UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
Two Greenwich Plaza
4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: September 30
Date of reporting period: October 1, 2014 to March 31, 2015
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.)
Semi-Annual Report
March 31, 2015 (Unaudited)
AQR Large Cap Multi-Style Fund
AQR Small Cap Multi-Style Fund
AQR International Multi-Style Fund
AQR Emerging Multi-Style Fund
AQR TM Large Cap Multi-Style Fund
AQR TM Small Cap Multi-Style Fund
AQR TM International Multi-Style Fund
AQR TM Emerging Multi-Style Fund
AQR Large Cap Momentum Style Fund
AQR Small Cap Momentum Style Fund
AQR International Momentum Style Fund
AQR Emerging Momentum Style Fund
AQR TM Large Cap Momentum Style Fund
AQR TM Small Cap Momentum Style Fund
AQR TM International Momentum Style Fund
AQR Large Cap Defensive Style Fund
AQR International Defensive Style Fund
AQR Emerging Defensive Style Fund
AQR Global Equity Fund
AQR International Equity Fund
Schedule of Investments | ||||
2 | ||||
7 | ||||
14 | ||||
19 | ||||
23 | ||||
27 | ||||
32 | ||||
36 | ||||
39 | ||||
45 | ||||
55 | ||||
61 | ||||
65 | ||||
70 | ||||
78 | ||||
83 | ||||
86 | ||||
90 | ||||
93 | ||||
102 | ||||
Financial Statements and Notes | 109 | |||
Fund Expense Examples | 176 | |||
Board Approval of Investment Advisory Agreements | 181 |
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
COMMON STOCKS - 95.6% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 14.2% | ||||||||
Abercrombie & Fitch Co., Class A | 16,300 | $ | 359,252 | |||||
Advance Auto Parts, Inc. | 11,743 | 1,757,810 | ||||||
Apollo Education Group, Inc. † | 17,710 | 335,073 | ||||||
Autoliv, Inc. (Sweden) | 538 | 63,360 | ||||||
AutoZone, Inc. † | 4,647 | 3,169,998 | ||||||
Bed Bath & Beyond, Inc. † | 15,900 | 1,220,723 | ||||||
Best Buy Co., Inc. | 43,300 | 1,636,307 | ||||||
Bloomin’ Brands, Inc. | 7,426 | 180,675 | ||||||
BorgWarner, Inc. | 2,000 | 120,960 | ||||||
Brinker International, Inc. | 14,000 | 861,840 | ||||||
Buckle, Inc./The | 827 | 42,251 | ||||||
Burlington Stores, Inc. † | 22,700 | 1,348,834 | ||||||
Cablevision Systems Corp., Class A | 56,800 | 1,039,440 | ||||||
Columbia Sportswear Co. | 6,200 | 377,580 | ||||||
Comcast Corp., Class A | 28,700 | 1,620,689 | ||||||
Cracker Barrel Old Country Store, Inc. | 8,975 | 1,365,457 | ||||||
CST Brands, Inc. | 6,800 | 298,044 | ||||||
Deckers Outdoor Corp. † | 6,726 | 490,124 | ||||||
DeVry Education Group, Inc. | 10,800 | 360,288 | ||||||
Dillard’s, Inc., Class A | 10,581 | 1,444,412 | ||||||
DISH Network Corp., Class A † | 1,388 | 97,243 | ||||||
Dollar General Corp. † | 24,800 | 1,869,424 | ||||||
Dollar Tree, Inc. † | 28,585 | 2,319,530 | ||||||
Domino’s Pizza, Inc. | 7,500 | 754,125 | ||||||
Expedia, Inc. | 20,200 | 1,901,426 | ||||||
Federal-Mogul Holdings Corp. † | 7,200 | 95,832 | ||||||
Foot Locker, Inc. | 31,885 | 2,008,755 | ||||||
Fossil Group, Inc. † | 1,474 | 121,531 | ||||||
Gannett Co., Inc. | 41,268 | 1,530,218 | ||||||
Gap, Inc./The | 45,600 | 1,975,848 | ||||||
Gentex Corp. | 18,440 | 337,452 | ||||||
Graham Holdings Co., Class B | 871 | 914,228 | ||||||
Guess?, Inc. | 1,083 | 20,133 | ||||||
H&R Block, Inc. | 25,700 | 824,199 | ||||||
Hanesbrands, Inc. | 55,016 | 1,843,586 | ||||||
Harman International Industries, Inc. | 10,400 | 1,389,752 | ||||||
Home Depot, Inc./The | 68,300 | 7,759,563 | ||||||
HSN, Inc. | 7,500 | 511,725 | ||||||
Jack in the Box, Inc. | 3,100 | 297,352 | ||||||
Jarden Corp. † | 2,259 | 119,501 | ||||||
John Wiley & Sons, Inc. | 7,400 | 452,436 | ||||||
Kohl’s Corp. | 31,784 | 2,487,098 | ||||||
L Brands, Inc. | 28,407 | 2,678,496 | ||||||
Lear Corp. | 13,454 | 1,490,972 | ||||||
Leggett & Platt, Inc. | 15,436 | 711,445 | ||||||
Lowe’s Cos., Inc. | 66,500 | 4,946,935 | ||||||
Macy’s, Inc. | 41,766 | 2,711,031 | ||||||
Mohawk Industries, Inc. † | 1,598 | 296,829 | ||||||
Murphy USA, Inc. † | 4,200 | 303,954 | ||||||
Newell Rubbermaid, Inc. | 7,700 | 300,839 | ||||||
NIKE, Inc., Class B | 27,800 | 2,789,174 | ||||||
Nordstrom, Inc. | 24,100 | 1,935,712 | ||||||
NVR, Inc. † | 300 | 398,598 | ||||||
O’Reilly Automotive, Inc. † | 12,500 | 2,703,000 | ||||||
Penske Automotive Group, Inc. | 6,084 | 313,265 | ||||||
Polaris Industries, Inc. | 409 | 57,710 | ||||||
PulteGroup, Inc. | 17,600 | 391,248 | ||||||
Ralph Lauren Corp. | 3,700 | 486,550 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 14.2% (continued) | ||||||||
Ross Stores, Inc. | 24,600 | $ | 2,591,856 | |||||
Royal Caribbean Cruises Ltd. | 22,600 | 1,849,810 | ||||||
Sally Beauty Holdings, Inc. † | 8,500 | 292,145 | ||||||
Signet Jewelers Ltd. | 4,700 | 652,313 | ||||||
Sinclair Broadcast Group, Inc., Class A | 1,283 | 40,299 | ||||||
Skechers U.S.A., Inc., Class A † | 22,100 | 1,589,211 | ||||||
Staples, Inc. | 66,600 | 1,084,581 | ||||||
Target Corp. | 43,400 | 3,561,838 | ||||||
Thor Industries, Inc. | 2,734 | 172,816 | ||||||
Time Warner, Inc. | 17,400 | 1,469,256 | ||||||
Tupperware Brands Corp. | 495 | 34,165 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 6,000 | 905,100 | ||||||
VF Corp. | 2,462 | 185,413 | ||||||
Whirlpool Corp. | 7,955 | 1,607,387 | ||||||
Williams-Sonoma, Inc. | 15,147 | 1,207,367 | ||||||
Wyndham Worldwide Corp. | 3,400 | 307,598 | ||||||
|
| |||||||
87,790,987 | ||||||||
|
| |||||||
Consumer Staples - 8.6% | ||||||||
Altria Group, Inc. | 66,900 | 3,346,338 | ||||||
Archer-Daniels-Midland Co. | 51,144 | 2,424,226 | ||||||
Bunge Ltd. | 10,600 | 873,016 | ||||||
Clorox Co./The | 5,000 | 551,950 | ||||||
Constellation Brands, Inc., Class A † | 3,679 | 427,537 | ||||||
Costco Wholesale Corp. | 7,700 | 1,166,511 | ||||||
Coty, Inc., Class A † | 12,100 | 293,667 | ||||||
CVS Health Corp. | 68,263 | 7,045,424 | ||||||
Dean Foods Co. | 1,045 | 17,274 | ||||||
Dr Pepper Snapple Group, Inc. | 39,300 | 3,084,264 | ||||||
Energizer Holdings, Inc. | 6,908 | 953,649 | ||||||
Ingredion, Inc. | 10,700 | 832,674 | ||||||
Keurig Green Mountain, Inc. | 1,387 | 154,969 | ||||||
Kroger Co./The | 54,548 | 4,181,650 | ||||||
Molson Coors Brewing Co., Class B | 15,000 | 1,116,750 | ||||||
Monster Beverage Corp. † | 14,700 | 2,034,406 | ||||||
PepsiCo, Inc. | 64,200 | 6,138,804 | ||||||
Pilgrim’s Pride Corp. | 54,152 | 1,223,294 | ||||||
Pinnacle Foods, Inc. | 25,700 | 1,048,817 | ||||||
Rite Aid Corp. † | 152,433 | 1,324,643 | ||||||
Spectrum Brands Holdings, Inc. | 7,400 | 662,744 | ||||||
Tyson Foods, Inc., Class A | 34,029 | 1,303,311 | ||||||
Walgreens Boots Alliance, Inc. | 23,348 | 1,977,109 | ||||||
Wal-Mart Stores, Inc. | 132,100 | 10,865,225 | ||||||
WhiteWave Foods Co./The † | 53 | 2,350 | ||||||
|
| |||||||
53,050,602 | ||||||||
|
| |||||||
Energy - 1.6% | ||||||||
Cimarex Energy Co. | 2,962 | 340,896 | ||||||
Exterran Holdings, Inc. | 16,700 | 560,619 | ||||||
Helmerich & Payne, Inc. | 4,395 | 299,168 | ||||||
Marathon Petroleum Corp. | 20,300 | 2,078,517 | ||||||
Newfield Exploration Co. † | 17,000 | 596,530 | ||||||
PBF Energy, Inc., Class A | 11,400 | 386,688 | ||||||
Superior Energy Services, Inc. | 23,612 | 527,492 | ||||||
Tesoro Corp. | 19,800 | 1,807,542 | ||||||
Ultra Petroleum Corp. † | 25,800 | 403,254 | ||||||
Unit Corp. † | 12,400 | 346,952 | ||||||
Valero Energy Corp. | 27,352 | 1,740,134 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
2
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Energy - 1.6% (continued) | ||||||||
Western Refining, Inc. | 13,922 | $ | 687,608 | |||||
|
| |||||||
9,775,400 | ||||||||
|
| |||||||
Financials - 18.7% | ||||||||
Alleghany Corp. † | 2,426 | 1,181,462 | ||||||
Allstate Corp./The | 59,635 | 4,244,223 | ||||||
American Capital Ltd. † | 1,510 | 22,333 | ||||||
American Financial Group, Inc. | 5,897 | 378,293 | ||||||
American International Group, Inc. | 84,578 | 4,634,029 | ||||||
Ameriprise Financial, Inc. | 21,276 | 2,783,752 | ||||||
AmTrust Financial Services, Inc. | 27,679 | 1,577,288 | ||||||
Apartment Investment & Management Co., Class A REIT | 23,900 | 940,704 | ||||||
Arch Capital Group Ltd. † | 14,055 | 865,788 | ||||||
Aspen Insurance Holdings Ltd. | 5,300 | 250,319 | ||||||
Associated Banc-Corp | 8,500 | 158,100 | ||||||
Assurant, Inc. | 10,332 | 634,488 | ||||||
Assured Guaranty Ltd. | 12,441 | 328,318 | ||||||
Bank of New York Mellon Corp./The | 41,229 | 1,659,055 | ||||||
BankUnited, Inc. | 4,500 | 147,330 | ||||||
BB&T Corp. | 16,000 | 623,840 | ||||||
Berkshire Hathaway, Inc., Class B † | 101,600 | 14,662,912 | ||||||
Capital One Financial Corp. | 46,958 | 3,701,230 | ||||||
CBRE Group, Inc., Class A † | 40,500 | 1,567,755 | ||||||
Chubb Corp./The | 29,400 | 2,972,340 | ||||||
Citigroup, Inc. | 40,600 | 2,091,712 | ||||||
CNA Financial Corp. | 9,337 | 386,832 | ||||||
CNO Financial Group, Inc. | 19,541 | 336,496 | ||||||
Comerica, Inc. | 13,445 | 606,773 | ||||||
Discover Financial Services | 37,082 | 2,089,571 | ||||||
E*TRADE Financial Corp. † | 13,806 | 394,230 | ||||||
East West Bancorp, Inc. | 8,096 | 327,564 | ||||||
Everest Re Group Ltd. | 14,988 | 2,607,912 | ||||||
Federated Investors, Inc., Class B | 174 | 5,897 | ||||||
First American Financial Corp. | 21,900 | 781,392 | ||||||
First Niagara Financial Group, Inc. | 4,660 | 41,194 | ||||||
First Republic Bank/CA | 3,900 | 222,651 | ||||||
FirstMerit Corp. | 5,700 | 108,642 | ||||||
FNF Group | 47,708 | 1,753,746 | ||||||
Goldman Sachs Group, Inc./The | 24,987 | 4,696,806 | ||||||
Hancock Holding Co. | 3,700 | 110,482 | ||||||
Hartford Financial Services Group, Inc./The | 37,782 | 1,580,043 | ||||||
HCC Insurance Holdings, Inc. | 7,437 | 421,455 | ||||||
Huntington Bancshares, Inc. | 52,313 | 578,059 | ||||||
Invesco Ltd. | 8,300 | 329,427 | ||||||
Janus Capital Group, Inc. | 17,000 | 292,230 | ||||||
Jones Lang LaSalle, Inc. | 12,200 | 2,078,880 | ||||||
JPMorgan Chase & Co. | 73,169 | 4,432,578 | ||||||
Legg Mason, Inc. | 9,868 | 544,714 | ||||||
Lincoln National Corp. | 42,922 | 2,466,298 | ||||||
McGraw Hill Financial, Inc. | 1,000 | 103,400 | ||||||
Mercury General Corp. | 12,300 | 710,325 | ||||||
MetLife, Inc. | 47,802 | 2,416,391 | ||||||
Morgan Stanley | 110,165 | 3,931,789 | ||||||
NASDAQ OMX Group, Inc./The | 16,912 | 861,497 | ||||||
Navient Corp. | 53,650 | 1,090,704 | ||||||
Old Republic International Corp. | 18,046 | 269,607 |
SHARES | VALUE (Note 4) | |||||||
Financials - 18.7% (continued) | ||||||||
PartnerRe Ltd. | 12,700 | $ | 1,451,991 | |||||
PNC Financial Services Group, Inc./The | 35,911 | 3,348,342 | ||||||
Principal Financial Group, Inc. | 17,794 | 914,078 | ||||||
Progressive Corp./The | 42,800 | 1,164,160 | ||||||
Prosperity Bancshares, Inc. | 1,400 | 73,472 | ||||||
Prudential Financial, Inc. | 18,295 | 1,469,271 | ||||||
Radian Group, Inc. | 40,900 | 686,711 | ||||||
Regions Financial Corp. | 26,600 | 251,370 | ||||||
Reinsurance Group of America, Inc. | 4,644 | 432,774 | ||||||
RenaissanceRe Holdings Ltd. | 4,300 | 428,839 | ||||||
RLJ Lodging Trust REIT | 11,800 | 369,458 | ||||||
StanCorp Financial Group, Inc. | 7,100 | 487,060 | ||||||
State Street Corp. | 12,300 | 904,419 | ||||||
Stifel Financial Corp. † | 5,200 | 289,900 | ||||||
SunTrust Banks, Inc. | 46,259 | 1,900,782 | ||||||
Torchmark Corp. | 6,198 | 340,394 | ||||||
Travelers Cos., Inc./The | 43,755 | 4,731,228 | ||||||
Unum Group | 20,346 | 686,271 | ||||||
Validus Holdings Ltd. | 17,300 | 728,330 | ||||||
Webster Financial Corp. | 9,100 | 337,155 | ||||||
Wells Fargo & Co. | 205,863 | 11,198,947 | ||||||
WR Berkley Corp. | 26,000 | 1,313,260 | ||||||
Zions Bancorp. | 1,434 | 38,718 | ||||||
|
| |||||||
115,549,786 | ||||||||
|
| |||||||
Health Care - 12.9% | ||||||||
AbbVie, Inc. | 62,603 | 3,664,780 | ||||||
Aetna, Inc. | 32,159 | 3,425,898 | ||||||
Agilent Technologies, Inc. | 1,500 | 62,325 | ||||||
Alere, Inc. † | 7,036 | 344,060 | ||||||
Alexion Pharmaceuticals, Inc. † | 7,600 | 1,317,080 | ||||||
Align Technology, Inc. † | 1,700 | 91,434 | ||||||
AmerisourceBergen Corp. | 7,400 | 841,158 | ||||||
Amgen, Inc. | 38,500 | 6,154,225 | ||||||
Anthem, Inc. | 27,150 | 4,192,232 | ||||||
Becton Dickinson and Co. | 12,500 | 1,794,875 | ||||||
Biogen, Inc. † | 1,200 | 506,688 | ||||||
Boston Scientific Corp. † | 6,640 | 117,860 | ||||||
Cardinal Health, Inc. | 18,135 | 1,637,046 | ||||||
Celgene Corp. † | 21,900 | 2,524,632 | ||||||
Centene Corp. † | 29,618 | 2,093,696 | ||||||
Cigna Corp. | 8,800 | 1,139,072 | ||||||
CR Bard, Inc. | 6,500 | 1,087,775 | ||||||
DaVita HealthCare Partners, Inc. † | 4,500 | 365,760 | ||||||
Edwards Lifesciences Corp. † | 16,000 | 2,279,360 | ||||||
Eli Lilly & Co. | 43,600 | 3,167,540 | ||||||
Endo International PLC (Ireland) † | 482 | 43,235 | ||||||
Gilead Sciences, Inc. † | 69,838 | 6,853,203 | ||||||
HCA Holdings, Inc. † | 39,088 | 2,940,590 | ||||||
Health Net, Inc. † | 14,900 | 901,301 | ||||||
Humana, Inc. | 16,629 | 2,960,295 | ||||||
IDEXX Laboratories, Inc. † | 3,300 | 509,784 | ||||||
Illumina, Inc. † | 4,700 | 872,508 | ||||||
Johnson & Johnson | 89,700 | 9,023,820 | ||||||
Laboratory Corp of America Holdings † | 4,100 | 516,969 | ||||||
LifePoint Hospitals, Inc. † | 6,700 | 492,115 | ||||||
McKesson Corp. | 1,300 | 294,060 | ||||||
Medtronic PLC (Ireland) | 20,400 | 1,590,996 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
3
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 12.9% (continued) | ||||||||
Merck & Co., Inc. | 23,300 | $ | 1,339,284 | |||||
Omnicare, Inc. | 1,193 | 91,933 | ||||||
Quest Diagnostics, Inc. | 15,400 | 1,183,490 | ||||||
Quintiles Transnational Holdings, Inc. † | 14,700 | 984,459 | ||||||
ResMed, Inc. | 4,200 | 301,476 | ||||||
Team Health Holdings, Inc. † | 11,700 | 684,567 | ||||||
United Therapeutics Corp. † | 6,344 | 1,093,928 | ||||||
UnitedHealth Group, Inc. | 53,815 | 6,365,776 | ||||||
Universal Health Services, Inc., Class B | 13,062 | 1,537,528 | ||||||
VCA, Inc. † | 10,800 | 592,056 | ||||||
WellCare Health Plans, Inc. † | 2,488 | 227,552 | ||||||
West Pharmaceutical Services, Inc. | 312 | 18,786 | ||||||
Zimmer Holdings, Inc. | 13,678 | 1,607,439 | ||||||
Zoetis, Inc. | 6,300 | 291,627 | ||||||
|
| |||||||
80,126,273 | ||||||||
|
| |||||||
Industrials - 10.8% | ||||||||
3M Co. | 21,400 | 3,529,930 | ||||||
Acuity Brands, Inc. | 900 | 151,344 | ||||||
ADT Corp./The | 7,200 | 298,944 | ||||||
AGCO Corp. | 1,852 | 88,229 | ||||||
Air Lease Corp. | 10,700 | 403,818 | ||||||
Alaska Air Group, Inc. | 28,624 | 1,894,336 | ||||||
AMERCO | 1,197 | 395,489 | ||||||
American Airlines Group, Inc. | 47,800 | 2,522,884 | ||||||
Avis Budget Group, Inc. † | 19,441 | 1,147,311 | ||||||
Boeing Co./The | 2,000 | 300,160 | ||||||
Caterpillar, Inc. | 10,900 | 872,327 | ||||||
CH Robinson Worldwide, Inc. | 4,400 | 322,168 | ||||||
Cintas Corp. | 22,462 | 1,833,573 | ||||||
Civeo Corp. | 2,286 | 5,806 | ||||||
CSX Corp. | 37,600 | 1,245,312 | ||||||
Cummins, Inc. | 6,606 | 915,856 | ||||||
Curtiss-Wright Corp. | 4,200 | 310,548 | ||||||
Delta Air Lines, Inc. | 69,517 | 3,125,484 | ||||||
Deluxe Corp. | 10,616 | 735,477 | ||||||
EMCOR Group, Inc. | 734 | 34,109 | ||||||
EnerSys | 4,379 | 281,307 | ||||||
Esterline Technologies Corp. † | 2,441 | 279,299 | ||||||
FedEx Corp. | 22,798 | 3,771,929 | ||||||
Fluor Corp. | 4,600 | 262,936 | ||||||
GATX Corp. | 7,400 | 429,052 | ||||||
General Dynamics Corp. | 25,993 | 3,528,030 | ||||||
Huntington Ingalls Industries, Inc. | 3,388 | 474,828 | ||||||
IDEX Corp. | 2,700 | 204,741 | ||||||
ITT Corp. | 6,496 | 259,255 | ||||||
JetBlue Airways Corp. † | 115,200 | 2,217,600 | ||||||
Joy Global, Inc. | 5,900 | 231,162 | ||||||
L-3 Communications Holdings, Inc. | 6,530 | 821,409 | ||||||
Lincoln Electric Holdings, Inc. | 2,501 | 163,540 | ||||||
Lockheed Martin Corp. | 20,006 | 4,060,418 | ||||||
Macquarie Infrastructure Co. LLC | 6,200 | 510,198 | ||||||
Moog, Inc., Class A † | 4,500 | 337,725 | ||||||
Norfolk Southern Corp. | 16,300 | 1,677,596 | ||||||
Northrop Grumman Corp. | 24,281 | 3,908,270 | ||||||
Orbital ATK, Inc. | 2,578 | 197,552 | ||||||
Oshkosh Corp. | 5,997 | 292,594 | ||||||
Pitney Bowes, Inc. | 14,139 | 329,722 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 10.8% (continued) | ||||||||
Raytheon Co. | 20,989 | $ | 2,293,048 | |||||
Robert Half International, Inc. | 15,700 | 950,164 | ||||||
Ryder System, Inc. | 7,489 | 710,631 | ||||||
Snap-on, Inc. | 7,622 | 1,120,891 | ||||||
Southwest Airlines Co. | 66,010 | 2,924,243 | ||||||
Spirit AeroSystems Holdings, Inc., Class A † | 10,037 | 524,032 | ||||||
Spirit Airlines, Inc. † | 8,796 | 680,459 | ||||||
Stanley Black & Decker, Inc. | 17,100 | 1,630,656 | ||||||
Terex Corp. | 900 | 23,931 | ||||||
Textron, Inc. | 24,900 | 1,103,817 | ||||||
Toro Co./The | 3,700 | 259,444 | ||||||
Towers Watson & Co., Class A | 500 | 66,093 | ||||||
Trinity Industries, Inc. | 21,126 | 750,184 | ||||||
Triumph Group, Inc. | 183 | 10,929 | ||||||
Union Pacific Corp. | 40,600 | 4,397,386 | �� | |||||
United Continental Holdings, Inc. † | 33,600 | 2,259,600 | ||||||
United Rentals, Inc. † | 15,908 | 1,450,173 | ||||||
Valmont Industries, Inc. | 109 | 13,394 | ||||||
WABCO Holdings, Inc. † | 3,180 | 390,758 | ||||||
Waste Management, Inc. | 12,200 | 661,606 | ||||||
WW Grainger, Inc. | 300 | 70,743 | ||||||
|
| |||||||
66,664,450 | ||||||||
|
| |||||||
Information Technology - 21.6% | ||||||||
Activision Blizzard, Inc. | 90,943 | 2,066,680 | ||||||
Amdocs Ltd. | 13,272 | 721,997 | ||||||
Anixter International, Inc. † | 3,100 | 236,003 | ||||||
Apple, Inc. | 243,900 | 30,348,477 | ||||||
Applied Materials, Inc. | 119,300 | 2,691,408 | ||||||
ARRIS Group, Inc. † | 25,100 | 725,264 | ||||||
Arrow Electronics, Inc. † | 6,075 | 371,486 | ||||||
Atmel Corp. | 58,966 | 485,290 | ||||||
Avnet, Inc. | 6,165 | 274,342 | ||||||
Booz Allen Hamilton Holding Corp. | 23,300 | 674,302 | ||||||
Broadcom Corp., Class A | 60,700 | 2,628,007 | ||||||
Broadridge Financial Solutions, Inc. | 11,500 | 632,615 | ||||||
Brocade Communications Systems, Inc. | 78,563 | 932,150 | ||||||
Cadence Design Systems, Inc. † | 36,000 | 663,840 | ||||||
Cavium, Inc. † | 4,300 | 304,526 | ||||||
CDW Corp. | 17,000 | 633,080 | ||||||
Cisco Systems, Inc. | 253,200 | 6,969,330 | ||||||
Cognizant Technology Solutions Corp., Class A † | 17,000 | 1,060,630 | ||||||
Computer Sciences Corp. | 10,732 | 700,585 | ||||||
Corning, Inc. | 109,213 | 2,476,951 | ||||||
Dolby Laboratories, Inc., Class A | 9,300 | 354,888 | ||||||
DST Systems, Inc. | 2,500 | 276,775 | ||||||
Electronic Arts, Inc. † | 46,480 | 2,733,721 | ||||||
EMC Corp. | 135,500 | 3,463,380 | ||||||
F5 Networks, Inc. † | 9,100 | 1,045,954 | ||||||
Facebook, Inc., Class A † | 4,000 | 328,860 | ||||||
FactSet Research Systems, Inc. | 1,900 | 302,480 | ||||||
Fiserv, Inc. † | 17,600 | 1,397,440 | ||||||
FLIR Systems, Inc. | 2,138 | 66,877 | ||||||
Global Payments, Inc. | 5,900 | 540,912 | ||||||
Harris Corp. | 5,073 | 399,549 | ||||||
Hewlett-Packard Co. | 112,007 | 3,490,138 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
4
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 21.6% (continued) | ||||||||
IAC/InterActiveCorp | 9,754 | $ | 658,102 | |||||
Ingram Micro, Inc., Class A † | 12,266 | 308,122 | ||||||
Intel Corp. | 249,488 | 7,801,490 | ||||||
Juniper Networks, Inc. | 47,500 | 1,072,550 | ||||||
KLA-Tencor Corp. | 14,260 | 831,215 | ||||||
Knowles Corp. † | 1,135 | 21,871 | ||||||
Lam Research Corp. | 23,956 | 1,682,550 | ||||||
Lexmark International, Inc., Class A | 7,700 | 326,018 | ||||||
Manhattan Associates, Inc. † | 2,700 | 136,647 | ||||||
Marvell Technology Group Ltd. | 93,056 | 1,367,923 | ||||||
Mentor Graphics Corp. | 3,560 | 85,547 | ||||||
Microchip Technology, Inc. | 11,100 | 542,790 | ||||||
Micron Technology, Inc. † | 96,617 | 2,621,219 | ||||||
Microsoft Corp. | 353,689 | 14,379,226 | ||||||
NCR Corp. † | 1,808 | 53,354 | ||||||
NetApp, Inc. | 37,677 | 1,336,026 | ||||||
NVIDIA Corp. | 75,883 | 1,587,852 | ||||||
ON Semiconductor Corp. † | 94,400 | 1,143,184 | ||||||
Oracle Corp. | 176,364 | 7,610,107 | ||||||
Qorvo, Inc. † | 22,525 | 1,795,243 | ||||||
Rovi Corp. † | 2,459 | 44,778 | ||||||
SanDisk Corp. | 27,972 | 1,779,579 | ||||||
Skyworks Solutions, Inc. | 31,642 | 3,110,092 | ||||||
Symantec Corp. | 64,600 | 1,509,379 | ||||||
Synopsys, Inc. † | 6,400 | 296,448 | ||||||
Syntel, Inc. † | 5,200 | 268,996 | ||||||
Teradyne, Inc. | 15,700 | 295,945 | ||||||
Texas Instruments, Inc. | 65,400 | 3,739,899 | ||||||
Total System Services, Inc. | 11,400 | 434,910 | ||||||
Ubiquiti Networks, Inc. | 6,509 | 192,341 | ||||||
VeriFone Systems, Inc. † | 14,000 | 488,460 | ||||||
VeriSign, Inc. † | 4,500 | 301,365 | ||||||
Western Digital Corp. | 26,891 | 2,447,350 | ||||||
Western Union Co./The | 32,100 | 668,001 | ||||||
Xerox Corp. | 144,023 | 1,850,696 | ||||||
Xilinx, Inc. | 2,700 | 114,210 | ||||||
Zebra Technologies Corp., Class A † | 11,700 | 1,061,366 | ||||||
|
| |||||||
133,962,788 | ||||||||
|
| |||||||
Materials - 2.4% | ||||||||
Alcoa, Inc. | 130,300 | 1,683,476 | ||||||
Ball Corp. | 16,900 | 1,193,816 | ||||||
Berry Plastics Group, Inc. † | 14,900 | 539,231 | ||||||
Cabot Corp. | 16,100 | 724,500 | ||||||
Celanese Corp., Series A | 8,100 | 452,466 | ||||||
CF Industries Holdings, Inc. | 4,231 | 1,200,250 | ||||||
Dow Chemical Co./The | 28,172 | 1,351,692 | ||||||
Graphic Packaging Holding Co. | 48,900 | 711,006 | ||||||
Huntsman Corp. | 18,700 | 414,579 | ||||||
KapStone Paper and Packaging Corp. | 8,900 | 292,276 | ||||||
Packaging Corp. of America | 12,880 | 1,007,087 | ||||||
PPG Industries, Inc. | 2,568 | 579,187 | ||||||
Reliance Steel & Aluminum Co. | 782 | 47,765 | ||||||
Rock-Tenn Co., Class A | 13,900 | 896,550 | ||||||
Scotts Miracle-Gro Co./The, Class A | 1,900 | 127,623 | ||||||
Sealed Air Corp. | 4,798 | 218,597 | ||||||
Sherwin-Williams Co./The | 4,500 | 1,280,250 | ||||||
Sonoco Products Co. | 3,000 | 136,380 |
SHARES | VALUE (Note 4) | |||||||
Materials - 2.4% (continued) | ||||||||
Steel Dynamics, Inc. | 19,600 | $ | 393,960 | |||||
United States Steel Corp. | 25,900 | 631,960 | ||||||
Valspar Corp./The | 188 | 15,798 | ||||||
Westlake Chemical Corp. | 11,690 | 840,979 | ||||||
Worthington Industries, Inc. | 2,400 | 63,864 | ||||||
WR Grace & Co. † | 428 | 42,316 | ||||||
|
| |||||||
14,845,608 | ||||||||
|
| |||||||
Telecommunication Services - 0.6% | ||||||||
AT&T, Inc. | 51,300 | 1,674,945 | ||||||
CenturyLink, Inc. | 47,800 | 1,651,490 | ||||||
Frontier Communications Corp. | 44,600 | 314,430 | ||||||
Telephone & Data Systems, Inc. | 7,148 | 177,985 | ||||||
|
| |||||||
3,818,850 | ||||||||
|
| |||||||
Utilities - 4.2% | ||||||||
AGL Resources, Inc. | 7,500 | 372,375 | ||||||
Alliant Energy Corp. | 5,900 | 371,700 | ||||||
American Electric Power Co., Inc. | 56,400 | 3,172,500 | ||||||
CMS Energy Corp. | 32,100 | 1,120,611 | ||||||
Consolidated Edison, Inc. | 34,600 | 2,110,600 | ||||||
DTE Energy Co. | 20,600 | 1,662,214 | ||||||
Duke Energy Corp. | 12,200 | 936,716 | ||||||
Edison International | 41,700 | 2,604,999 | ||||||
Entergy Corp. | 25,800 | 1,999,242 | ||||||
Exelon Corp. | 63,200 | 2,124,152 | ||||||
FirstEnergy Corp. | 10,700 | 375,142 | ||||||
PG&E Corp. | 51,400 | 2,727,798 | ||||||
Pinnacle West Capital Corp. | 11,200 | 714,000 | ||||||
PPL Corp. | 13,100 | 440,946 | ||||||
Public Service Enterprise Group, Inc. | 53,400 | 2,238,528 | ||||||
SCANA Corp. | 13,100 | 720,369 | ||||||
Westar Energy, Inc. | 14,500 | 562,020 | ||||||
Xcel Energy, Inc. | 48,700 | 1,695,247 | ||||||
|
| |||||||
25,949,159 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 591,533,903 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 3.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | ||||||||
(cost $24,247,718) | 24,247,718 | 24,247,718 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 615,781,621 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% (b) | 3,052,044 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 618,833,665 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | Includes appreciation/(depreciation) on futures contracts. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
5
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
186 | Goldman Sachs | S&P 500 E-Mini Futures | 6/2015 | $ | 19,296,603 | $ | 19,165,440 | $ | (131,163 | ) | ||||||||
|
|
|
|
|
|
Cash held as collateral at Goldman Sachs for futures contracts was $696,255 at March 31, 2015.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
6
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
COMMON STOCKS - 96.9% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 21.0% | ||||||||
1-800-Flowers.com, Inc., Class A † | 6,377 | $ | 75,440 | |||||
A. H. Belo Corp., Class A | 1,900 | 15,637 | ||||||
Aaron’s, Inc. | 1,100 | 31,141 | ||||||
Abercrombie & Fitch Co., Class A (a) | 2,400 | 52,896 | ||||||
AMC Entertainment Holdings, Inc., Class A | 1,600 | 56,784 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 3,294 | 85,084 | ||||||
American Eagle Outfitters, Inc. | 1,500 | 25,620 | ||||||
American Public Education, Inc. † | 400 | 11,992 | ||||||
America’s Car-Mart, Inc. † | 900 | 48,825 | ||||||
ANN, Inc. † | 1,979 | 81,198 | ||||||
Asbury Automotive Group, Inc. †(a) | 1,432 | 118,999 | ||||||
Barnes & Noble, Inc. † | 3,300 | 78,375 | ||||||
Bassett Furniture Industries, Inc. | 600 | 17,112 | ||||||
Big Lots, Inc. | 2,544 | 122,188 | ||||||
Bridgepoint Education, Inc. † | 382 | 3,686 | ||||||
Brown Shoe Co., Inc. (a) | 2,555 | 83,804 | ||||||
Buckle, Inc./The | 2,100 | 107,289 | ||||||
Build-A-Bear Workshop, Inc. † | 2,700 | 53,055 | ||||||
Burlington Stores, Inc. † | 200 | 11,884 | ||||||
Callaway Golf Co. | 740 | 7,052 | ||||||
Capella Education Co. | 665 | 43,145 | ||||||
Career Education Corp. † | 2,600 | 13,078 | ||||||
Cato Corp./The, Class A | 1,739 | 68,864 | ||||||
Cavco Industries, Inc. †(a) | 100 | 7,506 | ||||||
Century Casinos, Inc. † | 1,689 | 9,205 | ||||||
Chegg, Inc. † | 2,000 | 15,900 | ||||||
Chico’s FAS, Inc. | 2,800 | 49,532 | ||||||
Children’s Place, Inc./The (a) | 1,417 | 90,957 | ||||||
Christopher & Banks Corp. † | 3,128 | 17,392 | ||||||
Cinedigm Corp., Class A †(a) | 2,500 | 4,050 | ||||||
Citi Trends, Inc. † | 1,962 | 52,974 | ||||||
Collectors Universe, Inc. | 1,200 | 27,072 | ||||||
Columbia Sportswear Co. | 300 | 18,270 | ||||||
Cooper Tire & Rubber Co. | 3,000 | 128,520 | ||||||
Cooper-Standard Holding, Inc. † | 700 | 41,440 | ||||||
Core-Mark Holding Co., Inc. | 1,228 | 78,985 | ||||||
Cracker Barrel Old Country Store, Inc. | 44 | 6,694 | ||||||
Crocs, Inc. †(a) | 1,200 | 14,172 | ||||||
Culp, Inc. | 400 | 10,700 | ||||||
Deckers Outdoor Corp. † | 200 | 14,574 | ||||||
Denny’s Corp. † | 4,499 | 51,289 | ||||||
Destination XL Group, Inc. † | 934 | 4,614 | ||||||
DeVry Education Group, Inc. | 407 | 13,577 | ||||||
Dex Media, Inc. † | 1,600 | 6,704 | ||||||
Diamond Resorts International, Inc. † | 3,000 | 100,290 | ||||||
Drew Industries, Inc. | 266 | 16,370 | ||||||
Entercom Communications Corp., Class A † | 2,258 | 27,435 | ||||||
Entravision Communications Corp., Class A | 913 | 5,779 | ||||||
Ethan Allen Interiors, Inc. | 1,500 | 41,460 | ||||||
EW Scripps Co./The, Class A † | 121 | 3,441 | ||||||
Famous Dave’s of America, Inc. † | 1,000 | 28,500 | ||||||
Federal-Mogul Holdings Corp. † | 800 | 10,648 | ||||||
Finish Line, Inc./The, Class A | 2,609 | 63,973 | ||||||
Flexsteel Industries, Inc. | 600 | 18,774 | ||||||
Fred’s, Inc., Class A | 730 | 12,476 | ||||||
FTD Cos., Inc. † | 213 | 6,377 | ||||||
Genesco, Inc. † | 960 | 68,381 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 21.0% (continued) | ||||||||
Gentherm, Inc. †(a) | 1,500 | $ | 75,765 | |||||
G-III Apparel Group Ltd. † | 837 | 94,288 | ||||||
Grand Canyon Education, Inc. † | 524 | 22,689 | ||||||
Gray Television, Inc. † | 254 | 3,510 | ||||||
Group 1 Automotive, Inc. | 1,131 | 97,639 | ||||||
Guess?, Inc. | 300 | 5,577 | ||||||
Haverty Furniture Cos., Inc. | 1,143 | 28,438 | ||||||
Helen of Troy Ltd. † | 1,200 | 97,788 | ||||||
Hooker Furniture Corp. | 700 | 13,335 | ||||||
Houghton Mifflin Harcourt Co. † | 3,700 | 86,876 | ||||||
Iconix Brand Group, Inc. † | 498 | 16,768 | ||||||
iRobot Corp. † | 100 | 3,263 | ||||||
Isle of Capri Casinos, Inc. † | 2,200 | 30,910 | ||||||
Jack in the Box, Inc. | 600 | 57,552 | ||||||
JAKKS Pacific, Inc. †(a) | 2,200 | 15,048 | ||||||
JC Penney Co., Inc. †(a) | 12,400 | 104,284 | ||||||
Kirkland’s, Inc. † | 1,627 | 38,641 | ||||||
Lakeland Industries, Inc. †(a) | 3,400 | 30,430 | ||||||
Lands’ End, Inc. † | 400 | 14,352 | ||||||
La-Z-Boy, Inc. | 255 | 7,168 | ||||||
Lee Enterprises, Inc. †(a) | 3,380 | 10,715 | ||||||
Libbey, Inc. | 1,600 | 63,856 | ||||||
Liberty Tax, Inc. †(a) | 400 | 11,132 | ||||||
LifeLock, Inc. † | 300 | 4,233 | ||||||
Lifetime Brands, Inc. | 600 | 9,168 | ||||||
Lithia Motors, Inc., Class A (a) | 826 | 82,113 | ||||||
Marcus Corp./The | 800 | 17,032 | ||||||
Marriott Vacations Worldwide Corp. | 1,400 | 113,470 | ||||||
Martha Stewart Living Omnimedia, Inc., Class A † | 1,900 | 12,350 | ||||||
Mattress Firm Holding Corp. † | 500 | 34,820 | ||||||
McClatchy Co./The, Class A † | 10,290 | 18,934 | ||||||
MDC Partners, Inc., Class A | 485 | 13,750 | ||||||
Men’s Wearhouse, Inc./The | 300 | 15,660 | ||||||
Meredith Corp. | 1,650 | 92,020 | ||||||
Modine Manufacturing Co. † | 1,580 | 21,283 | ||||||
Monarch Casino & Resort, Inc. † | 649 | 12,422 | ||||||
Motorcar Parts of America, Inc. † | 991 | 27,540 | ||||||
Movado Group, Inc. | 1,092 | 31,144 | ||||||
Murphy USA, Inc. † | 1,000 | 72,370 | ||||||
NACCO Industries, Inc., Class A | 85 | 4,504 | ||||||
Nathan’s Famous, Inc. | 500 | 27,075 | ||||||
Nautilus, Inc. † | 3,311 | 50,559 | ||||||
New Media Investment Group, Inc. | 1,300 | 31,109 | ||||||
New York Times Co./The, Class A | 260 | 3,578 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 346 | 19,798 | ||||||
Nutrisystem, Inc. | 1,806 | 36,084 | ||||||
Outerwall, Inc. | 1,058 | 69,955 | ||||||
Overstock.com, Inc. † | 1,900 | 46,018 | ||||||
Papa John’s International, Inc. | 200 | 12,362 | ||||||
Penn National Gaming, Inc. †(a) | 3,100 | 48,546 | ||||||
Perry Ellis International, Inc. † | 2,000 | 46,320 | ||||||
PetMed Express, Inc. | 2,000 | 33,040 | ||||||
Popeyes Louisiana Kitchen, Inc. † | 1,100 | 65,802 | ||||||
RCI Hospitality Holdings, Inc. † | 277 | 2,884 | ||||||
Reading International, Inc. † | 1,700 | 22,865 | ||||||
Regis Corp. † | 3,000 | 49,080 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
7
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 21.0% (continued) | ||||||||
Rent-A-Center, Inc. | 2,400 | $ | 65,856 | |||||
Ruby Tuesday, Inc. †(a) | 6,300 | 37,863 | ||||||
Scholastic Corp. | 1,548 | 63,375 | ||||||
Select Comfort Corp. † | 2,700 | 93,069 | ||||||
Shiloh Industries, Inc. †(a) | 786 | 11,035 | ||||||
Shoe Carnival, Inc. | 536 | 15,780 | ||||||
Shutterfly, Inc. † | 300 | 13,572 | ||||||
Skechers U.S.A., Inc., Class A † | 262 | 18,840 | ||||||
Skullcandy, Inc. † | 2,300 | 25,990 | ||||||
Smith & Wesson Holding Corp. †(a) | 2,229 | 28,375 | ||||||
Sonic Automotive, Inc., Class A | 2,500 | 62,250 | ||||||
Sonic Corp. | 404 | 12,807 | ||||||
Speedway Motorsports, Inc. | 2,200 | 50,050 | ||||||
Stage Stores, Inc. | 2,100 | 48,132 | ||||||
Standard Motor Products, Inc. | 1,011 | 42,725 | ||||||
Stein Mart, Inc. (a) | 2,700 | 33,615 | ||||||
Steven Madden Ltd. † | 400 | 15,200 | ||||||
Stoneridge, Inc. † | 1,200 | 13,548 | ||||||
Strattec Security Corp. (a) | 500 | 36,920 | ||||||
Strayer Education, Inc. † | 946 | 50,526 | ||||||
Superior Industries International, Inc. | 254 | 4,808 | ||||||
Superior Uniform Group, Inc. | 700 | 13,279 | ||||||
Texas Roadhouse, Inc. | 300 | 10,929 | ||||||
Tilly’s, Inc., A Shares † | 1,800 | 28,170 | ||||||
Tower International, Inc. † | 1,426 | 37,932 | ||||||
Tuesday Morning Corp. † | 1,067 | 17,179 | ||||||
Unifi, Inc. † | 881 | 31,795 | ||||||
Universal Electronics, Inc. † | 859 | 48,482 | ||||||
Vera Bradley, Inc. †(a) | 900 | 14,607 | ||||||
Weight Watchers International, Inc. †(a) | 3,100 | 21,669 | ||||||
ZAGG, Inc. † | 5,800 | 50,286 | ||||||
Zumiez, Inc. † | 1,837 | 73,939 | ||||||
|
| |||||||
5,451,694 | ||||||||
|
| |||||||
Consumer Staples - 5.3% | ||||||||
Andersons, Inc./The | 400 | 16,548 | ||||||
Calavo Growers, Inc. | 200 | 10,284 | ||||||
Cal-Maine Foods, Inc. (a) | 2,400 | 93,744 | ||||||
Central Garden and Pet Co., Class A † | 3,900 | 41,418 | ||||||
Coca-Cola Bottling Co. Consolidated | 300 | 33,918 | ||||||
Dean Foods Co. | 2,200 | 36,366 | ||||||
Farmer Bros Co. † | 1,125 | 27,844 | ||||||
Female Health Co./The (a) | 431 | 1,220 | ||||||
Fresh Del Monte Produce, Inc. (a) | 2,900 | 112,839 | ||||||
Fresh Market, Inc./The † | 300 | 12,192 | ||||||
HRG Group, Inc. † | 5,981 | 74,643 | ||||||
Ingles Markets, Inc., Class A | 1,800 | 89,064 | ||||||
Inter Parfums, Inc. (a) | 170 | 5,545 | ||||||
J&J Snack Foods Corp. (a) | 500 | 53,350 | ||||||
John B. Sanfilippo & Son, Inc. | 1,231 | 53,056 | ||||||
Liberator Medical Holdings, Inc. (a) | 1,800 | 6,300 | ||||||
Medifast, Inc. † | 1,238 | 37,103 | ||||||
MGP Ingredients, Inc. | 1,700 | 22,882 | ||||||
Nutraceutical International Corp. † | 400 | 7,880 | ||||||
Omega Protein Corp. † | 2,237 | 30,624 | ||||||
Orchids Paper Products Co. | 300 | 8,088 | ||||||
Revlon, Inc., Class A † | 1,900 | 78,280 | ||||||
Sanderson Farms, Inc. (a) | 1,361 | 108,404 |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 5.3% (continued) | ||||||||
SpartanNash Co. | 2,248 | $ | 70,947 | |||||
SUPERVALU, Inc. † | 11,507 | 133,826 | ||||||
USANA Health Sciences, Inc. † | 757 | 84,118 | ||||||
Vector Group Ltd. | 5,100 | 112,047 | ||||||
Weis Markets, Inc. | 596 | 29,657 | ||||||
|
| |||||||
1,392,187 | ||||||||
|
| |||||||
Energy - 2.0% | ||||||||
Abraxas Petroleum Corp. † | 3,986 | 12,955 | ||||||
Adams Resources & Energy, Inc. | 100 | 6,721 | ||||||
Aemetis, Inc. †(a) | 1,400 | 5,908 | ||||||
Alon USA Energy, Inc. | 1,900 | 31,483 | ||||||
Callon Petroleum Co. † | 800 | 5,976 | ||||||
Contango Oil & Gas Co. † | 100 | 2,200 | ||||||
Delek US Holdings, Inc. | 1,300 | 51,675 | ||||||
Forum Energy Technologies, Inc. † | 1,000 | 19,600 | ||||||
Green Plains, Inc. | 2,386 | 68,120 | ||||||
Helix Energy Solutions Group, Inc. † | 2,500 | 37,400 | ||||||
ION Geophysical Corp. † | 7,700 | 16,709 | ||||||
Matrix Service Co. † | 1,031 | 18,104 | ||||||
Natural Gas Services Group, Inc. † | 200 | 3,844 | ||||||
Newpark Resources, Inc. † | 1,700 | 15,487 | ||||||
Panhandle Oil and Gas, Inc., Class A | 1,300 | 25,727 | ||||||
PBF Energy, Inc., Class A | 400 | 13,568 | ||||||
PetroQuest Energy, Inc. † | 5,100 | 11,730 | ||||||
PHI, Inc. † | 400 | 12,032 | ||||||
Pioneer Energy Services Corp. † | 1,000 | 5,420 | ||||||
Renewable Energy Group, Inc. † | 429 | 3,956 | ||||||
REX American Resources Corp. †(a) | 901 | 54,790 | ||||||
Teekay Tankers Ltd., Class A | 5,300 | 30,422 | ||||||
Tesco Corp. | 1,071 | 12,177 | ||||||
VAALCO Energy, Inc. † | 5,500 | 13,475 | ||||||
Vertex Energy, Inc. †(a) | 5,300 | 19,610 | ||||||
Westmoreland Coal Co. † | 900 | 24,084 | ||||||
Willbros Group, Inc. † | 900 | 2,979 | ||||||
|
| |||||||
526,152 | ||||||||
|
| |||||||
Financials - 18.8% | ||||||||
1st Source Corp. | 498 | 16,001 | ||||||
Ambac Financial Group, Inc. † | 2,100 | 50,820 | ||||||
American Equity Investment Life Holding Co. | 3,274 | 95,372 | ||||||
Ameris Bancorp | 517 | 13,644 | ||||||
AMERISAFE, Inc. | 600 | 27,750 | ||||||
Apollo Investment Corp. | 12,000 | 92,100 | ||||||
Argo Group International Holdings Ltd. | 1,557 | 78,083 | ||||||
Arlington Asset Investment Corp., Class A (a) | 2,100 | 50,526 | ||||||
Ashford Hospitality Trust, Inc. REIT | 4,646 | 44,694 | ||||||
Ashford, Inc. † | 43 | 5,107 | ||||||
Aspen Insurance Holdings Ltd. | 2,800 | 132,244 | ||||||
Associated Banc-Corp (a) | 1,500 | 27,900 | ||||||
Associated Estates Realty Corp. REIT | 2,200 | 54,296 | ||||||
Astoria Financial Corp. | 400 | 5,180 | ||||||
Atlas Financial Holdings, Inc. †(a) | 1,200 | 21,204 | ||||||
BancFirst Corp. | 300 | 18,294 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 1,416 | 46,431 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
8
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 18.8% (continued) | ||||||||
Banner Corp. | 300 | $ | 13,770 | |||||
BGC Partners, Inc., Class A | 7,677 | 72,548 | ||||||
BlackRock Capital Investment Corp. | 4,200 | 38,052 | ||||||
BNC Bancorp | 1,200 | 21,720 | ||||||
BofI Holding, Inc. † | 149 | 13,863 | ||||||
Boston Private Financial Holdings, Inc. | 900 | 10,935 | ||||||
Bryn Mawr Bank Corp. | 600 | 18,246 | ||||||
Capital Southwest Corp. (a) | 900 | 41,778 | ||||||
Chatham Lodging Trust REIT | 1,000 | 29,410 | ||||||
Chemical Financial Corp. | 278 | 8,718 | ||||||
City Holding Co. | 300 | 14,109 | ||||||
CoBiz Financial, Inc. | 404 | 4,977 | ||||||
Community Trust Bancorp, Inc. | 367 | 12,170 | ||||||
ConnectOne Bancorp, Inc. | 1,000 | 19,460 | ||||||
Cowen Group, Inc., Class A †(a) | 8,405 | 43,706 | ||||||
Credit Acceptance Corp. † | 190 | 37,050 | ||||||
Customers Bancorp, Inc. † | 1,320 | 32,155 | ||||||
Eagle Bancorp, Inc. † | 520 | 19,968 | ||||||
EMC Insurance Group, Inc. | 425 | 14,365 | ||||||
Employers Holdings, Inc. | 600 | 16,194 | ||||||
Encore Capital Group, Inc. †(a) | 600 | 24,954 | ||||||
Endurance Specialty Holdings Ltd. | 2,476 | 151,383 | ||||||
Enterprise Financial Services Corp. | 706 | 14,586 | ||||||
EverBank Financial Corp. | 3,222 | 58,093 | ||||||
FBL Financial Group, Inc., Class A | 1,351 | 83,775 | ||||||
FBR & Co. † | 669 | 15,461 | ||||||
Federal Agricultural Mortgage Corp., Class C | 448 | 12,629 | ||||||
Federated National Holding Co. (a) | 1,900 | 58,140 | ||||||
