./The | | | (2,200 | ) | | | (49,324 | ) | | | 704 | |
| Masco Corp. | | | (400 | ) | | | (9,686 | ) | | | (394 | ) |
| MasterCard, Inc. | | | (200 | ) | | | (16,507 | ) | | | (725 | ) |
| MDU Resources Group, Inc. | | | (800 | ) | | | (18,979 | ) | | | 179 | |
| MEDNAX, Inc. | | | (100 | ) | | | (6,685 | ) | | | 74 | |
| MetLife, Inc. | | | (400 | ) | | | (22,420 | ) | | | 784 | |
| MGM Resorts International | | | (1,900 | ) | | | (43,763 | ) | | | 3,141 | |
| Michael Kors Holdings Ltd. | | | (400 | ) | | | (30,744 | ) | | | 704 | |
| Middleby Corp./The | | | (300 | ) | | | (27,698 | ) | | | (2,032 | ) |
| Monsanto Co. | | | (300 | ) | | | (34,419 | ) | | | (1,422 | ) |
| Morgan Stanley | | | (200 | ) | | | (7,219 | ) | | | (541 | ) |
| Mosaic Co./The | | | (600 | ) | | | (28,027 | ) | | | 637 | |
| Motorola Solutions, Inc. | | | (1,600 | ) | | | (103,709 | ) | | | (3,619 | ) |
| National Fuel Gas Co. | | | (100 | ) | | | (7,323 | ) | | | 370 | |
| Navistar International Corp. | | | (5,600 | ) | | | (200,055 | ) | | | 12,567 | |
| NCR Corp. | | | (1,900 | ) | | | (62,582 | ) | | | 7,216 | |
| Netflix, Inc. | | | (300 | ) | | | (103,755 | ) | | | 1,272 | |
| NetSuite, Inc. | | | (600 | ) | | | (53,872 | ) | | | (11,630 | ) |
| New York Times Co./The | | | (2,300 | ) | | | (27,652 | ) | | | (2,754 | ) |
| News Corp. | | | (1,000 | ) | | | (16,873 | ) | | | 1,183 | |
| Nielsen NV | | | (900 | ) | | | (40,473 | ) | | | 216 | |
| Noble Energy, Inc. | | | (1,600 | ) | | | (86,531 | ) | | | 10,643 | |
| Nordson Corp. | | | (300 | ) | | | (23,913 | ) | | | 525 | |
| NRG Energy, Inc. | | | (1,500 | ) | | | (46,037 | ) | | | 5,612 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
256
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Nuance Communications, Inc. | | | (300 | ) | | $ | (4,563 | ) | | $ | 282 | |
| Oasis Petroleum, Inc. | | | (2,500 | ) | | | (46,571 | ) | | | 5,221 | |
| Oceaneering International, Inc. | | | (400 | ) | | | (26,184 | ) | | | 2,660 | |
| Ocwen Financial Corp. | | | (5,500 | ) | | | (98,208 | ) | | | 15,158 | |
| Office Depot, Inc. | | | (7,000 | ) | | | (40,059 | ) | | | (19,966 | ) |
| Old Republic International Corp. | | | (700 | ) | | | (10,447 | ) | | | 206 | |
| Omnicare, Inc. | | | (900 | ) | | | (65,699 | ) | | | 62 | |
| ONEOK, Inc. | | | (1,600 | ) | | | (79,850 | ) | | | 186 | |
| Oshkosh Corp. | | | (200 | ) | | | (9,599 | ) | | | (131 | ) |
| Owens Corning | | | (200 | ) | | | (6,976 | ) | | | (186 | ) |
| Owens-Illinois, Inc. | | | (3,500 | ) | | | (94,876 | ) | | | 411 | |
| PacWest Bancorp | | | (900 | ) | | | (41,181 | ) | | | 267 | |
| Palo Alto Networks, Inc. | | | (400 | ) | | | (39,325 | ) | | | (9,703 | ) |
| Pandora Media, Inc. | | | (3,200 | ) | | | (67,176 | ) | | | 10,120 | |
| PBF Energy, Inc. | | | (2,700 | ) | | | (66,903 | ) | | | (5,025 | ) |
| Peabody Energy Corp. | | | (17,600 | ) | | | (170,985 | ) | | | 34,761 | |
| Perrigo Co PLC | | | (300 | ) | | | (49,951 | ) | | | (197 | ) |
| Pharmacyclics, Inc. | | | (900 | ) | | | (111,920 | ) | | | 1,886 | |
| Pitney Bowes, Inc. | | | (800 | ) | | | (19,836 | ) | | | 340 | |
| Platform Specialty Products Corp. | | | (900 | ) | | | (24,302 | ) | | | 3,404 | |
| Polaris Industries, Inc. | | | (100 | ) | | | (15,330 | ) | | | 206 | |
| PolyOne Corp. | | | (400 | ) | | | (14,424 | ) | | | (740 | ) |
| Popular, Inc. | | | (200 | ) | | | (6,488 | ) | | | (322 | ) |
| Post Holdings, Inc. | | | (4,800 | ) | | | (185,936 | ) | | | (15,136 | ) |
| Precision Castparts Corp. | | | (200 | ) | | | (46,959 | ) | | | (1,217 | ) |
| Progressive Corp./The | | | (2,100 | ) | | | (53,488 | ) | | | (3,191 | ) |
| Prudential Financial, Inc. | | | (300 | ) | | | (27,517 | ) | | | 379 | |
| PVH Corp. | | | (200 | ) | | | (24,992 | ) | | | (642 | ) |
| QEP Resources, Inc. | | | (2,600 | ) | | | (50,518 | ) | | | (2,054 | ) |
| Range Resources Corp. | | | (2,900 | ) | | | (180,194 | ) | | | 25,189 | |
| Regeneron Pharmaceuticals, Inc. | | | (100 | ) | | | (35,989 | ) | | | (5,036 | ) |
| Rent-A-Center, Inc. | | | (100 | ) | | | (3,107 | ) | | | (525 | ) |
| Rite Aid Corp. | | | (2,800 | ) | | | (17,954 | ) | | | (3,102 | ) |
| Riverbed Technology, Inc. | | | (3,400 | ) | | | (69,248 | ) | | | (146 | ) |
| Rosetta Resources, Inc. | | | (3,600 | ) | | | (99,379 | ) | | | 19,063 | |
| Rowan Cos. PLC | | | (800 | ) | | | (20,872 | ) | | | 2,216 | |
| RPC, Inc. | | | (4,800 | ) | | | (63,828 | ) | | | 1,236 | |
| Salesforce.com, Inc. | | | (2,400 | ) | | | (142,151 | ) | | | (193 | ) |
| Salix Pharmaceuticals Ltd. | | | (1,000 | ) | | | (128,195 | ) | | | 13,255 | |
| Sally Beauty Holdings, Inc. | | | (200 | ) | | | (5,576 | ) | | | (572 | ) |
| SBA Communications Corp. | | | (400 | ) | | | (45,505 | ) | | | 1,201 | |
| Scripps Networks Interactive, Inc. | | | (200 | ) | | | (15,593 | ) | | | 539 | |
| Seadrill Ltd. | | | (7,300 | ) | | | (99,844 | ) | | | 12,682 | |
| Sealed Air Corp. | | | (1,400 | ) | | | (50,985 | ) | | | (8,417 | ) |
| Seattle Genetics, Inc. | | | (1,600 | ) | | | (59,119 | ) | | | 7,711 | |
| SeaWorld Entertainment, Inc. | | | (800 | ) | | | (12,912 | ) | | | (1,408 | ) |
| Semtech Corp. | | | (3,100 | ) | | | (86,331 | ) | | | 864 | |
| Sensata Technologies Holding NV | | | (1,000 | ) | | | (50,961 | ) | | | (1,449 | ) |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Service Corp. International | | | (4,200 | ) | | $ | (95,134 | ) | | $ | (206 | ) |
| ServiceNow, Inc. | | | (1,000 | ) | | | (65,941 | ) | | | (1,909 | ) |
| Sirius XM Holdings, Inc. | | | (44,400 | ) | | | (157,995 | ) | | | 2,595 | |
| Sirona Dental Systems, Inc. | | | (100 | ) | | | (7,738 | ) | | | (999 | ) |
| Six Flags Entertainment Corp. | | | (1,900 | ) | | | (76,652 | ) | | | (5,333 | ) |
| SLM Corp | | | (1,300 | ) | | | (13,351 | ) | | | 104 | |
| SolarWinds, Inc. | | | (300 | ) | | | (13,203 | ) | | | (1,746 | ) |
| Solera Holdings, Inc. | | | (900 | ) | | | (46,157 | ) | | | 95 | |
| Sotheby’s | | | (2,900 | ) | | | (117,677 | ) | | | (7,545 | ) |
| Southwestern Energy Co. | | | (200 | ) | | | (6,766 | ) | | | 1,308 | |
| Splunk, Inc. | | | (1,700 | ) | | | (102,893 | ) | | | 2,678 | |
| Sprint Corp. | | | (16,700 | ) | | | (86,090 | ) | | | 16,785 | |
| Stanley Black & Decker, Inc. | | | (100 | ) | | | (9,267 | ) | | | (341 | ) |
| Starbucks Corp. | | | (900 | ) | | | (70,538 | ) | | | (3,307 | ) |
| Starwood Hotels & Resorts Worldwide, Inc. | | | (200 | ) | | | (16,765 | ) | | | 551 | |
| Stratasys Ltd. | | | (1,000 | ) | | | (98,407 | ) | | | 15,297 | |
| SunEdison, Inc. | | | (7,600 | ) | | | (156,119 | ) | | | 7,843 | |
| SVB Financial Group | | | (100 | ) | | | (11,838 | ) | | | 231 | |
| Synovus Financial Corp. | | | (2,700 | ) | | | (68,443 | ) | | | (4,700 | ) |
| Tableau Software, Inc. | | | (700 | ) | | | (50,872 | ) | | | (8,460 | ) |
| Target Corp. | | | (900 | ) | | | (57,692 | ) | | | (10,627 | ) |
| Taylor Morrison Home Corp. | | | (7,700 | ) | | | (144,305 | ) | | | (1,148 | ) |
| Teekay Corp. | | | (1,400 | ) | | | (73,266 | ) | | | 2,020 | |
| Tempur Sealy International, Inc. | | | (1,100 | ) | | | (62,834 | ) | | | 2,433 | |
| Tenet Healthcare Corp. | | | (3,500 | ) | | | (187,267 | ) | | | 9,922 | |
| Teradata Corp. | | | (100 | ) | | | (4,464 | ) | | | 96 | |
| Terex Corp. | | | (700 | ) | | | (22,309 | ) | | | 2,793 | |
| Tesla Motors, Inc. | | | (100 | ) | | | (26,452 | ) | | | 4,211 | |
| Tesoro Corp. | | | (200 | ) | | | (12,396 | ) | | | (2,474 | ) |
| Thor Industries, Inc. | | | (100 | ) | | | (5,400 | ) | | | (187 | ) |
| Thoratec Corp. | | | (2,100 | ) | | | (68,104 | ) | | | (62 | ) |
| Tidewater, Inc. | | | (500 | ) | | | (16,669 | ) | | | 464 | |
| Tiffany & Co. | | | (300 | ) | | | (32,405 | ) | | | 347 | |
| Time, Inc. | | | (400 | ) | | | (9,594 | ) | | | (250 | ) |
| T-Mobile US, Inc. | | | (3,100 | ) | | | (85,033 | ) | | | 1,519 | |
| Toll Brothers, Inc. | | | (800 | ) | | | (27,022 | ) | | | (394 | ) |
| Trimble Navigation Ltd. | | | (2,800 | ) | | | (77,546 | ) | | | 3,234 | |
| Trinity Industries, Inc. | | | (100 | ) | | | (3,175 | ) | | | 374 | |
| TripAdvisor, Inc. | | | (900 | ) | | | (68,883 | ) | | | 1,689 | |
| Triumph Group, Inc. | | | (600 | ) | | | (40,980 | ) | | | 648 | |
| Twenty-First Century Fox, Inc. | | | (2,000 | ) | | | (72,656 | ) | | | (4,154 | ) |
| Ulta Salon Cosmetics & Fragrance, Inc. | | | (300 | ) | | | (35,570 | ) | | | (2,782 | ) |
| Umpqua Holdings Corp. | | | (7,800 | ) | | | (134,741 | ) | | | 2,063 | |
| Under Armour, Inc. | | | (500 | ) | | | (34,770 | ) | | | 820 | |
| United Continental Holdings, Inc. | | | (800 | ) | | | (42,428 | ) | | | (11,084 | ) |
| United Natural Foods, Inc. | | | (300 | ) | | | (19,096 | ) | | | (4,102 | ) |
| Universal Corp. | | | (100 | ) | | | (3,996 | ) | | | (402 | ) |
| Urban Outfitters, Inc. | | | (1,200 | ) | | | (43,177 | ) | | | 1,021 | |
| USG Corp. | | | (4,400 | ) | | | (125,673 | ) | | | 2,517 | |
| Vantiv, Inc. | | | (100 | ) | | | (3,167 | ) | | | (225 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
257
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| VCA, Inc. | | | (100 | ) | | $ | (4,176 | ) | | $ | (701 | ) |
| VeriFone Systems, Inc. | | | (4,300 | ) | | | (160,294 | ) | | | 334 | |
| Verisk Analytics, Inc. | | | (500 | ) | | | (32,317 | ) | | | 292 | |
| Vertex Pharmaceuticals, Inc. | | | (800 | ) | | | (79,045 | ) | | | (15,995 | ) |
| VMware, Inc. | | | (300 | ) | | | (26,358 | ) | | | 1,602 | |
| Vulcan Materials Co. | | | (400 | ) | | | (26,664 | ) | | | 372 | |
| Waddell & Reed Financial, Inc. | | | (1,200 | ) | | | (59,140 | ) | | | (644 | ) |
| Watsco, Inc. | | | (100 | ) | | | (8,883 | ) | | | (1,817 | ) |
| WellCare Health Plans, Inc. | | | (2,000 | ) | | | (153,118 | ) | | | (11,002 | ) |
| Wendy’s Co./The | | | (4,100 | ) | | | (35,461 | ) | | | (1,562 | ) |
| Western Union Co./The | | | (1,000 | ) | | | (16,800 | ) | | | (1,110 | ) |
| WhiteWave Foods Co./The | | | (1,200 | ) | | | (44,262 | ) | | | 2,274 | |
| Williams Cos., Inc./The | | | (1,000 | ) | | | (46,681 | ) | | | 1,741 | |
| Woodward, Inc. | | | (500 | ) | | | (25,253 | ) | | | 638 | |
| Workday, Inc. | | | (500 | ) | | | (42,244 | ) | | | 1,439 | |
| WPX Energy, Inc. | | | (900 | ) | | | (10,519 | ) | | | 52 | |
| WR Grace & Co. | | | (1,100 | ) | | | (107,991 | ) | | | 3,062 | |
| Xylem, Inc. | | | (300 | ) | | | (11,693 | ) | | | 272 | |
| Yelp, Inc. | | | (2,300 | ) | | | (130,535 | ) | | | 4,656 | |
| Yum! Brands, Inc. | | | (400 | ) | | | (29,160 | ) | | | 20 | |
| Zions Bancorporation | | | (2,600 | ) | | | (75,820 | ) | | | 1,694 | |
| | | | | | | | | | | | |
REFERENCE ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United States (continued) | | | | |
| Zoetis, Inc. | | | (1,400 | ) | | $ | (51,526 | ) | | $ | (8,716 | ) |
| Zynga, Inc. | | | (18,600 | ) | | | (56,055 | ) | | | 6,579 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 57,163 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 100,849 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 243,446 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 34,168 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 277,614 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | | 2 -12 months maturity ranging from
01/21/2015 - 12/31/2015 | | | $54,522 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | | | | | | | | | |
| | | |
| Ireland | | | | | | | | | | | | |
| DCC PLC | | | 1,205 | | | $ | 65,301 | | | $ | 1,038 | |
| | | | | | | | | | | | |
| South Africa | | | | | | | | | |
| Investec PLC | | | 4,037 | | | | 35,872 | | | | (2,049 | ) |
| Mondi PLC | | | 4,640 | | | | 77,405 | | | | (2,026 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (4,075 | ) |
| | | | | | | | | | | | |
| Switzerland | | | | | | | | | |
| Coca-Cola HBC AG | | | 1,016 | | | | 19,910 | | | | (566 | ) |
| Glencore PLC | | | 18,418 | | | | 90,716 | | | | (5,701 | ) |
| Wolseley PLC | | | 351 | | | | 20,252 | | | | (184 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (6,451 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom | | | | | | | | | |
| Amec Foster Wheeler PLC | | | 4,078 | | | $ | 59,121 | | | $ | (5,264 | ) |
| Amlin PLC | | | 2,223 | | | | 15,593 | | | | 897 | |
| Associated British Foods PLC | | | 1,736 | | | | 73,248 | | | | 11,623 | |
| AstraZeneca PLC | | | 441 | | | | 31,964 | | | | (816 | ) |
| Aviva PLC | | | 24,134 | | | | 191,187 | | | | (9,859 | ) |
| Babcock International Group PLC | | | 2,271 | | | | 37,882 | | | | (678 | ) |
| Barratt Developments PLC | | | 14,259 | | | | 96,343 | | | | 7,436 | |
| Berkeley Group Holdings PLC | | | 161 | | | | 5,939 | | | | 251 | |
| Booker Group PLC | | | 11,765 | | | | 22,179 | | | | 7,707 | |
| BP PLC | | | 1,745 | | | | 12,892 | | | | (1,815 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
258
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| BT Group PLC | | | 10,533 | | | $ | 64,400 | | | $ | 1,116 | |
| Bunzl PLC | | | 1,660 | | | | 45,663 | | | | (283 | ) |
| Cobham PLC | | | 7,073 | | | | 32,210 | | | | 3,297 | |
| Compass Group PLC | | | 4,221 | | | | 72,058 | | | | 91 | |
| Direct Line Insurance Group PLC | | | 15,188 | | | | 69,263 | | | | (558 | ) |
| easyJet PLC | | | 2,592 | | | | 65,326 | | | | 1,753 | |
| Evraz PLC | | | 8,457 | | | | 19,529 | | | | 685 | |
| G4S PLC | | | 9,666 | | | | 42,036 | | | | (340 | ) |
| GKN PLC | | | 18,256 | | | | 98,624 | | | | (1,452 | ) |
| GlaxoSmithKline PLC | | | 876 | | | | 19,342 | | | | (549 | ) |
| Hays PLC | | | 18,529 | | | | 35,965 | | | | 5,723 | |
| Henderson Group PLC | | | 5,499 | | | | 18,531 | | | | (350 | ) |
| Hikma Pharmaceuticals PLC | | | 1,248 | | | | 30,952 | | | | 7,338 | |
| HSBC Holdings PLC | | | 13,903 | | | | 134,922 | | | | (3,542 | ) |
| Imperial Tobacco Group PLC | | | 4,931 | | | | 220,445 | | | | (3,385 | ) |
| Inchcape PLC | | | 15,002 | | | | 166,936 | | | | 1,613 | |
| Indivior PLC | | | 73 | | | | 137 | | | | 33 | |
| Inmarsat PLC | | | 5,258 | | | | 66,156 | | | | (960 | ) |
| Intermediate Capital Group PLC | | | 17,270 | | | | 119,247 | | | | 4,129 | |
| International Consolidated Airlines Group SA | | | 2,847 | | | | 20,616 | | | | 816 | |
| ITV PLC | | | 2,188 | | | | 6,980 | | | | 319 | |
| J Sainsbury PLC | | | 10,835 | | | | 47,829 | | | | (6,453 | ) |
| Kingfisher PLC | | | 5,101 | | | | 25,697 | | | | 1,268 | |
| Ladbrokes PLC | | | 11,609 | | | | 20,274 | | | | (413 | ) |
| Legal & General Group PLC | | | 9,992 | | | | 38,000 | | | | 580 | |
| Marks & Spencer Group PLC | | | 1,601 | | | | 10,535 | | | | 1,319 | |
| Meggitt PLC | | | 797 | | | | 6,422 | | | | (11 | ) |
| National Grid PLC | | | 7,993 | | | | 113,572 | | | | (157 | ) |
| Next PLC | | | 342 | | | | 36,999 | | | | (727 | ) |
| Persimmon PLC | | | 1,318 | | | | 28,594 | | | | 3,597 | |
| Premier Oil PLC | | | 1,967 | | | | 10,527 | | | | (5,439 | ) |
| Provident Financial PLC | | | 3,502 | | | | 128,215 | | | | 5,462 | |
| Prudential PLC | | | 30 | | | | 671 | | | | 22 | |
| Reckitt Benckiser Group PLC | | | 73 | | | | 5,900 | | | | 13 | |
| Rentokil Initial PLC | | | 56,440 | | | | 107,910 | | | | (1,632 | ) |
| Rexam PLC | | | 1,142 | | | | 8,575 | | | | (536 | ) |
| Rightmove PLC | | | 407 | | | | 14,996 | | | | (803 | ) |
| Rotork PLC | | | 871 | | | | 32,880 | | | | (1,505 | ) |
| Royal Mail PLC | | | 1,662 | | | | 11,122 | | | | (47 | ) |
| Sage Group PLC/The | | | 3,783 | | | | 22,093 | | | | 5,230 | |
| Sky PLC | | | 10,579 | | | | 149,267 | | | | (1,623 | ) |
| Smith & Nephew PLC | | | 461 | | | | 7,579 | | | | 734 | |
| SSE PLC | | | 4,353 | | | | 107,690 | | | | 2,298 | |
| Standard Chartered PLC | | | 1,675 | | | | 25,114 | | | | (63 | ) |
| Tate & Lyle PLC | | | 1,771 | | | | 20,236 | | | | (3,643 | ) |
| Taylor Wimpey PLC | | | 1,959 | | | | 4,167 | | | | 12 | |
| Travis Perkins PLC | | | 1,094 | | | | 28,981 | | | | 2,508 | |
| United Utilities Group PLC | | | 7,297 | | | | 102,907 | | | | 739 | |
| Weir Group PLC/The | | | 990 | | | | 29,849 | | | | (1,460 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Whitbread PLC | | | 305 | | | $ | 20,143 | | | $ | 2,429 | |
| WPP PLC | | | 3,874 | | | | 80,428 | | | | 119 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,794 | |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | 17,306 | |
| | | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | |
| United Kingdom | | | | | | | | | | | | |
| Aberdeen Asset Management PLC | | | (10,913 | ) | | | (76,972 | ) | | | 4,052 | |
| Admiral Group PLC | | | (3,852 | ) | | | (76,993 | ) | | | (2,031 | ) |
| Aggreko PLC | | | (217 | ) | | | (5,421 | ) | | | 361 | |
| Anglo American PLC | | | (2,289 | ) | | | (42,461 | ) | | | 104 | |
| Antofagasta PLC | | | (796 | ) | | | (8,631 | ) | | | (643 | ) |
| ARM Holdings PLC | | | (10,794 | ) | | | (160,344 | ) | | | (5,478 | ) |
| Ashtead Group PLC | | | (183 | ) | | | (3,382 | ) | | | 132 | |
| ASOS PLC | | | (3,418 | ) | | | (121,665 | ) | | | (14,227 | ) |
| BAE Systems PLC | | | (1,665 | ) | | | (12,089 | ) | | | (88 | ) |
| Barclays PLC | | | (4,454 | ) | | | (16,188 | ) | | | (556 | ) |
| BG Group PLC | | | (6,932 | ) | | | (97,394 | ) | | | 4,632 | |
| British American Tobacco PLC | | | (27 | ) | | | (1,520 | ) | | | 57 | |
| Burberry Group PLC | | | (5,013 | ) | | | (124,964 | ) | | | (2,225 | ) |
| Croda International PLC | | | (992 | ) | | | (33,996 | ) | | | (6,949 | ) |
| Diageo PLC | | | (2,155 | ) | | | (61,214 | ) | | | (520 | ) |
| Drax Group PLC | | | (19,019 | ) | | | (146,374 | ) | | | 10,181 | |
| DS Smith PLC | | | (2,493 | ) | | | (12,649 | ) | | | 217 | |
| Experian PLC | | | (12,961 | ) | | | (217,739 | ) | | | (744 | ) |
| Hargreaves Lansdown PLC | | | (11,263 | ) | | | (175,878 | ) | | | (353 | ) |
| ICAP PLC | | | (5,181 | ) | | | (37,294 | ) | | | 1,016 | |
| IMI PLC | | | (7,563 | ) | | | (147,207 | ) | | | (755 | ) |
| Informa PLC | | | (392 | ) | | | (2,981 | ) | | | 118 | |
| Intertek Group PLC | | | (702 | ) | | | (29,102 | ) | | | 3,695 | |
| John Wood Group PLC | | | (791 | ) | | | (9,094 | ) | | | 1,777 | |
| Johnson Matthey PLC | | | (31 | ) | | | (1,515 | ) | | | (116 | ) |
| Kazakhmys PLC | | | (17,048 | ) | | | (65,408 | ) | | | (2,617 | ) |
| Lloyds Banking Group PLC | | | (85,962 | ) | | | (102,171 | ) | | | 1,057 | |
| Lonmin PLC | | | (12,593 | ) | | | (40,094 | ) | | | 5,377 | |
| Man Group PLC | | | (9,130 | ) | | | (17,828 | ) | | | (4,890 | ) |
| Melrose Industries PLC | | | (23,446 | ) | | | (93,508 | ) | | | (3,545 | ) |
| Old Mutual PLC | | | (11,072 | ) | | | (33,699 | ) | | | 1,068 | |
| Pearson PLC | | | (5,042 | ) | | | (94,341 | ) | | | 1,225 | |
| Petrofac Ltd. | | | (1,969 | ) | | | (31,926 | ) | | | 10,476 | |
| Rolls-Royce Holdings PLC | | | (39,330 | ) | | | (2 | ) | | | (63 | ) |
| Rolls-Royce Holdings PLC | | | (479 | ) | | | (7,509 | ) | | | 1,075 | |
| Royal Bank of Scotland Group PLC | | | (3,593 | ) | | | (20,162 | ) | | | (1,699 | ) |
| RSA Insurance Group PLC | | | (1,111 | ) | | | (8,210 | ) | | | 709 | |
| SABMiller PLC | | | (426 | ) | | | (23,718 | ) | | | 1,510 | |
| Serco Group PLC | | | (11,404 | ) | | | (40,558 | ) | | | 12,105 | |
| Severn Trent PLC | | | (299 | ) | | | (9,076 | ) | | | (250 | ) |
| Smiths Group PLC | | | (352 | ) | | | (6,514 | ) | | | 529 | |
| Spectric PLC | | | (1,265 | ) | | | (41,034 | ) | | | (279 | ) |
| Spirax-Sarco Engineering PLC | | | (625 | ) | | | (27,733 | ) | | | (90 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
259
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| Sports Direct International PLC | | | (3,280 | ) | | $ | (36,020 | ) | | $ | (62 | ) |
| St James’s Place PLC | | | (6,526 | ) | | | (81,893 | ) | | | (393 | ) |
| Standard Life PLC | | | (3,071 | ) | | | (19,884 | ) | | | 862 | |
| TalkTalk Telecom Group PLC | | | (3,474 | ) | | | (16,538 | ) | | | 187 | |
| Telecity Group PLC | | | (1,380 | ) | | | (15,922 | ) | | | (1,314 | ) |
| Tesco PLC | | | (34,260 | ) | | | (100,967 | ) | | | 1,076 | |
| UBM PLC | | | (3,757 | ) | | | (27,996 | ) | | | (81 | ) |
| Vedanta Resources PLC | | | (846 | ) | | | (13,645 | ) | | | 6,141 | |
| Vodafone Group PLC | | | (8,067 | ) | | | (28,171 | ) | | | 512 | |
| William Hill PLC | | | (14,600 | ) | | | (81,624 | ) | | | (415 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| United Kingdom (continued) | | | | | | | |
| WM Morrison Supermarkets PLC | | | (10,479 | ) | | $ | (29,266 | ) | | $ | (634 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,234 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 19,234 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | 36,540 | |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 17,982 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 54,522 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE** | | VALUE (Note 5) | |
| Goldman Sachs | | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | | 9 -12 months maturity ranging from 09/23/2015 - 12/31/2015 | | | $1,896 | |
| | | | | | | | |
| ** | The maturity dates are measured from the commencement of investment in each underlying swap position. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of December 31, 2014.
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Positions | |
| |
| France | | | | | |
| Accor SA | | | 39 | | | $ | 1,711 | | | $ | 42 | |
| Aeroports de Paris | | | 659 | | | | 79,089 | | | | 601 | |
| AtoS | | | 222 | | | | 16,324 | | | | 1,315 | |
| Cap Gemini SA | | | 284 | | | | 20,706 | | | | (395 | ) |
| Casino Guichard Perrachon SA | | | 127 | | | | 13,910 | | | | (2,230 | ) |
| Christian Dior SA Rights | | | 41 | | | | 2 | | | | 221 | |
| Christian Dior SA | | | 304 | | | | 52,419 | | | | (393 | ) |
| Christian Dior SA, EUR 2 Rights | | | 41 | | | | 4 | | | | 566 | |
| Cie Generale des Etablissements Michelin | | | 847 | | | | 80,776 | | | | (4,320 | ) |
| CNP Assurances | | | 410 | | | | 7,348 | | | | (80 | ) |
| Credit Agricole SA | | | 2,471 | | | | 34,854 | | | | (2,957 | ) |
| Dassault Systemes | | | 348 | | | | 22,099 | | | | (878 | ) |
| Electricite de France SA | | | 4,050 | | | | 118,865 | | | | (7,375 | ) |
| GDF Suez | | | 1,181 | | | | 28,040 | | | | (500 | ) |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | |
| Iliad SA | | | 351 | | | $ | 77,941 | | | $ | 6,326 | |
| Imerys SA | | | 1,156 | | | | 84,098 | | | | 950 | |
| Lagardere SCA | | | 2,491 | | | | 65,498 | | | | (628 | ) |
| L’Oreal SA | | | 60 | | | | 9,036 | | | | 1,006 | |
| Neopost SA | | | 1,223 | | | | 78,882 | | | | (9,482 | ) |
| Orange SA | | | 4,111 | | | | 59,439 | | | | 10,475 | |
| Publicis Groupe SA | | | 170 | | | | 11,975 | | | | 217 | |
| Safran SA | | | 331 | | | | 20,698 | | | | (277 | ) |
| Sanofi | | | 349 | | | | 33,698 | | | | (1,880 | ) |
| SCOR SE | | | 2,777 | | | | 82,323 | | | | 1,821 | |
| Societe BIC SA | | | 431 | | | | 55,779 | | | | 1,381 | |
| Suez Environnement Co. | | | 5,778 | | | | 98,763 | | | | 1,908 | |
| Technip SA | | | 680 | | | | 40,941 | | | | (436 | ) |
| Thales SA | | | 723 | | | | 37,973 | | | | 1,146 | |
| Total SA | | | 1,883 | | | | 111,717 | | | | (15,248 | ) |
| Valeo SA | | | 97 | | | | 11,021 | | | | 1,049 | |
| Vinci SA | | | 1,138 | | | | 63,639 | | | | (1,502 | ) |
| Vivendi SA | | | 55 | | | | 1,373 | | | | (4 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
260
| | | | |
| Consolidated Schedule of Investments | | | December 31, 2014 | |
| | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | |
| Zodiac Aerospace | | | 37 | | | $ | 1,120 | | | $ | 126 | |
| | | | | | | | | | | | |
| | | | | | | | | | | (19,435 | ) |
| | | | | | | | | | | | |
Total of Long Equity Positions | | | | | | | | | | | (19,435 | ) |
| | | | | | | | | | | | |
| Short Positions | |
| |
| France | | | | | |
| Alcatel-Lucent | | | (39,748 | ) | | | (133,745 | ) | | | (8,442 | ) |
| Arkema SA | | | (761 | ) | | | (53,373 | ) | | | 3,043 | |
| AXA SA | | | (769 | ) | | | (18,495 | ) | | | 774 | |
| Bollore SA | | | (200 | ) | | | (1,140 | ) | | | 230 | |
| Bouygues SA | | | (1,681 | ) | | | (57,305 | ) | | | (3,393 | ) |
| Bureau Veritas SA | | | (1,439 | ) | | | (31,583 | ) | | | (300 | ) |
| Carrefour SA | | | (456 | ) | | | (13,800 | ) | | | (77 | ) |
| Cie de Saint-Gobain | | | (1,661 | ) | | | (74,003 | ) | | | 3,641 | |
| Edenred | | | (617 | ) | | | (16,708 | ) | | | (356 | ) |
| Essilor International SA | | | (324 | ) | | | (33,530 | ) | | | (2,602 | ) |
| Etablissements Maurel et Prom | | | (708 | ) | | | (6,524 | ) | | | (93 | ) |
| European Aeronautic Defence and Space Co. NV | | | (259 | ) | | | (15,524 | ) | | | 2,719 | |
| JCDecaux SA | | | (429 | ) | | | (14,806 | ) | | | 35 | |
| Kering | | | (13 | ) | | | (2,622 | ) | | | 124 | |
| Legrand SA | | | (260 | ) | | | (13,763 | ) | | | 123 | |
| LVMH Moet Hennessy Louis Vuitton SA | | | (425 | ) | | | (69,702 | ) | | | 2,381 | |
| | | | | | | | | | | | |
REFERENCE
ENTITY | | SHARES | | | NOTIONAL (a) | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| France (continued) | | | | | | | | | |
| LVMH Moet Hennessy Louis Vuitton SA Rights | | | (425 | ) | | $ | (54 | ) | | $ | (7,436 | ) |
| Peugeot SA | | | (9,574 | ) | | | (119,703 | ) | | | 2,399 | |
| Remy Cointreau SA | | | (1,672 | ) | | | (119,851 | ) | | | 8,296 | |
| Renault SA | | | (465 | ) | | | (33,828 | ) | | | (41 | ) |
| Schneider Electric SE | | | (468 | ) | | | (35,795 | ) | | | 1,711 | |
| Societe Television Francaise 1 | | | (1,495 | ) | | | (21,208 | ) | | | (1,775 | ) |
| Vallourec SA | | | (1,157 | ) | | | (53,401 | ) | | | 22,044 | |
| Veolia Environnement SA | | | (4,337 | ) | | | (73,078 | ) | | | (3,742 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,263 | |
| | | | | | | | | | | | |
Total of Short Equity Positions | | | | | | | | | | | 19,263 | |
| | | | | | | | | | | | |
Total of Long and Short Equity Positions | | | | | | | | | | | (172 | ) |
| | | | | | | | | | | | |
Net Cash and Other Receivables/ (Payables) (b) | | | | | | | | | | | 2,068 | |
| | | | | | | | | | | | |
Swaps, at Value | | | | | | | | | | $ | 1,896 | |
| | | | | | | | | | | | |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
261
| | | | |
| Statements of Assets and Liabilities | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL
FUND | | | AQR
GLOBAL
MACRO
FUND** | | | AQR
LONG-SHORT
EQUITY
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | | $2,947,335,830 | | | | $5,399,142 | | | | $33,104,956 | | | | $49,827,080 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value | | | $2,831,758,259 | | | | $5,390,331 | | | | $33,104,956 | | | | $49,827,080 | |
| Cash | | | 29,778,917 | | | | — | | | | 350 | | | | — | |
Foreign currency, at value | | | 5,650,995 | | | | 24,630 | | | | — | | | | 137,472 | |
Due from brokers | | | 261,972,388 | | | | 1,981,669 | | | | 3,064,453 | | | | 491,146 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 6,466,083 | | | | 7,211 | | | | 238,068 | | | | — | |
Swaps, at value | | | 23,614,747 | | | | 329,807 | | | | 145,134 | | | | 3,491,115 | |
Unrealized appreciation on futures contracts | | | 309,803 | | | | — | | | | 392,942 | | | | 930,241 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 19,448,456 | | | | 6,194 | | | | — | | | | 56,749 | |
Foreign tax reclaim | | | 102,845 | | | | 96 | | | | — | | | | — | |
Dividends and interest | | | 13,357,017 | | | | 32 | | | | 129 | | | | 155 | |
Capital shares sold | | | 2,433,920 | | | | 12,500 | | | | 150,236 | | | | 362,702 | |
Due from Investment Advisor | | | — | | | | 22,189 | | | | — | | | | — | |
Due from custodian | | | 2,320,125 | | | | — | | | | — | | | | — | |
Prepaid expenses | | | 256,848 | | | | 62,361 | | | | 47,162 | | | | 28,316 | |
| Total Assets | | | 3,197,470,403 | | | | 7,837,020 | | | | 37,143,430 | | | | 55,324,976 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Securities sold short, at value (proceeds $900,325,973, $1,881,439, $— and $—, respectively) | | | 905,442,911 | | | | 1,862,056 | | | | — | | | | — | |
| Options written, at value (proceeds $2,340,132, $—, $— and $—, respectively) | | | 741,825 | | | | — | | | | — | | | | — | |
Due to custodian | | | — | | | | 34,336 | | | | — | | | | 3,597 | |
Foreign currency due to custodian, at value | | | — | | | | — | | | | 3,739 | | | | — | |
Due to brokers | | | 11,290,000 | | | | — | | | | 284,855 | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | — | | | | 145,635 | |
Swaps, at value | | | 13,535,711 | | | | — | | | | 121,757 | | | | — | |
Unrealized depreciation on futures contracts | | | 12,413,572 | | | | 7,134 | | | | — | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 13,700,491 | | | | 6,171 | | | | — | | | | 56,751 | |
Accrued investment advisory fees | | | 1,947,619 | | | | — | | | | 26,970 | | | | 25,574 | |
Accrued distribution fees—Class N | | | 146,835 | | | | 250 | | | | 220 | | | | 2,163 | |
Accrued trustee fees | | | — | | | | 25 | | | | — | | | | — | |
Capital shares redeemed | | | 10,328,813 | | | | — | | | | 4,858 | | | | 236,490 | |
Dividends and interest payable on securities sold short | | | 1,316,868 | | | | 764 | | | | — | | | | — | |
Other accrued expenses and liabilities | | | 1,297,868 | | | | 37,653 | | | | 82,462 | | | | 72,619 | |
| Total Liabilities | | | 972,162,513 | | | | 1,948,389 | | | | 524,861 | | | | 542,829 | |
| Net Assets | | | $2,225,307,890 | | | | $5,888,631 | | | | $36,618,569 | | | | $54,782,147 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $2,436,092,014 | | | | $5,879,367 | | | | $36,623,368 | | | | $54,651,580 | |
Undistributed (accumulated) net investment income (loss) | | | (8,055,847 | ) | | | (332,715 | ) | | | (1,356,611 | ) | | | (3,498,829 | ) |
Undistributed (accumulated) net realized gain (loss) | | | (97,838,761 | ) | | | 5,117 | | | | 559,832 | | | | (557,344 | ) |
Net unrealized appreciation (depreciation) | | | (104,889,516 | ) | | | 336,862 | | | | 791,980 | | | | 4,186,740 | |
| Net Assets | | | $2,225,307,890 | | | | $5,888,631 | | | | $36,618,569 | | | | $54,782,147 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class I | | | $1,546,685,430 | | | | $1,445,483 | | | | $35,465,943 | | | | $43,666,707 | |
Class N | | | 678,528,488 | | | | 1,233,101 | | | | 1,050,219 | | | | 10,688,087 | |
Class R6 | | | 93,972 | | | | 3,210,047 | | | | 102,407 | | | | 427,353 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class I | | | 152,568,773 | | | | 144,471 | | | | 3,569,196 | | | | 4,018,314 | |
Class N | | | 67,172,038 | | | | 123,239 | | | | 105,875 | | | | 985,542 | |
Class R6 | | | 9,281 | | | | 320,778 | | | | 10,307 | | | | 39,315 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class I | | | $10.14 | | | | $10.01 | | | | $9.94 | | | | $10.87 | |
Class N | | | $10.10 | | | | $10.01 | | | | $9.92 | | | | $10.84 | |
Class R6 | | | $10.13 | | | | $10.01 | | | | $9.94 | | | | $10.87 | |
Foreign currency at cost of $5,886,532, $24,787, $(3,766) and $138,755, respectively.