FelCor Lodging Trust, Inc. REIT | 1,700 | 19,533 | ||||||
Fidelity Southern Corp. | 625 | 10,550 | ||||||
Fifth Street Finance Corp. | 3,000 | 21,900 | ||||||
Financial Institutions, Inc. | 774 | 17,748 | ||||||
First Bancorp | 400 | 7,024 | ||||||
First Busey Corp. | 1,200 | 8,028 | ||||||
First Business Financial Services, Inc. | 200 | 8,648 | ||||||
First Citizens BancShares, Inc., Class A | 73 | 18,957 | ||||||
First Commonwealth Financial Corp. (a) | 2,000 | 18,000 | ||||||
First Defiance Financial Corp. | 551 | 18,084 | ||||||
First Financial Northwest, Inc. | 900 | 11,115 | ||||||
First Interstate BancSystem, Inc. (a) | 1,264 | 35,164 | ||||||
First Merchants Corp. | 827 | 19,468 | ||||||
First NBC Bank Holding Co. †(a) | 400 | 13,192 | ||||||
Firsthand Technology Value Fund, Inc. (a) | 1,137 | 16,305 | ||||||
Flagstar Bancorp, Inc. † | 1,017 | 14,757 | ||||||
Flushing Financial Corp. (a) | 790 | 15,855 | ||||||
German American Bancorp, Inc. | 300 | 8,829 | ||||||
Gladstone Capital Corp. | 2,240 | 19,734 | ||||||
Gladstone Investment Corp. (a) | 2,722 | 20,143 | ||||||
Great Southern Bancorp, Inc. | 500 | 19,695 | ||||||
Greenlight Capital Re Ltd., Class A † | 1,743 | 55,427 | ||||||
GSV Capital Corp. †(a) | 1,600 | 15,680 | ||||||
Hanmi Financial Corp. | 680 | 14,382 | ||||||
Hanover Insurance Group, Inc./The | 317 | 23,008 | ||||||
HCI Group, Inc. | 510 | 23,394 | ||||||
Heartland Financial USA, Inc. | 400 | 13,052 | ||||||
Hercules Technology Growth Capital, Inc. | 1,670 | 22,512 | ||||||
Hilltop Holdings, Inc. † | 799 | 15,533 |
SHARES | VALUE (Note 4) | |||||||
Financials - 18.8% (continued) | ||||||||
Horace Mann Educators Corp. | 2,105 | $ | 71,991 | |||||
Iberiabank Corp. | 200 | 12,606 | ||||||
Independent Bank Corp. | 1,295 | 25,927 | ||||||
Infinity Property & Casualty Corp. | 800 | 65,640 | ||||||
International Bancshares Corp. (a) | 1,554 | 40,451 | ||||||
INTL FCStone, Inc. † | 1,100 | 32,703 | ||||||
Investment Technology Group, Inc. † | 2,299 | 69,683 | ||||||
Janus Capital Group, Inc. | 500 | 8,595 | ||||||
Kansas City Life Insurance Co. | 300 | 13,779 | ||||||
KCAP Financial, Inc. (a) | 3,700 | 24,901 | ||||||
Kemper Corp. | 1,210 | 47,142 | ||||||
Ladenburg Thalmann Financial Services, Inc. † | 6,045 | 23,334 | ||||||
Lakeland Financial Corp. | 456 | 18,504 | ||||||
Maiden Holdings Ltd. (a) | 4,802 | 71,214 | ||||||
Main Street Capital Corp. | 900 | 27,810 | ||||||
MainSource Financial Group, Inc. | 1,200 | 23,568 | ||||||
MBIA, Inc. †(a) | 5,100 | 47,430 | ||||||
Medallion Financial Corp. | 295 | 2,732 | ||||||
Mercantile Bank Corp. | 500 | 9,775 | ||||||
Mercury General Corp. | 200 | 11,550 | ||||||
Meta Financial Group, Inc. (a) | 436 | 17,322 | ||||||
Montpelier Re Holdings Ltd. | 2,660 | 102,250 | ||||||
National General Holdings Corp. | 1,200 | 22,440 | ||||||
National Western Life Insurance Co., Class A | 161 | 40,942 | ||||||
Navigators Group, Inc./The † | 1,020 | 79,397 | ||||||
Nelnet, Inc., Class A | 2,008 | 95,019 | ||||||
New Mountain Finance Corp. | 3,580 | 52,268 | ||||||
OHA Investment Corp. | 487 | 2,566 | ||||||
Old National Bancorp/IN (a) | 900 | 12,771 | ||||||
OneBeacon Insurance Group Ltd., Class A (a) | 4,700 | 71,487 | ||||||
Pacific Continental Corp. | 500 | 6,610 | ||||||
PennantPark Investment Corp. | 3,600 | 32,580 | ||||||
PHH Corp. † | 1,900 | 45,923 | ||||||
Phoenix Cos., Inc./The † | 657 | 32,843 | ||||||
Piper Jaffray Cos. † | 1,050 | 55,083 | ||||||
Preferred Bank | 1,200 | 32,964 | ||||||
Primerica, Inc. | 2,630 | 133,867 | ||||||
PrivateBancorp, Inc. | 700 | 24,619 | ||||||
ProAssurance Corp. | 900 | 41,319 | ||||||
Provident Financial Holdings, Inc. | 289 | 4,621 | ||||||
Provident Financial Services, Inc. | 800 | 14,920 | ||||||
Radian Group, Inc. (a) | 872 | 14,641 | ||||||
Renasant Corp. (a) | 209 | 6,280 | ||||||
S&T Bancorp, Inc. | 906 | 25,712 | ||||||
Safety Insurance Group, Inc. | 1,029 | 61,483 | ||||||
Sandy Spring Bancorp, Inc. | 342 | 8,971 | ||||||
Select Income REIT | 400 | 9,996 | ||||||
Selective Insurance Group, Inc. | 2,300 | 66,815 | ||||||
Southside Bancshares, Inc. (a) | 815 | 23,382 | ||||||
St. Joe Co./The † | 2,600 | 48,256 | ||||||
StanCorp Financial Group, Inc. | 1,319 | 90,483 | ||||||
State Auto Financial Corp. | 1,100 | 26,719 | ||||||
Stewart Information Services Corp. | 1,439 | 58,481 | ||||||
Stock Yards Bancorp, Inc. | 300 | 10,329 | ||||||
Summit Hotel Properties, Inc. REIT | 900 | 12,663 | ||||||
Symetra Financial Corp. | 3,485 | 81,758 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
9
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 18.8% (continued) | ||||||||
TCF Financial Corp. | 3,900 | $ | 61,308 | |||||
TCP Capital Corp. | 2,000 | 32,040 | ||||||
TICC Capital Corp. | 3,459 | 23,936 | ||||||
Trico Bancshares | 541 | 13,054 | ||||||
TrustCo Bank Corp. | 1,200 | 8,256 | ||||||
Union Bankshares Corp. | 369 | 8,195 | ||||||
United Community Financial Corp. | 3,100 | 16,926 | ||||||
United Fire Group, Inc. | 1,024 | 32,532 | ||||||
United Insurance Holdings Corp. (a) | 2,400 | 54,000 | ||||||
Universal Insurance Holdings, Inc. (a) | 2,945 | 75,363 | ||||||
Univest Corp. of Pennsylvania | 400 | 7,916 | ||||||
Virtus Investment Partners, Inc. | 100 | 13,077 | ||||||
Washington Trust Bancorp, Inc. (a) | 200 | 7,638 | ||||||
Waterstone Financial, Inc. | 300 | 3,852 | ||||||
Webster Financial Corp. | 800 | 29,640 | ||||||
WesBanco, Inc. | 947 | 30,853 | ||||||
Western Alliance Bancorp † | 549 | 16,272 | ||||||
Wilshire Bancorp, Inc. | 833 | 8,305 | ||||||
Winthrop Realty Trust REIT | 2,700 | 44,064 | ||||||
Wintrust Financial Corp. (a) | 600 | 28,608 | ||||||
World Acceptance Corp. †(a) | 300 | 21,876 | ||||||
WSFS Financial Corp. | 188 | 14,218 | ||||||
|
| |||||||
4,876,622 | ||||||||
|
| |||||||
Health Care - 7.9% | ||||||||
Abaxis, Inc. | 200 | 12,822 | ||||||
ABIOMED, Inc. † | 900 | 64,422 | ||||||
Aceto Corp. (a) | 266 | 5,852 | ||||||
Addus HomeCare Corp. † | 601 | 13,835 | ||||||
Affymetrix, Inc. †(a) | 2,700 | 33,912 | ||||||
Albany Molecular Research, Inc. †(a) | 198 | 3,485 | ||||||
Alliance HealthCare Services, Inc. † | 364 | 8,074 | ||||||
Almost Family, Inc. † | 705 | 31,521 | ||||||
AMAG Pharmaceuticals, Inc. †(a) | 1,400 | 76,524 | ||||||
Amedisys, Inc. †(a) | 1,576 | 42,205 | ||||||
Amsurg Corp. †(a) | 400 | 24,608 | ||||||
Anacor Pharmaceuticals, Inc. † | 300 | 17,355 | ||||||
ANI Pharmaceuticals, Inc. † | 700 | 43,785 | ||||||
Anika Therapeutics, Inc. †(a) | 929 | 38,247 | ||||||
Bio-Reference Laboratories, Inc. †(a) | 1,100 | 38,764 | ||||||
BioTelemetry, Inc. † | 1,071 | 9,478 | ||||||
Cambrex Corp. † | 1,812 | 71,810 | ||||||
Cardiovascular Systems, Inc. † | 131 | 5,114 | ||||||
Chemed Corp. | 700 | 83,580 | ||||||
Computer Programs & Systems, Inc. (a) | 300 | 16,278 | ||||||
CONMED Corp. (a) | 500 | 25,245 | ||||||
CorVel Corp. † | 424 | 14,590 | ||||||
CryoLife, Inc. | 2,163 | 22,430 | ||||||
Depomed, Inc. †(a) | 1,800 | 40,338 | ||||||
Emergent Biosolutions, Inc. † | 635 | 18,263 | ||||||
Enanta Pharmaceuticals, Inc. †(a) | 600 | 18,372 | ||||||
Ensign Group, Inc./The | 1,200 | 56,232 | ||||||
Exactech, Inc. † | 900 | 23,067 | ||||||
Fonar Corp. † | 584 | 7,656 | ||||||
Globus Medical, Inc., Class A † | 600 | 15,144 | ||||||
Greatbatch, Inc. † | 781 | 45,181 | ||||||
Hill-Rom Holdings, Inc. | 1,600 | 78,400 | ||||||
ICU Medical, Inc. † | 700 | 65,198 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 7.9% (continued) | ||||||||
Impax Laboratories, Inc. † | 200 | $ | 9,374 | |||||
Infinity Pharmaceuticals, Inc. † | 3,600 | 50,328 | ||||||
Insys Therapeutics, Inc. †(a) | 193 | 11,219 | ||||||
Integra LifeSciences Holdings Corp. † | 300 | 18,495 | ||||||
Lannett Co., Inc. †(a) | 1,700 | 115,107 | ||||||
LHC Group, Inc. † | 1,037 | 34,252 | ||||||
Ligand Pharmaceuticals, Inc. †(a) | 100 | 7,711 | ||||||
Magellan Health, Inc. † | 228 | 16,147 | ||||||
MedAssets, Inc. † | 532 | 10,012 | ||||||
Merge Healthcare, Inc. † | 8,700 | 38,889 | ||||||
Merit Medical Systems, Inc. † | 600 | 11,550 | ||||||
Molina Healthcare, Inc. † | 558 | 37,548 | ||||||
Myriad Genetics, Inc. †(a) | 1,420 | 50,268 | ||||||
National HealthCare Corp. | 400 | 25,484 | ||||||
Natus Medical, Inc. †(a) | 1,700 | 67,099 | ||||||
NuVasive, Inc. † | 1,786 | 82,138 | ||||||
Omnicell, Inc. †(a) | 1,600 | 56,160 | ||||||
PDL BioPharma, Inc. (a) | 7,634 | 53,705 | ||||||
PharMerica Corp. † | 611 | 17,224 | ||||||
Providence Service Corp./The †(a) | 319 | 16,945 | ||||||
RadNet, Inc. † | 5,300 | 44,520 | ||||||
Repligen Corp. †(a) | 625 | 18,975 | ||||||
SciClone Pharmaceuticals, Inc. † | 5,300 | 46,958 | ||||||
Select Medical Holdings Corp. | 5,200 | 77,116 | ||||||
Sucampo Pharmaceuticals, Inc., Class A † | 2,500 | 38,900 | ||||||
Vascular Solutions, Inc. † | 727 | 22,043 | ||||||
|
| |||||||
2,049,954 | ||||||||
|
| |||||||
Industrials - 14.3% | ||||||||
AAON, Inc. | 150 | 3,680 | ||||||
ACCO Brands Corp. † | 7,300 | 60,663 | ||||||
Aegion Corp. † | 737 | 13,303 | ||||||
Aerovironment, Inc. †(a) | 500 | 13,255 | ||||||
Air Transport Services Group, Inc. † | 4,200 | 38,724 | ||||||
Aircastle Ltd. | 3,200 | 71,872 | ||||||
Alamo Group, Inc. | 324 | 20,454 | ||||||
Albany International Corp., Class A (a) | 81 | 3,220 | ||||||
Allegiant Travel Co. | 300 | 57,687 | ||||||
Allied Motion Technologies, Inc. | 1,000 | 33,190 | ||||||
Altra Industrial Motion Corp. (a) | 769 | 21,255 | ||||||
American Railcar Industries, Inc. (a) | 566 | 28,147 | ||||||
American Woodmark Corp. † | 1,000 | 54,730 | ||||||
Applied Industrial Technologies, Inc. | 300 | 13,602 | ||||||
ARC Document Solutions, Inc. † | 3,873 | 35,748 | ||||||
ARC Group Worldwide, Inc. †(a) | 700 | 3,738 | ||||||
ArcBest Corp. | 1,241 | 47,021 | ||||||
Argan, Inc. | 1,106 | 40,004 | ||||||
Arotech Corp. †(a) | 7,700 | 23,947 | ||||||
Astronics Corp. † | 300 | 22,110 | ||||||
Atlas Air Worldwide Holdings, Inc. † | 1,100 | 47,322 | ||||||
Blount International, Inc. | 2,400 | 30,912 | ||||||
Brady Corp., Class A | 500 | 14,145 | ||||||
Briggs & Stratton Corp. | 1,700 | 34,918 | ||||||
Brink’s Co./The (a) | 165 | 4,559 | ||||||
Broadwind Energy, Inc. † | 1,264 | 6,320 | ||||||
Builders FirstSource, Inc. † | 1,700 | 11,339 | ||||||
CBIZ, Inc. † | 713 | 6,652 | ||||||
CDI Corp. | 1,200 | 16,860 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
10
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 14.3% (continued) | ||||||||
CECO Environmental Corp. | 400 | $ | 4,244 | |||||
Celadon Group, Inc. (a) | 700 | 19,054 | ||||||
CIRCOR International, Inc. | 223 | 12,198 | ||||||
Columbus McKinnon Corp. | 1,068 | 28,772 | ||||||
Comfort Systems USA, Inc. | 375 | 7,890 | ||||||
Con-way, Inc. | 2,000 | 88,260 | ||||||
Covenant Transportation Group, Inc., Class A † | 1,200 | 39,792 | ||||||
CRA International, Inc. † | 1,600 | 49,792 | ||||||
Cubic Corp. | 300 | 15,531 | ||||||
Deluxe Corp. | 225 | 15,588 | ||||||
Douglas Dynamics, Inc. | 1,900 | 43,396 | ||||||
Ducommun, Inc. † | 728 | 18,855 | ||||||
Dycom Industries, Inc. † | 400 | 19,536 | ||||||
Dynamic Materials Corp. (a) | 195 | 2,490 | ||||||
Echo Global Logistics, Inc. † | 1,300 | 35,438 | ||||||
EMCOR Group, Inc. | 300 | 13,941 | ||||||
Encore Wire Corp. | 300 | 11,364 | ||||||
Engility Holdings, Inc. | 1,080 | 32,443 | ||||||
Enphase Energy, Inc. † | 2,800 | 36,932 | ||||||
Federal Signal Corp. | 2,840 | 44,844 | ||||||
Franklin Covey Co. †(a) | 300 | 5,778 | ||||||
FTI Consulting, Inc. † | 700 | 26,222 | ||||||
G&K Services, Inc., Class A | 700 | 50,771 | ||||||
GenCorp, Inc. † | 480 | 11,131 | ||||||
Gibraltar Industries, Inc. † | 1,290 | 21,169 | ||||||
Greenbrier Cos., Inc./The (a) | 1,300 | 75,400 | ||||||
Griffon Corp. | 2,300 | 40,089 | ||||||
H&E Equipment Services, Inc. | 558 | 13,944 | ||||||
Hardinge, Inc. | 179 | 2,076 | ||||||
Hawaiian Holdings, Inc. † | 3,193 | 70,326 | ||||||
Heidrick & Struggles International, Inc. | 1,300 | 31,954 | ||||||
Herman Miller, Inc. | 2,012 | 55,853 | ||||||
Hillenbrand, Inc. | 1,700 | 52,479 | ||||||
HNI Corp. | 1,800 | 99,306 | ||||||
Hurco Cos., Inc. (a) | 500 | 16,465 | ||||||
Huron Consulting Group, Inc. † | 1,133 | 74,948 | ||||||
Hyster-Yale Materials Handling, Inc. | 233 | 17,077 | ||||||
ICF International, Inc. † | 726 | 29,657 | ||||||
Insperity, Inc. | 800 | 41,832 | ||||||
Insteel Industries, Inc. | 800 | 17,304 | ||||||
John Bean Technologies Corp. | 230 | 8,216 | ||||||
Kadant, Inc. | 770 | 40,510 | ||||||
Kaman Corp. (a) | 900 | 38,187 | ||||||
Kelly Services, Inc., Class A | 267 | 4,656 | ||||||
Kforce, Inc. | 864 | 19,276 | ||||||
Kimball International, Inc., Class B | 2,064 | 21,631 | ||||||
Knoll, Inc. | 2,700 | 63,261 | ||||||
Korn/Ferry International | 2,100 | 69,027 | ||||||
LB Foster Co., Class A | 516 | 24,500 | ||||||
Lindsay Corp. (a) | 500 | 38,125 | ||||||
Lydall, Inc. † | 1,607 | 50,974 | ||||||
Manitex International, Inc. †(a) | 1,083 | 10,538 | ||||||
Marten Transport Ltd. | 300 | 6,960 | ||||||
Meritor, Inc. † | 4,900 | 61,789 | ||||||
Multi-Color Corp. | 800 | 55,464 | ||||||
MYR Group, Inc. † | 1,022 | 32,029 | ||||||
Navigant Consulting, Inc. † | 1,102 | 14,282 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 14.3% (continued) | ||||||||
NN, Inc. (a) | 763 | $ | 19,136 | |||||
Northwest Pipe Co. † | 230 | 5,279 | ||||||
Orion Marine Group, Inc. † | 341 | 3,021 | ||||||
PAM Transportation Services, Inc. † | 800 | 45,816 | ||||||
Park-Ohio Holdings Corp. (a) | 626 | 32,971 | ||||||
Patrick Industries, Inc. † | 706 | 43,963 | ||||||
Powell Industries, Inc. (a) | 103 | 3,478 | ||||||
Primoris Services Corp. | 600 | 10,314 | ||||||
Quality Distribution, Inc. † | 1,601 | 16,538 | ||||||
Quanex Building Products Corp. | 400 | 7,896 | ||||||
Republic Airways Holdings, Inc. † | 4,200 | 57,750 | ||||||
Resources Connection, Inc. | 2,500 | 43,750 | ||||||
RPX Corp. † | 2,576 | 37,069 | ||||||
Rush Enterprises, Inc., Class A †(a) | 1,846 | 50,507 | ||||||
Saia, Inc. † | 800 | 35,440 | ||||||
SkyWest, Inc. | 1,000 | 14,610 | ||||||
Sparton Corp. † | 600 | 14,700 | ||||||
Standex International Corp. | 800 | 65,704 | ||||||
Steelcase, Inc., Class A | 4,207 | 79,681 | ||||||
TASER International, Inc. †(a) | 539 | 12,995 | ||||||
TrueBlue, Inc. †(a) | 883 | 21,501 | ||||||
Tutor Perini Corp. † | 1,646 | 38,434 | ||||||
UniFirst Corp. (a) | 789 | 92,857 | ||||||
United Stationers, Inc. | 300 | 12,297 | ||||||
Universal Forest Products, Inc. | 500 | 27,740 | ||||||
US Ecology, Inc. | 300 | 14,991 | ||||||
USA Truck, Inc. † | 1,200 | 33,228 | ||||||
Viad Corp. | 400 | 11,128 | ||||||
Vicor Corp. † | 800 | 12,160 | ||||||
VSE Corp. | 700 | 57,316 | ||||||
Wabash National Corp. † | 1,231 | 17,357 | ||||||
West Corp. | 2,200 | 74,206 | ||||||
Willdan Group, Inc. † | 3,000 | 47,520 | ||||||
Xerium Technologies, Inc. † | 853 | 13,836 | ||||||
YRC Worldwide, Inc. † | 700 | 12,572 | ||||||
|
| |||||||
3,720,704 | ||||||||
|
| |||||||
Information Technology - 20.5% | ||||||||
Advanced Energy Industries, Inc. † | 846 | 21,708 | ||||||
Alliance Fiber Optic Products, Inc. | 700 | 12,194 | ||||||
Ambarella, Inc. † | 300 | 22,713 | ||||||
Amkor Technology, Inc. † | 10,316 | 91,142 | ||||||
Autobytel, Inc. † | 1,600 | 23,632 | ||||||
AVX Corp. | 2,565 | 36,603 | ||||||
Bel Fuse, Inc., Class B | 800 | 15,224 | ||||||
Benchmark Electronics, Inc. † | 2,612 | 62,766 | ||||||
Black Box Corp. | 900 | 18,837 | ||||||
Blackhawk Network Holdings, Inc. †(a) | 2,500 | 89,425 | ||||||
Brooks Automation, Inc. (a) | 2,700 | 31,401 | ||||||
Cabot Microelectronics Corp. † | 900 | 44,973 | ||||||
CACI International, Inc., Class A † | 1,052 | 94,596 | ||||||
CalAmp Corp. †(a) | 612 | 9,908 | ||||||
Calix, Inc. † | 2,800 | 23,492 | ||||||
Cascade Microtech, Inc. †(a) | 1,950 | 26,481 | ||||||
CEVA, Inc. †(a) | 500 | 10,660 | ||||||
Checkpoint Systems, Inc. | 1,200 | 12,984 | ||||||
Ciena Corp. † | 700 | 13,517 | ||||||
Cirrus Logic, Inc. † | 2,700 | 89,802 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
11
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 20.5% (continued) | ||||||||
comScore, Inc. †(a) | 1,500 | $ | 76,800 | |||||
Comtech Telecommunications Corp. | 1,200 | 34,740 | ||||||
Constant Contact, Inc. † | 1,300 | 49,673 | ||||||
Convergys Corp. (a) | 3,834 | 87,684 | ||||||
CSG Systems International, Inc. | 749 | 22,762 | ||||||
CTS Corp. | 300 | 5,397 | ||||||
Cypress Semiconductor Corp. † | 5,200 | 73,372 | ||||||
Daktronics, Inc. (a) | 1,220 | 13,188 | ||||||
Dice Holdings, Inc. † | 4,700 | 41,924 | ||||||
Diodes, Inc. † | 2,400 | 68,544 | ||||||
DTS, Inc. † | 1,200 | 40,884 | ||||||
EarthLink Holdings Corp. | 8,600 | 38,184 | ||||||
Ebix, Inc. | 2,900 | 88,102 | ||||||
Electronics For Imaging, Inc. †(a) | 1,311 | 54,734 | ||||||
Ellie Mae, Inc. † | 500 | 27,655 | ||||||
EnerNOC, Inc. †(a) | 1,638 | 18,673 | ||||||
Entegris, Inc. †(a) | 1,080 | 14,785 | ||||||
EPAM Systems, Inc. † | 200 | 12,258 | ||||||
Epiq Systems, Inc. | 700 | 12,551 | ||||||
ePlus, Inc. † | 600 | 52,158 | ||||||
Euronet Worldwide, Inc. † | 100 | 5,875 | ||||||
ExlService Holdings, Inc. † | 1,700 | 63,240 | ||||||
Fabrinet (Thailand) † | 459 | 8,717 | ||||||
Fair Isaac Corp. | 1,200 | 106,464 | ||||||
Fairchild Semiconductor International, Inc. † | 5,700 | 103,626 | ||||||
FormFactor, Inc. † | 2,963 | 26,282 | ||||||
Global Cash Access Holdings, Inc. † | 1,593 | 12,139 | ||||||
Global Sources Ltd. †(a) | 800 | 4,688 | ||||||
GSI Group, Inc. † | 2,776 | 36,976 | ||||||
Harmonic, Inc. †(a) | 3,600 | 26,676 | ||||||
Hutchinson Technology, Inc. † | 5,500 | 14,685 | ||||||
IGATE Corp. † | 356 | 15,187 | ||||||
II-VI, Inc. † | 700 | 12,922 | ||||||
Imation Corp. † | 1,500 | 6,045 | ||||||
Information Services Group, Inc. | 1,361 | 5,430 | ||||||
Inphi Corp. †(a) | 1,300 | 23,179 | ||||||
Insight Enterprises, Inc. † | 2,151 | 61,347 | ||||||
Integrated Device Technology, Inc. † | 1,200 | 24,024 | ||||||
Integrated Silicon Solution, Inc. | 2,383 | 42,632 | ||||||
InterDigital, Inc. | 1,800 | 91,332 | ||||||
Intersil Corp., Class A | 2,012 | 28,812 | ||||||
Itron, Inc. † | 1,200 | 43,812 | ||||||
IXYS Corp. | 1,400 | 17,248 | ||||||
j2 Global, Inc. | 661 | 43,415 | ||||||
Kimball Electronics, Inc. † | 723 | 10,223 | ||||||
Lattice Semiconductor Corp. † | 8,300 | 52,622 | ||||||
Lexmark International, Inc., Class A | 2,693 | 114,022 | ||||||
Lionbridge Technologies, Inc. † | 4,600 | 26,312 | ||||||
Littelfuse, Inc. | 200 | 19,878 | ||||||
LogMeIn, Inc. † | 1,000 | 55,990 | ||||||
MacroGenics, Inc. † | 2,408 | 38,360 | ||||||
Manhattan Associates, Inc. † | 300 | 15,183 | ||||||
ManTech International Corp., Class A | 1,511 | 51,283 | ||||||
Marchex, Inc., Class B | 4,000 | 16,320 | ||||||
MaxLinear, Inc., Class A † | 2,700 | 21,951 | ||||||
Mentor Graphics Corp. (a) | 4,310 | 103,569 | ||||||
Methode Electronics, Inc. | 1,888 | 88,812 | ||||||
Microsemi Corp. † | 1,100 | 38,940 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 20.5% (continued) | ||||||||
MicroStrategy, Inc., Class A † | 100 | $ | 16,919 | |||||
MKS Instruments, Inc. | 2,100 | 71,001 | ||||||
Monolithic Power Systems, Inc. | 1,100 | 57,915 | ||||||
Monotype Imaging Holdings, Inc. | 91 | 2,970 | ||||||
Monster Worldwide, Inc. † | 900 | 5,706 | ||||||
NETGEAR, Inc. †(a) | 1,400 | 46,032 | ||||||
NetScout Systems, Inc. †(a) | 1,255 | 55,032 | ||||||
NeuStar, Inc., Class A † | 700 | 17,234 | ||||||
Newport Corp. † | 1,867 | 35,585 | ||||||
OmniVision Technologies, Inc. † | 3,100 | 81,747 | ||||||
OSI Systems, Inc. † | 900 | 66,834 | ||||||
PC Connection, Inc. | 1,133 | 29,560 | ||||||
Perceptron, Inc. | 500 | 6,755 | ||||||
Perficient, Inc. † | 700 | 14,483 | ||||||
Pericom Semiconductor Corp. | 3,000 | 46,410 | ||||||
Photronics, Inc. † | 3,412 | 29,002 | ||||||
Pixelworks, Inc. †(a) | 1,900 | 9,538 | ||||||
Planar Systems, Inc. † | 6,200 | 38,998 | ||||||
Plantronics, Inc. | 1,712 | 90,650 | ||||||
Plexus Corp. † | 793 | 32,331 | ||||||
PMC-Sierra, Inc. † | 8,600 | 79,808 | ||||||
Polycom, Inc. †(a) | 5,800 | 77,720 | ||||||
PRGX Global, Inc. † | 1,300 | 5,226 | ||||||
Progress Software Corp. † | 1,100 | 29,887 | ||||||
QLogic Corp. † | 3,500 | 51,590 | ||||||
Qualys, Inc. † | 400 | 18,592 | ||||||
Quantum Corp. † | 22,300 | 35,680 | ||||||
RealD, Inc. † | 3,100 | 39,649 | ||||||
RF Industries Ltd. (a) | 1,207 | 4,937 | ||||||
Rofin-Sinar Technologies, Inc. † | 1,100 | 26,653 | ||||||
Rogers Corp. † | 900 | 73,989 | ||||||
Rovi Corp. † | 2,000 | 36,420 | ||||||
Sanmina Corp. † | 3,660 | 88,535 | ||||||
ScanSource, Inc. † | 479 | 19,471 | ||||||
Semtech Corp. † | 1,400 | 37,303 | ||||||
Sigma Designs, Inc. † | 5,900 | 47,377 | ||||||
Stamps.com, Inc. †(a) | 900 | 60,561 | ||||||
Super Micro Computer, Inc. † | 1,257 | 41,745 | ||||||
Sykes Enterprises, Inc. † | 2,120 | 52,682 | ||||||
Synaptics, Inc. † | 200 | 16,261 | ||||||
Synchronoss Technologies, Inc. † | 400 | 18,984 | ||||||
SYNNEX Corp. | 545 | 42,101 | ||||||
Take-Two Interactive Software, Inc. † | 2,064 | 52,539 | ||||||
Tech Data Corp. † | 1,600 | 92,432 | ||||||
TechTarget, Inc. † | 2,400 | 27,672 | ||||||
TeleTech Holdings, Inc. | 1,814 | 46,166 | ||||||
TESSCO Technologies, Inc. | 397 | 9,790 | ||||||
Tessera Technologies, Inc. | 2,600 | 104,728 | ||||||
Ultra Clean Holdings, Inc. † | 1,956 | 13,985 | ||||||
Unisys Corp. † | 1,427 | 33,121 | ||||||
VASCO Data Security International, Inc. †(a) | 2,500 | 53,850 | ||||||
Verint Systems, Inc. † | 200 | 12,386 | ||||||
Virtusa Corp. † | 400 | 16,552 | ||||||
Vishay Intertechnology, Inc. (a) | 6,200 | 85,684 | ||||||
Westell Technologies, Inc., Class A †(a) | 2,800 | 3,668 | ||||||
Xcerra Corp. † | 4,200 | 37,338 | ||||||
XO Group, Inc. † | 700 | 12,369 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
12
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 20.5% (continued) | ||||||||
Zhone Technologies, Inc. † | 4,097 | $ | 5,326 | |||||
|
| |||||||
5,331,823 | ||||||||
|
| |||||||
Materials - 3.4% | ||||||||
A Schulman, Inc. | 1,396 | 67,287 | ||||||
Boise Cascade Co. † | 1,900 | 71,174 | ||||||
Century Aluminum Co. † | 3,300 | 45,540 | ||||||
Clearwater Paper Corp. †(a) | 955 | 62,361 | ||||||
Commercial Metals Co. | 300 | 4,857 | ||||||
Ferro Corp. † | 1,500 | 18,825 | ||||||
Flotek Industries, Inc. †(a) | 394 | 5,808 | ||||||
Gold Resource Corp. | 5,700 | 18,183 | ||||||
Handy & Harman Ltd. † | 1,000 | 41,060 | ||||||
Innophos Holdings, Inc. | 1,300 | 73,268 | ||||||
Innospec, Inc. | 1,000 | 46,390 | ||||||
Kaiser Aluminum Corp. | 900 | 69,201 | ||||||
KapStone Paper and Packaging Corp. (a) | 700 | 22,988 | ||||||
Kraton Performance Polymers, Inc. † | 400 | 8,084 | ||||||
Materion Corp. | 1,100 | 42,273 | ||||||
Minerals Technologies, Inc. | 959 | 70,103 | ||||||
Myers Industries, Inc. | 230 | 4,032 | ||||||
Neenah Paper, Inc. (a) | 1,008 | 63,040 | ||||||
Noranda Aluminum Holding Corp. | 4,800 | 14,256 | ||||||
Olin Corp. | 548 | 17,558 | ||||||
Olympic Steel, Inc. (a) | 350 | 4,711 | ||||||
OMNOVA Solutions, Inc. † | 1,357 | 11,575 | ||||||
PH Glatfelter Co. | 386 | 10,627 | ||||||
Quaker Chemical Corp. | 341 | 29,203 | ||||||
Stillwater Mining Co. †(a) | 300 | 3,876 | ||||||
Trecora Resources †(a) | 1,400 | 17,080 | ||||||
United States Lime & Minerals, Inc. | 300 | 19,350 | ||||||
US Concrete, Inc. † | 373 | 12,637 | ||||||
|
| |||||||
875,347 | ||||||||
|
| |||||||
Telecommunication Services - 2.2% | ||||||||
8x8, Inc. † | 750 | 6,300 | ||||||
Atlantic Tele-Network, Inc. (a) | 16 | 1,108 | ||||||
Boingo Wireless, Inc. † | 2,200 | 16,588 | ||||||
Cincinnati Bell, Inc. † | 9,300 | 32,829 | ||||||
FairPoint Communications, Inc. †(a) | 2,400 | 42,240 | ||||||
General Communication, Inc., Class A † | 2,800 | 44,128 | ||||||
Hawaiian Telcom Holdco, Inc. †(a) | 300 | 7,989 | ||||||
IDT Corp., Class B | 1,695 | 30,086 | ||||||
Inteliquent, Inc. | 3,075 | 48,400 | ||||||
Iridium Communications, Inc. †(a) | 6,800 | 66,028 | ||||||
Lumos Networks Corp. | 800 | 12,208 | ||||||
Premiere Global Services, Inc. † | 1,832 | 17,514 | ||||||
Shenandoah Telecommunications Co. | 1,304 | 40,633 | ||||||
Spok Holdings, Inc. | 2,346 | 44,973 | ||||||
Straight Path Communications, Inc., Class B † | 200 | 3,984 | ||||||
Telephone & Data Systems, Inc. | 3,900 | 97,110 | ||||||
Vonage Holdings Corp. † | 10,264 | 50,396 | ||||||
|
| |||||||
562,514 | ||||||||
|
| |||||||
Utilities - 1.5% | ||||||||
Atlantic Power Corp. | 4,500 | 12,645 | ||||||
Avista Corp. (a) | 2,200 | 75,196 |
SHARES | VALUE (Note 4) | |||||||
Utilities - 1.5% (continued) | ||||||||
Empire District Electric Co./The | 1,000 | $ | 24,820 | |||||
New Jersey Resources Corp. (a) | 2,900 | 90,074 | ||||||
ONE Gas, Inc. | 900 | 38,907 | ||||||
Portland General Electric Co. (a) | 2,400 | 89,016 | ||||||
Unitil Corp. | 500 | 17,385 | ||||||
WGL Holdings, Inc. | 900 | 50,760 | ||||||
|
| |||||||
398,803 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 25,185,800 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 2.0% | ||||||||
iShares Russell 2000 ETF (a) | 4,209 | 523,389 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 1.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(b) | ||||||||
(cost $491,912) | 491,912 | 491,912 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 16.5% | ||||||||
Money Market Funds - 16.5% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (2)(b)(c) | ||||||||
(cost $4,296,778) | 4,296,778 | 4,296,778 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 30,497,879 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (17.3%) | (4,496,829) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 26,001,050 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $4,197,342; cash collateral of $4,296,778 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
13
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
COMMON STOCKS - 95.2% | SHARES | VALUE (Note 4) | ||||||
Australia - 3.6% | ||||||||
Caltex Australia Ltd. | 5,416 | $ | 143,737 | |||||
Cochlear Ltd. | 2,346 | 161,280 | ||||||
Dexus Property Group REIT | 23,808 | 137,064 | ||||||
GPT Group/The REIT | 45,428 | 157,788 | ||||||
Insurance Australia Group Ltd. | 37,657 | 174,314 | ||||||
Leighton Holdings Ltd. | 7,989 | 128,013 | ||||||
Macquarie Group Ltd. | 5,671 | 329,635 | ||||||
Novion Property Group REIT | 131,204 | 249,940 | ||||||
Orica Ltd. | 8,006 | 121,573 | ||||||
Qantas Airways Ltd. † | 72,381 | 171,681 | ||||||
Scentre Group REIT | 27,454 | 77,992 | ||||||
Tabcorp Holdings Ltd. | 18,683 | 67,315 | ||||||
Tatts Group Ltd. | 823 | 2,490 | ||||||
Telstra Corp. Ltd. | 288,483 | 1,384,850 | ||||||
Woodside Petroleum Ltd. | 1,918 | 50,250 | ||||||
|
| |||||||
3,357,922 | ||||||||
|
| |||||||
Austria - 0.4% | ||||||||
ANDRITZ AG | 484 | 28,898 | ||||||
Strabag SE | 723 | 16,168 | ||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 5,640 | 249,720 | ||||||
voestalpine AG | 967 | 35,373 | ||||||
Wienerberger AG | 3,230 | 51,542 | ||||||
|
| |||||||
381,701 | ||||||||
|
| |||||||
Belgium - 1.5% | ||||||||
Ageas | 1,578 | 56,670 | ||||||
Belgacom SA | 12,215 | 427,382 | ||||||
bpost SA | 18,379 | 515,820 | ||||||
Delhaize Group SA | 4,112 | 369,423 | ||||||
KBC Groep NV † | 581 | 35,907 | ||||||
|
| |||||||
1,405,202 | ||||||||
|
| |||||||
Canada - 9.9% | ||||||||
Agrium, Inc. (1) | 400 | 41,688 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 16,682 | 664,751 | ||||||
Bank of Montreal (1) | 6,900 | 413,493 | ||||||
Bank of Nova Scotia/The (1) | 2,300 | 115,386 | ||||||
Boardwalk Real Estate Investment Trust REIT (1) | 3,700 | 172,212 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 13,400 | 716,684 | ||||||
Canadian Imperial Bank of Commerce (1) | 5,000 | 362,481 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 790 | 80,481 | ||||||
CCL Industries, Inc., Class B (1) | 2,100 | 236,272 | ||||||
CGI Group, Inc., Class A (1)† | 6,900 | 292,659 | ||||||
Cogeco Cable, Inc. (1) | 1,800 | 96,512 | ||||||
Empire Co., Ltd., Class A (1) | 5,700 | 397,432 | ||||||
Fairfax Financial Holdings Ltd. (1) | 800 | 448,462 | ||||||
Finning International, Inc. (1) | 2,800 | 52,085 | ||||||
Genworth MI Canada, Inc. (1) | 5,300 | 117,169 | ||||||
George Weston Ltd. (1) | 5,200 | 411,878 | ||||||
Gildan Activewear, Inc. (1) | 180 | 5,307 | ||||||
Home Capital Group, Inc. (1) | 4,100 | 137,773 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 2,438 | 81,559 | ||||||
Intact Financial Corp. (1) | 6,900 | 519,836 |
SHARES | VALUE (Note 4) | |||||||
Canada - 9.9% (continued) | ||||||||
Linamar Corp. (1) | 4,400 | $ | 271,285 | |||||
Loblaw Cos., Ltd. (1) | 13,000 | 635,553 | ||||||
Magna International, Inc. (1) | 9,508 | 508,299 | ||||||
Manulife Financial Corp. (1) | 12,102 | 205,530 | ||||||
Metro, Inc. (1) | 11,300 | 306,199 | ||||||
National Bank of Canada (1) | 6,000 | 219,052 | ||||||
Open Text Corp. (1) | 3,500 | 184,762 | ||||||
Progressive Waste Solutions Ltd. (1) | 3,100 | 91,001 | ||||||
Royal Bank of Canada (1) | 4,800 | 288,936 | ||||||
Stantec, Inc. (1) | 3,800 | 90,938 | ||||||
Sun Life Financial, Inc. (1) | 6,555 | 201,999 | ||||||
Toronto-Dominion Bank/The (1) | 19,700 | 843,186 | ||||||
West Fraser Timber Co., Ltd. (1) | 952 | 48,707 | ||||||
|
| |||||||
9,259,567 | ||||||||
|
| |||||||
China - 0.1% | ||||||||
FIH Mobile Ltd. † | 96,000 | 50,872 | ||||||
|
| |||||||
Denmark - 1.4% | ||||||||
AP Moeller - Maersk A/S, Class B | 76 | 158,857 | ||||||
Danske Bank A/S | 9,726 | 256,408 | ||||||
Pandora A/S | 3,109 | 283,059 | ||||||
TDC A/S | 4,162 | 29,821 | ||||||
Tryg A/S | 3,224 | 379,170 | ||||||
Vestas Wind Systems A/S | 5,004 | 206,320 | ||||||
|
| |||||||
1,313,635 | ||||||||
|
| |||||||
Finland - 1.3% | ||||||||
Elisa OYJ | 10,141 | 254,677 | ||||||
Fortum OYJ | 12,920 | 270,677 | ||||||
Huhtamaki OYJ | 1,511 | 47,002 | ||||||
Kesko OYJ, B Shares | 2,336 | 99,726 | ||||||
Neste Oil OYJ | 3,011 | 79,008 | ||||||
Nokia OYJ | 37,346 | 284,754 | ||||||
Orion OYJ, Class B | 1,282 | 36,137 | ||||||
Sampo OYJ, A Shares | 1,584 | 79,894 | ||||||
UPM-Kymmene OYJ | 3,706 | 71,996 | ||||||
|
| |||||||
1,223,871 | ||||||||
|
| |||||||
France - 2.8% | ||||||||
AXA SA | 13,387 | 336,940 | ||||||
BNP Paribas SA | 1,007 | 61,272 | ||||||
Bouygues SA | 1,362 | 53,466 | ||||||
Cap Gemini SA | 1,530 | 125,524 | ||||||
Cie Generale des Etablissements Michelin | 481 | 47,833 | ||||||
Credit Agricole SA | 5,900 | 86,700 | ||||||
Electricite de France SA | 4,079 | 97,807 | ||||||
GDF Suez | 29,111 | 574,739 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 421 | 74,089 | ||||||
Natixis SA | 22,361 | 167,497 | ||||||
Orange SA | 23,012 | 369,563 | ||||||
Peugeot SA † | 2,799 | 46,787 | ||||||
Renault SA | 709 | 64,399 | ||||||
Safran SA | 1,893 | 132,267 | ||||||
Sanofi | 391 | 38,615 | ||||||
Suez Environnement Co. | 5,495 | 94,605 | ||||||
Veolia Environnement SA | 6,097 | 115,316 | ||||||
Zodiac Aerospace | 3,181 | 105,248 | ||||||
|
| |||||||
2,592,667 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
14
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 4.5% | ||||||||
Allianz SE | 5,733 | $ | 995,344 | |||||
Continental AG | 1,674 | 394,221 | ||||||
Daimler AG | 3,684 | 353,792 | ||||||
Deutsche Telekom AG | 20,178 | 369,064 | ||||||
Hannover Rueck SE | 6,866 | 709,496 | ||||||
Infineon Technologies AG | 7,367 | 87,645 | ||||||
Merck KGaA | 3,313 | 370,784 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 2,918 | 627,026 | ||||||
ProSiebenSat.1 Media AG | 3,098 | 151,532 | ||||||
RWE AG | 2,236 | 56,928 | ||||||
Talanx AG | 3,356 | 105,108 | ||||||
|
| |||||||
4,220,940 | ||||||||
|
| |||||||
Hong Kong - 7.3% | ||||||||
BOC Hong Kong Holdings Ltd. | 92,500 | 329,898 | ||||||
CK Hutchison Holdings Ltd. | 32,500 | 663,992 | ||||||
Hang Lung Properties Ltd. | 43,000 | 120,809 | ||||||
Henderson Land Development Co., Ltd. | 65,210 | 458,105 | ||||||
Hongkong Land Holdings Ltd. | 116,600 | 880,403 | ||||||
Hysan Development Co., Ltd. | 41,000 | 179,715 | ||||||
Johnson Electric Holdings Ltd. | 15,500 | 54,372 | ||||||
Kerry Properties Ltd. | 32,000 | 111,080 | ||||||
Li & Fung Ltd. | 118,000 | 115,228 | ||||||
Link REIT/The | 75,000 | 462,689 | ||||||
MGM China Holdings Ltd. | 13,600 | 25,551 | ||||||
New World Development Co., Ltd. | 80,000 | 92,747 | ||||||
NWS Holdings Ltd. | 181,000 | 301,473 | ||||||
PCCW Ltd. | 574,000 | 350,757 | ||||||
Power Assets Holdings Ltd. | 68,000 | 694,133 | ||||||
Sino Land Co., Ltd. | 224,000 | 365,262 | ||||||
SJM Holdings Ltd. | 45,000 | 58,773 | ||||||
Sun Hung Kai Properties Ltd. | 31,000 | 478,004 | ||||||
Swire Properties Ltd. | 46,000 | 149,401 | ||||||
Techtronic Industries Co., Ltd. | 32,500 | 109,570 | ||||||
Wharf Holdings Ltd./The | 36,000 | 251,310 | ||||||
Wheelock & Co., Ltd. | 50,000 | 255,504 | ||||||
Wynn Macau Ltd. | 24,800 | 53,596 | ||||||
Yue Yuen Industrial Holdings Ltd. | 77,000 | 272,460 | ||||||
|
| |||||||
6,834,832 | ||||||||
|
| |||||||
Italy - 1.0% | ||||||||
Assicurazioni Generali SpA | 4,452 | 87,536 | ||||||
Enel SpA | 49,202 | 222,266 | ||||||
GTECH SpA | 2,437 | 48,276 | ||||||
Intesa Sanpaolo SpA | 38,702 | 131,355 | ||||||
Parmalat SpA | 28,460 | 76,065 | ||||||
Pirelli & C. SpA | 9,640 | 159,568 | ||||||
UnipolSai SpA | 61,823 | 179,888 | ||||||
|
| |||||||
904,954 | ||||||||
|
| |||||||
Japan - 33.3% | ||||||||
77 Bank Ltd./The | 60,000 | 339,553 | ||||||
Aiful Corp. † | 71,000 | 251,816 | ||||||
Aisin Seiki Co., Ltd. | 1,700 | 61,634 | ||||||
Alfresa Holdings Corp. | 4,600 | 64,820 | ||||||
Alps Electric Co., Ltd. | 13,800 | 332,295 | ||||||
Asahi Kasei Corp. | 30,000 | 286,489 |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.3% (continued) | ||||||||
Asics Corp. | 3,300 | $ | 89,801 | |||||
Astellas Pharma, Inc. | 21,000 | 344,083 | ||||||
Bandai Namco Holdings, Inc. | 5,300 | 103,159 | ||||||
Bank of Yokohama Ltd./The | 75,000 | 439,248 | ||||||
Bridgestone Corp. | 7,300 | 292,291 | ||||||
Brother Industries Ltd. | 8,300 | 131,869 | ||||||
Canon Marketing Japan, Inc. | 6,400 | 128,372 | ||||||
Canon, Inc. | 8,800 | 311,355 | ||||||
Casio Computer Co., Ltd. | 10,700 | 202,675 | ||||||
Central Japan Railway Co. | 3,900 | 704,807 | ||||||
Chiba Bank Ltd./The | 38,000 | 278,504 | ||||||
Chugoku Bank Ltd./The | 3,000 | 44,796 | ||||||
Citizen Holdings Co., Ltd. | 20,800 | 159,421 | ||||||
Daicel Corp. | 14,400 | 171,641 | ||||||
Dai-ichi Life Insurance Co., Ltd./The | 41,000 | 594,710 | ||||||
DIC Corp. | 23,000 | 66,871 | ||||||
Ezaki Glico Co., Ltd. | 3,800 | 153,622 | ||||||
Fuji Electric Co., Ltd. | 11,000 | 51,898 | ||||||
Fuji Heavy Industries Ltd. | 14,600 | 484,665 | ||||||
FUJIFILM Holdings Corp. | 7,500 | 266,824 | ||||||
Fujitsu Ltd. | 46,000 | 313,703 | ||||||
Fukuoka Financial Group, Inc. | 63,000 | 323,976 | ||||||
Glory Ltd. | 2,400 | 66,835 | ||||||
GungHo Online Entertainment, Inc. | 5,500 | 21,486 | ||||||
Gunma Bank Ltd./The | 23,000 | 155,376 | ||||||
Hachijuni Bank Ltd./The | 53,000 | 373,710 | ||||||
Hakuhodo DY Holdings, Inc. | 18,300 | 194,553 | ||||||
Haseko Corp. | 35,900 | 349,699 | ||||||
Hino Motors Ltd. | 2,000 | 28,457 | ||||||
Hiroshima Bank Ltd./The | 68,000 | 366,476 | ||||||
HIS Co. Ltd. | 1,500 | 52,675 | ||||||
Hitachi Capital Corp. | 3,100 | 65,433 | ||||||
Hitachi Chemical Co., Ltd. | 10,000 | 213,536 | ||||||
Hitachi High-Technologies Corp. | 5,300 | 161,291 | ||||||
Hitachi Metals Ltd. | 6,000 | 91,959 | ||||||
Hokuhoku Financial Group, Inc. | 204,000 | 454,732 | ||||||
Hoshizaki Electric Co., Ltd. | 3,300 | 214,298 | ||||||
Hoya Corp. | 6,900 | 276,237 | ||||||
Isuzu Motors Ltd. | 16,400 | 217,587 | ||||||
Iyo Bank Ltd./The | 17,800 | 211,095 | ||||||
Japan Airlines Co., Ltd. | 12,800 | 398,173 | ||||||
Japan Aviation Electronics Industry Ltd. | 9,000 | 217,330 | ||||||
JFE Holdings, Inc. | 8,200 | 180,999 | ||||||
Joyo Bank Ltd./The | 6,000 | 30,835 | ||||||
JTEKT Corp. | 3,200 | 49,893 | ||||||
Juroku Bank Ltd./The | 6,000 | 22,017 | ||||||
Kaken Pharmaceutical Co., Ltd. | 9,000 | 260,187 | ||||||
Kawasaki Kisen Kaisha Ltd. | 68,000 | 182,598 | ||||||
KDDI Corp. | 17,100 | 386,332 | ||||||
Keiyo Bank Ltd./The | 34,000 | 196,821 | ||||||
Kewpie Corp. | 4,500 | 109,496 | ||||||
Kobe Steel Ltd. | 122,000 | 225,019 | ||||||
Koito Manufacturing Co., Ltd. | 9,700 | 291,667 | ||||||
Komatsu Ltd. | 9,900 | 194,066 | ||||||
Konica Minolta, Inc. | 19,300 | 195,593 | ||||||
Kose Corp. | 4,000 | 220,607 | ||||||
Mazda Motor Corp. | 9,600 | 194,514 | ||||||
MEIJI Holdings Co., Ltd. | 1,800 | 219,258 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
15
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.3% (continued) | ||||||||
Minebea Co., Ltd. | 15,000 | $ | 235,927 | |||||
Mitsubishi Chemical Holdings Corp. | 28,300 | 164,283 | ||||||
Mitsubishi Corp. | 8,300 | 166,779 | ||||||
Mitsubishi Electric Corp. | 28,000 | 332,401 | ||||||
Mitsubishi Motors Corp. | 11,100 | 100,086 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 179,200 | 1,109,860 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 24,800 | 122,556 | ||||||
Mixi, Inc. | 5,800 | 234,460 | ||||||
MS&AD Insurance Group Holdings, Inc. | 10,300 | 288,359 | ||||||
Murata Manufacturing Co., Ltd. | 3,800 | 521,889 | ||||||
Nexon Co., Ltd. | 22,500 | 239,604 | ||||||
NGK Spark Plug Co., Ltd. | 2,700 | 72,479 | ||||||
NH Foods Ltd. | 7,000 | 161,305 | ||||||
Nippon Paint Holdings Co., Ltd. | 3,000 | 109,670 | ||||||
Nippon Telegraph & Telephone Corp. | 8,400 | 518,541 | ||||||
Nishi-Nippon City Bank Ltd./The | 148,000 | 428,985 | ||||||
Nissan Chemical Industries Ltd. | 2,800 | 57,862 | ||||||
Nissan Motor Co., Ltd. | 49,900 | 507,511 | ||||||
Nissan Shatai Co., Ltd. | 3,100 | 39,746 | ||||||
Nisshinbo Holdings, Inc. | 8,000 | 76,763 | ||||||
Nitori Holdings Co., Ltd. | 2,200 | 148,926 | ||||||
Nitto Denko Corp. | 1,700 | 113,516 | ||||||
NOK Corp. | 10,000 | 300,675 | ||||||
NSK Ltd. | 3,000 | 43,787 | ||||||
NTN Corp. | 35,000 | 185,100 | ||||||
Oki Electric Industry Co., Ltd. | 43,000 | 89,012 | ||||||
Omron Corp. | 4,700 | 211,731 | ||||||
ORIX Corp. | 34,500 | 484,764 | ||||||
Panasonic Corp. | 25,300 | 332,241 | ||||||
Renesas Electronics Corp. † | 4,400 | 32,677 | ||||||
Resona Holdings, Inc. | 12,000 | 59,553 | ||||||
Rohm Co., Ltd. | 3,400 | 232,332 | ||||||
Seiko Epson Corp. | 17,800 | 315,262 | ||||||
Seino Holdings Co., Ltd. | 11,000 | 119,369 | ||||||
Sekisui Chemical Co., Ltd. | 20,000 | 259,500 | ||||||
Shiga Bank Ltd./The | 5,000 | 24,959 | ||||||
Shionogi & Co., Ltd. | 3,900 | 129,833 | ||||||
Sohgo Security Services Co., Ltd. | 6,200 | 210,978 | ||||||
Sony Corp. † | 30,900 | 826,378 | ||||||
Sumitomo Heavy Industries Ltd. | 42,000 | 274,861 | ||||||
Sumitomo Metal Mining Co., Ltd. | 5,000 | 73,079 | ||||||
Sumitomo Rubber Industries Ltd. | 8,800 | 162,214 | ||||||
Suzuki Motor Corp. | 8,500 | 255,291 | ||||||
T&D Holdings, Inc. | 24,700 | 339,282 | ||||||
Taiyo Nippon Sanso Corp. | 25,000 | 340,195 | ||||||
TDK Corp. | 4,400 | 311,553 | ||||||
Teijin Ltd. | 36,000 | 122,141 | ||||||
Tohoku Electric Power Co., Inc. | 27,500 | 312,357 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 11,600 | 89,359 | ||||||
Tokio Marine Holdings, Inc. | 5,800 | 218,932 | ||||||
Tokyo Gas Co., Ltd. | 27,000 | 169,742 | ||||||
Tosoh Corp. | 50,000 | 251,849 | ||||||
Toyo Seikan Group Holdings Ltd. | 6,800 | 99,461 | ||||||
Toyo Tire & Rubber Co., Ltd. | 12,800 | 229,955 | ||||||
Toyota Boshoku Corp. | 3,900 | 48,719 | ||||||
Toyota Motor Corp. | 37,700 | 2,631,600 | ||||||
TS Tech Co., Ltd. | 2,000 | 53,931 | ||||||
Yamada Denki Co., Ltd. | 49,300 | 203,014 |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.3% (continued) | ||||||||
Yamaguchi Financial Group, Inc. | 33,000 | $ | 379,279 | |||||
Yamaha Corp. | 13,100 | 228,758 | ||||||
Yamaha Motor Co., Ltd. | 19,600 | 472,177 | ||||||
Yamazaki Baking Co., Ltd. | 5,000 | 90,092 | ||||||
Yokohama Rubber Co., Ltd./The | 6,000 | 61,848 | ||||||
Zeon Corp. | 3,000 | 27,678 | ||||||
|
| |||||||
31,142,764 | ||||||||
|
| |||||||
Netherlands - 1.8% | ||||||||
Aegon NV | 27,328 | 215,772 | ||||||
Akzo Nobel NV | 1,949 | 147,363 | ||||||
Heineken Holding NV | 798 | 54,914 | ||||||
ING Groep NV CVA † | 23,593 | 345,590 | ||||||
Koninklijke Ahold NV | 36,301 | 715,343 | ||||||
Royal Dutch Shell PLC, A Shares | 6,459 | 192,728 | ||||||
|
| |||||||
1,671,710 | ||||||||
|
| |||||||
Norway - 0.7% | ||||||||
DNB ASA | 7,233 | 116,087 | ||||||
Gjensidige Forsikring ASA | 6,284 | 108,426 | ||||||
Marine Harvest ASA | 5,225 | 59,861 | ||||||
Norsk Hydro ASA | 14,819 | 77,894 | ||||||
Telenor ASA | 2,578 | 52,025 | ||||||
Yara International ASA | 4,546 | 230,814 | ||||||
|
| |||||||
645,107 | ||||||||
|
| |||||||
Portugal - 0.3% | ||||||||
EDP - Energias de Portugal SA | 44,495 | 166,640 | ||||||
Portucel SA | 15,478 | 69,183 | ||||||
Sonae SGPS SA | 33,946 | 51,642 | ||||||
|
| |||||||
287,465 | ||||||||
|
| |||||||
Singapore - 4.2% | ||||||||
CapitaCommercial Trust REIT | 105,200 | 135,414 | ||||||
ComfortDelGro Corp. Ltd. | 177,100 | 373,081 | ||||||
DBS Group Holdings Ltd. | 62,200 | 922,293 | ||||||
Mapletree Commercial Trust REIT | 51,000 | 59,461 | ||||||
Noble Group Ltd. | 88,000 | 58,946 | ||||||
Olam International Ltd. | 86,400 | 124,694 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 159,000 | 1,224,365 | ||||||
StarHub Ltd. | 4,000 | 12,681 | ||||||
Suntec Real Estate Investment Trust REIT | 66,800 | 90,217 | ||||||
United Overseas Bank Ltd. | 46,100 | 772,736 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 129,200 | 118,785 | ||||||
Yanlord Land Group Ltd. | 31,000 | 22,097 | ||||||
|
| |||||||
3,914,770 | ||||||||
|
| |||||||
South Africa - 0.2% | ||||||||
Investec PLC | 6,554 | 54,356 | ||||||
Mondi PLC | 6,190 | 118,953 | ||||||
|
| |||||||
173,309 | ||||||||
|
| |||||||
Spain - 3.4% | ||||||||
ACS Actividades de Construccion y Servicios SA | 3,416 | 120,907 | ||||||
Amadeus IT Holding SA, A Shares | 513 | 21,986 | ||||||
Banco de Sabadell SA | 23,426 | 57,238 | ||||||
Banco Santander SA | 68,516 | 513,621 | ||||||
Endesa SA | 17,529 | 338,395 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
16
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Spain - 3.4% (continued) | ||||||||
Ferrovial SA | 8,751 | $ | 186,064 | |||||
Gas Natural SDG SA | 7,094 | 159,275 | ||||||
Iberdrola SA | 123,320 | 795,236 | ||||||
Telefonica SA | 68,600 | 976,144 | ||||||
|
| |||||||
3,168,866 | ||||||||
|
| |||||||
Sweden - 2.3% | ||||||||
Electrolux AB, Series B | 5,369 | 153,384 | ||||||
Husqvarna AB, B Shares | 19,358 | 140,221 | ||||||
Investor AB, B Shares | 11,216 | 446,473 | ||||||
Nordea Bank AB | 16,795 | 204,571 | ||||||
Securitas AB, B Shares | 4,914 | 70,547 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 23,095 | 269,559 | ||||||
Svenska Handelsbanken AB, A Shares | 2,916 | 131,327 | ||||||
Tele2 AB, B Shares | 23,739 | 283,938 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 23,588 | 296,146 | ||||||
TeliaSonera AB | 22,200 | 141,074 | ||||||
|
| |||||||
2,137,240 | ||||||||
|
| |||||||
Switzerland - 4.3% | ||||||||
Actelion Ltd. † | 689 | 79,465 | ||||||
Adecco SA † | 492 | 40,897 | ||||||
Baloise Holding AG | 3,478 | 459,642 | ||||||
Givaudan SA † | 295 | 532,961 | ||||||
STMicroelectronics NV | 3,816 | 35,499 | ||||||
Swiss Life Holding AG † | 1,218 | 300,903 | ||||||
Swiss Re AG | 9,188 | 886,256 | ||||||
Swisscom AG | 984 | 570,612 | ||||||
Zurich Insurance Group AG † | 3,381 | 1,142,786 | ||||||
|
| |||||||
4,049,021 | ||||||||
|
| |||||||
United Kingdom - 10.9% | ||||||||
3i Group PLC | 31,285 | 223,542 | ||||||
AstraZeneca PLC | 7,394 | 507,365 | ||||||
Aviva PLC | 45,924 | 367,524 | ||||||
BAE Systems PLC | 32,410 | 251,163 | ||||||
British Land Co. PLC/The REIT | 19,815 | 244,218 | ||||||
BT Group PLC | 176,460 | 1,146,610 | ||||||
Direct Line Insurance Group PLC | 126,568 | 597,274 | ||||||
Dixons Carphone PLC | 53,848 | 329,326 | ||||||
easyJet PLC | 2,185 | 60,812 | ||||||
Fiat Chrysler Automobiles NV † | 9,693 | 157,357 | ||||||
GKN PLC | 20,749 | 110,060 | ||||||
Hammerson PLC REIT | 10,553 | 103,928 | ||||||
Hikma Pharmaceuticals PLC | 7,893 | 248,423 | ||||||
HSBC Holdings PLC | 82,127 | 699,839 | ||||||
Imperial Tobacco Group PLC | 15,982 | 701,071 | ||||||
Intu Properties PLC REIT | 51,033 | 263,101 | ||||||
ITV PLC | 15,886 | 59,478 | ||||||
J Sainsbury PLC | 31,011 | 119,002 | ||||||
Kingfisher PLC | 26,090 | 147,202 | ||||||
Land Securities Group PLC REIT | 9,016 | 167,384 | ||||||
Legal & General Group PLC | 16,108 | 66,338 | ||||||
London Stock Exchange Group PLC | 218 | 7,929 | ||||||
Marks & Spencer Group PLC | 42,066 | 332,694 | ||||||
National Grid PLC | 83,247 | 1,070,228 | ||||||
Next PLC | 2,690 | 279,756 | ||||||
Old Mutual PLC | 2,260 | 7,419 |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 10.9% (continued) | ||||||||
Persimmon PLC † | 6,120 | $ | 150,818 | |||||
Persimmon PLC, Class B † | 6,120 | 8,624 | ||||||
Prudential PLC | 12,195 | 302,624 | ||||||
RSA Insurance Group PLC | 5,686 | 35,441 | ||||||
Shire PLC | 9,060 | 722,291 | ||||||
Sky PLC | 12,241 | 180,089 | ||||||
Travis Perkins PLC | 1,527 | 44,089 | ||||||
Vodafone Group PLC | 110,092 | 360,257 | ||||||
Whitbread PLC | 166 | 12,890 | ||||||
William Hill PLC | 7,569 | 41,563 | ||||||
WPP PLC | 5,158 | 117,141 | ||||||
|
| |||||||
10,244,870 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 88,981,285 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 3.1% | ||||||||
United States - 3.1% | ||||||||
iShares MSCI EAFE ETF (1) | 45,358 | 2,910,623 | ||||||
|
| |||||||
RIGHTS - 0.0% (a) | ||||||||
Spain - 0.0% (a) | ||||||||
Banco de Sabadell SA † | 23,426 | 5,945 | ||||||
Telefonica SA † | 68,600 | 11,064 | ||||||
|
| |||||||
TOTAL RIGHTS | 17,009 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 1.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | ||||||||
(cost $1,767,605) | 1,767,605 | 1,767,605 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 100.2% | 93,676,522 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2%) | (203,296) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 93,473,226 | ||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA | - Dutch Certificate of Shares |
REIT | - Real Estate Investment Trust |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
17
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MULTI-STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 15,109,369 | 16.2 | % | ||||
Consumer Staples | 5,741,932 | 6.1 | ||||||
Energy | 465,723 | 0.5 | ||||||
Exchange-Traded Funds | 2,910,623 | 3.1 | ||||||
Financials | 34,582,022 | 36.9 | ||||||
Health Care | 2,963,282 | 3.2 | ||||||
Industrials | 7,020,433 | 7.5 | ||||||
Information Technology | 5,955,770 | 6.4 | ||||||
Materials | 4,376,028 | 4.7 | ||||||
Telecommunication Services | 7,645,391 | 8.2 | ||||||
Utilities | 5,138,344 | 5.5 | ||||||
Money Market Funds | 1,767,605 | 1.9 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 93,676,522 | 100.2 | ||||||
Liabilities in Excess of Other Assets | (203,296 | ) | (0.2 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 93,473,226 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
18
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
COMMON STOCKS - 93.1% | SHARES | VALUE (Note 4) | ||||||
Brazil - 5.0% | ||||||||
Banco Bradesco SA ADR (1) | 36,840 | $ | 341,875 | |||||
Banco do Brasil SA (1) | 19,600 | 141,309 | ||||||
BRF SA ADR (1) | 13,800 | 272,964 | ||||||
Cia Brasileira de Distribuicao ADR (1) | 400 | 11,928 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 40,200 | 164,418 | ||||||
Cia Paranaense de Energia ADR (1) | 11,600 | 121,568 | ||||||
Estacio Participacoes SA (1) | 7,800 | 46,044 | ||||||
Itau Unibanco Holding SA ADR (1)(a) | 41,110 | 454,677 | ||||||
JBS SA (1) | 47,000 | 208,967 | ||||||
Porto Seguro SA (1) | 5,800 | 64,551 | ||||||
Telefonica Brasil SA ADR (1)(a) | 10,300 | 157,487 | ||||||
Tim Participacoes SA ADR (1) | 800 | 13,264 | ||||||
|
| |||||||
1,999,052 | ||||||||
|
| |||||||
Chile - 0.6% | ||||||||
Enersis SA ADR (1) | 15,200 | 247,152 | ||||||
|
| |||||||
China - 25.9% | ||||||||
AAC Technologies Holdings, Inc. | 8,500 | 52,476 | ||||||
Agricultural Bank of China Ltd., H Shares | 556,000 | 275,271 | ||||||
Anhui Conch Cement Co., Ltd., H Shares | 20,500 | 77,413 | ||||||
ANTA Sports Products Ltd. | 41,000 | 74,868 | ||||||
Bank of China Ltd., H Shares | 1,649,000 | 953,247 | ||||||
Bank of Communications Co., Ltd., H Shares | 422,000 | 362,687 | ||||||
BBMG Corp., H Shares | 21,500 | 19,864 | ||||||
China CITIC Bank Corp. Ltd., H Shares | 206,000 | 155,303 | ||||||
China Construction Bank Corp., H Shares | 1,516,000 | 1,258,261 | ||||||
China Everbright Bank Co. Ltd. | 202,000 | 111,273 | ||||||
China Merchants Bank Co., Ltd., H Shares | 208,000 | 507,861 | ||||||
China Minsheng Banking Corp. Ltd., H Shares | 371,500 | 453,039 | ||||||
China National Building Material Co., Ltd., H Shares | 48,000 | 47,750 | ||||||
China Petroleum & Chemical Corp. ADR (1) | 6,900 | 549,861 | ||||||
China Railway Construction Corp. Ltd., H Shares | 115,000 | 171,444 | ||||||
China Railway Group Ltd., H Shares | 80,000 | 81,823 | ||||||
China Shenhua Energy Co., Ltd., H Shares | 122,000 | 311,185 | ||||||
China Telecom Corp. Ltd., H Shares | 360,000 | 230,152 | ||||||
Chongqing Rural Commercial Bank Co., Ltd., H Shares | 35,000 | 22,690 | ||||||
CNOOC Ltd. ADR (1) | 1,200 | 170,184 | ||||||
Datang International Power Generation Co., Ltd., H Shares | 284,000 | 144,879 | ||||||
Dongfeng Motor Group Co., Ltd., H Shares | 84,000 | 134,353 | ||||||
Evergrande Real Estate Group Ltd. (a) | 540,000 | 272,202 | ||||||
Geely Automobile Holdings Ltd. | 275,000 | 141,267 | ||||||
GOME Electrical Appliances Holding Ltd. | 1,094,000 | 157,591 | ||||||
Haitian International Holdings Ltd. | 8,000 | 18,370 | ||||||
Huadian Power International Corp. Ltd., H Shares | 252,000 | 210,217 | ||||||
Huaneng Power International, Inc., H Shares | 174,000 | 206,656 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 1,487,000 | 1,099,908 | ||||||
Jiangsu Expressway Co., Ltd., H Shares | 16,000 | 21,485 | ||||||
Lenovo Group Ltd. | 170,000 | 247,726 | ||||||
Longfor Properties Co., Ltd. | 100,000 | 141,701 | ||||||
New China Life Insurance Co. Ltd., H Shares | 18,500 | 103,003 |
SHARES | VALUE (Note 4) | |||||||
China - 25.9% (continued) | ||||||||
PetroChina Co., Ltd. ADR (1) | 5,300 | $ | 589,413 | |||||
PICC Property & Casualty Co., Ltd., H Shares | 138,000 | 272,459 | ||||||
Ping An Insurance Group Co. of China Ltd., H Shares | 31,500 | 377,894 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd. | 24,000 | 13,652 | ||||||
Sino-Ocean Land Holdings Ltd. | 231,500 | 140,042 | ||||||
Sinopharm Group Co., Ltd., H Shares | 12,400 | 50,491 | ||||||
Weichai Power Co., Ltd., H Shares | 5,000 | 19,278 | ||||||
ZHuzhou CSR Times Electric Co., Ltd., H Shares | 13,000 | 85,513 | ||||||
|
| |||||||
10,334,752 | ||||||||
|
| |||||||
Hong Kong - 9.3% | ||||||||
Belle International Holdings Ltd. | 188,000 | 219,457 | ||||||
China Everbright Ltd. | 50,000 | 130,311 | ||||||
China Mobile Ltd. ADR (1) | 23,700 | 1,541,211 | ||||||
China Overseas Land & Investment Ltd. | 128,000 | 413,363 | ||||||
China Resources Cement Holdings Ltd. | 78,000 | 44,090 | ||||||
China Resources Land Ltd. | 100,000 | 282,621 | ||||||
China Resources Power Holdings Co., Ltd. | 86,000 | 215,678 | ||||||
China Taiping Insurance Holdings Co., Ltd. † | 9,400 | 32,066 | ||||||
China Unicom Hong Kong Ltd. | 140,000 | 213,121 | ||||||
Far East Horizon Ltd. | 205,000 | 187,504 | ||||||
Haier Electronics Group Co., Ltd. | 7,000 | 18,323 | ||||||
New World China Land Ltd. | 96,000 | 61,398 | ||||||
Shimao Property Holdings Ltd. | 83,500 | 175,208 | ||||||
Yuexiu Property Co., Ltd. | 760,000 | 149,129 | ||||||
|
| |||||||
3,683,480 | ||||||||
|
| |||||||
Hungary - 0.3% | ||||||||
OTP Bank PLC | 4,434 | 83,708 | ||||||
Richter Gedeon Nyrt | 2,719 | 37,298 | ||||||
|
| |||||||
121,006 | ||||||||
|
| |||||||
India - 2.2% | ||||||||
Reliance Industries Ltd. GDR 144A (b) | 1,094 | 28,883 | ||||||
State Bank of India GDR | 8,419 | 356,123 | ||||||
Tata Motors Ltd. ADR (1)(a) | 11,100 | 500,166 | ||||||
|
| |||||||
885,172 | ||||||||
|
| |||||||
Indonesia - 1.4% | ||||||||
Adaro Energy Tbk PT | 1,100,300 | 79,741 | ||||||
Astra Agro Lestari Tbk PT | 5,600 | 10,394 | ||||||
Bank Negara Indonesia Persero Tbk PT | 118,000 | 65,146 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 71,500 | 72,523 | ||||||
Tambang Batubara Bukit Asam Persero Tbk PT | 105,000 | 86,088 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 842,100 | 185,680 | ||||||
United Tractors Tbk PT | 43,300 | 72,058 | ||||||
|
| |||||||
571,630 | ||||||||
|
| |||||||
Korea, Republic of - 13.5% | ||||||||
Amorepacific Corp. | 56 | 169,203 | ||||||
AMOREPACIFIC Group | 67 | 90,531 | ||||||
CJ Corp. | 896 | 141,977 | ||||||
Coway Co., Ltd. | 688 | 56,626 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
19
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 13.5% (continued) | �� | |||||||
Daewoo Engineering & Construction Co., Ltd. † | 2,810 | $ | 20,037 | |||||
Dongbu Insurance Co., Ltd. | 2,070 | 92,170 | ||||||
GS Engineering & Construction Corp. † | 470 | 12,760 | ||||||
Hanwha Corp. | 510 | 16,661 | ||||||
Hanwha Life Insurance Co., Ltd. | 11,023 | 73,143 | ||||||
Hyosung Corp. | 273 | 21,290 | ||||||
Hyundai Development Co.-Engineering & Construction | 2,749 | 140,916 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 667 | 14,913 | ||||||
Hyundai Mipo Dockyard Co., Ltd. † | 132 | 9,050 | ||||||
Hyundai Mobis Co., Ltd. | 115 | 25,473 | ||||||
Hyundai Motor Co. | 82 | 12,418 | ||||||
Hyundai Wia Corp. | 111 | 14,136 | ||||||
Industrial Bank of Korea | 9,612 | 115,379 | ||||||
KB Financial Group, Inc. | 4,109 | 145,043 | ||||||
KCC Corp. | 26 | 13,243 | ||||||
Kia Motors Corp. | 3,504 | 142,395 | ||||||
Korea Electric Power Corp. | 4,570 | 188,328 | ||||||
Korea Investment Holdings Co., Ltd. | 2,297 | 129,927 | ||||||
Korea Zinc Co., Ltd. | 151 | 57,738 | ||||||
Korean Air Lines Co., Ltd. † | 3,649 | 159,447 | ||||||
KT Corp. † | 4,707 | 123,093 | ||||||
LG Corp. | 1,529 | 84,389 | ||||||
LG Display Co., Ltd. | 6,655 | 188,336 | ||||||
LG Uplus Corp. | 8,278 | 82,009 | ||||||
Mirae Asset Securities Co., Ltd. | 2,176 | 102,396 | ||||||
Samsung Card Co., Ltd. | 4,911 | 181,509 | ||||||
Samsung Electronics Co., Ltd. GDR 144A (b) | 1,782 | 1,157,268 | ||||||
Samsung Electronics Co., Ltd. GDR | 521 | 335,086 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 841 | 202,637 | ||||||
Samsung Life Insurance Co., Ltd. | 1,175 | 102,249 | ||||||
Shinhan Financial Group Co., Ltd. | 4,824 | 181,237 | ||||||
SK Holdings Co., Ltd. | 477 | 72,987 | ||||||
SK Hynix, Inc. | 9,367 | 382,610 | ||||||
SK Networks Co., Ltd. | 6,365 | 46,714 | ||||||
SK Telecom Co., Ltd. ADR (1) | 9,700 | 263,937 | ||||||
|
| |||||||
5,369,261 | ||||||||
|
| |||||||
Malaysia - 0.8% | ||||||||
MISC Bhd | 24,800 | 56,736 | ||||||
Tenaga Nasional Bhd | 48,200 | 186,620 | ||||||
YTL Corp. Bhd | 193,700 | 87,362 | ||||||
|
| |||||||
330,718 | ||||||||
|
| |||||||
Mexico - 1.2% | ||||||||
America Movil SAB de CV, Class L ADR (1) | 11,100 | 227,106 | ||||||
Arca Continental SAB de CV (1)† | 12,700 | 78,006 | ||||||
Gruma SAB de CV, Class B (1) | 12,500 | 158,685 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | 1,600 | 10,489 | ||||||
OHL Mexico SAB de CV (1)† | 7,300 | 13,884 | ||||||
|
| |||||||
488,170 | ||||||||
|
| |||||||
Peru - 0.2% | ||||||||
Credicorp Ltd. (1) | 400 | 56,252 | ||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Poland - 2.7% | ||||||||
Enea SA | 18,838 | $ | 82,058 | |||||
Energa SA | 17,713 | 116,208 | ||||||
Grupa Azoty SA | 2,027 | 43,316 | ||||||
KGHM Polska Miedz SA | 5,235 | 165,448 | ||||||
Orange Polska SA | 4,228 | 10,625 | ||||||
PGE Polska Grupa Energetyczna SA | 30,723 | 168,794 | ||||||
Polski Koncern Naftowy Orlen SA | 10,811 | 168,769 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 115,731 | 167,716 | ||||||
Tauron Polska Energia SA | 118,287 | 137,488 | ||||||
|
| |||||||
1,060,422 | ||||||||
|
| |||||||
Russia - 1.3% | ||||||||
MMC Norilsk Nickel OJSC ADR (1) | 14,130 | 250,808 | ||||||
Severstal PAO GDR (1) | 9,879 | 107,681 | ||||||
Severstal PAO GDR (Borse Berlin Equiduct) | 1,650 | 18,548 | ||||||
Tatneft OAO ADR (1) | 1,150 | 34,068 | ||||||
Tatneft OAO ADR (Borse Berlin Equiduct) | 3,376 | 100,153 | ||||||
|
| |||||||
511,258 | ||||||||
|
| |||||||
South Africa - 5.7% | ||||||||
African Rainbow Minerals Ltd. | 876 | 7,125 | ||||||
Barclays Africa Group Ltd. | 4,976 | 75,835 | ||||||
Barloworld Ltd. | 1,412 | 10,774 | ||||||
Bidvest Group Ltd./The | 770 | 20,828 | ||||||
Discovery Ltd. | 12,700 | 130,342 | ||||||
FirstRand Ltd. | 43,617 | 200,509 | ||||||
Foschini Group Ltd./The | 4,468 | 66,430 | ||||||
Gold Fields Ltd. ADR (1) | 22,700 | 91,027 | ||||||
Investec Ltd. | 22,394 | 185,318 | ||||||
Liberty Holdings Ltd. | 7,271 | 100,521 | ||||||
MMI Holdings Ltd. | 40,050 | 108,415 | ||||||
MTN Group Ltd. | 11,799 | 198,898 | ||||||
Nedbank Group Ltd. | 1,031 | 20,193 | ||||||
Netcare Ltd. | 16,800 | 57,612 | ||||||
Pick n Pay Stores Ltd. | 9,128 | 37,181 | ||||||
Redefine Properties Ltd. REIT | 64,256 | 65,618 | ||||||
Resilient Property Income Fund Ltd. | 16,181 | 138,574 | ||||||
Sanlam Ltd. | 26,457 | 170,510 | ||||||
Sappi Ltd. † | 30,356 | 122,567 | ||||||
Sasol Ltd. ADR (1) | 800 | 27,232 | ||||||
Steinhoff International Holdings Ltd. | 45,489 | 284,706 | ||||||
Telkom SA SOC Ltd. † | 22,312 | 145,531 | ||||||
Vodacom Group Ltd. | 1,637 | 17,881 | ||||||
|
| |||||||
2,283,627 | ||||||||
|
| |||||||
Taiwan - 12.7% | ||||||||
Advanced Semiconductor Engineering, Inc. | 132,000 | 178,746 | ||||||
Asia Pacific Telecom Co., Ltd. | 30,000 | 13,691 | ||||||
Asustek Computer, Inc. | 15,000 | 150,795 | ||||||
AU Optronics Corp. | 311,000 | 156,049 | ||||||
Catcher Technology Co., Ltd. | 14,000 | 146,415 | ||||||
Cathay Financial Holding Co., Ltd. | 34,200 | 54,491 | ||||||
Chailease Holding Co., Ltd. | 18,000 | 44,817 | ||||||
Chicony Electronics Co., Ltd. | 11,000 | 30,778 | ||||||
China Airlines Ltd. † | 338,000 | 173,387 | ||||||
China Motor Corp. | 17,000 | 14,711 | ||||||
Compal Electronics, Inc. † | 29,000 | 24,092 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
20
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Taiwan - 12.7% (continued) | ||||||||
Eva Airways Corp. † | 150,000 | $ | 109,999 | |||||
Far EasTone Telecommunications Co., Ltd. † | 66,000 | 159,221 | ||||||
Farglory Land Development Co., Ltd. | 8,000 | 9,214 | ||||||
Formosa Taffeta Co., Ltd. | 12,000 | 12,622 | ||||||
Foxconn Technology Co., Ltd. | 35,300 | 94,647 | ||||||
Fubon Financial Holding Co., Ltd. | 184,000 | 329,828 | ||||||
Hon Hai Precision Industry Co., Ltd. | 167,600 | 490,589 | ||||||
Innolux Corp. | 337,000 | 167,901 | ||||||
Inotera Memories, Inc. † | 134,000 | 177,864 | ||||||
Kinsus Interconnect Technology Corp. | 13,000 | 41,638 | ||||||
Largan Precision Co., Ltd. | 2,000 | 171,936 | ||||||
MediaTek, Inc. | 1,000 | 13,506 | ||||||
Novatek Microelectronics Corp. | 22,000 | 113,540 | ||||||
Pegatron Corp. | 51,000 | 137,600 | ||||||
Pou Chen Corp. | 21,000 | 29,343 | ||||||
Powertech Technology, Inc. | 51,000 | 87,645 | ||||||
Realtek Semiconductor Corp. | 39,000 | 124,218 | ||||||
Ruentex Industries Ltd. | 8,000 | 17,505 | ||||||
Shin Kong Financial Holding Co., Ltd. | 68,525 | 19,464 | ||||||
Siliconware Precision Industries Co., Ltd. | 95,000 | 157,403 | ||||||
Taiwan Cement Corp. | 39,000 | 54,889 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | 50,500 | 1,185,740 | ||||||
Teco Electric and Machinery Co., Ltd. | 15,000 | 14,256 | ||||||
Transcend Information, Inc. | 29,000 | 102,675 | ||||||
United Microelectronics Corp. | 313,000 | 155,083 | ||||||
Walsin Lihwa Corp. † | 130,000 | 39,986 | ||||||
Zhen Ding Technology Holding Ltd. | 18,000 | 58,618 | ||||||
|
| |||||||
5,064,902 | ||||||||
|
| |||||||
Thailand - 3.4% | ||||||||
Bangkok Bank PCL NVDR | 19,300 | 109,351 | ||||||
Delta Electronics Thailand PCL NVDR | 75,300 | 174,083 | ||||||
Glow Energy PCL NVDR | 14,500 | 38,192 | ||||||
Kasikornbank PCL NVDR | 29,100 | 204,615 | ||||||
Krung Thai Bank PCL NVDR | 228,100 | 159,796 | ||||||
PTT PCL NVDR | 31,600 | 313,467 | ||||||
Siam Commercial Bank PCL/The NVDR | 39,100 | 213,844 | ||||||
Thai Union Frozen Products PCL NVDR | 170,000 | 104,960 | ||||||
TMB Bank PCL NVDR | 553,100 | 50,624 | ||||||
|
| |||||||
1,368,932 | ||||||||
|
| |||||||
Turkey - 6.9% | ||||||||
Akbank TAS | 71,735 | 210,437 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | 106,977 | 121,090 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 101,848 | 158,289 | ||||||
KOC Holding AS | 55,642 | 253,095 | ||||||
TAV Havalimanlari Holding AS † | 19,466 | 162,636 | ||||||
Tofas Turk Otomobil Fabrikasi AS | 17,930 | 108,453 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 6,415 | 151,982 | ||||||
Turk Hava Yollari AO † | 58,316 | 192,375 | ||||||
Turk Telekomunikasyon AS | 78,409 | 207,879 | ||||||
Turkcell Iletisim Hizmetleri AS † | 54,486 | 279,463 | ||||||
Turkiye Garanti Bankasi AS | 63,264 | 206,309 | ||||||
Turkiye Halk Bankasi AS | 26,396 | 129,986 | ||||||
Turkiye Is Bankasi, Class C | 59,319 | 133,501 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | 112,014 | 138,150 |
SHARES | VALUE (Note 4) | |||||||
Turkey - 6.9% (continued) | ||||||||
Turkiye Vakiflar Bankasi Tao, Class D | 87,220 | $ | 142,349 | |||||
Yapi ve Kredi Bankasi AS | 89,613 | 137,357 | ||||||
|
| |||||||
2,733,351 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 37,109,137 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.5% | ||||||||
Brazil - 1.5% | ||||||||
AES Tiete SA (1) | 12,600 | 67,825 | ||||||
Banco do Estado do Rio Grande do Sul SA, Series B (1) | 30,600 | 106,521 | ||||||
Cia Energetica de Sao Paulo, Series B (1) | 21,600 | 161,075 | ||||||
Itausa - Investimentos Itau SA (1) | 54,800 | 171,875 | ||||||
Suzano Papel e Celulose SA, Series A (1) | 20,500 | 95,064 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 602,360 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 3.5% | ||||||||
United States - 3.5% | ||||||||
iShares MSCI Emerging Markets ETF (1) | 34,349 | 1,378,425 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 2.3% | ||||||||
Money Market Funds - 2.3% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (2) (c)(d) | ||||||||
(cost $906,364) | 906,364 | 906,364 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 39,996,286 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4%) | (156,594) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 39,839,692 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $894,004; cash collateral of $906,364 was received with which the Fund purchased a money market fund. |
(b) | 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. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(d) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
21
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 2,076,887 | 5.2 | % | ||||
Consumer Staples | 1,142,820 | 2.9 | ||||||
Energy | 2,778,741 | 7.0 | ||||||
Exchange-Traded Funds | 1,378,425 | 3.5 | ||||||
Financials | 14,666,508 | 36.8 | ||||||
Health Care | 159,054 | 0.4 | ||||||
Industrials | 2,368,089 | 5.9 | ||||||
Information Technology | 6,505,062 | 16.3 | ||||||
Materials | 1,399,568 | 3.5 | ||||||
Telecommunication Services | 4,070,247 | 10.2 | ||||||
Utilities | 2,544,521 | 6.4 | ||||||
Securities Lending Collateral | 906,364 | 2.3 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 39,996,286 | 100.4 | ||||||
Liabilities in Excess of Other Assets | (156,594 | ) | (0.4 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 39,839,692 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
22
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
COMMON STOCKS - 90.7% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 12.7% | ||||||||
Advance Auto Parts, Inc. | 38 | $ | 5,688 | |||||
Apollo Education Group, Inc. † | 154 | 2,914 | ||||||
AutoNation, Inc. † | 43 | 2,766 | ||||||
AutoZone, Inc. † | 22 | 15,008 | ||||||
Bed Bath & Beyond, Inc. † | 66 | 5,067 | ||||||
Best Buy Co., Inc. | 374 | 14,133 | ||||||
Brinker International, Inc. | 70 | 4,309 | ||||||
Burlington Stores, Inc. † | 72 | 4,278 | ||||||
Cablevision Systems Corp., Class A | 274 | 5,014 | ||||||
Columbia Sportswear Co. | 41 | 2,497 | ||||||
Comcast Corp., Class A | 850 | 47,999 | ||||||
Cracker Barrel Old Country Store, Inc. | 21 | 3,195 | ||||||
Dana Holding Corp. | 123 | 2,603 | ||||||
Deckers Outdoor Corp. † | 28 | 2,040 | ||||||
DeVry Education Group, Inc. | 83 | 2,769 | ||||||
Dillard’s, Inc., Class A | 49 | 6,689 | ||||||
Dollar General Corp. † | 240 | 18,091 | ||||||
Dollar Tree, Inc. † | 146 | 11,847 | ||||||
Domino’s Pizza, Inc. | 24 | 2,413 | ||||||
Expedia, Inc. | 73 | 6,871 | ||||||
Foot Locker, Inc. | 131 | 8,253 | ||||||
GameStop Corp., Class A | 69 | 2,619 | ||||||
Gannett Co., Inc. | 169 | 6,267 | ||||||
Gap, Inc./The | 315 | 13,649 | ||||||
Genuine Parts Co. | 27 | 2,516 | ||||||
Graham Holdings Co., Class B | 6 | 6,298 | ||||||
H&R Block, Inc. | 97 | 3,111 | ||||||
Hanesbrands, Inc. | 211 | 7,071 | ||||||
Harman International Industries, Inc. | 31 | 4,143 | ||||||
Home Depot, Inc./The | 660 | 74,983 | ||||||
HSN, Inc. | 34 | 2,320 | ||||||
John Wiley & Sons, Inc. | 67 | 4,096 | ||||||
Kohl’s Corp. | 172 | 13,459 | ||||||
L Brands, Inc. | 246 | 23,195 | ||||||
Lear Corp. | 47 | 5,209 | ||||||
Leggett & Platt, Inc. | 64 | 2,950 | ||||||
Lowe’s Cos., Inc. | 787 | 58,545 | ||||||
Macy’s, Inc. | 273 | 17,720 | ||||||
Mohawk Industries, Inc. † | 22 | 4,086 | ||||||
NIKE, Inc., Class B | 481 | 48,259 | ||||||
Nordstrom, Inc. | 116 | 9,317 | ||||||
NVR, Inc. † | 2 | 2,657 | ||||||
O’Reilly Automotive, Inc. † | 65 | 14,056 | ||||||
Ross Stores, Inc. | 176 | 18,543 | ||||||
Royal Caribbean Cruises Ltd. | 90 | 7,366 | ||||||
Sally Beauty Holdings, Inc. † | 81 | 2,784 | ||||||
Skechers U.S.A., Inc., Class A † | 91 | 6,544 | ||||||
Staples, Inc. | 406 | 6,612 | ||||||
Target Corp. | 536 | 43,990 | ||||||
Time Warner, Inc. | 348 | 29,385 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 23 | 3,470 | ||||||
Whirlpool Corp. | 75 | 15,155 | ||||||
Williams-Sonoma, Inc. | 65 | 5,181 | ||||||
|
| |||||||
640,000 | ||||||||
|
| |||||||
Consumer Staples - 9.6% | ||||||||
Altria Group, Inc. | 1,147 | 57,373 | ||||||
Archer-Daniels-Midland Co. | 316 | 14,978 |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 9.6% (continued) | ||||||||
Bunge Ltd. | 58 | $ | 4,777 | |||||
Costco Wholesale Corp. | 229 | 34,692 | ||||||
Coty, Inc., Class A † | 143 | 3,471 | ||||||
CVS Health Corp. | 753 | 77,717 | ||||||
Dr Pepper Snapple Group, Inc. | 88 | 6,906 | ||||||
Energizer Holdings, Inc. | 38 | 5,246 | ||||||
Ingredion, Inc. | 64 | 4,981 | ||||||
Kroger Co./The | 457 | 35,034 | ||||||
Molson Coors Brewing Co., Class B | 80 | 5,956 | ||||||
Monster Beverage Corp. † | 94 | 13,009 | ||||||
PepsiCo, Inc. | 621 | 59,380 | ||||||
Pilgrim’s Pride Corp. | 236 | 5,331 | ||||||
Pinnacle Foods, Inc. | 145 | 5,918 | ||||||
Rite Aid Corp. † | 1,085 | 9,429 | ||||||
Seaboard Corp. † | 1 | 4,132 | ||||||
Spectrum Brands Holdings, Inc. | 45 | 4,030 | ||||||
Tyson Foods, Inc., Class A | 94 | 3,600 | ||||||
Walgreens Boots Alliance, Inc. | 384 | 32,517 | ||||||
Wal-Mart Stores, Inc. | 1,153 | 94,834 | ||||||
|
| |||||||
483,311 | ||||||||
|
| |||||||
Energy - 1.6% | ||||||||
CVR Energy, Inc. | 115 | 4,894 | ||||||
EOG Resources, Inc. | 72 | 6,602 | ||||||
Halliburton Co. | 58 | 2,545 | ||||||
Helmerich & Payne, Inc. | 18 | 1,225 | ||||||
Marathon Petroleum Corp. | 225 | 23,038 | ||||||
Newfield Exploration Co. † | 143 | 5,018 | ||||||
Superior Energy Services, Inc. | 50 | 1,117 | ||||||
Tesoro Corp. | 152 | 13,876 | ||||||
Valero Energy Corp. | 324 | 20,613 | ||||||
Western Refining, Inc. | 69 | 3,408 | ||||||
|
| |||||||
82,336 | ||||||||
|
| |||||||
Financials - 17.4% | ||||||||
Alleghany Corp. † | 12 | 5,844 | ||||||
Allstate Corp./The | 253 | 18,006 | ||||||
American Financial Group, Inc. | 70 | 4,491 | ||||||
American International Group, Inc. | 1,151 | 63,063 | ||||||
American National Insurance Co. | 34 | 3,345 | ||||||
Ameriprise Financial, Inc. | 52 | 6,804 | ||||||
AmTrust Financial Services, Inc. | 106 | 6,040 | ||||||
Apartment Investment & Management Co., Class A REIT | 39 | 1,535 | ||||||
Arch Capital Group Ltd. † | 40 | 2,464 | ||||||
Assurant, Inc. | 58 | 3,562 | ||||||
Assured Guaranty Ltd. | 192 | 5,067 | ||||||
Bank of New York Mellon Corp./The | 345 | 13,883 | ||||||
BB&T Corp. | 59 | 2,300 | ||||||
Berkshire Hathaway, Inc., Class B † | 903 | 130,321 | ||||||
Capital One Financial Corp. | 308 | 24,277 | ||||||
CBRE Group, Inc., Class A † | 133 | 5,148 | ||||||
Chubb Corp./The | 69 | 6,976 | ||||||
Citigroup, Inc. | 1,124 | 57,908 | ||||||
CNO Financial Group, Inc. | 74 | 1,274 | ||||||
Credit Acceptance Corp. † | 14 | 2,730 | ||||||
Discover Financial Services | 151 | 8,509 | ||||||
Everest Re Group Ltd. | 31 | 5,394 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
23
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 17.4% (continued) | ||||||||
First American Financial Corp. | 158 | $ | 5,637 | |||||
First Horizon National Corp. | 210 | 3,001 | ||||||
FNF Group | 166 | 6,102 | ||||||
Goldman Sachs Group, Inc./The | 340 | 63,910 | ||||||
Hanover Insurance Group, Inc./The | 73 | 5,298 | ||||||
Hartford Financial Services Group, Inc./The | 166 | 6,942 | ||||||
HCC Insurance Holdings, Inc. | 97 | 5,497 | ||||||
Huntington Bancshares, Inc. | 285 | 3,149 | ||||||
Janus Capital Group, Inc. | 156 | 2,682 | ||||||
Jones Lang LaSalle, Inc. | 38 | 6,475 | ||||||
JPMorgan Chase & Co. | 1,179 | 71,424 | ||||||
Lincoln National Corp. | 113 | 6,493 | ||||||
Mercury General Corp. | 82 | 4,736 | ||||||
MetLife, Inc. | 772 | 39,025 | ||||||
Morgan Stanley | 1,328 | 47,396 | ||||||
NASDAQ OMX Group, Inc./The | 101 | 5,145 | ||||||
Navient Corp. | 271 | 5,509 | ||||||
PartnerRe Ltd. | 48 | 5,488 | ||||||
PNC Financial Services Group, Inc./The | 226 | 21,072 | ||||||
Post Properties, Inc. REIT | 45 | 2,562 | ||||||
Principal Financial Group, Inc. | 101 | 5,188 | ||||||
Progressive Corp./The | 100 | 2,720 | ||||||
Prudential Financial, Inc. | 99 | 7,951 | ||||||
Radian Group, Inc. | 221 | 3,711 | ||||||
Raymond James Financial, Inc. | 52 | 2,953 | ||||||
Reinsurance Group of America, Inc. | 58 | 5,405 | ||||||
RenaissanceRe Holdings Ltd. | 13 | 1,296 | ||||||
State Street Corp. | 145 | 10,662 | ||||||
Strategic Hotels & Resorts, Inc. REIT† | 100 | 1,243 | ||||||
SunTrust Banks, Inc. | 159 | 6,533 | ||||||
Travelers Cos., Inc./The | 292 | 31,574 | ||||||
Unum Group | 86 | 2,901 | ||||||
Validus Holdings Ltd. | 98 | 4,126 | ||||||
Wells Fargo & Co. | 1,540 | 83,776 | ||||||
White Mountains Insurance Group Ltd. | 7 | 4,792 | ||||||
WR Berkley Corp. | 118 | 5,960 | ||||||
|
| |||||||
877,275 | ||||||||
|
| |||||||
Health Care - 12.4% | ||||||||
AbbVie, Inc. | 550 | 32,197 | ||||||
Aetna, Inc. | 282 | 30,041 | ||||||
Alexion Pharmaceuticals, Inc. † | 28 | 4,852 | ||||||
AmerisourceBergen Corp. | 26 | 2,955 | ||||||
Amgen, Inc. | 337 | 53,869 | ||||||
Anthem, Inc. | 220 | 33,970 | ||||||
Becton Dickinson and Co. | 49 | 7,036 | ||||||
Celgene Corp. † | 307 | 35,391 | ||||||
Centene Corp. † | 106 | 7,493 | ||||||
Cigna Corp. | 132 | 17,086 | ||||||
CR Bard, Inc. | 34 | 5,690 | ||||||
DaVita HealthCare Partners, Inc. † | 24 | 1,951 | ||||||
Edwards Lifesciences Corp. † | 55 | 7,835 | ||||||
Eli Lilly & Co. | 338 | 24,556 | ||||||
Gilead Sciences, Inc. † | 622 | 61,037 | ||||||
HCA Holdings, Inc. † | 339 | 25,503 | ||||||
Health Net, Inc. † | 108 | 6,533 | ||||||
Humana, Inc. | 112 | 19,938 | ||||||
IDEXX Laboratories, Inc. † | 13 | 2,008 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 12.4% (continued) | ||||||||
Illumina, Inc. † | 11 | $ | 2,042 | |||||
Johnson & Johnson | 691 | 69,515 | ||||||
LifePoint Hospitals, Inc. † | 68 | 4,995 | ||||||
McKesson Corp. | 49 | 11,084 | ||||||
Medtronic PLC (Ireland) | 174 | 13,570 | ||||||
Merck & Co., Inc. | 515 | 29,602 | ||||||
PAREXEL International Corp. † | 48 | 3,312 | ||||||
Quest Diagnostics, Inc. | 47 | 3,612 | ||||||
Quintiles Transnational Holdings, Inc. † | 80 | 5,358 | ||||||
STERIS Corp. | 66 | 4,638 | ||||||
Teleflex, Inc. | 32 | 3,867 | ||||||
United Therapeutics Corp. † | 34 | 5,863 | ||||||
UnitedHealth Group, Inc. | 607 | 71,802 | ||||||
Universal Health Services, Inc., Class B | 47 | 5,532 | ||||||
VCA, Inc. † | 54 | 2,960 | ||||||
Zimmer Holdings, Inc. | 51 | 5,994 | ||||||
|
| |||||||
623,687 | ||||||||
|
| |||||||
Industrials - 11.1% | ||||||||
3M Co. | 446 | 73,568 | ||||||
Air Lease Corp. | 39 | 1,472 | ||||||
Alaska Air Group, Inc. | 105 | 6,949 | ||||||
AMERCO | 10 | 3,304 | ||||||
American Airlines Group, Inc. | 486 | 25,651 | ||||||
Avis Budget Group, Inc. † | 81 | 4,780 | ||||||
Boeing Co./The | 180 | 27,014 | ||||||
Caterpillar, Inc. | 113 | 9,043 | ||||||
Cintas Corp. | 76 | 6,204 | ||||||
CSX Corp. | 473 | 15,666 | ||||||
Cummins, Inc. | 43 | 5,962 | ||||||
Curtiss-Wright Corp. | 60 | 4,436 | ||||||
Delta Air Lines, Inc. | 664 | 29,853 | ||||||
Deluxe Corp. | 84 | 5,820 | ||||||
Esterline Technologies Corp. † | 12 | 1,373 | ||||||
FedEx Corp. | 240 | 39,708 | ||||||
GATX Corp. | 46 | 2,667 | ||||||
General Dynamics Corp. | 209 | 28,368 | ||||||
Huntington Ingalls Industries, Inc. | 47 | 6,587 | ||||||
JetBlue Airways Corp. † | 378 | 7,276 | ||||||
L-3 Communications Holdings, Inc. | 23 | 2,893 | ||||||
Landstar System, Inc. | 46 | 3,050 | ||||||
Lockheed Martin Corp. | 208 | 42,216 | ||||||
Macquarie Infrastructure Co. LLC | 54 | 4,444 | ||||||
Norfolk Southern Corp. | 48 | 4,940 | ||||||
Northrop Grumman Corp. | 112 | 18,028 | ||||||
Pitney Bowes, Inc. | 213 | 4,967 | ||||||
Raytheon Co. | 70 | 7,647 | ||||||
Republic Services, Inc. | 59 | 2,393 | ||||||
Robert Half International, Inc. | 85 | 5,144 | ||||||
Ryder System, Inc. | 52 | 4,934 | ||||||
Snap-on, Inc. | 39 | 5,735 | ||||||
Southwest Airlines Co. | 553 | 24,498 | ||||||
Spirit AeroSystems Holdings, Inc., Class A † | 108 | 5,639 | ||||||
Spirit Airlines, Inc. † | 37 | 2,862 | ||||||
Stanley Black & Decker, Inc. | 75 | 7,152 | ||||||
Teledyne Technologies, Inc. † | 17 | 1,814 | ||||||
Textron, Inc. | 87 | 3,857 | ||||||
Timken Co./The | 58 | 2,444 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
24
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.1% (continued) | ||||||||
Trinity Industries, Inc. | 121 | $ | 4,297 | |||||
Union Pacific Corp. | 578 | 62,603 | ||||||
United Continental Holdings, Inc. † | 294 | 19,772 | ||||||
United Rentals, Inc. † | 62 | 5,652 | ||||||
WABCO Holdings, Inc. † | 27 | 3,318 | ||||||
Waste Management, Inc. | 59 | 3,200 | ||||||
|
| |||||||
559,200 | ||||||||
|
| |||||||
Information Technology - 20.8% | ||||||||
Activision Blizzard, Inc. | 273 | 6,204 | ||||||
Akamai Technologies, Inc. † | 23 | 1,634 | ||||||
Amdocs Ltd. | 117 | 6,365 | ||||||
Apple, Inc. | 1,950 | 242,638 | ||||||
Applied Materials, Inc. | 938 | 21,161 | ||||||
ARRIS Group, Inc. † | 190 | 5,490 | ||||||
Booz Allen Hamilton Holding Corp. | 202 | 5,846 | ||||||
Broadcom Corp., Class A | 456 | 19,742 | ||||||