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
262
| | | | |
| Statements of Assets and Liabilities | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
MANAGED
FUTURES
STRATEGY
FUND** | | | AQR
MANAGED
FUTURES
STRATEGY
HV FUND** | | | AQR
MULTI-
STRATEGY
ALTERNATIVE
FUND** | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND** | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | $ | 6,445,716,688 | | | $ | 178,832,847 | | | $ | 1,263,127,273 | | | $ | 71,643,269 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value | | $ | 6,446,011,117 | | | $ | 178,836,211 | | | $ | 1,349,363,325 | | | $ | 71,643,271 | |
| Cash | | | 5,197,104 | | | | — | | | | 13,283,861 | | | | 300,000 | |
Foreign currency, at value | | | 1,862,454 | | | | 21,384 | | | | 8,042,937 | | | | — | |
Due from brokers | | | 309,212,369 | | | | 9,232,473 | | | | 542,774,540 | | | | 1,166,402 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 66,567,551 | | | | 2,739,576 | | | | 5,072,224 | | | | — | |
Swaps, at value | | | 18,048,438 | | | | 2,130,339 | | | | 84,394,099 | | | | — | |
Unrealized appreciation on futures contracts | | | 209,463,816 | | | | 8,034,990 | | | | 2,289,678 | | | | — | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 1,552,281 | | | | 68,398 | | | | 1,644,915 | | | | — | |
Foreign tax reclaim | | | — | | | | — | | | | 1,185,897 | | | | — | |
Dividends and interest | | | 9,488 | | | | 263 | | | | 1,935,807 | | | | 403 | |
Capital shares sold | | | 20,394,314 | | | | 3,528,163 | | | | 7,785,494 | | | | 679,551 | |
Prepaid expenses | | | 403,850 | | | | 28,768 | | | | 112,173 | | | | 40,122 | |
| Total Assets | | | 7,078,722,782 | | | | 204,620,565 | | | | 2,017,884,950 | | | | 73,829,749 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Securities sold short, at value (proceeds $—, $—, $355,282,352 and $—, respectively) | | | — | | | | — | | | | 424,707,982 | | | | — | |
| Options written, at value (proceeds $—, $—, $104,437 and $—, respectively) | | | — | | | | — | | | | 239,581 | | | | — | |
Due to custodian | | | — | | | | 130,000 | | | | — | | | | — | |
Due to brokers | | | 104,586,769 | | | | 2,796,440 | | | | 8,825,900 | | | | 564,520 | |
Swaps, at value | | | 12,141,765 | | | | 13,394 | | | | 2,334,546 | | | | 5,361,543 | |
Unrealized depreciation on futures contracts | | | — | | | | — | | | | 9,022,946 | | | | 722,171 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 1,552,672 | | | | 68,416 | | | | 1,042,524 | | | | — | |
Accrued investment advisory fees | | | 6,035,157 | | | | 224,987 | | | | 2,300,306 | | | | 14,603 | |
Accrued distribution fees—Class N | | | 274,769 | | | | 1,901 | | | | 17,311 | | | | 1,294 | |
Capital shares redeemed | | | 5,171,223 | | | | 88,313 | | | | 4,776,667 | | | | 355,719 | |
Dividends and interest payable on securities sold short | | | — | | | | — | | | | 355,984 | | | | — | |
Other accrued expenses and liabilities | | | 4,270,874 | | | | 232,514 | | | | 754,068 | | | | 121,139 | |
| Total Liabilities | | | 134,033,229 | | | | 3,555,965 | | | | 454,377,815 | | | | 7,140,989 | |
| Net Assets | | $ | 6,944,689,553 | | | $ | 201,064,600 | | | $ | 1,563,507,135 | | | $ | 66,688,760 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 7,033,715,768 | | | $ | 195,440,255 | | | $ | 1,616,654,195 | | | $ | 75,759,344 | |
Undistributed (accumulated) net investment income (loss) | | | (353,785,167 | ) | | | (13,004,528 | ) | | | (118,003,854 | ) | | | (2,974,242 | ) |
Undistributed (accumulated) net realized gain (loss) | | | (17,034,443 | ) | | | 5,751,628 | | | | (27,840,083 | ) | | | (12,630 | ) |
Net unrealized appreciation (depreciation) | | | 281,793,395 | | | | 12,877,245 | | | | 92,696,877 | | | | (6,083,712 | ) |
| Net Assets | | $ | 6,944,689,553 | | | $ | 201,064,600 | | | $ | 1,563,507,135 | | | $ | 66,688,760 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class I | | $ | 5,633,607,124 | | | $ | 146,261,163 | | | $ | 1,443,798,613 | | | $ | 46,442,651 | |
Class N | | | 1,310,969,433 | | | | 9,367,013 | | | | 84,480,441 | | | | 4,763,616 | |
Class R6 | | | 112,996 | | | | 45,436,424 | | | | 35,228,081 | | | | 15,482,493 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class I | | | 530,096,760 | | | | 13,022,456 | | | | 147,968,675 | | | | 6,649,535 | |
Class N | | | 124,354,461 | | | | 835,483 | | | | 8,674,153 | | | | 686,315 | |
Class R6 | | | 10,639 | | | | 4,047,305 | | | | 3,611,564 | | | | 2,214,833 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class I | | | $10.63 | | | | $11.23 | | | | $9.76 | | | | $6.98 | |
Class N | | | $10.54 | | | | $11.21 | | | | $9.74 | | | | $6.94 | |
Class R6 | | | $10.62 | | | | $11.23 | | | | $9.75 | | | | $6.99 | |
Foreign currency at cost of $1,891,943, $21,635, $8,264,619 and $—, respectively.
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
263
| | | | |
| Statements of Assets and Liabilities | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
RISK
PARITY
FUND** | | | AQR
RISK
PARITY II
HV FUND** | | | AQR
RISK
PARITY II
MV FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
FUND** | |
| ASSETS: | | | | | | | | | | | | | | | | |
Investments in securities, at cost | | | $618,416,065 | | | | $50,318,098 | | | | $114,541,562 | | | | $593,630,722 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities, at value | | | $611,837,623 | | | | $49,460,557 | | | | $113,179,082 | | | | $584,645,340 | |
| Cash | | | 1,608,684 | | | | 3,476 | | | | — | | | | 56,064 | |
Foreign currency, at value | | | 1,855,406 | | | | 40,545 | | | | 113,371 | | | | 639,916 | |
Due from brokers | | | 6,950,359 | | | | 1,661,647 | | | | 2,494,061 | | | | 36,681,258 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | 137,764 | | | | 203,793 | | | | 2,462,754 | |
Swaps, at value | | | 16,987,659 | | | | 577,101 | | | | 597,341 | | | | 17,067,926 | |
Unrealized appreciation on futures contracts | | | 4,834,575 | | | | 1,198,783 | | | | 1,906,055 | | | | 2,238,282 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 14,207 | | | | 7,462 | | | | 17,695 | | | | 1,565,679 | |
Foreign tax reclaim | | | — | | | | — | | | | — | | | | 277,835 | |
Dividends and interest | | | 481,131 | | | | 48,429 | | | | 71,104 | | | | 145,824 | |
Capital shares sold | | | 603,603 | | | | 208,073 | | | | 6,313 | | | | 56,573,509 | |
Prepaid expenses | | | 100,170 | | | | 31,240 | | | | 41,946 | | | | 51,804 | |
| Total Assets | | | 645,273,417 | | | | 53,375,077 | | | | 118,630,761 | | | | 702,406,191 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Securities sold short, at value (proceeds $—, $—, $— and $169,892,486, respectively) | | | — | | | | — | | | | — | | | | 161,562,941 | |
Due to custodian | | | — | | | | — | | | | 5 | | | | — | |
Due to brokers | | | 8,480,704 | | | | 312,738 | | | | 314,992 | | | | 3,836,173 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 1,883,546 | | | | — | | | | — | | | | — | |
Swaps, at value | | | 11,108,466 | | | | 2,144,589 | | | | 3,014,438 | | | | 687,015 | |
Unrealized depreciation on futures contracts | | | 23,622 | | | | 492,239 | | | | 735,912 | | | | 5,395,985 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 14,211 | | | | 7,464 | | | | 17,700 | | | | 876,109 | |
Accrued investment advisory fees | | | 436,496 | | | | 21,503 | | | | 32,650 | | | | 426,013 | |
Accrued distribution fees—Class N | | | 8,316 | | | | 1,716 | | | | 1,441 | | | | 5,390 | |
Capital shares redeemed | | | 2,688,604 | | | | 64,351 | | | | 10,447 | | | | 40,121,897 | |
Dividends and interest payable on securities sold short | | | — | | | | — | | | | — | | | | 162,812 | |
Other accrued expenses and liabilities | | | 374,646 | | | | 123,412 | | | | 138,460 | | | | 198,978 | |
| Total Liabilities | | | 25,018,611 | | | | 3,168,012 | | | | 4,266,045 | | | | 213,273,313 | |
| Net Assets | | | $620,254,806 | | | | $50,207,065 | | | | $114,364,716 | | | | $489,132,878 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $625,952,341 | | | | $50,587,208 | | | | $115,065,060 | | | | $507,824,106 | |
Undistributed (accumulated) net investment income (loss) | | | 1,562,779 | | | | 678,142 | | | | 1,024,360 | | | | (27,093,370 | ) |
Undistributed (accumulated) net realized gain (loss) | | | 3,284,544 | | | | 528,438 | | | | 689,263 | | | | (6,716,241 | ) |
Net unrealized appreciation (depreciation) | | | (10,544,858 | ) | | | (1,586,723 | ) | | | (2,413,967 | ) | | | 15,118,383 | |
| Net Assets | | | $620,254,806 | | | | $50,207,065 | | | | $114,364,716 | | | | $489,132,878 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Class I | | | $583,926,805 | | | | $42,278,663 | | | | $106,473,068 | | | | $387,666,359 | |
Class N | | | 36,231,976 | | | | 7,833,547 | | | | 7,795,063 | | | | 26,594,173 | |
Class R6 | | | 96,025 | | | | 94,855 | | | | 96,585 | | | | 74,872,346 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
Class I | | | 57,585,796 | | | | 4,427,252 | | | | 10,758,104 | | | | 39,308,249 | |
Class N | | | 3,571,499 | | | | 819,606 | | | | 790,138 | | | | 2,694,354 | |
Class R6 | | | 9,472 | | | | 9,937 | | | | 9,763 | | | | 7,587,508 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
Class I | | | $10.14 | | | | $9.55 | | | | $9.90 | | | | $9.86 | |
Class N | | | $10.14 | | | | $9.56 | | | | $9.87 | | | | $9.87 | |
Class R6 | | | $10.14 | | | | $9.55 | | | | $9.89 | | | | $9.87 | |
Foreign currency at cost of $1,975,224, $41,065, $114,402 and $652,042, respectively.
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
264
| | | | |
| Statements of Assets and Liabilities | | | December 31, 2014 | |
| | | | |
| | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| ASSETS: | | | | |
Investments in securities, at cost | | | $67,964,459 | |
| | | | | |
Investments in securities, at value | | | $67,482,617 | |
Due from brokers | | | 4,642,654 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 96,193 | |
Swaps, at value | | | 346,078 | |
Unrealized appreciation on futures contracts | | | 137,147 | |
| Receivables: | | | | |
Securities sold | | | 3,689,422 | |
Foreign tax reclaim | | | 623 | |
Dividends and interest | | | 6,762 | |
Capital shares sold | | | 207,796 | |
Due from Investment Advisor | | | 16,780 | |
Prepaid expenses | | | 64,519 | |
| Total Assets | | | 76,690,591 | |
| LIABILITIES: | | | | |
Securities sold short, at value (proceeds $11,194,359) | | | 10,700,278 | |
Due to custodian | | | 1,368,996 | |
Foreign currency due to custodian, at value | | | 93,677 | |
Due to brokers | | | 2,200 | |
Unrealized depreciation on futures contracts | | | 266,727 | |
| Payables: | | | | |
Securities purchased | | | 3,723,756 | |
Accrued distribution fees—Class N | | | 1,758 | |
Accrued trustee fees | | | 72 | |
Capital shares redeemed | | | 26,204 | |
Dividends and interest payable on securities sold short | | | 5,904 | |
Other accrued expenses and liabilities | | | 135,117 | |
| Total Liabilities | | | 16,324,689 | |
| Net Assets | | | $60,365,902 | |
| | | | | |
| NET ASSETS CONSIST OF: | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | | $60,286,394 | |
Undistributed (accumulated) net investment income (loss) | | | (795,466 | ) |
Undistributed (accumulated) net realized gain (loss) | | | 548,399 | |
Net unrealized appreciation (depreciation) | | | 326,575 | |
| Net Assets | | | $60,365,902 | |
| | | | | |
| NET ASSETS: | | | | |
Class I | | | $28,094,401 | |
Class N | | | 8,576,652 | |
Class R6 | | | 23,694,849 | |
| SHARES OUTSTANDING: | | | | |
Class I | | | 2,760,295 | |
Class N | | | 843,532 | |
Class R6 | | | 2,329,001 | |
| NET ASSET VALUE: | | | | |
Class I | | | $10.18 | |
Class N | | | $10.17 | |
Class R6 | | | $10.17 | |
Foreign currency at cost $(93,576).
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
265
| | | | |
| Statements of Operations | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL
FUND | | | AQR
GLOBAL
MACRO
FUND** | | | AQR
LONG-SHORT
EQUITY
FUND | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD
10/07/14*-
12/31/14 | | | FOR THE PERIOD
04/08/14*-
12/31/14 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $56,260,502 | | | | $7,421 | | | | $579 | | | | $14 | |
Interest income | | | 51,894,210 | | | | — | | | | 2,047 | | | | — | |
| Total Income | | | 108,154,712 | | | | 7,421 | | | | 2,626 | | | | 14 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 27,087,992 | | | | 13,879 | | | | 283,411 | | | | 213,352 | |
Custody fees | | | 239,975 | | | | 1,496 | | | | 12,223 | | | | 7,115 | |
Administration & accounting fees | | | 629,025 | | | | 494 | | | | 7,098 | | | | 6,071 | |
Legal fees | | | 160,668 | | | | 4,792 | | | | 12,225 | | | | 64,325 | |
Audit & tax fees | | | 242,982 | | | | 43,975 | | | | 77,248 | | | | 44,529 | |
Shareholder reporting fees | | | 373,593 | | | | 217 | | | | 4,678 | | | | 3,783 | |
Transfer agent fees | | | 3,141,060 | | | | 4,413 | | | | 14,673 | | | | 21,511 | |
Trustee fees | | | 141,501 | | | | 49 | | | | 918 | | | | 425 | |
Organization and offering costs | | | — | | | | 5,822 | | | | 63,613 | | | | 21,959 | |
Distribution fees—Class N | | | 1,898,137 | | | | 624 | | | | 1,831 | | | | 6,645 | |
Dividends and interest on securities sold short | | | 18,267,228 | | | | 4,199 | | | | — | | | | — | |
Registration fees | | | 65,125 | | | | 11,312 | | | | 31,279 | | | | 37,720 | |
Pricing fee | | | 267,620 | | | | 3,924 | | | | 16,999 | | | | 26,474 | |
Other expenses | | | 178,716 | | | | 903 | | | | 23,333 | | | | 2,638 | |
| Total Expenses | | | 52,693,622 | | | | 96,099 | | | | 549,529 | | | | 456,547 | |
| | | | |
Less fee waivers and/or reimbursements | | | (6,760 | ) | | | (75,598 | ) | | | (218,797 | ) | | | (197,735 | ) |
| Net Expenses | | | 52,686,862 | | | | 20,501 | | | | 330,732 | | | | 258,812 | |
| Net Investment Income (Loss) | | | 55,467,850 | | | | (13,080 | ) | | | (328,106 | ) | | | (258,798 | ) |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 92,835,510 | | | | 12,059 | | | | 536 | | | | — | |
Foreign currency and foreign currency transactions | | | (2,832,193 | ) | | | 444 | | | | 19,809 | | | | (15,701 | ) |
Forward foreign currency exchange contracts | | | 5,899,941 | | | | 12,786 | | | | 486,961 | | | | (477,299 | ) |
Futures contracts | | | (66,260,562 | ) | | | (19,496 | ) | | | (760,177 | ) | | | 277,868 | |
Securities sold short | | | (96,436,775 | ) | | | (233 | ) | | | — | | | | — | |
Swap contracts | | | (10,909,073 | ) | | | (20,421 | ) | | | (42,737 | ) | | | 196,220 | |
Written options | | | 2,528,855 | | | | — | | | | — | | | | — | |
| Net realized gain (loss) | | | (75,174,297 | ) | | | (14,861 | ) | | | (295,608 | ) | | | (18,912 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (207,260,940 | ) | | | (8,811 | ) | | | — | | | | — | |
Foreign currency and foreign currency translations | | | (316,880 | ) | | | (3,594 | ) | | | 24,263 | | | | (87,831 | ) |
Forward foreign currency exchange contracts | | | 7,062,468 | | | | 7,211 | | | | 238,068 | | | | (145,188 | ) |
Futures contracts | | | (535,222 | ) | | | (7,134 | ) | | | 392,942 | | | | 848,762 | |
Securities sold short | | | 76,223,695 | | | | 19,383 | | | | — | | | | — | |
Swap contracts | | | (3,188,733 | ) | | | 329,807 | | | | 136,707 | | | | 3,226,570 | |
Written options | | | 1,661,622 | | | | — | | | | — | | | | — | |
| Net change in unrealized appreciation (depreciation) | | | (126,353,990 | ) | | | 336,862 | | | | 791,980 | | | | 3,842,313 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (201,528,287 | ) | | | 322,001 | | | | 496,372 | | | | 3,823,401 | |
| Net increase (decrease) in net assets resulting from operations | | | $(146,060,437 | ) | | | $308,921 | | | | $168,266 | | | | $3,564,603 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $195,371 | | | | $480 | | | | $— | | | | $— | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
266
| | | | |
| Statements of Operations | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR
MANAGED
FUTURES
STRATEGY
FUND** | | | AQR
MANAGED
FUTURES
STRATEGY
HV FUND** | | | AQR
MULTI-
STRATEGY
ALTERNATIVE
FUND** | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $166,664 | | | | $958 | | | | $22,897,773 | | | | $4,773 | |
Interest income | | | 1,909,917 | | | | 35,883 | | | | 10,550,898 | | | | 733 | |
| Total Income | | | 2,076,581 | | | | 36,841 | | | | 33,448,671 | | | | 5,506 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 65,534,388 | | | | 1,894,411 | | | | 27,702,256 | | | | 397,594 | |
Shareholder servicing fees | | | — | | | | — | | | | — | | | | 28,540 | |
Custody fees | | | 600,562 | | | | 17,406 | | | | 389,489 | | | | 13,002 | |
Administration & accounting fees | | | 2,284,012 | | | | 47,104 | | | | 560,112 | | | | 19,192 | |
Legal fees | | | 236,182 | | | | 38,383 | | | | 69,995 | | | | 2,630 | |
Audit & tax fees | | | 121,173 | | | | 115,043 | | | | 242,193 | | | | 119,558 | |
Shareholder reporting fees | | | 1,135,629 | | | | 21,831 | | | | 206,917 | | | | 12,058 | |
Transfer agent fees | | | 6,141,907 | | | | 95,754 | | | | 1,096,589 | | | | 70,841 | |
Trustee fees | | | 310,164 | | | | 5,648 | | | | 78,227 | | | | 2,602 | |
Organization and offering costs | | | — | | | | 14,227 | | | | — | | | | — | |
Distribution fees—Class N | | | 3,336,467 | | | | 16,008 | | | | 196,294 | | | | 20,434 | |
Dividends and interest on securities sold short | | | — | | | | — | | | | 25,566,070 | | | | — | |
Registration fees | | | 242,925 | | | | 39,233 | | | | 78,081 | | | | 31,363 | |
Pricing fee | | | — | | | | — | | | | 22,086 | | | | — | |
Other expenses | | | 410,649 | | | | 15,025 | | | | 108,656 | | | | 7,842 | |
| Total Expenses | | | 80,354,058 | | | | 2,320,073 | | | | 56,316,965 | | | | 725,656 | |
| | | | |
| Less fee waivers and/or reimbursements | | | (13,511 | ) | | | (146,066 | ) | | | (233,795 | ) | | | (173,512 | ) |
| Net Expenses | | | 80,340,547 | | | | 2,174,007 | | | | 56,083,170 | | | | 552,144 | |
| Net Investment Income (Loss) | | | (78,263,966 | ) | | | (2,137,166 | ) | | | (22,634,499 | ) | | | (546,638 | ) |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 2,571 | | | | (17 | ) | | | 183,232,627 | | | | (1,038 | ) |
Foreign currency and foreign currency transactions | | | 102,637 | | | | 9,612 | | | | (2,513,885 | ) | | | — | |
Forward foreign currency exchange contracts | | | 228,217,811 | | | | 11,506,281 | | | | 42,293,381 | | | | — | |
Futures contracts | | | 299,127,435 | | | | 9,093,885 | | | | (66,045,852 | ) | | | (1,244,899 | ) |
Securities sold short | | | — | | | | — | | | | (100,496,773 | ) | | | — | |
Swap contracts | | | 154,709,273 | | | | 7,372,785 | | | | 95,562,504 | | | | (6,801,874 | ) |
Written options | | | — | | | | — | | | | 259,320 | | | | — | |
| Net realized gain (loss) | | | 682,159,727 | | | | 27,982,546 | | | | 152,291,322 | | | | (8,047,811 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | 215,859 | | | | 3,088 | | | | (149,650,921 | ) | | | (153 | ) |
Foreign currency and foreign currency translations | | | (894,205 | ) | | | (20,241 | ) | | | (1,820,213 | ) | | | — | |
Forward foreign currency exchange contracts | | | (46,184,801 | ) | | | 1,719,440 | | | | 544,059 | | | | — | |
Futures contracts | | | 86,772,768 | | | | 6,954,253 | | | | (3,834,469 | ) | | | (556,472 | ) |
Securities sold short | | | — | | | | — | | | | 84,256,510 | | | | — | |
Swap contracts | | | (14,059,854 | ) | | | 2,142,954 | | | | 49,095,152 | | | | (4,789,316 | ) |
Written options | | | — | | | | — | | | | (143,949 | ) | | | — | |
| Net change in unrealized appreciation (depreciation) | | | 25,849,767 | | | | 10,799,494 | | | | (21,553,831 | ) | | | (5,345,941 | ) |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 708,009,494 | | | | 38,782,040 | | | | 130,737,491 | | | | (13,393,752 | ) |
| Net increase (decrease) in net assets resulting from operations | | | $629,745,528 | | | | $36,644,874 | | | | $108,102,992 | | | | ($13,940,390 | ) |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $— | | | | $— | | | | $2,754,404 | | | | $— | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
267
| | | | |
| Statements of Operations | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY
FUND** | | | AQR RISK PARITY II
HV FUND** | | | AQR RISK PARITY II
MV FUND** | | | AQR STYLE
PREMIA
ALTERNATIVE
FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income† | | | $18,992 | | | | $389 | | | | $1,552 | | | | $7,651,976 | |
Interest income | | | 4,424,101 | | | | 417,722 | | | | 514,623 | | | | — | |
| Total Income | | | 4,443,093 | | | | 418,111 | | | | 516,175 | | | | 7,651,976 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 5,986,294 | | | | 386,721 | | | | 583,042 | | | | 6,516,045 | |
Shareholder servicing fees | | | — | | | | 30,273 | | | | 42,606 | | | | — | |
Custody fees | | | 44,962 | | | | 24,603 | | | | 15,479 | | | | 14,710 | |
Administration & accounting fees | | | 290,426 | | | | 15,360 | | | | 29,776 | | | | 156,184 | |
Legal fees | | | 27,607 | | | | 6,865 | | | | 7,153 | | | | 70,986 | |
Audit & tax fees | | | 136,514 | | | | 119,557 | | | | 119,558 | | | | 110,028 | |
Shareholder reporting fees | | | 92,045 | | | | 6,888 | | | | 13,664 | | | | 52,529 | |
Transfer agent fees | | | 464,429 | | | | 35,704 | | | | 77,143 | | | | 155,759 | |
Trustee fees | | | 43,321 | | | | 2,015 | | | | 3,914 | | | | 23,865 | |
Organization and offering costs | | | — | | | | — | | | | — | | | | 24,336 | |
Distribution fees—Class N | | | 137,826 | | | | 23,370 | | | | 16,786 | | | | 52,705 | |
Dividends and interest on securities sold short and reverse repurchase agreements | | | — | | | | 19,948 | | | | — | | | | 5,083,036 | |
Recoupment of waiver | | | 15,985 | | | | — | | | | — | | | | 4,579 | |
Registration fees | | | 57,101 | | | | 29,123 | | | | 37,133 | | | | 48,758 | |
Pricing fee | | | 7,608 | | | | 5 | | | | 5 | | | | 17,508 | |
Other expenses | | | 45,283 | | | | 5,243 | | | | 6,649 | | | | 84,119 | |
| Total Expenses | | | 7,349,401 | | | | 705,675 | | | | 952,908 | | | | 12,415,147 | |
| | | | |
| Less fee waivers and/or reimbursements | | | (1) | | | | (156,918) | | | | (142,423) | | | | (27,257) | |
| Net Expenses | | | 7,349,400 | | | | 548,757 | | | | 810,485 | | | | 12,387,890 | |
| Net Investment Income (Loss) | | | (2,906,307) | | | | (130,646) | | | | (294,310) | | | | (4,735,914) | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Investments in securities | | | 2,083,148 | | | | 95,819 | | | | 135,864 | | | | 21,087,584 | |
Foreign currency and foreign currency transactions | | | 1,045,759 | | | | (13,990) | | | | (16,637) | | | | 176,334 | |
Forward foreign currency exchange contracts | | | 13,412,570 | | | | 928,121 | | | | 1,390,731 | | | | 13,279,255 | |
Futures contracts | | | 28,515,426 | | | | 4,434,884 | | | | 5,534,765 | | | | (625,177) | |
Securities sold short | | | — | | | | — | | | | — | | | | (8,838,015) | |
Swap contracts | | | 41,026,376 | | | | 48,749 | | | | (849,978) | | | | 24,372,920 | |
| Net realized gain (loss) | | | 86,083,279 | | | | 5,493,583 | | | | 6,194,745 | | | | 49,452,901 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investments in securities | | | (7,129,702) | | | | (815,862) | | | | (1,292,027) | | | | (15,410,170) | |
Foreign currency and foreign currency translations | | | 369,516 | | | | (6,530) | | | | (9,382) | | | | 121,680 | |
Forward foreign currency exchange contracts | | | (375,013) | | | | 170,195 | | | | 252,690 | | | | 2,087,994 | |
Futures contracts | | | (2,275,353) | | | | 296,486 | | | | 986,827 | | | | (6,849,163) | |
Securities sold short | | | — | | | | — | | | | — | | | | 15,764,625 | |
Swap contracts | | | (14,007,993) | | | | (1,606,004) | | | | (2,659,372) | | | | 19,125,828 | |
| Net change in unrealized appreciation (depreciation) | | | (23,418,545) | | | | (1,961,715) | | | | (2,721,264) | | | | 14,840,794 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 62,664,734 | | | | 3,531,868 | | | | 3,473,481 | | | | 64,293,695 | |
| Net increase (decrease) in net assets resulting from operations | | | $59,758,427 | | | | $3,401,222 | | | | $3,179,171 | | | | $59,557,781 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $— | | | | $— | | | | $— | | | | $1,068,154 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
268
| | | | |
| Statements of Operations | | | December 31, 2014 | |
| | | | |
| | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| | | FOR THE PERIOD
09/17/14*
-12/31/14 | |
| INVESTMENT INCOME: | | | | |
Dividend income† | | | $53,443 | |
| Total Income | | | 53,443 | |
| |
| EXPENSES: | | | | |
Investment advisory fees | | | 56,880 | |
Custody fees | | | 450 | |
Administration & accounting fees | | | 3,553 | |
Legal fees | | | 8,071 | |
Audit & tax fees | | | 100,300 | |
Shareholder reporting fees | | | 1,068 | |
Transfer agent fees | | | 6,332 | |
Trustee fees | | | 261 | |
Organization and offering costs | | | 7,191 | |
Distribution fees—Class N | | | 2,356 | |
Dividends and interest on securities sold short | | | 20,716 | |
Registration fees | | | 14,142 | |
Pricing fee | | | 5,467 | |
Other expenses | | | 2,355 | |
| Total Expenses | | | 229,142 | |
| |
| Less fee waivers and/or reimbursements | | | (138,312) | |
| Net Expenses | | | 90,830 | |
| Net Investment Income (Loss) | | | (37,387) | |
| |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | |
| Net realized gain (loss) from: | | | | |
Investments in securities | | | 16,865 | |
Foreign currency and foreign currency transactions | | | (2,206) | |
Forward foreign currency exchange contracts | | | 301,925 | |
Futures contracts | | | (145,411) | |
Securities sold short | | | 28,849 | |
Swap contracts | | | 282,088 | |
| Net realized gain (loss) | | | 482,110 | |
| |
| Net change in unrealized appreciation (depreciation) on: | | | | |
Investments in securities | | | (481,842) | |
Foreign currency and foreign currency translations | | | 1,645 | |
Forward foreign currency exchange contracts | | | 96,193 | |
Futures contracts | | | (129,580) | |
Securities sold short | | | 494,081 | |
Swap contracts | | | 346,078 | |
| Net change in unrealized appreciation (depreciation) | | | 326,575 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 808,685 | |
| Net increase (decrease) in net assets resulting from operations | | | $771,298 | |
| | | | | |
† Net of foreign taxes withheld of | | | $9,730 | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
269
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | |
| | | AQR DIVERSIFIED
ARBITRAGE FUND | | | AQR EQUITY
MARKET
NEUTRAL FUND | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE PERIOD
10/07/14*-
12/31/14 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $55,467,850 | | | | $38,088,437 | | | | $(13,080 | ) |
Net realized gain (loss) | | | (75,174,297 | ) | | | (17,054,593 | ) | | | (14,861 | ) |
Net change in unrealized appreciation (depreciation) | | | (126,353,990 | ) | | | 22,579,937 | | | | 336,862 | |
Net increase (decrease) in net assets resulting from operations | | | (146,060,437 | ) | | | 43,613,781 | | | | 308,921 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | (30,805,978 | ) | | | (29,570,772 | ) | | | (84,782 | ) |
Class N | | | (11,376,648 | ) | | | (10,955,754 | ) | | | (66,536 | ) |
Class R6 | | | (1,920 | ) | | | — | | | | (176,241 | ) |
Total | | | (42,184,546 | ) | | | (40,526,526 | ) | | | (327,559 | ) |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | — | | | | (12,468,588 | ) | | | — | |
Class N | | | — | | | | (5,475,329 | ) | | | — | |
Total | | | — | | | | (17,943,917 | ) | | | — | |
| Return of capital: | | | | | | | | | | | | |
Class I | | | — | | | | (15,100,534 | ) | | | (708 | ) |
Class N | | | — | | | | (6,624,075 | ) | | | (613 | ) |
Class R6 | | | — | | | | — | | | | (1,779 | ) |
Total | | | — | | | | (21,724,609 | ) | | | (3,100 | ) |
Total distributions | | | (42,184,546 | ) | | | (80,195,052 | ) | | | (330,659 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 761,610,218 | | | | 853,020,321 | | | | 1,787,490 | |
Reinvestment of distributions | | | 23,069,874 | | | | 47,464,198 | | | | 85,490 | |
Cost of shares redeemed | | | (978,469,368 | ) | | | (751,220,427 | ) | | | (412,526 | ) |
Net increase (decrease) from capital transactions | | | (193,789,276 | ) | | | 149,264,092 | | | | 1,460,454 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 197,396,546 | | | | 298,155,480 | | | | 1,175,276 | |
Reinvestment of distributions | | | 10,346,737 | | | | 20,315,353 | | | | 67,149 | |
Cost of shares redeemed | | | (313,338,405 | ) | | | (232,413,627 | ) | | | (530 | ) |
Net increase (decrease) from capital transactions | | | (105,595,122 | ) | | | 86,057,206 | | | | 1,241,895 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | 3,030,000 | |
Reinvestment of distributions | | | 1,920 | | | | — | | | | 178,020 | |
Net increase (decrease) from capital transactions | | | 101,920 | | | | — | | | | 3,208,020 | |
Net increase (decrease) in net assets resulting from capital transactions | | | (299,282,478 | ) | | | 235,321,298 | | | | 5,910,369 | |
Total increase (decrease) in net assets | | | (487,527,461 | ) | | | 198,740,027 | | | | 5,888,631 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | 2,712,835,351 | | | | 2,514,095,324 | | | | — | |
End of period | | | $2,225,307,890 | | | | $2,712,835,351 | | | | $5,888,631 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $(8,055,847 | ) | | | $(14,073,713 | ) | | | $(332,715 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
270
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | |
| | | AQR DIVERSIFIED
ARBITRAGE FUND | | | AQR EQUITY
MARKET
NEUTRAL FUND | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE PERIOD
10/07/14*-
12/31/14 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 172,057,279 | | | | 158,688,997 | | | | — | |
Shares sold | | | 69,963,023 | | | | 76,411,318 | | | | 177,332 | |
Shares issued on reinvestment of distributions | | | 2,279,632 | | | | 4,354,773 | | | | 8,506 | |
Shares redeemed | | | (91,731,161 | ) | | | (67,397,809 | ) | | | (41,367 | ) |
Shares outstanding, end of period | | | 152,568,773 | | | | 172,057,279 | | | | 144,471 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 76,969,086 | | | | 69,181,212 | | | | — | |
Shares sold | | | 18,245,229 | | | | 26,829,009 | | | | 116,610 | |
Shares issued on reinvestment of distributions | | | 1,025,444 | | | | 1,870,652 | | | | 6,682 | |
Shares redeemed | | | (29,067,721 | ) | | | (20,911,787 | ) | | | (53 | ) |
Shares outstanding, end of period | | | 67,172,038 | | | | 76,969,086 | | | | 123,239 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | |
Shares sold | | | 9,091 | | | | — | | | | 303,065 | |
Shares issued on reinvestment of distributions | | | 190 | | | | — | | | | 17,713 | |
Shares outstanding, end of period | | | 9,281 | | | | — | | | | 320,778 | |
| | * | 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 | | | | | | December 2014 | | |
| | | | | | | | | | |
271
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | |
| | | AQR GLOBAL
MACRO FUND** | | | AQR LONG-SHORT EQUITY FUND | |
| | | FOR THE PERIOD
4/08/14*-
12/31/14 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD
7/16/13*-
12/31/13 | |
| OPERATIONS: | | | | | | | | | | | | |
Net investment income (loss) | | | $(328,106 | ) | | | $(258,798 | ) | | | $(33,862 | ) |
Net realized gain (loss) | | | (295,608 | ) | | | (18,912 | ) | | | 285,657 | |
Net change in unrealized appreciation (depreciation) | | | 791,980 | | | | 3,842,313 | | | | 344,427 | |
Net increase (decrease) in net assets resulting from operations | | | 168,266 | | | | 3,564,603 | | | | 596,222 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | — | | | | (2,729,179 | ) | | | (316,646 | ) |
Class N | | | — | | | | (654,639 | ) | | | (52,907 | ) |
Class R6 | | | — | | | | (27,208 | ) | | | — | |
Total | | | — | | | | (3,411,026 | ) | | | (369,553 | ) |
| Net realized gain: | | | | | | | | | | | | |
Class I | | | (63,628 | ) | | | (354,882 | ) | | | (107,112 | ) |
Class N | | | (1,903 | ) | | | (84,612 | ) | | | (18,230 | ) |
Class R6 | | | (187 | ) | | | (3,512 | ) | | | — | |
Total | | | (65,718 | ) | | | (443,006 | ) | | | (125,342 | ) |
| Return of capital: | | | | | | | | | | | | |
Class I | | | — | | | | (117,680 | ) | | | — | |
Class N | | | — | | | | (18,740 | ) | | | — | |
Class R6 | | | — | | | | (1,022 | ) | | | — | |
Total | | | — | | | | (137,442 | ) | | | — | |
Total distributions | | | (65,718 | ) | | | (3,991,474 | ) | | | (494,895 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 48,818,406 | | | | 43,091,168 | | | | 4,751,453 | |
Reinvestment of distributions | | | 62,389 | | | | 3,161,208 | | | | 423,758 | |
Cost of shares redeemed | | | (13,522,273 | ) | | | (7,568,381 | ) | | | (11,827 | ) |
Net increase (decrease) from capital transactions | | | 35,358,522 | | | | 38,683,995 | | | | 5,163,384 | |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,083,274 | | | | 11,177,580 | | | | 1,087,057 | |
Reinvestment of distributions | | | 1,903 | | | | 749,097 | | | | 71,137 | |
Cost of shares redeemed | | | (27,865 | ) | | | (2,007,478 | ) | | | (266,708 | ) |
Net increase (decrease) from capital transactions | | | 1,057,312 | | | | 9,919,199 | | | | 891,486 | |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | 417,885 | (a) | | | — | |
Reinvestment of distributions | | | 187 | | | | 31,742 | | | | — | |
Net increase (decrease) from capital transactions | | | 100,187 | | | | 449,627 | | | | — | |
Net increase (decrease) in net assets resulting from capital transactions | | | 36,516,021 | | | | 49,052,821 | | | | 6,054,870 | |
Total increase (decrease) in net assets | | | 36,618,569 | | | | 48,625,950 | | | | 6,156,197 | |
| | | |
| NET ASSETS: | | | | | | | | | | | | |
Beginning of period | | | — | | | | 6,156,197 | | | | — | |
End of period | | | $36,618,569 | | | | $54,782,147 | | | | $6,156,197 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $(1,356,611 | ) | | | $(3,498,829 | ) | | | $(252,842 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