Brocade Communications Systems, Inc. | 495 | 5,873 | ||||||
Cadence Design Systems, Inc. † | 180 | 3,319 | ||||||
Cavium, Inc. † | 37 | 2,620 | ||||||
CDW Corp. | 148 | 5,512 | ||||||
Cisco Systems, Inc. | 2,678 | 73,712 | ||||||
CommScope Holding Co., Inc. † | 197 | 5,622 | ||||||
Computer Sciences Corp. | 89 | 5,810 | ||||||
Corning, Inc. | 864 | 19,596 | ||||||
Dolby Laboratories, Inc., Class A | 29 | 1,107 | ||||||
Electronic Arts, Inc. † | 261 | 15,351 | ||||||
EMC Corp. | 1,631 | 41,688 | ||||||
F5 Networks, Inc. † | 37 | 4,253 | ||||||
Facebook, Inc., Class A † | 123 | 10,112 | ||||||
Fiserv, Inc. † | 34 | 2,700 | ||||||
Fortinet, Inc. † | 78 | 2,726 | ||||||
Global Payments, Inc. | 14 | 1,284 | ||||||
Harris Corp. | 54 | 4,253 | ||||||
Hewlett-Packard Co. | 1,335 | 41,599 | ||||||
IAC/InterActiveCorp | 22 | 1,484 | ||||||
Intel Corp. | 2,522 | 78,863 | ||||||
Jabil Circuit, Inc. | 122 | 2,852 | ||||||
Juniper Networks, Inc. | 71 | 1,603 | ||||||
KLA-Tencor Corp. | 57 | 3,323 | ||||||
Lam Research Corp. | 85 | 5,970 | ||||||
Marvell Technology Group Ltd. | 340 | 4,998 | ||||||
Micron Technology, Inc. † | 1,005 | 27,266 | ||||||
Microsoft Corp. | 3,085 | 125,421 | ||||||
NetApp, Inc. | 146 | 5,177 | ||||||
NVIDIA Corp. | 324 | 6,780 | ||||||
ON Semiconductor Corp. † | 470 | 5,692 | ||||||
Oracle Corp. | 1,827 | 78,835 | ||||||
PTC, Inc. † | 31 | 1,121 | ||||||
Qorvo, Inc. † | 129 | 10,281 | ||||||
SanDisk Corp. | 100 | 6,362 | ||||||
Skyworks Solutions, Inc. | 199 | 19,560 | ||||||
SolarWinds, Inc. † | 46 | 2,357 | ||||||
Symantec Corp. | 268 | 6,262 | ||||||
Synopsys, Inc. † | 89 | 4,122 | ||||||
Teradyne, Inc. | 120 | 2,262 | ||||||
Texas Instruments, Inc. | 942 | 53,868 | ||||||
VeriFone Systems, Inc. † | 93 | 3,245 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 20.8% (continued) | ||||||||
Verint Systems, Inc. † | 42 | $ | 2,601 | |||||
Western Digital Corp. | 165 | 15,017 | ||||||
Western Union Co./The | 158 | 3,288 | ||||||
Xerox Corp. | 558 | 7,170 | ||||||
Zebra Technologies Corp., Class A † | 65 | 5,896 | ||||||
|
| |||||||
1,047,893 | ||||||||
|
| |||||||
Materials - 1.6% | ||||||||
Alcoa, Inc. | 961 | 12,416 | ||||||
Ball Corp. | 79 | 5,581 | ||||||
Berry Plastics Group, Inc. † | 65 | 2,352 | ||||||
Celanese Corp., Series A | 24 | 1,341 | ||||||
CF Industries Holdings, Inc. | 9 | 2,553 | ||||||
Crown Holdings, Inc. † | 51 | 2,755 | ||||||
Dow Chemical Co./The | 272 | 13,051 | ||||||
Eastman Chemical Co. | 21 | 1,454 | ||||||
Graphic Packaging Holding Co. | 348 | 5,060 | ||||||
Packaging Corp. of America | 60 | 4,691 | ||||||
Rock-Tenn Co., Class A | 51 | 3,289 | ||||||
Sherwin-Williams Co./The | 43 | 12,234 | ||||||
Steel Dynamics, Inc. | 197 | 3,960 | ||||||
United States Steel Corp. | 118 | 2,879 | ||||||
Westlake Chemical Corp. | 60 | 4,316 | ||||||
|
| |||||||
77,932 | ||||||||
|
| |||||||
Telecommunication Services - 1.3% | ||||||||
AT&T, Inc. | 1,577 | 51,489 | ||||||
CenturyLink, Inc. | 197 | 6,806 | ||||||
Frontier Communications Corp. | 669 | 4,717 | ||||||
|
| |||||||
63,012 | ||||||||
|
| |||||||
Utilities - 2.2% | ||||||||
AGL Resources, Inc. | 23 | 1,142 | ||||||
American Electric Power Co., Inc. | 248 | 13,950 | ||||||
CMS Energy Corp. | 85 | 2,967 | ||||||
Consolidated Edison, Inc. | 56 | 3,416 | ||||||
DTE Energy Co. | 57 | 4,599 | ||||||
Duke Energy Corp. | 162 | 12,438 | ||||||
Edison International | 99 | 6,185 | ||||||
Entergy Corp. | 78 | 6,044 | ||||||
Exelon Corp. | 489 | 16,435 | ||||||
IDACORP, Inc. | 49 | 3,081 | ||||||
PG&E Corp. | 234 | 12,418 | ||||||
Pinnacle West Capital Corp. | 40 | 2,550 | ||||||
Public Service Enterprise Group, Inc. | 157 | 6,582 | ||||||
SCANA Corp. | 48 | 2,640 | ||||||
UGI Corp. | 131 | 4,269 | ||||||
Vectren Corp. | 55 | 2,428 | ||||||
Westar Energy, Inc. | 94 | 3,643 | ||||||
Xcel Energy, Inc. | 101 | 3,516 | ||||||
|
| |||||||
108,303 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 4,562,949 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 6.3% | ||||||||
SPDR S&P 500 ETF Trust | 1,547 | 319,347 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
25
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND |
MONEY MARKET FUNDS - 13.3% | SHARES | VALUE (Note 4) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | ||||||||
(cost $669,020) | 669,020 | $ | 669,020 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 5,551,316 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (10.3%) | (519,019) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 5,032,297 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
26
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
COMMON STOCKS - 96.7% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 19.4% | ||||||||
1-800-Flowers.com, Inc., Class A † | 551 | $ | 6,518 | |||||
A. H. Belo Corp., Class A | 246 | 2,025 | ||||||
Aaron’s, Inc. | 91 | 2,576 | ||||||
Abercrombie & Fitch Co., Class A | 175 | 3,857 | ||||||
AMC Entertainment Holdings, Inc., Class A | 111 | 3,939 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 318 | 8,214 | ||||||
American Eagle Outfitters, Inc. | 510 | 8,711 | ||||||
America’s Car-Mart, Inc. † | 73 | 3,960 | ||||||
ANN, Inc. † | 189 | 7,755 | ||||||
Asbury Automotive Group, Inc. †(a) | 138 | 11,468 | ||||||
Barnes & Noble, Inc. † | 275 | 6,531 | ||||||
Big Lots, Inc. | 243 | 11,671 | ||||||
Brown Shoe Co., Inc. (a) | 220 | 7,216 | ||||||
Buckle, Inc./The | 188 | 9,605 | ||||||
Build-A-Bear Workshop, Inc. † | 207 | 4,068 | ||||||
Capella Education Co. | 60 | 3,893 | ||||||
Career Education Corp. † | 187 | 941 | ||||||
Carrols Restaurant Group, Inc. †(a) | 172 | 1,426 | ||||||
Cato Corp./The, Class A | 140 | 5,544 | ||||||
Chico’s FAS, Inc. | 180 | 3,184 | ||||||
Children’s Place, Inc./The (a) | 97 | 6,226 | ||||||
Christopher & Banks Corp. † | 309 | 1,718 | ||||||
Citi Trends, Inc. † | 155 | 4,185 | ||||||
Collectors Universe, Inc. | 102 | 2,301 | ||||||
Cooper Tire & Rubber Co. | 303 | 12,981 | ||||||
Cooper-Standard Holding, Inc. † | 81 | 4,795 | ||||||
Core-Mark Holding Co., Inc. | 91 | 5,853 | ||||||
CSS Industries, Inc. | 44 | 1,327 | ||||||
Deckers Outdoor Corp. † | 24 | 1,749 | ||||||
Denny’s Corp. † | 124 | 1,414 | ||||||
Diamond Resorts International, Inc. † | 268 | 8,959 | ||||||
Entercom Communications Corp., Class A † | 115 | 1,397 | ||||||
Ethan Allen Interiors, Inc. | 147 | 4,063 | ||||||
Famous Dave’s of America, Inc. † | 109 | 3,107 | ||||||
Finish Line, Inc./The, Class A | 221 | 5,419 | ||||||
Flexsteel Industries, Inc. | 104 | 3,254 | ||||||
Genesco, Inc. † | 89 | 6,339 | ||||||
Gentherm, Inc. †(a) | 153 | 7,728 | ||||||
G-III Apparel Group Ltd. † | 88 | 9,913 | ||||||
Group 1 Automotive, Inc. | 100 | 8,633 | ||||||
Harte-Hanks, Inc. | 142 | 1,108 | ||||||
Haverty Furniture Cos., Inc. | 164 | 4,080 | ||||||
Helen of Troy Ltd. † | 107 | 8,719 | ||||||
Houghton Mifflin Harcourt Co. † | 537 | 12,609 | ||||||
Iconix Brand Group, Inc. † | 115 | 3,872 | ||||||
Isle of Capri Casinos, Inc. † | 130 | 1,827 | ||||||
Jack in the Box, Inc. | 113 | 10,839 | ||||||
JC Penney Co., Inc. †(a) | 502 | 4,222 | ||||||
Kirkland’s, Inc. † | 50 | 1,188 | ||||||
Lakeland Industries, Inc. †(a) | 246 | 2,202 | ||||||
Libbey, Inc. | 134 | 5,348 | ||||||
Lithia Motors, Inc., Class A (a) | 77 | 7,655 | ||||||
Marcus Corp./The | 118 | 2,512 | ||||||
Marriott Vacations Worldwide Corp. | 133 | 10,780 | ||||||
Mattress Firm Holding Corp. † | 79 | 5,502 | ||||||
McClatchy Co./The, Class A † | 1,242 | 2,285 | ||||||
Meredith Corp. | 114 | 6,358 | ||||||
Modine Manufacturing Co. † | 298 | 4,014 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 19.4% (continued) | ||||||||
Motorcar Parts of America, Inc. † | 78 | $ | 2,168 | |||||
Movado Group, Inc. | 145 | 4,135 | ||||||
Murphy USA, Inc. † | 87 | 6,296 | ||||||
Nathan’s Famous, Inc. | 22 | 1,191 | ||||||
Nautilus, Inc. † | 287 | 4,382 | ||||||
Outerwall, Inc. | 91 | 6,017 | ||||||
Overstock.com, Inc. † | 59 | 1,429 | ||||||
Perry Ellis International, Inc. † | 173 | 4,007 | ||||||
Popeyes Louisiana Kitchen, Inc. † | 27 | 1,615 | ||||||
Reading International, Inc. † | 136 | 1,829 | ||||||
Regis Corp. † | 287 | 4,695 | ||||||
Rent-A-Center, Inc. | 67 | 1,838 | ||||||
Ruby Tuesday, Inc. †(a) | 615 | 3,696 | ||||||
Scholastic Corp. | 164 | 6,714 | ||||||
Select Comfort Corp. † | 237 | 8,169 | ||||||
Skullcandy, Inc. † | 333 | 3,763 | ||||||
Smith & Wesson Holding Corp. †(a) | 136 | 1,731 | ||||||
Sonic Automotive, Inc., Class A | 222 | 5,528 | ||||||
Speedway Motorsports, Inc. | 225 | 5,119 | ||||||
Stage Stores, Inc. | 122 | 2,796 | ||||||
Standard Motor Products, Inc. | 135 | 5,705 | ||||||
Stein Mart, Inc. (a) | 85 | 1,058 | ||||||
Strattec Security Corp. (a) | 47 | 3,470 | ||||||
Strayer Education, Inc. † | 71 | 3,792 | ||||||
Texas Roadhouse, Inc. | 51 | 1,858 | ||||||
Tower International, Inc. † | 175 | 4,655 | ||||||
Tuesday Morning Corp. † | 66 | 1,063 | ||||||
Unifi, Inc. † | 74 | 2,671 | ||||||
Universal Electronics, Inc. † | 81 | 4,572 | ||||||
ZAGG, Inc. † | 623 | 5,401 | ||||||
Zumiez, Inc. † | 146 | 5,877 | ||||||
|
| |||||||
426,823 | ||||||||
|
| |||||||
Consumer Staples - 5.6% | ||||||||
Andersons, Inc./The | 46 | 1,903 | ||||||
Calavo Growers, Inc. | 29 | 1,491 | ||||||
Cal-Maine Foods, Inc. | 209 | 8,163 | ||||||
Central Garden and Pet Co., Class A † | 309 | 3,282 | ||||||
Coca-Cola Bottling Co. Consolidated | 34 | 3,844 | ||||||
Farmer Bros Co. † | 115 | 2,846 | ||||||
Fresh Del Monte Produce, Inc. (a) | 233 | 9,066 | ||||||
HRG Group, Inc. † | 687 | 8,574 | ||||||
Ingles Markets, Inc., Class A | 139 | 6,878 | ||||||
J&J Snack Foods Corp. (a) | 61 | 6,509 | ||||||
John B. Sanfilippo & Son, Inc. | 106 | 4,569 | ||||||
Medifast, Inc. † | 127 | 3,806 | ||||||
MGP Ingredients, Inc. | 248 | 3,338 | ||||||
National Beverage Corp. † | 138 | 3,369 | ||||||
Omega Protein Corp. † | 121 | 1,656 | ||||||
Revlon, Inc., Class A † | 206 | 8,487 | ||||||
Sanderson Farms, Inc. | 109 | 8,682 | ||||||
SpartanNash Co. | 176 | 5,555 | ||||||
SUPERVALU, Inc. † | 1,164 | 13,537 | ||||||
USANA Health Sciences, Inc. † | 67 | 7,445 | ||||||
Vector Group Ltd. | 492 | 10,809 | ||||||
|
| |||||||
123,809 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
27
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Energy - 3.1% | ||||||||
Abraxas Petroleum Corp. † | 712 | $ | 2,314 | |||||
Alon USA Energy, Inc. | 255 | 4,225 | ||||||
Callon Petroleum Co. † | 148 | 1,105 | ||||||
Carrizo Oil & Gas, Inc. † | 35 | 1,738 | ||||||
Delek US Holdings, Inc. | 177 | 7,036 | ||||||
Forum Energy Technologies, Inc. † | 229 | 4,488 | ||||||
Green Plains, Inc. | 223 | 6,367 | ||||||
Helix Energy Solutions Group, Inc. † | 158 | 2,364 | ||||||
ION Geophysical Corp. † | 1,250 | 2,712 | ||||||
Matrix Service Co. † | 192 | 3,371 | ||||||
Newpark Resources, Inc. † | 143 | 1,303 | ||||||
Panhandle Oil and Gas, Inc., Class A | 91 | 1,801 | ||||||
PBF Energy, Inc., Class A | 313 | 10,617 | ||||||
PetroQuest Energy, Inc. † | 306 | 704 | ||||||
PHI, Inc. † | 57 | 1,715 | ||||||
Pioneer Energy Services Corp. † | 205 | 1,111 | ||||||
REX American Resources Corp. †(a) | 74 | 4,500 | ||||||
Teekay Tankers Ltd., Class A | 481 | 2,761 | ||||||
Tesco Corp. | 88 | 1,001 | ||||||
VAALCO Energy, Inc. † | 646 | 1,583 | ||||||
Vertex Energy, Inc. †(a) | 456 | 1,687 | ||||||
Warren Resources, Inc. † | 808 | 719 | ||||||
Westmoreland Coal Co. † | 121 | 3,238 | ||||||
|
| |||||||
68,460 | ||||||||
|
| |||||||
Financials - 19.0% | ||||||||
1st Source Corp. | 36 | 1,157 | ||||||
Ambac Financial Group, Inc. † | 220 | 5,324 | ||||||
American Equity Investment Life Holding Co. | 312 | 9,089 | ||||||
American National Insurance Co. | 14 | 1,377 | ||||||
AMERISAFE, Inc. | 61 | 2,821 | ||||||
Apollo Investment Corp. | 973 | 7,468 | ||||||
Argo Group International Holdings Ltd. | 135 | 6,770 | ||||||
Arlington Asset Investment Corp., Class A (a) | 178 | 4,283 | ||||||
Ashford Hospitality Trust, Inc. REIT | 495 | 4,762 | ||||||
Aspen Insurance Holdings Ltd. | 207 | 9,777 | ||||||
Associated Banc-Corp (a) | 484 | 9,002 | ||||||
Atlas Financial Holdings, Inc. †(a) | 122 | 2,156 | ||||||
BancFirst Corp. | 68 | 4,147 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 164 | 5,378 | ||||||
Bank of Marin Bancorp | 32 | 1,629 | ||||||
Banner Corp. (a) | 32 | 1,469 | ||||||
Berkshire Hills Bancorp, Inc. | 39 | 1,080 | ||||||
BGC Partners, Inc., Class A | 833 | 7,872 | ||||||
BlackRock Capital Investment Corp. | 436 | 3,950 | ||||||
Boston Private Financial Holdings, Inc. | 123 | 1,494 | ||||||
Calamos Asset Management, Inc., Class A | 139 | 1,870 | ||||||
Capital Southwest Corp. (a) | 64 | 2,971 | ||||||
Chatham Lodging Trust REIT | 56 | 1,647 | ||||||
Cowen Group, Inc., Class A †(a) | 879 | 4,571 | ||||||
Customers Bancorp, Inc. † | 210 | 5,116 | ||||||
DiamondRock Hospitality Co. REIT | 362 | 5,115 | ||||||
Encore Capital Group, Inc. †(a) | 74 | 3,078 | ||||||
Endurance Specialty Holdings Ltd. | 206 | 12,595 | ||||||
EverBank Financial Corp. | 429 | 7,735 | ||||||
FBL Financial Group, Inc., Class A | 119 | 7,379 | ||||||
FBR & Co. † | 106 | 2,450 |
SHARES | VALUE (Note 4) | |||||||
Financials - 19.0% (continued) | ||||||||
Federated National Holding Co. (a) | 163 | $ | 4,988 | |||||
Fifth Street Finance Corp. | 422 | 3,081 | ||||||
Financial Institutions, Inc. | 92 | 2,110 | ||||||
First Commonwealth Financial Corp. (a) | 310 | 2,790 | ||||||
First Defiance Financial Corp. | 117 | 3,840 | ||||||
First Financial Corp. | 29 | 1,041 | ||||||
First Interstate BancSystem, Inc. (a) | 119 | 3,311 | ||||||
First Merchants Corp. | 69 | 1,624 | ||||||
First NBC Bank Holding Co. †(a) | 123 | 4,057 | ||||||
Firsthand Technology Value Fund, Inc. (a) | 172 | 2,466 | ||||||
Gladstone Capital Corp. | 129 | 1,136 | ||||||
Great Southern Bancorp, Inc. | 115 | 4,530 | ||||||
Greenlight Capital Re Ltd., Class A † | 165 | 5,247 | ||||||
GSV Capital Corp. †(a) | 96 | 941 | ||||||
Hanmi Financial Corp. | 57 | 1,206 | ||||||
HCI Group, Inc. | 29 | 1,330 | ||||||
Heartland Financial USA, Inc. | 45 | 1,468 | ||||||
Horace Mann Educators Corp. | 197 | 6,737 | ||||||
Independent Bank Corp. | 166 | 2,130 | ||||||
Infinity Property & Casualty Corp. | 58 | 4,759 | ||||||
International Bancshares Corp. (a) | 261 | 6,794 | ||||||
INTL FCStone, Inc. † | 61 | 1,813 | ||||||
Investment Technology Group, Inc. † | 203 | 6,153 | ||||||
KCAP Financial, Inc. | 418 | 2,813 | ||||||
Ladenburg Thalmann Financial Services, Inc. † | 724 | 2,795 | ||||||
Maiden Holdings Ltd. (a) | 425 | 6,303 | ||||||
MainSource Financial Group, Inc. | 193 | 3,790 | ||||||
MBIA, Inc. †(a) | 699 | 6,501 | ||||||
Montpelier Re Holdings Ltd. | 205 | 7,880 | ||||||
National Western Life Insurance Co., Class A | 21 | 5,340 | ||||||
Navigators Group, Inc./The † | 77 | 5,994 | ||||||
NBT Bancorp, Inc. (a) | 54 | 1,353 | ||||||
Nelnet, Inc., Class A | 192 | 9,085 | ||||||
New Mountain Finance Corp. | 305 | 4,453 | ||||||
OneBeacon Insurance Group Ltd., Class A | 392 | 5,962 | ||||||
Oppenheimer Holdings, Inc., Class A | 143 | 3,355 | ||||||
PennantPark Investment Corp. | 450 | 4,072 | ||||||
Peoples Bancorp, Inc. | 83 | 1,962 | ||||||
PHH Corp. † | 220 | 5,317 | ||||||
Phoenix Cos., Inc./The † | 71 | 3,549 | ||||||
Piper Jaffray Cos. † | 101 | 5,298 | ||||||
Preferred Bank | 124 | 3,406 | ||||||
Primerica, Inc. | 222 | 11,300 | ||||||
PrivateBancorp, Inc. | 152 | 5,346 | ||||||
ProAssurance Corp. | 43 | 1,974 | ||||||
S&T Bancorp, Inc. | 146 | 4,143 | ||||||
Safety Insurance Group, Inc. | 75 | 4,481 | ||||||
Selective Insurance Group, Inc. | 220 | 6,391 | ||||||
Southside Bancshares, Inc. (a) | 86 | 2,467 | ||||||
St. Joe Co./The † | 371 | 6,886 | ||||||
StanCorp Financial Group, Inc. | 114 | 7,820 | ||||||
State Auto Financial Corp. | 140 | 3,401 | ||||||
Stewart Information Services Corp. | 134 | 5,446 | ||||||
Symetra Financial Corp. | 332 | 7,789 | ||||||
TCF Financial Corp. | 641 | 10,076 | ||||||
TCP Capital Corp. | 154 | 2,467 | ||||||
United Fire Group, Inc. | 157 | 4,988 | ||||||
United Insurance Holdings Corp. (a) | 206 | 4,635 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
28
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 19.0% (continued) | ||||||||
Universal Insurance Holdings, Inc. (a) | 244 | $ | 6,244 | |||||
WesBanco, Inc. | 136 | 4,431 | ||||||
Winthrop Realty Trust REIT | 267 | 4,357 | ||||||
Wintrust Financial Corp. (a) | 46 | 2,193 | ||||||
World Acceptance Corp. †(a) | 16 | 1,167 | ||||||
|
| |||||||
416,314 | ||||||||
|
| |||||||
Health Care - 6.5% | ||||||||
ABIOMED, Inc. † | 15 | 1,074 | ||||||
Almost Family, Inc. † | 33 | 1,475 | ||||||
AMAG Pharmaceuticals, Inc. †(a) | 40 | 2,186 | ||||||
Amedisys, Inc. †(a) | 155 | 4,151 | ||||||
Anika Therapeutics, Inc. †(a) | 99 | 4,076 | ||||||
Bio-Reference Laboratories, Inc. † | 42 | 1,480 | ||||||
Cambrex Corp. † | 114 | 4,518 | ||||||
Chemed Corp. | 66 | 7,880 | ||||||
Depomed, Inc. † | 199 | 4,459 | ||||||
Ensign Group, Inc./The | 38 | 1,781 | ||||||
Exactech, Inc. † | 147 | 3,768 | ||||||
Greatbatch, Inc. † | 68 | 3,934 | ||||||
Hill-Rom Holdings, Inc. | 88 | 4,312 | ||||||
ICU Medical, Inc. † | 40 | 3,726 | ||||||
Infinity Pharmaceuticals, Inc. † | 194 | 2,712 | ||||||
Insys Therapeutics, Inc. †(a) | 49 | 2,848 | ||||||
Lannett Co., Inc. †(a) | 163 | 11,037 | ||||||
LHC Group, Inc. † | 96 | 3,171 | ||||||
Merge Healthcare, Inc. † | 683 | 3,053 | ||||||
Molina Healthcare, Inc. † | 173 | 11,641 | ||||||
Myriad Genetics, Inc. †(a) | 274 | 9,700 | ||||||
National HealthCare Corp. | 62 | 3,950 | ||||||
Natus Medical, Inc. †(a) | 146 | 5,763 | ||||||
NuVasive, Inc. † | 173 | 7,956 | ||||||
Omnicell, Inc. †(a) | 145 | 5,089 | ||||||
PDL BioPharma, Inc. (a) | 699 | 4,917 | ||||||
RadNet, Inc. † | 443 | 3,721 | ||||||
RTI Surgical, Inc. †(a) | 572 | 2,826 | ||||||
SciClone Pharmaceuticals, Inc. † | 509 | 4,510 | ||||||
Select Medical Holdings Corp. | 529 | 7,845 | ||||||
Sucampo Pharmaceuticals, Inc., Class A † | 86 | 1,338 | ||||||
Vascular Solutions, Inc. † | 47 | 1,425 | ||||||
|
| |||||||
142,322 | ||||||||
|
| |||||||
Industrials - 13.8% | ||||||||
ACCO Brands Corp. † | 711 | 5,908 | ||||||
Accuride Corp. † | 199 | 927 | ||||||
Air Transport Services Group, Inc. † | 494 | 4,555 | ||||||
Aircastle Ltd. | 207 | 4,649 | ||||||
Allied Motion Technologies, Inc. | 63 | 2,091 | ||||||
American Railcar Industries, Inc. (a) | 100 | 4,973 | ||||||
American Woodmark Corp. † | 96 | 5,254 | ||||||
Applied Industrial Technologies, Inc. | 46 | 2,086 | ||||||
ARC Document Solutions, Inc. † | 394 | 3,637 | ||||||
ArcBest Corp. | 130 | 4,926 | ||||||
Argan, Inc. | 137 | 4,955 | ||||||
Astronics Corp. † | 33 | 2,432 | ||||||
Atlas Air Worldwide Holdings, Inc. † | 77 | 3,313 | ||||||
Blount International, Inc. | 181 | 2,331 | ||||||
Briggs & Stratton Corp. | 139 | 2,855 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 13.8% (continued) | ||||||||
CAI International, Inc. † | 86 | $ | 2,113 | |||||
CDI Corp. | 206 | 2,894 | ||||||
Columbus McKinnon Corp. | 149 | 4,014 | ||||||
Con-way, Inc. | 168 | 7,414 | ||||||
Covenant Transportation Group, Inc., Class A † | 43 | 1,426 | ||||||
CRA International, Inc. † | 136 | 4,232 | ||||||
Douglas Dynamics, Inc. | 192 | 4,385 | ||||||
Ducommun, Inc. † | 81 | 2,098 | ||||||
Dycom Industries, Inc. † | 45 | 2,198 | ||||||
Echo Global Logistics, Inc. †(a) | 44 | 1,199 | ||||||
EMCOR Group, Inc. | 119 | 5,530 | ||||||
Engility Holdings, Inc. | 110 | 3,304 | ||||||
Enphase Energy, Inc. † | 280 | 3,693 | ||||||
Federal Signal Corp. | 330 | 5,211 | ||||||
G&K Services, Inc., Class A | 24 | 1,741 | ||||||
Greenbrier Cos., Inc./The (a) | 124 | 7,192 | ||||||
Griffon Corp. | 281 | 4,898 | ||||||
H&E Equipment Services, Inc. | 57 | 1,424 | ||||||
Hawaiian Holdings, Inc. † | 278 | 6,123 | ||||||
Heidrick & Struggles International, Inc. | 102 | 2,507 | ||||||
Herman Miller, Inc. | 143 | 3,970 | ||||||
Hillenbrand, Inc. | 227 | 7,008 | ||||||
HNI Corp. | 167 | 9,213 | ||||||
Huron Consulting Group, Inc. † | 92 | 6,086 | ||||||
Hyster-Yale Materials Handling, Inc. | 22 | 1,612 | ||||||
ICF International, Inc. † | 118 | 4,820 | ||||||
Insteel Industries, Inc. | 48 | 1,038 | ||||||
Kadant, Inc. | 98 | 5,156 | ||||||
Kaman Corp. (a) | 78 | 3,310 | ||||||
Kimball International, Inc., Class B | 150 | 1,572 | ||||||
Knoll, Inc. | 229 | 5,365 | ||||||
Korn/Ferry International | 225 | 7,396 | ||||||
LB Foster Co., Class A | 84 | 3,988 | ||||||
Lindsay Corp. | 37 | 2,821 | ||||||
LMI Aerospace, Inc. † | 108 | 1,319 | ||||||
Lydall, Inc. † | 152 | 4,821 | ||||||
Meritor, Inc. † | 478 | 6,028 | ||||||
Multi-Color Corp. | 82 | 5,685 | ||||||
MYR Group, Inc. † | 84 | 2,633 | ||||||
PAM Transportation Services, Inc. † | 67 | 3,837 | ||||||
Park-Ohio Holdings Corp. (a) | 69 | 3,634 | ||||||
Patrick Industries, Inc. † | 93 | 5,791 | ||||||
Quality Distribution, Inc. † | 92 | 950 | ||||||
Republic Airways Holdings, Inc. † | 366 | 5,033 | ||||||
Resources Connection, Inc. | 240 | 4,200 | ||||||
RPX Corp. † | 308 | 4,432 | ||||||
Rush Enterprises, Inc., Class A †(a) | 179 | 4,897 | ||||||
Saia, Inc. † | 65 | 2,880 | ||||||
Standex International Corp. | 70 | 5,749 | ||||||
Steelcase, Inc., Class A | 458 | 8,675 | ||||||
Tutor Perini Corp. † | 156 | 3,643 | ||||||
UniFirst Corp. (a) | 70 | 8,238 | ||||||
Universal Forest Products, Inc. | 84 | 4,660 | ||||||
USA Truck, Inc. † | 81 | 2,243 | ||||||
VSE Corp. | 66 | 5,404 | ||||||
West Corp. | 312 | 10,524 | ||||||
Willdan Group, Inc. † | 256 | 4,055 | ||||||
YRC Worldwide, Inc. † | 138 | 2,479 | ||||||
|
| |||||||
303,653 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
29
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 22.1% | ||||||||
Advanced Energy Industries, Inc. † | 132 | $ | 3,387 | |||||
Ambarella, Inc. † | 18 | 1,363 | ||||||
Amkor Technology, Inc. † | 1,042 | 9,206 | ||||||
Bel Fuse, Inc., Class B | 128 | 2,436 | ||||||
Benchmark Electronics, Inc. † | 228 | 5,479 | ||||||
Black Box Corp. | 122 | 2,553 | ||||||
Blackhawk Network Holdings, Inc. †(a) | 181 | 6,474 | ||||||
Brooks Automation, Inc. (a) | 213 | 2,477 | ||||||
Cabot Microelectronics Corp. † | 30 | 1,499 | ||||||
CACI International, Inc., Class A † | 100 | 8,992 | ||||||
Calix, Inc. † | 248 | 2,081 | ||||||
Cascade Microtech, Inc. †(a) | 285 | 3,870 | ||||||
Ciena Corp. † | 63 | 1,217 | ||||||
Cirrus Logic, Inc. † | 208 | 6,918 | ||||||
Cohu, Inc. | 121 | 1,324 | ||||||
comScore, Inc. †(a) | 132 | 6,758 | ||||||
Comtech Telecommunications Corp. | 131 | 3,792 | ||||||
Convergys Corp. (a) | 373 | 8,531 | ||||||
Cypress Semiconductor Corp. † | 1,126 | 15,888 | ||||||
Datalink Corp. † | 164 | 1,975 | ||||||
Dice Holdings, Inc. † | 414 | 3,693 | ||||||
Diodes, Inc. † | 227 | 6,483 | ||||||
DTS, Inc. † | 114 | 3,884 | ||||||
EarthLink Holdings Corp. | 517 | 2,295 | ||||||
Ebix, Inc. | 270 | 8,203 | ||||||
Electronics For Imaging, Inc. †(a) | 167 | 6,972 | ||||||
EnerNOC, Inc. †(a) | 150 | 1,710 | ||||||
Entegris, Inc. †(a) | 158 | 2,163 | ||||||
EPAM Systems, Inc. † | 51 | 3,126 | ||||||
Epiq Systems, Inc. | 79 | 1,416 | ||||||
ePlus, Inc. † | 54 | 4,694 | ||||||
ExlService Holdings, Inc. † | 169 | 6,287 | ||||||
Fair Isaac Corp. | 86 | 7,630 | ||||||
Fairchild Semiconductor International, Inc. † | 525 | 9,545 | ||||||
FormFactor, Inc. † | 438 | 3,885 | ||||||
GSI Group, Inc. † | 313 | 4,169 | ||||||
Hackett Group, Inc./The | 283 | 2,530 | ||||||
Harmonic, Inc. †(a) | 166 | 1,230 | ||||||
Higher One Holdings, Inc. † | 280 | 678 | ||||||
Hutchinson Technology, Inc. † | 511 | 1,364 | ||||||
Inphi Corp. †(a) | 153 | 2,728 | ||||||
Insight Enterprises, Inc. † | 211 | 6,018 | ||||||
Integrated Device Technology, Inc. † | 413 | 8,268 | ||||||
Integrated Silicon Solution, Inc. | 228 | 4,079 | ||||||
InterDigital, Inc. | 153 | 7,763 | ||||||
Intersil Corp., Class A | 198 | 2,835 | ||||||
Itron, Inc. † | 99 | 3,615 | ||||||
j2 Global, Inc. | 155 | 10,180 | ||||||
Lattice Semiconductor Corp. † | 789 | 5,002 | ||||||
Lexmark International, Inc., Class A | 203 | 8,595 | ||||||
LogMeIn, Inc. † | 103 | 5,767 | ||||||
MacroGenics, Inc. † | 246 | 3,919 | ||||||
ManTech International Corp., Class A | 163 | 5,532 | ||||||
Marchex, Inc., Class B | 428 | 1,746 | ||||||
Mentor Graphics Corp. (a) | 425 | 10,213 | ||||||
Mercury Systems, Inc. † | 77 | 1,197 | ||||||
Methode Electronics, Inc. | 175 | 8,232 | ||||||
Microsemi Corp. † | 194 | 6,868 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 22.1% (continued) | ||||||||
MKS Instruments, Inc. | 217 | $ | 7,337 | |||||
Monolithic Power Systems, Inc. | 99 | 5,212 | ||||||
NETGEAR, Inc. †(a) | 157 | 5,162 | ||||||
NetScout Systems, Inc. †(a) | 173 | 7,586 | ||||||
Newport Corp. † | 232 | 4,422 | ||||||
OmniVision Technologies, Inc. † | 264 | 6,962 | ||||||
OSI Systems, Inc. † | 55 | 4,084 | ||||||
PC Connection, Inc. | 107 | 2,792 | ||||||
Pericom Semiconductor Corp. | 299 | 4,626 | ||||||
Photronics, Inc. † | 279 | 2,372 | ||||||
Planar Systems, Inc. † | 430 | 2,705 | ||||||
Plantronics, Inc. | 179 | 9,478 | ||||||
Plexus Corp. † | 44 | 1,794 | ||||||
PMC-Sierra, Inc. † | 838 | 7,777 | ||||||
Polycom, Inc. †(a) | 546 | 7,316 | ||||||
Progress Software Corp. † | 70 | 1,902 | ||||||
QLogic Corp. † | 117 | 1,725 | ||||||
Quantum Corp. † | 2,529 | 4,046 | ||||||
RealD, Inc. † | 369 | 4,720 | ||||||
Reis, Inc. | 96 | 2,461 | ||||||
Rofin-Sinar Technologies, Inc. † | 52 | 1,260 | ||||||
Rogers Corp. † | 73 | 6,001 | ||||||
Rovi Corp. † | 341 | 6,210 | ||||||
Sanmina Corp. † | 367 | 8,878 | ||||||
Semtech Corp. † | 79 | 2,105 | ||||||
Sigma Designs, Inc. † | 625 | 5,019 | ||||||
Stamps.com, Inc. †(a) | 26 | 1,750 | ||||||
Super Micro Computer, Inc. † | 112 | 3,720 | ||||||
Sykes Enterprises, Inc. † | 240 | 5,964 | ||||||
Synaptics, Inc. † | 80 | 6,504 | ||||||
Synchronoss Technologies, Inc. † | 97 | 4,604 | ||||||
SYNNEX Corp. | 30 | 2,318 | ||||||
Take-Two Interactive Software, Inc. † | 363 | 9,240 | ||||||
Tech Data Corp. † | 155 | 8,954 | ||||||
TechTarget, Inc. † | 285 | 3,286 | ||||||
TeleTech Holdings, Inc. | 221 | 5,624 | ||||||
Tessera Technologies, Inc. | 216 | 8,700 | ||||||
Unisys Corp. † | 207 | 4,804 | ||||||
VASCO Data Security International, Inc. †(a) | 180 | 3,877 | ||||||
Vishay Intertechnology, Inc. (a) | 593 | 8,195 | ||||||
Xcerra Corp. † | 453 | 4,027 | ||||||
|
| |||||||
486,253 | ||||||||
|
| |||||||
Materials - 3.6% | ||||||||
A Schulman, Inc. | 141 | 6,796 | ||||||
AK Steel Holding Corp. † | 293 | 1,310 | ||||||
Boise Cascade Co. † | 164 | 6,143 | ||||||
Century Aluminum Co. † | 282 | 3,892 | ||||||
Clearwater Paper Corp. †(a) | 86 | 5,616 | ||||||
Gold Resource Corp. | 564 | 1,799 | ||||||
Handy & Harman Ltd. † | 110 | 4,517 | ||||||
Hawkins, Inc. | 48 | 1,824 | ||||||
Innophos Holdings, Inc. | 99 | 5,580 | ||||||
Innospec, Inc. | 76 | 3,526 | ||||||
Kaiser Aluminum Corp. | 70 | 5,382 | ||||||
KapStone Paper and Packaging Corp. (a) | 92 | 3,021 | ||||||
KMG Chemicals, Inc. | 65 | 1,737 | ||||||
Materion Corp. | 135 | 5,188 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
30
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Materials - 3.6% (continued) | ||||||||
Minerals Technologies, Inc. | 44 | $ | 3,216 | |||||
Neenah Paper, Inc. (a) | 91 | 5,691 | ||||||
Noranda Aluminum Holding Corp. | 806 | 2,394 | ||||||
Quaker Chemical Corp. | 21 | 1,798 | ||||||
Stillwater Mining Co. †(a) | 163 | 2,106 | ||||||
Trecora Resources † | 107 | 1,305 | ||||||
United States Lime & Minerals, Inc. | 45 | 2,903 | ||||||
US Silica Holdings, Inc. | 76 | 2,706 | ||||||
|
| |||||||
78,450 | ||||||||
|
| |||||||
Telecommunication Services - 2.1% | ||||||||
Boingo Wireless, Inc. † | 170 | 1,282 | ||||||
Cincinnati Bell, Inc. † | 720 | 2,541 | ||||||
FairPoint Communications, Inc. †(a) | 285 | 5,016 | ||||||
General Communication, Inc., Class A † | 284 | 4,476 | ||||||
IDT Corp., Class B | 83 | 1,473 | ||||||
Inteliquent, Inc. | 263 | 4,140 | ||||||
Iridium Communications, Inc. †(a) | 553 | 5,370 | ||||||
Premiere Global Services, Inc. † | 235 | 2,246 | ||||||
Shenandoah Telecommunications Co. | 130 | 4,051 | ||||||
Spok Holdings, Inc. | 252 | 4,831 | ||||||
Telephone & Data Systems, Inc. | 258 | 6,424 | ||||||
Vonage Holdings Corp. † | 937 | 4,601 | ||||||
|
| |||||||
46,451 | ||||||||
|
| |||||||
Utilities - 1.5% | ||||||||
Avista Corp. (a) | 175 | 5,981 | ||||||
Consolidated Water Co., Ltd. (Cayman Islands) | 91 | 935 | ||||||
New Jersey Resources Corp. (a) | 239 | 7,423 | ||||||
ONE Gas, Inc. | 27 | 1,167 | ||||||
Portland General Electric Co. (a) | 347 | 12,870 | ||||||
Unitil Corp. | 54 | 1,878 | ||||||
WGL Holdings, Inc. | 50 | 2,820 | ||||||
|
| |||||||
33,074 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 2,125,609 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 2.1% | ||||||||
iShares Russell 2000 ETF (a) | 367 | 45,637 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 4.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(b) | ||||||||
(cost $108,031) | 108,031 | 108,031 | ||||||
|
|
SECURITIES LENDING COLLATERAL - 16.6% | SHARES | VALUE (Note 4) | ||||||
Money Market Funds - 16.6% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (2)(b)(c) | ||||||||
(cost $364,241) | 364,241 | $ | 364,241 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 2,643,518 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (20.3%) | (446,438) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,197,080 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $355,466; cash collateral of $364,241 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
31
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
COMMON STOCKS - 94.6% | SHARES | VALUE (Note 4) | ||||||
Australia - 3.7% | ||||||||
AMP Ltd. | 2,060 | $ | 10,054 | |||||
Caltex Australia Ltd. | 1,071 | 28,424 | ||||||
Cochlear Ltd. | 531 | 36,504 | ||||||
Goodman Group REIT | 1,768 | 8,513 | ||||||
GPT Group/The REIT | 10,151 | 35,258 | ||||||
Insurance Australia Group Ltd. | 9,237 | 42,758 | ||||||
Leighton Holdings Ltd. | 1,933 | 30,974 | ||||||
Macquarie Group Ltd. | 122 | 7,091 | ||||||
Novion Property Group REIT | 24,854 | 47,346 | ||||||
Qantas Airways Ltd. † | 15,648 | 37,116 | ||||||
QBE Insurance Group Ltd. | 1,318 | 13,028 | ||||||
Scentre Group REIT | 8,195 | 23,281 | ||||||
Tabcorp Holdings Ltd. | 6,756 | 24,342 | ||||||
Telstra Corp. Ltd. | 49,979 | 239,922 | ||||||
Woodside Petroleum Ltd. | 95 | 2,489 | ||||||
|
| |||||||
587,100 | ||||||||
|
| |||||||
Austria - 0.6% | ||||||||
Flughafen Wien AG | 90 | 7,850 | ||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 1,986 | 87,933 | ||||||
|
| |||||||
95,783 | ||||||||
|
| |||||||
Belgium - 1.4% | ||||||||
Belgacom SA | 2,189 | 76,590 | ||||||
bpost SA | 3,015 | 84,618 | ||||||
Delhaize Group SA | 738 | 66,302 | ||||||
|
| |||||||
227,510 | ||||||||
|
| |||||||
Canada - 9.4% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 2,524 | 100,577 | ||||||
Bank of Montreal (1) | 929 | 55,672 | ||||||
Boardwalk Real Estate Investment Trust REIT (1) | 134 | 6,237 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 2,551 | 136,437 | ||||||
Canadian Imperial Bank of Commerce (1) | 694 | 50,312 | ||||||
CCL Industries, Inc., Class B (1) | 365 | 41,066 | ||||||
CGI Group, Inc., Class A (1)† | 1,311 | 55,605 | ||||||
Cogeco Cable, Inc. (1) | 669 | 35,871 | ||||||
Empire Co., Ltd., Class A (1) | 1,161 | 80,951 | ||||||
Fairfax Financial Holdings Ltd. (1) | 174 | 97,541 | ||||||
Finning International, Inc. (1) | 417 | 7,757 | ||||||
Genworth MI Canada, Inc. (1) | 87 | 1,923 | ||||||
George Weston Ltd. (1) | 1,089 | 86,257 | ||||||
Great-West Lifeco, Inc. (1) | 1,030 | 29,781 | ||||||
Home Capital Group, Inc. (1) | 133 | 4,469 | ||||||
Intact Financial Corp. (1) | 1,733 | 130,562 | ||||||
Linamar Corp. (1) | 857 | 52,839 | ||||||
Loblaw Cos., Ltd. (1) | 2,400 | 117,333 | ||||||
Magna International, Inc. (1) | 1,901 | 101,628 | ||||||
Manulife Financial Corp. (1) | 920 | 15,624 | ||||||
Metro, Inc. (1) | 1,932 | 52,352 | ||||||
National Bank of Canada (1) | 1,236 | 45,125 | ||||||
Open Text Corp. (1) | 691 | 36,477 | ||||||
Progressive Waste Solutions Ltd. (1) | 886 | 26,009 | ||||||
Sun Life Financial, Inc. (1) | 1,590 | 48,997 | ||||||
Toronto-Dominion Bank/The (1) | 1,661 | 71,093 |
SHARES | VALUE (Note 4) | |||||||
Canada - 9.4% (continued) | ||||||||
WestJet Airlines Ltd. (1) | 1,022 | $ | 23,933 | |||||
|
| |||||||
1,512,428 | ||||||||
|
| |||||||
Denmark - 1.4% | ||||||||
AP Moeller - Maersk A/S, Class B | 3 | 6,271 | ||||||
Danske Bank A/S | 2,848 | 75,082 | ||||||
Pandora A/S | 569 | 51,805 | ||||||
Tryg A/S | 568 | 66,801 | ||||||
Vestas Wind Systems A/S | 566 | 23,337 | ||||||
|
| |||||||
223,296 | ||||||||
|
| |||||||
Finland - 1.4% | ||||||||
Elisa OYJ | 2,743 | 68,887 | ||||||
Fortum OYJ | 3,293 | 68,989 | ||||||
Kesko OYJ, B Shares | 103 | 4,397 | ||||||
Metsa Board OYJ | 1,347 | 8,261 | ||||||
Neste Oil OYJ | 316 | 8,292 | ||||||
Nokia OYJ | 8,961 | 68,325 | ||||||
|
| |||||||
227,151 | ||||||||
|
| |||||||
France - 3.2% | ||||||||
AXA SA | 3,717 | 93,554 | ||||||
Bouygues SA | 193 | 7,576 | ||||||
Cap Gemini SA | 136 | 11,158 | ||||||
Christian Dior SE | 125 | 23,527 | ||||||
Cie Generale des Etablissements Michelin | 270 | 26,850 | ||||||
CNP Assurances | 442 | 7,747 | ||||||
Credit Agricole SA | 959 | 14,093 | ||||||
GDF Suez | 5,225 | 103,157 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 211 | 37,132 | ||||||
Natixis SA | 3,451 | 25,850 | ||||||
Orange SA | 5,735 | 92,102 | ||||||
Peugeot SA † | 1,143 | 19,106 | ||||||
Valeo SA | 128 | 19,092 | ||||||
Veolia Environnement SA | 1,326 | 25,079 | ||||||
|
| |||||||
506,023 | ||||||||
|
| |||||||
Germany - 4.6% | ||||||||
Allianz SE | 1,100 | 190,978 | ||||||
Continental AG | 11 | 2,591 | ||||||
Daimler AG | 1,149 | 110,344 | ||||||
Deutsche Telekom AG | 4,318 | 78,978 | ||||||
Hannover Rueck SE | 1,147 | 118,525 | ||||||
Merck KGaA | 581 | 65,024 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 609 | 130,863 | ||||||
ProSiebenSat.1 Media AG | 687 | 33,603 | ||||||
|
| |||||||
730,906 | ||||||||
|
| |||||||
Hong Kong - 7.3% | ||||||||
BOC Hong Kong Holdings Ltd. | 17,000 | 60,630 | ||||||
CK Hutchison Holdings Ltd. | 5,500 | 112,368 | ||||||
Hang Lung Properties Ltd. | 1,000 | 2,809 | ||||||
Henderson Land Development Co., Ltd. | 11,000 | 77,276 | ||||||
Hongkong Land Holdings Ltd. | 20,500 | 154,788 | ||||||
Hysan Development Co., Ltd. | 8,000 | 35,066 | ||||||
Kerry Properties Ltd. | 7,500 | 26,034 | ||||||
Li & Fung Ltd. | 4,000 | 3,906 | ||||||
Link REIT/The | 13,000 | 80,199 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
32
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 7.3% (continued) | ||||||||
New World Development Co., Ltd. | 20,000 | $ | 23,187 | |||||
NWS Holdings Ltd. | 35,000 | 58,296 | ||||||
PCCW Ltd. | 99,000 | 60,496 | ||||||
Power Assets Holdings Ltd. | 11,500 | 117,390 | ||||||
Sino Land Co., Ltd. | 38,000 | 61,964 | ||||||
SJM Holdings Ltd. | 10,000 | 13,061 | ||||||
Sun Hung Kai Properties Ltd. | 6,000 | 92,517 | ||||||
Swire Properties Ltd. | 6,600 | 21,436 | ||||||
Techtronic Industries Co., Ltd. | 6,500 | 21,914 | ||||||
Wharf Holdings Ltd./The | 7,000 | 48,866 | ||||||
Wheelock & Co., Ltd. | 9,000 | 45,991 | ||||||
Yue Yuen Industrial Holdings Ltd. | 13,500 | 47,769 | ||||||
|
| |||||||
1,165,963 | ||||||||
|
| |||||||
Italy - 0.4% | ||||||||
Assicurazioni Generali SpA | 1,452 | 28,550 | ||||||
Enel SpA | 2,604 | 11,763 | ||||||
Intesa Sanpaolo SpA | 4,686 | 15,904 | ||||||
Pirelli & C. SpA | 154 | 2,549 | ||||||
UniCredit SpA | 480 | 3,255 | ||||||
Unione di Banche Italiane SCpA | 155 | 1,209 | ||||||
UnipolSai SpA | 2,868 | 8,345 | ||||||
|
| |||||||
71,575 | ||||||||
|
| |||||||
Japan - 33.6% | ||||||||
77 Bank Ltd./The | 11,000 | 62,251 | ||||||
Aiful Corp. † | 11,700 | 41,496 | ||||||
Alps Electric Co., Ltd. | 2,500 | 60,198 | ||||||
Asahi Kasei Corp. | 4,000 | 38,199 | ||||||
Asics Corp. | 500 | 13,606 | ||||||
Astellas Pharma, Inc. | 1,900 | 31,131 | ||||||
Bank of Yokohama Ltd./The | 14,000 | 81,993 | ||||||
Bridgestone Corp. | 1,400 | 56,056 | ||||||
Brother Industries Ltd. | 2,300 | 36,542 | ||||||
Canon Marketing Japan, Inc. | 1,200 | 24,070 | ||||||
Canon, Inc. | 1,400 | 49,534 | ||||||
Casio Computer Co., Ltd. | 2,100 | 39,777 | ||||||
Central Japan Railway Co. | 700 | 126,504 | ||||||
Chiba Bank Ltd./The | 8,000 | 58,633 | ||||||
Chugoku Bank Ltd./The | 1,000 | 14,932 | ||||||
Citizen Holdings Co., Ltd. | 1,200 | 9,197 | ||||||
Daicel Corp. | 3,500 | 41,718 | ||||||
Dai-ichi Life Insurance Co., Ltd./The | 7,200 | 104,437 | ||||||
DIC Corp. | 7,000 | 20,352 | ||||||
Ezaki Glico Co., Ltd. | 700 | 28,299 | ||||||
Fuji Heavy Industries Ltd. | 2,700 | 89,630 | ||||||
FUJIFILM Holdings Corp. | 1,400 | 49,807 | ||||||
Fujitsu Ltd. | 6,000 | 40,918 | ||||||
Fukuoka Financial Group, Inc. | 12,000 | 61,710 | ||||||
Gunma Bank Ltd./The | 6,000 | 40,533 | ||||||
Hachijuni Bank Ltd./The | 10,000 | 70,511 | ||||||
Hakuhodo DY Holdings, Inc. | 4,100 | 43,588 | ||||||
Haseko Corp. | 6,000 | 58,446 | ||||||
Hiroshima Bank Ltd./The | 12,000 | 64,672 | ||||||
HIS Co. Ltd. | 600 | 21,070 | ||||||
Hitachi Chemical Co., Ltd. | 2,100 | 44,842 | ||||||
Hitachi High-Technologies Corp. | 300 | 9,130 | ||||||
Hokuhoku Financial Group, Inc. | 38,000 | 84,705 |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.6% (continued) | ||||||||
Hoshizaki Electric Co., Ltd. | 500 | $ | 32,469 | |||||
Hoya Corp. | 1,300 | 52,045 | ||||||
Isuzu Motors Ltd. | 3,400 | 45,109 | ||||||
Iyo Bank Ltd./The | 3,900 | 46,251 | ||||||
Japan Airlines Co., Ltd. | 1,000 | 31,107 | ||||||
Japan Aviation Electronics Industry Ltd. | 1,000 | 24,148 | ||||||
JFE Holdings, Inc. | 2,000 | 44,146 | ||||||
JSR Corp. | 400 | 6,927 | ||||||
JTEKT Corp. | 700 | 10,914 | ||||||
Kaken Pharmaceutical Co., Ltd. | 2,000 | 57,819 | ||||||
Kawasaki Kisen Kaisha Ltd. | 15,000 | 40,279 | ||||||
KDDI Corp. | 4,100 | 92,629 | ||||||
Keiyo Bank Ltd./The | 1,000 | 5,789 | ||||||
Kewpie Corp. | 700 | 17,033 | ||||||
Kobe Steel Ltd. | 27,000 | 49,799 | ||||||
Koito Manufacturing Co., Ltd. | 1,700 | 51,117 | ||||||
Komatsu Ltd. | 1,200 | 23,523 | ||||||
Konica Minolta, Inc. | 3,600 | 36,484 | ||||||
Kose Corp. | 600 | 33,091 | ||||||
Kuraray Co., Ltd. | 600 | 8,124 | ||||||
Lintec Corp. | 300 | 7,136 | ||||||
Mazda Motor Corp. | 1,600 | 32,419 | ||||||
MEIJI Holdings Co., Ltd. | 300 | 36,543 | ||||||
Minebea Co., Ltd. | 2,000 | 31,457 | ||||||
Mitsubishi Chemical Holdings Corp. | 7,700 | 44,699 | ||||||
Mitsubishi Corp. | 400 | 8,038 | ||||||
Mitsubishi Electric Corp. | 5,000 | 59,357 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 33,000 | 204,383 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 5,600 | 27,674 | ||||||
Mixi, Inc. | 1,000 | 40,424 | ||||||
MS&AD Insurance Group Holdings, Inc. | 2,100 | 58,792 | ||||||
Murata Manufacturing Co., Ltd. | 600 | 82,404 | ||||||
Nexon Co., Ltd. | 4,800 | 51,116 | ||||||
NGK Spark Plug Co., Ltd. | 400 | 10,738 | ||||||
NHK Spring Co., Ltd. | 900 | 9,363 | ||||||
Nippon Telegraph & Telephone Corp. | 800 | 49,385 | ||||||
Nishi-Nippon City Bank Ltd./The | 22,000 | 63,768 | ||||||
Nissan Chemical Industries Ltd. | 800 | 16,532 | ||||||
Nissan Motor Co., Ltd. | 9,000 | 91,535 | ||||||
Nisshinbo Holdings, Inc. | 2,000 | 19,191 | ||||||
Nitori Holdings Co., Ltd. | 500 | 33,847 | ||||||
Nitto Denko Corp. | 600 | 40,064 | ||||||
NOK Corp. | 1,800 | 54,122 | ||||||
NTN Corp. | 7,000 | 37,020 | ||||||
Omron Corp. | 900 | 40,544 | ||||||
ORIX Corp. | 6,200 | 87,117 | ||||||
Panasonic Corp. | 3,400 | 44,649 | ||||||
Pola Orbis Holdings, Inc. | 100 | 5,298 | ||||||
Rohm Co., Ltd. | 500 | 34,166 | ||||||
Seiko Epson Corp. | 3,500 | 61,990 | ||||||
Seino Holdings Co., Ltd. | 2,600 | 28,215 | ||||||
Sekisui Chemical Co., Ltd. | 4,000 | 51,900 | ||||||
Shionogi & Co., Ltd. | 1,100 | 36,620 | ||||||
Sohgo Security Services Co., Ltd. | 600 | 20,417 | ||||||
Sony Corp. † | 5,100 | 136,392 | ||||||
Sumitomo Chemical Co., Ltd. | 3,000 | 15,397 | ||||||
Sumitomo Heavy Industries Ltd. | 8,000 | 52,354 | ||||||
Sumitomo Metal Mining Co., Ltd. | 1,000 | 14,616 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
33
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 33.6% (continued) | ||||||||
Sumitomo Rubber Industries Ltd. | 2,200 | $ | 40,553 | |||||
Suzuki Motor Corp. | 1,900 | 57,065 | ||||||
T&D Holdings, Inc. | 4,700 | 64,560 | ||||||
Taiyo Nippon Sanso Corp. | 4,000 | 54,431 | ||||||
TDK Corp. | 900 | 63,727 | ||||||
Teijin Ltd. | 9,000 | 30,535 | ||||||
Toho Gas Co., Ltd. | 2,000 | 11,658 | ||||||
Tohoku Electric Power Co., Inc. | 6,100 | 69,286 | ||||||
Tokai Rika Co., Ltd. | 300 | 6,953 | ||||||
Tokio Marine Holdings, Inc. | 1,100 | 41,522 | ||||||
Tokyo Gas Co., Ltd. | 3,000 | 18,860 | ||||||
Topcon Corp. | 300 | 7,349 | ||||||
Toshiba TEC Corp. | 1,000 | 6,589 | ||||||
Tosoh Corp. | 10,000 | 50,370 | ||||||
Toyo Tire & Rubber Co., Ltd. | 2,300 | 41,320 | ||||||
Toyota Boshoku Corp. | 1,700 | 21,237 | ||||||
Toyota Motor Corp. | 6,900 | 481,646 | ||||||
Tsuruha Holdings, Inc. | 100 | 7,655 | ||||||
Yamada Denki Co., Ltd. | 4,200 | 17,295 | ||||||
Yamaguchi Financial Group, Inc. | 6,000 | 68,960 | ||||||
Yamaha Corp. | 2,600 | 45,402 | ||||||
Yamaha Motor Co., Ltd. | 3,300 | 79,499 | ||||||
Yamazaki Baking Co., Ltd. | 1,000 | 18,018 | ||||||
Yokohama Rubber Co., Ltd./The | 1,000 | 10,308 | ||||||
|
| |||||||
5,381,770 | ||||||||
|
| |||||||
Netherlands - 1.2% | ||||||||
Aegon NV | 294 | 2,321 | ||||||
ING Groep NV CVA † | 2,676 | 39,198 | ||||||
Koninklijke Ahold NV | 7,595 | 149,666 | ||||||
|
| |||||||
191,185 | ||||||||
|
| |||||||
Norway - 0.5% | ||||||||
DNB ASA | 1,593 | 25,567 | ||||||
Kongsberg Gruppen ASA | 761 | 15,146 | ||||||
Marine Harvest ASA | 1,034 | 11,846 | ||||||
Telenor ASA | 372 | 7,507 | ||||||
Yara International ASA | 386 | 19,598 | ||||||
|
| |||||||
79,664 | ||||||||
|
| |||||||
Portugal - 0.0% (a) | ||||||||
EDP - Energias de Portugal SA | 2,285 | 8,558 | ||||||
|
| |||||||
Singapore - 4.3% | ||||||||
CapitaCommercial Trust REIT | 22,000 | 28,319 | ||||||
ComfortDelGro Corp. Ltd. | 32,500 | 68,465 | ||||||
DBS Group Holdings Ltd. | 11,400 | 169,038 | ||||||
Olam International Ltd. | 18,200 | 26,266 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 28,600 | 220,232 | ||||||
Suntec Real Estate Investment Trust REIT | 2,100 | 2,836 | ||||||
United Overseas Bank Ltd. | 8,400 | 140,802 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 35,300 | 32,454 | ||||||
|
| |||||||
688,412 | ||||||||
|
| |||||||
South Africa - 0.3% | ||||||||
Investec PLC | 1,879 | 15,584 | ||||||
Mondi PLC | 2,148 | 41,278 | ||||||
|
| |||||||
56,862 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Spain - 3.9% | ||||||||
Banco de Sabadell SA | 741 | $ | 1,811 | |||||
Banco Santander SA | 9,589 | 71,883 | ||||||
Bankia SA † | 1,463 | 2,039 | ||||||
Endesa SA | 2,707 | 52,258 | ||||||
Ferrovial SA | 3,510 | 74,630 | ||||||
Gas Natural SDG SA | 2,204 | 49,484 | ||||||
Iberdrola SA | 25,585 | 164,986 | ||||||
Telefonica SA | 14,817 | 210,839 | ||||||
|
| |||||||
627,930 | ||||||||
|
| |||||||
Sweden - 2.2% | ||||||||
Boliden AB | 385 | 7,627 | ||||||
Electrolux AB, Series B | 1,050 | 29,997 | ||||||
Husqvarna AB, B Shares | 2,993 | 21,680 | ||||||
Industrivarden AB, C Shares | 526 | 9,869 | ||||||
Investor AB, B Shares | 243 | 9,673 | ||||||
L E Lundbergforetagen AB, B Shares | 841 | 38,385 | ||||||
Nordea Bank AB | 2,368 | 28,843 | ||||||
Securitas AB, B Shares | 2,447 | 35,130 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 2,511 | 29,308 | ||||||
Swedish Match AB | 583 | 17,142 | ||||||
Tele2 AB, B Shares | 5,179 | 61,945 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 4,794 | 60,189 | ||||||
|
| |||||||
349,788 | ||||||||
|
| |||||||
Switzerland - 4.4% | ||||||||
Actelion Ltd. † | 186 | 21,452 | ||||||
Baloise Holding AG | 807 | 106,651 | ||||||
Givaudan SA † | 67 | 121,045 | ||||||
Pargesa Holding SA | 70 | 4,913 | ||||||
Swiss Life Holding AG † | 271 | 66,950 | ||||||
Swiss Re AG | 1,759 | 169,669 | ||||||
Swisscom AG | 29 | 16,817 | ||||||
Zurich Insurance Group AG † | 583 | 197,055 | ||||||
|
| |||||||
704,552 | ||||||||
|
| |||||||
United Kingdom - 10.8% | ||||||||
3i Group PLC | 7,711 | 55,098 | ||||||
AstraZeneca PLC | 270 | 18,527 | ||||||
Aviva PLC | 11,713 | 93,738 | ||||||
BAE Systems PLC | 7,916 | 61,345 | ||||||
Barratt Developments PLC | 964 | 7,537 | ||||||
British Land Co. PLC/The REIT | 4,677 | 57,643 | ||||||
BT Group PLC | 31,719 | 206,105 | ||||||
Direct Line Insurance Group PLC | 21,791 | 102,832 | ||||||
Dixons Carphone PLC | 10,335 | 63,207 | ||||||
Fiat Chrysler Automobiles NV † | 2,124 | 34,481 | ||||||
Hammerson PLC REIT | 3,051 | 30,047 | ||||||
Hikma Pharmaceuticals PLC | 1,281 | 40,318 | ||||||
HSBC Holdings PLC | 20,140 | 171,621 | ||||||
Imperial Tobacco Group PLC | 3,471 | 152,260 | ||||||
Intu Properties PLC REIT | 11,066 | 57,051 | ||||||
Kingfisher PLC | 8,253 | 46,564 | ||||||
Land Securities Group PLC REIT | 2,101 | 39,006 | ||||||
Marks & Spencer Group PLC | 9,918 | 78,440 | ||||||
National Grid PLC | 15,305 | 196,762 | ||||||
Next PLC | 82 | 8,528 | ||||||
Persimmon PLC † | 424 | 10,449 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
34
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 10.8% (continued) | ||||||||
Persimmon PLC, Class B † | 209 | $ | 295 | |||||
Prudential PLC | 960 | 23,823 | ||||||
Shire PLC | 1,638 | 130,586 | ||||||
WPP PLC | 2,049 | 46,534 | ||||||
|
| |||||||
1,732,797 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 15,169,253 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 2.3% | ||||||||
United States - 2.3% | ||||||||
iShares MSCI EAFE ETF (1) | ||||||||
(cost $371,197) | 5,751 | 369,042 | ||||||
|
| |||||||
RIGHTS - 0.0% (a) | ||||||||
Spain - 0.0% (a) | ||||||||
Banco de Sabadell SA † | 741 | 188 | ||||||
Telefonica SA † | 3,071 | 495 | ||||||
|
| |||||||
TOTAL RIGHTS | 683 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 32.2% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | ||||||||
(cost $5,168,824) | 5,168,824 | 5,168,824 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 20,707,802 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (29.1%) | (4,671,796) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 16,036,006 | ||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 2,684,351 | 16.7 | % | ||||
Consumer Staples | 1,011,286 | 6.3 | ||||||
Energy | 39,204 | 0.2 | ||||||
Exchange-Traded Funds | 369,042 | 2.3 | ||||||
Financials | 5,959,603 | 37.2 | ||||||
Health Care | 437,982 | 2.7 | ||||||
Industrials | 1,121,752 | 7.0 | ||||||
Information Technology | 988,065 | 6.2 | ||||||
Materials | 766,764 | 4.8 | ||||||
Telecommunication Services | 1,262,696 | 7.9 | ||||||
Utilities | 898,233 | 5.6 | ||||||
Money Market Funds | 5,168,824 | 32.2 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 20,707,802 | 129.1 | ||||||
Liabilities in Excess of Other Assets | (4,671,796 | ) | (29.1 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 16,036,006 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
35
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
COMMON STOCKS - 94.8% | SHARES | VALUE (Note 4) | ||||||
Brazil - 5.9% | ||||||||
Banco Bradesco SA ADR (1) | 10,388 | $ | 96,399 | |||||
Banco do Brasil SA (1) | 5,700 | 41,095 | ||||||
BRF SA ADR (1) | 2,414 | 47,749 | ||||||
Centrais Eletricas Brasileiras SA (1) | 3,600 | 6,497 | ||||||
Cia Brasileira de Distribuicao ADR (1) | 271 | 8,081 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 5,337 | 21,828 | ||||||
Cia Paranaense de Energia ADR (1) | 1,386 | 14,525 | ||||||
Estacio Participacoes SA (1) | 1,600 | 9,445 | ||||||
Itau Unibanco Holding SA ADR (1)(a) | 8,832 | 97,682 | ||||||
JBS SA (1) | 7,700 | 34,235 | ||||||
Porto Seguro SA (1) | 2,000 | 22,259 | ||||||
Telefonica Brasil SA ADR (1)(a) | 2,888 | 44,158 | ||||||
|
| |||||||
443,953 | ||||||||
|
| |||||||
Chile - 0.8% | ||||||||
Enersis SA ADR (1) | 3,617 | 58,812 | ||||||
|
| |||||||
China - 25.0% | ||||||||
AAC Technologies Holdings, Inc. | 1,500 | 9,260 | ||||||
Agricultural Bank of China Ltd., H Shares | 112,000 | 55,450 | ||||||
Anhui Conch Cement Co., Ltd., H Shares | 4,000 | 15,105 | ||||||
ANTA Sports Products Ltd. | 9,000 | 16,434 | ||||||
Bank of China Ltd., H Shares | 308,000 | 178,047 | ||||||
Bank of Communications Co., Ltd., H Shares | 75,000 | 64,459 | ||||||
China CITIC Bank Corp. Ltd., H Shares | 31,000 | 23,371 | ||||||
China Construction Bank Corp., H Shares | 288,000 | 239,036 | ||||||
China Merchants Bank Co., Ltd., H Shares | 33,500 | 81,795 | ||||||
China Minsheng Banking Corp. Ltd., H Shares | 66,000 | 80,486 | ||||||
China Petroleum & Chemical Corp. ADR (1)(a) | 1,682 | 134,039 | ||||||
China Railway Construction Corp. Ltd., H Shares | 25,000 | 37,270 | ||||||
China Railway Group Ltd., H Shares | 21,000 | 21,479 | ||||||
China Shenhua Energy Co., Ltd., H Shares | 18,500 | 47,188 | ||||||
China Telecom Corp. Ltd., H Shares | 88,000 | 56,259 | ||||||
Chongqing Rural Commercial Bank Co., Ltd., H Shares | 23,000 | 14,910 | ||||||
CNOOC Ltd. ADR (1) | 318 | 45,099 | ||||||
Datang International Power Generation Co., Ltd., H Shares | 40,000 | 20,406 | ||||||
Dongfeng Motor Group Co., Ltd., H Shares | 12,000 | 19,193 | ||||||
Evergrande Real Estate Group Ltd. | 66,000 | 33,269 | ||||||
Geely Automobile Holdings Ltd. | 20,000 | 10,274 | ||||||
GOME Electrical Appliances Holding Ltd. | 130,000 | 18,727 | ||||||
Huadian Power International Corp. Ltd., H Shares | 18,000 | 15,016 | ||||||
Huaneng Power International, Inc., H Shares | 40,000 | 47,507 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 285,000 | 210,809 | ||||||
Lenovo Group Ltd. | 40,000 | 58,288 | ||||||
Longfor Properties Co., Ltd. | 10,500 | 14,879 | ||||||
PetroChina Co., Ltd. ADR (1) | 1,243 | 138,234 | ||||||
PICC Property & Casualty Co., Ltd., H Shares | 28,000 | 55,282 | ||||||
Ping An Insurance Group Co. of China Ltd., H Shares | 8,000 | 95,973 | ||||||
Sino-Ocean Land Holdings Ltd. | 39,500 | 23,895 | ||||||
Sinopharm Group Co., Ltd., H Shares | 3,200 | 13,030 | ||||||
|
| |||||||
1,894,469 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 10.1% | ||||||||
Belle International Holdings Ltd. | 44,000 | $ | 51,362 | |||||
China Everbright Ltd. | 8,000 | 20,850 | ||||||
China Mobile Ltd. ADR (1) | 5,981 | 388,944 | ||||||
China Overseas Land & Investment Ltd. | 26,000 | 83,964 | ||||||
China Resources Land Ltd. | 16,000 | 45,219 | ||||||
China Resources Power Holdings Co., Ltd. | 12,000 | 30,095 | ||||||
China Taiping Insurance Holdings Co., Ltd. † | 5,600 | 19,103 | ||||||
China Unicom Hong Kong Ltd. | 32,000 | 48,713 | ||||||
Far East Horizon Ltd. | 29,000 | 26,525 | ||||||
Guangdong Investment Ltd. | 10,000 | 13,114 | ||||||
Shimao Property Holdings Ltd. | 11,500 | 24,130 | ||||||
Sino Biopharmaceutical Ltd. | 4,000 | 4,047 | ||||||
Yuexiu Property Co., Ltd. | 52,000 | 10,204 | ||||||
|
| |||||||
766,270 | ||||||||
|
| |||||||
Hungary - 0.4% | ||||||||
OTP Bank PLC | 1,591 | 30,036 | ||||||
|
| |||||||
India - 2.5% | ||||||||
Reliance Industries Ltd. GDR 144A (b) | 593 | 15,656 | ||||||
State Bank of India GDR | 1,278 | 54,059 | ||||||
Tata Motors Ltd. ADR (1) | 2,661 | 119,905 | ||||||
|
| |||||||
189,620 | ||||||||
|
| |||||||
Indonesia - 1.5% | ||||||||
Adaro Energy Tbk PT | 215,200 | 15,596 | ||||||
Bank Mandiri Persero Tbk PT | 2,600 | 2,479 | ||||||
Bank Negara Indonesia Persero Tbk PT | 29,100 | 16,066 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 21,800 | 22,112 | ||||||
Tambang Batubara Bukit Asam Persero Tbk PT | 17,500 | 14,348 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 106,100 | 23,395 | ||||||
United Tractors Tbk PT | 10,900 | 18,139 | ||||||
|
| |||||||
112,135 | ||||||||
|
| |||||||
Korea, Republic of - 11.9% | ||||||||
Amorepacific Corp. | 6 | 18,129 | ||||||
AMOREPACIFIC Group | 16 | 21,619 | ||||||
BS Financial Group, Inc. | 593 | 8,109 | ||||||
CJ CheilJedang Corp. | 19 | 6,468 | ||||||
CJ Corp. | 142 | 22,501 | ||||||
Coway Co., Ltd. | 268 | 22,058 | ||||||
Dongbu Insurance Co., Ltd. | 466 | 20,749 | ||||||
Hanwha Life Insurance Co., Ltd. | 2,853 | 18,931 | ||||||
Hite Jinro Co., Ltd. | 183 | 3,658 | ||||||
Hyundai Development Co. - Engineering & Construction | 581 | 29,783 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 388 | 8,675 | ||||||
Industrial Bank of Korea | 1,196 | 14,356 | ||||||
KB Financial Group, Inc. | 642 | 22,662 | ||||||
Kia Motors Corp. | 669 | 27,187 | ||||||
Korea Electric Power Corp. | 771 | 31,773 | ||||||
Korea Investment Holdings Co., Ltd. | 289 | 16,347 | ||||||
Korea Zinc Co., Ltd. | 44 | 16,824 | ||||||
Korean Air Lines Co., Ltd. † | 535 | 23,377 | ||||||
KT Corp. † | 754 | 19,718 | ||||||
KT&G Corp. | 131 | 10,474 | ||||||
LG Corp. | 443 | 24,450 | ||||||
LG Display Co., Ltd. | 806 | 22,810 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
36
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Korea, Republic of - 11.9% (continued) | ||||||||
LG Innotek Co., Ltd. | 53 | $ | 5,538 | |||||
LG Uplus Corp. | 1,550 | 15,356 | ||||||
Mirae Asset Securities Co., Ltd. | 512 | 24,098 | ||||||
Samsung Card Co., Ltd. | 685 | 25,317 | ||||||
Samsung Electronics Co., Ltd. GDR 144A (b) | 260 | 168,849 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 112 | 26,986 | ||||||
Samsung Life Insurance Co., Ltd. | 186 | 16,186 | ||||||
Shinhan Financial Group Co., Ltd. | 691 | 25,961 | ||||||
SK Holdings Co., Ltd. | 150 | 22,952 | ||||||
SK Hynix, Inc. | 1,541 | 62,945 | ||||||
SK Networks Co., Ltd. | 2,121 | 15,567 | ||||||
SK Telecom Co., Ltd. ADR (1) | 3,017 | 82,093 | ||||||
|
| |||||||
902,506 | ||||||||
|
| |||||||
Malaysia - 1.6% | ||||||||
MISC Bhd | 5,900 | 13,498 | ||||||
Telekom Malaysia Bhd | 2,500 | 4,895 | ||||||
Tenaga Nasional Bhd | 20,100 | 77,823 | ||||||
YTL Corp. Bhd | 54,700 | 24,670 | ||||||
|
| |||||||
120,886 | ||||||||
|
| |||||||
Mexico - 2.1% | ||||||||
America Movil SAB de CV, Class L ADR (1) | 3,844 | 78,648 | ||||||
Arca Continental SAB de CV (1)† | 4,200 | 25,797 | ||||||
Gruma SAB de CV, Class B (1) | 3,200 | 40,623 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | 1,100 | 7,212 | ||||||
OHL Mexico SAB de CV (1)† | 4,400 | 8,368 | ||||||
|
| |||||||
160,648 | ||||||||
|
| |||||||
Peru - 0.7% | ||||||||
Credicorp Ltd. (1) | 366 | 51,471 | ||||||
|
| |||||||
Poland - 3.0% | ||||||||
Enea SA | 4,180 | 18,208 | ||||||
Energa SA | 4,941 | 32,416 | ||||||
Grupa Azoty SA | 307 | 6,561 | ||||||
KGHM Polska Miedz SA | 1,247 | 39,410 | ||||||
Orange Polska SA | 2,349 | 5,903 | ||||||
PGE Polska Grupa Energetyczna SA | 8,307 | 45,639 | ||||||
Polski Koncern Naftowy Orlen SA | 2,002 | 31,253 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 21,534 | 31,207 | ||||||
Tauron Polska Energia SA | 15,377 | 17,873 | ||||||
|
| |||||||
228,470 | ||||||||
|
| |||||||
Russia - 1.2% | ||||||||
MMC Norilsk Nickel OJSC ADR (1) | 1,879 | 33,352 | ||||||
Severstal PAO GDR (Borse Berlin Equiduct) | 2,299 | 25,844 | ||||||
Tatneft OAO ADR (1) | 1,031 | 30,543 | ||||||
|
| |||||||
89,739 | ||||||||
|
| |||||||
South Africa - 4.7% | ||||||||
Barclays Africa Group Ltd. | 474 | 7,224 | ||||||
FirstRand Ltd. | 7,669 | 35,255 | ||||||
Foschini Group Ltd./The | 801 | 11,909 | ||||||
Gold Fields Ltd. ADR (1) | 6,839 | 27,424 | ||||||
Investec Ltd. | 3,390 | 28,053 | ||||||
Liberty Holdings Ltd. | 1,631 | 22,549 | ||||||
MMI Holdings Ltd. | 8,963 | 24,263 | ||||||
MTN Group Ltd. | 2,637 | 44,452 |
SHARES | VALUE (Note 4) | |||||||
South Africa - 4.7% (continued) | ||||||||
Netcare Ltd. | 4,510 | $ | 15,466 | |||||
Redefine Properties Ltd. REIT | 8,456 | 8,635 | ||||||
Resilient Property Income Fund Ltd. | 1,589 | 13,608 | ||||||
Sanlam Ltd. | 3,626 | 23,369 | ||||||
Sappi Ltd. † | 5,422 | 21,892 | ||||||
Sasol Ltd. ADR (1) | 666 | 22,671 | ||||||
Steinhoff International Holdings Ltd. | 5,813 | 36,382 | ||||||
Telkom SA SOC Ltd. † | 2,198 | 14,337 | ||||||
|
| |||||||
357,489 | ||||||||
|
| |||||||
Taiwan - 12.0% | ||||||||
Acer, Inc. † | 9,000 | 5,798 | ||||||
Advanced Semiconductor Engineering, Inc. | 21,000 | 28,437 | ||||||
Asustek Computer, Inc. | 2,000 | 20,106 | ||||||
AU Optronics Corp. | 50,000 | 25,088 | ||||||
Catcher Technology Co., Ltd. | 3,000 | 31,375 | ||||||
Chicony Electronics Co., Ltd. | 5,000 | 13,990 | ||||||
Far EasTone Telecommunications Co., Ltd. † | 3,000 | 7,237 | ||||||
Foxconn Technology Co., Ltd. | 8,000 | 21,450 | ||||||
Fubon Financial Holding Co., Ltd. | 28,000 | 50,191 | ||||||
Hon Hai Precision Industry Co., Ltd. | 24,000 | 70,251 | ||||||
Innolux Corp. | 50,000 | 24,911 | ||||||
Inotera Memories, Inc. † | 18,000 | 23,892 | ||||||
Kinsus Interconnect Technology Corp. | 5,000 | 16,014 | ||||||
Novatek Microelectronics Corp. | 3,000 | 15,483 | ||||||
Pegatron Corp. | 10,000 | 26,981 | ||||||
Powertech Technology, Inc. | 10,000 | 17,185 | ||||||
Radiant Opto-Electronics Corp. | 2,000 | 6,211 | ||||||
Realtek Semiconductor Corp. | 6,000 | 19,110 | ||||||
Siliconware Precision Industries Co., Ltd. | 15,000 | 24,853 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | 15,931 | 374,060 | ||||||
Teco Electric and Machinery Co., Ltd. | 6,000 | 5,702 | ||||||
Transcend Information, Inc. | 5,000 | 17,703 | ||||||
United Microelectronics Corp. | 51,000 | 25,269 | ||||||
Walsin Lihwa Corp. † | 25,000 | 7,690 | ||||||
Wistron Corp. | 9,000 | 7,637 | ||||||
WPG Holdings Ltd. | 5,000 | 6,434 | ||||||
Zhen Ding Technology Holding Ltd. | 6,000 | 19,539 | ||||||
|
| |||||||
912,597 | ||||||||
|
| |||||||
Thailand - 4.0% | ||||||||
Bangkok Bank PCL NVDR | 5,300 | 30,029 | ||||||
Delta Electronics Thailand PCL NVDR | 14,800 | 34,215 | ||||||
Glow Energy PCL NVDR | 4,800 | 12,643 | ||||||
Kasikornbank PCL NVDR | 6,800 | 47,814 | ||||||
Krung Thai Bank PCL NVDR | 51,000 | 35,728 | ||||||
PTT Exploration & Production PCL NVDR | 3,600 | 12,055 | ||||||
PTT PCL NVDR | 6,400 | 63,487 | ||||||
Siam Commercial Bank PCL/The NVDR | 5,900 | 32,268 | ||||||
Thai Union Frozen Products PCL NVDR | 47,100 | 29,080 | ||||||
TMB Bank PCL NVDR | 48,900 | 4,476 | ||||||
|
| |||||||
301,795 | ||||||||
|
| |||||||
Turkey - 7.4% | ||||||||
Akbank TAS | 12,647 | 37,100 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | 27,759 | 31,421 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
37
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM EMERGING MULTI-STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Turkey - 7.4% (continued) | ||||||||
Eregli Demir ve Celik Fabrikalari TAS | 24,092 | $ | 37,443 | |||||
KOC Holding AS | 12,342 | 56,139 | ||||||
Petkim Petrokimya Holding AS | 3,276 | 4,353 | ||||||
TAV Havalimanlari Holding AS † | 2,695 | 22,516 | ||||||
Tofas Turk Otomobil Fabrikasi AS | 5,299 | 32,052 | ||||||
Tupras Turkiye Petrol Rafinerileri AS | 309 | 7,321 | ||||||
Turk Hava Yollari AO † | 19,450 | 64,162 | ||||||
Turk Telekomunikasyon AS | 17,656 | 46,810 | ||||||
Turkcell Iletisim Hizmetleri AS † | 11,575 | 59,369 | ||||||
Turkiye Garanti Bankasi AS | 15,675 | 51,118 | ||||||
Turkiye Halk Bankasi AS | 5,403 | 26,607 | ||||||
Turkiye Is Bankasi, Class C | 15,388 | 34,632 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | 15,503 | 19,120 | ||||||
Turkiye Vakiflar Bankasi TAO, Class D | 8,007 | 13,068 | ||||||
Yapi ve Kredi Bankasi AS | 9,297 | 14,250 | ||||||
|
| |||||||
557,481 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 7,178,377 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.2% | ||||||||
Brazil - 1.2% | ||||||||
AES Tiete SA (1) | 2,900 | 15,611 | ||||||
Banco do Estado do Rio Grande do Sul SA, Series B (1) | 3,300 | 11,488 | ||||||
Cia Energetica de Sao Paulo, Series B (1) | 2,500 | 18,643 | ||||||
Itausa - Investimentos Itau SA (1) | 7,500 | 23,523 | ||||||
Suzano Papel e Celulose SA, Series A (1) | 3,900 | 18,085 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 87,350 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 2.2% | ||||||||
United States - 2.2% | ||||||||
iShares MSCI Emerging Markets ETF (1) | ||||||||
(cost $166,268) | 4,215 | 169,148 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 11.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | ||||||||
(cost $854,677) | 854,677 | 854,677 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 2.6% | ||||||||
Money Market Funds - 2.6% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (c)(d) | ||||||||
(cost $196,825) | 196,825 | 196,825 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 112.1% | 8,486,377 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.1%) | (918,119) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 7,568,258 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $194,708; cash collateral of $196,825 was received with which the Fund purchased a money market fund. |
(b) | 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. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 374,928 | 5.0 | % | ||||
Consumer Staples | 245,915 | 3.2 | ||||||
Energy | 608,695 | 8.0 | ||||||
Exchange-Traded Funds | 169,148 | 2.2 | ||||||
Financials | 2,670,358 | 35.4 | ||||||
Health Care | 32,543 | 0.4 | ||||||
Industrials | 419,926 | 5.5 | ||||||
Information Technology | 1,203,683 | 15.9 | ||||||
Materials | 246,294 | 3.3 | ||||||
Telecommunication Services | 940,286 | 12.4 | ||||||
Utilities | 523,099 | 6.9 | ||||||
Money Market Funds | 854,677 | 11.3 | ||||||
Securities Lending Collateral | 196,825 | 2.6 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 8,486,377 | 112.1 | ||||||
Liabilities in Excess of Other Assets | (918,119 | ) | (12.1 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 7,568,258 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
38
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 97.0% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 14.9% | ||||||||
Advance Auto Parts, Inc. | 10,500 | $ | 1,571,745 | |||||
AutoNation, Inc. † | 14,700 | 945,651 | ||||||
AutoZone, Inc. † | 1,400 | 955,024 | ||||||
Best Buy Co., Inc. | 28,200 | 1,065,678 | ||||||
Big Lots, Inc. | 7,800 | 374,634 | ||||||
Brinker International, Inc. | 12,400 | 763,344 | ||||||
Brunswick Corp. | 16,700 | 859,215 | ||||||
Buckle, Inc./The | 7,400 | 378,066 | ||||||
Burlington Stores, Inc. † | 16,500 | 980,430 | ||||||
Cabela’s, Inc. † | 11,000 | 615,780 | ||||||
CarMax, Inc. † | 12,700 | 876,427 | ||||||
Carter’s, Inc. | 7,700 | 712,019 | ||||||
Charter Communications, Inc., Class A † | 9,000 | 1,737,990 | ||||||
Chico’s FAS, Inc. | 25,500 | 451,095 | ||||||
Chipotle Mexican Grill, Inc. † | 5,700 | 3,708,078 | ||||||
Cinemark Holdings, Inc. | 15,800 | 712,106 | ||||||
Comcast Corp., Class A | 39,900 | 2,253,153 | ||||||
Cracker Barrel Old Country Store, Inc. | 3,400 | 517,276 | ||||||
CST Brands, Inc. | 7,300 | 319,959 | ||||||
Deckers Outdoor Corp. † | 8,200 | 597,534 | ||||||
Dillard’s, Inc., Class A | 10,500 | 1,433,355 | ||||||
DISH Network Corp., Class A † | 36,500 | 2,557,190 | ||||||
Dollar General Corp. † | 5,300 | 399,514 | ||||||
Dollar Tree, Inc. † | 35,400 | 2,872,533 | ||||||
Domino’s Pizza, Inc. | 10,800 | 1,085,940 | ||||||
Expedia, Inc. | 8,300 | 781,279 | ||||||
Federal-Mogul Holdings Corp. † | 12,400 | 165,044 | ||||||
Foot Locker, Inc. | 24,400 | 1,537,200 | ||||||
Gannett Co., Inc. | 50,200 | 1,861,416 | ||||||
Gentex Corp. | 26,000 | 475,800 | ||||||
Genuine Parts Co. | 16,500 | 1,537,635 | ||||||
H&R Block, Inc. | 25,400 | 814,578 | ||||||
Hanesbrands, Inc. | 68,400 | 2,292,084 | ||||||
Harley-Davidson, Inc. | 9,500 | 577,030 | ||||||
Harman International Industries, Inc. | 13,600 | 1,817,368 | ||||||
Hasbro, Inc. | 3,200 | 202,368 | ||||||
Home Depot, Inc./The | 148,800 | 16,905,168 | ||||||
HSN, Inc. | 8,000 | 545,840 | ||||||
Hyatt Hotels Corp., Class A † | 10,100 | 598,122 | ||||||
Jack in the Box, Inc. | 2,200 | 211,024 | ||||||
Jarden Corp. † | 20,700 | 1,095,030 | ||||||
Kate Spade & Co. † | 21,900 | 731,241 | ||||||
Kohl’s Corp. | 2,800 | 219,100 | ||||||
L Brands, Inc. | 37,900 | 3,573,591 | ||||||
Leggett & Platt, Inc. | 9,500 | 437,855 | ||||||
LKQ Corp. † | 26,100 | 667,116 | ||||||
Lowe’s Cos., Inc. | 117,500 | 8,740,825 | ||||||
Macy’s, Inc. | 34,000 | 2,206,940 | ||||||
Madison Square Garden Co./The, Class A † | 11,000 | 931,150 | ||||||
Marriott International, Inc., Class A | 32,400 | 2,602,368 | ||||||
Mohawk Industries, Inc. † | 4,300 | 798,725 | ||||||
Murphy USA, Inc. † | 3,100 | 224,347 | ||||||
Netflix, Inc. † | 600 | 250,014 | ||||||
NIKE, Inc., Class B | 89,100 | 8,939,403 | ||||||
Nordstrom, Inc. | 21,600 | 1,734,912 | ||||||
Norwegian Cruise Line Holdings Ltd. † | 18,100 | 977,581 | ||||||
O’Reilly Automotive, Inc. † | 19,300 | 4,173,432 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 14.9% (continued) | ||||||||
Panera Bread Co., Class A † | 2,400 | $ | 383,988 | |||||
Pier 1 Imports, Inc. | 24,000 | 335,520 | ||||||
Polaris Industries, Inc. | 8,700 | 1,227,570 | ||||||
Rent-A-Center, Inc. | 8,000 | 219,520 | ||||||
Restaurant Brands International, Inc. (Canada) | 31,878 | 1,224,434 | ||||||
Restoration Hardware Holdings, Inc. † | 5,800 | 575,302 | ||||||
Ross Stores, Inc. | 28,800 | 3,034,368 | ||||||
Royal Caribbean Cruises Ltd. | 28,400 | 2,324,540 | ||||||
Sally Beauty Holdings, Inc. † | 22,600 | 776,762 | ||||||
Signet Jewelers Ltd. | 14,400 | 1,998,576 | ||||||
Sinclair Broadcast Group, Inc., Class A | 42,000 | 1,319,220 | ||||||
Six Flags Entertainment Corp. | 32,600 | 1,578,166 | ||||||
Skechers U.S.A., Inc., Class A † | 11,000 | 791,010 | ||||||
Standard Pacific Corp. † | 98,400 | 885,600 | ||||||
Staples, Inc. | 13,300 | 216,590 | ||||||
Starbucks Corp. | 36,300 | 3,437,610 | ||||||
Target Corp. | 59,900 | 4,915,993 | ||||||
Tempur Sealy International, Inc. † | 2,600 | 150,124 | ||||||
Tenneco, Inc. † | 13,900 | 798,138 | ||||||
Tesla Motors, Inc. † | 1,200 | 226,524 | ||||||
Time Warner, Inc. | 78,800 | 6,653,872 | ||||||
Tractor Supply Co. | 16,000 | 1,360,960 | ||||||
Tupperware Brands Corp. | 4,600 | 317,492 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 12,600 | 1,900,710 | ||||||
Under Armour, Inc., Class A † | 44,600 | 3,601,450 | ||||||
VF Corp. | 51,900 | 3,908,589 | ||||||
Viacom, Inc., Class B | 2,800 | 191,240 | ||||||
Walt Disney Co./The | 176,400 | 18,502,596 | ||||||
Whirlpool Corp. | 6,300 | 1,272,978 | ||||||
Williams-Sonoma, Inc. | 8,200 | 653,622 | ||||||
Wolverine World Wide, Inc. | 16,800 | 561,960 | ||||||
Wyndham Worldwide Corp. | 23,900 | 2,162,233 | ||||||
|
| |||||||
164,876,579 | ||||||||
|
| |||||||
Consumer Staples - 9.5% | ||||||||
Altria Group, Inc. | 253,100 | 12,660,062 | ||||||
Archer-Daniels-Midland Co. | 53,100 | 2,516,940 | ||||||
Brown-Forman Corp., Class B | 14,700 | 1,328,145 | ||||||
Casey’s General Stores, Inc. | 5,900 | 531,590 | ||||||
Church & Dwight Co., Inc. | 15,000 | 1,281,300 | ||||||
Clorox Co./The | 4,200 | 463,638 | ||||||
Coca-Cola Enterprises, Inc. | 19,023 | 840,817 | ||||||
Constellation Brands, Inc., Class A † | 32,500 | 3,776,825 | ||||||
Costco Wholesale Corp. | 45,300 | 6,862,723 | ||||||
Coty, Inc., Class A † | 18,800 | 456,276 | ||||||
CVS Health Corp. | 138,400 | 14,284,264 | ||||||
Darling Ingredients, Inc. † | 15,500 | 217,155 | ||||||
Dr Pepper Snapple Group, Inc. | 46,900 | 3,680,712 | ||||||
Energizer Holdings, Inc. | 3,200 | 441,760 | ||||||
Hain Celestial Group, Inc./The † | 15,200 | 973,560 | ||||||
Hershey Co./The | 16,700 | 1,685,197 | ||||||
Hormel Foods Corp. | 19,500 | 1,108,575 | ||||||
Ingredion, Inc. | 4,600 | 357,972 | ||||||
JM Smucker Co./The | 6,800 | 786,964 | ||||||
Keurig Green Mountain, Inc. | 22,900 | 2,558,617 | ||||||
Kroger Co./The | 74,700 | 5,726,502 | ||||||
McCormick & Co., Inc. | 12,000 | 925,320 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
39
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 9.5% (continued) | ||||||||
Mead Johnson Nutrition Co. | 12,700 | $ | 1,276,731 | |||||
Molson Coors Brewing Co., Class B | 14,400 | 1,072,080 | ||||||
Mondelez International, Inc., Class A | 9,600 | 346,464 | ||||||
Monster Beverage Corp. † | 25,700 | 3,556,752 | ||||||
PepsiCo, Inc. | 113,100 | 10,814,622 | ||||||
Pilgrim’s Pride Corp. | 35,800 | 808,722 | ||||||
PriceSmart, Inc. | 7,900 | 671,342 | ||||||
Procter & Gamble Co./The | 82,900 | 6,792,826 | ||||||
Reynolds American, Inc. | 70,500 | 4,858,155 | ||||||
Rite Aid Corp. † | 142,500 | 1,238,325 | ||||||
TreeHouse Foods, Inc. † | 4,700 | 399,594 | ||||||
Tyson Foods, Inc., Class A | 32,000 | 1,225,600 | ||||||
Walgreens Boots Alliance, Inc. | 92,200 | 7,807,496 | ||||||
WhiteWave Foods Co./The † | 16,868 | 747,927 | ||||||
|
| |||||||
105,081,550 | ||||||||
|
| |||||||
Energy - 1.6% | ||||||||
Cheniere Energy, Inc. † | 38,600 | 2,987,640 | ||||||
CVR Energy, Inc. | 12,300 | 523,488 | ||||||
Diamondback Energy, Inc. † | 2,800 | 215,152 | ||||||
Golar LNG Ltd. (Norway) | 13,500 | 449,280 | ||||||
Kinder Morgan, Inc. | 180,100 | 7,575,006 | ||||||
ONEOK, Inc. | 11,000 | 530,640 | ||||||
Targa Resources Corp. | 10,400 | 996,216 | ||||||
Tesoro Corp. | 16,300 | 1,488,027 | ||||||
Western Refining, Inc. | 8,100 | 400,059 | ||||||
Williams Cos., Inc./The | 30,300 | 1,532,877 | ||||||
World Fuel Services Corp. | 7,000 | 402,360 | ||||||
|
| |||||||
17,100,745 | ||||||||
|
| |||||||
Financials - 14.8% | ||||||||
Alexandria Real Estate Equities, Inc. REIT | 2,700 | 264,708 | ||||||
Allstate Corp./The | 31,400 | 2,234,738 | ||||||
American Campus Communities, Inc. REIT | 5,300 | 227,211 | ||||||
American Capital Ltd. † | 125,200 | 1,851,708 | ||||||
American Financial Group, Inc. | 8,200 | 526,030 | ||||||
American Tower Corp. REIT | 85,100 | 8,012,165 | ||||||
Ameriprise Financial, Inc. | 24,500 | 3,205,580 | ||||||
AmTrust Financial Services, Inc. | 4,400 | 250,734 | ||||||
Aon PLC (United Kingdom) | 11,400 | 1,095,768 | ||||||
Apartment Investment & Management Co., Class A REIT | 32,100 | 1,263,456 | ||||||
Arch Capital Group Ltd. † | 13,000 | 800,800 | ||||||
AvalonBay Communities, Inc. REIT | 30,900 | 5,384,325 | ||||||
Berkshire Hathaway, Inc., Class B † | 208,400 | 30,076,288 | ||||||
BlackRock, Inc. | 600 | 219,504 | ||||||
Boston Properties, Inc. REIT | 36,500 | 5,127,520 | ||||||
Brixmor Property Group, Inc. REIT | 49,300 | 1,308,915 | ||||||
Camden Property Trust REIT | 13,500 | 1,054,755 | ||||||
Capitol Federal Financial, Inc. | 26,600 | 332,500 | ||||||
Cincinnati Financial Corp. | 26,000 | 1,385,280 | ||||||
CME Group, Inc. | 16,700 | 1,581,657 | ||||||
Comerica, Inc. | 4,400 | 198,572 | ||||||
Corrections Corp. of America REIT | 18,552 | 746,904 | ||||||
CubeSmart REIT | 9,200 | 222,180 | ||||||
Digital Realty Trust, Inc. REIT | 50,800 | 3,350,768 |
SHARES | VALUE (Note 4) | |||||||
Financials - 14.8% (continued) | ||||||||
Discover Financial Services | 26,000 | $ | 1,465,100 | |||||
Douglas Emmett, Inc. REIT | 8,500 | 253,385 | ||||||
Duke Realty Corp. REIT | 11,600 | 252,532 | ||||||
E*TRADE Financial Corp. † | 28,300 | 808,106 | ||||||
Equity Lifestyle Properties, Inc. REIT | 4,000 | 219,800 | ||||||
Equity Residential REIT | 89,900 | 6,999,614 | ||||||
Erie Indemnity Co., Class A | 2,000 | 174,520 | ||||||
Essex Property Trust, Inc. REIT | 26,200 | 6,023,380 | ||||||
Extra Space Storage, Inc. REIT | 32,200 | 2,175,754 | ||||||
Federal Realty Investment Trust REIT | 18,100 | 2,664,501 | ||||||
Financial Engines, Inc. | 7,800 | 326,274 | ||||||
FNF Group | 53,600 | 1,970,336 | ||||||
General Growth Properties, Inc. REIT | 151,000 | 4,462,050 | ||||||
HCP, Inc. REIT | 57,500 | 2,484,575 | ||||||
Health Care REIT, Inc. REIT | 60,600 | 4,688,016 | ||||||
Healthcare Trust of America, Inc., Class A REIT | 8,000 | 222,880 | ||||||
Home Properties, Inc. REIT | 3,200 | 221,728 | ||||||
Host Hotels & Resorts, Inc. REIT | 84,700 | 1,709,246 | ||||||
Huntington Bancshares, Inc. | 147,100 | 1,625,455 | ||||||
Iron Mountain, Inc. REIT | 20,315 | 741,091 | ||||||
Kilroy Realty Corp. REIT | 2,900 | 220,893 | ||||||
Kimco Realty Corp. REIT | 46,500 | 1,248,525 | ||||||
Lamar Advertising Co., Class A REIT | 12,300 | 729,021 | ||||||
M&T Bank Corp. | 3,100 | 393,700 | ||||||
Markel Corp. † | 300 | 230,688 | ||||||
Marsh & McLennan Cos., Inc. | 7,400 | 415,066 | ||||||
McGraw Hill Financial, Inc. | 29,100 | 3,008,940 | ||||||
MGIC Investment Corp. † | 85,000 | 818,550 | ||||||
Moody’s Corp. | 30,600 | 3,176,280 | ||||||
Morgan Stanley | 6,500 | 231,985 | ||||||
NASDAQ OMX Group, Inc./The | 5,000 | 254,700 | ||||||
National Retail Properties, Inc. REIT | 30,400 | 1,245,488 | ||||||
Nationstar Mortgage Holdings, Inc. † | 11,000 | 272,470 | ||||||
Navient Corp. | 29,600 | 601,768 | ||||||
Omega Healthcare Investors, Inc. REIT | 29,600 | 1,200,872 | ||||||
PartnerRe Ltd. | 6,800 | 777,444 | ||||||
Post Properties, Inc. REIT | 5,900 | 335,887 | ||||||
Principal Financial Group, Inc. | 9,300 | 477,741 | ||||||
Public Storage REIT | 19,300 | 3,804,802 | ||||||
Realty Income Corp. REIT | 26,100 | 1,346,760 | ||||||
Regency Centers Corp. REIT | 19,200 | 1,306,368 | ||||||
Retail Properties of America, Inc., Class A REIT | 13,800 | 221,214 | ||||||
RLJ Lodging Trust REIT | 9,800 | 306,838 | ||||||
Signature Bank † | 5,800 | 751,564 | ||||||
Simon Property Group, Inc. REIT | 53,400 | 10,447,176 | ||||||
SL Green Realty Corp. REIT | 11,100 | 1,425,018 | ||||||
SLM Corp. † | 29,600 | 274,688 | ||||||
Sovran Self Storage, Inc. REIT | 2,400 | 225,456 | ||||||
Spirit Realty Capital, Inc. REIT | 17,600 | 212,608 | ||||||
Springleaf Holdings, Inc. † | 4,200 | 217,434 | ||||||
SVB Financial Group † | 6,100 | 774,944 | ||||||
Taubman Centers, Inc. REIT | 3,000 | 231,390 | ||||||
Torchmark Corp. | 14,100 | 774,372 | ||||||
Travelers Cos., Inc./The | 21,200 | 2,292,356 | ||||||
UDR, Inc. REIT | 41,200 | 1,402,036 | ||||||
Urban Edge Properties REIT | 18,350 | 434,895 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
40
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 14.8% (continued) | ||||||||
Ventas, Inc. REIT | 48,100 | $ | 3,512,262 | |||||
Vornado Realty Trust REIT | 36,700 | 4,110,400 | ||||||
Weingarten Realty Investors REIT | 6,000 | 215,880 | ||||||
Wells Fargo & Co. | 54,800 | 2,981,120 | ||||||
Weyerhaeuser Co. REIT | 6,700 | 222,105 | ||||||
WR Berkley Corp. | 13,700 | 691,987 | ||||||
|
| |||||||
164,034,100 | ||||||||
|
| |||||||
Health Care - 17.4% | ||||||||
Abbott Laboratories | 63,300 | 2,932,689 | ||||||
AbbVie, Inc. | 132,600 | 7,762,404 | ||||||
Acadia Healthcare Co., Inc. † | 3,000 | 214,800 | ||||||
ACADIA Pharmaceuticals, Inc. † | 23,700 | 772,383 | ||||||
Actavis PLC † | 1,200 | 357,144 | ||||||
Aetna, Inc. | 58,800 | 6,263,964 | ||||||
Agios Pharmaceuticals, Inc. † | 16,900 | 1,593,670 | ||||||
Akorn, Inc. † | 23,600 | 1,121,236 | ||||||
Alexion Pharmaceuticals, Inc. † | 20,900 | 3,621,970 | ||||||
Align Technology, Inc. † | 9,300 | 500,200 | ||||||
Alnylam Pharmaceuticals, Inc. † | 14,400 | 1,503,648 | ||||||
AmerisourceBergen Corp. | 29,000 | 3,296,430 | ||||||
Amgen, Inc. | 79,300 | 12,676,105 | ||||||
Anthem, Inc. | 40,100 | 6,191,841 | ||||||
Arena Pharmaceuticals, Inc. † | 74,700 | 326,439 | ||||||
athenahealth, Inc. † | 5,100 | 608,889 | ||||||
Becton Dickinson and Co. | 12,800 | 1,837,952 | ||||||
Biogen, Inc. † | 6,700 | 2,829,008 | ||||||
BioMarin Pharmaceutical, Inc. † | 12,800 | 1,595,136 | ||||||