272
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | |
| | | AQR GLOBAL
MACRO FUND** | | | AQR LONG-SHORT EQUITY FUND | |
| | | FOR THE PERIOD
4/08/14*-
12/31/14 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD
7/16/13*-
12/31/13 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | |
| CLASS I | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | 513,771 | | | | — | |
Shares sold | | | 4,933,146 | | | | 3,887,179 | | | | 473,112 | |
Shares issued on reinvestment of distributions | | | 6,308 | | | | 288,168 | | | | 41,832 | |
Shares redeemed | | | (1,370,258 | ) | | | (670,804 | ) | | | (1,173 | ) |
Shares outstanding, end of period | | | 3,569,196 | | | | 4,018,314 | | | | 513,771 | |
| CLASS N | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | 89,144 | | | | — | |
Shares sold | | | 108,567 | | | | 1,003,577 | | | | 108,364 | |
Shares issued on reinvestment of distributions | | | 193 | | | | 68,411 | | | | 7,022 | |
Shares redeemed | | | (2,885 | ) | | | (175,590 | ) | | | (26,242 | ) |
Shares outstanding, end of period | | | 105,875 | | | | 985,542 | | | | 89,144 | |
| CLASS R6 | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | (a) | | | — | |
Shares sold | | | 10,288 | | | | 36,421 | | | | — | |
Shares issued on reinvestment of distributions | | | 19 | | | | 2,894 | | | | — | |
Shares outstanding, end of period | | | 10,307 | | | | 39,315 | | | | — | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | (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 | | | | | | December 2014 | | |
| | | | | | | | | | |
273
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR MANAGED FUTURES
STRATEGY FUND** | | | AQR MANAGED FUTURES
STRATEGY HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD
7/16/13*-
12/31/13 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $(78,263,966 | ) | | | $(51,865,139 | ) | | | $(2,137,166 | ) | | | $(224,405 | ) |
Net realized gain (loss) | | | 682,159,727 | | | | 254,277,194 | | | | 27,982,546 | | | | 761,930 | |
Net change in unrealized appreciation (depreciation) | | | 25,849,767 | | | | 179,213,487 | | | | 10,799,494 | | | | 2,077,751 | |
Net increase (decrease) in net assets resulting from operations | | | 629,745,528 | | | | 381,625,542 | | | | 36,644,874 | | | | 2,615,276 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (220,437,134 | ) | | | — | | | | (13,390,213 | ) | | | — | |
Class N | | | (46,941,973 | ) | | | — | | | | (636,578 | ) | | | — | |
Class R6 | | | (4,374 | ) | | | — | | | | (8,393 | ) | | | — | |
Total | | | (267,383,481 | ) | | | — | | | | (14,035,184 | ) | | | — | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (263,407,986 | ) | | | (44,703,867 | ) | | | (4,057,424 | ) | | | (37,471 | ) |
Class N | | | (60,693,546 | ) | | | (13,828,173 | ) | | | (198,548 | ) | | | (2,323 | ) |
Class R6 | | | (5,125 | ) | | | — | | | | (2,529 | ) | | | — | |
Total | | | (324,106,657 | ) | | | (58,532,040 | ) | | | (4,258,501 | ) | | | (39,794 | ) |
Total distributions | | | (591,490,138 | ) | | | (58,532,040 | ) | | | (18,293,685 | ) | | | (39,794 | ) |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,628,023,103 | | | | 2,963,680,604 | | | | 186,205,825 | | | | 37,265,431 | |
Reinvestment of distributions | | | 376,407,901 | | | | 35,641,387 | | | | 12,480,048 | | | | 37,471 | |
Cost of shares redeemed | | | (1,916,986,986 | ) | | | (888,754,364 | ) | | | (106,972,499 | ) | | | (2,656,317 | ) |
Net increase (decrease) from capital transactions | | | 1,087,444,018 | | | | 2,110,567,627 | | | | 91,713,374 | | | | 34,646,585 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 501,774,445 | | | | 1,012,924,117 | | | | 9,131,352 | | | | 2,502,670 | |
Reinvestment of distributions | | | 106,513,303 | | | | 13,776,405 | | | | 835,126 | | | | 2,323 | |
Cost of shares redeemed | | | (703,673,411 | ) | | | (210,372,539 | ) | | | (2,754,447 | ) | | | (1,005,655 | ) |
Net increase (decrease) from capital transactions | | | (95,385,663 | ) | | | 816,327,983 | | | | 7,212,031 | | | | 1,499,338 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | 45,055,679 | (a) | | | — | |
Reinvestment of distributions | | | 9,499 | | | | — | | | | 10,922 | | | | — | |
Net increase (decrease) from capital transactions | | | 109,499 | | | | — | | | | 45,066,601 | | | | — | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 992,167,854 | | | | 2,926,895,610 | | | | 143,992,006 | | | | 36,145,923 | |
Total increase (decrease) in net assets | | | 1,030,423,244 | | | | 3,249,989,112 | | | | 162,343,195 | | | | 38,721,405 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 5,914,266,309 | | | | 2,664,277,197 | | | | 38,721,405 | | | | — | |
End of period | | | $6,944,689,553 | | | | $5,914,266,309 | | | | $201,064,600 | | | | $38,721,405 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $(353,785,167 | ) | | | $(46,677 | ) | | | $(13,004,528 | ) | | | $— | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
274
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR MANAGED FUTURES
STRATEGY FUND** | | | AQR MANAGED FUTURES
STRATEGY HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD
7/16/13*-
12/31/13 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 425,328,151 | | | | 218,555,645 | | | | 3,432,251 | | | | — | |
Shares sold | | | 256,868,757 | | | | 290,847,133 | | | | 18,621,473 | | | | 3,683,449 | |
Shares issued on reinvestment of distributions | | | 36,088,959 | | | | 3,427,066 | | | | 1,142,862 | | | | 3,562 | |
Shares redeemed | | | (188,189,107 | ) | | | (87,501,693 | ) | | | (10,174,130 | ) | | | (254,760 | ) |
Shares outstanding, end of period | | | 530,096,760 | | | | 425,328,151 | | | | 13,022,456 | | | | 3,432,251 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 133,922,115 | | | | 54,190,271 | | | | 152,311 | | | | — | |
Shares sold | | | 49,711,170 | | | | 99,221,038 | | | | 867,382 | | | | 246,459 | |
Shares issued on reinvestment of distributions | | | 10,291,143 | | | | 1,334,923 | | | | 76,617 | | | | 221 | |
Shares redeemed | | | (69,569,967 | ) | | | (20,824,117 | ) | | | (260,827 | ) | | | (94,369 | ) |
Shares outstanding, end of period | | | 124,354,461 | | | | 133,922,115 | | | | 835,483 | | | | 152,311 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | (a) | | | — | |
Shares sold | | | 9,728 | | | | — | | | | 4,046,305 | | | | — | |
Shares issued on reinvestment of distributions | | | 911 | | | | — | | | | 1,000 | | | | — | |
Shares outstanding, end of period | | | 10,639 | | | | — | | | | 4,047,305 | | | | — | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | (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 | | | | | | December 2014 | | |
| | | | | | | | | | |
275
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR MULTI-STRATEGY
ALTERNATIVE FUND** | | | AQR RISK-BALANCED
COMMODITIES STRATEGY FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $(22,634,499) | | | | $(21,316,846) | | | | $(546,638) | | | | $(645,518) | |
Net realized gain (loss) | | | 152,291,322 | | | | (1,726,073) | | | | (8,047,811) | | | | (11,750,402) | |
Net change in unrealized appreciation (depreciation) | | | (21,553,831) | | | | 78,979,221 | | | | (5,345,941) | | | | 693,419 | |
Net increase (decrease) in net assets resulting from operations | | | 108,102,992 | | | | 55,936,302 | | | | (13,940,390) | | | | (11,702,501) | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (103,622,431) | | | | (63,777,345) | | | | — | | | | — | |
Class N | | | (5,415,268) | | | | (3,214,925) | | | | — | | | | — | |
Class R6 | | | (7,433) | | | | — | | | | — | | | | — | |
Total | | | (109,045,132) | | | | (66,992,270) | | | | — | | | | — | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (17,108,033) | | | | — | | | | — | |
Class N | | | — | | | | (901,984) | | | | — | | | | — | |
Total | | | — | | | | (18,010,017) | | | | — | | | | — | |
Total distributions | | | (109,045,132) | | | | (85,002,287) | | | | — | | | | — | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 590,215,635 | | | | 924,993,719 | | | | 69,600,700 | | | | 23,425,236 | |
Reinvestment of distributions | | | 88,204,896 | | | | 66,445,405 | | | | — | | | | — | |
Cost of shares redeemed | | | (687,354,210) | | | | (318,011,140) | | | | (40,288,267) | | | | (47,521,978) | |
Net increase (decrease) from capital transactions | | | (8,933,679) | | | | 673,427,984 | | | | 29,312,433 | | | | (24,096,742) | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 47,448,202 | | | | 53,142,617 | | | | 12,707,985 | | | | 5,602,455 | |
Reinvestment of distributions | | | 5,370,558 | | | | 4,089,028 | | | | — | | | | — | |
Cost of shares redeemed | | | (43,303,801) | | | | (24,341,705) | | | | (9,284,044) | | | | (3,103,737) | |
Net increase (decrease) from capital transactions | | | 9,514,959 | | | | 32,889,940 | | | | 3,423,941 | | | | 2,498,718 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 35,242,596 | (a) | | | — | | | | 15,656,186 | (a) | | | — | |
Reinvestment of distributions | | | 7,433 | | | | — | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 35,250,029 | | | | — | | | | 15,656,186 | | | | — | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 35,831,309 | | | | 706,317,924 | | | | 48,392,560 | | | | (21,598,024) | |
Total increase (decrease) in net assets | | | 34,889,169 | | | | 677,251,939 | | | | 34,452,170 | | | | (33,300,525) | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 1,528,617,966 | | | | 851,366,027 | | | | 32,236,590 | | | | 65,537,115 | |
End of period | | | $1,563,507,135 | | | | $1,528,617,966 | | | | $66,688,760 | | | | $32,236,590 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $(118,003,854) | | | | $(37,359,639) | | | | $(2,974,242) | | | | $— | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
276
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR MULTI-STRATEGY
ALTERNATIVE FUND** | | | AQR RISK-BALANCED
COMMODITIES STRATEGY FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 148,651,004 | | | | 81,626,174 | | | | 3,422,135 | | | | 6,413,854 | |
Shares sold | | | 60,196,339 | | | | 91,941,333 | | | | 8,654,189 | | | | 2,602,548 | |
Shares issued on reinvestment of distributions | | | 9,130,942 | | | | 6,814,913 | | | | — | | | | — | |
Shares redeemed | | | (70,009,610) | | | | (31,731,416) | | | | (5,426,789) | | | | (5,594,267) | |
Shares outstanding, end of period | | | 147,968,675 | | | | 148,651,004 | | | | 6,649,535 | | | | 3,422,135 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 7,646,878 | | | | 4,359,055 | | | | 467,151 | | | | 223,691 | |
Shares sold | | | 4,877,478 | | | | 5,303,536 | | | | 1,401,956 | | | | 606,741 | |
Shares issued on reinvestment of distributions | | | 557,112 | | | | 420,250 | | | | — | | | | — | |
Shares redeemed | | | (4,407,315) | | | | (2,435,963) | | | | (1,182,792) | | | | (363,281) | |
Shares outstanding, end of period | | | 8,674,153 | | | | 7,646,878 | | | | 686,315 | | | | 467,151 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | (a) | | | — | |
Shares sold | | | 3,610,795 | | | | — | | | | 2,214,833 | | | | — | |
Shares issued on reinvestment of distributions | | | 769 | | | | — | | | | — | | | | — | |
Shares outstanding, end of period | | | 3,611,564 | | | | — | | | | 2,214,833 | | | | — | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | (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 | | | | | | December 2014 | | |
| | | | | | | | | | |
277
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY FUND** | | | AQR RISK PARITY II HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $(2,906,307) | | | | $(7,831,929) | | | | $(130,646) | | | | $(253,403) | |
Net realized gain (loss) | | | 86,083,279 | | | | (7,757,827) | | | | 5,493,583 | | | | (3,507,474) | |
Net change in unrealized appreciation (depreciation) | | | (23,418,545) | | | | (1,399,212) | | | | (1,961,715) | | | | 364,376 | |
Net increase (decrease) in net assets resulting from operations | | | 59,758,427 | | | | (16,988,968) | | | | 3,401,222 | | | | (3,396,501) | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (15,918,499) | | | | (21,096,377) | | | | (210,221) | | | | (49,264) | |
Class N | | | (829,910) | | | | (1,568,986) | | | | (9,382) | | | | (24,033) | |
Class R6 | | | (2,479) | | | | — | | | | (567) | | | | — | |
Total | | | (16,750,888) | | | | (22,665,363) | | | | (220,170) | | | | (73,297) | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (60,212,532) | | | | (35,650,580) | | | | (4,493,162) | | | | (41,465) | |
Class N | | | (3,765,221) | | | | (3,239,083) | | | | (889,329) | | | | (20,229) | |
Class R6 | | | (9,157) | | | | — | | | | (10,388) | | | | — | |
Total | | | (63,986,910) | | | | (38,889,663) | | | | (5,392,879) | | | | (61,694) | |
Total distributions | | | (80,737,798) | | | | (61,555,026) | | | | (5,613,049) | | | | (134,991) | |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 152,916,166 | | | | 522,146,729 | | | | 36,625,458 | | | | 57,186,061 | |
Reinvestment of distributions | | | 73,481,484 | | | | 48,021,450 | | | | 4,581,805 | | | | 89,047 | |
Cost of shares redeemed | | | (476,525,839) | | | | (514,099,505) | | | | (14,267,310) | | | | (54,453,441) | |
Net increase (decrease) from capital transactions | | | (250,128,189) | | | | 56,068,674 | | | | 26,939,953 | | | | 2,821,667 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 11,002,195 | | | | 37,388,598 | | | | 2,602,504 | | | | 24,623,879 | |
Reinvestment of distributions | | | 4,401,999 | | | | 4,729,810 | | | | 898,711 | | | | 44,262 | |
Cost of shares redeemed | | | (58,203,755) | | | | (125,206,912) | | | | (4,362,269) | | | | (19,787,752) | |
Net increase (decrease) from capital transactions | | | (42,799,561) | | | | (83,088,504) | | | | (861,054) | | | | 4,880,389 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | 100,000 | (a) | | | — | |
Reinvestment of distributions | | | 11,636 | | | | — | | | | 10,955 | | | | — | |
Net increase (decrease) from capital transactions | | | 111,636 | | | | — | | | | 110,955 | | | | — | |
| Net increase (decrease) in net assets resulting from capital transactions | | | (292,816,114) | | | | (27,019,830) | | | | 26,189,854 | | | | 7,702,056 | |
Total increase (decrease) in net assets | | | (313,795,485) | | | | (105,563,824) | | | | 23,978,027 | | | | 4,170,564 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 934,050,291 | | | | 1,039,614,115 | | | | 26,229,038 | | | | 22,058,474 | |
End of period | | | $620,254,806 | | | | $934,050,291 | | | | $50,207,065 | | | | $26,229,038 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $1,562,779 | | | | $(5,931,952) | | | | $678,142 | | | | $(8,332) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
278
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY FUND** | | | AQR RISK PARITY II HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 79,392,512 | | | | 75,596,068 | | | | 1,780,470 | | | | 1,591,812 | |
Shares sold | | | 13,463,455 | | | | 44,822,715 | | | | 3,475,987 | | | | 5,572,364 | |
Shares issued on reinvestment of distributions | | | 7,232,430 | | | | 4,471,363 | | | | 477,769 | | | | 9,058 | |
Shares redeemed | | | (42,502,601) | | | | (45,497,634) | | | | (1,306,974) | | | | (5,392,764) | |
Shares outstanding, end of period | | | 57,585,796 | | | | 79,392,512 | | | | 4,427,252 | | | | 1,780,470 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 7,343,876 | | | | 14,906,004 | | | | 877,168 | | | | 567,306 | |
Shares sold | | | 966,513 | | | | 3,211,181 | | | | 249,127 | | | | 2,325,030 | |
Shares issued on reinvestment of distributions | | | 433,268 | | | | 440,803 | | | | 93,616 | | | | 4,503 | |
Shares redeemed | | | (5,172,158) | | | | (11,214,112) | | | | (400,305) | | | | (2,019,671) | |
Shares outstanding, end of period | | | 3,571,499 | | | | 7,343,876 | | | | 819,606 | | | | 877,168 | |
| CLASS R6 | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | (a) | | | — | |
Shares sold | | | 8,327 | | | | — | | | | 8,795 | | | | — | |
Shares issued on reinvestment of distributions | | | 1,145 | | | | — | | | | 1,142 | | | | — | |
Shares outstanding, end of period | | | 9,472 | | | | — | | | | 9,937 | | | | — | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | (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 | | | | | | December 2014 | | |
| | | | | | | | | | |
279
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY II MV FUND** | | | AQR STYLE PREMIA
ALTERNATIVE FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD
10/30/13*-
12/31/13 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $(294,310) | | | | $(452,972) | | | | $(4,735,914) | | | | $(1,032,370) | |
Net realized gain (loss) | | | 6,194,745 | | | | (4,178,303) | | | | 49,452,901 | | | | 14,118,343 | |
Net change in unrealized appreciation (depreciation) | | | (2,721,264) | | | | 242,828 | | | | 14,840,794 | | | | 277,589 | |
Net increase (decrease) in net assets resulting from operations | | | 3,179,171 | | | | (4,388,447) | | | | 59,557,781 | | | | 13,363,562 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (165,150) | | | | (51,310) | | | | (44,246,577) | | | | (6,574,253) | |
Class N | | | — | | | | (12,869) | | | | (2,622,452) | | | | (253,100) | |
Class R6 | | | (232) | | | | — | | | | (3,291,780) | | | | — | |
Total | | | (165,382) | | | | (64,179) | | | | (50,160,809) | | | | (6,827,353) | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (6,594,470) | | | | (8,622) | | | | (14,958,495) | | | | (992,985) | |
Class N | | | (477,309) | | | | (2,163) | | | | (680,314) | | | | (38,950) | |
Class R6 | | | (6,436) | | | | — | | | | (300,202) | | | | — | |
Total | | | (7,078,215) | | | | (10,785) | | | | (15,939,011) | | | | (1,031,935) | |
Total distributions | | | (7,243,597) | | | | (74,964) | | | | (66,099,820) | | | | (7,859,288) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 89,277,763 | | | | 93,026,269 | | | | 576,188,151 | | | | 390,642,419 | |
Reinvestment of distributions | | | 5,960,913 | | | | 42,081 | | | | 52,644,301 | | | | 7,567,238 | |
Cost of shares redeemed | | | (22,497,423) | | | | (81,847,252) | | | | (589,197,151) | | | | (318,591) | |
Redemption in-kind (See Note 15) | | | — | | | | — | | | | (52,771,157) | | | | — | |
Net increase (decrease) from capital transactions | | | 72,741,253 | | | | 11,221,098 | | | | (13,135,856) | | | | 397,891,066 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 6,316,708 | | | | 29,862,796 | | | | 19,158,791 | | | | 15,941,402 | |
Reinvestment of distributions | | | 477,309 | | | | 14,991 | | | | 3,302,766 | | | | 292,050 | |
Cost of shares redeemed | | | (8,457,919) | | | | (21,642,916) | | | | (11,013,561) | | | | (413,823) | |
Net increase (decrease) from capital transactions | | | (1,663,902) | | | | 8,234,871 | | | | 11,447,996 | | | | 15,819,629 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 100,000 | (a) | | | — | | | | 74,748,363 | (a) | | | — | |
Reinvestment of distributions | | | 6,668 | | | | — | | | | 3,591,982 | | | | — | |
Cost of shares redeemed | | | — | | | | — | | | | (192,537) | | | | — | |
Net increase (decrease) from capital transactions | | | 106,668 | | | | — | | | | 78,147,808 | | | | — | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 71,184,019 | | | | 19,455,969 | | | | 76,459,948 | | | | 413,710,695 | |
Total increase (decrease) in net assets | | | 67,119,593 | | | | 14,992,558 | | | | 69,917,909 | | | | 419,214,969 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 47,245,123 | | | | 32,252,565 | | | | 419,214,969 | | | | — | |
End of period | | | $114,364,716 | | | | $47,245,123 | | | | $489,132,878 | | | | $419,214,969 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $1,024,360 | | | | $(45,004) | | | | $(27,093,370) | | | | $(943,313) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
280
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY II MV FUND** | | | AQR STYLE PREMIA
ALTERNATIVE FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2013 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE PERIOD 10/30/13*-
12/31/13 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 3,779,116 | | | | 2,950,196 | | | | 39,620,574 | | | | — | |
Shares sold | | | 8,554,703 | | | | 9,091,173 | | | | 56,129,013 | | | | 38,910,297 | |
Shares issued on reinvestment of distributions | | | 600,898 | | | | 4,212 | | | | 5,292,887 | | | | 741,160 | |
Shares redeemed | | | (2,176,613) | | | | (8,266,465) | | | | (56,706,868) | | | | (30,883) | |
Redemption in-kind (See Note 15) | | | — | | | | — | | | | (5,027,357) | | | | — | |
Shares outstanding, end of period | | | 10,758,104 | | | | 3,779,116 | | | | 39,308,249 | | | | 39,620,574 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 940,172 | | | | 221,957 | | | | 1,568,834 | | | | — | |
Shares sold | | | 606,458 | | | | 2,885,341 | | | | 1,868,292 | | | | 1,580,201 | |
Shares issued on reinvestment of distributions | | | 48,262 | | | | 1,504 | | | | 333,070 | | | | 28,604 | |
Shares redeemed | | | (804,754) | | | | (2,168,630) | | | | (1,075,842) | | | | (39,971) | |
Shares outstanding, end of period | | | 790,138 | | | | 940,172 | | | | 2,694,354 | | | | 1,568,834 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | (a) | | | — | | | | — | (a) | | | — | |
Shares sold | | | 9,091 | | | | — | | | | 7,239,589 | | | | — | |
Shares issued on reinvestment of distributions | | | 672 | | | | — | | | | 365,410 | | | | — | |
Shares redeemed | | | — | | | | — | | | | (17,491) | | | | — | |
Shares outstanding, end of period | | | 9,763 | | | | — | | | | 7,587,508 | | | | — | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | (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 | | | | | | December 2014 | | |
| | | | | | | | | | |
281
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | |
| | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| | | FOR THE PERIOD
9/17/14*-
12/31/14 | |
| OPERATIONS: | | | | |
Net investment income (loss) | | | $(37,387) | |
Net realized gain (loss) | | | 482,110 | |
Net change in unrealized appreciation (depreciation) | | | 326,575 | |
Net increase (decrease) in net assets resulting from operations | | | 771,298 | |
|
| DISTRIBUTIONS TO SHAREHOLDERS: | |
| Net investment income: | | | | |
Class I | | | (38,445) | |
Class N | | | (75,553) | |
Class R6 | | | (218,868) | |
Total | | | (332,866) | |
| Net realized gain: | | | | |
Class I | | | (13,618) | |
Class N | | | (27,510) | |
Class R6 | | | (76,360) | |
Total | | | (117,488) | |
Total distributions | | | (450,354) | |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | |
Proceeds from shares sold | | | 28,178,979 | |
Reinvestment of distributions | | | 52,063 | |
Cost of shares redeemed | | | (140,561) | |
Net increase (decrease) from capital transactions | | | 28,090,481 | |
| CLASS N | | | | |
Proceeds from shares sold | | | 8,671,505 | |
Reinvestment of distributions | | | 103,063 | |
Cost of shares redeemed | | | (115,319) | |
Net increase (decrease) from capital transactions | | | 8,659,249 | |
| CLASS R6 | | | | |
Proceeds from shares sold | | | 23,000,000 | |
Reinvestment of distributions | | | 295,228 | |
Net increase (decrease) from capital transactions | | | 23,295,228 | |
Net increase (decrease) in net assets resulting from capital transactions | | | 60,044,958 | |
Total increase (decrease) in net assets | | | 60,365,902 | |
| |
| NET ASSETS: | | | | |
Beginning of period | | | — | |
End of period | | | $60,365,902 | |
| | | | | |
Undistributed accumulated net investment income (loss) | | | $(795,466) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
282
| | | | |
| Statements of Changes in Net Assets | | | December 31, 2014 | |
| | | | |
| | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| | | FOR THE PERIOD
9/17/14*-
12/31/14 | |
| CHANGES IN SHARES OUTSTANDING: | | | | |
| CLASS I | | | | |
Shares outstanding, beginning of period | | | — | |
Shares sold | | | 2,768,876 | |
Shares issued on reinvestment of distributions | | | 5,114 | |
Shares redeemed | | | (13,695) | |
Shares outstanding, end of period | | | 2,760,295 | |
| CLASS N | | | | |
Shares outstanding, beginning of period | | | — | |
Shares sold | | | 844,737 | |
Shares issued on reinvestment of distributions | | | 10,134 | |
Shares redeemed | | | (11,339) | |
Shares outstanding, end of period | | | 843,532 | |
| CLASS R6 | | | | |
Shares outstanding, beginning of period | | | — | |
Shares sold | | | 2,300,000 | |
Shares issued on reinvestment of distributions | | | 29,001 | |
Shares outstanding, end of period | | | 2,329,001 | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
283
| | | | |
| Statements of Cash Flows | | | December 31, 2014 | |
| | | | | | | | | | | | |
| | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL
FUND | | | AQR
MULTI-
STRATEGY
ALTERNATIVE
FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
PERIOD ENDED
10/07/14*-
12/31/14 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | |
| CASH FLOWS FROM OPERATING ACTIVITIES: | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | (146,060,437 | ) | | $ | 308,921 | | | $ | 108,102,992 | |
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used in) operating activities: | | | | | | | | | | | | |
Payments to purchase securities | | | (7,322,286,495 | ) | | | (2,194,771 | ) | | | (1,114,778,767 | ) |
Payments to cover short securities | | | (2,381,441,587 | ) | | | (178,331 | ) | | | (1,471,483,516 | ) |
Proceeds from sale of securities | | | 6,844,577,133 | | | | 142,268 | | | | 1,785,821,214 | |
Proceeds from securities sold short | | | 2,879,225,698 | | | | 2,059,538 | | | | 908,260,786 | |
Proceeds from written options | | | 2,427,120 | | | | — | | | | 353,519 | |
Payments to close written options | | | (12,312 | ) | | | — | | | | — | |
(Purchases) sales of short-term investments, net | | | (32,162,270 | ) | | | (3,334,581 | ) | | | (73,411,504 | ) |
Realized (gain) loss on investments in securities | | | (92,835,510 | ) | | | (12,059 | ) | | | (183,232,627 | ) |
Realized (gain) loss on securities sold short | | | 96,436,775 | | | | 233 | | | | 100,496,773 | |
Realized (gain) loss on written options | | | (2,528,855 | ) | | | — | | | | (259,320 | ) |
Realized (gain) loss on paydowns | | | (188,935 | ) | | | — | | | | — | |
Change in unrealized (appreciation) depreciation on investments in securities | | | 207,260,940 | | | | 8,811 | | | | 149,650,921 | |
Change in unrealized (appreciation) depreciation on securities sold short | | | (76,223,695 | ) | | | (19,383 | ) | | | (84,256,510 | ) |
Change in unrealized (appreciation) depreciation on written options | | | (1,661,622 | ) | | | — | | | | 143,949 | |
Amortization (accretion) of bond premium | | | 458,164 | | | | — | | | | (5,895 | ) |
| (Increases) decrease in operating assets: | | | | | | | | | | | | |
Due from brokers | | | 373,412,965 | | | | (1,981,669 | ) | | | 38,714,178 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | (6,466,083 | ) | | | (7,211 | ) | | | (544,059 | ) |
Swaps, at value | | | 10,257,780 | | | | (329,807 | ) | | | (45,529,802 | ) |
Unrealized appreciation on futures contracts | | | 504,977 | | | | — | | | | 1,315,323 | |
Receivable for securities sold | | | 77,970,030 | | | | (6,194 | ) | | | 19,941,643 | |
Foreign tax reclaim | | | (30,311 | ) | | | (96 | ) | | | (572,388 | ) |
Dividends and interest | | | 1,116,984 | | | | (32 | ) | | | 182,052 | |
Expense reimbursement due from Advisor | | | — | | | | (22,189 | ) | | | — | |
Due from custodian | | | (2,320,125 | ) | | | — | | | | — | |
Prepaid expenses | | | (103,800 | ) | | | (62,361 | ) | | | (60,595 | ) |
| Increases (decreases) in operating liabilities: | | | | | | | | | | | | |
Due to custodian | | | — | | | | 34,336 | | | | — | |
Due to broker | | | 10,987,409 | | | | — | | | | 1,931,365 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | (596,385 | ) | | | — | | | | — | |
Swaps, at value | | | (8,956,725 | ) | | | — | | | | (5,859,269 | ) |
Unrealized depreciation on futures contracts | | | 30,245 | | | | 7,134 | | | | 2,519,146 | |
Payable for securities purchased | | | (67,191,087 | ) | | | 6,171 | | | | (48,787,784 | ) |
Accrued Investment advisory fees | | | (503,155 | ) | | | — | | | | (82,545 | ) |
Accrued Distribution fees—Class N | | | (30,768 | ) | | | 250 | | | | 789 | |
Accrued Trustees fees | | | — | | | | 25 | | | | — | |
Dividends and interest payable on securities sold short and reverse repurchase agreements | | | 1,125,984 | | | | 764 | | | | (111,363 | ) |
Other accrued expenses and liabilities | | | 68,006 | | | | 37,653 | | | | 88,561 | |
Net cash used in operating activities | | $ | 364,260,053 | | | $ | (5,542,580 | ) | | $ | 88,547,267 | |
| | | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | | | | | |
Proceeds from shares sold | | | 961,225,342 | | | | 5,980,266 | | | | 667,824,284 | |
Payments on shares redeemed | | | (1,287,085,372 | ) | | | (413,056 | ) | | | (728,439,180 | ) |
Cash distributions paid | | | (8,765,329 | ) | | | — | | | | (15,462,245 | ) |
Due to custodian | | | — | | | | — | | | | (1,025,978 | ) |
Net cash provided by (used in) financing activities | | $ | (334,625,359 | ) | | $ | 5,567,210 | | | $ | (77,103,119 | ) |
| Net change in cash and foreign currency | | | 29,634,694 | | | | 24,630 | | | | 11,444,148 | |
Cash, beginning of period | | | 5,795,218 | | | | — | | | | 9,882,650 | |
Cash, end of period | | $ | 35,429,912 | | | $ | 24,630 | | | $ | 21,326,798 | |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $7,254,465, $1,711 and $9,707,475.
| | * | Commencement of operations. |
| | ** | Consolidated financial statements, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
284
| | | | |
| Statements of Cash Flows | | | December 31, 2014 | |
| | | | | | | | | | | | |
| | | AQR
RISK
PARITY II
HV FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2014 | | | FOR THE
PERIOD ENDED
09/17/14*-
12/31/14 | |
| CASH FLOWS FROM OPERATING ACTIVITIES: | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 3,401,222 | | | $ | 59,557,781 | | | $ | 771,298 | |
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities: | | | | | | | | | | | | |
Payments to purchase securities | | | (35,605,186 | ) | | | (293,286,858 | ) | | | (13,565,091 | ) |
Payments to cover short securities | | | — | | | | (275,560,237 | ) | | | (235,175 | ) |
Proceeds from sale of securities | | | 29,509,468 | | | | 301,760,400 | | | | 98,771 | |
Proceeds from securities sold short | | | — | | | | 278,034,946 | | | | 11,458,380 | |
(Purchases) sales of short-term investments, net | | | (9,727,839 | ) | | | (99,370,944 | ) | | | (54,481,271 | ) |
Realized (gain) loss on investments in securities | | | (95,819 | ) | | | (21,087,584 | ) | | | (16,865 | ) |
Realized (gain) loss on securities sold short | | | — | | | | 8,838,015 | | | | (28,849 | ) |
Change in unrealized (appreciation) depreciation on investments in securities | | | 815,862 | | | | 15,410,170 | | | | 481,842 | |
Change in unrealized (appreciation) depreciation on securities sold short | | | — | | | | (15,764,625 | ) | | | (494,081 | ) |
Amortization (accretion) of bond premium | | | (107,230 | ) | | | — | | | | — | |
| Increases (decreases) in operating assets: | | | | | | | | | | | | |
Repurchase agreements, at value | | | 191,000 | | | | — | | | | — | |
Due from brokers | | | (355,515 | ) | | | 17,589 | | | | (4,642,654 | ) |
Unrealized appreciation on forward foreign currency exchange contracts | | | (137,764 | ) | | | (2,087,994 | ) | | | (96,193 | ) |
Swaps, at value | | | (266,267 | ) | | | (14,855,663 | ) | | | (346,078 | ) |
Unrealized appreciation on futures contracts | | | (502,427 | ) | | | 1,453,178 | | | | (137,147 | ) |
Receivable for securities sold | | | (7,462 | ) | | | (1,506,577 | ) | | | (3,689,422 | ) |
Foreign tax reclaim | | | — | | | | (272,537 | ) | | | (623 | ) |
Dividends and interest | | | 12,160 | | | | (79,623 | ) | | | (6,762 | ) |
Expense reimbursement due from Advisor | | | — | | | | — | | | | (16,780 | ) |
Prepaid expenses | | | (16,311 | ) | | | (36,175 | ) | | | (64,519 | ) |
| Increases (decreases) in operating liabilities: | | | | | | | | | | | | |
Due to broker | | | 284,325 | | | | 2,257,532 | | | | 2,200 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | (32,431 | ) | | | — | | | | — | |
Swaps, at value | | | 1,872,271 | | | | (4,270,165 | ) | | | — | |
Unrealized depreciation on futures contracts | | | 205,941 | | | | 5,395,985 | | | | 266,727 | |
Payable for securities purchased | | | 7,464 | | | | 876,012 | | | | 3,723,756 | |
Accrued Investment advisory fees | | | 11,799 | | | | 71,186 | | | | — | |
Accrued Shareholder servicing fees | | | (5,671 | ) | | | — | | | | — | |
Accrued Distribution fees—Class N | | | (261 | ) | | | 2,477 | | | | 1,758 | |
Accrued Trustees fees | | | — | | | | — | | | | 72 | |
Dividends and interest payable on securities sold short and reverse repurchase agreements | | | (1,733 | ) | | | (22,059 | ) | | | 5,904 | |
Other accrued expenses and liabilities | | | 26,197 | | | | 1,652 | | | | 135,117 | |
Net cash used in operating activities | | $ | (10,524,207 | ) | | $ | (54,524,118 | ) | | $ | (60,875,685 | ) |
| | | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | | | | | |
Proceeds from shares sold | | | 39,128,475 | | | | 655,129,486 | | | | 59,642,688 | |
Net change in reverse repurchase agreements | | | (9,937,250 | ) | | | — | | | | — | |
Payments on shares redeemed | | | (18,566,826 | ) | | | (613,060,300 | ) | | | (229,676 | ) |
Cash distributions paid | | | (121,578 | ) | | | (6,560,771 | ) | | | — | |
Due to custodian | | | — | | | | — | | | | 1,462,673 | |
Net cash provided (used in) financing activities | | $ | 10,502,821 | | | $ | 35,508,415 | | | $ | 60,875,685 | |
| Net change in cash and foreign currency | | | (21,386 | ) | | | (19,015,703 | ) | | | — | |
Cash, beginning of period | | | 65,407 | | | | 19,711,683 | | | | — | |
Cash, end of period | | $ | 44,021 | | | $ | 695,980 | | | $ | — | |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $19,948, $1,180,692 and $495.