Bluebird Bio, Inc. † | 3,900 | 471,003 | ||||||
Bristol-Myers Squibb Co. | 31,500 | 2,031,750 | ||||||
Brookdale Senior Living, Inc. † | 19,500 | 736,320 | ||||||
Cardinal Health, Inc. | 34,000 | 3,069,180 | ||||||
Catamaran Corp. † | 18,200 | 1,083,628 | ||||||
Celgene Corp. † | 84,400 | 9,729,632 | ||||||
Centene Corp. † | 15,900 | 1,123,971 | ||||||
Cepheid † | 11,200 | 637,280 | ||||||
Cerner Corp. † | 27,200 | 1,992,672 | ||||||
Cigna Corp. | 28,000 | 3,624,320 | ||||||
Community Health Systems, Inc. † | 16,800 | 878,304 | ||||||
Cooper Cos., Inc./The | 7,400 | 1,386,908 | ||||||
CR Bard, Inc. | 1,300 | 217,555 | ||||||
DaVita HealthCare Partners, Inc. † | 28,200 | 2,292,096 | ||||||
DexCom, Inc. † | 23,400 | 1,458,756 | ||||||
Edwards Lifesciences Corp. † | 20,400 | 2,906,184 | ||||||
Eli Lilly & Co. | 121,700 | 8,841,505 | ||||||
Gilead Sciences, Inc. † | 152,400 | 14,955,012 | ||||||
HCA Holdings, Inc. † | 47,400 | 3,565,902 | ||||||
Health Net, Inc. † | 7,400 | 447,626 | ||||||
Henry Schein, Inc. † | 4,600 | 642,252 | ||||||
Hill-Rom Holdings, Inc. | 3,500 | 171,500 | ||||||
HMS Holdings Corp. † | 5,700 | 88,065 | ||||||
Hologic, Inc. † | 6,700 | 221,268 | ||||||
Humana, Inc. | 19,900 | 3,542,598 | ||||||
IDEXX Laboratories, Inc. † | 4,000 | 617,920 | ||||||
Illumina, Inc. † | 25,800 | 4,789,512 | ||||||
Incyte Corp. † | 35,900 | 3,290,594 | ||||||
Intercept Pharmaceuticals, Inc. † | 1,300 | 366,626 | ||||||
Intrexon Corp. † | 5,400 | 244,998 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.4% (continued) | ||||||||
Intuitive Surgical, Inc. † | 2,100 | $ | 1,060,563 | |||||
Isis Pharmaceuticals, Inc. † | 20,600 | 1,311,602 | ||||||
Jazz Pharmaceuticals PLC (Ireland) † | 5,800 | 1,002,182 | ||||||
Johnson & Johnson | 9,200 | 925,520 | ||||||
McKesson Corp. | 32,900 | 7,441,980 | ||||||
Medidata Solutions, Inc. † | 25,500 | 1,250,520 | ||||||
Medivation, Inc. † | 24,000 | 3,097,680 | ||||||
Medtronic PLC (Ireland) | 26,000 | 2,027,740 | ||||||
Merck & Co., Inc. | 46,500 | 2,672,820 | ||||||
Mylan NV † | 21,700 | 1,287,895 | ||||||
Neurocrine Biosciences, Inc. † | 7,900 | 313,709 | ||||||
Omnicare, Inc. | 8,700 | 670,422 | ||||||
OPKO Health, Inc. † | 73,900 | 1,047,163 | ||||||
Pacira Pharmaceuticals, Inc. † | 7,500 | 666,375 | ||||||
Perrigo Co. PLC (Ireland) | 4,700 | 778,085 | ||||||
Puma Biotechnology, Inc. † | 5,800 | 1,369,438 | ||||||
Quest Diagnostics, Inc. | 2,800 | 215,180 | ||||||
Receptos, Inc. † | 12,800 | 2,110,592 | ||||||
Regeneron Pharmaceuticals, Inc. † | 11,500 | 5,192,020 | ||||||
ResMed, Inc. | 13,000 | 933,140 | ||||||
St. Jude Medical, Inc. | 10,000 | 654,000 | ||||||
Tenet Healthcare Corp. † | 7,900 | 391,129 | ||||||
Thermo Fisher Scientific, Inc. | 12,100 | 1,625,514 | ||||||
United Therapeutics Corp. † | 9,600 | 1,655,376 | ||||||
UnitedHealth Group, Inc. | 110,400 | 13,059,216 | ||||||
Universal Health Services, Inc., Class B | 4,400 | 517,924 | ||||||
VCA, Inc. † | 4,000 | 219,280 | ||||||
Vertex Pharmaceuticals, Inc. † | 30,100 | 3,550,897 | ||||||
WellCare Health Plans, Inc. † | 10,500 | 960,330 | ||||||
Zimmer Holdings, Inc. | 9,800 | 1,151,696 | ||||||
Zoetis, Inc. | 46,000 | 2,129,340 | ||||||
|
| |||||||
192,720,173 | ||||||||
|
| |||||||
Industrials - 10.1% | ||||||||
3M Co. | 40,900 | 6,746,455 | ||||||
A. O. Smith Corp. | 16,200 | 1,063,692 | ||||||
Acacia Research Corp. | 8,700 | 93,090 | ||||||
ACCO Brands Corp. † | 1,715 | 14,252 | ||||||
Acuity Brands, Inc. | 2,600 | 437,216 | ||||||
Alaska Air Group, Inc. | 35,600 | 2,356,008 | ||||||
Allegiant Travel Co. | 1,100 | 211,519 | ||||||
AMERCO | 1,900 | 627,760 | ||||||
American Airlines Group, Inc. | 90,500 | 4,776,590 | ||||||
AMETEK, Inc. | 2,800 | 147,112 | ||||||
Avis Budget Group, Inc. † | 42,300 | 2,496,334 | ||||||
Boeing Co./The | 5,200 | 780,416 | ||||||
CH Robinson Worldwide, Inc. | 2,900 | 212,338 | ||||||
Cintas Corp. | 7,300 | 595,899 | ||||||
Clean Harbors, Inc. † | 4,800 | 272,544 | ||||||
Copart, Inc. † | 14,400 | 541,008 | ||||||
CSX Corp. | 36,600 | 1,212,192 | ||||||
Delta Air Lines, Inc. | 133,400 | 5,997,664 | ||||||
Donaldson Co., Inc. | 8,800 | 331,848 | ||||||
Fastenal Co. | 2,900 | 120,162 | ||||||
FedEx Corp. | 34,700 | 5,741,115 | ||||||
Fortune Brands Home & Security, Inc. | 53,300 | 2,530,684 | ||||||
Generac Holdings, Inc. † | 11,200 | 545,328 | ||||||
General Dynamics Corp. | 42,800 | 5,809,244 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
41
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 10.1% (continued) | ||||||||
Genesee & Wyoming, Inc., Class A † | 7,000 | $ | 675,080 | |||||
Hexcel Corp. | 15,700 | 807,294 | ||||||
Hubbell, Inc., Class B | 3,700 | 405,594 | ||||||
Huntington Ingalls Industries, Inc. | 9,900 | 1,387,485 | ||||||
IHS, Inc., Class A † | 4,100 | 466,416 | ||||||
JB Hunt Transport Services, Inc. | 14,400 | 1,229,688 | ||||||
JetBlue Airways Corp. † | 51,900 | 999,075 | ||||||
Kansas City Southern | 7,200 | 734,976 | ||||||
Kirby Corp. † | 1,800 | 135,090 | ||||||
Lockheed Martin Corp. | 45,900 | 9,315,864 | ||||||
Macquarie Infrastructure Co. LLC | 3,600 | 296,244 | ||||||
Middleby Corp./The † | 10,800 | 1,108,620 | ||||||
Mueller Industries, Inc. | 13,000 | 469,690 | ||||||
Nordson Corp. | 3,200 | 250,688 | ||||||
Norfolk Southern Corp. | 12,500 | 1,286,500 | ||||||
Northrop Grumman Corp. | 35,000 | 5,633,600 | ||||||
Old Dominion Freight Line, Inc. † | 11,100 | 858,030 | ||||||
Owens Corning | 12,800 | 555,520 | ||||||
Pall Corp. | 7,000 | 702,730 | ||||||
Pitney Bowes, Inc. | 36,200 | 844,184 | ||||||
Raytheon Co. | 14,000 | 1,529,500 | ||||||
Republic Services, Inc. | 5,600 | 227,136 | ||||||
Robert Half International, Inc. | 7,000 | 423,640 | ||||||
Rockwell Automation, Inc. | 1,100 | 127,589 | ||||||
Roper Industries, Inc. | 9,300 | 1,599,600 | ||||||
RR Donnelley & Sons Co. | 50,900 | 976,771 | ||||||
Southwest Airlines Co. | 118,000 | 5,227,400 | ||||||
Spirit Airlines, Inc. † | 17,600 | 1,361,536 | ||||||
Stericycle, Inc. † | 7,700 | 1,081,311 | ||||||
Swift Transportation Co. † | 31,300 | 814,426 | ||||||
Textron, Inc. | 13,400 | 594,022 | ||||||
Timken Co./The | 14,600 | 615,244 | ||||||
Towers Watson & Co., Class A | 10,800 | 1,427,598 | ||||||
TransDigm Group, Inc. | 9,000 | 1,968,480 | ||||||
Trinity Industries, Inc. | 13,100 | 465,181 | ||||||
Union Pacific Corp. | 97,400 | 10,549,394 | ||||||
United Continental Holdings, Inc. † | 64,000 | 4,304,000 | ||||||
United Rentals, Inc. † | 14,500 | 1,321,820 | ||||||
USG Corp. † | 18,500 | 493,950 | ||||||
Verisk Analytics, Inc., Class A † | 18,500 | 1,320,900 | ||||||
Wabtec Corp. | 8,800 | 836,088 | ||||||
Waste Connections, Inc. | 8,300 | 399,562 | ||||||
Waste Management, Inc. | 15,500 | 840,565 | ||||||
Werner Enterprises, Inc. | 10,900 | 342,369 | ||||||
Woodward, Inc. | 3,200 | 163,232 | ||||||
WW Grainger, Inc. | 3,900 | 919,659 | ||||||
|
| |||||||
111,753,811 | ||||||||
|
| |||||||
Information Technology - 21.0% | ||||||||
Activision Blizzard, Inc. | 60,800 | 1,381,680 | ||||||
Adobe Systems, Inc. † | 52,000 | 3,844,880 | ||||||
Akamai Technologies, Inc. † | 31,000 | 2,202,395 | ||||||
Alliance Data Systems Corp. † | 600 | 177,750 | ||||||
Amphenol Corp., Class A | 17,200 | 1,013,596 | ||||||
ANSYS, Inc. † | 5,600 | 493,864 | ||||||
AOL, Inc. † | 26,300 | 1,041,743 | ||||||
Apple, Inc. | 591,200 | 73,563,016 | ||||||
Applied Materials, Inc. | 152,900 | 3,449,424 | ||||||
ARRIS Group, Inc. † | 22,700 | 655,916 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 21.0% (continued) | ||||||||
Arrow Electronics, Inc. † | 8,600 | $ | 525,890 | |||||
Automatic Data Processing, Inc. | 44,800 | 3,836,672 | ||||||
Booz Allen Hamilton Holding Corp. | 7,200 | 208,368 | ||||||
Broadcom Corp., Class A | 72,400 | 3,134,558 | ||||||
Brocade Communications Systems, Inc. | 101,800 | 1,207,857 | ||||||
CA, Inc. | 9,900 | 322,839 | ||||||
Cadence Design Systems, Inc. † | 23,600 | 435,184 | ||||||
Cavium, Inc. † | 3,200 | 226,624 | ||||||
CDK Global, Inc. | 6,566 | 307,026 | ||||||
CDW Corp. | 11,500 | 428,260 | ||||||
Cirrus Logic, Inc. † | 28,800 | 957,888 | ||||||
Cisco Systems, Inc. | 480,400 | 13,223,010 | ||||||
CommScope Holding Co., Inc. † | 7,000 | 199,780 | ||||||
CommVault Systems, Inc. † | 8,200 | 358,340 | ||||||
Computer Sciences Corp. | 10,500 | 685,440 | ||||||
CoreLogic, Inc. † | 18,100 | 638,387 | ||||||
Corning, Inc. | 14,300 | 324,324 | ||||||
CoStar Group, Inc. † | 4,800 | 949,584 | ||||||
Electronic Arts, Inc. † | 69,700 | 4,099,405 | ||||||
Equinix, Inc. REIT | 1,000 | 232,850 | ||||||
F5 Networks, Inc. † | 6,500 | 747,110 | ||||||
Facebook, Inc., Class A † | 182,400 | 14,996,016 | ||||||
FactSet Research Systems, Inc. | 1,300 | 206,960 | ||||||
Fairchild Semiconductor International, Inc. † | 7,700 | 139,986 | ||||||
Fidelity National Information Services, Inc. | 18,200 | 1,238,692 | ||||||
Fiserv, Inc. † | 29,200 | 2,318,480 | ||||||
FleetCor Technologies, Inc. † | 23,300 | 3,516,436 | ||||||
Fortinet, Inc. † | 19,300 | 674,535 | ||||||
Gartner, Inc. † | 6,200 | 519,870 | ||||||
Hewlett-Packard Co. | 169,900 | 5,294,084 | ||||||
IAC/InterActiveCorp | 12,900 | 870,363 | ||||||
Intel Corp. | 517,200 | 16,172,844 | ||||||
InterDigital, Inc. | 6,200 | 314,588 | ||||||
Intuit, Inc. | 20,400 | 1,977,984 | ||||||
IPG Photonics Corp. † | 3,700 | 342,990 | ||||||
Jack Henry & Associates, Inc. | 8,800 | 615,032 | ||||||
KLA-Tencor Corp. | 11,300 | 658,677 | ||||||
Lam Research Corp. | 18,200 | 1,278,277 | ||||||
LinkedIn Corp., Class A † | 1,700 | 424,762 | ||||||
Marvell Technology Group Ltd. | 53,500 | 786,450 | ||||||
MasterCard, Inc., Class A | 16,500 | 1,425,435 | ||||||
Maxim Integrated Products, Inc. | 21,200 | 737,972 | ||||||
Micron Technology, Inc. † | 97,800 | 2,653,314 | ||||||
Microsoft Corp. | 322,500 | 13,111,238 | ||||||
Motorola Solutions, Inc. | 10,300 | 686,701 | ||||||
NetSuite, Inc. † | 13,600 | 1,261,536 | ||||||
NVIDIA Corp. | 49,800 | 1,042,065 | ||||||
Palo Alto Networks, Inc. † | 14,300 | 2,088,944 | ||||||
Qorvo, Inc. † | 29,200 | 2,327,240 | ||||||
Rackspace Hosting, Inc. † | 4,100 | 211,519 | ||||||
Red Hat, Inc. † | 4,300 | 325,725 | ||||||
SanDisk Corp. | 26,900 | 1,711,378 | ||||||
ServiceNow, Inc. † | 20,800 | 1,638,624 | ||||||
Shutterstock, Inc. † | 9,000 | 618,030 | ||||||
Skyworks Solutions, Inc. | 56,400 | 5,543,556 | ||||||
SolarWinds, Inc. † | 12,600 | 645,624 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
42
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 21.0% (continued) | ||||||||
Solera Holdings, Inc. | 5,700 | $ | 294,462 | |||||
SunEdison, Inc. † | 49,700 | 1,192,800 | ||||||
Symantec Corp. | 34,100 | 796,747 | ||||||
Texas Instruments, Inc. | 98,900 | 5,655,597 | ||||||
Total System Services, Inc. | 15,100 | 576,065 | ||||||
Universal Display Corp. † | 8,600 | 402,050 | ||||||
VeriSign, Inc. † | 18,400 | 1,232,248 | ||||||
Visa, Inc., Class A | 52,500 | 3,434,025 | ||||||
Vishay Intertechnology, Inc. | 8,200 | 113,324 | ||||||
Western Digital Corp. | 26,800 | 2,439,068 | ||||||
Xerox Corp. | 148,500 | 1,908,225 | ||||||
Xilinx, Inc. | 20,300 | 858,690 | ||||||
Yahoo!, Inc. † | 79,600 | 3,537,026 | ||||||
Zebra Technologies Corp., Class A † | 3,200 | 290,288 | ||||||
Zillow Group, Inc., Class A † | 6,000 | 601,800 | ||||||
|
| |||||||
232,582,002 | ||||||||
|
| |||||||
Materials - 2.2% | ||||||||
Air Products & Chemicals, Inc. | 12,700 | 1,921,256 | ||||||
Airgas, Inc. | 4,900 | 519,939 | ||||||
Alcoa, Inc. | 189,400 | 2,447,048 | ||||||
Ashland, Inc. | 6,600 | 840,246 | ||||||
Ball Corp. | 21,800 | 1,539,952 | ||||||
Berry Plastics Group, Inc. † | 13,000 | 470,470 | ||||||
Carpenter Technology Corp. | 5,700 | 221,616 | ||||||
Dow Chemical Co./The | 19,800 | 950,004 | ||||||
Eagle Materials, Inc. | 11,000 | 919,160 | ||||||
Ecolab, Inc. | 3,800 | 434,644 | ||||||
International Flavors & Fragrances, Inc. | 6,500 | 763,100 | ||||||
Louisiana-Pacific Corp. † | 58,600 | 967,486 | ||||||
NewMarket Corp. | 1,600 | 764,480 | ||||||
Packaging Corp. of America | 14,500 | 1,133,755 | ||||||
PPG Industries, Inc. | 10,997 | 2,480,263 | ||||||
Royal Gold, Inc. | 18,900 | 1,192,779 | ||||||
Sealed Air Corp. | 9,200 | 419,152 | ||||||
Sherwin-Williams Co./The | 13,000 | 3,698,500 | ||||||
Valspar Corp./The | 8,500 | 714,255 | ||||||
Vulcan Materials Co. | 7,200 | 606,960 | ||||||
Westlake Chemical Corp. | 14,900 | 1,071,906 | ||||||
WR Grace & Co. † | 3,700 | 365,819 | ||||||
|
| |||||||
24,442,790 | ||||||||
|
| |||||||
Telecommunication Services - 0.6% | ||||||||
CenturyLink, Inc. | 53,800 | 1,858,790 | ||||||
Frontier Communications Corp. | 27,000 | 190,350 | ||||||
Globalstar, Inc. † | 67,900 | 226,107 | ||||||
Level 3 Communications, Inc. † | 45,286 | 2,438,198 | ||||||
SBA Communications Corp., Class A † | 13,000 | 1,522,300 | ||||||
|
| |||||||
6,235,745 | ||||||||
|
| |||||||
Utilities - 4.9% | ||||||||
AGL Resources, Inc. | 7,100 | 352,515 | ||||||
Alliant Energy Corp. | 3,600 | 226,800 | ||||||
Ameren Corp. | 6,300 | 265,860 | ||||||
American Electric Power Co., Inc. | 79,300 | 4,460,625 | ||||||
American Water Works Co., Inc. | 25,800 | 1,398,618 | ||||||
Atmos Energy Corp. | 9,100 | 503,230 | ||||||
Cleco Corp. | 8,100 | 441,612 |
SHARES | VALUE (Note 4) | |||||||
Utilities - 4.9% (continued) | ||||||||
CMS Energy Corp. | 38,200 | $ | 1,333,562 | |||||
Consolidated Edison, Inc. | 29,300 | 1,787,300 | ||||||
DTE Energy Co. | 40,900 | 3,300,221 | ||||||
Duke Energy Corp. | 63,100 | 4,844,818 | ||||||
Edison International | 66,100 | 4,129,267 | ||||||
Entergy Corp. | 38,200 | 2,960,118 | ||||||
Eversource Energy | 6,500 | 328,380 | ||||||
Exelon Corp. | 56,300 | 1,892,243 | ||||||
FirstEnergy Corp. | 6,100 | 213,866 | ||||||
ITC Holdings Corp. | 22,500 | 842,175 | ||||||
National Fuel Gas Co. | 5,400 | 325,782 | ||||||
NextEra Energy, Inc. | 38,500 | 4,005,925 | ||||||
NiSource, Inc. | 56,700 | 2,503,872 | ||||||
OGE Energy Corp. | 14,600 | 461,506 | ||||||
PG&E Corp. | 62,100 | 3,295,647 | ||||||
Pinnacle West Capital Corp. | 5,500 | 350,625 | ||||||
Portland General Electric Co. | 12,000 | 445,080 | ||||||
PPL Corp. | 14,800 | 498,168 | ||||||
Public Service Enterprise Group, Inc. | 67,600 | 2,833,792 | ||||||
Questar Corp. | 15,300 | 365,058 | ||||||
SCANA Corp. | 22,000 | 1,209,780 | ||||||
Sempra Energy | 37,800 | 4,120,956 | ||||||
Westar Energy, Inc. | 5,500 | 213,180 | ||||||
WGL Holdings, Inc. | 6,900 | 389,160 | ||||||
Wisconsin Energy Corp. | 23,600 | 1,168,200 | ||||||
Xcel Energy, Inc. | 68,400 | 2,381,004 | ||||||
|
| |||||||
53,848,945 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS (cost $858,649,597) | 1,072,676,440 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 2.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | ||||||||
(cost $30,860,556) | 30,860,556 | 30,860,556 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 99.8% | 1,103,536,996 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% (b) | 1,763,238 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,105,300,234 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
43
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND |
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
216 | Barclays Capital | S&P 500 E-Mini Futures | 6/2015 | $22,319,809 | $22,256,640 | $(63,169 | ) | |||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $896,976 at March 31, 2015.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
44
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 96.8% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 15.1% | ||||||||
1-800-Flowers.com, Inc., Class A †(a) | 60,400 | $ | 714,532 | |||||
A. H. Belo Corp., Class A (a) | 14,300 | 117,689 | ||||||
AMC Entertainment Holdings, Inc., Class A | 22,600 | 802,074 | ||||||
American Axle & Manufacturing Holdings, Inc. † | 29,400 | 759,402 | ||||||
American Eagle Outfitters, Inc. | 19,100 | 326,228 | ||||||
America’s Car-Mart, Inc. † | 5,800 | 314,650 | ||||||
ANN, Inc. † | 7,800 | 320,034 | ||||||
Asbury Automotive Group, Inc. †(a) | 18,600 | 1,545,660 | ||||||
Barnes & Noble, Inc. † | 39,200 | 931,000 | ||||||
Bassett Furniture Industries, Inc. | 3,000 | 85,560 | ||||||
Big Lots, Inc. | 31,300 | 1,503,339 | ||||||
BJ’s Restaurants, Inc. † | 19,100 | 963,595 | ||||||
Boyd Gaming Corp. † | 16,700 | 237,140 | ||||||
Bright Horizons Family Solutions, Inc. †(a) | 4,800 | 246,096 | ||||||
Brown Shoe Co., Inc. | 26,600 | 872,480 | ||||||
Buckle, Inc./The (a) | 16,600 | 848,094 | ||||||
Build-A-Bear Workshop, Inc. †(a) | 26,600 | 522,690 | ||||||
Burlington Stores, Inc. † | 6,500 | 386,230 | ||||||
Capella Education Co. | 6,900 | 447,672 | ||||||
Career Education Corp. † | 16,200 | 81,486 | ||||||
Carriage Services, Inc. | 12,600 | 300,762 | ||||||
Carrols Restaurant Group, Inc. †(a) | 5,400 | 44,766 | ||||||
Cato Corp./The, Class A | 16,800 | 665,280 | ||||||
Cavco Industries, Inc. †(a) | 3,700 | 277,722 | ||||||
Century Casinos, Inc. † | 26,600 | 144,970 | ||||||
Chico’s FAS, Inc. | 7,100 | 125,599 | ||||||
Children’s Place, Inc./The (a) | 6,800 | 436,492 | ||||||
Choice Hotels International, Inc. (a) | 4,100 | 262,687 | ||||||
Christopher & Banks Corp. † | 18,000 | 100,080 | ||||||
Churchill Downs, Inc. | 4,700 | 540,359 | ||||||
Cinedigm Corp., Class A †(a) | 35,600 | 57,672 | ||||||
Citi Trends, Inc. † | 13,800 | 372,600 | ||||||
ClubCorp Holdings, Inc. | 28,700 | 555,632 | ||||||
Collectors Universe, Inc. | 9,300 | 209,808 | ||||||
Columbia Sportswear Co. | 6,200 | 377,580 | ||||||
Cooper Tire & Rubber Co. | 27,900 | 1,195,236 | ||||||
Cooper-Standard Holding, Inc. † | 6,100 | 361,120 | ||||||
Core-Mark Holding Co., Inc. | 17,100 | 1,099,872 | ||||||
Del Frisco’s Restaurant Group, Inc. †(a) | 5,900 | 118,885 | ||||||
Denny’s Corp. † | 70,300 | 801,420 | ||||||
Destination XL Group, Inc. †(a) | 22,800 | 112,632 | ||||||
DeVry Education Group, Inc. | 1,500 | 50,040 | ||||||
Dex Media, Inc. †(a) | 13,900 | 58,241 | ||||||
Diamond Resorts International, Inc. † | 43,400 | 1,450,862 | ||||||
DineEquity, Inc. | 11,300 | 1,209,213 | ||||||
Dixie Group, Inc./The †(a) | 9,200 | 83,260 | ||||||
Drew Industries, Inc. | 3,900 | 240,006 | ||||||
Empire Resorts, Inc. †(a) | 22,500 | 103,500 | ||||||
Ethan Allen Interiors, Inc. | 2,800 | 77,392 | ||||||
EVINE Live, Inc. † | 8,000 | 53,680 | ||||||
EW Scripps Co./The, Class A † | 14,500 | 412,380 | ||||||
Famous Dave’s of America, Inc. †(a) | 8,200 | 233,700 | ||||||
Fiesta Restaurant Group, Inc. †(a) | 16,500 | 1,006,500 | ||||||
Flexsteel Industries, Inc. | 2,400 | 75,096 | ||||||
Fred’s, Inc., Class A | 7,400 | 126,466 | ||||||
FTD Cos., Inc. † | 10,700 | 320,358 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 15.1% (continued) | ||||||||
Genesco, Inc. † | 4,100 | $ | 292,043 | |||||
Gentherm, Inc. † | 17,900 | 904,129 | ||||||
G-III Apparel Group Ltd. † | 12,600 | 1,419,390 | ||||||
Global Eagle Entertainment, Inc. †(a) | 7,800 | 103,818 | ||||||
Grand Canyon Education, Inc. † | 7,000 | 303,100 | ||||||
Gray Television, Inc. † | 12,800 | 176,896 | ||||||
Group 1 Automotive, Inc. | 13,000 | 1,122,290 | ||||||
Haverty Furniture Cos., Inc. | 7,500 | 186,600 | ||||||
Helen of Troy Ltd. † | 16,300 | 1,328,287 | ||||||
Hooker Furniture Corp. | 2,200 | 41,910 | ||||||
Houghton Mifflin Harcourt Co. † | 30,000 | 704,400 | ||||||
Iconix Brand Group, Inc. † | 1,300 | 43,771 | ||||||
Installed Building Products, Inc. † | 2,900 | 63,104 | ||||||
Interval Leisure Group, Inc. | 9,000 | 235,890 | ||||||
Isle of Capri Casinos, Inc. † | 6,400 | 89,920 | ||||||
Jack in the Box, Inc. (a) | 13,500 | 1,294,920 | ||||||
Jamba, Inc. † | 6,300 | 92,673 | ||||||
JC Penney Co., Inc. †(a) | 35,100 | 295,191 | ||||||
Kirkland’s, Inc. † | 8,000 | 190,000 | ||||||
Kona Grill, Inc. † | 16,400 | 466,088 | ||||||
Lakeland Industries, Inc. † | 5,500 | 49,225 | ||||||
Lands’ End, Inc. † | 2,300 | 82,524 | ||||||
Lee Enterprises, Inc. †(a) | 71,800 | 227,606 | ||||||
Libbey, Inc. | 16,700 | 666,497 | ||||||
Liberty Tax, Inc. †(a) | 6,900 | 192,027 | ||||||
Life Time Fitness, Inc. † | 18,800 | 1,334,048 | ||||||
Lithia Motors, Inc., Class A | 12,600 | 1,252,566 | ||||||
Loral Space & Communications, Inc. † | 2,600 | 177,944 | ||||||
Marcus Corp./The | 6,900 | 146,901 | ||||||
MarineMax, Inc. †(a) | 19,100 | 506,341 | ||||||
Marriott Vacations Worldwide Corp. | 20,400 | 1,653,420 | ||||||
Martha Stewart Living Omnimedia, Inc., Class A † | 31,000 | 201,500 | ||||||
Mattress Firm Holding Corp. †(a) | 20,800 | 1,448,512 | ||||||
McClatchy Co./The, Class A † | 43,400 | 79,856 | ||||||
MDC Partners, Inc., Class A | 8,900 | 252,315 | ||||||
Men’s Wearhouse, Inc./The | 1,900 | 99,180 | ||||||
Meredith Corp. | 16,900 | 942,513 | ||||||
Modine Manufacturing Co. † | 2,600 | 35,022 | ||||||
Monarch Casino & Resort, Inc. † | 8,900 | 170,346 | ||||||
Monro Muffler Brake, Inc. | 5,300 | 344,765 | ||||||
Motorcar Parts of America, Inc. † | 19,200 | 533,568 | ||||||
Murphy USA, Inc. † | 19,600 | 1,418,452 | ||||||
NACCO Industries, Inc., Class A (a) | 4,200 | 222,558 | ||||||
Nathan’s Famous, Inc. | 3,900 | 211,185 | ||||||
Nautilus, Inc. † | 32,100 | 490,167 | ||||||
New Media Investment Group, Inc. | 12,700 | 303,911 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 8,000 | 457,760 | ||||||
Nutrisystem, Inc. | 21,700 | 433,566 | ||||||
Outerwall, Inc. (a) | 1,400 | 92,568 | ||||||
Overstock.com, Inc. † | 3,600 | 87,192 | ||||||
Oxford Industries, Inc. | 2,900 | 218,805 | ||||||
Papa John’s International, Inc. | 24,500 | 1,514,345 | ||||||
Penn National Gaming, Inc. †(a) | 13,900 | 217,674 | ||||||
Perry Ellis International, Inc. † | 14,000 | 324,240 | ||||||
PetMed Express, Inc. | 5,900 | 97,468 | ||||||
Pool Corp. | 13,300 | 927,808 | ||||||
Popeyes Louisiana Kitchen, Inc. † | 19,400 | 1,160,508 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
45
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 15.1% (continued) | ||||||||
Radio One, Inc., Class D † | 13,500 | $ | 41,580 | |||||
Rave Restaurant Group, Inc. † | 4,400 | 61,424 | ||||||
Reading International, Inc. † | 10,300 | 138,535 | ||||||
Red Robin Gourmet Burgers, Inc. † | 6,500 | 565,500 | ||||||
Regis Corp. † | 9,600 | 157,056 | ||||||
Rent-A-Center, Inc. (a) | 14,000 | 384,160 | ||||||
Rentrak Corp. †(a) | 6,300 | 350,028 | ||||||
Ruth’s Hospitality Group, Inc. | 22,500 | 357,300 | ||||||
Ryland Group, Inc./The | 1,800 | 87,732 | ||||||
Scholastic Corp. (a) | 8,700 | 356,178 | ||||||
Select Comfort Corp. † | 36,300 | 1,251,261 | ||||||
Sequential Brands Group, Inc. †(a) | 25,800 | 276,060 | ||||||
Shiloh Industries, Inc. †(a) | 10,000 | 140,400 | ||||||
Shoe Carnival, Inc. | 4,200 | 123,648 | ||||||
Sizmek, Inc. †(a) | 8,200 | 59,532 | ||||||
Skullcandy, Inc. † | 15,100 | 170,630 | ||||||
Sonic Automotive, Inc., Class A | 3,400 | 84,660 | ||||||
Sonic Corp. | 36,600 | 1,160,220 | ||||||
Speedway Motorsports, Inc. (a) | 6,600 | 150,150 | ||||||
Stage Stores, Inc. | 4,000 | 91,680 | ||||||
Standard Motor Products, Inc. | 9,800 | 414,148 | ||||||
Stein Mart, Inc. (a) | 14,500 | 180,525 | ||||||
Stoneridge, Inc. † | 3,600 | 40,644 | ||||||
Strattec Security Corp. (a) | 2,800 | 206,752 | ||||||
Strayer Education, Inc. † | 8,000 | 427,280 | ||||||
Superior Uniform Group, Inc. | 2,200 | 41,734 | ||||||
Texas Roadhouse, Inc. | 41,300 | 1,504,559 | ||||||
Tilly’s, Inc., A Shares † | 7,800 | 122,070 | ||||||
Tower International, Inc. †(a) | 15,500 | 412,300 | ||||||
Tuesday Morning Corp. † | 34,500 | 555,450 | ||||||
Unifi, Inc. †(a) | 10,400 | 375,336 | ||||||
Universal Electronics, Inc. † | 11,600 | 654,704 | ||||||
UQM Technologies, Inc. †(a) | 16,100 | 17,710 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 6,300 | 88,263 | ||||||
YOU On Demand Holdings, Inc. †(a) | 34,500 | 73,485 | ||||||
ZAGG, Inc. † | 13,000 | 112,710 | ||||||
Zumiez, Inc. † | 19,100 | 768,775 | ||||||
|
| |||||||
65,621,001 | ||||||||
|
| |||||||
Consumer Staples - 4.2% | ||||||||
22nd Century Group, Inc. †(a) | 16,600 | 14,276 | ||||||
Andersons, Inc./The | 1,000 | 41,370 | ||||||
Boston Beer Co., Inc./The, Class A †(a) | 700 | 187,180 | ||||||
Calavo Growers, Inc. | 14,700 | 755,874 | ||||||
Cal-Maine Foods, Inc. (a) | 28,000 | 1,093,680 | ||||||
Central Garden and Pet Co., Class A † | 15,300 | 162,486 | ||||||
Coca-Cola Bottling Co. Consolidated | 5,000 | 565,300 | ||||||
Craft Brew Alliance, Inc. †(a) | 17,200 | 234,608 | ||||||
Dean Foods Co. | 25,400 | 419,862 | ||||||
Diamond Foods, Inc. † | 19,500 | 635,115 | ||||||
Farmer Bros Co. †(a) | 4,000 | 99,000 | ||||||
Fresh Del Monte Produce, Inc. (a) | 31,400 | 1,221,774 | ||||||
Fresh Market, Inc./The †(a) | 9,900 | 402,336 | ||||||
HRG Group, Inc. † | 86,100 | 1,074,528 | ||||||
Ingles Markets, Inc., Class A (a) | 12,900 | 638,292 | ||||||
Inter Parfums, Inc. (a) | 6,100 | 198,982 | ||||||
Inventure Foods, Inc. †(a) | 7,500 | 83,925 |
SHARES | VALUE (Note 4) | |||||||
Consumer Staples - 4.2% (continued) | ||||||||
J&J Snack Foods Corp. (a) | 12,100 | $ | 1,291,070 | |||||
John B. Sanfilippo & Son, Inc. | 11,500 | 495,650 | ||||||
Landec Corp. † | 3,000 | 41,850 | ||||||
Liberator Medical Holdings, Inc. (a) | 60,700 | 212,450 | ||||||
Medifast, Inc. †(a) | 6,400 | 191,808 | ||||||
MGP Ingredients, Inc. (a) | 6,800 | 91,528 | ||||||
National Beverage Corp. †(a) | 5,100 | 124,491 | ||||||
Omega Protein Corp. † | 13,000 | 177,970 | ||||||
Revlon, Inc., Class A †(a) | 23,700 | 976,440 | ||||||
Sanderson Farms, Inc. (a) | 15,600 | 1,242,540 | ||||||
Snyder’s-Lance, Inc. | 15,100 | 482,596 | ||||||
SpartanNash Co. | 13,600 | 429,216 | ||||||
SUPERVALU, Inc. † | 138,300 | 1,608,429 | ||||||
USANA Health Sciences, Inc. † | 8,300 | 922,296 | ||||||
Vector Group Ltd. (a) | 80,560 | 1,769,903 | ||||||
WD-40 Co. (a) | 5,500 | 486,970 | ||||||
Weis Markets, Inc. (a) | 2,000 | 99,520 | ||||||
|
| |||||||
18,473,315 | ||||||||
|
| |||||||
Energy - 1.5% | ||||||||
Adams Resources & Energy, Inc. (a) | 500 | 33,605 | ||||||
Aemetis, Inc. †(a) | 10,000 | 42,200 | ||||||
Alon USA Energy, Inc. | 10,300 | 170,671 | ||||||
Carrizo Oil & Gas, Inc. † | 4,600 | 228,390 | ||||||
Delek US Holdings, Inc. | 5,600 | 222,600 | ||||||
Enbridge Energy Management LLC | 33,401 | 1,215,128 | ||||||
Green Plains, Inc. | 12,500 | 356,875 | ||||||
Gulf Island Fabrication, Inc. (a) | 3,100 | 46,066 | ||||||
Hallador Energy Co. | 3,900 | 45,591 | ||||||
Jones Energy, Inc., Class A † | 3,200 | 28,736 | ||||||
Natural Gas Services Group, Inc. †(a) | 6,200 | 119,164 | ||||||
Nordic American Tankers Ltd. (Norway) | 7,100 | 84,561 | ||||||
Panhandle Oil and Gas, Inc., Class A | 12,800 | 253,312 | ||||||
PBF Energy, Inc., Class A | 1,300 | 44,096 | ||||||
PetroQuest Energy, Inc. †(a) | 35,800 | 82,340 | ||||||
PHI, Inc. † | 3,000 | 90,240 | ||||||
REX American Resources Corp. †(a) | 9,300 | 565,533 | ||||||
RigNet, Inc. †(a) | 4,000 | 114,360 | ||||||
Ring Energy, Inc. †(a) | 9,300 | 98,766 | ||||||
RSP Permian, Inc. †(a) | 18,000 | 453,420 | ||||||
Ship Finance International Ltd. (Norway) (a) | 32,100 | 475,080 | ||||||
Synergy Resources Corp. † | 48,600 | 575,910 | ||||||
Teekay Tankers Ltd., Class A | 61,200 | 351,288 | ||||||
Tesco Corp. | 3,800 | 43,206 | ||||||
US Energy Corp. Wyoming †(a) | 6,700 | 7,571 | ||||||
Vertex Energy, Inc. †(a) | 52,700 | 194,990 | ||||||
Westmoreland Coal Co. † | 17,000 | 454,920 | ||||||
|
| |||||||
6,398,619 | ||||||||
|
| |||||||
Financials - 20.6% | ||||||||
1st Source Corp. | 1,500 | 48,195 | ||||||
Acadia Realty Trust REIT | 44,500 | 1,552,160 | ||||||
Actua Corp. † | 12,100 | 187,429 | ||||||
Agree Realty Corp. REIT | 6,100 | 201,117 | ||||||
Alexander’s, Inc. REIT (a) | 1,300 | 593,554 | ||||||
American Assets Trust, Inc. REIT | 19,800 | 856,944 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
46
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 20.6% (continued) | ||||||||
American Equity Investment Life Holding Co. | 27,400 | $ | 798,162 | |||||
Ameris Bancorp | 11,401 | 300,872 | ||||||
AMERISAFE, Inc. | 4,000 | 185,000 | ||||||
Argo Group International Holdings Ltd. | 16,900 | 847,535 | ||||||
Arlington Asset Investment Corp., Class A (a) | 9,000 | 216,540 | ||||||
Armada Hoffler Properties, Inc. REIT | 4,900 | 52,234 | ||||||
Ashford Hospitality Prime, Inc. REIT | 5,780 | 96,931 | ||||||
Ashford Hospitality Trust, Inc. REIT | 71,000 | 683,020 | ||||||
Ashford, Inc. † | 534 | 63,418 | ||||||
Aspen Insurance Holdings Ltd. | 27,900 | 1,317,717 | ||||||
Associated Estates Realty Corp. REIT | 45,500 | 1,122,940 | ||||||
Astoria Financial Corp. | 8,300 | 107,485 | ||||||
Atlas Financial Holdings, Inc. †(a) | 9,400 | 166,098 | ||||||
BancFirst Corp. | 800 | 48,784 | ||||||
Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | 11,200 | 367,248 | ||||||
Bank of the Ozarks, Inc. | 9,500 | 350,835 | ||||||
Banner Corp. (a) | 1,100 | 50,490 | ||||||
Beneficial Bancorp, Inc. † | 21,218 | 239,551 | ||||||
BGC Partners, Inc., Class A | 151,900 | 1,435,455 | ||||||
BNC Bancorp | 10,300 | 186,430 | ||||||
BofI Holding, Inc. † | 3,000 | 279,120 | ||||||
Boston Private Financial Holdings, Inc. | 13,300 | 161,595 | ||||||
Brandywine Realty Trust REIT | 57,300 | 915,654 | ||||||
Capital Bank Financial Corp., Class A †(a) | 12,300 | 339,603 | ||||||
Capital Southwest Corp. (a) | 3,800 | 176,396 | ||||||
Cardinal Financial Corp. (a) | 3,900 | 77,922 | ||||||
CareTrust REIT, Inc. REIT | 4,709 | 63,854 | ||||||
Cash America International, Inc. (a) | 11,800 | 274,940 | ||||||
Cedar Realty Trust, Inc. REIT | 29,000 | 217,210 | ||||||
Chatham Lodging Trust REIT | 27,000 | 794,070 | ||||||
Chesapeake Lodging Trust REIT | 27,700 | 937,091 | ||||||
CoBiz Financial, Inc. | 3,100 | 38,192 | ||||||
Cohen & Steers, Inc. | 11,800 | 483,210 | ||||||
Community Trust Bancorp, Inc. | 2,430 | 80,579 | ||||||
ConnectOne Bancorp, Inc. | 11,700 | 227,682 | ||||||
Consumer Portfolio Services, Inc. †(a) | 25,900 | 181,041 | ||||||
CoreSite Realty Corp. REIT (a) | 14,400 | 700,992 | ||||||
Corporate Office Properties Trust REIT | 57,900 | 1,701,102 | ||||||
Cousins Properties, Inc. REIT (a) | 28,800 | 305,280 | ||||||
Cowen Group, Inc., Class A †(a) | 10,700 | 55,640 | ||||||
Credit Acceptance Corp. † | 1,984 | 386,880 | ||||||
CubeSmart REIT | 2,900 | 70,035 | ||||||
Customers Bancorp, Inc. † | 5,100 | 124,236 | ||||||
CVB Financial Corp. | 2,500 | 39,850 | ||||||
CyrusOne, Inc. REIT (a) | 27,000 | 840,240 | ||||||
DCT Industrial Trust, Inc. REIT | 14,125 | 489,572 | ||||||
Diamond Hill Investment Group, Inc. | 1,200 | 192,000 | ||||||
DiamondRock Hospitality Co. REIT | 31,700 | 447,921 | ||||||
DuPont Fabros Technology, Inc. REIT | 58,100 | 1,898,708 | ||||||
Eagle Bancorp, Inc. † | 15,839 | 608,218 | ||||||
EastGroup Properties, Inc. REIT | 13,000 | 781,820 | ||||||
Education Realty Trust, Inc. REIT | 42,133 | 1,490,666 | ||||||
Empire State Realty Trust, Inc. REIT | 39,900 | 750,519 | ||||||
Employers Holdings, Inc. | 3,400 | 91,766 | ||||||
Encore Capital Group, Inc. †(a) | 4,774 | 198,551 |
SHARES | VALUE (Note 4) | |||||||
Financials - 20.6% (continued) | ||||||||
Endurance Specialty Holdings Ltd. | 22,100 | $ | 1,351,194 | |||||
Enstar Group Ltd. † | 3,300 | 468,138 | ||||||
Essent Group Ltd. †(a) | 9,400 | 224,754 | ||||||
EverBank Financial Corp. | 28,100 | 506,643 | ||||||
Excel Trust, Inc. REIT | 21,300 | 298,626 | ||||||
FBL Financial Group, Inc., Class A (a) | 11,100 | 688,311 | ||||||
FBR & Co. † | 8,500 | 196,435 | ||||||
Federal Agricultural Mortgage Corp., Class C | 4,900 | 138,131 | ||||||
Federated National Holding Co. (a) | 17,400 | 532,440 | ||||||
FelCor Lodging Trust, Inc. REIT (a) | 85,400 | 981,246 | ||||||
Fidelity & Guaranty Life | 3,800 | 80,560 | ||||||
Fidelity Southern Corp. | 7,868 | 132,812 | ||||||
First Business Financial Services, Inc. (a) | 800 | 34,592 | ||||||
First Commonwealth Financial Corp. (a) | 8,800 | 79,200 | ||||||
First Industrial Realty Trust, Inc. REIT | 38,300 | 820,769 | ||||||
First Interstate BancSystem, Inc. (a) | 9,200 | 255,944 | ||||||
First Merchants Corp. | 6,600 | 155,364 | ||||||
Flushing Financial Corp. (a) | 3,100 | 62,217 | ||||||
Gain Capital Holdings, Inc. | 13,200 | 128,964 | ||||||
GAMCO Investors, Inc., Class A (a) | 4,800 | 376,848 | ||||||
GEO Group, Inc./The REIT | 13,300 | 581,742 | ||||||
Gladstone Capital Corp. (a) | 7,300 | 64,313 | ||||||
Gladstone Commercial Corp. REIT (a) | 10,000 | 186,100 | ||||||
Gladstone Investment Corp. (a) | 9,900 | 73,260 | ||||||
Gramercy Property Trust, Inc. REIT (a) | 20,750 | 582,452 | ||||||
Great Southern Bancorp, Inc. | 1,500 | 59,085 | ||||||
Greenlight Capital Re Ltd., Class A † | 6,200 | 197,160 | ||||||
Hanmi Financial Corp. | 9,800 | 207,270 | ||||||
Hanover Insurance Group, Inc./The | 5,000 | 362,900 | ||||||
HCI Group, Inc. | 3,900 | 178,893 | ||||||
Healthcare Realty Trust, Inc. REIT | 50,000 | 1,389,000 | ||||||
Hercules Technology Growth Capital, Inc. (a) | 14,300 | 192,764 | ||||||
Hersha Hospitality Trust REIT | 109,500 | 708,465 | ||||||
HFF, Inc., Class A | 20,300 | 762,062 | ||||||
Hilltop Holdings, Inc. † | 3,300 | 64,152 | ||||||
HomeStreet, Inc. † | 7,500 | 137,400 | ||||||
Horace Mann Educators Corp. | 12,800 | 437,760 | ||||||
Horizon Technology Finance Corp. (a) | 900 | 12,438 | ||||||
Hudson Pacific Properties, Inc. REIT | 43,800 | 1,453,722 | ||||||
Independence Realty Trust, Inc. REIT | 12,700 | 120,523 | ||||||
Independent Bank Corp. | 23,700 | 304,071 | ||||||
Infinity Property & Casualty Corp. | 3,300 | 270,765 | ||||||
Inland Real Estate Corp. REIT | 7,700 | 82,313 | ||||||
Interactive Brokers Group, Inc., Class A | 32,300 | 1,098,846 | ||||||
INTL FCStone, Inc. †(a) | 3,000 | 89,190 | ||||||
Investment Technology Group, Inc. † | 14,300 | 433,433 | ||||||
KCAP Financial, Inc. (a) | 23,900 | 160,847 | ||||||
KCG Holdings, Inc., Class A † | 5,500 | 67,430 | ||||||
Kennedy-Wilson Holdings, Inc. | 46,800 | 1,223,352 | ||||||
Kite Realty Group Trust REIT | 24,900 | 701,433 | ||||||
Ladder Capital Corp. REIT † | 4,000 | 74,040 | ||||||
Ladenburg Thalmann Financial Services, Inc. † | 125,900 | 485,974 | ||||||
Lakeland Financial Corp. | 7,500 | 304,350 | ||||||
LegacyTexas Financial Group, Inc. | 10,400 | 236,392 | ||||||
LendingTree, Inc. †(a) | 11,100 | 621,711 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
47
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 20.6% (continued) | ||||||||
Lexington Realty Trust REIT (a) | 55,800 | $ | 548,514 | |||||
LTC Properties, Inc. REIT | 12,500 | 575,000 | ||||||
Maiden Holdings Ltd. (a) | 37,600 | 557,608 | ||||||
Marcus & Millichap, Inc. † | 23,900 | 895,772 | ||||||
MarketAxess Holdings, Inc. | 7,482 | 620,258 | ||||||
Medallion Financial Corp. (a) | 7,700 | 71,302 | ||||||
Medical Properties Trust, Inc. REIT (a) | 46,200 | 680,988 | ||||||
Meridian Bancorp, Inc. † | 4,651 | 61,254 | ||||||
Meta Financial Group, Inc. | 5,100 | 202,623 | ||||||
Monmouth Real Estate Investment Corp. REIT | 41,900 | 465,509 | ||||||
Monroe Capital Corp. | 3,100 | 45,663 | ||||||
Montpelier Re Holdings Ltd. | 27,000 | 1,037,880 | ||||||
MVC Capital, Inc. | 4,300 | 40,764 | ||||||
National General Holdings Corp. | 4,600 | 86,020 | ||||||
National Health Investors, Inc. REIT (a) | 17,600 | 1,249,776 | ||||||
National Western Life Insurance Co., Class A | 300 | 76,290 | ||||||
Navigators Group, Inc./The † | 6,000 | 467,040 | ||||||
Nelnet, Inc., Class A | 18,600 | 880,152 | ||||||
Newtek Business Services Corp. | 4,600 | 76,038 | ||||||
OneBeacon Insurance Group Ltd., Class A | 14,400 | 219,024 | ||||||
Oritani Financial Corp. (a) | 10,200 | 148,410 | ||||||
Parkway Properties, Inc. REIT | 15,500 | 268,925 | ||||||
Pebblebrook Hotel Trust REIT | 10,900 | 507,613 | ||||||
Pennsylvania Real Estate Investment Trust REIT | 35,000 | 813,050 | ||||||
Peoples Financial Services Corp. (a) | 1,100 | 49,357 | ||||||
Phoenix Cos., Inc./The † | 3,600 | 179,964 | ||||||
Physicians Realty Trust REIT | 50,900 | 896,349 | ||||||
Pinnacle Financial Partners, Inc. (a) | 12,300 | 546,858 | ||||||
Piper Jaffray Cos. † | 9,200 | 482,632 | ||||||
Preferred Bank | 3,100 | 85,157 | ||||||
Primerica, Inc. | 29,700 | 1,511,730 | ||||||
PrivateBancorp, Inc. | 34,100 | 1,199,297 | ||||||
PS Business Parks, Inc. REIT | 7,600 | 631,104 | ||||||
Pzena Investment Management, Inc., Class A | 16,300 | 149,471 | ||||||
QTS Realty Trust, Inc. REIT | 21,100 | 768,251 | ||||||
Ramco-Gershenson Properties Trust REIT | 42,600 | 792,360 | ||||||
RE/MAX Holdings, Inc., Class A | 2,600 | 86,346 | ||||||
Retail Opportunity Investments Corp. REIT | 47,300 | 865,590 | ||||||
Rexford Industrial Realty, Inc. REIT | 20,900 | 330,429 | ||||||
RLI Corp. (a) | 9,700 | 508,377 | ||||||
Ryman Hospitality Properties, Inc. REIT | 23,400 | 1,425,294 | ||||||
Sabra Health Care REIT, Inc. | 25,900 | 858,585 | ||||||
Safeguard Scientifics, Inc. †(a) | 4,700 | 84,976 | ||||||
Safety Insurance Group, Inc. | 5,200 | 310,700 | ||||||
Saul Centers, Inc. REIT | 6,700 | 383,240 | ||||||
Security National Financial Corp., Class A † | 7,812 | 41,638 | ||||||
Select Income REIT | 13,600 | 339,864 | ||||||
Selective Insurance Group, Inc. | 7,000 | 203,350 | ||||||
Simmons First National Corp., Class A | 2,900 | 131,863 | ||||||
South State Corp. (a) | 2,200 | 150,458 | ||||||
Southside Bancshares, Inc. (a) | 7,757 | 222,548 |
SHARES | VALUE (Note 4) | |||||||
Financials - 20.6% (continued) | ||||||||
Southwest Bancorp, Inc. | 100 | $ | 1,779 | |||||
Sovran Self Storage, Inc. REIT | 13,400 | 1,258,796 | ||||||
STAG Industrial, Inc. REIT | 41,500 | 976,080 | ||||||
StanCorp Financial Group, Inc. | 7,300 | 500,780 | ||||||