Non-cash financing activities not included herein consist of a redemption in-kind in the amount of $52,771,157 for AQR Style Premia Alternative Fund, see Note 15 in the Notes to Financial Statements for additional information.
| | * | Commencement of operations. |
| | ** | Consolidated financial statements, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
285
| | | | |
| Financial Highlights | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting
from Operations5 | | | 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 | | | Return
of Capital | | | Total
Distributions | |
| AQR DIVERSIFIED ARBITRAGE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.91 | | | | 0.23 | | | | (0.80 | ) | | | (0.57 | ) | | | (0.20 | ) | | | — | | | | — | | | | (0.20 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.05 | | | | 0.17 | | | | 0.02 | | | | 0.19 | | | | (0.18 | ) | | | (0.06 | ) | | | (0.09 | ) | | | (0.33 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $10.89 | | | | 0.10 | 6 | | | 0.24 | | | | 0.34 | | | | (0.13 | ) | | | (0.05 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011 | | | $11.15 | | | | 0.13 | | | | (0.02 | ) | | | 0.11 | | | | (0.09 | ) | | | (0.28 | ) | | | — | | | | (0.37 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | | | $10.80 | | | | 0.06 | | | | 0.46 | | | | 0.52 | | | | (0.04 | ) | | | (0.13 | ) | | | — | | | | (0.17 | ) |
| AQR DIVERSIFIED ARBITRAGE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.87 | | | | 0.21 | | | | (0.81 | ) | | | (0.60 | ) | | | (0.17 | ) | | | — | | | | — | | | | (0.17 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.01 | | | | 0.13 | | | | 0.04 | | | | 0.17 | | | | (0.16 | ) | | | (0.06 | ) | | | (0.09 | ) | | | (0.31 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $10.85 | | | | 0.06 | 6 | | | 0.24 | | | | 0.30 | | | | (0.09 | ) | | | (0.05 | ) | | | — | | | | (0.14 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | | $11.12 | | | | 0.10 | | | | (0.02 | ) | | | 0.08 | | | | (0.07 | ) | | | (0.28 | ) | | | — | | | | (0.35 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | | | $10.78 | | | | 0.05 | | | | 0.43 | | | | 0.48 | | | | (0.01 | ) | | | (0.13 | ) | | | — | | | | (0.14 | ) |
| AQR DIVERSIFIED ARBITRAGE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $11.00 | | | | 0.16 | | | | (0.82 | ) | | | (0.66 | ) | | | (0.21 | ) | | | — | | | | — | | | | (0.21 | ) |
| AQR EQUITY MARKET NEUTRAL FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 10/07/149—12/31/14 | | | $10.00 | | | | (0.02 | ) | | | 0.62 | | | | 0.60 | | | | (0.59 | ) | | | — | | | | (0.00 | )13 | | | (0.59 | ) |
| AQR EQUITY MARKET NEUTRAL FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 10/07/149—12/31/14 | | | $10.00 | | | | (0.03 | ) | | | 0.62 | | | | 0.59 | | | | (0.58 | ) | | | — | | | | (0.00 | )13 | | | (0.58 | ) |
| AQR EQUITY MARKET NEUTRAL FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 10/07/149—12/31/14 | | | $10.00 | | | | (0.02 | ) | | | 0.62 | | | | 0.60 | | | | (0.59 | ) | | | — | | | | (0.00 | )13 | | | (0.59 | ) |
| AQR GLOBAL MACRO FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 4/08/149—12/31/14 | | | $10.00 | | | | (0.10 | ) | | | 0.06 | | | | (0.04 | ) | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| AQR GLOBAL MACRO FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 4/08/149—12/31/14 | | | $10.00 | | | | (0.12 | ) | | | 0.06 | | | | (0.06 | ) | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| AQR GLOBAL MACRO FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $9.72 | | | | (0.04 | ) | | | 0.28 | | | | 0.24 | | | | — | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| AQR LONG-SHORT EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.21 | | | | (0.14 | ) | | | 1.67 | | | | 1.53 | | | | (0.74 | ) | | | (0.10 | ) | | | (0.03 | ) | | | (0.87 | ) |
| FOR THE PERIOD 7/16/139—12/31/13 | | | $10.00 | | | | (0.06 | ) | | | 1.17 | | | | 1.11 | | | | (0.67 | ) | | | (0.23 | ) | | | — | | | | (0.90 | ) |
| AQR LONG-SHORT EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.21 | | | | (0.20 | ) | | | 1.70 | | | | 1.50 | | | | (0.74 | ) | | | (0.10 | ) | | | (0.03 | ) | | | (0.87 | ) |
| FOR THE PERIOD 7/16/139—12/31/13 | | | $10.00 | | | | (0.07 | ) | | | 1.17 | | | | 1.10 | | | | (0.66 | ) | | | (0.23 | ) | | | — | | | | (0.89 | ) |
| AQR LONG-SHORT EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $11.05 | | | | (0.08 | ) | | | 0.78 | | | | 0.70 | | | | (0.75 | ) | | | (0.10 | ) | | | (0.03 | ) | | | (0.88 | ) |
| AQR MANAGED FUTURES STRATEGY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.59 | | | | (0.12 | ) | | | 1.13 | | | | 1.01 | | | | (0.44 | ) | | | (0.53 | ) | | | — | | | | (0.97 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.78 | | | | (0.12 | ) | | | 1.04 | | | | 0.92 | | | | — | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.57 | | | | (0.12 | ) | | | 0.40 | | | | 0.28 | | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | | $10.30 | | | | (0.12 | ) | | | (0.53 | ) | | | (0.65 | ) | | | (0.04 | ) | | | (0.04 | ) | | | — | | | | (0.08 | ) |
| FOR THE PERIOD 1/06/109—12/31/10† | | | $10.00 | | | | (0.12 | ) | | | 0.66 | | | | 0.54 | | | | (0.09 | ) | | | (0.15 | ) | | | — | | | | (0.24 | ) |
| AQR MANAGED FUTURES STRATEGY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.51 | | | | (0.15 | ) | | | 1.11 | | | | 0.96 | | | | (0.40 | ) | | | (0.53 | ) | | | — | | | | (0.93 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.73 | | | | (0.15 | ) | | | 1.04 | | | | 0.89 | | | | — | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.55 | | | | (0.14 | ) | | | 0.39 | | | | 0.25 | | | | (0.07 | ) | | | — | | | | — | | | | (0.07 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | | $ 10.28 | | | | (0.15 | ) | | | (0.52 | ) | | | (0.67 | ) | | | (0.02 | ) | | | (0.04 | ) | | | — | | | | (0.06 | ) |
| FOR THE PERIOD 1/06/109—12/31/10† | | | $10.00 | | | | (0.15 | ) | | | 0.66 | | | | 0.51 | | | | (0.08 | ) | | | (0.15 | ) | | | — | | | | (0.23 | ) |
| AQR MANAGED FUTURES STRATEGY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148–12/31/14 | | | $10.28 | | | | (0.04 | ) | | | 1.36 | | | | 1.32 | | | | (0.45 | ) | | | (0.53 | ) | | | — | | | | (0.98 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
286
| | | | |
| Financial Highlights | | | December 31, 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.14 | | | | (5.25 | )% | | | $1,546,685,430 | | | | 1.88 | % | | | 1.20 | % | | | 1.88 | % | | | 2.07 | % | | | 380 | % | | |
| | $10.91 | | | | 1.75 | % | | | $1,876,480,736 | | | | 1.64 | % | | | 1.20 | % | | | 1.64 | % | | | 1.52 | % | | | 349 | % | | |
| | $11.05 | | | | 3.13 | % | | | $1,752,723,858 | | | | 2.30 | % | | | 1.21 | % | | | 2.32 | % | | | 0.88 | %6 | | | 312 | % | | |
| | $10.89 | | | | 0.99 | % | | | $1,456,748,122 | | | | 2.75 | % | | | 1.20 | % | | | 2.84 | % | | | 1.18 | % | | | 298 | % | | |
| | $11.15 | | | | 4.81 | %7 | | | $824,237,659 | | | | 2.59 | % | | | 1.20 | % | | | 2.62 | % | | | 1.13 | % | | | 361 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.10 | | | | (5.51 | )% | | | $678,528,488 | | | | 2.12 | % | | | 1.44 | % | | | 2.12 | % | | | 1.99 | % | | | 380 | % | | |
| | $10.87 | | | | 1.51 | % | | | $836,354,615 | | | | 1.88 | % | | | 1.44 | % | | | 1.88 | % | | | 1.21 | % | | | 349 | % | | |
| | $11.01 | | | | 2.83 | % | | | $761,371,466 | | | | 2.62 | % | | | 1.52 | % | | | 2.62 | % | | | 0.57 | %6 | | | 312 | % | | |
| | $10.85 | | | | 0.68 | % | | | $651,790,519 | | | | 3.05 | % | | | 1.50 | % | | | 3.08 | % | | | 0.89 | % | | | 298 | % | | |
| | $11.12 | | | | 4.52 | %7 | | | $382,758,131 | | | | 2.89 | % | | | 1.50 | % | | | 2.92 | % | | | 0.85 | % | | | 361 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.13 | | | | (5.99 | )% | | | $93,972 | | | | 1.94 | % | | | 1.10 | % | | | 1.94 | % | | | 4.69 | % | | | 380 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.01 | | | | 5.93 | % | | | $1,445,483 | | | | 1.63 | % | | | 1.30 | % | | | 4.57 | %10 | | | (1.04 | )% | | | 152 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.01 | | | | 5.88 | % | | | $1,233,101 | | | | 1.88 | % | | | 1.55 | % | | | 4.83 | %10 | | | (1.29 | )% | | | 152 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.01 | | | | 5.95 | % | | | $3,210,047 | | | | 1.53 | % | | | 1.20 | % | | | 4.49 | %10 | | | (0.95 | )% | | | 152 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.94 | | | | (0.42 | )% | | | $35,465,943 | | | | 1.45 | % | | | 1.45 | % | | | 2.24 | %10 | | | (1.44 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.92 | | | | (0.62 | )% | | | $1,050,219 | | | | 1.70 | % | | | 1.70 | % | | | 2.49 | %10 | | | (1.69 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.94 | | | | 2.45 | % | | | $102,407 | | | | 1.35 | % | | | 1.35 | % | | | 2.02 | %10 | | | (1.37 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.87 | | | | 14.91 | % | | | $43,666,707 | | | | 1.30 | % | | | 1.30 | % | | | 2.34 | % | | | (1.26 | )% | | | 0 | % | | |
| | $10.21 | | | | 11.17 | % | | | $5,245,981 | | | | 1.30 | % | | | 1.30 | % | | | 3.56 | %10 | | | (1.29 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.84 | | | | 14.55 | % | | | $10,688,087 | | | | 1.55 | % | | | 1.55 | % | | | 2.46 | % | | | (1.81 | )% | | | 0 | % | | |
| | $10.21 | | | | 11.04 | % | | | $910,216 | | | | 1.55 | % | | | 1.55 | % | | | 5.49 | %10 | | | (1.54 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.87 | | | | 6.19 | % | | | $427,353 | | | | 1.20 | % | | | 1.20 | % | | | 1.99 | % | | | (2.21 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.63 | | | | 9.69 | % | | | $5,633,607,124 | | | | 1.23 | % | | | 1.23 | % | | | 1.23 | % | | | (1.20 | )% | | | 0 | % | | |
| | $10.59 | | | | 9.40 | % | | | $4,506,180,876 | | | | 1.23 | % | | | 1.23 | % | | | 1.23 | % | | | (1.22 | )% | | | 0 | % | | |
| | $9.78 | | | | 2.99 | % | | | $2,136,959,054 | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | (1.24 | )% | | | 0 | % | | |
| | $9.57 | | | | (6.37 | )% | | | $1,078,662,373 | | | | 1.25 | % | | | 1.25 | % | | | 1.30 | % | | | (1.22 | )% | | | 0 | % | | |
| | $10.30 | | | | 5.41 | % | | | $657,237,349 | | | | 1.25 | % | | | 1.25 | % | | | 1.28 | % | | | (1.27 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.54 | | | | 9.34 | % | | | $1,310,969,433 | | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | (1.47 | )% | | | 0 | % | | |
| | $10.51 | | | | 9.14 | % | | | $1,408,085,433 | | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | (1.48 | )% | | | 0 | % | | |
| | $9.73 | | | | 2.68 | % | | | $527,318,143 | | | | 1.50 | % | | | 1.50 | % | | | 1.52 | % | | | (1.48 | )% | | | 0 | % | | |
| | $9.55 | | | | (6.59 | )% | | | $476,854,001 | | | | 1.50 | % | | | 1.50 | % | | | 1.57 | % | | | (1.47 | )% | | | 0 | % | | |
| | $10.28 | | | | 5.12 | % | | | $271,043,038 | | | | 1.50 | % | | | 1.50 | % | | | 1.56 | % | | | (1.54 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.62 | | | | 12.99 | % | | | $112,996 | | | | 1.15 | % | | | 1.15 | % | | | 1.16 | % | | | (1.11 | )% | | | 0 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
287
| | | | |
| Financial Highlights | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting
from Operations5 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.80 | | | | (0.17 | ) | | | 1.72 | | | | 1.55 | | | | (0.86 | ) | | | (0.26 | ) | | | (1.12 | ) |
| FOR THE PERIOD 7/16/139–12/31/13 | | | $10.00 | | | | (0.08 | ) | | | 0.89 | | | | 0.81 | | | | — | | | | (0.01 | ) | | | (0.01 | ) |
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.79 | | | | (0.19 | ) | | | 1.71 | | | | 1.52 | | | | (0.84 | ) | | | (0.26 | ) | | | (1.10 | ) |
| FOR THE PERIOD 7/16/139–12/31/13 | | | $10.00 | | | | (0.09 | ) | | | 0.89 | | | | 0.80 | | | | — | | | | (0.01 | ) | | | (0.01 | ) |
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $10.33 | | | | (0.06 | ) | | | 2.09 | | | | 2.03 | | | | (0.87 | ) | | | (0.26 | ) | | | (1.13 | ) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.78 | | | | (0.14 | ) | | | 0.85 | | | | 0.71 | | | | (0.73 | ) | | | — | | | | (0.73 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.90 | | | | (0.17 | ) | | | 0.61 | | | | 0.44 | | | | (0.44 | ) | | | (0.12 | ) | | | (0.56 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.70 | | | | (0.17 | ) | | | 0.40 | | | | 0.23 | | | | (0.01 | ) | | | (0.02 | ) | | | (0.03 | ) |
| FOR THE PERIOD 7/18/119—12/31/1 | | | $10.00 | | | | (0.05 | ) | | | (0.21 | ) | | | (0.26 | ) | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.76 | | | | (0.17 | ) | | | 0.85 | | | | 0.68 | | | | (0.70 | ) | | | — | | | | (0.70 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.89 | | | | (0.20 | ) | | | 0.61 | | | | 0.41 | | | | (0.42 | ) | | | (0.12 | ) | | | (0.54 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.69 | | | | (0.23 | ) | | | 0.45 | | | | 0.22 | | | | — | | | | (0.02 | ) | | | (0.02 | ) |
| FOR THE PERIOD 7/18/119—12/31/11 | | | $10.00 | | | | (0.06 | ) | | | (0.21 | ) | | | (0.27 | ) | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $9.88 | | | | (0.11 | ) | | | 0.71 | | | | 0.60 | | | | (0.73 | ) | | | — | | | | (0.73 | ) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $8.29 | | | | (0.08 | ) | | | (1.23 | ) | | | (1.31 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.87 | | | | (0.09 | ) | | | (1.49 | ) | | | (1.58 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/129—12/31/12 | | | $10.00 | | | | (0.05 | ) | | | (0.08 | ) | | | (0.13 | ) | | | — | | | | — | | | | — | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $8.27 | | | | (0.11 | ) | | | (1.22 | ) | | | (1.33 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.86 | | | | (0.11 | ) | | | (1.48 | ) | | | (1.59 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/129—12/31/12 | | | $10.00 | | | | (0.06 | ) | | | (0.08 | ) | | | (0.14 | ) | | | — | | | | — | | | | — | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $8.60 | | | | (0.02 | ) | | | (1.59 | ) | | | (1.61 | ) | | | — | | | | — | | | | — | |
| AQR RISK PARITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.77 | | | | (0.04 | ) | | | 0.81 | | | | 0.77 | | | | (0.30 | ) | | | (1.10 | ) | | | (1.40 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.49 | | | | (0.07 | ) | | | 0.08 | 12 | | | 0.01 | | | | (0.27 | ) | | | (0.46 | ) | | | (0.73 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $10.62 | | | | — | | | | 1.49 | | | | 1.49 | | | | (0.14 | ) | | | (0.48 | ) | | | (0.62 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | | $10.28 | | | | 0.04 | | | | 0.51 | | | | 0.55 | | | | (0.21 | ) | | | (0.00 | )13 | | | (0.21 | ) |
| FOR THE PERIOD 9/30/109—12/31/10 | | | $10.00 | | | | 0.02 | | | | 0.38 | | | | 0.40 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| AQR RISK PARITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.76 | | | | (0.07 | ) | | | 0.80 | | | | 0.73 | | | | (0.25 | ) | | | (1.10 | ) | | | (1.35 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.47 | | | | (0.11 | ) | | | 0.08 | 12 | | | (0.03 | ) | | | (0.22 | ) | | | (0.46 | ) | | | (0.68 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $10.59 | | | | (0.03 | ) | | | 1.50 | | | | 1.47 | | | | (0.11 | ) | | | (0.48 | ) | | | (0.59 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2011† | | | $10.27 | | | | 0.03 | | | | 0.49 | | | | 0.52 | | | | (0.20 | ) | | | (0.00 | )13 | | | (0.20 | ) |
| FOR THE PERIOD 9/30/109—12/31/10† | | | $10.00 | | | | 0.01 | | | | 0.38 | | | | 0.39 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| AQR RISK PARITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148–12/31/14 | | | $12.01 | | | | (0.04 | ) | | | (0.43 | )12 | | | (0.47 | ) | | | (0.30 | ) | | | (1.10 | ) | | | (1.40 | ) |
| AQR RISK PARITY II HV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.87 | | | | (0.03 | ) | | | 0.95 | | | | 0.92 | | | | (0.06 | ) | | | (1.18 | ) | | | (1.24 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.21 | | | | (0.06 | ) | | | (0.23 | ) | | | (0.29 | ) | | | (0.03 | ) | | | (0.02 | ) | | | (0.05 | ) |
| FOR THE PERIOD 11/05/129—12/31/12 | | | $10.00 | | | | 0.01 | | | | 0.23 | | | | 0.24 | | | | (0.03 | ) | | | — | | | | (0.03 | ) |
| AQR RISK PARITY II HV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.86 | | | | (0.04 | ) | | | 0.93 | | | | 0.89 | | | | (0.01 | ) | | | (1.18 | ) | | | (1.19 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.23 | | | | (0.09 | ) | | | (0.23 | ) | | | (0.32 | ) | | | (0.03 | ) | | | (0.02 | ) | | | (0.05 | ) |
| FOR THE PERIOD 11/05/129—12/31/12 | | | $10.00 | | | | (0.01 | ) | | | 0.25 | | | | 0.24 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| AQR RISK PARITY II HV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $11.37 | | | | (0.05 | ) | | | (0.53 | )12 | | | (0.58 | ) | | | (0.06 | ) | | | (1.18 | ) | | | (1.24 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
288
| | | | |
| Financial Highlights | | | December 31, 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.23 | | | | 14.68 | % | | | $146,261,163 | | | | 1.65 | % | | | 1.65 | % | | | 1.76 | %10 | | | (1.62 | )% | | | 0 | % | | |
| | $10.80 | | | | 8.14 | % | | | $37,077,791 | | | | 1.68 | % | | | 1.65 | % | | | 2.51 | %10 | | | (1.66 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.21 | | | | 14.37 | % | | | $9,367,013 | | | | 1.90 | % | | | 1.90 | % | | | 2.12 | %10 | | | (1.88 | )% | | | 0 | % | | |
| | $10.79 | | | | 8.04 | % | | | $1,643,614 | | | | 1.93 | % | | | 1.90 | % | | | 4.03 | %10 | | | (1.92 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.23 | | | | 19.94 | % | | | $45,436,424 | | | | 1.55 | % | | | 1.55 | % | | | 1.68 | % | | | (1.52 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.76 | | | | 7.31 | % | | | $1,443,798,613 | | | | 3.65 | % | | | 1.98 | % | | | 3.67 | % | | | (1.46 | )% | | | 204 | % | | |
| | $9.78 | | | | 4.46 | % | | | $1,453,976,567 | | | | 3.34 | % | | | 1.98 | % | | | 3.37 | % | | | (1.67 | )% | | | 137 | % | | |
| | $9.90 | | | | 2.36 | % | | | $808,261,775 | | | | 3.52 | % | | | 1.98 | % | | | 3.60 | % | | | (1.73 | )% | | | 208 | % | | |
| | $9.70 | | | | (2.57 | )%11 | | | $257,168,435 | | | | 2.23 | % | | | 1.98 | % | | | 2.59 | % | | | (1.09 | )% | | | 133 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.74 | | | | 7.03 | % | | | $84,480,441 | | | | 3.91 | % | | | 2.23 | % | | | 3.96 | % | | | (1.75 | )% | | | 204 | % | | |
| | $9.76 | | | | 4.16 | % | | | $74,641,399 | | | | 3.59 | % | | | 2.23 | % | | | 3.66 | % | | | (1.95 | )% | | | 137 | % | | |
| | $9.89 | | | | 2.22 | % | | | $43,104,252 | | | | 3.76 | % | | | 2.23 | % | | | 3.93 | % | | | (2.32 | )% | | | 208 | % | | |
| | $9.69 | | | | (2.73 | )%11 | | | $44,676,329 | | | | 2.48 | % | | | 2.23 | % | | | 2.85 | % | | | (1.37 | )% | | | 133 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.75 | | | | 6.19 | % | | | $35,228,081 | | | | 3.14 | % | | | 1.88 | % | | | 3.21 | % | | | (3.41 | )% | | | 204 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $6.98 | | | | (15.80 | )% | | | $46,442,651 | | | | 1.01 | % | | | 1.01 | % | | | 1.34 | % | | | (1.00 | )% | | | 0 | % | | |
| | $8.29 | | | | (16.01 | )% | | | $28,375,483 | | | | 1.05 | % | | | 1.05 | % | | | 1.32 | % | | | (1.05 | )% | | | 0 | % | | |
| | $9.87 | | | | (1.30 | )% | | | $63,330,812 | | | | 1.05 | % | | | 1.05 | % | | | 1.72 | % | | | (1.04 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $6.94 | | | | (16.08 | )% | | | $4,763,616 | | | | 1.26 | % | | | 1.26 | % | | | 1.59 | % | | | (1.25 | )% | | | 0 | % | | |
| | $8.27 | | | | (16.13 | )% | | | $3,861,107 | | | | 1.30 | % | | | 1.30 | % | | | 1.70 | % | | | (1.28 | )% | | | 0 | % | | |
| | $9.86 | | | | (1.40 | )% | | | $2,206,303 | | | | 1.30 | % | | | 1.30 | % | | | 4.00 | % | | | (1.30 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $6.99 | | | | (18.72 | )% | | | $15,482,493 | | | | 0.90 | % | | | 0.90 | % | | | 1.31 | % | | | (0.89 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.14 | | | | 7.04 | % | | | $583,926,805 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | (0.34 | )% | | | 94 | % | | |
| | $10.77 | | | | 0.12 | % | | | $855,024,124 | | | | 0.89 | % | | | 0.88 | % | | | 0.89 | % | | | (0.64 | )% | | | 167 | % | | |
| | $11.49 | | | | 14.05 | % | | | $868,660,662 | | | | 0.95 | % | | | 0.95 | % | | | 0.95 | % | | | (0.03 | )% | | | 72 | % | | |
| | $10.62 | | | | 5.45 | %14 | | | $337,526,380 | | | | 0.95 | % | | | 0.95 | % | | | 1.06 | % | | | 0.41 | % | | | 66 | % | | |
| | $10.28 | | | | 3.98 | % | | | $12,747,565 | | | | 0.95 | % | | | 0.95 | % | | | 3.80 | % | | | 0.44 | % | | | 19 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.14 | | | | 6.69 | % | | | $36,231,976 | | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | (0.65 | )% | | | 94 | % | | |
| | $10.76 | | | | (0.23 | )% | | | $79,026,167 | | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | (0.92 | )% | | | 167 | % | | |
| | $11.47 | | | | 13.89 | % | | | $170,953,453 | | | | 1.20 | % | | | 1.20 | % | | | 1.23 | % | | | (0.26 | )% | | | 72 | % | | |
| | $10.59 | | | | 5.12 | %14 | | | $51,560,342 | | | | 1.20 | % | | | 1.20 | % | | | 1.42 | % | | | 0.30 | % | | | 66 | % | | |
| | $10.27 | | | | 3.88 | % | | | $11,234,980 | | | | 1.20 | % | | | 1.20 | % | | | 3.96 | % | | | 0.22 | % | | | 19 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.14 | | | | (3.96 | )% | | | $96,025 | | | | 0.85 | % | | | 0.85 | % | | | 0.86 | % | | | (0.99 | )% | | | 94 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.55 | | | | 9.23 | % | | | $42,278,663 | | | | 1.20 | % | | | 1.15 | % | | | 1.54 | % | | | (0.28 | )% | | | 108 | % | | |
| | $9.87 | | | | (2.83 | )% | | | $17,577,063 | | | | 1.23 | % | | | 1.15 | % | | | 1.85 | % | | | (0.62 | )% | | | 257 | % | | |
| | $10.21 | | | | 2.44 | % | | | $16,253,630 | | | | 1.28 | % | | | 1.15 | % | | | 2.26 | % | | | 0.53 | % | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.56 | | | | 9.02 | % | | | $7,833,547 | | | | 1.45 | % | | | 1.40 | % | | | 1.86 | % | | | (0.37 | )% | | | 108 | % | | |
| | $9.86 | | | | (3.12 | )% | | | $8,651,975 | | | | 1.48 | % | | | 1.40 | % | | | 2.22 | % | | | (0.84 | )% | | | 257 | % | | |
| | $10.23 | | | | 2.38 | % | | | $5,804,844 | | | | 1.53 | % | | | 1.40 | % | | | 3.44 | % | | | (0.62 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.55 | | | | (5.10 | )% | | | $94,855 | | | | 1.10 | % | | | 1.05 | % | | | 1.47 | % | | | (1.49 | )% | | | 108 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
289
| | | | |
| Financial Highlights | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting
from Operations5 | | | 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 RISK PARITY II MV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.02 | | | | (0.04 | ) | | | 0.65 | | | | 0.61 | | | | (0.02 | ) | | | (0.71 | ) | | | (0.73 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.17 | | | | (0.06 | ) | | | (0.08 | ) | | | (0.14 | ) | | | (0.01 | ) | | | (0.00 | )13 | | | (0.01 | ) |
| FOR THE PERIOD 11/05/129—12/31/12 | | | $10.00 | | | | — | | | | 0.19 | | | | 0.19 | | | | (0.02 | ) | | | — | | | | (0.02 | ) |
| AQR RISK PARITY II MV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.99 | | | | (0.06 | ) | | | 0.65 | | | | 0.59 | | | | — | | | | (0.71 | ) | | | (0.71 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.18 | | | | (0.07 | ) | | | (0.11 | ) | | | (0.18 | ) | | | (0.01 | ) | | | (0.00 | )13 | | | (0.01 | ) |
| FOR THE PERIOD 11/05/129—12/31/12 | | | $10.00 | | | | — | | | | 0.18 | | | | 0.18 | | | | — | | | | — | | | | — | |
| AQR RISK PARITY II MV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $11.00 | | | | (0.04 | ) | | | (0.33 | )12 | | | (0.37 | ) | | | (0.03 | ) | | | (0.71 | ) | | | (0.74 | ) |
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.18 | | | | (0.10 | ) | | | 1.24 | | | | 1.14 | | | | (1.16 | ) | | | (0.30 | ) | | | (1.46 | ) |
| FOR THE PERIOD 10/30/139—12/31/13 | | | $10.00 | | | | (0.03 | ) | | | 0.44 | | | | 0.41 | | | | (0.20 | ) | | | (0.03 | ) | | | (0.23 | ) |
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.18 | | | | (0.16 | ) | | | 1.28 | | | | 1.12 | | | | (1.13 | ) | | | (0.30 | ) | | | (1.43 | ) |
| FOR THE PERIOD 10/30/139—12/31/13 | | | $10.00 | | | | (0.04 | ) | | | 0.45 | | | | 0.41 | | | | (0.20 | ) | | | (0.03 | ) | | | (0.23 | ) |
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/02/148—12/31/14 | | | $10.35 | | | | (0.07 | ) | | | 0.86 | | | | 0.79 | | | | (1.16 | ) | | | (0.11 | ) | | | (1.27 | ) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/17/149—12/31/14 | | | $10.00 | | | | (0.02 | ) | | | 0.32 | | | | 0.30 | | | | (0.09 | ) | | | (0.03 | ) | | | (0.12 | ) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/17/149—12/31/14 | | | $10.00 | | | | (0.03 | ) | | | 0.32 | | | | 0.29 | | | | (0.09 | ) | | | (0.03 | ) | | | (0.12 | ) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/17/149—12/31/14 | | | $10.00 | | | | (0.01 | ) | | | 0.31 | | | | 0.30 | | | | (0.10 | ) | | | (0.03 | ) | | | (0.13 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
290
| | | | |
| Financial Highlights | | | December 31, 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 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.90 | | | | 6.04 | % | | | $106,473,068 | | | | 0.95 | % | | | 0.95 | % | | | 1.12 | % | | | (0.34 | )% | | | 128 | % | | |
| | $10.02 | | | | (1.32 | )% | | | $37,848,351 | | | | 0.95 | % | | | 0.95 | % | | | 1.18 | % | | | (0.61 | )% | | | 234 | % | | |
| | $10.17 | | | | 1.87 | % | | | $29,993,223 | | | | 0.95 | % | | | 0.95 | % | | | 2.07 | % | | | 0.18 | % | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.87 | | | | 5.87 | % | | | $7,795,063 | | | | 1.20 | % | | | 1.20 | % | | | 1.44 | % | | | (0.54 | )% | | | 128 | % | | |
| | $9.99 | | | | (1.71 | )% | | | $9,396,772 | | | | 1.20 | % | | | 1.20 | % | | | 1.59 | % | | | (0.71 | )% | | | 234 | % | | |
| | $10.18 | | | | 1.80 | % | | | $2,259,342 | | | | 1.20 | % | | | 1.20 | % | | | 2.81 | % | | | (0.29 | )% | | | 0 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.89 | | | | (3.44 | )% | | | $96,585 | | | | 0.85 | % | | | 0.85 | % | | | 1.03 | % | | | (1.13 | )% | | | 128 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.86 | | | | 11.30 | % | | | $387,666,359 | | | | 2.56 | % | | | 1.50 | % | | | 2.56 | % | | | (0.95 | )% | | | 145 | % | | |
| | $10.18 | | | | 4.08 | % | | | $403,242,880 | | | | 2.07 | % | | | 1.50 | % | | | 2.11 | %10 | | | (1.77 | )% | | | 133 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.87 | | | | 11.08 | % | | | $26,594,173 | | | | 2.81 | % | | | 1.75 | % | | | 2.92 | % | | | (1.50 | )% | | | 145 | % | | |
| | $10.18 | | | | 4.05 | % | | | $15,972,089 | | | | 2.44 | % | | | 1.75 | % | | | 2.70 | %10 | | | (2.05 | )% | | | 133 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.87 | | | | 7.67 | % | | | $74,872,346 | | | | 2.46 | % | | | 1.40 | % | | | 2.57 | % | | | (1.94 | )% | | | 145 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.18 | | | | 3.07 | % | | | $28,094,401 | | | | 1.01 | % | | | 0.85 | % | | | 1.49 | %10 | | | (0.68 | )% | | | 191 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.17 | | | | 2.94 | % | | | $8,576,652 | | | | 1.32 | % | | | 1.10 | % | | | 1.92 | %10 | | | (0.91 | )% | | | 191 | % | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.17 | | | | 2.98 | % | | | $23,694,849 | | | | 1.00 | % | | | 0.75 | % | | | 1.75 | %10 | | | (0.32 | )% | | | 191 | % | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
291
| | | | |
| Financial Highlights | | | December 31, 2014 | |
| * | Annualized for periods less than one year. |
| † | Redemption fees of less than $0.005 per share were incurred by the share class. |
| ^ | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on the SEC method. |
| 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 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 Diversified Arbitrage Fund—Class I | | | $0.08 | | | | 0.73 | % |
AQR Diversified Arbitrage Fund—Class N | | | 0.04 | | | | 0.42 | |
| 7 | For the year ended December 31, 2010, the Advisor contributed $544,199 into the Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Advisor’s contribution increased the total return by 0.08%. |
| 8 | Commencement of offering of shares. |
| 9 | Commencement of operations. |
| 10 | Certain expenses incurred by the Fund were not annualized for the period. |
| 11 | For the year ended December 31, 2011, the Advisor contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Advisor’s contribution increased the Fund’s total return by 0.14%. |
| 12 | The amount shown for a share outstanding throughout the period is not indicative of 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. |
| 14 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
292
| | | | |
| Notes to Financial Statements | | | December 31, 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”), and applies the specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”). As of December 31, 2014, the Trust consists of twenty-nine active series, thirteen of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV 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 Advisor has retained CNH Partners, LLC (the “Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.