Stewart Information Services Corp. | 9,600 | 390,144 | ||||||
Strategic Hotels & Resorts, Inc. REIT † | 17,300 | 215,039 | ||||||
Summit Hotel Properties, Inc. REIT | 52,900 | 744,303 | ||||||
Sun Communities, Inc. REIT | 32,200 | 2,148,384 | ||||||
Sunstone Hotel Investors, Inc. REIT | 6,256 | 104,287 | ||||||
Symetra Financial Corp. | 35,100 | 823,446 | ||||||
Terreno Realty Corp. REIT | 12,000 | 273,600 | ||||||
TICC Capital Corp. | 6,700 | 46,364 | ||||||
Tompkins Financial Corp. (a) | 1,500 | 80,775 | ||||||
Triangle Capital Corp. (a) | 10,100 | 230,381 | ||||||
United Bankshares, Inc. | 13,400 | 503,572 | ||||||
United Community Banks, Inc. | 9,500 | 179,360 | ||||||
United Insurance Holdings Corp. (a) | 33,100 | 744,750 | ||||||
Universal Health Realty Income Trust REIT (a) | 7,800 | 438,750 | ||||||
Universal Insurance Holdings, Inc. (a) | 34,500 | 882,855 | ||||||
Urstadt Biddle Properties, Inc., Class A REIT | 13,800 | 318,228 | ||||||
Walker & Dunlop, Inc. † | 5,900 | 104,607 | ||||||
Washington Real Estate Investment Trust REIT (a) | 40,800 | 1,127,304 | ||||||
Washington Trust Bancorp, Inc. (a) | 2,900 | 110,751 | ||||||
Waterstone Financial, Inc. (a) | 17,300 | 222,132 | ||||||
WesBanco, Inc. | 7,700 | 250,866 | ||||||
Western Alliance Bancorp † | 49,100 | 1,455,324 | ||||||
Whitestone REIT (a) | 7,400 | 117,512 | ||||||
Winthrop Realty Trust REIT | 41,800 | 682,176 | ||||||
WisdomTree Investments, Inc. | 36,500 | 783,290 | ||||||
WSFS Financial Corp. | 2,900 | 219,327 | ||||||
|
| |||||||
89,703,318 | ||||||||
|
| |||||||
Health Care - 18.7% | ||||||||
AAC Holdings, Inc. † | 10,000 | 305,800 | ||||||
Abaxis, Inc. (a) | 16,700 | 1,070,637 | ||||||
ABIOMED, Inc. † | 25,700 | 1,839,606 | ||||||
Acadia Healthcare Co., Inc. †(a) | 3,100 | 221,960 | ||||||
Accelerate Diagnostics, Inc. †(a) | 33,400 | 751,500 | ||||||
Acceleron Pharma, Inc. †(a) | 6,200 | 235,972 | ||||||
Aceto Corp. (a) | 12,200 | 268,400 | ||||||
Achillion Pharmaceuticals, Inc. †(a) | 72,000 | 709,920 | ||||||
Acorda Therapeutics, Inc. † | 15,000 | 499,200 | ||||||
Addus HomeCare Corp. † | 14,600 | 336,092 | ||||||
Advaxis, Inc. †(a) | 30,300 | 437,532 | ||||||
Aerie Pharmaceuticals, Inc. † | 21,900 | 686,346 | ||||||
Affymetrix, Inc. † | 25,700 | 322,792 | ||||||
Agenus, Inc. † | 24,500 | 125,685 | ||||||
Agios Pharmaceuticals, Inc. † | 2,200 | 207,460 | ||||||
Air Methods Corp. † | 1,700 | 79,203 | ||||||
Akorn, Inc. † | 6,000 | 285,060 | ||||||
Albany Molecular Research, Inc. †(a) | 22,000 | 387,200 | ||||||
Alimera Sciences, Inc. †(a) | 33,400 | 167,334 | ||||||
Alliance HealthCare Services, Inc. †(a) | 8,500 | 188,530 | ||||||
Almost Family, Inc. † | 2,100 | 93,891 | ||||||
AMAG Pharmaceuticals, Inc. †(a) | 20,300 | 1,109,598 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
48
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 18.7% (continued) | ||||||||
Amedisys, Inc. †(a) | 25,100 | $ | 672,178 | |||||
Amicus Therapeutics, Inc. † | 71,900 | 782,272 | ||||||
AMN Healthcare Services, Inc. † | 23,000 | 530,610 | ||||||
Amsurg Corp. †(a) | 22,400 | 1,378,048 | ||||||
Anacor Pharmaceuticals, Inc. † | 28,000 | 1,619,800 | ||||||
Analogic Corp. | 2,300 | 209,070 | ||||||
AngioDynamics, Inc. † | 12,500 | 222,375 | ||||||
ANI Pharmaceuticals, Inc. † | 10,500 | 656,775 | ||||||
Anika Therapeutics, Inc. †(a) | 12,700 | 522,859 | ||||||
ARIAD Pharmaceuticals, Inc. † | 5,000 | 41,200 | ||||||
Array BioPharma, Inc. †(a) | 44,900 | 330,913 | ||||||
AtriCure, Inc. †(a) | 16,800 | 344,232 | ||||||
Atrion Corp. | 700 | 241,857 | ||||||
Auspex Pharmaceuticals, Inc. † | 11,200 | 1,123,024 | ||||||
BioCryst Pharmaceuticals, Inc. †(a) | 12,800 | 115,584 | ||||||
BioDelivery Sciences International, Inc. † | 38,900 | 408,450 | ||||||
Biolase, Inc. †(a) | 24,075 | 48,632 | ||||||
Bio-Reference Laboratories, Inc. † | 14,900 | 525,076 | ||||||
BioSpecifics Technologies Corp. † | 4,600 | 180,090 | ||||||
BioTelemetry, Inc. † | 12,200 | 107,970 | ||||||
Bluebird Bio, Inc. † | 3,500 | 422,695 | ||||||
Cambrex Corp. † | 16,400 | 649,932 | ||||||
Cantel Medical Corp. (a) | 17,223 | 818,092 | ||||||
Capital Senior Living Corp. † | 6,600 | 171,204 | ||||||
Cardiovascular Systems, Inc. † | 2,200 | 85,888 | ||||||
Catalyst Pharmaceutical Partners, Inc. †(a) | 150,700 | 652,531 | ||||||
Celladon Corp. † | 11,200 | 212,128 | ||||||
Celldex Therapeutics, Inc. † | 10,400 | 289,848 | ||||||
Cempra, Inc. † | 31,000 | 1,063,610 | ||||||
Cesca Therapeutics, Inc. † | 18,100 | 16,290 | ||||||
Charles River Laboratories International, Inc. † | 1,000 | 79,290 | ||||||
Chemed Corp. | 10,400 | 1,241,760 | ||||||
Chimerix, Inc. † | 30,700 | 1,157,083 | ||||||
CONMED Corp. (a) | 7,800 | 393,822 | ||||||
Corcept Therapeutics, Inc. †(a) | 29,200 | 163,520 | ||||||
CorMedix, Inc. † | 10,600 | 104,304 | ||||||
CorVel Corp. †(a) | 6,100 | 209,901 | ||||||
Cross Country Healthcare, Inc. †(a) | 11,400 | 135,204 | ||||||
CryoLife, Inc. (a) | 5,100 | 52,887 | ||||||
CTI BioPharma Corp. †(a) | 77,000 | 139,370 | ||||||
Cymabay Therapeutics, Inc. † | 8,300 | 57,436 | ||||||
CytoSorbents Corp. † | 5,800 | 76,502 | ||||||
Depomed, Inc. †(a) | 41,300 | 925,533 | ||||||
DexCom, Inc. † | 3,200 | 199,488 | ||||||
Durect Corp. † | 39,500 | 75,445 | ||||||
Dyax Corp. † | 79,800 | 1,337,049 | ||||||
Eagle Pharmaceuticals, Inc. † | 6,800 | 284,852 | ||||||
Emergent Biosolutions, Inc. † | 7,500 | 215,700 | ||||||
Enanta Pharmaceuticals, Inc. †(a) | 14,900 | 456,238 | ||||||
Endologix, Inc. † | 5,100 | 87,057 | ||||||
Ensign Group, Inc./The | 20,800 | 974,688 | ||||||
Enzo Biochem, Inc. †(a) | 22,700 | 66,965 | ||||||
Esperion Therapeutics, Inc. †(a) | 18,300 | 1,694,580 | ||||||
Exact Sciences Corp. †(a) | 52,300 | 1,151,646 | ||||||
ExamWorks Group, Inc. †(a) | 22,200 | 923,964 | ||||||
Five Prime Therapeutics, Inc. † | 16,100 | 367,885 | ||||||
Five Star Quality Care, Inc. †(a) | 13,300 | 59,052 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 18.7% (continued) | ||||||||
Fonar Corp. † | 10,000 | $ | 131,100 | |||||
GenMark Diagnostics, Inc. †(a) | 6,900 | 89,562 | ||||||
Genomic Health, Inc. † | 2,800 | 85,540 | ||||||
Globus Medical, Inc., Class A † | 19,400 | 489,656 | ||||||
Greatbatch, Inc. † | 12,700 | 734,695 | ||||||
Haemonetics Corp. † | 1,900 | 85,348 | ||||||
Halozyme Therapeutics, Inc. † | 10,400 | 148,512 | ||||||
HealthStream, Inc. †(a) | 2,700 | 68,040 | ||||||
Healthways, Inc. †(a) | 22,100 | 435,370 | ||||||
Heska Corp. † | 2,400 | 61,872 | ||||||
Hill-Rom Holdings, Inc. | 20,500 | 1,004,500 | ||||||
Icad, Inc. †(a) | 12,500 | 119,750 | ||||||
ICU Medical, Inc. † | 10,500 | 977,970 | ||||||
IGI Laboratories, Inc. †(a) | 66,200 | 540,192 | ||||||
Impax Laboratories, Inc. † | 40,200 | 1,884,174 | ||||||
Infinity Pharmaceuticals, Inc. † | 25,600 | 357,888 | ||||||
Inogen, Inc. † | 8,100 | 259,119 | ||||||
Inovio Pharmaceuticals, Inc. †(a) | 9,400 | 76,704 | ||||||
Insulet Corp. † | 2,800 | 93,380 | ||||||
Insys Therapeutics, Inc. †(a) | 19,800 | 1,150,974 | ||||||
Integra LifeSciences Holdings Corp. † | 4,400 | 271,260 | ||||||
Intra-Cellular Therapies, Inc. † | 8,400 | 200,592 | ||||||
Iridex Corp. † | 2,000 | 20,960 | ||||||
Ironwood Pharmaceuticals, Inc. †(a) | 26,800 | 428,800 | ||||||
IsoRay, Inc. †(a) | 129,600 | 203,472 | ||||||
Karyopharm Therapeutics, Inc. †(a) | 11,400 | 348,954 | ||||||
Keryx Biopharmaceuticals, Inc. †(a) | 4,300 | 54,739 | ||||||
Kindred Healthcare, Inc. | 2,100 | 49,959 | ||||||
Lannett Co., Inc. †(a) | 21,400 | 1,448,994 | ||||||
LDR Holding Corp. † | 20,000 | 732,800 | ||||||
LHC Group, Inc. † | 3,500 | 115,605 | ||||||
Magellan Health, Inc. † | 1,400 | 99,148 | ||||||
MannKind Corp. †(a) | 17,100 | 88,920 | ||||||
Medcath Corp. (3)†(b) | 10,300 | - | ||||||
Merge Healthcare, Inc. † | 56,200 | 251,214 | ||||||
Merit Medical Systems, Inc. † | 4,400 | 84,700 | ||||||
Merrimack Pharmaceuticals, Inc. †(a) | 77,800 | 924,264 | ||||||
MiMedx Group, Inc. †(a) | 70,100 | 729,040 | ||||||
Mirati Therapeutics, Inc. †(a) | 2,700 | 79,164 | ||||||
Molina Healthcare, Inc. † | 11,400 | 767,106 | ||||||
Myriad Genetics, Inc. †(a) | 20,300 | 718,620 | ||||||
NanoString Technologies, Inc. † | 3,100 | 31,589 | ||||||
NanoViricides, Inc. †(a) | 19,800 | 44,550 | ||||||
National HealthCare Corp. (a) | 2,800 | 178,388 | ||||||
National Research Corp., Class B (a) | 100 | 3,200 | ||||||
Natus Medical, Inc. † | 23,400 | 923,598 | ||||||
Navidea Biopharmaceuticals, Inc. †(a) | 29,100 | 46,269 | ||||||
Nektar Therapeutics † | 49,100 | 540,100 | ||||||
Neogen Corp. † | 11,750 | 549,078 | ||||||
NeoGenomics, Inc. † | 29,600 | 138,232 | ||||||
Neuralstem, Inc. †(a) | 28,600 | 54,340 | ||||||
Neurocrine Biosciences, Inc. † | 16,500 | 655,215 | ||||||
NewLink Genetics Corp. †(a) | 13,900 | 760,469 | ||||||
Northwest Biotherapeutics, Inc. †(a) | 39,500 | 291,115 | ||||||
Novavax, Inc. † | 73,300 | 606,191 | ||||||
NuVasive, Inc. † | 26,200 | 1,204,938 | ||||||
NxStage Medical, Inc. † | 42,800 | 740,440 | ||||||
Ohr Pharmaceutical, Inc. †(a) | 7,600 | 19,304 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
49
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 18.7% (continued) | ||||||||
Omeros Corp. †(a) | 25,900 | $ | 570,577 | |||||
Omnicell, Inc. † | 21,600 | 758,160 | ||||||
Ophthotech Corp. †(a) | 20,600 | 958,518 | ||||||
OraSure Technologies, Inc. † | 36,400 | 238,056 | ||||||
Organovo Holdings, Inc. †(a) | 37,800 | 133,812 | ||||||
Osiris Therapeutics, Inc. †(a) | 4,600 | 80,868 | ||||||
OvaScience, Inc. †(a) | 22,000 | 764,060 | ||||||
Pacific Biosciences of California, Inc. † | 47,900 | 279,736 | ||||||
Pacira Pharmaceuticals, Inc. † | 1,600 | 142,160 | ||||||
Pain Therapeutics, Inc. † | 20,500 | 38,745 | ||||||
Peregrine Pharmaceuticals, Inc. †(a) | 181,400 | 244,890 | ||||||
Pernix Therapeutics Holdings, Inc. †(a) | 46,000 | 491,740 | ||||||
PharMerica Corp. † | 9,000 | 253,710 | ||||||
Portola Pharmaceuticals, Inc. † | 4,800 | 182,208 | ||||||
POZEN, Inc. † | 23,700 | 182,964 | ||||||
Premier, Inc., Class A † | 3,300 | 124,014 | ||||||
Prestige Brands Holdings, Inc. † | 10,800 | 463,212 | ||||||
Progenics Pharmaceuticals, Inc. †(a) | 51,000 | 304,980 | ||||||
Providence Service Corp./The †(a) | 13,600 | 722,432 | ||||||
pSivida Corp. †(a) | 22,900 | 90,455 | ||||||
PTC Therapeutics, Inc. † | 21,300 | 1,296,105 | ||||||
Puma Biotechnology, Inc. †(a) | 300 | 70,833 | ||||||
Quidel Corp. † | 3,600 | 97,128 | ||||||
RadNet, Inc. † | 56,300 | 472,920 | ||||||
Receptos, Inc. † | 1,000 | 164,890 | ||||||
Regulus Therapeutics, Inc. †(a) | 38,700 | 655,578 | ||||||
Repligen Corp. †(a) | 23,900 | 725,604 | ||||||
Retrophin, Inc. †(a) | 6,700 | 160,532 | ||||||
Rexahn Pharmaceuticals, Inc. †(a) | 107,600 | 78,548 | ||||||
RTI Surgical, Inc. †(a) | 26,600 | 131,404 | ||||||
Sagent Pharmaceuticals, Inc. † | 18,700 | 434,775 | ||||||
SciClone Pharmaceuticals, Inc. † | 37,800 | 334,908 | ||||||
Select Medical Holdings Corp. | 75,800 | 1,124,114 | ||||||
Sequenom, Inc. †(a) | 70,200 | 277,290 | ||||||
Sorrento Therapeutics, Inc. † | 4,800 | 55,488 | ||||||
Spectranetics Corp./The †(a) | 24,700 | 858,572 | ||||||
STAAR Surgical Co. †(a) | 12,900 | 95,847 | ||||||
Stemline Therapeutics, Inc. † | 3,200 | 46,304 | ||||||
Stereotaxis, Inc. †(a) | 25,000 | 51,500 | ||||||
Sucampo Pharmaceuticals, Inc., Class A †(a) | 40,000 | 622,400 | ||||||
Supernus Pharmaceuticals, Inc. † | 16,700 | 201,903 | ||||||
Synageva BioPharma Corp. † | 2,700 | 263,331 | ||||||
TESARO, Inc. †(a) | 18,300 | 1,050,420 | ||||||
Tetraphase Pharmaceuticals, Inc. † | 24,300 | 890,352 | ||||||
TG Therapeutics, Inc. †(a) | 40,100 | 620,748 | ||||||
TherapeuticsMD, Inc. †(a) | 10,300 | 62,315 | ||||||
Tonix Pharmaceuticals Holding Corp. † | 8,200 | 51,824 | ||||||
Universal American Corp. †(a) | 28,400 | 303,312 | ||||||
US Physical Therapy, Inc. (a) | 5,800 | 275,500 | ||||||
Vascular Solutions, Inc. † | 10,900 | 330,488 | ||||||
Xencor, Inc. † | 13,900 | 212,948 | ||||||
XenoPort, Inc. † | 44,100 | 313,992 | ||||||
Zeltiq Aesthetics, Inc. † | 35,600 | 1,097,548 | ||||||
ZIOPHARM Oncology, Inc. †(a) | 47,200 | 508,344 | ||||||
|
| |||||||
81,566,907 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.4% | ||||||||
AAON, Inc. | 11,223 | $ | 275,300 | |||||
Acacia Research Corp. (a) | 5,900 | 63,130 | ||||||
ACCO Brands Corp. †(a) | 58,100 | 482,811 | ||||||
Adept Technology, Inc. †(a) | 7,100 | 43,665 | ||||||
Aerovironment, Inc. †(a) | 4,700 | 124,597 | ||||||
Air Transport Services Group, Inc. † | 33,900 | 312,558 | ||||||
Aircastle Ltd. | 33,400 | 750,164 | ||||||
Alamo Group, Inc. | 3,400 | 214,642 | ||||||
Albany International Corp., Class A | 6,000 | 238,500 | ||||||
Allegiant Travel Co. | 5,600 | 1,076,824 | ||||||
Allied Motion Technologies, Inc. | 6,000 | 199,140 | ||||||
Altra Industrial Motion Corp. (a) | 3,600 | 99,504 | ||||||
AMERCO | 1,100 | 363,440 | ||||||
American Railcar Industries, Inc. (a) | 3,100 | 154,163 | ||||||
American Woodmark Corp. † | 8,200 | 448,786 | ||||||
Apogee Enterprises, Inc. | 18,000 | 777,600 | ||||||
ARC Document Solutions, Inc. † | 30,400 | 280,592 | ||||||
ARC Group Worldwide, Inc. †(a) | 23,500 | 125,490 | ||||||
ArcBest Corp. | 17,300 | 655,497 | ||||||
Argan, Inc. | 13,800 | 499,146 | ||||||
Arotech Corp. †(a) | 63,300 | 196,863 | ||||||
Astec Industries, Inc. | 4,900 | 210,112 | ||||||
Astronics Corp. † | 10,700 | 788,590 | ||||||
Astronics Corp., Class B † | 700 | 51,163 | ||||||
Atlas Air Worldwide Holdings, Inc. † | 10,700 | 460,314 | ||||||
Blount International, Inc. | 25,300 | 325,864 | ||||||
Broadwind Energy, Inc. † | 8,700 | 43,500 | ||||||
Builders FirstSource, Inc. † | 10,000 | 66,700 | ||||||
CAI International, Inc. † | 6,100 | 149,877 | ||||||
CBIZ, Inc. †(a) | 10,400 | 97,032 | ||||||
CECO Environmental Corp. | 3,000 | 31,830 | ||||||
Celadon Group, Inc. (a) | 3,900 | 106,158 | ||||||
Columbus McKinnon Corp. (a) | 2,100 | 56,574 | ||||||
Con-way, Inc. | 22,600 | 997,338 | ||||||
Corporate Executive Board Co./The | 1,300 | 103,818 | ||||||
Covanta Holding Corp. | 13,300 | 298,319 | ||||||
Covenant Transportation Group, Inc., Class A † | 21,600 | 716,256 | ||||||
CRA International, Inc. †(a) | 8,100 | 252,072 | ||||||
Curtiss-Wright Corp. | 1,700 | 125,698 | ||||||
Deluxe Corp. | 5,000 | 346,400 | ||||||
Douglas Dynamics, Inc. (a) | 10,400 | 237,536 | ||||||
Ducommun, Inc. † | 1,400 | 36,260 | ||||||
Dycom Industries, Inc. † | 17,200 | 840,048 | ||||||
Dynamic Materials Corp. (a) | 2,700 | 34,479 | ||||||
Echo Global Logistics, Inc. †(a) | 18,400 | 501,584 | ||||||
Energy Recovery, Inc. †(a) | 12,500 | 32,375 | ||||||
Engility Holdings, Inc. | 9,800 | 294,392 | ||||||
Enphase Energy, Inc. †(a) | 43,400 | 572,446 | ||||||
Erickson, Inc. † | 4,200 | 18,144 | ||||||
Exponent, Inc. | 5,900 | 524,510 | ||||||
Federal Signal Corp. | 19,000 | 300,010 | ||||||
Forward Air Corp. (a) | 2,500 | 135,750 | ||||||
Franklin Covey Co. †(a) | 1,800 | 34,668 | ||||||
FreightCar America, Inc. | 4,600 | 144,578 | ||||||
FTI Consulting, Inc. † | 5,900 | 221,014 | ||||||
FuelCell Energy, Inc. †(a) | 58,500 | 73,125 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
50
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.4% (continued) | ||||||||
Furmanite Corp. † | 5,900 | $ | 46,551 | |||||
G&K Services, Inc., Class A | 10,900 | 790,577 | ||||||
GenCorp, Inc. † | 3,400 | 78,846 | ||||||
Gibraltar Industries, Inc. † | 6,300 | 103,383 | ||||||
Gorman-Rupp Co./The | 3,800 | 113,810 | ||||||
GP Strategies Corp. †(a) | 4,500 | 166,500 | ||||||
Great Lakes Dredge & Dock Corp. † | 14,800 | 88,948 | ||||||
Greenbrier Cos., Inc./The (a) | 15,300 | 887,400 | ||||||
Griffon Corp. | 4,800 | 83,664 | ||||||
H&E Equipment Services, Inc. | 4,600 | 114,954 | ||||||
Hawaiian Holdings, Inc. † | 39,900 | 878,798 | ||||||
Healthcare Services Group, Inc. (a) | 28,400 | 912,492 | ||||||
Heartland Express, Inc. | 46,900 | 1,114,344 | ||||||
Heidrick & Struggles International, Inc. | 5,500 | 135,190 | ||||||
Herman Miller, Inc. | 5,100 | 141,576 | ||||||
Hillenbrand, Inc. | 17,500 | 540,225 | ||||||
HNI Corp. | 23,100 | 1,274,427 | ||||||
Hub Group, Inc., Class A † | 5,400 | 212,166 | ||||||
Huron Consulting Group, Inc. † | 10,500 | 694,575 | ||||||
Hyster-Yale Materials Handling, Inc. | 2,000 | 146,580 | ||||||
ICF International, Inc. † | 3,600 | 147,060 | ||||||
Insperity, Inc. | 8,900 | 465,381 | ||||||
Insteel Industries, Inc. | 3,700 | 80,031 | ||||||
John Bean Technologies Corp. | 7,800 | 278,616 | ||||||
Kadant, Inc. | 3,300 | 173,613 | ||||||
Kaman Corp. | 5,100 | 216,393 | ||||||
Kforce, Inc. | 16,200 | 361,422 | ||||||
Kimball International, Inc., Class B (a) | 11,700 | 122,616 | ||||||
Knight Transportation, Inc. | 51,500 | 1,660,875 | ||||||
Knoll, Inc. | 22,400 | 524,832 | ||||||
Korn/Ferry International | 23,800 | 782,306 | ||||||
Lindsay Corp. (a) | 1,000 | 76,250 | ||||||
Lydall, Inc. †(a) | 12,100 | 383,812 | ||||||
Manitex International, Inc. †(a) | 5,800 | 56,434 | ||||||
Marten Transport Ltd. | 11,400 | 264,480 | ||||||
Matson, Inc. | 15,600 | 657,696 | ||||||
Matthews International Corp., Class A | 11,000 | 566,610 | ||||||
McGrath RentCorp. | 4,400 | 144,804 | ||||||
Meritor, Inc. † | 58,500 | 737,685 | ||||||
Middleby Corp./The † | 1,300 | 133,445 | ||||||
Mistras Group, Inc. † | 4,900 | 94,374 | ||||||
Mobile Mini, Inc. | 4,100 | 174,824 | ||||||
Mueller Industries, Inc. | 14,000 | 505,820 | ||||||
Mueller Water Products, Inc., Class A | 43,600 | 429,460 | ||||||
Multi-Color Corp. | 12,600 | 873,558 | ||||||
NCI Building Systems, Inc. † | 18,800 | 324,864 | ||||||
NN, Inc. (a) | 9,400 | 235,752 | ||||||
Nortek, Inc. † | 900 | 79,425 | ||||||
Northwest Pipe Co. †(a) | 1,700 | 39,015 | ||||||
Ocean Power Technologies, Inc. †(a) | 15,200 | 7,296 | ||||||
Orion Energy Systems, Inc. † | 17,200 | 54,008 | ||||||
Orion Marine Group, Inc. † | 4,800 | 42,528 | ||||||
PAM Transportation Services, Inc. † | 5,300 | 303,531 | ||||||
Park-Ohio Holdings Corp. (a) | 7,000 | 368,690 | ||||||
Patrick Industries, Inc. † | 16,900 | 1,052,363 | ||||||
Paylocity Holding Corp. † | 2,800 | 80,192 | ||||||
Pendrell Corp. † | 59,800 | 77,740 | ||||||
PGT, Inc. † | 20,200 | 225,735 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.4% (continued) | ||||||||
Plug Power, Inc. †(a) | 32,500 | $ | 84,175 | |||||
Quality Distribution, Inc. † | 8,400 | 86,772 | ||||||
RBC Bearings, Inc. | 2,800 | 214,312 | ||||||
Republic Airways Holdings, Inc. † | 32,000 | 440,000 | ||||||
Resources Connection, Inc. | 13,900 | 243,250 | ||||||
Revolution Lighting Technologies, Inc. †(a) | 41,200 | 45,732 | ||||||
Rush Enterprises, Inc., Class A †(a) | 15,500 | 424,080 | ||||||
Saia, Inc. † | 17,000 | 753,100 | ||||||
Seaspan Corp. (Hong Kong) | 3,700 | 67,488 | ||||||
Sparton Corp. † | 9,000 | 220,500 | ||||||
Standex International Corp. (a) | 7,700 | 632,401 | ||||||
Steelcase, Inc., Class A | 55,700 | 1,054,958 | ||||||
Sun Hydraulics Corp. (a) | 2,600 | 107,536 | ||||||
TASER International, Inc. †(a) | 31,600 | 761,876 | ||||||
Team, Inc. †(a) | 4,400 | 171,512 | ||||||
Tennant Co. | 5,900 | 385,683 | ||||||
Thermon Group Holdings, Inc. † | 4,100 | 98,687 | ||||||
Trex Co., Inc. † | 15,400 | 839,762 | ||||||
Tutor Perini Corp. † | 4,900 | 114,415 | ||||||
UniFirst Corp. | 500 | 58,845 | ||||||
Universal Forest Products, Inc. | 1,800 | 99,864 | ||||||
Universal Truckload Services, Inc. (a) | 1,800 | 45,324 | ||||||
US Ecology, Inc. | 8,100 | 404,757 | ||||||
USA Truck, Inc. †(a) | 5,100 | 141,219 | ||||||
UTi Worldwide, Inc. † | 7,200 | 88,560 | ||||||
Viad Corp. | 5,800 | 161,356 | ||||||
Vicor Corp. † | 4,800 | 72,960 | ||||||
VSE Corp. (a) | 4,700 | 384,836 | ||||||
WageWorks, Inc. † | 3,400 | 181,322 | ||||||
Werner Enterprises, Inc. | 36,000 | 1,130,760 | ||||||
West Corp. | 31,000 | 1,045,630 | ||||||
Willdan Group, Inc. † | 26,200 | 415,008 | ||||||
Xerium Technologies, Inc. † | 13,700 | 222,214 | ||||||
XPO Logistics, Inc. † | 9,500 | 431,965 | ||||||
YRC Worldwide, Inc. † | 14,400 | 258,624 | ||||||
|
| |||||||
49,828,971 | ||||||||
|
| |||||||
Information Technology - 17.1% | ||||||||
Advanced Energy Industries, Inc. † | 3,900 | 100,074 | ||||||
Ambarella, Inc. †(a) | 20,600 | 1,559,626 | ||||||
Amkor Technology, Inc. † | 95,100 | 840,209 | ||||||
Autobytel, Inc. † | 12,500 | 184,625 | ||||||
AVX Corp. | 17,500 | 249,725 | ||||||
Axcelis Technologies, Inc. †(a) | 99,000 | 235,620 | ||||||
Badger Meter, Inc. (a) | 3,300 | 197,802 | ||||||
Barracuda Networks, Inc. † | 21,600 | 830,952 | ||||||
Bel Fuse, Inc., Class B (a) | 3,100 | 58,993 | ||||||
Blackbaud, Inc. (a) | 20,500 | 971,290 | ||||||
Blackhawk Network Holdings, Inc. † | 35,900 | 1,284,143 | ||||||
Brooks Automation, Inc. (a) | 36,000 | 418,680 | ||||||
Cabot Microelectronics Corp. † | 4,000 | 199,880 | ||||||
CACI International, Inc., Class A † | 11,600 | 1,043,072 | ||||||
Callidus Software, Inc. † | 35,900 | 455,212 | ||||||
Carbonite, Inc. † | 5,700 | 81,510 | ||||||
Cardtronics, Inc. † | 5,400 | 203,040 | ||||||
Cascade Microtech, Inc. †(a) | 7,100 | 96,418 | ||||||
CEVA, Inc. †(a) | 3,300 | 70,356 | ||||||
Checkpoint Systems, Inc. | 5,600 | 60,592 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
51
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 17.1% (continued) | ||||||||
Ciber, Inc. †(a) | 10,100 | $ | 41,612 | |||||
Cirrus Logic, Inc. † | 19,800 | 658,548 | ||||||
Clearfield, Inc. †(a) | 15,000 | 222,300 | ||||||
ClearSign Combustion Corp. †(a) | 3,600 | 19,044 | ||||||
Cognex Corp. † | 2,300 | 114,057 | ||||||
comScore, Inc. † | 20,000 | 1,024,000 | ||||||
Comtech Telecommunications Corp. | 4,000 | 115,800 | ||||||
Constant Contact, Inc. † | 22,500 | 859,725 | ||||||
Cray, Inc. †(a) | 18,200 | 511,056 | ||||||
CSG Systems International, Inc. | 7,000 | 212,730 | ||||||
CTS Corp. | 12,200 | 219,478 | ||||||
CUI Global, Inc. †(a) | 7,700 | 45,122 | ||||||
Cypress Semiconductor Corp. † | 114,100 | 1,609,951 | ||||||
Daktronics, Inc. (a) | 4,900 | 52,969 | ||||||
Datalink Corp. †(a) | 10,600 | 127,624 | ||||||
Dealertrack Technologies, Inc. †(a) | 2,900 | 111,708 | ||||||
Dice Holdings, Inc. † | 25,100 | 223,892 | ||||||
Diebold, Inc. (a) | 8,100 | 287,226 | ||||||
Digimarc Corp. | 3,300 | 72,435 | ||||||
Digital Turbine, Inc. †(a) | 16,400 | 53,464 | ||||||
Diodes, Inc. † | 11,700 | 334,152 | ||||||
Dot Hill Systems Corp. †(a) | 66,100 | 350,330 | ||||||
DSP Group, Inc. † | 3,600 | 43,128 | ||||||
DTS, Inc. † | 11,100 | 378,177 | ||||||
EarthLink Holdings Corp. | 18,600 | 82,584 | ||||||
Ebix, Inc. (a) | 22,400 | 680,512 | ||||||
eGain Corp. † | 10,000 | 33,000 | ||||||
Electronics For Imaging, Inc. † | 10,200 | 425,850 | ||||||
Ellie Mae, Inc. †(a) | 20,800 | 1,150,448 | ||||||
Endurance International Group Holdings, Inc. †(a) | 65,400 | 1,246,524 | ||||||
EnerNOC, Inc. † | 5,900 | 67,260 | ||||||
Entegris, Inc. † | 65,700 | 899,433 | ||||||
Envestnet, Inc. † | 22,100 | 1,239,368 | ||||||
EPAM Systems, Inc. † | 9,500 | 582,255 | ||||||
Epiq Systems, Inc. | 4,300 | 77,099 | ||||||
ePlus, Inc. †(a) | 6,100 | 530,273 | ||||||
Euronet Worldwide, Inc. † | 1,800 | 105,750 | ||||||
Exar Corp. †(a) | 17,500 | 175,875 | ||||||
ExlService Holdings, Inc. † | 6,200 | 230,640 | ||||||
Fabrinet (Thailand) † | 9,400 | 178,506 | ||||||
Fair Isaac Corp. | 16,400 | 1,455,008 | ||||||
Fairchild Semiconductor International, Inc. † | 53,800 | 978,084 | ||||||
FARO Technologies, Inc. † | 3,800 | 236,094 | ||||||
Fleetmatics Group PLC (Ireland) † | 4,900 | 219,765 | ||||||
FormFactor, Inc. † | 30,700 | 272,309 | ||||||
Forrester Research, Inc. | 3,800 | 139,764 | ||||||
Glu Mobile, Inc. †(a) | 101,300 | 507,513 | ||||||
GSI Group, Inc. † | 11,800 | 157,176 | ||||||
GTT Communications, Inc. † | 10,600 | 200,128 | ||||||
Hackett Group, Inc./The | 8,300 | 74,202 | ||||||
Heartland Payment Systems, Inc. | 16,900 | 791,765 | ||||||
Hutchinson Technology, Inc. † | 18,800 | 50,196 | ||||||
IGATE Corp. † | 4,800 | 204,768 | ||||||
Immersion Corp. †(a) | 5,400 | 49,572 | ||||||
Infinera Corp. †(a) | 70,700 | 1,390,669 | ||||||
Information Services Group, Inc. | 44,100 | 175,959 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 17.1% (continued) | ||||||||
Inphi Corp. †(a) | 23,800 | $ | 424,354 | |||||
Insight Enterprises, Inc. † | 15,800 | 450,616 | ||||||
Integrated Device Technology, Inc. † | 33,500 | 670,670 | ||||||
Integrated Silicon Solution, Inc. | 17,700 | 316,653 | ||||||
InterDigital, Inc. | 23,400 | 1,187,316 | ||||||
Internap Corp. †(a) | 16,400 | 167,772 | ||||||
Intersil Corp., Class A | 71,600 | 1,025,312 | ||||||
j2 Global, Inc. | 12,300 | 807,864 | ||||||
Lattice Semiconductor Corp. † | 69,600 | 441,264 | ||||||
Lexmark International, Inc., Class A | 14,700 | 622,398 | ||||||
Lionbridge Technologies, Inc. †(a) | 33,300 | 190,476 | ||||||
Littelfuse, Inc. | 2,800 | 278,292 | ||||||
LiveDeal, Inc. †(a) | 68,500 | 215,775 | ||||||
LivePerson, Inc. †(a) | 10,851 | 111,060 | ||||||
LogMeIn, Inc. † | 16,000 | 895,840 | ||||||
M/A-COM Technology Solutions Holdings, Inc. † | 30,800 | 1,147,608 | ||||||
MacroGenics, Inc. † | 9,200 | 211,404 | ||||||
Manhattan Associates, Inc. † | 4,800 | 242,928 | ||||||
ManTech International Corp., Class A | 2,500 | 84,850 | ||||||
Mattson Technology, Inc. † | 56,000 | 220,640 | ||||||
MaxLinear, Inc., Class A † | 8,100 | 65,853 | ||||||
Maxwell Technologies, Inc. †(a) | 19,900 | 160,394 | ||||||
MeetMe, Inc. † | 15,800 | 29,388 | ||||||
Mentor Graphics Corp. (a) | 9,300 | 223,479 | ||||||
Mercury Systems, Inc. †(a) | 18,800 | 292,340 | ||||||
Mesa Laboratories, Inc. (a) | 2,100 | 151,620 | ||||||
Methode Electronics, Inc. | 19,400 | 912,576 | ||||||
Micrel, Inc. | 38,900 | 586,612 | ||||||
Microsemi Corp. † | 13,400 | 474,360 | ||||||
MicroStrategy, Inc., Class A † | 5,500 | 930,545 | ||||||
Mitek Systems, Inc. †(a) | 10,900 | 34,444 | ||||||
MKS Instruments, Inc. | 23,600 | 797,916 | ||||||
ModusLink Global Solutions, Inc. †(a) | 15,600 | 60,060 | ||||||
Monolithic Power Systems, Inc. | 22,400 | 1,179,360 | ||||||
Monotype Imaging Holdings, Inc. | 8,200 | 267,648 | ||||||
MTS Systems Corp. (a) | 2,200 | 166,430 | ||||||
Nanometrics, Inc. † | 8,800 | 148,016 | ||||||
Netlist, Inc. †(a) | 13,900 | 8,062 | ||||||
NetScout Systems, Inc. †(a) | 20,300 | 890,155 | ||||||
NetSol Technologies, Inc. † | 5,700 | 33,117 | ||||||
Newport Corp. †(a) | 5,000 | 95,300 | ||||||
Novatel Wireless, Inc. † | 13,700 | 66,034 | ||||||
NVE Corp. | 1,000 | 68,920 | ||||||
OmniVision Technologies, Inc. † | 42,800 | 1,128,636 | ||||||
OSI Systems, Inc. † | 8,400 | 623,784 | ||||||
Park City Group, Inc. †(a) | 10,400 | 143,312 | ||||||
PC Connection, Inc. (a) | 11,500 | 300,035 | ||||||
Pegasystems, Inc. | 5,300 | 115,275 | ||||||
Perceptron, Inc. (a) | 9,000 | 121,590 | ||||||
Perficient, Inc. † | 8,400 | 173,796 | ||||||
Pericom Semiconductor Corp. | 19,100 | 295,477 | ||||||
Photronics, Inc. † | 18,100 | 153,850 | ||||||
Pixelworks, Inc. †(a) | 37,900 | 190,258 | ||||||
Planar Systems, Inc. † | 45,700 | 287,453 | ||||||
Plantronics, Inc. | 17,400 | 921,330 | ||||||
Plexus Corp. † | 4,900 | 199,773 | ||||||
PMC-Sierra, Inc. † | 105,300 | 977,184 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
52
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 17.1% (continued) | ||||||||
Polycom, Inc. † | 60,000 | $ | 804,000 | |||||
Power Integrations, Inc. | 3,100 | 161,448 | ||||||
Proofpoint, Inc. † | 24,700 | 1,462,734 | ||||||
Qlik Technologies, Inc. † | 9,600 | 298,848 | ||||||
QLogic Corp. † | 6,100 | 89,914 | ||||||
Qualys, Inc. † | 26,700 | 1,241,016 | ||||||
Quantum Corp. † | 89,800 | 143,680 | ||||||
QuickLogic Corp. † | 38,800 | 74,884 | ||||||
Rambus, Inc. †(a) | 70,200 | 882,765 | ||||||
RealD, Inc. † | 12,700 | 162,433 | ||||||
Research Frontiers, Inc. †(a) | 8,000 | 48,800 | ||||||
RF Industries Ltd. | 9,900 | 40,491 | ||||||
Rogers Corp. † | 8,500 | 698,785 | ||||||
Rovi Corp. †(a) | 12,600 | 229,446 | ||||||
Sanmina Corp. † | 51,800 | 1,253,042 | ||||||
Semtech Corp. † | 18,300 | 487,603 | ||||||
Sigma Designs, Inc. † | 16,600 | 133,298 | ||||||
Sonus Networks, Inc. † | 15,800 | 124,504 | ||||||
Speed Commerce, Inc. †(a) | 25,500 | 16,287 | ||||||
SPS Commerce, Inc. † | 3,000 | 201,300 | ||||||
Stamps.com, Inc. † | 6,900 | 464,301 | ||||||
Super Micro Computer, Inc. † | 28,300 | 939,843 | ||||||
Support.com, Inc. † | 500 | 780 | ||||||
Sykes Enterprises, Inc. † | 7,600 | 188,860 | ||||||
Synaptics, Inc. † | 3,500 | 284,567 | ||||||
Synchronoss Technologies, Inc. † | 25,500 | 1,210,230 | ||||||
SYNNEX Corp. | 10,400 | 803,400 | ||||||
Take-Two Interactive Software, Inc. † | 48,700 | 1,239,659 | ||||||
Tech Data Corp. †(a) | 14,700 | 849,219 | ||||||
TechTarget, Inc. † | 26,500 | 305,545 | ||||||
Telenav, Inc. † | 9,300 | 73,656 | ||||||
TeleTech Holdings, Inc. (a) | 2,500 | 63,625 | ||||||
TESSCO Technologies, Inc. | 3,700 | 91,242 | ||||||
Tessera Technologies, Inc. | 37,000 | 1,490,360 | ||||||
Ultra Clean Holdings, Inc. †(a) | 36,000 | 257,400 | ||||||
Universal Display Corp. † | 2,200 | 102,850 | ||||||
VASCO Data Security International, Inc. †(a) | 34,900 | 751,746 | ||||||
Veeco Instruments, Inc. † | 4,600 | 140,530 | ||||||
Verint Systems, Inc. † | 5,100 | 315,843 | ||||||
Virtusa Corp. † | 14,100 | 583,458 | ||||||
Vishay Intertechnology, Inc. (a) | 12,000 | 165,840 | ||||||
WebMD Health Corp. † | 2,555 | 111,998 | ||||||
Westell Technologies, Inc., Class A †(a) | 40,000 | 52,400 | ||||||
WidePoint Corp. †(a) | 124,900 | 164,868 | ||||||
Xcerra Corp. † | 33,800 | 300,482 | ||||||
XO Group, Inc. †(a) | 10,400 | 183,768 | ||||||
Zhone Technologies, Inc. † | 54,400 | 70,720 | ||||||
Zix Corp. †(a) | 16,500 | 64,845 | ||||||
|
| |||||||
74,253,483 | ||||||||
|
| |||||||
Materials - 2.6% | ||||||||
A Schulman, Inc. | 11,300 | 544,660 | ||||||
AEP Industries, Inc. † | 1,600 | 88,064 | ||||||
Balchem Corp. | 6,200 | 343,356 | ||||||
Boise Cascade Co. † | 23,200 | 869,072 | ||||||
Calgon Carbon Corp. | 6,600 | 139,062 | ||||||
Century Aluminum Co. † | 57,000 | 786,600 |
SHARES | VALUE (Note 4) | |||||||
Materials - 2.6% (continued) | ||||||||
Clearwater Paper Corp. †(a) | 10,900 | $ | 711,770 | |||||
Deltic Timber Corp. (a) | 1,100 | 72,875 | ||||||
Ferro Corp. † | 8,800 | 110,440 | ||||||
Handy & Harman Ltd. †(a) | 6,800 | 279,208 | ||||||
Haynes International, Inc. (a) | 1,400 | 62,454 | ||||||
Headwaters, Inc. † | 45,100 | 827,134 | ||||||
Horsehead Holding Corp. † | 10,400 | 131,664 | ||||||
Innophos Holdings, Inc. | 10,700 | 603,052 | ||||||
Innospec, Inc. | 3,800 | 176,282 | ||||||
KapStone Paper and Packaging Corp. (a) | 10,800 | 354,672 | ||||||
Materion Corp. | 12,000 | 461,160 | ||||||
Minerals Technologies, Inc. | 19,000 | 1,388,900 | ||||||
Myers Industries, Inc. (a) | 5,100 | 89,403 | ||||||
Neenah Paper, Inc. (a) | 7,800 | 487,812 | ||||||
Noranda Aluminum Holding Corp. | 19,500 | 57,915 | ||||||
Olympic Steel, Inc. (a) | 100 | 1,346 | ||||||
PH Glatfelter Co. | 2,200 | 60,566 | ||||||
Quaker Chemical Corp. | 4,400 | 376,816 | ||||||
Rentech, Inc. † | 300 | 336 | ||||||
Senomyx, Inc. †(a) | 24,700 | 108,927 | ||||||
Sensient Technologies Corp. | 18,600 | 1,281,168 | ||||||
Stillwater Mining Co. †(a) | 7,100 | 91,732 | ||||||
Trecora Resources † | 3,400 | 41,480 | ||||||
United States Lime & Minerals, Inc. (a) | 800 | 51,600 | ||||||
US Concrete, Inc. †(a) | 15,000 | 508,200 | ||||||
|
| |||||||
11,107,726 | ||||||||
|
| |||||||
Telecommunication Services - 1.4% | ||||||||
Atlantic Tele-Network, Inc. (a) | 4,200 | 290,724 | ||||||
Boingo Wireless, Inc. † | 21,400 | 161,356 | ||||||
Cincinnati Bell, Inc. †(a) | 36,600 | 129,198 | ||||||
Cogent Communications Holdings, Inc. | 6,600 | 233,178 | ||||||
Consolidated Communications Holdings, Inc. | 30,700 | 626,280 | ||||||
FairPoint Communications, Inc. † | 15,800 | 278,080 | ||||||
General Communication, Inc., Class A † | 22,600 | 356,176 | ||||||
Globalstar, Inc. †(a) | 373,900 | 1,245,087 | ||||||
IDT Corp., Class B | 16,700 | 296,425 | ||||||
inContact, Inc. † | 7,600 | 82,840 | ||||||
Inteliquent, Inc. | 35,100 | 552,474 | ||||||
Iridium Communications, Inc. †(a) | 72,300 | 702,033 | ||||||
Lumos Networks Corp. | 13,800 | 210,588 | ||||||
ORBCOMM, Inc. †(a) | 27,400 | 163,578 | ||||||
Premiere Global Services, Inc. † | 10,600 | 101,336 | ||||||
Shenandoah Telecommunications Co. | 6,500 | 202,540 | ||||||
Spok Holdings, Inc. | 6,900 | 132,273 | ||||||
Straight Path Communications, Inc., Class B †(a) | 16,700 | 332,664 | ||||||
Vonage Holdings Corp. † | 30,200 | 148,282 | ||||||
|
| |||||||
6,245,112 | ||||||||
|
| |||||||
Utilities - 4.2% | ||||||||
ALLETE, Inc. | 10,800 | 569,808 | ||||||
American States Water Co. | 22,600 | 901,514 | ||||||
Avista Corp. (a) | 37,400 | 1,278,332 | ||||||
Cadiz, Inc. †(a) | 4,200 | 43,071 | ||||||
California Water Service Group (a) | 8,900 | 218,139 | ||||||
Chesapeake Utilities Corp. (a) | 12,750 | 645,277 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
53
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Utilities - 4.2% (continued) | ||||||||
Connecticut Water Service, Inc. (a) | 2,900 | $ | 105,357 | |||||
Consolidated Water Co., Ltd. (Cayman Islands) (a) | 5,800 | 59,566 | ||||||
El Paso Electric Co. | 15,500 | 598,920 | ||||||
Empire District Electric Co./The | 31,000 | 769,420 | ||||||
Laclede Group, Inc./The | 20,200 | 1,034,644 | ||||||
MGE Energy, Inc. (a) | 12,300 | 545,136 | ||||||
Middlesex Water Co. (a) | 1,200 | 27,312 | ||||||
New Jersey Resources Corp. (a) | 55,000 | 1,708,300 | ||||||
Northwest Natural Gas Co. | 12,500 | 599,375 | ||||||
NorthWestern Corp. | 29,900 | 1,608,321 | ||||||
ONE Gas, Inc. (a) | 21,400 | 925,122 | ||||||
Ormat Technologies, Inc. (a) | 5,000 | 190,100 | ||||||
Otter Tail Corp. | 2,800 | 90,076 | ||||||
Pattern Energy Group, Inc. | 11,600 | 328,512 | ||||||
PNM Resources, Inc. | 56,600 | 1,652,720 | ||||||
Portland General Electric Co. (a) | 38,100 | 1,413,129 | ||||||
South Jersey Industries, Inc. | 3,900 | 211,692 | ||||||
Southwest Gas Corp. | 11,400 | 663,138 | ||||||
Unitil Corp. (a) | 11,800 | 410,286 | ||||||
WGL Holdings, Inc. | 29,600 | 1,669,440 | ||||||
|
| |||||||
18,266,707 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 421,465,159 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.0% (c) | ||||||||
Utilities - 0.0% (c) | ||||||||
Genie Energy Ltd., Perpetual Preferred Stock, Series 12-A, 7.50%, 11/15/2016 †(d) | ||||||||
(cost $47,779) | 5,900 | 40,828 | ||||||
|
| |||||||
RIGHTS - 0.0% (c) | ||||||||
Health Care - 0.0% (c) | ||||||||
Durata Therapeutics, Inc. (3)†(b) | 9,900 | 9,792 | ||||||
|
| |||||||
Information Technology - 0.0% (c) | ||||||||
Gerber Scientific, Inc. (3)†(b) | 4,000 | — | ||||||
|
| |||||||
TOTAL RIGHTS | 9,792 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 7.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(e) | ||||||||
(cost $34,235,420) | 34,235,420 | 34,235,420 | ||||||
|
|
SECURITIES LENDING COLLATERAL - 15.0% | SHARES | VALUE (Note 4) | ||||||
Money Market Funds - 15.0% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (2)(e)(f) | ||||||||
(cost $65,505,262) | 65,505,262 | $ | 65,505,262 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 521,256,461 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (19.7%) (g) | (85,960,186) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 435,296,275 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $63,331,053; cash collateral of $65,505,262 was received with which the Fund purchased a money market fund. |
(b) | Security fair valued as of March 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $9,792 or 0.0% of total net assets. |
(c) | Represents less than 0.05% of net assets. |
(d) | 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 March 31, 2015. |
(e) | Represents annualized seven-day yield as of the close of the reporting period. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
(g) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
60 | Barclays Capital | E-Mini Russell 2000 Futures | 6/2015 | $ | 7,538,759 | $ | 7,493,400 | $ | (45,359 | ) | ||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $335,800 at March 31, 2015.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
54
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
COMMON STOCKS - 96.9% | SHARES | VALUE (Note 4) | ||||||
Australia - 4.8% | ||||||||
Alumina Ltd. | 121,006 | $ | 147,254 | |||||
Amcor Ltd. | 61,351 | 653,692 | ||||||
AMP Ltd. | 190,299 | 928,822 | ||||||
Aurizon Holdings Ltd. | 27,946 | 102,861 | ||||||
Australia & New Zealand Banking Group Ltd. | 1,399 | 38,920 | ||||||
Brambles Ltd. | 40,768 | 356,525 | ||||||
Caltex Australia Ltd. | 16,018 | 425,108 | ||||||
Commonwealth Bank of Australia | 28,414 | 2,015,423 | ||||||
Crown Resorts Ltd. | 21,482 | 218,041 | ||||||
CSL Ltd. | 14,259 | 997,594 | ||||||
Dexus Property Group REIT | 53,057 | 305,453 | ||||||
Fortescue Metals Group Ltd. | 20,558 | 30,432 | ||||||
Goodman Group REIT | 120,592 | 580,669 | ||||||
GPT Group/The REIT | 128,260 | 445,492 | ||||||
Incitec Pivot Ltd. | 21,201 | 65,485 | ||||||
Insurance Australia Group Ltd. | 69,529 | 321,849 | ||||||
Macquarie Group Ltd. | 13,271 | 771,396 | ||||||
Mirvac Group REIT | 60,599 | 92,529 | ||||||
Orora Ltd. | 130,557 | 224,985 | ||||||
Qantas Airways Ltd. † | 210,110 | 498,361 | ||||||
Ramsay Health Care Ltd. | 28,195 | 1,439,514 | ||||||
Scentre Group REIT | 463,309 | 1,316,185 | ||||||
Seek Ltd. | 23,209 | 300,922 | ||||||
Sonic Healthcare Ltd. | 2,151 | 33,418 | ||||||
Stockland REIT | 183,597 | 627,275 | ||||||
Suncorp Group Ltd. | 27,579 | 282,812 | ||||||