The AQR Global Macro Fund commenced operations on April 8, 2014. The AQR Style Premia Alternative LV Fund commenced operations on September 17, 2014. The AQR Equity Market Neutral Fund commenced operations on October 7, 2014.
The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each of these funds offer Class I, Class N, and Class R6 shares.
The Class R6 Shares of the AQR Diversified Arbitrage Fund, the AQR Global Macro Fund, the AQR Long-Short Equity Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund, the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund, the AQR Risk Parity II MV Fund and the AQR Style Premia Alternative Fund commenced operations on September 2, 2014.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows where applicable and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“CFC Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Managed Futures Strategy Offshore Fund Ltd., AQR Managed Futures Strategy HV Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation for the CFC Funds.
For Federal tax purposes, taxable income for each CFC Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”) and each Subsidiary’s taxable income is included in the calculation of the relevant CFC Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the CFC Funds either in the current period or future periods. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
The CFC Funds may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to effect certain investment strategies consistent with the CFC Funds’ investment objectives and policies. The CFC Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the CFC Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
| | | | | | | | | | | | | | | | |
| | | INCEPTION DATE
OF SUBSIDIARY | | | SUBSIDIARY NET
ASSETS AT
DECEMBER 31, 2014 | | | % OF TOTAL NET
ASSETS AT
DECEMBER 31, 2014 | | | NET REALIZED
GAIN (LOSS)
ON INVESTMENTS
HELD IN
SUBSIDIARY | |
AQR Global Macro Offshore Fund Ltd. | | | April 8, 2014 | | | $ | 8,422,338 | | | | 22.5 | % | | $ | 580,318 | |
AQR Managed Futures Strategy Offshore Fund Ltd. | | | January 6, 2010 | | | | 1,612,423,480 | | | | 23.2 | % | | | 451,868,037 | |
AQR Managed Futures Strategy HV Offshore Fund Ltd. | | | July 16, 2013 | | | | 46,110,214 | | | | 22.9 | % | | | 17,435,877 | |
AQR Multi-Strategy Alternative Offshore Fund Ltd. | | | July 18, 2011 | | | | 248,310,884 | | | | 15.9 | % | | | 46,056,450 | |
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd. | | | July 9, 2012 | | | | 14,768,468 | | | | 22.3 | % | | | (8,016,384 | ) |
AQR Risk Parity Offshore Fund Ltd. | | | September 30, 2010 | | | | 123,257,082 | | | | 19.9 | % | | | (14,916,218 | ) |
AQR Risk Parity II HV Offshore Fund Ltd. | | | November 5, 2012 | | | | 11,356,628 | | | | 22.6 | % | | | (1,889,063 | ) |
AQR Risk Parity II MV Offshore Fund Ltd. | | | November 5, 2012 | | | | 16,901,944 | | | | 14.8 | % | | | (3,355,010 | ) |
AQR Style Premia Alternative Offshore Fund Ltd. | | | October 30, 2013 | | | | 110,101,365 | | | | 22.5 | % | | | 17,958,815 | |
AQR Style Premia Alternative LV Offshore Fund Ltd. | | | September 17, 2014 | | | | 13,949,458 | | | | 23.1 | % | | | 235,289 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
293
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
3. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Advisor to make estimates and assumptions that affect the fair value of investments, 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: All securities and other investments are recorded at their estimated fair value, as described in Note 5.
Cash and Cash Equivalents: Cash comprises U.S. dollar and foreign currency deposits held at a bank(s) or custodian bank(s) 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, or cash balances owed to, 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.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the year. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations 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.
Investment Transactions and Related 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) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is adjusted for the changes in the relevant consumer price index.
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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
294
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
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. Accordingly no provision for Federal income tax is necessary.
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 December 31, 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.
4. Securities and Other Investments
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 they 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.
High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
Loan Participations and Assignments: Certain Funds invest in loan participations and assignments. When one of the Funds purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security (short sale). When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
295
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Funds are required to pledge cash or securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
| | | | |
| FUND | | | |
AQR Diversified Arbitrage Fund | | $ | 4,974,388 | |
AQR Equity Market Neutral Fund | | | 1,092 | |
AQR Multi-Strategy Alternative Fund | | | 3,671,840 | |
AQR Style Premia Alternative Fund | | | 511,179 | |
AQR Style Premia Alternative LV Fund | | | 285 | |
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 and options 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 counterparty. 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. Collateral is routinely transferred if the total net exposure (net of existing collateral already in place (“initial margin”)) governed under the relevant Master 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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
296
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
Collateral pledged by a Fund pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements 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 in the Statements 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 primary investment strategy and to equitize its 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. Upon the purchase of a futures contract, 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 prices of the instruments fluctuate. A change in market value of an open futures contract is recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents 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 is 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 that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized 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 Funds are 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.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the OTC market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations.
The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Funds to close out their position(s).
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject 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 subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
297
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Funds and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Upon entering into a centrally cleared swap, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities. Subsequent payments, known as variation margin, are made or received by the Fund, depending on fluctuations in the value of the underlying referenced debt obligation. Such variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss. Credit default contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. The master repurchase agreements maintain provisions for, among other things, initiation, income payments, events of default, maintenance of collateral for repurchase agreements and the disposition of such collateral following an event of default. The market value of the collateral must be equal to or exceed the
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total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.
Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement,. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.
Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the period ended December 31, 2014 for AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:
| | | | | | | | |
| | | CALL OPTIONS | |
| AQR DIVERSIFIED ARBITRAGE FUND | | NUMBER OF
CONTRACTS
SUBJECT
TO CALL | | | PREMIUM | |
| | |
Options outstanding, December 31, 2013 | | | (10,229 | ) | | $ | (2,511,095 | ) |
Options written | | | (27,177 | ) | | | (2,427,120 | ) |
Options terminated | | | 877 | | | | 150,312 | |
Options expired | | | 21,061 | | | | 747,195 | |
Options exercised | | | 9,752 | | | | 1,700,576 | |
Options outstanding, December 31, 2014 | | | (5,716 | ) | | $ | (2,340,132 | ) |
| | | | | | | | |
| | | CALL OPTIONS | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | NUMBER OF
CONTRACTS
SUBJECT
TO CALL | | | PREMIUM | |
| | |
Options outstanding, December 31, 2013 | | | (1,432 | ) | | $ | (10,237 | ) |
Options written | | | (3,423 | ) | | | (353,519 | ) |
Options expired | | | 1,432 | | | | 10,237 | |
Options exercised | | | 2,594 | | | | 249,082 | |
Options outstanding, December 31, 2014 | | | (829 | ) | | $ | (104,437 | ) |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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| Notes to Financial Statements | | | December 31, 2014 | |
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares 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) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made.
For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees. The Advisor has established a Valuation Committee (the “VC”) whose function is to monitor the valuation of portfolio securities and other financial derivative instruments and determine in good faith the fair value of portfolio holdings after consideration of all relevant factors. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. 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 by the VC 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 a security may require subjective determinations about the value of a security that could 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.
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. The VC, reviews third party model prices are reviewed against internal model prices. The VC reviews the results of back testing and reports for the Funds’ Board of Trustees on the results of fair value determinations.
Fair Value Hierarchy: Various inputs are utilized 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)
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.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
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 and are therefore considered Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore considered Level 2. In addition, equities traded outside of the Western Hemisphere are also considered Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Advisor determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. 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.
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Fixed income securities (other than certain short-term investments maturing in less than 61 days) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and 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 using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. 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 may be valued at amortized cost which approximates fair market value.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors. The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the 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.
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 or, if no sales occurred on such date, at the “mid-market” price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
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.
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. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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| Notes to Financial Statements | | | December 31, 2014 | |
Quantitative Information
The following tables represent each Funds’ valuation inputs as presented on the Schedule of Investments.
| | | | | | | | | | | | | | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 637,083,833 | | | $ | 169,570,054 | | | $ | 70,436,249 | | | $ | 877,090,136 | |
Convertible Preferred Stocks† | | | 175,700,385 | | | | 31,609,704 | | | | 24,872,000 | | | | 232,182,089 | |
Corporate Bonds† | | | — | | | | 228,797,033 | | | | 79,701,483 | | | | 308,498,516 | |
Convertible Bonds† | | | — | | | | 626,526,579 | | | | 354,963 | | | | 626,881,542 | |
Closed End Funds | | | 122,755,197 | | | | 45,190 | | | | — | | | | 122,800,387 | |
Loan Participations† | | | — | | | | 26,858,495 | | | | — | | | | 26,858,495 | |
Preferred Stocks† | | | 4,119,832 | | | | 2,408,718 | | | | 853,511 | | | | 7,382,061 | |
Rights† | | | 789,115 | | | | 134,561 | | | | 3,286,022 | | | | 4,209,698 | |
Short-Term Investments | | | — | | | | 179,197,991 | | | | — | | | | 179,197,991 | |
U.S. Treasury Obligations | | | — | | | | 2,876,124 | | | | — | | | | 2,876,124 | |
Warrants† | | | 12,472,656 | | | | 2,876,570 | | | | 1,270,739 | | | | 16,619,965 | |
Money Market Funds | | | — | | | | 426,986,797 | | | | — | | | | 426,986,797 | |
Purchased Options | | | 174,458 | | | | — | | | | — | | | | 174,458 | |
Futures Contracts* | | | 309,803 | | | | — | | | | — | | | | 309,803 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 6,466,083 | | | | — | | | | 6,466,083 | |
Total Return Basket Swaps Contracts | | | — | | | | 23,645,411 | | | | — | | | | 23,645,411 | |
| | | | |
Total Assets | | $ | 953,405,279 | | | $ | 1,727,999,310 | | | $ | 180,774,967 | | | $ | 2,862,179,556 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (853,974,025 | ) | | $ | (7,364,356 | ) | | $ | (453 | ) | | $ | (861,338,834 | ) |
Convertible Bonds (Sold Short)† | | | — | | | | (41,227,953 | ) | | | — | | | | (41,227,953 | ) |
U.S. Treasury Obligations (Sold Short) | | | — | | | | (2,876,124 | ) | | | — | | | | (2,876,124 | ) |
Written Options (Sold Short)* | | | (536,057 | ) | | | (205,768 | ) | | | — | | | | (741,825 | ) |
Futures Contracts* | | | (12,413,572 | ) | | | — | | | | — | | | | (12,413,572 | ) |
Credit Default Swap Contracts* | | | — | | | | (13,566,375 | ) | | | — | | | | (13,566,375 | ) |
| | | | |
Total Liabilities | | $ | (866,923,654 | ) | | $ | (65,240,576 | ) | | $ | (453 | ) | | $ | (932,164,683 | ) |
| | | | | | | | | | | | | | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | — | | | $ | 2,025,099 | | | $ | — | | | $ | 2,025,099 | |
Preferred Stocks† | | | — | | | | 30,651 | | | | — | | | | 30,651 | |
Money Market Funds | | | — | | | | 3,334,581 | | | | — | | | | 3,334,581 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 7,211 | | | | — | | | | 7,211 | |
Total Return Basket Swaps Contracts* | | | — | | | | 329,807 | | | | — | | | | 329,807 | |
| | | | |
Total Assets | | $ | — | | | $ | 5,727,349 | | | $ | — | | | $ | 5,727,349 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (48,840 | ) | | $ | (1,806,104 | ) | | $ | — | | | $ | (1,854,944 | ) |
Preferred Stocks (Sold Short)† | | | — | | | | (7,112 | ) | | | — | | | | (7,112 | ) |
Futures Contracts* | | | (7,134 | ) | | | — | | | | — | | | | (7,134 | ) |
| | | | |
Total Liabilities | | $ | (55,974 | ) | | $ | (1,813,216 | ) | | $ | — | | | $ | (1,869,190 | ) |
| | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | |
| AQR GLOBAL MACRO FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Money Market Funds | | $ | — | | | $ | 33,104,956 | | | $ | — | | | $ | 33,104,956 | |
Futures Contracts* | | | 392,942 | | | | — | | | | — | | | | 392,942 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 238,068 | | | | — | | | | 238,068 | |
Total Return Swap Contracts* | | | — | | | | 145,134 | | | | — | | | | 145,134 | |
| | | | |
Total Assets | | $ | 392,942 | | | $ | 33,488,158 | | | $ | — | | | $ | 33,881,100 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Interest Rate Swap Contracts* | | $ | — | | | $ | (121,757 | ) | | $ | — | | | $ | (121,757 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (121,757 | ) | | $ | — | | | $ | (121,757 | ) |
| | | | | | | | | | | | | | | | |
| AQR LONG-SHORT EQUITY FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Money Market Funds | | $ | — | | | $ | 49,827,080 | | | $ | — | | | $ | 49,827,080 | |
Futures Contracts* | | | 930,241 | | | | — | | | | — | | | | 930,241 | |
Total Return Basket Swap Contracts* | | | — | | | | 3,475,677 | | | | — | | | | 3,475,677 | |
Total Return Swap Contracts* | | | — | | | | 15,442 | | | | — | | | | 15,442 | |
| | | | |
Total Assets | | $ | 930,241 | | | $ | 53,318,199 | | | $ | — | | | $ | 54,248,440 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (145,635 | ) | | $ | — | | | $ | (145,635 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (145,635 | ) | | $ | — | | | $ | (145,635 | ) |
| | | | | | | | | | | | | | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Short-Term Investments | | $ | — | | | $ | 5,027,995,388 | | | $ | — | | | $ | 5,027,995,388 | |
Money Market Funds | | | — | | | | 1,418,015,729 | | | | — | | | | 1,418,015,729 | |
Futures Contracts* | | | 209,463,816 | | | | — | | | | — | | | | 209,463,816 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 66,567,551 | | | | — | | | | 66,567,551 | |
Total Return Swap Contracts* | | | — | | | | 18,048,438 | | | | — | | | | 18,048,438 | |
| | | | |
Total Assets | | $ | 209,463,816 | | | $ | 6,530,627,106 | | | $ | — | | | $ | 6,740,090,922 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Total Return Swap Contracts* | | $ | — | | | $ | (12,141,765 | ) | | $ | — | | | $ | (12,141,765 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (12,141,765 | ) | | $ | — | | | $ | (12,141,765 | ) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
303
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Short-Term Investments | | $ | — | | | $ | 110,906,764 | | | $ | — | | | $ | 110,906,764 | |
Money Market Funds | | | — | | | | 67,929,447 | | | | — | | | | 67,929,447 | |
Futures Contracts* | | | 8,034,990 | | | | — | | | | — | | | | 8,034,990 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 2,739,576 | | | | — | | | | 2,739,576 | |
Total Return Swap Contracts* | | | — | | | | 2,130,339 | | | | — | | | | 2,130,339 | |
| | | | |
Total Assets | | $ | 8,034,990 | | | $ | 183,706,126 | | | $ | — | | | $ | 191,741,116 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Total Return Swap Contracts* | | $ | — | | | $ | (13,394 | ) | | $ | — | | | $ | (13,394 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (13,394 | ) | | $ | — | | | $ | (13,394 | ) |
| | | | | | | | | | | | | | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS (LEVEL 3) | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 99,272,395 | | | $ | 114,104,100 | | | $ | — | | | $ | 213,376,495 | |
Convertible Preferred Stocks† | | | 61,745,916 | | | | 2,714,593 | | | | — | | | | 64,460,509 | |
Corporate Bonds† | | | — | | | | 1,422,000 | | | | — | | | | 1,422,000 | |
Convertible Bonds† | | | 6,286,063 | | | | 408,703,966 | | | | — | | | | 414,990,029 | |
Preferred Stocks† | | | 873,428 | | | | — | | | | — | | | | 873,428 | |
Rights† | | | — | | | | — | | | | — | (a) | | | — | (a) |
Short-Term Investments | | | — | | | | 53,481,133 | | | | — | | | | 53,481,133 | |
U.S. Treasury Obligations | | | — | | | | 1,725,675 | | | | — | | | | 1,725,675 | |
Money Market Funds | | | — | | | | 599,034,056 | | | | — | | | | 599,034,056 | |
Futures Contracts* | | | 2,289,678 | | | | — | | | | — | | | | 2,289,678 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 5,072,224 | | | | — | | | | 5,072,224 | |
Credit Default Swap Contracts* | | | — | | | | 3,547,704 | | | | — | | | | 3,547,704 | |
Total Return Basket Swap Contracts* | | | — | | | | 63,718,781 | | | | — | | | | 63,718,781 | |
Total Return Swap Contracts* | | | — | | | | 17,127,614 | | | | — | | | | 17,127,614 | |
| | | | |
Total Assets | | $ | 170,467,480 | | | $ | 1,270,651,846 | | | $ | — | (a) | | $ | 1,441,119,326 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (421,990,879 | ) | | $ | (991,428 | ) | | $ | — | | | $ | (422,982,307 | ) |
U.S. Treasury Obligations (Sold Short) | | | — | | | | (1,725,675 | ) | | | — | | | | (1,725,675 | ) |
Written Options (Sold Short)* | | | (239,581 | ) | | | — | | | | — | | | | (239,581 | ) |
Futures Contracts* | | | (9,022,946 | ) | | | — | | | | — | | | | (9,022,946 | ) |
Total Return Swap Contracts* | | | — | | | | (2,334,546 | ) | | | — | | | | (2,334,546 | ) |
| | | | |
Total Liabilities | | $ | (431,253,406 | ) | | $ | (5,051,649 | ) | | $ | — | | | $ | (436,305,055 | ) |
| | | | | | | | | | | | | | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Short-Term Investments | | $ | — | | | $ | 351,895 | | | $ | — | | | $ | 351,895 | |
Money Market Funds | | | — | | | | 71,291,376 | | | | — | | | | 71,291,376 | |
| | | | |
Total Assets | | $ | — | | | $ | 71,643,271 | | | $ | — | | | $ | 71,643,271 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (722,171 | ) | | $ | — | | | $ | — | | | $ | (722,171 | ) |
Total Return Swap Contracts* | | | — | | | | (5,361,543 | ) | | | — | | | | (5,361,543 | ) |
| | | | |
Total Liabilities | | $ | (722,171 | ) | | $ | (5,361,543 | ) | | $ | — | | | $ | (6,083,714 | ) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
304
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| AQR RISK PARITY FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Government Related Obligations | | $ | — | | | $ | 91,473,174 | | | $ | — | | | $ | 91,473,174 | |
Short-Term Investments | | | — | | | | 115,430,182 | | | | — | | | | 115,430,182 | |
U.S. Treasury Obligations | | | — | | | | 116,628,211 | | | | — | | | | 116,628,211 | |
Money Market Funds | | | — | | | | 288,306,056 | | | | — | | | | 288,306,056 | |
Futures Contracts* | | | 4,834,575 | | | | — | | | | — | | | | 4,834,575 | |
Interest Rate Swap Contracts* | | | — | | | | 4,749,641 | | | | — | | | | 4,749,641 | |
Credit Default Swap Contracts* | | | — | | | | 14,616,214 | | | | — | | | | 14,616,214 | |
Total Return Swap Contracts* | | | — | | | | 6,992,119 | | | | — | | | | 6,992,119 | |
| | | | |
Total Assets | | $ | 4,834,575 | | | $ | 638,195,597 | | | $ | — | | | $ | 643,030,172 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (23,622 | ) | | $ | — | | | $ | — | | | $ | (23,622 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (1,883,546 | ) | | | — | | | | (1,883,546 | ) |
Total Return Swap Contracts* | | | — | | | | (20,478,781 | ) | | | — | | | | (20,478,781 | ) |
| | | | |
Total Liabilities | | $ | (23,622 | ) | | $ | (22,362,327 | ) | | $ | — | | | $ | (22,385,949 | ) |
| | | | | | | | | | | | | | | | |
| AQR RISK PARITY II HV FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Government Related Obligations | | $ | — | | | $ | 9,243,990 | | | $ | — | | | $ | 9,243,990 | |
Short-Term Investments | | | — | | | | 7,484,702 | | | | — | | | | 7,484,702 | |
U.S. Treasury Obligations | | | — | | | | 11,734,479 | | | | — | | | | 11,734,479 | |
Money Market Funds | | | — | | | | 20,997,386 | | | | — | | | | 20,997,386 | |
Futures Contracts* | | | 1,198,783 | | | | — | | | | — | | | | 1,198,783 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 137,764 | | | | — | | | | 137,764 | |
Total Return Swap Contracts* | | | — | | | | 577,101 | | | | — | | | | 577,101 | |
| | | | |
Total Assets | | $ | 1,198,783 | | | $ | 50,175,422 | | | $ | — | | | $ | 51,374,205 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (492,239 | ) | | $ | — | | | $ | — | | | $ | (492,239 | ) |
Total Return Swap Contracts* | | | — | | | | (2,144,589 | ) | | | — | | | | (2,144,589 | ) |
| | | | |
Total Liabilities | | $ | (492,239 | ) | | $ | (2,144,589 | ) | | $ | — | | | $ | (2,636,828 | ) |
| | | | | | | | | | | | | | | | |
| AQR RISK PARITY II MV FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | |
Government Related Obligations | | $ | — | | | $ | 13,155,124 | | | $ | — | | | $ | 13,155,124 | |
Short-Term Investments | | | — | | | | 18,771,214 | | | | — | | | | 18,771,214 | |
U.S. Treasury Obligations | | | — | | | | 16,957,144 | | | | — | | | | 16,957,144 | |
Money Market Funds | | | — | | | | 64,295,600 | | | | — | | | | 64,295,600 | |
Futures Contracts* | | | 1,906,055 | | | | — | | | | — | | | | 1,906,055 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 203,793 | | | | — | | | | 203,793 | |
Total Return Swap Contracts* | | | — | | | | 597,341 | | | | — | | | | 597,341 | |
| | | | |
Total Assets | | $ | 1,906,055 | | | $ | 113,980,216 | | | $ | — | | | $ | 115,886,271 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (735,912 | ) | | $ | — | | | $ | — | | | $ | (735,912 | ) |
Total Return Swap Contracts* | | | — | | | | (3,014,438 | ) | | | — | | | | (3,014,438 | ) |
| | | | |
Total Liabilities | | $ | (735,912 | ) | | $ | (3,014,438 | ) | | $ | — | | | $ | (3,750,350 | ) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
305
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | | | | | | | | | | | | | | | | |
Common Stocks† | | $ | — | | | $ | 191,572,102 | | | $ | — | | | $ | 191,572,102 | |
Preferred Stocks† | | | — | | | | 3,759,671 | | | | — | | | | 3,759,671 | |
Rights† | | | — | | | | — | (a) | | | — | | | | — | (a) |
Money Market Funds | | | — | | | | 389,313,567 | | | | — | | | | 389,313,567 | |
Futures Contracts* | | | 2,238,282 | | | | — | | | | — | | | | 2,238,282 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 2,462,754 | | | | — | | | | 2,462,754 | |
Total Return Basket Swap Contracts* | | | — | | | | 16,304,539 | | | | — | | | | 16,304,539 | |
Total Return Swap Contracts* | | | — | | | | 794,980 | | | | — | | | | 794,980 | |
| | | | |
Total Assets | | $ | 2,238,282 | | | $ | 604,207,613 | | | $ | — | | | $ | 606,445,895 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (1,541,491 | ) | | $ | (159,989,996 | ) | | $ | (31,454 | ) | | $ | (161,562,941 | ) |
Futures Contracts* | | | (5,395,985 | ) | | | — | | | | — | | | | (5,395,985 | ) |
Total Return Swap Contracts* | | | — | | | | (718,608 | ) | | | — | | | | (718,608 | ) |
| | | | |
Total Liabilities | | $ | (6,937,476 | ) | | $ | (160,708,604 | ) | | $ | (31,454 | ) | | $ | (167,677,534 | ) |
| | | | | | | | | | | | | | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTALS | |
ASSETS | | | | | | | | | | | | | | | | |
Common Stocks† | | $ | — | | | $ | 12,857,255 | | | $ | — | | | $ | 12,857,255 | |
Preferred Stocks† | | | — | | | | 144,091 | | | | — | | | | 144,091 | |
Rights† | | | — | | | | — | (a) | | | — | | | | — | (a) |
Money Market Funds | | | — | | | | 54,481,271 | | | | — | | | | 54,481,271 | |
Futures Contracts* | | | 137,147 | | | | — | | | | — | | | | 137,147 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 96,193 | | | | — | | | | 96,193 | |
Total Return Basket Swaps Contracts* | | | — | | | | 334,032 | | | | — | | | | 334,032 | |
Total Return Swap Contracts* | | | — | | | | 13,542 | | | | — | | | | 13,542 | |
| | | | |
Total Assets | | $ | 137,147 | | | $ | 67,926,384 | | | $ | — | | | $ | 68,063,531 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | — | | | $ | (10,700,278 | ) | | $ | — | | | $ | (10,700,278 | ) |
Futures Contracts* | | | (266,727 | ) | | | — | | | | — | | | | (266,727 | ) |
Total Return Swap Contracts* | | | — | | | | (1,496 | ) | | | — | | | | (1,496 | ) |
| | | | |
Total Liabilities | | $ | (266,727 | ) | | $ | (10,701,774 | ) | | $ | — | | | $ | (10,968,501 | ) |
| | * | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the unrealized appreciation (depreciation) of the instrument. Credit default swap, interest rate swap and option contracts are reported at market value. |
| | † | Please refer to the Schedule of Investments to view securities segregated by country. |
| | (a) | Security has zero value. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. 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. During the period ended December 31, 2014, the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund had twenty-two investments and one investment, respectively, which transferred levels between 1 and 2. There were no transfers of investments between levels for any of the remaining Funds.
There were no Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund. Securities classified as Level 3 in the Schedule of Investments are considered quantitatively insignificant in the aggregate for AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
306
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period ended December 31, 2014 for each Fund that held Level 3 securities that were considered quantitatively significant:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR DIVERSIFIED
ARBITRAGE FUND | | COMMON
STOCK | | | CONVERTIBLE
PREFERRED
STOCK | | | LOAN
PARTICIPATIONS/
CORPORATE
BONDS | | | CONVERTIBLE
BONDS | | | PREFERRED
STOCKS | | | RIGHTS | | | WARRANTS | | | SHORT COMMON STOCKS | |
Balance as of December 31, 2013 | | | $14,041,304 | | | | $24,735,848 | | | | $74,581,303 | | | | $7,850,420 | | | | $20,828,897 | | | | $2,835 | | | | $9,194,739 | | | $ | — | |
Accrued discounts/(premiums) | | | — | | | | — | | | | (811,601 | ) | | | 1,157 | | | | — | | | | — | | | | — | | | | — | |
Realized gain/(loss) | | | (2,109,884 | ) | | | (56,989 | ) | | | 941,437 | | | | 446,879 | | | | 343,509 | | | | — | | | | (469,846 | ) | | | — | |
Change in unrealized appreciation/(depreciation) | | | (680,382 | ) | | | 1,297,846 | | | | (15,011,080 | ) | | | (637,382 | ) | | | (184,573 | ) | | | 3,283,187 | | | | (5,156,650 | ) | | | (453 | ) |
Purchases1 | | | 46,800,620 | | | | — | | | | 62,064,173 | | | | 1,688,988 | | | | — | | | | — | | | | —( | a) | | | — | (a) |
Sales2 | | | (139,113 | ) | | | (1,104,705 | ) | | | (67,862,823 | ) | | | (8,995,099 | ) | | | (20,134,322 | ) | | | — | | | | (2,065,855 | ) | | | — | |
Transfers in to Level 3 | | | 24,878,862 | | | | — | | | | 28,273,160 | | | | — | | | | — | | | | — | | | | 11,162 | | | | — | |
Transfers out of Level 3 | | | (12,355,158 | ) | | | — | | | | (2,473,086 | ) | | | — | | | | — | | | | — | | | | (242,811 | ) | | | — | |
Balance as of December 31, 2014 | | | $70,436,249 | | | | $24,872,000 | | | | $79,701,483 | | | | $354,963 | | | | $853,511 | | | | $3,286,022 | | | | $1,270,739 | | | | $(453) | |
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2014 | | | $(2,802,251) | | | | $1,199,942 | | | | $(17,785,689) | | | | $(444,961) | | | | $(13,310) | | | | $3,283,187 | | | | $912,454 | | | | $(453) | |
| | | | | | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | CONVERTIBLE
BOND | | | RIGHTS | |
| Balance as of December 31, 2013 | | $ | 1,089,000 | | | $ | — | |
Accrued discounts/(premiums) | | | (32 | ) | | | — | |
Realized gain/(loss) | | | — | | | | — | |
Change in unrealized appreciation/(depreciation) | | | 7,818 | | | | — | |
Purchases | | | — | | | | — | (a) |
Sales | | | (1,096,786 | ) | | | — | |
Transfers into Level 3 | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | |
| | |
| Balance as of December 31, 2014 | | $ | — | | | $ | — | (a) |
Change in unrealized appreciation/(depreciation) for securities still held at December 31, 2014 | | $ | — | | | $ | — | |
| | 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| | 2 | Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action. |
| | (a) | Security has zero value. |
The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Advisor’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
307
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
At December 31, 2014, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended December 31, 2014 for the AQR Diversified Arbitrage Fund:
Quantitative Information about Level 3 Fair Value Measurements*
| | | | | | | | | | | | |
| INVESTMENT TYPE | | FAIR VALUE AT
12/31/14 | | | VALUATION
METHODOLOGY | | UNOBSERVABLE INPUT(S) | | INPUT
VALUE/RANGE | | WEIGHTED
AVERAGE |
| | | | | |
| Common Stock | | | $641,894 | | | Enterprise Value Waterfall Analysis | | Discount for lack of marketability | | 20.2%—23.2% | | 22.2% |
| | | | | | | | Multiple of EBITDA | | 6.5x—7.5x | | 7.0x |
| | | | | | | | Revenue multiple | | 1.2x—1.3x | | 1.25x |
| | | | | |
| | | $37,775,050 | | | Fundamental Analysis | | Discount for lack of marketability | | 4.7%—21.1% | | 6.0% |
| | | $2,250 | | | Liquidation Analysis | | Liquidation cost (% of capital) | | 71.9% | | N/A |
| | | | | |
| | | | | | | | Recovery probability | | 2.5% | | N/A |
| | | $1,397,772 | | | Probability Weighted Expected Return | | Discount for lack of marketability | | 34.9% | | N/A |
| | | | | | | | Equity cost of capital | | 25.0% | | N/A |
| | | | | | | | Legal fees (% of proceeds) | | 9.8% | | N/A |
| | | | | | | | | Scenario probability | | 50.0% | | N/A |
| | | | | |
| Convertible Bonds | | | $66,523 | | | Liquidation Analysis | | Expected remaining distributions (% of par) | | 4.5% | | N/A |
| | | | | | | | Liquidation cost (% of capital) | | 71.9% | | N/A |
| | | | | | | | | Recovery probability | | 2.5% | | N/A |
| | | | | |
| Convertible Preferred Stocks | | | $24,871,058 | | | Discounted Cash Flow Analysis | | Discount rate | | 5.6% | | N/A |
| | | | | |
| Corporate Bonds | | | $50,283 | | | Discounted Cash Flow Analysis | | Discount rate | | 11.6% | | N/A |
| | | | | | | | Multiple of EBITDA | | 5.5x—6.5x | | 6.0x |
| | | $562,216 | | | Liquidation Analysis | | Liquidation cost (% of capital) | | 0.3%—71.9% | | 3.8% |
| | | | | | | | | Recovery probability | | 2.5% | | N/A |
| | | | | |
| Preferred Stock | | | $853,511 | | | Enterprise Value Waterfall Analysis | | Discount for lack of marketability | | 8.0% | | N/A |
| | | | | | | | | Multiple of EBITDA | | 4.8x—5.8x | | 5.3x |
| | | | | |
| Rights | | | $343,341 | | | Black-Scholes | | Discount for lack of marketability | | 32.6% | | N/A |
| | | $2,889,628 | | | Probability Weighted Expected Return | | Discount for lack of marketability | | 14.0%—40.5% | | 17.0% |
| | | | | | | | Equity cost of capital | | 12.4%—21.0% | | 13.3% |
| | | | | | | | | Scenario probability | | 26.3%—90.0% | | 65.6% |
| | | | | |
| Warrant | | | $6,458 | | | Black-Scholes | | Discount for lack of marketability** | | 20.9%—39.1% | | 29.8% |
| | * | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2014, the value of these securities was $111,314,530. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
| | ** | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
308
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
6. Federal Income Tax Matters
At December 31, 2014, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| FUND | | COST OF
INVESTMENTS | | | GROSS
UNREALIZED
APPRECIATION | | | GROSS
UNREALIZED
DEPRECIATION | | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AQR Diversified Arbitrage Fund | | $ | 2,960,518,080 | | | $ | 132,087,436 | | | $ | (260,847,257 | ) | | $ | (128,759,821 | ) |
| AQR Equity Market Neutral Fund | | | 5,399,594 | | | | 64,618 | | | | (73,881 | ) | | | (9,263 | ) |
| AQR Global Macro Fund | | | 33,104,956 | | | | — | | | | — | | | | — | |
| AQR Long-Short Equity Fund | | | 49,827,080 | | | | — | | | | — | | | | — | |
| AQR Managed Futures Strategy Fund | | | 6,445,716,688 | | | | 294,429 | | | | — | | | | 294,429 | |
| AQR Managed Futures Strategy HV Fund | | | 178,832,847 | | | | 3,364 | | | | — | | | | 3,364 | |
| AQR Multi-Strategy Alternative Fund | | | 1,265,926,589 | | | | 161,375,401 | | | | (77,938,665 | ) | | | 83,436,736 | |
| AQR Risk Balanced Commodities Strategy Fund | | | 71,643,269 | | | | 2 | | | | — | | | | 2 | |
| AQR Risk Parity Fund | | | 620,271,396 | | | | 1,442,977 | | | | (9,876,750 | ) | | | (8,433,773 | ) |
| AQR Risk Parity II HV Fund | | | 50,469,381 | | | | 38,777 | | | | (1,047,601 | ) | | | (1,008,824 | ) |
| AQR Risk Parity II MV Fund | | | 114,714,682 | | | | 3,569 | | | | (1,539,169 | ) | | | (1,535,600 | ) |
| AQR Style Premia Alternative Fund | | | 593,932,704 | | | | 21,946,681 | | | | (31,234,045 | ) | | | (9,287,364 | ) |
| AQR Style Premia Alternative LV Fund | | | 67,964,806 | | | | 151,001 | | | | (633,190 | ) | | | (482,189 | ) |
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 dividends, straddle loss deferral, investments in partnerships, basis adjustments, prior year and current year deflation deferral.
As of December 31, 2014, the components of net assets (excluding paid in capital) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| 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 Diversified Arbitrage Fund | | $ | 18,501,114 | | | $ | (55,968,355 | ) | | $ | (163,152,258 | ) | | $ | (11,138,486 | ) | | $ | 973,861 | | | $ | (210,784,124 | ) |
AQR Equity Market Neutral Fund | | | — | | | | (3,749 | ) | | | 15,804 | | | | (2,791 | ) | | | — | | | | 9,264 | |
AQR Global Macro Fund | | | 982,330 | | | | 410,604 | | | | (151,177 | ) | | | (1,120,829 | ) | | | (125,727 | ) | | | (4,799 | ) |
AQR Long-Short Equity Fund | | | — | | | | — | | | | 175,413 | | | | (44,846 | ) | | | — | | | | 130,567 | |
AQR Managed Futures Strategy Fund | | | 95,055,714 | | | | 95,762,665 | | | | (87,665,613 | ) | | | — | | | | (192,178,981 | ) | | | (89,026,215 | ) |
AQR Managed Futures Strategy HV Fund | | | 5,577,663 | | | | 8,702,469 | | | | (770,941 | ) | | | — | | | | (7,884,846 | ) | | | 5,624,345 | |
AQR Multi-Strategy Alternative Fund | | | — | | | | 11,812,436 | | | | (28,277,366 | ) | | | (10,485,297 | ) | | | (26,196,833 | ) | | | (53,147,060 | ) |
AQR Risk Balanced Commodities Strategy Fund | | | — | | | | (12,630 | ) | | | (9,676,051 | ) | | | — | | | | 618,097 | | | | (9,070,584 | ) |
AQR Risk Parity Fund | | | 7,944,454 | | | | 194,853 | | | | (20,006,908 | ) | | | (44,630 | ) | | | 6,214,696 | | | | (5,697,535 | ) |
AQR Risk Parity II HV Fund | | | 1,574,300 | | | | 495,227 | | | | (3,380,960 | ) | | | — | | | | 931,290 | | | | (380,143 | ) |
AQR Risk Parity II MV Fund | | | 2,013,409 | | | | 1,018,242 | | | | (5,141,503 | ) | | | — | | | | 1,409,508 | | | | (700,344 | ) |
AQR Style Premia Alternative Fund | | | 8,446,124 | | | | — | | | | (23,712,685 | ) | | | (7,392,219 | ) | | | 3,967,552 | | | | (18,691,228 | ) |
AQR Style Premia Alternative LV Fund | | | 665,350 | | | | 28,349 | | | | (301,264 | ) | | | (197,202 | ) | | | (115,725 | ) | | | 79,508 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
309
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
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, mark to market on PFICs, mark to market on forward foreign currency exchange contracts, mark to market on future contracts, mark to market on swaps, non-taxable dividends, late year ordinary loss deferrals, straddle loss deferrals, loss deferrals on unsettled short sales, investments in partnerships, constructive sales, investments in treasury inflation protected securities, unamortized and amortized of organizational costs, post-October capital loss deferrals, derivative contracts closed by offset, basis adjustments, prior year and current year deflation deferral, Section 305(c) deemed dividend adjustment, Cayman subsidiary taxable income, CPDI accrued income, loss deferrals on substantial overlap.
As of December 31, 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 Diversified Arbitrage Fund | | $ | (7,265,438 | ) | | $ | (18,136,082 | ) | | $ | 25,401,520 | |
| AQR Equity Market Neutral Fund | | | 7,924 | | | | 19,978 | | | | (27,902 | ) |
| AQR Global Macro Fund | | | (1,028,505 | ) | | | 921,158 | | | | 107,347 | |
| AQR Long-Short Equity Fund | | | 423,837 | | | | (135,894 | ) | | | (287,943 | ) |
| AQR Managed Futures Strategy Fund | | | (8,091,043 | ) | | | (473,885,239 | ) | | | 481,976,282 | |
| AQR Managed Futures Strategy HV Fund | | | 3,167,822 | | | | (19,011,600 | ) | | | 15,843,778 | |
| AQR Multi-Strategy Alternative Fund | | | 51,035,416 | | | | (77,976,769 | ) | | | 26,941,353 | |
| AQR Risk Balanced Commodities Strategy Fund | | | (2,427,604 | ) | | | 8,047,231 | | | | (5,619,627 | ) |
| AQR Risk Parity Fund | | | 27,151,926 | | | | (13,454,273 | ) | | | (13,697,653 | ) |
| AQR Risk Parity II HV Fund | | | 1,037,290 | | | | 1,204,332 | | | | (2,241,622 | ) |
| AQR Risk Parity II MV Fund | | | 1,529,056 | | | | 2,458,952 | | | | (3,988,008 | ) |
| AQR Style Premia Alternative Fund | | | 28,746,666 | | | | (45,361,685 | ) | | | 16,615,019 | |
| AQR Style Premia Alternative LV Fund | | | (425,213 | ) | | | 183,777 | | | | 241,436 | |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due the tax treatment of foreign currency gain/losses, dividend expense for securities sold short, investments in REITs, investments in PFICs, investments in swap contracts, redemptions in-kinds, distribution reclassifications, redemptions used as distributions, return of capital distributions, non-taxable dividends, non-deductible expenses, paydowns gain/loss, net operating losses, prior year and current year deflation deferral, ordinary loss, finance charges and monthly reset on basket swaps, basis adjustments, CPDI accrual income, section 988 reclass and the tax treatment of income from investments in the subsidiary. The result of operations and net assets were not affected by the reclassifications.
The tax character of distributions paid during the periods ended December 31, 2014 and December 31, 2013 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| FUND | | DECEMBER 31,
2014
ORDINARY
INCOME | | | CAPITAL
GAINS | | | RETURN OF
CAPITAL | | | DECEMBER 31,
2013
ORDINARY
INCOME | | | CAPITAL
GAINS | | | RETURN OF
CAPITAL | |
AQR Diversified Arbitrage Fund | | $ | 42,184,546 | | | $ | — | | | $ | — | | | $ | 44,059,462 | | | $ | 14,410,981 | | | $ | 21,724,609 | |
AQR Equity Market Neutral Fund | | | 327,559 | | | | — | | | | 3,100 | | | | — | | | | — | | | | — | |
AQR Global Macro Fund | | | — | | | | 65,718 | | | | — | | | | — | | | | — | | | | — | |
AQR Long-Short Equity Fund | | | 3,695,245 | | | | 158,787 | | | | 137,442 | | | | 439,168 | | | | 55,727 | | | | — | |
AQR Managed Futures Strategy Fund | | | 397,007,505 | | | | 194,482,633 | | | | — | | | | 6,115,369 | | | | 52,416,671 | | | | — | |
AQR Managed Futures Strategy HV Fund | | | 15,283,006 | | | | 3,010,679 | | | | — | | | | 39,794 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 108,646,645 | | | | 398,487 | | | | — | | | | 77,873,599 | | | | 7,128,688 | | | | — | |
AQR Risk Balanced Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Risk Parity Fund | | | 65,645,098 | | | | 15,092,700 | | | | — | | | | 49,971,618 | | | | 11,583,408 | | | | — | |
AQR Risk Parity II HV Fund | | | 3,324,717 | | | | 2,288,332 | | | | — | | | | 134,991 | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 3,714,288 | | | | 3,529,309 | | | | — | | | | 74,964 | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 61,067,637 | | | | 5,032,183 | | | | — | | | | 7,859,288 | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | 380,534 | | | | 69,820 | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
310
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
During the period ended December 31, 2014, the Funds utilized capital loss carryforwards in the amounts listed below:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Multi-Strategy Alternative Fund | | $ | — | | | $ | 25,330,530 | |
AQR Risk Parity II HV Fund | | | 149,828 | | | | — | |
AQR Risk Parity II MV Fund | �� | | 149,623 | | | | — | |
As of December 31, 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 | |
AQR Diversified Arbitrage Fund | | $ | 55,968,355 | | | $ | — | |
AQR Equity Market Neutral Fund | | | 1,143 | | | | 2,606 | |
AQR Risk Balanced Commodities Strategy Fund | | | 12,630 | | | | — | |
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.
7. Investment Transactions
During the period ended December 31, 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 | | | SECURITIES
SOLD SHORT | | | COVERS ON
SECURITIES SOLD
SHORT | |
AQR Diversified Arbitrage Fund | | $ | 7,081,539,800 | | | $ | 6,640,137,183 | | | $ | 2,878,442,152 | | | $ | 2,368,819,336 | |
AQR Equity Market Neutral Fund | | | 2,192,161 | | | | 139,734 | | | | 2,059,538 | | | | 178,331 | |
AQR Global Macro Fund | | | — | | | | — | | | | — | | | | — | |
AQR Long-Short Equity Fund | | | — | | | | — | | | | — | | | | — | |
AQR Managed Futures Strategy Fund | | | — | | | | — | | | | — | | | | — | |
AQR Managed Futures Strategy HV Fund | | | — | | | | — | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 1,096,573,449 | | | | 1,749,679,634 | | | | 907,855,679 | | | | 1,463,424,868 | |
AQR Risk-Balanced Commodities Strategy Fund | | | — | | | | — | | | | — | | | | — | |
AQR Risk Parity Fund | | | 287,622,413 | | | | 416,600,461 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 35,357,673 | | | | 29,344,847 | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 54,195,123 | | | | 43,965,707 | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 292,910,737 | | | | 48,093,570 | | | | 277,979,252 | | | | 74,937,697 | |
AQR Style Premia Alternative LV Fund | | | 13,562,477 | | | | 92,463 | | | | 11,458,218 | | | | 234,893 | |
During the period ended December 31, 2014, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
| | | | | | | | |
| FUND | | PURCHASES | | | SALES | |
AQR Diversified Arbitrage Fund | | $ | 34,327,792 | | | $ | 39,290,680 | |
AQR Multi-Strategy Alternative Fund | | | 5,129,454 | | | | 4,736,360 | |
AQR Risk Parity Fund | | | 181,234,033 | | | | 270,177,269 | |
AQR Risk Parity II HV Fund | | | 22,505,361 | | | | 20,504,892 | |
AQR Risk Parity II MV Fund | | | 35,011,014 | | | | 30,563,784 | |
8. Derivative Instruments and Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at December 31, 2014, are not accounted for as hedging instruments under GAAP. 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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
311
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at December 31, 2014.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ASSETS | | | LIABILITIES | |
| FUND | | UNREALIZED
APPRECIATION
ON FUTURES
CONTRACTS | | | SWAPS
AT VALUE | | | UNREALIZED
APPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | UNREALIZED
DEPRECIATION
ON FUTURES
CONTRACTS | | | SWAPS
AT VALUE | | | UNREALIZED
DEPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | WRITTEN
OPTIONS
AT
MARKET
VALUE | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | $ | — | | | $ | 25,996,085 | | | $ | — | | | $ | 12,177,848 | | | $ | 2,350,674 | | | $ | — | | | $ | 741,825 | |
| AQR Equity Market Neutral Fund | | | 10,060 | | | | 329,807 | | | | — | | | | 17,194 | | | | — | | | | — | | | | — | |
| AQR Global Macro Fund | | | 366,317 | | | | 7,959 | | | | — | | | | 203,628 | | | | 1,929 | | | | — | | | | — | |
| AQR Long-Short Equity Fund | | | 1,012,487 | | | | 3,571,282 | | | | — | | | | 82,246 | | | | 80,167 | | | | — | | | | — | |
| AQR Managed Futures Strategy Fund | | | 33,011,551 | | | | 6,699,294 | | | | — | | | | 10,687,827 | | | | — | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | 1,390,915 | | | | 287,232 | | | | — | | | | 441,841 | | | | — | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | 3,353,314 | | | | 71,946,389 | | | | — | | | | 11,481,621 | | | | 10,496,933 | | | | — | | | | 239,581 | |
| AQR Risk Parity Fund | | | 5,160,051 | | | | 588,186 | | | | — | | | | 510,201 | | | | — | | | | — | | | | — | |
| AQR Risk Parity II HV Fund | | | 827,900 | | | | 93,800 | | | | — | | | | 80,870 | | | | — | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | 1,204,337 | | | | 140,206 | | | | — | | | | 126,349 | | | | — | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | 3,086,295 | | | | 17,740,794 | | | | — | | | | 6,834,503 | | | | 1,361,956 | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | 133,174 | | | | 341,370 | | | | — | | | | 240,731 | | | | 15,328 | | | | — | | | | — | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | — | | | | — | | | | 10,035,791 | | | | — | | | | — | | | | 3,569,708 | | | | — | |
| AQR Equity Market Neutral Fund | | | — | | | | — | | | | 11,071 | | | | — | | | | — | | | | 3,860 | | | | — | |
| AQR Global Macro Fund | | | — | | | | — | | | | 572,156 | | | | — | | | | — | | | | 334,088 | | | | — | |
| AQR Long-Short Equity Fund | | | — | | | | — | | | | 968 | | | | — | | | | — | | | | 146,603 | | | | — | |
| AQR Managed Futures Strategy Fund | | | — | | | | — | | | | 166,480,487 | | | | — | | | | — | | | | 99,912,936 | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | — | | | | — | | | | 6,921,104 | | | | — | | | | — | | | | 4,181,528 | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | — | | | | — | | | | 26,262,697 | | | | — | | | | — | | | | 21,190,473 | | | | — | |
| AQR Risk Parity Fund | | | — | | | | — | | | | 4,676,054 | | | | — | | | | — | | | | 6,559,600 | | | | — | |
| AQR Risk Parity II HV Fund | | | — | | | | — | | | | 147,892 | | | | — | | | | — | | | | 10,128 | | | | — | |
| AQR Risk Parity II MV Fund | | | — | | | | — | | | | 208,316 | | | | — | | | | — | | | | 4,523 | | | | — | |
| AQR Style Premia Alternative Fund | | | — | | | | — | | | | 10,694,693 | | | | — | | | | — | | | | 8,231,939 | | | | — | |
| AQR Style Premia Alternative LV Fund | | | — | | | | — | | | | 421,897 | | | | — | | | | — | | | | 325,704 | | | | — | |
| | | | | | | |
| Interest Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | 309,803 | | | | — | | | | — | | | | 235,724 | | | | — | | | | — | | | | — | |
| AQR Global Macro Fund | | | 383,292 | | | | 3,841,738 | | | | — | | | | 359,532 | | | | 3,912,259 | | | | — | | | | — | |
| AQR Managed Futures Strategy Fund | | | 89,110,867 | | | | 7,350,931 | | | | — | | | | 4,024,580 | | | | 4,486,736 | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | 3,829,819 | | | | 211,451 | | | | — | | | | 138,898 | | | | 209,938 | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | 1,905,557 | | | | 6,861,339 | | | | — | | | | 2,752,449 | | | | 2,016,569 | | | | — | | | | — | |
| AQR Risk Parity Fund | | | 184,725 | | | | 13,427,795 | | | | — | | | | — | | | | 2,274,221 | | | | — | | | | — | |
| AQR Risk Parity II HV Fund | | | 451,752 | | | | 483,301 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | 828,067 | | | | 457,135 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | 731,280 | | | | 2,866,705 | | | | — | | | | 2,017,585 | | | | 3,014,653 | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | 25,306 | | | | 150,105 | | | | — | | | | 166,326 | | | | 130,853 | | | | — | | | | — | |
| | | | | | | |
| Credit Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | — | | | | 1,692,739 | | | | — | | | | — | | | | 15,259,114 | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | — | | | | 3,547,704 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| AQR Risk Parity Fund | | | — | | | | 16,646,274 | | | | — | | | | — | | | | 2,030,060 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
312
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ASSETS | | | LIABILITIES | |
| FUND | | UNREALIZED
APPRECIATION
ON FUTURES
CONTRACTS | | | SWAPS
AT VALUE | | | UNREALIZED
APPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | UNREALIZED
DEPRECIATION
ON FUTURES
CONTRACTS | | | SWAPS
AT VALUE | | | UNREALIZED
DEPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | WRITTEN
OPTIONS
AT
MARKET
VALUE | |
| Commodity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Global Macro Fund | | $ | 349,238 | | | $ | 158,409 | | | $ | — | | | $ | 142,745 | | | $ | 70,541 | | | $ | — | | | $ | — | |
| AQR Managed Futures Strategy Fund | | | 112,446,270 | | | | 33,883,811 | | | | — | | | | 10,392,465 | | | | 37,540,627 | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | 3,782,517 | | | | 4,075,842 | | | | — | | | | 387,522 | | | | 2,247,642 | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | 4,003,617 | | | | 21,467,317 | | | | — | | | | 1,761,686 | | | | 9,249,694 | | | | — | | | | — | |
| AQR Risk-Balanced Commodities Strategy Fund | | | 1,417,298 | | | | 8,336,102 | | | | — | | | | 2,139,469 | | | | 13,697,645 | | | | — | | | | — | |
| AQR Risk Parity Fund | | | 3,296 | | | | 20,163,211 | | | | — | | | | 26,918 | | | | 40,641,992 | | | | — | | | | — | |
| AQR Risk Parity II HV Fund | | | 349,497 | | | | 1,409,057 | | | | — | | | | 841,735 | | | | 3,553,646 | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | 500,563 | | | | 1,988,052 | | | | — | | | | 1,236,475 | | | | 5,002,490 | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | 4,232,675 | | | | 179,604 | | | | — | | | | 2,355,865 | | | | 29,583 | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | 224,251 | | | | 5,020 | | | | — | | | | 105,254 | | | | 4,236 | | | | — | | | | — | |
| | | | | | | |
| Netting: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | (309,803 | ) | | | (17,609,788 | ) | | | (3,569,708 | ) | | | (309,803 | ) | | | (17,609,788 | ) | | | (3,569,708 | ) | | | — | |
| AQR Equity Market Neutral Fund | | | (10,060 | ) | | | — | | | | (3,860 | ) | | | (10,060 | ) | | | — | | | | (3,860 | ) | | | — | |
| AQR Global Macro Fund | | | (705,905 | ) | | | (3,984,729 | ) | | | (334,088 | ) | | | (705,905 | ) | | | (3,984,729 | ) | | | (334,088 | ) | | | — | |
| AQR Long-Short Equity Fund | | | (82,246 | ) | | | (80,167 | ) | | | (968 | ) | | | (82,246 | ) | | | (80,167 | ) | | | (968 | ) | | | — | |
| AQR Managed Futures Strategy Fund | | | (25,104,872 | ) | | | (42,027,363 | ) | | | (99,912,936 | ) | | | (25,104,872 | ) | | | (42,027,363 | ) | | | (99,912,936 | ) | | | — | |
| AQR Managed Futures Strategy HV Fund | | | (968,261 | ) | | | (2,457,580 | ) | | | (4,181,528 | ) | | | (968,261 | ) | | | (2,457,580 | ) | | | (4,181,528 | ) | | | — | |
| AQR Multi-Strategy Alternative Fund | | | (9,262,488 | ) | | | (21,763,196 | ) | | | (21,190,473 | ) | | | (9,262,488 | ) | | | (21,763,196 | ) | | | (21,190,473 | ) | | | — | |
| AQR Risk-Balanced Commodities Strategy Fund | | | (1,417,298 | ) | | | (8,336,102 | ) | | | — | | | | (1,417,298 | ) | | | (8,336,102 | ) | | | — | | | | — | |
| AQR Risk Parity Fund | | | (537,119 | ) | | | (44,946,273 | ) | | | (4,676,054 | ) | | | (537,119 | ) | | | (44,946,273 | ) | | | (4,676,054 | ) | | | — | |
| AQR Risk Parity II HV Fund | | | (922,605 | ) | | | (1,986,158 | ) | | | (10,128 | ) | | | (922,605 | ) | | | (1,986,158 | ) | | | (10,128 | ) | | | — | |
| AQR Risk Parity II MV Fund | | | (1,362,824 | ) | | | (2,585,393 | ) | | | (4,523 | ) | | | (1,362,824 | ) | | | (2,585,393 | ) | | | (4,523 | ) | | | — | |
| AQR Style Premia Alternative Fund | | | (8,050,250 | ) | | | (4,406,192 | ) | | | (8,231,939 | ) | | | (8,050,250 | ) | | | (4,406,192 | ) | | | (8,231,939 | ) | | | — | |
| AQR Style Premia Alternative LV Fund | | | (382,731 | ) | | | (150,417 | ) | | | (325,704 | ) | | | (382,731 | ) | | | (150,417 | ) | | | (325,704 | ) | | | — | |
| | | | | | |
| Net Fair Value of Derivative Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | — | | | | 10,079,036 | | | | 6,466,083 | | | | 12,103,769 | | | | — | | | | — | | | | 741,825 | |
| AQR Equity Market Neutral Fund | | | — | | | | 329,807 | | | | 7,211 | | | | 7,134 | | | | — | | | | — | | | | — | |
| AQR Global Macro Fund | | | 392,942 | | | | 23,377 | | | | 238,068 | | | | — | | | | — | | | | — | | | | — | |
| AQR Long-Short Equity Fund | | | 930,241 | | | | 3,491,115 | | | | — | | | | — | | | | — | | | | 145,635 | | | | — | |
| AQR Managed Futures Strategy Fund | | | 209,463,816 | | | | 5,906,673 | | | | 66,567,551 | | | | — | | | | — | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | 8,034,990 | | | | 2,116,945 | | | | 2,739,576 | | | | — | | | | — | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | — | | | | 82,059,553 | | | | 5,072,224 | | | | 6,733,268 | | | | — | | | | — | | | | 239,581 | |
| AQR Risk-Balanced Commodities Strategy Fund | | | — | | | | — | | | | — | | | | 722,171 | | | | 5,361,543 | | | | — | | | | — | |
| AQR Risk Parity Fund | | | 4,810,953 | | | | 5,879,193 | | | | — | | | | — | | | | — | | | | 1,883,546 | | | | — | |
| AQR Risk Parity II HV Fund | | | 706,544 | | | | — | | | | 137,764 | | | | — | | | | 1,567,488 | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | 1,170,143 | | | | — | | | | 203,793 | | | | — | | | | 2,417,097 | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | — | | | | 16,380,911 | | | | 2,462,754 | | | | 3,157,703 | | | | — | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | — | | | | 346,078 | | | | 96,193 | | | | 129,580 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
313
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended December 31, 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 | | | WRITTEN
OPTIONS | | | FUTURES
CONTRACTS | | | SWAPS AND
SWAPS ON
FUTURES
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | WRITTEN
OPTIONS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | $ | (58,846,156) | | | $ | (187,366,300) | | | $ | — | | | $ | 2,528,855 | | | $ | 513,766 | | | $ | 134,659,869 | | | $ | — | | | $ | 1,661,622 | |
| AQR Equity Market Neutral Fund | | | (19,496) | | | | (20,421) | | | | — | | | | — | | | | (7,134) | | | | 329,807 | | | | — | | | | — | |
| AQR Global Macro Fund | | | (4,021) | | | | (281,130) | | | | — | | | | — | | | | 162,689 | | | | 6,030 | | | | — | | | | — | |
| AQR Long-Short Equity Fund | | | 277,868 | | | | 196,220 | | | | — | | | | — | | | | 848,762 | | | | 3,226,570 | | | | — | | | | — | |
| AQR Managed Futures Strategy Fund | | | (79,536,153) | | | | (6,730,607) | | | | — | | | | — | | | | (86,916,254) | | | | 3,377,764 | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | (5,680,786) | | | | (860,226) | | | | — | | | | — | | | | (7,703) | | | | 259,334 | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund. | | | (39,017,057) | | | | 39,862,253 | | | | — | | | | 259,320 | | | | (4,602,182) | | | | 27,304,344 | | | | — | | | | (143,949) | |
| AQR Risk Parity Fund | | | 19,793,339 | | | | 648,260 | | | | — | | | | — | | | | (9,241,405) | | | | (722,311) | | | | — | | | | — | |
| AQR Risk Parity II HV Fund | | | 1,933,727 | | | | 82,706 | | | | — | | | | — | | | | 30,170 | | | | 25,991 | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | 1,807,926 | | | | 224,533 | | | | — | | | | — | | | | 177,207 | | | | 55,922 | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | 1,953,978 | | | | 18,112,212 | | | | — | | | | — | | | | (5,132,017) | | | | 17,238,475 | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | (4,140) | | | | 26,584 | | | | — | | | | — | | | | (107,557) | | | | 326,043 | | | | — | | | | — | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | — | | | | — | | | | 5,899,941 | | | | — | | | | — | | | | — | | | | 7,062,468 | | | | — | |
| AQR Equity Market Neutral Fund | | | — | | | | — | | | | 12,786 | | | | — | | | | — | | | | — | | | | 7,211 | | | | — | |
| AQR Global Macro Fund | | | — | | | | — | | | | 486,961 | | | | — | | | | — | | | | — | | | | 238,068 | | | | — | |
| AQR Long-Short Equity Fund | | | — | | | | — | | | | (477,299) | | | | — | | | | — | | | | — | | | | (145,188) | | | | — | |
| AQR Managed Futures Strategy Fund | | | — | | | | — | | | | 228,217,811 | | | | — | | | | — | | | | — | | | | (46,184,801) | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | — | | | | — | | | | 11,506,281 | | | | — | | | | — | | | | — | | | | 1,719,440 | | | | — | |
| AQR Multi-Strategy Alternative Fund. | | | — | | | | — | | | | 42,293,381 | | | | — | | | | — | | | | — | | | | 544,059 | | | | — | |
| AQR Risk Parity Fund | | | — | | | | — | | | | 13,412,570 | | | | — | | | | — | | | | — | | | | (375,013) | | | | — | |
| AQR Risk Parity II HV Fund | | | — | | | | — | | | | 928,121 | | | | — | | | | — | | | | — | | | | 170,195 | | | | — | |
| AQR Risk Parity II MV Fund | | | — | | | | — | | | | 1,390,731 | | | | — | | | | — | | | | — | | | | 252,690 | | | | — | |
| AQR Style Premia Alternative Fund | | | — | | | | — | | | | 13,279,255 | | | | — | | | | — | | | | — | | | | 2,087,994 | | | | — | |
| AQR Style Premia Alternative LV Fund | | | — | | | | — | | | | 301,925 | | | | — | | | | — | | | | — | | | | 96,193 | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
314
| | | | |
| Notes to Financial Statements | | | December 31, 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 | | | WRITTEN
OPTIONS | | | FUTURES
CONTRACTS | | | SWAPS AND
SWAPS ON
FUTURES
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | WRITTEN
OPTIONS | |
| Interest Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | $ | (7,414,406) | | | $ | 191,292,780 | | | $ | — | | | $ | — | | | $ | (1,048,988) | | | $ | (142,472,536) | | | $ | — | | | $ | — | |
| AQR Global Macro Fund | | | (1,322,239) | | | | 233,231 | | | | — | | | | — | | | | 23,760 | | | | 42,809 | | | | — | | | | — | |
| AQR Managed Futures Strategy Fund | | | 72,773,479 | | | | 22,713,654 | | | | — | | | | — | | | | 74,341,913 | | | | 6,842,193 | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | 5,352,510 | | | | 421,037 | | | | — | | | | — | | | | 3,591,688 | | | | 31,031 | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | (32,726,212) | | | | 15,520,398 | | | | — | | | | — | | | | 997,540 | | | | 8,117,823 | | | | — | | | | — | |
| AQR Risk Parity Fund | | | 3,727,509 | | | | 27,928,408 | | | | — | | | | — | | | | 5,237,508 | | | | 23,662,008 | | | | — | | | | — | |
| AQR Risk Parity II HV Fund | | | 2,410,285 | | | | 1,637,863 | | | | — | | | | — | | | | 710,800 | | | | 683,844 | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | 4,389,143 | | | | 1,265,215 | | | | — | | | | — | | | | 1,426,597 | | | | 488,025 | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | (14,875,604) | | | | 755,609 | | | | — | | | | — | | | | (566,297) | | | | 2,587,427 | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | (356,276) | | | | 235,220 | | | | — | | | | — | | | | (141,020) | | | | 19,251 | | | | — | | | | — | |
| Credit Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Diversified Arbitrage Fund | | | — | | | | (14,835,553) | | | | — | | | | — | | | | — | | | | 4,623,934 | | | | — | | | | — | |
| AQR Global Macro Fund | | | — | | | | (9,073) | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | — | | | | 817,986 | | | | — | | | | — | | | | — | | | | (134,705) | | | | — | | | | — | |
| AQR Risk Parity Fund | | | — | | | | 27,789,743 | | | | — | | | | — | | | | — | | | | (13,489,659) | | | | — | | | | — | |
| Commodity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AQR Global Macro Fund | | | 566,083 | | | | 14,235 | | | | — | | | | — | | | | 206,493 | | | | 87,868 | | | | — | | | | — | |
| AQR Managed Futures Strategy Fund | | | 305,890,109 | | | | 138,726,226 | | | | — | | | | — | | | | 99,347,109 | | | | (24,279,811) | | | | — | | | | — | |
| AQR Managed Futures Strategy HV Fund | | | 9,422,161 | | | | 7,811,974 | | | | — | | | | — | | | | 3,370,268 | | | | 1,852,589 | | | | — | | | | — | |
| AQR Multi-Strategy Alternative Fund | | | 5,697,417 | | | | 39,361,867 | | | | — | | | | — | | | | (229,827) | | | | 13,807,690 | | | | — | | | | — | |
| AQR Risk-Balanced Commodities Strategy Fund | | | (1,244,899) | | | | (6,801,874) | | | | — | | | | — | | | | (556,472) | | | | (4,789,316) | | | | — | | | | — | |
| AQR Risk Parity Fund | | | 4,994,578 | | | | (15,340,035) | | | | — | | | | — | | | | 1,728,544 | | | | (23,458,031) | | | | — | | | | — | |
| AQR Risk Parity II HV Fund | | | 90,872 | | | | (1,671,820) | | | | — | | | | — | | | | (444,484) | | | | (2,315,839) | | | | — | | | | — | |
| AQR Risk Parity II MV Fund | | | (662,304) | | | | (2,339,726) | | | | — | | | | — | | | | (616,977) | | | | (3,203,319) | | | | — | | | | — | |
| AQR Style Premia Alternative Fund | | | 12,296,449 | | | | 5,505,099 | | | | — | | | | — | | | | (1,150,849) | | | | (700,074) | | | | — | | | | — | |
| AQR Style Premia Alternative LV Fund | | | 215,005 | | | | 20,284 | | | | — | | | | — | | | | 118,997 | | | | 784 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
315
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
The following tables present, by counterparty and contract type, the Funds’ derivative assets and liabilities as of December 31, 2014.
AQR DIVERSIFIED ARBITRAGE FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT OF
ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
RECEIVED |
(a) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Basket Swaps Contracts | | | $ | 425,787 | | | | $ | — | | | | $ | 425,787 | | | | $ | — | | | | $ | — | | | | $ | 425,787 | |
| CitiBank | | Credit Default Swap Contracts | | | | 1,692,739 | | | | | (1,692,739 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | Forward Foreign Currency Exchange Contracts | | | | 460,800 | | | | | (46,569 | ) | | | | 414,231 | | | | | — | | | | | — | | | | | 414,231 | |
| | | Total Return Basket Swaps Contracts | | | | 30,664 | | | | | — | | | | | 30,664 | | | | | — | | | | | — | | | | | 30,664 | |
| | | Total CitiBank | | | | 2,184,203 | | | | | (1,739,308 | ) | | | | 444,895 | | | | | — | | | | | — | | | | | 444,895 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 3,488,268 | | | | | (644,844 | ) | | | | 2,843,424 | | | | | — | | | | | (2,600,000 | ) | | | | 243,424 | |
| Deutsche Bank | | Total Return Basket Swaps Contracts | | | | 25,283,221 | | | | | (2,350,674 | ) | | | | 22,932,547 | | | | | — | | | | | — | | | | | 22,932,547 | |
| J.P. Morgan | | Futures Contracts | | | | 309,803 | | | | | — | | | | | 309,803 | | | | | — | | | | | — | | | | | 309,803 | |
| | | Total Return Basket Swaps Contracts | | | | 256,413 | | | | | — | | | | | 256,413 | | | | | — | | | | | — | | | | | 256,413 | |
| | | Total J.P. Morgan | | | | 566,216 | | | | | — | | | | | 566,216 | | | | | — | | | | | — | | | | | 566,216 | |
| The Royal Bank of Scotland | | Forward Foreign Currency Exchange Contracts | | | | 6,086,723 | | | | | (2,878,295 | ) | | | | 3,208,428 | | | | | — | | | | | (3,208,428 | ) | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 38,034,418 | | | | | (7,613,121 | ) | | | | 30,421,297 | | | | | — | | | | | (5,808,428 | ) | | | | 24,612,869 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT OF
ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
PLEDGED |
(b) | | |
| NET
AMOUNT |
|
| Barclays Capital | | Futures Contracts | | | $ | 12,413,572 | | | | $ | — | | | | $ | 12,413,572 | | | | $ | — | | | | $ | (12,413,572 | ) | | | $ | — | |
| CitiBank | | Credit Default Swap Contracts | | | | 15,259,114 | | | | | (1,692,739 | ) | | | | 13,566,375 | | | | | — | | | | | (13,566,375 | ) | | | | — | |
| | | Forward Foreign Currency Exchange Contracts | | | | 46,569 | | | | | (46,569 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total CitiBank | | | | 15,305,683 | | | | | (1,739,308 | ) | | | | 13,566,375 | | | | | — | | | | | (13,566,375 | ) | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 644,844 | | | | | (644,844 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Deutsche Bank | | Total Return Basket Swaps Contracts | | | | 2,350,674 | | | | | (2,350,674 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| J.P. Morgan | | Written Options | | | | 741,825 | | | | | — | | | | | 741,825 | | | | | (741,825 | ) | | | | — | | | | | — | |
| The Royal Bank of Scotland | | Forward Foreign Currency Exchange Contracts | | | | 2,878,295 | | | | | (2,878,295 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 34,334,893 | | | | | (7,613,121 | ) | | | | 26,721,772 | | | | | (741,825 | ) | | | | (25,979,947 | ) | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $81,572. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $147,557,356. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
316
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR EQUITY MARKET NEUTRAL 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 |
|
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | $ | 11,071 | | | | $ | (3,860 | ) | | | $ | 7,211 | | | | $ | — | | | | $ | — | | | | $ | 7,211 | |
| J.P. Morgan | | Futures Contracts | | | | 10,060 | | | | | (10,060 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Morgan Stanley | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | | 329,807 | | | | | — | | | | | 329,807 | | | | | — | | | | | — | | | | | 329,807 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 350,938 | | | | | (13,920 | ) | | | | 337,018 | | | | | — | | | | | — | | | | | 337,018 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 6,532 | | | | $ | — | | | | $ | 6,532 | | | | $ | — | | | | $ | (6,532 | ) | | | $ | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 3,860 | | | | | (3,860 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| J.P. Morgan | | Futures Contracts | | | | 10,662 | | | | | (10,060 | ) | | | | 602 | | | | | — | | | | | (602 | ) | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 21,054 | | | | | (13,920 | ) | | | | 7,134 | | | | | — | | | | | (7,134 | ) | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $917,183. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
317
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR GLOBAL MACRO FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT OF
ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
RECEIVED |
(a) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 66,225 | | | | $ | (8,959 | ) | | | $ | 57,266 | | | | $ | — | | | | $ | (10,000 | ) | | | $ | 47,266 | |
| Barclays Capital | | Futures Contracts | | | | 366,317 | | | | | (201,841 | ) | | | | 164,476 | | | | | — | | | | | — | | | | | 164,476 | |
| | | Total Return Swap Contracts | | | | 60,378 | | | | | (25,939 | ) | | | | 34,439 | | | | | — | | | | | — | | | | | 34,439 | |
| | | Total Barclays Capital | | | | 426,695 | | | | | (227,780 | ) | | | | 198,915 | | | | | — | | | | | — | | | | | 198,915 | |
| CitiBank | | Total Return Swap Contracts | | | | 98,031 | | | | | (44,602 | ) | | | | 53,429 | | | | | — | | | | | — | | | | | 53,429 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 572,156 | | | | | (334,088 | ) | | | | 238,068 | | | | | — | | | | | (238,068 | ) | | | | — | |
| | | Interest Rate Swap Contracts | | | | 3,783,472 | | | | | (3,783,472 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Credit Suisse | | | | 4,355,628 | | | | | (4,117,560 | ) | | | | 238,068 | | | | | — | | | | | (238,068 | ) | | | | — | |
| Goldman Sachs | | Futures Contracts | | | | 240,911 | | | | | (61,435 | ) | | | | 179,476 | | | | | — | | | | | — | | | | | 179,476 | |
| J.P. Morgan | | Futures Contracts | | | | 491,619 | | | | | (442,629 | ) | | | | 48,990 | | | | | — | | | | | — | | | | | 48,990 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | | 5,679,109 | | | | | (4,902,965 | ) | | | | 776,144 | | | | | — | | | | | (248,068 | ) | | | | 528,076 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
PLEDGED |
(b) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 8,959 | | | | $ | (8,959 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | | 201,841 | | | | | (201,841 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Swap Contracts | | | | 25,939 | | | | | (25,939 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Barclays Capital | | | | 227,780 | | | | | (227,780 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| CitiBank | | Total Return Swap Contracts | | | | 44,602 | | | | | (44,602 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 334,088 | | | | | (334,088 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Interest Rate Swap Contracts | | | | 3,905,229 | | | | | (3,783,472 | ) | | | | 121,757 | | | | | — | | | | | (121,757 | ) | | | | — | |
| | | Total Credit Suisse | | | | 4,239,317 | | | | | (4,117,560 | ) | | | | 121,757 | | | | | — | | | | | (121,757 | ) | | | | — | |
| Goldman Sachs | | Futures Contracts | | | | 61,435 | | | | | (61,435 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| J.P. Morgan | | Futures Contracts | | | | 442,629 | | | | | (442,629 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | | 5,024,722 | | | | | (4,902,965 | ) | | | | 121,757 | | | | | — | | | | | (121,757 | ) | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $41,932. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,041,855. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
318
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR LONG SHORT 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 | | | $ | 1,012,487 | | | | $ | (82,246 | ) | | | $ | 930,241 | | | | $ | — | | | | $ | — | | | | $ | 930,241 | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 496 | | | | | (496 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 472 | | | | | (472 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Deutsche Bank | | Total Return Basket Swaps Contracts | | | | 936,975 | | | | | (2,219 | ) | | | | 934,756 | | | | | — | | | | | — | | | | | 934,756 | |
| Goldman Sachs | | Total Return Basket Swaps Contracts | | | | 2,618,865 | | | | | (77,948 | ) | | | | 2,540,917 | | | | | — | | | | | — | | | | | 2,540,917 | |
| | | Total Return Swap Contracts | | | | 15,442 | | | | | — | | | | | 15,442 | | | | | — | | | | | — | | | | | 15,442 | |
| | | Total Goldman Sachs | | | | 2,634,307 | | | | | (77,948 | ) | | | | 2,556,359 | | | | | — | | | | | — | | | | | 2,556,359 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 4,584,737 | | | | | (163,381 | ) | | | | 4,421,356 | | | | | — | | | | | — | | | | | 4,421,356 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| 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 | | | $ | 82,246 | | | | $ | (82,246 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 73,307 | | | | | (496 | ) | | | | 72,811 | | | | | — | | | | | (72,811 | ) | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 73,296 | | | | | (472 | ) | | | | 72,824 | | | | | — | | | | | (30,001 | ) | | | | 42,823 | |
| Deutsche Bank | | Total Return Basket Swaps Contracts | | | | 2,219 | | | | | (2,219 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Goldman Sachs | | Total Return Basket Swaps Contracts | | | | 77,948 | | | | | (77,948 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 309,016 | | | | | (163,381 | ) | | | | 145,635 | | | | | — | | | | | (102,812 | ) | | | | 42,823 | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $11,918,280. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
319
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR MANAGED FUTURES STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
RECEIVED |
(a) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 14,050,225 | | | | $ | (4,486,736 | ) | | | $ | 9,563,489 | | | | $ | — | | | | $ | (7,990,000 | ) | | | $ | 1,573,489 | |
| Barclays Capital | | Futures Contracts | | | | 33,011,551 | | | | | (9,165,227 | ) | | | | 23,846,324 | | | | | — | | | | | — | | | | | 23,846,324 | |
| | | Total Return Swap Contracts | | | | 2,111,496 | | | | | (264,194 | ) | | | | 1,847,302 | | | | | — | | | | | — | | | | | 1,847,302 | |
| | | Total Barclays Capital | | | | 35,123,047 | | | | | (9,429,421 | ) | | | | 25,693,626 | | | | | — | | | | | — | | | | | 25,693,626 | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 83,099,366 | | | | | (49,972,132 | ) | | | | 33,127,234 | | | | | — | | | | | — | | | | | 33,127,234 | |
| | | Total Return Swap Contracts | | | | 18,894,221 | | | | | (18,894,221 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total CitiBank | | | | 101,993,587 | | | | | (68,866,353 | ) | | | | 33,127,234 | | | | | — | | | | | — | | | | | 33,127,234 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 83,381,121 | | | | | (49,940,804 | ) | | | | 33,440,317 | | | | | — | | | | | (25,790,000 | ) | | | | 7,650,317 | |
| Deutsche Bank | | Total Return Swap Contracts | | | | 11,623,027 | | | | | (4,985,380 | ) | | | | 6,637,647 | | | | | — | | | | | (6,637,647 | ) | | | | — | |
| Goldman Sachs | | Futures Contracts | | | | 103,046,119 | | | | | (3,131,761 | ) | | | | 99,914,358 | | | | | — | | | | | (67,445,508 | ) | | | | 32,468,850 | |
| J.P. Morgan | | Futures Contracts | | | | 98,511,018 | | | | | (12,807,884 | ) | | | | 85,703,134 | | | | | — | | | | | — | | | | | 85,703,134 | |
| Merrill Lynch | | Total Return Swap Contracts | | | | 1,255,067 | | | | | (1,255,067 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | | 448,983,211 | | | | | (154,903,406 | ) | | | | 294,079,805 | | | | | — | | | | | (107,863,155 | ) | | | | 186,216,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
PLEDGED |
(b) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 4,486,736 | | | | $ | (4,486,736 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | | 9,165,227 | | | | | (9,165,227 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Swap Contracts | | | | 264,194 | | | | | (264,194 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Barclays Capital | | | | 9,429,421 | | | | | (9,429,421 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 49,972,132 | | | | | (49,972,132 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Swap Contracts | | | | 27,195,384 | | | | | (18,894,221 | ) | | | | 8,301,163 | | | | | — | | | | | — | | | | | 8,301,163 | |
| | | Total CitiBank | | | | 77,167,516 | | | | | (68,866,353 | ) | | | | 8,301,163 | | | | | — | | | | | — | | | | | 8,301,163 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 49,940,804 | | | | | (49,940,804 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | | 4,985,380 | | | | | (4,985,380 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Goldman Sachs | | Futures Contracts | | | | 3,131,761 | | | | | (3,131,761 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| J.P. Morgan | | Futures Contracts | | | | 12,807,884 | | | | | (12,807,884 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Merrill Lynch | | Total Return Swap Contracts | | | | 5,095,669 | | | | | (1,255,067 | ) | | | | 3,840,602 | | | | | — | | | | | (3,840,602 | ) | | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | | 167,045,171 | | | | | (154,903,406 | ) | | | | 12,141,765 | | | | | — | | | | | (3,840,602 | ) | | | | 8,301,163 | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $8,762,353. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $397,336,809. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
320
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR MANAGED FUTURES STRATEGY HV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
RECEIVED |
| | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 498,683 | | | | $ | (209,938 | ) | | | $ | 288,745 | | | | $ | — | | | | $ | (270,000 | ) | | | $ | 18,745 | |
| Barclays Capital | | Futures Contracts | | | | 1,390,915 | | | | | (379,903 | ) | | | | 1,011,012 | | | | | — | | | | | — | | | | | 1,011,012 | |
| | | Total Return Swap Contracts | | | | 1,758,469 | | | | | (444,909 | ) | | | | 1,313,560 | | | | | — | | | | | (700,000 | ) | | | | 613,560 | |
| | | Total Barclays Capital | | | | 3,149,384 | | | | | (824,812 | ) | | | | 2,324,572 | | | | | — | | | | | (700,000 | ) | | | | 1,624,572 | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 3,454,546 | | | | | (2,092,506 | ) | | | | 1,362,040 | | | | | — | | | | | — | | | | | 1,362,040 | |
| | | Total Return Swap Contracts | | | | 1,576,395 | | | | | (1,576,395 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total CitiBank | | | | 5,030,941 | | | | | (3,668,901 | ) | | | | 1,362,040 | | | | | — | | | | | — | | | | | 1,362,040 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 3,466,558 | | | | | (2,089,022 | ) | | | | 1,377,536 | | | | | — | | | | | (1,060,000 | ) | | | | 317,536 | |
| Deutsche Bank | | Total Return Swap Contracts | | | | 740,978 | | | | | (212,944 | ) | | | | 528,034 | | | | | — | | | | | (300,000 | ) | | | | 228,034 | |
| Goldman Sachs | | Futures Contracts | | | | 3,374,532 | | | | | (68,398 | ) | | | | 3,306,134 | | | | | — | | | | | (608,392 | ) | | | | 2,697,742 | |
| J.P. Morgan | | Futures Contracts | | | | 4,237,804 | | | | | (519,960 | ) | | | | 3,717,844 | | | | | — | | | | | — | | | | | 3,717,844 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | | 20,498,880 | | | | | (7,593,975 | ) | | | | 12,904,905 | | | | | — | | | | | (2,938,392 | ) | | | | 9,966,513 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| 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 |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 209,938 | | | | $ | (209,938 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | | 379,903 | | | | | (379,903 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Swap Contracts | | | | 444,909 | | | | | (444,909 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Barclays Capital | | | | 824,812 | | | | | (824,812 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 2,092,506 | | | | | (2,092,506 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Swap Contracts | | | | 1,589,789 | | | | | (1,576,395 | ) | | | | 13,394 | | | | | — | | | | | (13,394 | ) | | | | — | |
| | | Total CitiBank | | | | 3,682,295 | | | | | (3,668,901 | ) | | | | 13,394 | | | | | — | | | | | (13,394 | ) | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 2,089,022 | | | | | (2,089,022 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | | 212,944 | | | | | (212,944 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Goldman Sachs | | Futures Contracts | | | | 68,398 | | | | | (68,398 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| J.P. Morgan | | Futures Contracts | | | | 519,960 | | | | | (519,960 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | | 7,607,369 | | | | | (7,593,975 | ) | | | | 13,394 | | | | | — | | | | | (13,394 | ) | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $10,686,322. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
321
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR MULTI-STRATEGY ALTERNATIVE FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT OF
ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
RECEIVED |
(a) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Basket Swap Contracts | | | $ | 16,290 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | | 6,952,141 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Bank of America | | | | 6,968,431 | | | | $ | (2,084,468 | ) | | | $ | 4,883,963 | | | | $ | — | | | | $ | (4,883,963 | ) | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | | 3,353,314 | | | | | (3,353,314 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| CitiBank | | Credit Default Swap Contracts | | | | 3,547,704 | | | | | — | | | | | 3,547,704 | | | | | — | | | | | — | | | | | 3,547,704 | |
| | Forward Foreign Currency Exchange Contracts | | | | 12,973,909 | | | | | (10,598,667 | ) | | | | 2,375,242 | | | | | — | | | | | — | | | | | 2,375,242 | |
| | | Total Return Swap Contracts | | | | 13,283,774 | | | | | (7,255,634 | ) | | | | 6,028,140 | | | | | — | | | | | (1,180,000 | ) | | | | 4,848,140 | |
| | | Total CitiBank | | | | 29,805,387 | | | | | (17,854,301 | ) | | | | 11,951,086 | | | | | — | | | | | (1,180,000 | ) | | | | 10,771,086 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 13,275,740 | | | | | (10,586,580 | ) | | | | 2,689,160 | | | | | — | | | | | (2,300,000 | ) | | | | 389,160 | |
| Deutsche Bank | | Total Return Basket Swaps Contracts | | | | 16,074,210 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | | 5,188,237 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Deutsche Bank | | | | 21,262,447 | | | | | (7,491,772 | ) | | | | 13,770,675 | | | | | — | | | | | (5,850,000 | ) | | | | 7,920,675 | |
| Goldman Sachs | | Futures Contracts | | | | 2,691,514 | | | | | (401,836 | ) | | | | 2,289,678 | | | | | — | | | | | — | | | | | 2,289,678 | |
| | | Total Return Swap Contracts | | | | 42,318 | | | | | — | | | | | 42,318 | | | | | — | | | | | — | | | | | 42,318 | |
| | | Total Goldman Sachs | | | | 2,733,832 | | | | | (401,836 | ) | | | | 2,331,996 | | | | | — | | | | | — | | | | | 2,331,996 | |
| J.P. Morgan | | Futures Contracts | | | | 3,217,660 | | | | | (3,217,660 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Basket Swap Contracts | | | | 9,425,939 | | | | | (1,054,343 | ) | | | | 8,371,596 | | | | | — | | | | | — | | | | | 8,371,596 | |
| | | Total J.P. Morgan | | | | 12,643,599 | | | | | (4,272,003 | ) | | | | 8,371,596 | | | | | — | | | | | — | | | | | 8,371,596 | |
| Merrill Lynch | | Total Return Swap Contracts | | | | 2,995,306 | | | | | (429,457 | ) | | | | 2,565,849 | | | | | — | | | | | — | | | | | 2,565,849 | |
| Morgan Stanley and Co., International PLC | | Total Return Swap Contracts | | | | 400,061 | | | | | (400,061 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Morgan Stanley Capital Services, Inc. | | Total Return Basket Swaps Contracts | | | | 45,896,769 | | | | | (712,915 | ) | | | | 45,183,854 | | | | | — | | | | | — | | | | | 45,183,854 | |
| The Royal Bank of Scotland | | Forward Foreign Currency Exchange Contracts | | | | 13,048 | | | | | (5,226 | ) | | | | 7,822 | | | | | — | | | | | — | | | | | 7,822 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 139,347,934 | | | | | (47,591,933 | ) | | | | 91,756,001 | | | | | — | | | | | (14,213,963 | ) | | | | 77,542,038 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
322
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR MULTI-STRATEGY ALTERNATIVE FUND (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | |
| GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES |
| | |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT OF
ASSETS &
LIABILITIES |
| | |
| NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| | |
| FINANCIAL
INSTRUMENTS |
| | |
| COLLATERAL
PLEDGED |
(b) | | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | | $ | 2,084,468 | | | | $ | (2,084,468 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | | 10,560,190 | | | | | (3,353,314 | ) | | | | 7,206,876 | | | | | — | | | | | (7,206,876 | ) | | | | — | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | | 10,598,667 | | | | | (10,598,667 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total Return Swap Contracts | | | | 7,255,634 | | | | | (7,255,634 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Total CitiBank | | | | 17,854,301 | | | | | (17,854,301 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | | 10,586,580 | | | | | (10,586,580 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Deutsche Bank | | Total Return Basket Swaps Contracts | | | | 5,927,169 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | | 1,564,603 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Total Deutsche Bank | | | | 7,491,772 | | | | | (7,491,772 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Goldman Sachs | | Futures Contracts | | | | 401,836 | | | | | (401,836 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| J.P. Morgan | | Futures Contracts | | | | 5,033,730 | | | | | (3,217,660 | ) | | | | 1,816,070 | | | | | — | | | | | (1,816,070 | ) | | | | — | |
| | Total Return Basket Swap Contracts | | | | 1,054,343 | | | | | (1,054,343 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | Written Options | | | | 239,581 | | | | | — | | | | | 239,581 | | | | | (239,581 | ) | | | | — | | | | | — | |
| | | Total J.P. Morgan | | | | 6,327,654 | | | | | (4,272,003 | ) | | | | 2,055,651 | | | | | (239,581 | ) | | | | (1,816,070 | ) | | | | — | |
| Merrill Lynch | | Total Return Swap Contracts | | | | 429,457 | | | | | (429,457 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Morgan Stanley and Co., International PLC | | Total Return Swap Contracts | | | | 2,734,607 | | | | | (400,061 | ) | | | | 2,334,546 | | | | | — | | | | | (2,334,546 | ) | | | | — | |
| Morgan Stanley Capital Services, Inc. | | Total Return Basket Swaps Contracts | | | | 712,915 | | | | | (712,915 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| The Royal Bank of Scotland | | Forward Foreign Currency Exchange Contracts | | | | 5,226 | | | | | (5,226 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | | 59,189,006 | | | | | (47,591,933 | ) | | | | 11,597,073 | | | | | (239,581 | ) | | | | (11,357,492 | ) | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $566,037. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $390,540,379. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
323
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR RISK BALANCED COMMODITIES STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
RECEIVED |
| |
| NET
AMOUNT |
|
| Barclays Capital | | Total Return Swap Contracts | | $ | 308,031 | | | $ | (308,031 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CitiBank | | Total Return Swap Contracts | | | 7,020,971 | | | | (7,020,971 | ) | | | — | | | | — | | | | — | | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | 1,007,100 | | | | (1,007,100 | ) | | | — | | | | — | | | | — | | | | — | |
| J.P. Morgan | | Futures Contracts | | | 1,417,298 | | | | (1,417,298 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 9,753,400 | | | | (9,753,400 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 | | Total Return Swap Contracts | | $ | 458,035 | | | $ | (308,031 | ) | | $ | 150,004 | | | $ | — | | | $ | (150,004 | ) | | $ | — | |
| CitiBank | | Total Return Swap Contracts | | | 11,750,748 | | | | (7,020,971 | ) | | | 4,729,777 | | | | — | | | | (4,729,777 | ) | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | 1,488,862 | | | | (1,007,100 | ) | | | 481,762 | | | | — | | | | (481,762 | ) | | | — | |
| Goldman Sachs | | Futures Contracts | | | 451,428 | | | | — | | | | 451,428 | | | | — | | | | (451,428 | ) | | | — | |
| J.P. Morgan | | Futures Contracts | | | 1,688,041 | | | | (1,417,298 | ) | | | 270,743 | | | | — | | | | (270,743 | ) | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 15,837,114 | | | | (9,753,400 | ) | | | 6,083,714 | | | | — | | | | (6,083,714 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,514,196. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
324
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR RISK PARITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
RECEIVED |
| |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | $ | 6,444,826 | | | $ | — | | | $ | 6,444,826 | | | $ | — | | | $ | (5,500,000 | ) | | $ | 944,826 | |
| Barclays Capital | | Futures Contracts | | | 5,042,414 | | | | (510,201 | ) | | | 4,532,213 | | | | — | | | | — | | | | 4,532,213 | |
| | | Total Return Swap Contracts | | | 72,433 | | | | (72,433 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Barclays Capital | | | 5,114,847 | | | | (582,634 | ) | | | 4,532,213 | | | | — | | | | — | | | | 4,532,213 | |
| CitiBank | | Credit Default Swap Contracts | | | 16,646,274 | | | | (2,030,060 | ) | | | 14,616,214 | | | | | | | | | | | | | |
| | Exchange Traded Interest Rate Swap Contracts | | | 2,112,841 | | | | (198,690 | ) | | | 1,914,151 | | | | | | | | | | | | | |
| | | OTC Interest Rate Swap Contracts | | | 4,911,021 | | | | (2,075,531 | ) | | | 2,835,490 | | | | | | | | | | | | | |
| | | Total Credit Default and Interest Rate Swap Contracts | | | 23,670,136 | | | | (4,304,281 | ) | | | 19,365,855 | | | | — | | | | — | | | | 19,365,855 | |
| | Forward Foreign Currency Exchange Contracts | | | 2,289,268 | | | | (2,289,268 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 9,455,444 | | | | (9,455,444 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total CitiBank | | | 35,414,848 | | | | (16,048,993 | ) | | | 19,365,855 | | | | — | | | | — | | | | 19,365,855 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 2,386,786 | | | | (2,386,786 | ) | | | — | | | | — | | | | — | | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | 1,260,715 | | | | (1,260,715 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Futures Contracts | | | 3,296 | | | | (3,296 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 32,529 | | | | — | | | | 32,529 | | | | — | | | | — | | | | 32,529 | |
| | | Total Goldman Sachs | | | 35,825 | | | | (3,296 | ) | | | 32,529 | | | | — | | | | — | | | | 32,529 | |
| J.P. Morgan | | Futures Contracts | | | 302,362 | | | | — | | | | 302,362 | | | | — | | | | — | | | | 302,362 | |
| Merrill Lynch | | Total Return Swap Contracts | | | 9,374,619 | | | | (9,374,619 | ) | | | — | | | | — | | | | — | | | | — | |
| Morgan Stanley and Co., International PLC | | Total Return Swap Contracts | | | 514,764 | | | | — | | | | 514,764 | | | | — | | | | — | | | | 514,764 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 60,849,592 | | | | (29,657,043 | ) | | | 31,192,549 | | | | — | | | | (5,500,000 | ) | | | 25,692,549 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
325
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR RISK PARITY FUND (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 | | $ | 510,201 | | | $ | (510,201 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | Total Return Swap Contracts | | | 176,708 | | | | (72,433 | ) | | | 104,275 | | | | — | | | | (104,275 | ) | | | — | |
| | | Total Barclays Capital | | | 686,909 | | | | (582,634 | ) | | | 104,275 | | | | — | | | | (104,275 | ) | | | — | |
| CitiBank | | Credit Default Swap Contracts | | | 2,030,060 | | | | (2,030,060 | ) | | | | | | | | | | | | | | | | |
| | Exchange Traded Interest Rate Swap Contracts | | | 198,690 | | | | (198,690 | ) | | | | | | | | | | | | | | | | |
| | | OTC Interest Rate Swap Contracts | | | 2,075,531 | | | | (2,075,531 | ) | | | | | | | | | | | | | | | | |
| | | Total Credit Default and Interest Rate Swap Contracts | | | 4,304,281 | | | | (4,304,281 | ) | | | — | | | | — | | | | — | | | | — | |
| | Forward Foreign Currency Exchange Contracts | | | 3,196,820 | | | | (2,289,268 | ) | | | 907,552 | | | | — | | | | (800,000 | ) | | | 107,552 | |
| | | Total Return Swap Contracts | | | 18,825,759 | | | | (9,455,444 | ) | | | 9,370,315 | | | | — | | | | (9,370,315 | ) | | | — | |
| | | Total CitiBank | | | 26,326,860 | | | | (16,048,993 | ) | | | 10,277,867 | | | | — | | | | (10,170,315 | ) | | | 107,552 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 3,362,780 | | | | (2,386,786 | ) | | | 975,994 | | | | — | | | | (975,994 | ) | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | 4,309,045 | | | | (1,260,715 | ) | | | 3,048,330 | | | | — | | | | (3,048,330 | ) | | | — | |
| Goldman Sachs | | Futures Contracts | | | 26,918 | | | | (3,296 | ) | | | 23,622 | | | | — | | | | (23,622 | ) | | | — | |
| Merrill Lynch | | Total Return Swap Contracts | | | 17,330,480 | | | | (9,374,619 | ) | | | 7,955,861 | | | | — | | | | (7,955,861 | ) | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 52,042,992 | | | | (29,657,043 | ) | | | 22,385,949 | | | | — | | | | (22,278,397 | ) | | | 107,552 | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $24,534,103. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
326
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR RISK PARITY II HV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
RECEIVED |
| |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | $ | 487,817 | | | $ | — | | | $ | 487,817 | | | $ | — | | | $ | (320,000 | ) | | $ | 167,817 | |
| Barclays Capital | | Futures Contracts | | | 806,053 | | | | (80,870 | ) | | | 725,183 | | | | — | | | | — | | | | 725,183 | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | 67,976 | | | | (2,249 | ) | | | 65,727 | | | | — | | | | — | | | | 65,727 | |
| | | Total Return Swap Contracts | | | 621,923 | | | | (621,923 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total CitiBank | | | 689,899 | | | | (624,172 | ) | | | 65,727 | | | | — | | | | — | | | | 65,727 | |
| Credit Suisse International | | Forward Foreign Currency Exchange Contracts | | | 79,916 | | | | (7,879 | ) | | | 72,037 | | | | — | | | | — | | | | 72,037 | |
| Deutsche Bank | | Total Return Swap Contracts | | | 787,134 | | | | (787,134 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Futures Contracts | | | 18,730 | | | | (18,730 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 89,284 | | | | — | | | | 89,284 | | | | — | | | | — | | | | 89,284 | |
| | | Total Goldman Sachs | | | 108,014 | | | | (18,730 | ) | | | 89,284 | | | | — | | | | — | | | | 89,284 | |
| J.P. Morgan | | Futures Contracts* | | | 804,366 | | | | (330,767 | ) | | | 473,599 | | | | — | | | | — | | | | 473,599 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 3,763,199 | | | | (1,849,552 | ) | | | 1,913,647 | | | | — | | | | (320,000 | ) | | | 1,593,647 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 | | $ | 80,870 | | | $ | (80,870 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | Total Return Swap Contracts | | | 20,120 | | | | — | | | | 20,120 | | | | — | | | | — | | | | 20,120 | |
| | | Total Barclays Capital | | | 100,990 | | | | (80,870 | ) | | | 20,120 | | | | — | | | | — | | | | 20,120 | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | 2,249 | | | | (2,249 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 1,388,940 | | | | (621,923 | ) | | | 767,017 | | | | — | | | | (767,017 | ) | | | — | |
| | | Total CitBank | | | 1,391,189 | | | | (624,172 | ) | | | 767,017 | | | | — | | | | (767,017 | ) | | | — | |
| Credit Suisse International | | Forward Foreign Currency Exchange Contracts | | | 7,879 | | | | (7,879 | ) | | | — | | | | — | | | | — | | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | 2,144,586 | | | | (787,134 | ) | | | 1,357,452 | | | | — | | | | (1,357,452 | ) | | | — | |
| Goldman Sachs | | Futures Contracts | | | 148,157 | | | | (18,730 | ) | | | 129,427 | | | | — | | | | (129,427 | ) | | | — | |
| J.P. Morgan | | Futures Contracts* | | | 693,578 | | | | (330,767 | ) | | | 362,811 | | | | — | | | | (362,811 | ) | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 4,486,379 | | | | (1,849,552 | ) | | | 2,636,827 | | | | — | | | | (2,616,707 | ) | | | 20,120 | |
| * | All or a portion held in respective Subsidiary. |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,118,205. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
327
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR RISK PARITY II MV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
RECEIVED |
| |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | $ | 464,798 | | | $ | — | | | $ | 464,798 | | | $ | — | | | $ | (320,000 | ) | | $ | 144,798 | |
| Barclays Capital | | Futures Contracts | | | 1,172,407 | | | | (126,349 | ) | | | 1,046,058 | | | | — | | | | — | | | | 1,046,058 | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | 97,738 | | | | (1,171 | ) | | | 96,567 | | | | — | | | | — | | | | 96,567 | |
| | | Total Return Swap Contracts | | | 912,119 | | | | (912,119 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total CitiBank | | | 1,009,857 | | | | (913,290 | ) | | | 96,567 | | | | — | | | | — | | | | 96,567 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 110,578 | | | | (3,352 | ) | | | 107,226 | | | | — | | | | (10,000 | ) | | | 97,226 | |
| Deutsche Bank | | Total Return Swap Contracts | | | 1,075,933 | | | | (1,075,933 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Futures Contracts | | | 16,504 | | | | (16,504 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 132,543 | | | | — | | | | 132,543 | | | | — | | | | — | | | | 132,543 | |
| | | Total Goldman Sachs | | | 149,047 | | | | (16,504 | ) | | | 132,543 | | | | — | | | | — | | | | 132,543 | |
| J.P. Morgan | | Futures Contracts* | | | 1,344,056 | | | | (484,059 | ) | | | 859,997 | | | | — | | | | — | | | | 859,997 | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 5,326,676 | | | | (2,619,487 | ) | | | 2,707,189 | | | | — | | | | (330,000 | ) | | | 2,377,189 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 | | $ | 126,349 | | | $ | (126,349 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | Total Return Swap Contracts | | | 18,910 | | | | — | | | | 18,910 | | | | — | | | | — | | | | 18,910 | |
| | | Total Barclays Capital | | | 145,259 | | | | (126,349 | ) | | | 18,910 | | | | — | | | | — | | | | 18,910 | |
| CitBank | | Forward Foreign Currency Exchange Contracts | | | 1,171 | | | | (1,171 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 1,992,483 | | | | (912,119 | ) | | | 1,080,364 | | | | — | | | | (1,080,364 | ) | | | — | |
| | | Total CitiBank | | | 1,993,654 | | | | (913,290 | ) | | | 1,080,364 | | | | — | | | | (1,080,364 | ) | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 3,352 | | | | (3,352 | ) | | | — | | | | — | | | | — | | | | — | |
| Deutsche Bank | | Total Return Swap Contracts | | | 2,991,097 | | | | (1,075,933 | ) | | | 1,915,164 | | | | — | | | | (1,915,164 | ) | | | — | |
| Goldman Sachs | | Futures Contracts | | | 195,119 | | | | (16,504 | ) | | | 178,615 | | | | — | | | | (178,615 | ) | | | — | |
| J.P. Morgan | | Futures Contracts* | | | 1,041,356 | | | | (484,059 | ) | | | 557,297 | | | | — | | | | (557,297 | ) | | | — | |
| Total financial instruments subject to a master netting agreement or similar arrangement | | | 6,369,837 | | | | (2,619,487 | ) | | | 3,750,350 | | | | — | | | | (3,731,440 | ) | | | 18,910 | |
| * | All or a portion held in respective Subsidiary. |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,211,579. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
328
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR STYLE PREMIA ALTERNATIVE FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
RECEIVED |
(a) | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | $ | 1,047,157 | | | $ | (1,047,157 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | 3,038,315 | | | | (3,038,315 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 2,330,900 | | | | (1,685,941 | ) | | | 644,959 | | | | — | | | | — | | | | 644,959 | |
| | | Total Barclays Capital | | | 5,369,215 | | | | (4,724,256 | ) | | | 644,959 | | | | — | | | | — | | | | 644,959 | |
| CitiBank | | Total Return Swap Contracts | | | 179,604 | | | | (29,583 | ) | | | 150,021 | | | | — | | | | — | | | | 150,021 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 10,694,693 | | | | (8,231,939 | ) | | | 2,462,754 | | | | — | | | | (2,462,754 | ) | | | — | |
| Goldman Sachs | | Futures Contracts | | | 3,935,834 | | | | (1,697,552 | ) | | | 2,238,282 | | | | — | | | | — | | | | 2,238,282 | |
| | Total Return Basket Swaps Contracts | | | 17,217,988 | | | | | | | | | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | 11,454 | | | | | | | | | | | | | | | | | | | | | |
| | | Total Swap Contracts | | | 17,229,442 | | | | (956,496 | ) | | | 16,272,946 | | | | — | | | | — | | | | 16,272,946 | |
| | | Total Goldman Sachs | | | 21,165,276 | | | | (2,654,048 | ) | | | 18,511,228 | | | | — | | | | — | | | | 18,511,228 | |
| J.P. Morgan | | Futures Contracts | | | 1,076,101 | | | | (1,076,101 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 39,532,046 | | | | (17,763,084 | ) | | | 21,768,962 | | | | — | | | | (2,462,754 | ) | | | 19,306,208 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT OF
ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
PLEDGED |
(b) | |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | $ | 1,734,172 | | | $ | (1,047,157 | ) | | $ | 687,015 | | | $ | — | | | $ | (687,015 | ) | | $ | — | |
| Barclays Capital | | Futures Contracts | | | 6,822,151 | | | | (3,038,315 | ) | | | 3,783,836 | | | | — | | | | (3,783,836 | ) | | | — | |
| | | Total Return Swap Contracts | | | 1,685,941 | | | | (1,685,941 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Barclays Capital | | | 8,508,092 | | | | (4,724,256 | ) | | | 3,783,836 | | | | — | | | | (3,783,836 | ) | | | — | |
| CitiBank | | Total Return Swap Contracts | | | 29,583 | | | | (29,583 | ) | | | — | | | | — | | | | — | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 8,231,939 | | | | (8,231,939 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Futures Contracts | | | 1,697,552 | | | | (1,697,552 | ) | | | — | | | | — | | | | — | | | | — | |
| | Total Return Basket Swaps Contracts | | | 913,449 | | | | | | | | | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | 43,047 | | | | | | | | | | | | | | | | | | | | | |
| | | Total Swap Contracts | | | 956,496 | | | | (956,496 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Goldman Sachs | | | 2,654,048 | | | | (2,654,048 | ) | | | — | | | | — | | | | — | | | | — | |
| J.P. Morgan | | Futures Contracts | | | 2,688,250 | | | | (1,076,101 | ) | | | 1,612,149 | | | | — | | | | (1,612,149 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 23,846,084 | | | | (17,763,084 | ) | | | 6,083,000 | | | | — | | | | (6,083,000 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $147,246. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $66,207,253. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
329
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
AQR STYLE PREMIA ALTERNATIVE LV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES |
| | | | |
| COUNTERPARTY | | INVESTMENT TYPE | |
| GROSS
AMOUNTS OF
RECOGNIZED
ASSETS |
| |
| GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES |
| |
| NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES |
| |
| FINANCIAL
INSTRUMENTS |
| |
| COLLATERAL
RECEIVED |
| |
| NET
AMOUNT |
|
| Bank of America | | Total Return Swap Contracts | | $ | 157,272 | | | $ | (144,514 | ) | | $ | 12,758 | | | $ | — | | | $ | — | | | $ | 12,758 | |
| Barclays Capital | | Futures Contracts | | | 118,973 | | | | (118,973 | ) | | | — | | | | — | | | | — | | | | — | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | 208,381 | | | | (151,710 | ) | | | 56,671 | | | | — | | | | — | | | | 56,671 | |
| | | Total Return Swaps Contracts | | | 5,020 | | | | (4,236 | ) | | | 784 | | | | — | | | | — | | | | 784 | |
| | | Total CitiBank | | | 213,401 | | | | (155,946 | ) | | | 57,455 | | | | — | | | | — | | | | 57,455 | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 213,516 | | | | (173,994 | ) | | | 39,522 | | | | — | | | | — | | | | 39,522 | |
| Goldman Sachs | | Futures Contracts | | | 208,497 | | | | (71,350 | ) | | | 137,147 | | | | — | | | | — | | | | 137,147 | |
| | Total Return Swaps Contracts | | | 171 | | | | (171 | ) | | | — | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 334,032 | | | | — | | | | 334,032 | | | | | | | | | | | | | |
| | | Total Swap Contracts | | | 334,203 | | | | (171 | ) | | | 334,032 | | | | — | | | | — | | | | 334,032 | |
| | | Total Goldman Sachs | | | 542,700 | | | | (71,521 | ) | | | 471,179 | | | | — | | | | — | | | | 471,179 | |
| J.P. Morgan | | Futures Contracts | | | 55,261 | | | | (55,261 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,301,123 | | | | (720,209 | ) | | | 580,914 | | | | — | | | | — | | | | 580,914 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| 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 |
|
| Bank of America | | Total Return Swap Contracts | | $ | 144,514 | | | $ | (144,514 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Barclays Capital | | Futures Contracts | | | 199,224 | | | | (118,973 | ) | | | 80,251 | | | | — | | | | (80,251 | ) | | | — | |
| CitiBank | | Forward Foreign Currency Exchange Contracts | | | 151,710 | | | | (151,710 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swaps Contracts | | | 4,236 | | | | (4,236 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total CitiBank | | | 155,946 | | | | (155,946 | ) | | | — | | | | — | | | | — | | | | — | |
| Credit Suisse | | Forward Foreign Currency Exchange Contracts | | | 173,994 | | | | (173,994 | ) | | | — | | | | — | | | | — | | | | — | |
| Goldman Sachs | | Futures Contracts | | | 71,350 | | | | (71,350 | ) | | | — | | | | — | | | | — | | | | — | |
| | | Total Return Swap Contracts | | | 1,667 | | | | (171 | ) | | | 1,496 | | | | — | | | | (1,496 | ) | | | — | |
| | | Total Goldman Sachs | | | 73,017 | | | | (71,521 | ) | | | 1,496 | | | | — | | | | (1,496 | ) | | | — | |
| J.P. Morgan | | Futures Contracts | | | 241,737 | | | | (55,261 | ) | | | 186,476 | | | | — | | | | (186,476 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 988,432 | | | | (720,209 | ) | | | 268,223 | | | | — | | | | (268,223 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $5,540,365. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
330
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
For the period ended December 31, 2014, the quarterly average values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL
FUND | | | AQR GLOBAL
MACRO FUND | | | AQR LONG-
SHORT
EQUITY
FUND | | | AQR MANAGED
FUTURES
STRATEGY FUND | | | AQR MANAGED
FUTURES
STRATEGY HV FUND | | | AQR MULTI-
STRATEGY
ALTERNATIVE
FUND | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND | |
| Futures Contracts: | |
| Average Notional Balance Long | | $ | — | | | $ | 305,876 | | | $ | 173,851,967 | | | $ | 10,387,451 | | | $ | 21,138,783,819 | | | $ | 678,067,455 | | | $ | 2,164,275,433 | | | $ | 25,077,194 | |
| Average Notional Balance Short | | | 835,496,848 | | | | 497,415 | | | | 283,641,581 | | | | 492,356 | | | | 9,677,118,438 | | | | 226,741,616 | | | | 2,456,928,343 | | | | 16,828,883 | |
Ending Notional
Balance Long | | | — | | | | 305,876 | | | | 205,812,582 | | | | 28,662,012 | | | | 26,964,798,630 | | | | 1,118,822,049 | | | | 2,645,297,415 | | | | 25,079,902 | |
| Ending Notional Balance Short | | | 711,968,742 | | | | 497,415 | | | | 255,584,292 | | | | 1,402,702 | | | | 3,711,117,912 | | | | 145,758,202 | | | | 1,691,204,744 | | | | 17,801,582 | |
| Forward Foreign Currency Exchange Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Settlement Value Purchased | | | 45,026,479 | | | | 245,268 | | | | 26,700,707 | | | | 4,306,541 | | | | 9,367,221,190 | | | | 261,229,366 | | | | 1,460,175,918 | | | | — | |
| Average Settlement Value Sold | | | 133,464,293 | | | | 431,987 | | | | 30,619,762 | | | | 162,916 | | | | 11,260,748,815 | | | | 335,937,959 | | | | 1,733,178,898 | | | | — | |
| Ending Value Purchased | | | 70,512,348 | | | | 245,268 | | | | 22,743,905 | | | | 10,770,689 | | | | 5,753,795,827 | | | | 239,123,063 | | | | 1,075,069,619 | | | | — | |
| Ending Value Sold | | | 161,334,006 | | | | 431,987 | | | | 28,899,504 | | | | — | | | | 11,078,255,242 | | | | 463,308,373 | | | | 1,498,033,817 | | | | — | |
| Exchange-Traded Options: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Number
of Contracts Written | | | 7,672 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 1,131 | | | | — | |
Ending Number of
Contracts Written | | | 5,716 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 829 | | | | — | |
| Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Buy Protection | | | 312,318,750 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 35,012,500 | | | | — | |
| Average Notional Balance—Sell Protection | | | 173,012,500 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 42,080,000 | | | | — | |
| Ending Notional Balance—Buy Protection | | | 245,075,000 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Ending Notional
Balance—Sell Protection | | | 25,525,000 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 55,875,000 | | | | — | |
| Total Return Swaps: | |
| Average Notional Balance Long | | | — | | | | — | | | | 10,805,505 | | | | 433,969 | | | | 4,399,529,769 | | | | 158,593,588 | | | | 783,320,558 | | | | 184,062,946 | |
| Average Notional Balance Short | | | — | | | | — | | | | 8,174,680 | | | | — | | | | 1,826,203,202 | | | | 66,091,981 | | | | 564,832,275 | | | | 116,422,543 | |
Ending Notional
Balance Long | | | — | | | | — | | | | 8,475,671 | | | | 1,059,633 | | | | 5,756,634,419 | | | | 264,293,538 | | | | 730,551,458 | | | | 152,847,885 | |
| Ending Notional Balance Short | | | — | | | | — | | | | 1,640,057 | | | | — | | | | 1,328,717,112 | | | | 74,118,498 | | | | 529,983,619 | | | | 104,488,503 | |
Interest Rate-Related
Swaps (Interest Rate Swaps): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Pays Fixed rate | | | — | | | | — | | | | 200,601,687 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Average Notional Balance—Receives Fixed rate | | | — | | | | — | | | | 198,218,084 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Pays Fixed Rate | | | — | | | | — | | | | 258,643,899 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Ending Notional
Balance—Receives Fixed Rate | | | — | | | | — | | | | 233,657,442 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Total Return Basket Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional of Underlying Positions—Long | | | 950,612,800 | | | | 8,284,847 | | | | — | | | | 37,479,604 | | | | — | | | | — | | | | 2,141,259,110 | | | | — | |
Average Notional of Underlying
Positions—Short | | | 587,754,440 | | | | 8,021,992 | | | | — | | | | 35,423,944 | | | | — | | | | — | | | | 1,668,320,613 | | | | — | |
| Ending Notional Balance—Long | | | 1,064,338,931 | | | | 8,284,847 | | | | — | | | | 94,956,533 | | | | — | | | | — | | | | 2,803,266,053 | | | | — | |
Ending Notional
Balance—Short | | | 380,102,023 | | | | 8,021,992 | | | | — | | | | 90,529,732 | | | | — | | | | — | | | | 2,233,589,398 | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
331
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY FUND | | | AQR RISK PARITY II HV FUND | | | AQR RISK PARITY II MV FUND | | | AQR STYLE PREMIA
ALTERNATIVE
FUND | | | AQR STYLE
PREMIA
ALTERNATIVE LV FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance Long | | $ | 416,385,764 | | | $ | 71,522,369 | | | $ | 113,294,879 | | | $ | 2,300,944,773 | | | $ | 83,015,104 | |
| Average Notional Balance Short | | | 78,540,888 | | | | 6,262,237 | | | | 9,169,486 | | | | 1,721,156,664 | | | | 74,592,943 | |
| Ending Notional Balance Long | | | 195,490,152 | | | | 76,553,537 | | | | 136,536,419 | | | | 1,916,841,449 | | | | 98,912,361 | |
| Ending Notional Balance Short | | | — | | | | 6,828,462 | | | | 9,374,144 | | | | 1,677,068,071 | | | | 94,929,963 | |
| Forward Foreign Currency Exchange Contracts: | | | | | | | | | | | | | | | | | | | | |
| Average Settlement Value Purchased | | | 278,864,253 | | | | 1,223,168 | | | | 1,834,181 | | | | 394,236,751 | | | | 13,725,959 | |
| Average Settlement Value Sold | | | 306,300,312 | | | | 11,207,292 | | | | 14,246,252 | | | | 472,432,158 | | | | 16,959,166 | |
| Ending Value Purchased | | | 257,638,401 | | | | 586,199 | | | | 568,617 | | | | 388,380,718 | | | | 19,248,212 | |
| Ending Value Sold | | | 294,249,496 | | | | 9,907,750 | | | | 13,884,379 | | | | 441,944,524 | | | | 21,943,083 | |
| Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Buy Protection | | | 84,040,251 | | | | — | | | | — | | | | — | | | | — | |
| Average Notional Balance—Sell Protection | | | 698,554,629 | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Buy Protection | | | — | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Sell Protection | | | 524,389,921 | | | | — | | | | — | | | | — | | | | — | |
| Total Return Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance Long | | | 1,089,016,230 | | | | 71,647,727 | | | | 70,688,401 | | | | 445,190,924 | | | | 14,917,970 | |
| Average Notional Balance Short | | | 294,601,866 | | | | 15,524,714 | | | | 19,881,277 | | | | 552,397,502 | | | | 37,516,011 | |
| Ending Notional Balance Long | | | 967,858,677 | | | | 81,897,168 | | | | 92,857,806 | | | | 234,701,689 | | | | 14,907,735 | |
| Ending Notional Balance Short | | | 152,418,107 | | | | 9,157,733 | | | | 12,510,659 | | | | 753,287,222 | | | | 31,348,112 | |
| Interest Rate-Related Swaps (Interest Rate Swaps): | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Pays Fixed rate | | | 259,193,071 | | | | — | | | | — | | | | — | | | | — | |
| Average Notional Balance—Receives Fixed rate | | | 536,634,340 | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Pays Fixed Rate | | | 121,387,677 | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Receives Fixed Rate | | | 356,493,151 | | | | — | | | | — | | | | — | | | | — | |
| Total Return Basket Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional of Underlying Positions—Long | | | — | | | | — | | | | — | | | | 498,949,229 | | | | 19,282,545 | |
| Average Notional of Underlying Positions—Short | | | — | | | | — | | | | — | | | | 400,958,968 | | | | 15,439,953 | |
| Ending Notional Balance—Long | | | — | | | | — | | | | — | | | | 367,342,392 | | | | 26,284,895 | |
| Ending Notional Balance—Short | | | — | | | | — | | | | — | | | | 300,230,265 | | | | 21,262,801 | |
| | * | Values as of each quarter end are used to calculate the average represented. |
9. 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 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 Diversified Arbitrage Fund | | | 1.00 | % |
AQR Equity Market Neutral Fund | | | 1.10 | |
AQR Global Macro Fund | | | 1.25 | |
AQR Long-Short Equity Fund | | | 1.10 | |
AQR Managed Futures Strategy Fund | | | 1.05 | |
AQR Managed Futures Strategy HV Fund | | | 1.45 | |
AQR Multi-Strategy Alternative Fund | | | 1.80 | * |
AQR Risk-Balanced Commodities Strategy Fund | | | 0.80 | ** |
AQR Risk Parity Fund | | | 0.75 | (a) |
AQR Risk Parity II HV Fund | | | 0.95 | (b)*** |
AQR Risk Parity II MV Fund | | | 0.75 | (c)**** |
AQR Style Premia Alternative Fund | | | 1.35 | |
AQR Style Premia Alternative LV Fund | | | 0.65 | |
| (a) | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
332
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| (b) | The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion. |
| (c) | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion. |
Prior to May 1, 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 Multi-Strategy Alternative Fund Advisory Fee was based on the following two tier structure. The first tier charges 1.85% on the first $1 billion of net assets and the second tier charges 1.80% on net assets in excess of $1 billion. |
| ** | The AQR Risk-Balanced Commodities Strategy Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion. |
| *** | The AQR Risk Parity II HV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.70% on the first $1 billion of net assets; the second tier charges 0.675% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.65% on net assets in excess of $3 billion. |
| **** | The AQR Risk Parity II MV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.50% on the first $1 billion of net assets; the second tier charges 0.475% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.45% on net assets in excess of $3 billion. |
The 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 April 30, 2015 for Class I and N, respectively and at least through April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Diversified Arbitrage Fund | | | 1.20 | % | | | 1.50 | % | | | 1.10 | % |
AQR Equity Market Neutral Fund* | | | 1.30 | | | | 1.55 | | | | 1.20 | |
AQR Global Macro Fund* | | | 1.45 | | | | 1.70 | | | | 1.35 | |
AQR Long-Short Equity Fund | | | 1.30 | | | | 1.55 | | | | 1.20 | |
AQR Managed Futures Strategy Fund | | | 1.25 | | | | 1.50 | | | | 1.15 | |
AQR Managed Futures Strategy HV Fund | | | 1.65 | | | | 1.90 | | | | 1.55 | |
AQR Multi-Strategy Alternative Fund | | | 1.98 | | | | 2.23 | | | | 1.88 | |
AQR Risk-Balanced Commodities Strategy Fund | | | 1.00 | | | | 1.25 | | | | 0.90 | |
AQR Risk Parity Fund | | | 0.95 | | | | 1.20 | | | | 0.85 | |
AQR Risk Parity II HV Fund | | | 1.15 | | | | 1.40 | | | | 1.05 | |
AQR Risk Parity II MV Fund | | | 0.95 | | | | 1.20 | | | | 0.85 | |
AQR Style Premia Alternative Fund | | | 1.50 | | | | 1.75 | | | | 1.40 | |
AQR Style Premia Alternative LV Fund* | | | 0.85 | | | | 1.10 | | | | 0.75 | |
| | * | This arrangement will continue at least through April 30, 2016 for Class I and Class N. |
Prior to May 1, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Risk-Balanced Commodities Strategy Fund was as follows:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Risk-Balanced Commodities Strategy Fund | | | 1.05 | % | | | 1.30 | % |
For the period ended December 31, 2014 the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | | | | | | | | | | | |
| | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR EQUITY
MARKET
NEUTRAL
FUND | | | AQR GLOBAL MACRO FUND | | | AQR
LONG-SHORT
EQUITY FUND | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | — | | | $ | 13,879 | | | $ | 161,785 | | | $ | 153,419 | |
Expense reimbursements | | | 6,760 | | | | 61,719 | | | | 57,012 | | | | 44,316 | |
Total | | $ | 6,760 | | | $ | 75,598 | | | $ | 218,797 | | | $ | 197,735 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
333
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
| | | AQR
MANAGED
FUTURES
STRATEGY
FUND | | | AQR
MANAGED
FUTURES
STRATEGY
HV FUND | | | AQR MULTI- STRATEGY
ALTERNATIVE
FUND | | | AQR RISK- BALANCED
COMMODITIES
STRATEGY
FUND | | | | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | — | | | $ | 139,076 | | | $ | 204,175 | | | $ | 173,437 | | | | | |
Expense reimbursements | | | 13,511 | | | | 6,990 | | | | 29,620 | | | | 75 | | | | | |
Total | | $ | 13,511 | | | $ | 146,066 | | | $ | 233,795 | | | $ | 173,512 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY
FUND | | | AQR RISK
PARITY II HV FUND | | | AQR RISK
PARITY II MV FUND | | | AQR STYLE PREMIA
ALTERNATIVE
FUND | | | AQR STYLE PREMIA
ALTERNATIVE
LV FUND | |
Waivers and reimbursements: | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees and shareholder servicing fees waived | | $ | — | | | $ | 156,904 | | | $ | 142,419 | | | $ | — | | | $ | 56,880 | |
Expense reimbursements | | | 1 | | | | 14 | | | | 4 | | | | 27,257 | | | | 81,432 | |
Total | | $ | 1 | | | $ | 156,918 | | | $ | 142,423 | | | $ | 27,257 | | | $ | 138,312 | |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended December 31, 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 December 31, 2014 are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
DECEMBER 31,
2014 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER 31,
2014 | | | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31, | |
| | | | | 2015 | | | 2016 | | | 2017 | |
| | | | | |
AQR DIVERSIFIED ARBITRAGE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 6,759 | | | $ | 234,349 | | | $ | 227,590 | | | $ | — | | | $ | 6,759 | |
Class N | | | — | | | | — | | | | — | | | | — | | | | — | |
Class R6 | | | 1 | | | | 1 | | | | — | | | | — | | | | 1 | |
| | | | | |
Totals | | $ | 6,760 | | | $ | 234,350 | | | $ | 227,590 | | | $ | — | | | $ | 6,760 | |
| | | | | |
AQR EQUITY MARKET NEUTRAL FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 17,217 | | | $ | 17,217 | | | $ | — | | | $ | — | | | $ | 17,217 | |
Class N | | | 14,929 | | | | 14,929 | | | | — | | | | — | | | | 14,929 | |
Class R6 | | | 43,452 | | | | 43,452 | | | | — | | | | — | | | | 43,452 | |
| | | | | |
Totals | | $ | 75,598 | | | $ | 75,598 | | | $ | — | | | $ | — | | | $ | 75,598 | |
| | | | | |
AQR GLOBAL MACRO FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 211,421 | | | $ | 211,421 | | | $ | — | | | $ | — | | | $ | 211,421 | |
Class N | | | 7,011 | | | | 7,011 | | | | — | | | | — | | | | 7,011 | |
Class R6 | | | 365 | | | | 365 | | | | — | | | | — | | | | 365 | |
| | | | | |
Totals | | $ | 218,797 | | | $ | 218,797 | | | $ | — | | | $ | — | | | $ | 218,797 | |
| | | | | |
AQR LONG-SHORT EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 173,277 | | | $ | 254,930 | | | $ | — | | | $ | 81,653 | | | $ | 173,277 | |
Class N | | | 24,081 | | | | 45,862 | | | | — | | | | 21,781 | | | | 24,081 | |
Class R6 | | | 377 | | | | 377 | | | | — | | | | — | | | | 377 | |
| | | | | |
Totals | | $ | 197,735 | | | $ | 301,169 | | | $ | — | | | $ | 103,434 | | | $ | 197,735 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
334
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
DECEMBER 31,
2014 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER 31,
2014 | | | POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31, | |
| | | | | 2015 | | | 2016 | | | 2017 | |
| | | | | |
AQR MANAGED FUTURES STRATEGY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Class N | | | 13,507 | | | | 93,165 | | | | 77,598 | | | | 2,060 | | | | 13,507 | |
Class R6 | | | 4 | | | | 4 | | | | — | | | | — | | | | 4 | |
| | | | | |
Totals | | $ | 13,511 | | | $ | 93,169 | | | $ | 77,598 | | | $ | 2,060 | | | $ | 13,511 | |
| | | | |
AQR MANAGED FUTURES STRATEGY HV FUND | | | | | | | | | | | | | | | | | |
Class I | | $ | 132,064 | | | $ | 312,434 | | | $ | — | | | $ | 180,370 | | | $ | 132,064 | |
Class N | | | 13,815 | | | | 30,524 | | | | — | | | | 16,709 | | | | 13,815 | |
Class R6 | | | 187 | | | | 187 | | | | — | | | | — | | | | 187 | |
| | | | | |
Totals | | $ | 146,066 | | | $ | 343,145 | | | $ | — | | | $ | 197,079 | | | $ | 146,066 | |
| | | | |
AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | | | | | | | | | | | | | | |
Class I | | $ | 193,951 | | | $ | 907,879 | | | $ | 449,951 | | | $ | 263,977 | | | $ | 193,951 | |
Class N | | | 39,755 | | | | 135,122 | | | | 55,557 | | | | 39,810 | | | | 39,755 | |
Class R6 | | | 89 | | | | 89 | | | | — | | | | — | | | | 89 | |
| | | | | |
Totals | | $ | 233,795 | | | $ | 1,043,090 | | | $ | 505,508 | | | $ | 303,787 | | | $ | 233,795 | |
| | | | |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | | | | | | | | | | | | | | |
Class I | | $ | 146,283 | | | $ | 478,477 | | | $ | 181,810 | | | $ | 150,384 | | | $ | 146,283 | |
Class N | | | 26,863 | | | | 63,558 | | | | 19,100 | | | | 17,595 | | | | 26,863 | |
Class R6 | | | 366 | | | | 366 | | | | — | | | | — | | | | 366 | |
| | | | | |
Totals | | $ | 173,512 | | | $ | 542,401 | | | $ | 200,910 | | | $ | 167,979 | | | $ | 173,512 | |
| | | | | |
AQR RISK PARITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Class N | | | — | | | | 34,933 | | | | 34,933 | | | | — | | | | — | |
Class R6 | | | 1 | | | | 1 | | | | — | | | | — | | | | 1 | |
| | | | | |
Totals | | $ | 1 | | | $ | 34,934 | | | $ | 34,933 | | | $ | — | | | $ | 1 | |
| | | | | |
AQR RISK PARITY II HV FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 118,124 | | | $ | 339,455 | | | $ | 79,653 | | | $ | 141,678 | | | $ | 118,124 | |
Class N | | | 38,672 | | | | 170,687 | | | | 36,272 | | | | 95,743 | | | | 38,672 | |
Class R6 | | | 122 | | | | 122 | | | | — | | | | — | | | | 122 | |
| | | | | |
Totals | | $ | 156,918 | | | $ | 510,264 | | | $ | 115,925 | | | $ | 237,421 | | | $ | 156,918 | |
| | | | | |
AQR RISK PARITY II MV FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 126,164 | | | $ | 359,355 | | | $ | 102,338 | | | $ | 130,853 | | | $ | 126,164 | |
Class N | | | 16,202 | | | | 88,162 | | | | 13,557 | | | | 58,403 | | | | 16,202 | |
Class R6 | | | 57 | | | | 57 | | | | — | | | | — | | | | 57 | |
| | | | | |
Totals | | $ | 142,423 | | | $ | 447,574 | | | $ | 115,895 | | | $ | 189,256 | | | $ | 142,423 | |
| | | | | |
AQR STYLE PREMIA ALTERNATIVE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | — | | | $ | 111,025 | | | $ | — | | | $ | 111,025 | | | $ | — | |
Class N | | | 23,532 | | | | 33,204 | | | | — | | | | 9,672 | | | | 23,532 | |
Class R6 | | | 3,725 | | | | 3,725 | | | | — | | | | — | | | | 3,725 | |
| | | | | |
Totals | | $ | 27,257 | | | $ | 147,954 | | | $ | — | | | $ | 120,697 | | | $ | 27,257 | |
| | | | |
AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | | | | | | | | | | | | | | |
Class I | | $ | 12,440 | | | $ | 12,440 | | | $ | — | | | $ | — | | | $ | 12,440 | |
Class N | | | 12,768 | | | | 12,768 | | | | — | | | | — | | | | 12,768 | |
Class R6 | | | 113,104 | | | | 113,104 | | | | — | | | | — | | | | 113,104 | |
| | | | | |
Totals | | $ | 138,312 | | | $ | 138,312 | | | $ | — | | | $ | — | | | $ | 138,312 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
335
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
During the period ended December 31, 2014, the Funds recouped amounts as follows:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Risk Parity Fund | | $ | — | | | $ | 15,985 | |
AQR Style Premia Alternative Fund | | | 4,579 | | | | — | |
Pursuant to the Sub-Advisory Agreements between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% and 0.35% of the average daily nets assets for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.
JPMorgan Chase Bank, N.A, serves as the Funds’ Administrator, Accounting Agent and Custodian.
State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
During the period ended December 31, 2014, the Advisor contributed $2,459, $194,737, $1,630, $4,644 and $2,937 into the AQR Diversified Arbitrage Fund, the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Style Premia Alternative Fund and the Multi-Strategy Alternative Fund, respectively for losses incurred due to trade processing errors. The impact of the Advisor’s contributions on the Funds’ total return was immaterial. These amounts have been included in capital transactions in the Statements of Changes in Net Assets.
10. 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.
11. Shareholder Servicing Agreements
Prior to May 1, 2014, pursuant to a Shareholder Services Agreement between the Trust (excluding the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk Parity Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund) and the Advisor, the Advisor provided certain administrative and/or support services to the Funds and their shareholders. These services included, 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 received an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Risk-Balanced Commodities Strategy Fund | | | 0.25 | % | | | 0.25 | % |
AQR Risk Parity II HV Fund | | | 0.25 | | | | 0.25 | |
AQR Risk Parity II MV Fund | | | 0.25 | | | | 0.25 | |
Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended December 31, 2014, were as follows:
| | | | | | | | |
| FUND | | CLASS I | | | CLASS N | |
AQR Risk-Balanced Commodities Strategy Fund | | $ | 25,097 | | | $ | 3,443 | |
AQR Risk Parity II HV Fund | | | 22,288 | | | | 7,985 | |
AQR Risk Parity II MV Fund | | | 35,487 | | | | 7,119 | |
Effective May 1, 2014, the AQR Risk-Balanced Commodities Strategy, the AQR Risk Parity II HV, and the AQR Risk Parity II MV Funds’ contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee.
12. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
336
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. 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).
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. 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. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of 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 factors affecting a particular industry or commodity.
In addition to market risk, the Funds may be exposed to 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 (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. 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. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to 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 counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
In the normal course of business, the Funds may enter into agreements with certain counterparties for OTC derivative transactions. A number of each Fund’s derivative agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.
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 reverse repurchase transactions and entering into other forms of direct and indirect borrowings. 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 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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
337
| | | | |
| Notes to Financial Statements | | | December 31, 2014 | |
Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.
13. 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 was paid monthly. For the fiscal period ended December 31, 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 for the period ended December 31, 2014.
14. Principal Ownership
As of December 31, 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 Equity Market Neutral Fund* | | | 2 | | | | 86.61 | % |
AQR Global Macro Fund* | | | 2 | | | | 60.82 | % |
AQR Managed Futures Strategy Fund | | | 2 | | | | 14.63 | % |
AQR Managed Futures Strategy HV Fund | | | 1 | | | | 7.26 | % |
AQR Risk Parity Fund | | | 1 | | | | 16.47 | % |
AQR Risk Parity II HV Fund* | | | 2 | | | | 37.03 | % |
AQR Risk Parity II MV Fund | | | 2 | | | | 45.42 | % |
AQR Style Premia Alternative LV Fund* | | | 1 | | | | 42.67 | % |
| | * | The percentage shown is owned by the Advisor and/or affiliates. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ Performance.
15. Redemption in Kind
On July 25, 2014, one shareholder redeemed their investment in the AQR Style Premia Alternative Fund. The redemption represented 70.1% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $52,771,157. The realized gain (loss) associated with the portion redeemed in-kind was $19,331,459.
16. New Accounting Pronouncements
In June 2014, the FASB issued Accounting Standards Update (ASU), 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 has evaluated the impact and does not believe the adoption will have a material impact on the Funds’ financial statements.
In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic) 810: Amendments to the Consolidation Analysis, affecting reporting entities that are required to evaluate whether they should consolidate certain legal entities. Management is currently assessing the impact of ASU No. 2015-02.
17. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require accrual or disclosure.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
338
| | |
| 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, of changes in net assets and of cash flows and the financial highlights as well as the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, and the related consolidated statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of each of the thirteen portfolios that are included in AQR Funds (as listed in Note 1 to the financial statements and collectively referred to as the “Funds”) at December 31, 2014, and the results of each of their operations, the changes in each of their net assets, the cash flows of AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Multi-Strategy Alternative Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV Fund 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 December 31, 2014 by correspondence with the custodian, brokers and transfer agents and the application of alternative procedures where confirmation of securities purchased had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
February 27, 2015
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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339
| | |
| Other Federal Tax Information (Unaudited) | | |
For the period ended December 31, 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 Diversified Arbitrage Fund | | | 59.36 | % |
| AQR Equity Market Neutral Fund | | | 1.59 | % |
| AQR Multi-Strategy Alternative Fund | | | 1.71 | % |
| AQR Style Premia Alternative Fund | | | 13.46 | % |
| AQR Style Premia Alternative LV Fund | | | 18.13 | % |
For the taxable period ended December 31, 2014, the following percentages of income dividends paid by the Fund qualify for the 70% dividends received deductions available to corporations:
| | | | |
| FUND | | PERCENTAGE | |
| AQR Diversified Arbitrage Fund | | | 50.13 | % |
| AQR Multi-Strategy Alternative Fund | | | 20.93 | % |
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 Macro Fund | | $ | 65,718 | |
| AQR Long-Short Equity Fund | | | 158,787 | |
| AQR Managed Futures Strategy Fund | | | 194,482,633 | |
| AQR Managed Futures Strategy HV Fund | | | 3,010,679 | |
| AQR Multi-Strategy Alternative Fund | | | 398,487 | |
| AQR Risk Parity Fund | | | 15,092,700 | |
| AQR Risk Parity II HV Fund | | | 2,288,332 | |
| AQR Risk Parity II MV Fund | | | 3,529,309 | |
| AQR Style Premia Alternative Fund | | | 5,032,183 | |
| AQR Style Premia Alternative LV Fund | | | 69,820 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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340
| | |
| 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 Ending 6/30/14” 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
12/31/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/14 | |
| | | | |
AQR Diversified Arbitrage Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $936.30 | | | | 2.16 | % | | | $10.54 | |
Hypothetical Return | | | $1,000.00 | | | | $1,014.32 | | | | 2.16 | % | | | $10.97 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $934.50 | | | | 2.41 | % | | | $11.75 | |
Hypothetical Return | | | $1,000.00 | | | | $1,013.06 | | | | 2.41 | % | | | $12.23 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $940.10 | | | | 1.94 | % | | | $6.19 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,015.43 | | | | 1.94 | % | | | $9.86 | |
| | | | |
AQR Equity Market Neutral Fund (2) | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,059.30 | | | | 1.63 | % | | | $3.91 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,016.99 | | | | 1.63 | % | | | $8.29 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,058.80 | | | | 1.88 | % | | | $4.51 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,015.73 | | | | 1.88 | % | | | $9.55 | |
| | | | |
Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,059.50 | | | | 1.53 | % | | | $3.67 | (b) |
Hypothetical Return | | | $1,000.00 | | | | $1,017.49 | | | | 1.53 | % | | | $7.78 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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341
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/14 | |
| | | | |
AQR Global Macro Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,031.90 | | | | 1.45 | % | | | $7.43 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.90 | | | | 1.45 | % | | | $7.38 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,029.90 | | | | 1.71 | % | | | $8.75 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.59 | | | | 1.71 | % | | | $8.69 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,024.50 | | | | 1.31 | % | | | $4.36 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,018.60 | | | | 1.31 | % | | | $6.67 | |
| | | | |
AQR Long-Short Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,096.40 | | | | 1.29 | % | | | $6.82 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.70 | | | | 1.29 | % | | | $6.56 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,095.00 | | | | 1.55 | % | | | $8.18 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.39 | | | | 1.55 | % | | | $7.88 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,061.90 | | | | 1.20 | % | | | $4.07 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,019.16 | | | | 1.20 | % | | | $6.11 | |
| | | | |
AQR Managed Futures Strategy Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,157.00 | | | | 1.24 | % | | | $6.74 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.95 | | | | 1.24 | % | | | $6.31 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,154.90 | | | | 1.50 | % | | | $8.15 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.64 | | | | 1.50 | % | | | $7.63 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,129.90 | | | | 1.15 | % | | | $4.03 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,019.41 | | | | 1.15 | % | | | $5.85 | |
| | | | |
AQR Managed Futures Strategy HV Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,242.30 | | | | 1.65 | % | | | $9.33 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.89 | | | | 1.65 | % | | | $8.39 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,240.20 | | | | 1.90 | % | | | $10.73 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.63 | | | | 1.90 | % | | | $9.65 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,199.40 | | | | 1.55 | % | | | $5.60 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,017.39 | | | | 1.55 | % | | | $7.88 | |
| | | | |
AQR Multi-Strategy Alternative Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,077.50 | | | | 3.28 | % | | | $17.18 | |
Hypothetical Return | | | $1,000.00 | | | | $1,008.67 | | | | 3.28 | % | | | $16.61 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,075.80 | | | | 3.58 | % | | | $18.73 | |
Hypothetical Return | | | $1,000.00 | | | | $1,007.16 | | | | 3.58 | % | | | $18.11 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,061.90 | | | | 3.14 | % | | | $10.64 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,009.38 | | | | 3.14 | % | | | $15.90 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
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342
| | |
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/14 | |
| | | | |
AQR Risk-Balanced Commodities Strategy Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $735.50 | | | | 1.00 | % | | | $4.37 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.16 | | | | 1.00 | % | | | $5.09 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $734.40 | | | | 1.25 | % | | | $5.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.90 | | | | 1.25 | % | | | $6.36 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $812.80 | | | | 0.90 | % | | | $2.68 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,020.67 | | | | 0.90 | % | | | $4.58 | |
| | | | |
AQR Risk Parity Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $965.50 | | | | 0.90 | % | | | $4.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.67 | | | | 0.90 | % | | | $4.58 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $963.00 | | | | 1.20 | % | | | $5.94 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.16 | | | | 1.20 | % | | | $6.11 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $960.40 | | | | 0.85 | % | | | $2.74 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,020.92 | | | | 0.85 | % | | | $4.33 | |
| | | | |
AQR Risk Parity II HV Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $950.70 | | | | 1.19 | % | | | $5.85 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.21 | | | | 1.19 | % | | | $6.06 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $950.40 | | | | 1.44 | % | | | $7.08 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.95 | | | | 1.44 | % | | | $7.32 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $949.00 | | | | 1.08 | % | | | $3.46 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,019.76 | | | | 1.08 | % | | | $5.50 | |
| | | | |
AQR Risk Parity II MV Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $967.60 | | | | 0.95 | % | | | $4.71 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.42 | | | | 0.95 | % | | | $4.84 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $966.80 | | | | 1.20 | % | | | $5.95 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.16 | | | | 1.20 | % | | | $6.11 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $965.60 | | | | 0.85 | % | | | $2.75 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,020.92 | | | | 0.85 | % | | | $4.33 | |
| | | | |
AQR Style Premia Alternative Fund | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,094.70 | | | | 1.96 | % | | | $10.35 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.32 | | | | 1.96 | % | | | $9.96 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,093.60 | | | | 2.51 | % | | | $13.25 | |
Hypothetical Return | | | $1,000.00 | | | | $1,012.55 | | | | 2.51 | % | | | $12.73 | |
| | | | |
Class R6 (1) | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,076.70 | | | | 2.46 | % | | | $8.40 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,012.80 | | | | 2.46 | % | | | $12.48 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
343
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/14 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/14 | |
| | | | |
AQR Style Premia Alternative LV Fund (3) | | | | | | | | | | | | | | | | |
| | | | |
Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,030.70 | | | | 1.01 | % | | | $2.95 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,020.11 | | | | 1.01 | % | | | $5.14 | |
| | | | |
Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,029.40 | | | | 1.32 | % | | | $3.85 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,018.55 | | | | 1.32 | % | | | $6.72 | |
| | | | |
Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,029.80 | | | | 1.00 | % | | | $2.92 | (c) |
Hypothetical Return | | | $1,000.00 | | | | $1,020.16 | | | | 1.00 | % | | | $5.09 | |
| | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period unless stated otherwise). |
| (1) | Commencement of offering of shares was September 2, 2014. |
| (a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 120 /365 (to reflect the period since commencement of shares). |
| (2) | Commencement of operations was October 7, 2014 . |
| (b) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 85/365 (to reflect the period since commencement of operations). |
| (3) | Commencement of operations was September 17, 2014 . |
| (c) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 105/365 (to reflect the period since commencement of operations). |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
344
| | | | |
| Trustees and Officers (Unaudited) | | | December 31, 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) | | 41 | | 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) | | 41 | | 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) | | 41 | | Webster Financial
Corporation
(since 2014) |
| | | | |
| Gregg D. Behrens, M.M., 1952 | | Trustee,
since 2011 | | Retired from Northern Trust Company
(since 2009) banking) | | 41 | | None |
| | | | |
| Brian Posner, M.B.A., 1961 | | Trustee,
since 2011 | | President, Point Rider Group LLC (since
2008) (consulting) | | 41 | | Biogen Idec (since
2008); Arch Capital
Group (since
2010); 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) | | 41 | | Exchange Traded
Concepts Trust
(since 2011);
Source ETF Trust
(since 2014) |
| | | | |
Interested Trustees3 | | | | | | | | |
| David Kabiller, CFA, 1963 | | Trustee, since 2010 | | Founding Principal, AQR Capital
Management, LLC (since 1998) | | 41 | | None |
| | | | |
| Marco Hanig, Ph.D., 1958 | | Trustee, since 2014;
Chief Executive
Officer, since
2009; President,
since 2008 | | Principal, AQR Capital Management, LLC
(since 2008) | | 41 | | 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 |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
345
| | | | |
| Trustees and Officers (Unaudited) | | | December 31, 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) |
| Aaron Masek, CPA, 1974 | | Vice President and
Treasurer, since 2010 | | Vice President, AQR Capital
Management, LLC (since 2010) | | 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 | | | | | | December 2014 | | |
| | | | | | | | | | |
346
|
| Board Approval of Investment Advisory Agreements (Unaudited) |
| | |
| AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy HV Fund and AQR Style Premia Alternative 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 November 7, 2014 to consider the continuation of the: (i) the Investment Management Agreement (as amended) between the Trust, on behalf of the AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy HV Fund and AQR Style Premia Alternative Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Management Agreement”); (ii) Amended and Restated Investment Sub-Advisory Agreement between AQR and CNH Partners, LLC ( “CNH” or the “Sub-Adviser”) for the AQR Diversified Arbitrage Fund; and (iii) the Investment Sub-Advisory Agreement between AQR and CNH for the AQR Multi-Strategy Alternative Fund (collectively, the “Sub-Advisory Agreements”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” 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 November 7, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 7, 2014, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Investment Management Agreement and the Sub-Advisory Agreements. These materials included: (i) memoranda and materials provided by AQR, describing the personnel and services provided to the Funds; (ii) memoranda and materials provided by AQR, describing the personnel and services provided by CNH to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Investment Management Agreement and Sub-Advisory Agreements; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and certain Funds’ proposed fees and expenses; (v) a discussion of the financial information of AQR and CNH; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Adviser,” as applicable. The Investment Management Agreement and the Sub-Advisory Agreements are referred to collectively herein as the “Advisory Agreement,” as applicable and as the context suggests.
At the in-person meeting held on November 7, 2014, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for an additional one-year period. In approving the continuation of the Advisory Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, 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 Advisory Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Advisory Agreement, including certain administrative services that were proposed at the Meetings for inclusion in the Investment Management 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 provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, provides oversight of Fund accounting, provides marketing services, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Advisory Agreement. The Board also reviewed a wide range of services provided to the Funds pursuant to the Investment Management Agreement. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Advisory Agreement were of a high quality and benefit the Funds.
Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
347
| | |
| Board Approval of Investment Advisory Agreements (Unaudited) |
Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that AQR is an appropriate investment adviser for the Funds.
The Advisory Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar 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 profitability of the Adviser with respect to Fund-related activities and the profitability of CNH with respect to its subadvisory services for two Funds. 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, and therefore comparability of profitability is somewhat limited.
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 management fees under the Advisory Agreement are reasonable.
Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the Advisory Agreement, none of the Funds, except for the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund, would have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, the Adviser presented information to show that the advisory fees were set at a level that is competitive relative to comparable funds of larger sizes. 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 investment advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Advisory Agreement and total expense ratios are reasonable in relation to the services provided by the Adviser (including CNH, when applicable) to the Funds, as well as the costs incurred and benefits to be gained by the Adviser (including CNH, when applicable) in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory and management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Advisory Agreement with respect to the Funds. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | | |
348
|
| Board Approval of Investment Advisory Agreements (Unaudited) |
| | |
AQR Equity Market Neutral Fund AQR Style Premia Alternative LV 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 August 12-13, 2014, to consider the approval of the Investment Management Agreement between the Trust, on behalf of the AQR Equity Market Neutral Fund and AQR Style Premia Alternative LV Fund (each, a “Fund” and together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (the “Investment Management 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 August 12-13, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on August 12-13, 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 Management Agreement. These materials included: (1) memoranda and materials provided by AQR, describing the personnel and services to be provided to the Funds; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Management Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial information of AQR; and (5) 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 August 12-13, 2014, the Board, including the Independent Board Members, unanimously approved the addition of the Funds to the Investment Management 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 Management 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 Management 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 AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the Funds by AQR.
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 Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the Funds by AQR pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the Funds.
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 AQR 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 Management 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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2014 | | |
| | | | | | | | | |
349
| | |
| Board Approval of Investment Advisory Agreements (Unaudited) |
The Board reviewed the Adviser’s 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 August 12-13, 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 an investment management agreement. 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 management fee rates 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 management 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 voting separately, approved the Investment Management 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 | | | | | | December 2014 | | |
| | | | | | | | | |
350
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
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
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, December 31, 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 December 31, 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 years ended December 31, 2013 and December 31, 2014 were:
| | | | | | | | |
| | | 2013 | | | 2014 | |
Audit Fees (a) | | $ | 1,071,382 | | �� | $ | 1,295,470 | |
Audit Related Fees (b) | | $ | 32,917 | | | $ | 42,500 | |
Tax Fees (c) | | $ | 116,200 | | | $ | 194,700 | |
All Other Fees (d) | | $ | 0 | | | $ | 0 | |
Total: | | $ | 1,220,499 | | | $ | 1,532,670 | |
| (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 December 31, 2013 and December 31, 2014 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2013 and December 31, 2014 relate to services provided in connection with the review of the June 30, 2013 semi-annual financial statements, review of amendments to the Registrant’s Registration Statement and review of the in-kind transaction for the AQR Style Premia Alternative Fund. |
| (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 years ended December 31, 2013 and December 31, 2014: $671,340 and $336,340, 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 A. Zurack, are members of the 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.
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| (a)(1) | | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
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| (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. |
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| (a)(3) | | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
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| (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
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By: /s/ Marco Hanig Marco Hanig, Principal Executive Officer March 9, 2015 | | | | |
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.
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By: /s/ Marco Hanig Marco Hanig, Principal Executive Officer March 9, 2015 By: /s/ Heather Bonner Heather Bonner, Principal Financial Officer March 9, 2015 | | | | |