Telstra Corp. Ltd. | 604,082 | 2,899,870 | ||||||
Westpac Banking Corp. | 1,119 | 33,448 | ||||||
|
| |||||||
16,154,335 | ||||||||
|
| |||||||
Austria - 0.2% | ||||||||
ANDRITZ AG | 3,800 | 226,887 | ||||||
Immofinanz AG NPV † | 63,665 | 187,506 | ||||||
voestalpine AG | 4,967 | 181,693 | ||||||
|
| |||||||
596,086 | ||||||||
|
| |||||||
Belgium - 2.5% | ||||||||
Anheuser-Busch InBev NV | 50,914 | 6,219,929 | ||||||
Belgacom SA | 19,238 | 673,105 | ||||||
bpost SA | 5,696 | 159,862 | ||||||
Delhaize Group SA | 7,312 | 656,911 | ||||||
UCB SA | 9,525 | 688,096 | ||||||
|
| |||||||
8,397,903 | ||||||||
|
| |||||||
Canada - 10.1% | ||||||||
Agrium, Inc. (1) | 4,900 | 510,679 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 58,900 | 2,347,071 | ||||||
AltaGas Ltd. (1) | 3,400 | 113,445 | ||||||
Amaya, Inc. (1)† | 18,800 | 440,851 | ||||||
Atco Ltd., Class I (1) | 2,000 | 71,249 | ||||||
Bank of Montreal (1) | 800 | 47,941 | ||||||
BCE, Inc. (1) | 39,900 | 1,689,186 | ||||||
BlackBerry Ltd. (1)† | 34,800 | 310,206 | ||||||
Boardwalk Real Estate Investment Trust REIT (1) | 1,500 | 69,816 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 47,300 | 2,529,787 |
SHARES | VALUE (Note 4) | |||||||
Canada - 10.1% (continued) | ||||||||
Calloway Real Estate Investment Trust REIT (1) | 3,200 | $ | 73,523 | |||||
Canadian National Railway Co. (1) | 52,200 | 3,495,799 | ||||||
Canadian Pacific Railway Ltd. (1) | 12,300 | 2,252,078 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 6,000 | 611,251 | ||||||
Canadian Utilities Ltd., Class A (1) | 3,400 | 106,761 | ||||||
CCL Industries, Inc., Class B (1) | 1,900 | 213,770 | ||||||
CGI Group, Inc., Class A (1)† | 17,200 | 729,528 | ||||||
CI Financial Corp. (1) | 12,100 | 338,290 | ||||||
Constellation Software, Inc. (1) | 3,200 | 1,106,022 | ||||||
Dollarama, Inc. (1) | 15,300 | 855,268 | ||||||
Emera, Inc. (1) | 11,700 | 380,593 | ||||||
Empire Co., Ltd., Class A (1) | 1,800 | 125,505 | ||||||
Enbridge, Inc. (1) | 16,100 | 776,049 | ||||||
Fairfax Financial Holdings Ltd. (1) | 1,200 | 672,694 | ||||||
First Capital Realty, Inc. (1) | 3,800 | 59,195 | ||||||
Fortis, Inc. (1) | 21,500 | 654,905 | ||||||
Franco-Nevada Corp. (1) | 700 | 33,924 | ||||||
Genworth MI Canada, Inc. (1) | 2,200 | 48,636 | ||||||
George Weston Ltd. (1) | 4,700 | 372,274 | ||||||
Gildan Activewear, Inc. (1) | 12,200 | 359,676 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. (1) | 9,800 | 327,840 | ||||||
Intact Financial Corp. (1) | 2,200 | 165,745 | ||||||
Jean Coutu Group PJC, Inc./The, Class A (1) | 9,100 | 194,494 | ||||||
Keyera Corp. (1) | 7,200 | 478,939 | ||||||
Linamar Corp. (1) | 2,700 | 166,470 | ||||||
Loblaw Cos., Ltd. (1) | 31,200 | 1,525,328 | ||||||
MacDonald Dettwiler & Associates Ltd. (1) | 1,000 | 77,494 | ||||||
Magna International, Inc. (1) | 34,800 | 1,860,414 | ||||||
Metro, Inc. (1) | 27,800 | 753,303 | ||||||
National Bank of Canada (1) | 1,800 | 65,716 | ||||||
Onex Corp. (1) | 2,400 | 139,371 | ||||||
Open Text Corp. (1) | 15,000 | 791,836 | ||||||
Potash Corp of Saskatchewan, Inc. (1) | 41,300 | 1,331,395 | ||||||
Progressive Waste Solutions Ltd. (1) | 4,600 | 135,035 | ||||||
Quebecor, Inc., Class B (1) | 2,600 | 69,550 | ||||||
Royal Bank of Canada (1) | 900 | 54,175 | ||||||
Saputo, Inc. (1) | 24,800 | 681,606 | ||||||
Shaw Communications, Inc., Class B (1) | 15,200 | 341,071 | ||||||
Sun Life Financial, Inc. (1) | 7,600 | 234,202 | ||||||
Toronto-Dominion Bank/The (1) | 3,800 | 162,645 | ||||||
Valeant Pharmaceuticals International, Inc. (1)† | 15,200 | 3,002,797 | ||||||
West Fraser Timber Co., Ltd. (1) | 3,400 | 173,953 | ||||||
|
| |||||||
34,129,351 | ||||||||
|
| |||||||
China - 0.0% (a) | ||||||||
FIH Mobile Ltd. † | 256,000 | 135,658 | ||||||
|
| |||||||
Denmark - 2.0% | ||||||||
AP Moeller - Maersk A/S, Class B | �� | 72 | 150,496 | |||||
Coloplast A/S, Class B | 18,174 | 1,372,958 | ||||||
Danske Bank A/S | 18,160 | 478,755 | ||||||
DSV A/S | 2,710 | 84,224 | ||||||
Novo Nordisk A/S, Class B | 39,098 | 2,087,199 | ||||||
Pandora A/S | 12,954 | 1,179,398 | ||||||
Tryg A/S | 5,116 | 601,685 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
55
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Denmark - 2.0% (continued) | ||||||||
Vestas Wind Systems A/S | 19,218 | $ | 792,376 | |||||
|
| |||||||
6,747,091 | ||||||||
|
| |||||||
Finland - 1.1% | ||||||||
Fortum OYJ | 19,780 | 414,395 | ||||||
Kone OYJ, Class B | 5,614 | 248,926 | ||||||
Neste Oil OYJ | 15,689 | 411,679 | ||||||
Nokia OYJ | 242,808 | 1,851,352 | ||||||
Orion OYJ, Class B | 4,687 | 132,116 | ||||||
Sampo OYJ, A Shares | 14,826 | 747,799 | ||||||
Wartsila OYJ | 1,788 | 79,084 | ||||||
|
| |||||||
3,885,351 | ||||||||
|
| |||||||
France - 3.8% | ||||||||
Air Liquide SA | 3,961 | 509,937 | ||||||
AXA SA | 14,805 | 372,630 | ||||||
Bollore SA | 14,500 | 77,259 | ||||||
Bouygues SA | 4,047 | 158,868 | ||||||
Bureau Veritas SA | 2,364 | 50,719 | ||||||
Carrefour SA | 7,343 | 245,307 | ||||||
Christian Dior SE | 1,623 | 305,477 | ||||||
Credit Agricole SA | 18,676 | 274,443 | ||||||
Dassault Systemes | 3,688 | 249,583 | ||||||
Edenred | 3,620 | 90,319 | ||||||
Electricite de France SA | 12,862 | 308,409 | ||||||
Essilor International SA | 3,545 | 407,020 | ||||||
Eutelsat Communications SA | 3,108 | 103,096 | ||||||
GDF Suez | 73,428 | 1,449,691 | ||||||
Hermes International | 1,365 | 481,961 | ||||||
Iliad SA | 1,350 | 315,251 | ||||||
Kering | 1,110 | 216,693 | ||||||
L’Oreal SA | 4,956 | 912,849 | ||||||
Natixis SA | 99,537 | 745,591 | ||||||
Orange SA | 93,154 | 1,496,013 | ||||||
Pernod Ricard SA | 4,394 | 519,554 | ||||||
Publicis Groupe SA | 977 | 75,382 | ||||||
Safran SA | 2,192 | 153,158 | ||||||
Sanofi | 8,162 | 806,071 | ||||||
Schneider Electric SE | 587 | 45,680 | ||||||
Sodexo SA | 1,964 | 191,555 | ||||||
TOTAL SA | 1,811 | 90,019 | ||||||
Unibail-Rodamco SE REIT | 2,758 | 744,760 | ||||||
Valeo SA | 5,134 | 765,763 | ||||||
Veolia Environnement SA | 17,277 | 326,770 | ||||||
Zodiac Aerospace | 8,360 | 276,604 | ||||||
|
| |||||||
12,766,432 | ||||||||
|
| |||||||
Germany - 4.9% | ||||||||
Allianz SE | 14,812 | 2,571,609 | ||||||
Bayer AG | 48,519 | 7,259,213 | ||||||
Deutsche Annington Immobilien SE | 25,743 | 867,478 | ||||||
Deutsche Boerse AG | 2,336 | 190,639 | ||||||
Deutsche Telekom AG | 127,027 | 2,323,378 | ||||||
Fresenius Medical Care AG & Co. KGaA | 8,073 | 671,042 | ||||||
GEA Group AG | 2,796 | 134,408 | ||||||
Hannover Rueck SE | 4,457 | 460,562 | ||||||
Merck KGaA | 11,493 | 1,286,272 | ||||||
ProSiebenSat.1 Media AG | 8,002 | 391,401 |
SHARES | VALUE (Note 4) | |||||||
Germany - 4.9% (continued) | ||||||||
ThyssenKrupp AG | 11,716 | $ | 306,727 | |||||
|
| |||||||
16,462,729 | ||||||||
|
| |||||||
Hong Kong - 4.3% | ||||||||
AIA Group Ltd. | 402,600 | 2,527,718 | ||||||
BOC Hong Kong Holdings Ltd. | 55,500 | 197,939 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 10,000 | 85,888 | ||||||
CK Hutchison Holdings Ltd. | 80,000 | 1,634,442 | ||||||
CLP Holdings Ltd. | 34,000 | 297,164 | ||||||
First Pacific Co., Ltd. | 72,000 | 71,828 | ||||||
Giordano International Ltd. | 64,000 | 31,307 | ||||||
Goldin Financial Holdings Ltd. † | 210,000 | 663,644 | ||||||
Hang Seng Bank Ltd. | 22,500 | 407,224 | ||||||
Henderson Land Development Co., Ltd. | 81,390 | 571,770 | ||||||
Hong Kong & China Gas Co., Ltd. | 212,960 | 493,119 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 72,100 | 1,767,334 | ||||||
Hongkong Land Holdings Ltd. | 97,800 | 738,451 | ||||||
Hysan Development Co., Ltd. | 25,000 | 109,582 | ||||||
Lifestyle Properties Development Ltd. † | 1,675 | 408 | ||||||
Link REIT/The | 160,000 | 987,069 | ||||||
Melco International Development Ltd. | 41,000 | 68,994 | ||||||
MGM China Holdings Ltd. | 58,800 | 110,472 | ||||||
MTR Corp. Ltd. | 60,500 | 287,757 | ||||||
NWS Holdings Ltd. | 61,000 | 101,601 | ||||||
PCCW Ltd. | 420,000 | 256,651 | ||||||
Power Assets Holdings Ltd. | 84,500 | 862,563 | ||||||
Samsonite International SA | 82,500 | 287,076 | ||||||
Shangri-La Asia Ltd. | 24,000 | 32,960 | ||||||
Sino Land Co., Ltd. | 168,000 | 273,946 | ||||||
SJM Holdings Ltd. | 79,000 | 103,180 | ||||||
SmarTone Telecommunications Holdings Ltd. | 31,500 | 60,155 | ||||||
Stella International Holdings Ltd. | 9,500 | 22,656 | ||||||
Sun Hung Kai Properties Ltd. | 48,000 | 740,136 | ||||||
Swire Properties Ltd. | 29,800 | 96,786 | ||||||
Techtronic Industries Co., Ltd. | 70,000 | 235,998 | ||||||
Wharf Holdings Ltd./The | 13,000 | 90,751 | ||||||
Wheelock & Co., Ltd. | 41,000 | 209,513 | ||||||
|
| |||||||
14,426,082 | ||||||||
|
| |||||||
Italy - 0.8% | ||||||||
Davide Campari-Milano SpA | 11,007 | 76,789 | ||||||
EXOR SpA | 4,986 | 226,166 | ||||||
Finmeccanica SpA † | 40,366 | 479,473 | ||||||
GTECH SpA | 13,558 | 268,577 | ||||||
Intesa Sanpaolo SpA | 230,724 | 783,078 | ||||||
Luxottica Group SpA | 4,167 | 263,920 | ||||||
Mediobanca SpA | 4,013 | 38,394 | ||||||
Snam SpA | 32,761 | 159,026 | ||||||
UnipolSai SpA | 87,754 | 255,340 | ||||||
|
| |||||||
2,550,763 | ||||||||
|
| |||||||
Japan - 34.3% | ||||||||
77 Bank Ltd./The | 35,000 | 198,073 | ||||||
Activia Properties, Inc. REIT | 8 | 69,894 | ||||||
Advance Residence Investment Corp. REIT | 144 | 345,421 | ||||||
Aeon Mall Co., Ltd. | 90 | 1,782 | ||||||
Air Water, Inc. | 4,000 | 71,431 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
56
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.3% (continued) | ||||||||
Ajinomoto Co., Inc. | 54,000 | $ | 1,184,676 | |||||
Alps Electric Co., Ltd. | 35,800 | 862,040 | ||||||
Amada Co., Ltd. | 7,200 | 69,341 | ||||||
ANA Holdings, Inc. | 293,000 | 784,410 | ||||||
Aozora Bank Ltd. | 177,000 | 627,387 | ||||||
Asahi Group Holdings Ltd. | 21,800 | 691,244 | ||||||
Asahi Kasei Corp. | 76,000 | 725,772 | ||||||
Asics Corp. | 19,700 | 536,083 | ||||||
Astellas Pharma, Inc. | 147,300 | 2,413,496 | ||||||
Bandai Namco Holdings, Inc. | 12,500 | 243,300 | ||||||
Bank of Yokohama Ltd./The | 42,000 | 245,979 | ||||||
Brother Industries Ltd. | 18,200 | 289,159 | ||||||
Calbee, Inc. | 20,600 | 894,290 | ||||||
Calsonic Kansei Corp. | 14,000 | 92,650 | ||||||
Canon Marketing Japan, Inc. | 3,500 | 70,203 | ||||||
Casio Computer Co., Ltd. | 20,700 | 392,092 | ||||||
Central Japan Railway Co. | 13,400 | 2,421,643 | ||||||
Century Tokyo Leasing Corp. | 4,800 | 146,219 | ||||||
Chiba Bank Ltd./The | 12,000 | 87,949 | ||||||
Chugai Pharmaceutical Co., Ltd. | 28,400 | 896,330 | ||||||
Coca-Cola East Japan Co., Ltd. | 9,500 | 193,613 | ||||||
COLOPL, Inc. | 4,900 | 105,628 | ||||||
Cosmos Pharmaceutical Corp. | 2,000 | 312,530 | ||||||
CyberAgent, Inc. | 5,600 | 320,753 | ||||||
Daicel Corp. | 38,200 | 455,325 | ||||||
Daikin Industries Ltd. | 8,600 | 574,945 | ||||||
Daito Trust Construction Co., Ltd. | 11,000 | 1,228,323 | ||||||
Daiwa House Residential Investment Corp. REIT | 82 | 178,903 | ||||||
Daiwa Office Investment Corp. REIT | 49 | 264,897 | ||||||
Dentsu, Inc. | 8,400 | 359,340 | ||||||
Disco Corp. | 2,200 | 224,468 | ||||||
Don Quijote Holdings Co., Ltd. | 2,700 | 219,478 | ||||||
Eisai Co., Ltd. | 10,000 | 711,278 | ||||||
Electric Power Development Co., Ltd. | 12,300 | 414,351 | ||||||
Ezaki Glico Co., Ltd. | 10,700 | 432,568 | ||||||
Frontier Real Estate Investment Corp. REIT | 17 | 80,831 | ||||||
Fuji Electric Co., Ltd. | 70,000 | 330,261 | ||||||
Fuji Heavy Industries Ltd. | 43,000 | 1,427,438 | ||||||
FUJIFILM Holdings Corp. | 24,100 | 857,395 | ||||||
Fujitsu Ltd. | 38,000 | 259,146 | ||||||
Fukuoka Financial Group, Inc. | 68,000 | 349,689 | ||||||
GLP J-Reit REIT | 223 | 230,879 | ||||||
Gunma Bank Ltd./The | 19,000 | 128,354 | ||||||
Hachijuni Bank Ltd./The | 23,000 | 162,176 | ||||||
Hakuhodo DY Holdings, Inc. | 12,400 | 131,828 | ||||||
Hamamatsu Photonics KK | 12,600 | 379,791 | ||||||
Haseko Corp. | 35,100 | 341,906 | ||||||
Hikari Tsushin, Inc. | 2,700 | 174,867 | ||||||
Hino Motors Ltd. | 28,500 | 405,516 | ||||||
Hiroshima Bank Ltd./The | 35,000 | 188,627 | ||||||
HIS Co. Ltd. | 2,500 | 87,792 | ||||||
Hitachi Capital Corp. | 8,600 | 181,523 | ||||||
Hitachi Chemical Co., Ltd. | 10,000 | 213,536 | ||||||
Hitachi High-Technologies Corp. | 2,100 | 63,908 | ||||||
Hitachi Ltd. | 18,660 | 127,445 | ||||||
Hitachi Metals Ltd. | 18,000 | 275,878 |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.3% (continued) | ||||||||
Hokuhoku Financial Group, Inc. | 91,000 | $ | 202,846 | |||||
Hoshizaki Electric Co., Ltd. | 6,500 | 422,102 | ||||||
Hoya Corp. | 39,600 | 1,585,360 | ||||||
Hulic Co., Ltd. | 20,200 | 226,968 | ||||||
IHI Corp. | 81,000 | 378,734 | ||||||
Inpex Corp. | 4,100 | 45,177 | ||||||
Isuzu Motors Ltd. | 12,100 | 160,537 | ||||||
Iwatani Corp. | 47,000 | 307,898 | ||||||
Iyo Bank Ltd./The | 10,800 | 128,080 | ||||||
Japan Airlines Co., Ltd. | 30,800 | 958,104 | ||||||
Japan Airport Terminal Co., Ltd. | 14,500 | 876,904 | ||||||
Japan Aviation Electronics Industry Ltd. | 15,000 | 362,217 | ||||||
Japan Excellent, Inc. REIT | 133 | 173,571 | ||||||
Japan Hotel REIT Investment Corp. | 590 | 419,699 | ||||||
Japan Logistics Fund, Inc. REIT | 115 | 238,990 | ||||||
Japan Prime Realty Investment Corp. REIT | 74 | 254,830 | ||||||
Japan Retail Fund Investment Corp. REIT | 150 | 298,062 | ||||||
JFE Holdings, Inc. | 15,000 | 331,097 | ||||||
Joyo Bank Ltd./The | 53,000 | 272,376 | ||||||
JTEKT Corp. | 27,500 | 428,765 | ||||||
Kajima Corp. | 23,000 | 106,633 | ||||||
Kaken Pharmaceutical Co., Ltd. | 18,000 | 520,374 | ||||||
Kanamoto Co., Ltd. | 9,900 | 284,950 | ||||||
Kansai Paint Co., Ltd. | 4,000 | 72,799 | ||||||
Kao Corp. | 40,700 | 2,032,316 | ||||||
Kawasaki Heavy Industries Ltd. | 56,000 | 282,521 | ||||||
Kawasaki Kisen Kaisha Ltd. | 50,000 | 134,263 | ||||||
KDDI Corp. | 111,900 | 2,528,104 | ||||||
Keihan Electric Railway Co., Ltd. | 72,000 | 438,180 | ||||||
Keio Corp. | 21,000 | 164,473 | ||||||
Keisei Electric Railway Co., Ltd. | 39,000 | 484,047 | ||||||
Keiyo Bank Ltd./The | 11,000 | 63,677 | ||||||
Kenedix Office Investment Corp. REIT | 60 | 329,221 | ||||||
Kewpie Corp. | 18,800 | 457,449 | ||||||
Keyence Corp. | 2,640 | 1,440,640 | ||||||
Kikkoman Corp. | 20,000 | 634,185 | ||||||
Kobe Steel Ltd. | 116,000 | 213,952 | ||||||
Koito Manufacturing Co., Ltd. | 17,100 | 514,176 | ||||||
Komatsu Ltd. | 34,600 | 678,253 | ||||||
Konica Minolta, Inc. | 28,200 | 285,788 | ||||||
Kose Corp. | 4,500 | 248,183 | ||||||
Kubota Corp. | 11,000 | 173,788 | ||||||
LIXIL Group Corp. | 5,000 | 118,329 | ||||||
M3, Inc. | 25,400 | 538,858 | ||||||
Mabuchi Motor Co., Ltd. | 8,000 | 423,215 | ||||||
Marui Group Co., Ltd. | 5,700 | 64,591 | ||||||
MEIJI Holdings Co., Ltd. | 8,500 | 1,035,384 | ||||||
Minebea Co., Ltd. | 57,000 | 896,521 | ||||||
MISUMI Group, Inc. | 5,000 | 201,507 | ||||||
Mitsubishi Chemical Holdings Corp. | 64,000 | 371,524 | ||||||
Mitsubishi Electric Corp. | 12,000 | 142,458 | ||||||
Mitsubishi Logistics Corp. | 21,000 | 326,829 | ||||||
Mitsubishi Tanabe Pharma Corp. | 19,900 | 341,392 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 228,500 | 1,415,195 | ||||||
Mitsui & Co., Ltd. | 12,600 | 168,742 | ||||||
Mitsui Chemicals, Inc. | 28,000 | 89,790 | ||||||
Mixi, Inc. | 14,200 | 574,022 | ||||||
MonotaRO Co., Ltd. | 1,900 | 68,814 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
57
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.3% (continued) | ||||||||
Mori Hills REIT Investment Corp. | 48 | $ | 67,699 | |||||
Mori Trust Sogo Reit, Inc. REIT | 158 | 327,106 | ||||||
MS&AD Insurance Group Holdings, Inc. | 5,900 | 165,177 | ||||||
Murata Manufacturing Co., Ltd. | 13,400 | 1,840,345 | ||||||
Nagoya Railroad Co., Ltd. | 168,000 | 670,837 | ||||||
Nankai Electric Railway Co., Ltd. | 52,000 | 214,825 | ||||||
Nexon Co., Ltd. | 7,600 | 80,933 | ||||||
NGK Insulators Ltd. | 23,000 | 490,050 | ||||||
NGK Spark Plug Co., Ltd. | 15,300 | 410,713 | ||||||
NH Foods Ltd. | 21,000 | 483,916 | ||||||
NHK Spring Co., Ltd. | 12,500 | 130,039 | ||||||
Nidec Corp. | 14,000 | 929,344 | ||||||
Nifco, Inc. | 2,000 | 68,943 | ||||||
Nihon Kohden Corp. | 10,400 | 282,873 | ||||||
Nippon Accommodations Fund, Inc. REIT | 54 | 205,040 | ||||||
Nippon Express Co., Ltd. | 20,000 | 111,746 | ||||||
Nippon Paint Holdings Co., Ltd. | 35,000 | 1,279,486 | ||||||
Nippon Prologis REIT, Inc. | 249 | 548,141 | ||||||
Nippon Shinyaku Co., Ltd. | 11,000 | 399,883 | ||||||
Nippon Shokubai Co., Ltd. | 5,000 | 73,186 | ||||||
Nippon Telegraph & Telephone Corp. | 14,300 | 882,754 | ||||||
Nishi-Nippon City Bank Ltd./The | 77,000 | 223,188 | ||||||
Nissan Chemical Industries Ltd. | 8,800 | 181,851 | ||||||
Nissan Motor Co., Ltd. | 61,700 | 627,523 | ||||||
Nisshin Seifun Group, Inc. | 5,600 | 65,913 | ||||||
Nisshinbo Holdings, Inc. | 9,000 | 86,358 | ||||||
Nissin Foods Holdings Co., Ltd. | 12,100 | 594,667 | ||||||
Nitori Holdings Co., Ltd. | 10,500 | 710,782 | ||||||
Nitto Denko Corp. | 10,000 | �� | 667,740 | |||||
NOK Corp. | 15,600 | 469,054 | ||||||
Nomura Real Estate Master Fund, Inc. REIT | 248 | 308,158 | ||||||
Nomura Research Institute Ltd. | 10,800 | 405,758 | ||||||
NSK Ltd. | 34,000 | 496,249 | ||||||
NTN Corp. | 62,000 | 327,892 | ||||||
NTT DOCOMO, Inc. | 17,700 | 309,326 | ||||||
Obayashi Corp. | 46,000 | 298,174 | ||||||
Odakyu Electric Railway Co., Ltd. | 6,000 | 61,110 | ||||||
Oji Holdings Corp. | 65,000 | 265,951 | ||||||
Okasan Securities Group, Inc. | 19,000 | 150,759 | ||||||
Olympus Corp. † | 14,400 | 533,888 | ||||||
Omron Corp. | 15,400 | 693,757 | ||||||
Ono Pharmaceutical Co., Ltd. | 4,000 | 451,376 | ||||||
Oriental Land Co., Ltd. | 19,600 | 1,484,075 | ||||||
Orix JREIT, Inc. | 244 | 349,470 | ||||||
Otsuka Corp. | 6,000 | 255,691 | ||||||
Otsuka Holdings Co., Ltd. | 11,900 | 372,276 | ||||||
Panasonic Corp. | 27,200 | 357,192 | ||||||
Pigeon Corp. | 6,400 | 537,815 | ||||||
Pola Orbis Holdings, Inc. | 1,400 | 74,168 | ||||||
Rakuten, Inc. | 10,700 | 188,407 | ||||||
Renesas Electronics Corp. † | 45,800 | 340,133 | ||||||
Resorttrust, Inc. | 16,200 | 422,147 | ||||||
Rinnai Corp. | 2,600 | 192,688 | ||||||
Rohm Co., Ltd. | 5,800 | 396,331 | ||||||
Ryohin Keikaku Co., Ltd. | 2,900 | 421,115 | ||||||
Santen Pharmaceutical Co., Ltd. | 37,500 | 546,968 | ||||||
SCREEN Holdings Co., Ltd. | 21,000 | 158,864 |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.3% (continued) | ||||||||
Seiko Epson Corp. | 44,100 | $ | 781,071 | |||||
Seino Holdings Co., Ltd. | 15,000 | 162,777 | ||||||
Seven & I Holdings Co., Ltd. | 1,800 | 75,642 | ||||||
Seven Bank Ltd. | 118,600 | 584,785 | ||||||
Shimadzu Corp. | 6,000 | 66,821 | ||||||
Shimano, Inc. | 7,900 | 1,173,957 | ||||||
Shimizu Corp. | 98,000 | 662,560 | ||||||
Shin-Etsu Chemical Co., Ltd. | 24,700 | 1,612,616 | ||||||
Shionogi & Co., Ltd. | 25,300 | 842,251 | ||||||
SMC Corp. | 1,500 | 446,646 | ||||||
Sohgo Security Services Co., Ltd. | 12,100 | 411,747 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 5,900 | 183,421 | ||||||
Sony Corp. † | 77,400 | 2,069,956 | ||||||
Sotetsu Holdings, Inc. | 18,000 | 83,376 | ||||||
Square Enix Holdings Co., Ltd. | 11,100 | 237,517 | ||||||
Start Today Co., Ltd. | 10,600 | 279,044 | ||||||
Sumco Corp. | 25,200 | 422,014 | ||||||
Sumitomo Chemical Co., Ltd. | 13,000 | 66,722 | ||||||
Sumitomo Heavy Industries Ltd. | 47,000 | 307,582 | ||||||
Sumitomo Metal Mining Co., Ltd. | 23,000 | 336,162 | ||||||
Suntory Beverage & Food Ltd. | 13,000 | 556,649 | ||||||
Suruga Bank Ltd. | 56,900 | 1,181,624 | ||||||
Suzuki Motor Corp. | 20,500 | 615,701 | ||||||
Sysmex Corp. | 16,900 | 937,052 | ||||||
Taiheiyo Cement Corp. | 70,000 | 213,731 | ||||||
Taisei Corp. | 112,000 | 632,161 | ||||||
Taiyo Nippon Sanso Corp. | 40,000 | 544,311 | ||||||
TDK Corp. | 10,400 | 736,398 | ||||||
Teijin Ltd. | 70,000 | 237,497 | ||||||
Temp Holdings Co. Ltd. | 2,000 | 69,008 | ||||||
Terumo Corp. | 6,000 | 158,058 | ||||||
Toho Co., Ltd. | 2,800 | 68,462 | ||||||
Tohoku Electric Power Co., Inc. | 33,300 | 378,236 | ||||||
Tokio Marine Holdings, Inc. | 31,700 | 1,196,575 | ||||||
Tokyo Gas Co., Ltd. | 177,000 | 1,112,752 | ||||||
Tokyo Tatemono Co., Ltd. | 34,000 | 249,095 | ||||||
Tokyu Corp. | 10,000 | 61,868 | ||||||
Topcon Corp. | 15,100 | 369,899 | ||||||
Toray Industries, Inc. | 91,000 | 761,668 | ||||||
Toshiba TEC Corp. | 15,000 | 98,834 | ||||||
Tosoh Corp. | 56,000 | 282,071 | ||||||
TOTO Ltd. | 17,000 | 252,432 | ||||||
Toyo Tire & Rubber Co., Ltd. | 21,900 | 393,439 | ||||||
Toyota Industries Corp. | 7,200 | 411,818 | ||||||
Toyota Motor Corp. | 147,700 | 10,310,011 | ||||||
TS Tech Co., Ltd. | 3,800 | 102,468 | ||||||
Tsuruha Holdings, Inc. | 5,900 | 451,654 | ||||||
Unicharm Corp. | 40,400 | 1,057,672 | ||||||
United Urban Investment Corp. REIT | 270 | 420,907 | ||||||
USS Co., Ltd. | 21,300 | 368,055 | ||||||
West Japan Railway Co. | 14,900 | 781,213 | ||||||
Yakult Honsha Co., Ltd. | 3,700 | 257,751 | ||||||
Yamaguchi Financial Group, Inc. | 7,000 | 80,453 | ||||||
Yamaha Motor Co., Ltd. | 32,400 | 780,537 | ||||||
Yamato Holdings Co., Ltd. | 9,900 | 228,182 | ||||||
Yamazaki Baking Co., Ltd. | 8,000 | 144,147 | ||||||
Yaskawa Electric Corp. | 14,600 | 213,368 | ||||||
Yokogawa Electric Corp. | 14,500 | 156,216 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
58
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.3% (continued) | ||||||||
Yokohama Rubber Co., Ltd./The | 30,000 | $ | 309,242 | |||||
Zenkoku Hosho Co., Ltd. | 10,000 | 374,601 | ||||||
|
| |||||||
115,745,843 | ||||||||
|
| |||||||
Luxembourg - 0.2% | ||||||||
Altice SA † | 5,708 | 617,317 | ||||||
|
| |||||||
Netherlands - 1.1% | ||||||||
ASML Holding NV | 23,568 | 2,389,312 | ||||||
Heineken Holding NV | 3,988 | 274,432 | ||||||
Heineken NV | 14,046 | 1,072,084 | ||||||
|
| |||||||
3,735,828 | ||||||||
|
| |||||||
Norway - 0.6% | ||||||||
Gjensidige Forsikring ASA | 17,666 | 304,814 | ||||||
Golar LNG Ltd. | 2,009 | 50,127 | ||||||
Marine Harvest ASA | 33,995 | 389,467 | ||||||
Norsk Hydro ASA | 118,965 | 625,320 | ||||||
Telenor ASA | 10,790 | 217,746 | ||||||
Yara International ASA | 9,451 | 479,855 | ||||||
|
| |||||||
2,067,329 | ||||||||
|
| |||||||
Singapore - 1.1% | ||||||||
Ascendas Real Estate Investment Trust REIT | 30,000 | 56,587 | ||||||
CapitaCommercial Trust REIT | 68,900 | 88,689 | ||||||
ComfortDelGro Corp. Ltd. | 162,000 | 341,272 | ||||||
Dairy Farm International Holdings, Ltd. | 6,300 | 59,095 | ||||||
DBS Group Holdings Ltd. | 36,300 | 538,251 | ||||||
Jardine Cycle & Carriage Ltd. | 6,000 | 179,213 | ||||||
Jardine Matheson Holdings Ltd. | 10,700 | 676,146 | ||||||
Jardine Strategic Holdings Ltd. | 5,100 | 178,145 | ||||||
Noble Group Ltd. | 187,800 | 125,795 | ||||||
Singapore Technologies Engineering Ltd. | 155,000 | 393,064 | ||||||
Suntec Real Estate Investment Trust REIT | 72,000 | 97,240 | ||||||
Super Group Ltd. | 114,000 | 123,475 | ||||||
Thai Beverage PCL | 446,000 | 248,312 | ||||||
United Overseas Bank Ltd. | 27,300 | 457,607 | ||||||
|
| |||||||
3,562,891 | ||||||||
|
| |||||||
South Africa - 0.0% (a) | ||||||||
Mondi PLC | 7,018 | 134,865 | ||||||
|
| |||||||
Spain - 1.7% | ||||||||
Abertis Infraestructuras SA | 17,400 | 314,498 | ||||||
Endesa SA | 17,755 | 342,758 | ||||||
Ferrovial SA | 18,653 | 396,601 | ||||||
Iberdrola SA | 330,911 | 2,133,897 | ||||||
Inditex SA | 36,896 | 1,184,571 | ||||||
Red Electrica Corp. SA | 4,436 | 360,706 | ||||||
Telefonica SA | 67,048 | 954,060 | ||||||
|
| |||||||
5,687,091 | ||||||||
|
| |||||||
Sweden - 3.6% | ||||||||
Assa Abloy AB, Class B | 18,833 | 1,121,795 | ||||||
Atlas Copco AB, A Shares | 63,240 | 2,047,311 | ||||||
Boliden AB | 5,996 | 118,778 | ||||||
Electrolux AB, Series B | 25,955 | 741,493 | ||||||
Hennes & Mauritz AB, B Shares | 5,902 | 239,136 |
SHARES | VALUE (Note 4) | |||||||
Sweden - 3.6% (continued) | ||||||||
Hexagon AB, B Shares | 2,393 | $ | 84,964 | |||||
Husqvarna AB, B Shares | 22,273 | 161,336 | ||||||
ICA Gruppen AB | 12,128 | 406,522 | ||||||
Investment AB Kinnevik, B Shares | 4,745 | 158,399 | ||||||
Investor AB, B Shares | 34,510 | 1,373,733 | ||||||
Meda AB, A Shares | 19,677 | 310,919 | ||||||
NCC AB, B Shares | 9,222 | 305,147 | ||||||
Securitas AB, B Shares | 11,617 | 166,778 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 31,725 | 370,286 | ||||||
Skanska AB, B Shares | 55,470 | 1,243,599 | ||||||
Svenska Handelsbanken AB, A Shares | 8,279 | 372,858 | ||||||
Tele2 AB, B Shares | 31,861 | 381,083 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 163,459 | 2,052,218 | ||||||
Trelleborg AB, B Shares | 31,271 | 618,540 | ||||||
|
| |||||||
12,274,895 | ||||||||
|
| |||||||
Switzerland - 6.4% | ||||||||
Actelion Ltd. † | 8,233 | 949,541 | ||||||
Aryzta AG † | 694 | 42,544 | ||||||
Chocoladefabriken Lindt & Sprungli AG | 62 | 331,862 | ||||||
EMS-Chemie Holding AG | 1,233 | 501,386 | ||||||
Geberit AG | 1,176 | 440,078 | ||||||
Givaudan SA † | 995 | 1,797,614 | ||||||
Novartis AG | 140,206 | 13,838,401 | ||||||
Partners Group Holding AG | 2,201 | 656,178 | ||||||
Schindler Holding AG | 1,395 | 231,517 | ||||||
Sonova Holding AG | 1,208 | 167,613 | ||||||
Swiss Life Holding AG † | 747 | 184,544 | ||||||
Swisscom AG | 750 | 434,918 | ||||||
Wolseley PLC | 4,707 | 278,205 | ||||||
Zurich Insurance Group AG † | 5,209 | 1,760,654 | ||||||
|
| |||||||
21,615,055 | ||||||||
|
| |||||||
United Kingdom - 13.4% | ||||||||
Aberdeen Asset Management PLC | 54,480 | 370,644 | ||||||
Aggreko PLC | 7,256 | 164,134 | ||||||
ARM Holdings PLC | 28,320 | 459,953 | ||||||
Ashtead Group PLC | 21,861 | 350,602 | ||||||
Associated British Foods PLC | 38,037 | 1,587,404 | ||||||
AstraZeneca PLC | 54,354 | 3,729,688 | ||||||
Aviva PLC | 36,331 | 290,753 | ||||||
Barratt Developments PLC | 70,000 | 547,312 | ||||||
BG Group PLC | 2,230 | 27,370 | ||||||
Booker Group PLC | 95,443 | 205,659 | ||||||
British American Tobacco PLC | 46,277 | 2,396,410 | ||||||
BT Group PLC | 287,346 | 1,867,130 | ||||||
Bunzl PLC | 7,883 | 213,720 | ||||||
Compass Group PLC | 39,030 | 677,532 | ||||||
Croda International PLC | 3,164 | 128,326 | ||||||
Daily Mail & General Trust PLC, Class A | 8,278 | 108,283 | ||||||
Diageo PLC | 46,529 | 1,285,798 | ||||||
easyJet PLC | 20,601 | 573,355 | ||||||
Experian PLC | 34,548 | 571,874 | ||||||
Fiat Chrysler Automobiles NV † | 60,507 | 982,275 | ||||||
G4S PLC | 22,026 | 96,549 | ||||||
GlaxoSmithKline PLC | 913 | 21,017 | ||||||
Hargreaves Lansdown PLC | 13,845 | 236,157 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
59
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 13.4% (continued) | ||||||||
Hikma Pharmaceuticals PLC | 9,974 | $ | 313,920 | |||||
HSBC Holdings PLC | 50,345 | 429,011 | ||||||
IMI PLC | 3,733 | 70,443 | ||||||
Imperial Tobacco Group PLC | 38,385 | 1,683,807 | ||||||
Indivior PLC † | 3,848 | 10,814 | ||||||
International Consolidated Airlines Group SA † | 46,475 | 414,242 | ||||||
Intertek Group PLC | 2,171 | 80,416 | ||||||
ITV PLC | 212,597 | 795,973 | ||||||
Johnson Matthey PLC | 2,582 | 129,367 | ||||||
Kingfisher PLC | 42,770 | 241,311 | ||||||
Legal & General Group PLC | 152,969 | 629,979 | ||||||
London Stock Exchange Group PLC | 9,129 | 332,022 | ||||||
Meggitt PLC | 17,966 | 146,039 | ||||||
National Grid PLC | 201,179 | 2,586,368 | ||||||
Next PLC | 13,120 | 1,364,460 | ||||||
Old Mutual PLC | 139,415 | 457,653 | ||||||
Pearson PLC | 15,946 | 343,216 | ||||||
Petrofac Ltd. | 9,634 | 135,629 | ||||||
Prudential PLC | 93,431 | 2,318,532 | ||||||
Reckitt Benckiser Group PLC | 3,848 | 330,565 | ||||||
Reed Elsevier NV | 105,920 | 2,639,272 | ||||||
Rolls-Royce Holdings PLC † | 35,118 | 495,303 | ||||||
SABMiller PLC | 48,310 | 2,530,564 | ||||||
Sage Group PLC/The | 13,549 | 93,593 | ||||||
Severn Trent PLC | 3,568 | 108,762 | ||||||
Shire PLC | 28,642 | 2,283,430 | ||||||
Smith & Nephew PLC | 5,401 | 92,096 | ||||||
Sports Direct International PLC † | 36,611 | 329,036 | ||||||
SSE PLC | 39,551 | 877,753 | ||||||
Standard Life PLC (Chi-X Europe) | 55,872 | 392,595 | ||||||
Standard Life PLC (3)(b) | 68,289 | 73,949 | ||||||
Tate & Lyle PLC | 14,485 | 128,151 | ||||||
Taylor Wimpey PLC | 181,134 | 415,227 | ||||||
Unilever NV CVA | 56,104 | 2,344,449 | ||||||
United Utilities Group PLC | 34,524 | 477,373 | ||||||
Whitbread PLC | 10,735 | 833,572 | ||||||
WPP PLC | 59,452 | 1,350,192 | ||||||
|
| |||||||
45,171,029 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 326,863,924 | |||||||
|
| |||||||
RIGHTS - 0.0% (a) | ||||||||
Spain - 0.0% (a) | ||||||||
Banco de Sabadell SA † | ||||||||
(cost $—) | 21,080 | 5,349 | ||||||
|
|
MONEY MARKET FUNDS - 0.7% | SHARES | VALUE (Note 4) | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | ||||||||
(cost $2,452,666) | 2,452,666 | $ | 2,452,666 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 97.6% | 329,321,939 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4% (d) | 8,263,330 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 337,585,269 | ||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Security fair valued as of March 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $73,949 or 0.0% of total net assets. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
(d) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 51,311,592 | 15.2 | % | ||||
Consumer Staples | 42,487,952 | 12.6 | ||||||
Energy | 2,553,543 | 0.8 | ||||||
Financials | 60,697,929 | 18.0 | ||||||
Health Care | 51,847,100 | 15.4 | ||||||
Industrials | 43,710,223 | 12.9 | ||||||
Information Technology | 24,925,185 | 7.4 | ||||||
Materials | 17,643,532 | 5.2 | ||||||
Telecommunication Services | 17,288,729 | 5.1 | ||||||
Utilities | 14,403,488 | 4.3 | ||||||
Money Market Funds | 2,452,666 | 0.7 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 329,321,939 | 97.6 | ||||||
Other Assets in Excess of Liabilities (d) | 8,263,330 | 2.4 | ||||||
|
|
|
| |||||
Net Assets | $ | 337,585,269 | 100.0 | % | ||||
|
|
|
|
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
63 | Barclays Capital | MSCI EAFE Mini Index Futures | 6/2015 | $ | 5,861,757 | $ | 5,764,185 | $ | (97,572 | ) | ||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $211,321 at March 31, 2015.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
60
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
COMMON STOCKS - 95.7% | SHARES | VALUE (Note 4) | ||||||
Brazil - 5.5% | ||||||||
Banco Bradesco SA ADR (1) | 12,480 | $ | 115,814 | |||||
Banco do Brasil SA (1) | 800 | 5,768 | ||||||
BB Seguridade Participacoes SA (1) | 4,800 | 49,195 | ||||||
BRF SA ADR (1) | 2,100 | 41,538 | ||||||
CETIP SA - Mercados Organizados (1) | 900 | 8,982 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 1,500 | 6,135 | ||||||
Cielo SA (1) | 3,500 | 50,106 | ||||||
Embraer SA ADR (1) | 1,000 | 30,750 | ||||||
Itau Unibanco Holding SA ADR (1) | 5,400 | 59,724 | ||||||
JBS SA (1) | 3,800 | 16,895 | ||||||
Kroton Educacional SA (1) | 9,200 | 29,777 | ||||||
Porto Seguro SA (1) | 700 | 7,791 | ||||||
Qualicorp SA (1)† | 900 | 6,480 | ||||||
Raia Drogasil SA (1) | 2,800 | 25,047 | ||||||
WEG SA (1) | 2,800 | 28,048 | ||||||
|
| |||||||
482,050 | ||||||||
|
| |||||||
Chile - 0.6% | ||||||||
Banco Santander Chile ADR (1) | 200 | 4,336 | ||||||
Corpbanca SA (1) | 1,089,380 | 11,520 | ||||||
Empresa Nacional de Electricidad SA ADR (1) | 400 | 18,020 | ||||||
Enersis SA ADR (1) | 1,300 | 21,138 | ||||||
|
| |||||||
55,014 | ||||||||
|
| |||||||
China - 28.7% | ||||||||
AAC Technologies Holdings, Inc. | 6,500 | 40,129 | ||||||
ANTA Sports Products Ltd. | 9,000 | 16,434 | ||||||
AviChina Industry & Technology Co., Ltd., H Shares | 12,000 | 8,624 | ||||||
Bank of China Ltd., H Shares | 459,000 | 265,337 | ||||||
Bank of Communications Co., Ltd., H Shares | 82,000 | 70,475 | ||||||
China CITIC Bank Corp. Ltd., H Shares | 38,000 | 28,648 | ||||||
China Communications Construction Co., Ltd., H Shares | 18,000 | 25,363 | ||||||
China Construction Bank Corp., H Shares | 272,000 | 225,756 | ||||||
China Galaxy Securities Co., Ltd., H Shares | 19,000 | 21,733 | ||||||
China International Marine Containers Group Co., Ltd., H Shares | 8,400 | 18,312 | ||||||
China Life Insurance Co., Ltd., H Shares | 54,000 | 237,371 | ||||||
China Merchants Bank Co., Ltd., H Shares | 51,000 | 124,524 | ||||||
China Minsheng Banking Corp. Ltd., H Shares | 98,500 | 120,119 | ||||||
China Pacific Insurance Group Co., Ltd., H Shares | 17,200 | 81,814 | ||||||
China Railway Construction Corp. Ltd., H Shares | 21,000 | 31,307 | ||||||
China Railway Group Ltd., H Shares | 27,000 | 27,615 | ||||||
China Telecom Corp. Ltd., H Shares | 44,000 | 28,130 | ||||||
CITIC Securities Co., Ltd., H Shares | 7,500 | 27,858 | ||||||
CSPC Pharmaceutical Group Ltd. | 16,000 | 13,538 | ||||||
CSR Corp. Ltd., H Shares | 19,000 | 25,096 | ||||||
Datang International Power Generation Co., Ltd., H Shares | 36,000 | 18,365 | ||||||
Dongfeng Motor Group Co., Ltd., H Shares | 12,000 | 19,193 | ||||||
Evergrande Real Estate Group Ltd. | 24,000 | 12,098 | ||||||
Fosun International Ltd. | 15,000 | 29,022 | ||||||
Great Wall Motor Co., Ltd., H Shares | 3,500 | 24,674 | ||||||
Guangzhou Automobile Group Co., Ltd., H Shares | 12,000 | 11,464 |
SHARES | VALUE (Note 4) | |||||||
China - 28.7% (continued) | ||||||||
Haitong Securities Co., Ltd., H Shares | 36,800 | $ | 89,799 | |||||
Huadian Power International Corp. Ltd., H Shares | 24,000 | 20,021 | ||||||
Huaneng Power International, Inc., H Shares | 16,000 | 19,003 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 232,000 | 171,606 | ||||||
Lenovo Group Ltd. | 24,000 | 34,973 | ||||||
New China Life Insurance Co. Ltd., H Shares | 7,500 | 41,758 | ||||||
PICC Property & Casualty Co., Ltd., H Shares | 14,000 | 27,641 | ||||||
Ping An Insurance Group Co. of China Ltd., H Shares | 17,000 | 203,943 | ||||||
Shanghai Electric Group Co., Ltd., H Shares | 34,000 | 22,543 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd., H Shares | 1,500 | 5,001 | ||||||
Shenzhou International Group Holdings Ltd. | 2,000 | 9,027 | ||||||
Sihuan Pharmaceutical Holdings Group Ltd. | 36,000 | 20,478 | ||||||
Sinopharm Group Co., Ltd., H Shares | 5,600 | 22,802 | ||||||
Sinotrans Ltd., H Shares | 31,000 | 17,820 | ||||||
Tencent Holdings Ltd. | 10,500 | 199,394 | ||||||
Zhejiang Expressway Co., Ltd., H Shares | 8,000 | 10,590 | ||||||
ZHuzhou CSR Times Electric Co., Ltd., H Shares | 2,500 | 16,445 | ||||||
Zijin Mining Group Co., Ltd., H Shares | 64,000 | 20,263 | ||||||
|
| |||||||
2,506,106 | ||||||||
|
| |||||||
Hong Kong - 8.3% | ||||||||
Alibaba Health Information Technology Ltd. (3)†(a) | 14,000 | 12,244 | ||||||
China Everbright International Ltd. | 14,000 | 23,481 | ||||||
China Everbright Ltd. | 10,000 | 26,062 | ||||||
China Gas Holdings Ltd. | 2,000 | 3,273 | ||||||
China Mobile Ltd. ADR (1) | 6,974 | 453,519 | ||||||
China Resources Power Holdings Co., Ltd. | 8,000 | 20,063 | ||||||
China Taiping Insurance Holdings Co., Ltd. † | 8,000 | 27,290 | ||||||
CITIC Ltd. | 11,000 | 18,827 | ||||||
Far East Horizon Ltd. | 10,000 | 9,146 | ||||||
Guangdong Investment Ltd. | 32,000 | 41,964 | ||||||
Hanergy Thin Film Power Group Ltd. † | 86,000 | 77,438 | ||||||
Sino Biopharmaceutical Ltd. | 16,000 | 16,187 | ||||||
|
| |||||||
729,494 | ||||||||
|
| |||||||
India - 4.8% | ||||||||
Dr. Reddy’s Laboratories Ltd. ADR (1) | 500 | 28,550 | ||||||
ICICI Bank Ltd. ADR (1) | 7,600 | 78,736 | ||||||
Infosys Ltd. ADR (1) | 2,800 | 98,224 | ||||||
Reliance Industries Ltd. GDR 144A (b) | 404 | 10,666 | ||||||
State Bank of India GDR | 3,176 | 134,344 | ||||||
Tata Motors Ltd. ADR (1) | 1,600 | 72,096 | ||||||
|
| |||||||
422,616 | ||||||||
|
| |||||||
Indonesia - 3.2% | ||||||||
Astra International Tbk PT | 26,100 | 17,095 | ||||||
Bank Central Asia Tbk PT | 41,100 | 46,581 | ||||||
Bank Mandiri Persero Tbk PT | 21,200 | 20,218 | ||||||
Bank Negara Indonesia Persero Tbk PT | 40,900 | 22,580 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 54,100 | 54,874 | ||||||
Gudang Garam Tbk PT | 3,800 | 14,816 | ||||||
Kalbe Farma Tbk PT | 150,200 | 21,431 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
61
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Indonesia - 3.2% (continued) | ||||||||
Matahari Department Store Tbk PT | 6,400 | $ | 9,624 | |||||
Surya Citra Media Tbk PT | 70,500 | 18,292 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 172,800 | 38,102 | ||||||
Tower Bersama Infrastructure Tbk PT | 20,800 | 15,070 | ||||||
|
| |||||||
278,683 | ||||||||
|
| |||||||
Korea, Republic of - 7.8% | ||||||||
Amorepacific Corp. | 12 | 36,258 | ||||||
AMOREPACIFIC Group | 18 | 24,322 | ||||||
Celltrion, Inc. † | 380 | 23,876 | ||||||
CJ CheilJedang Corp. | 56 | 19,062 | ||||||
CJ Corp. | 129 | 20,441 | ||||||
CJ Korea Express Co., Ltd. † | 117 | 20,560 | ||||||
Coway Co., Ltd. | 283 | 23,292 | ||||||
Dongbu Insurance Co., Ltd. | 209 | 9,306 | ||||||
Hankook Tire Co., Ltd. | 266 | 10,853 | ||||||
Hotel Shilla Co., Ltd. | 154 | 13,564 | ||||||
Hyosung Corp. | 150 | 11,698 | ||||||
Hyundai Development Co.-Engineering & Construction | 320 | 16,404 | ||||||
Hyundai Glovis Co., Ltd. | 54 | 10,978 | ||||||
Hyundai Mobis Co., Ltd. | 17 | 3,766 | ||||||
Hyundai Wia Corp. | 52 | 6,622 | ||||||
Industrial Bank of Korea | 1,267 | 15,209 | ||||||
KCC Corp. | 25 | 12,733 | ||||||
Korea Aerospace Industries Ltd. | 240 | 12,188 | ||||||
Korea Electric Power Corp. | 570 | 23,490 | ||||||
Korea Investment Holdings Co., Ltd. | 375 | 21,211 | ||||||
Korea Zinc Co., Ltd. | 40 | 15,295 | ||||||
Korean Air Lines Co., Ltd. † | 218 | 9,526 | ||||||
KT&G Corp. | 150 | 11,993 | ||||||
LG Corp. | 488 | 26,934 | ||||||
LG Display Co., Ltd. | 781 | 22,102 | ||||||
LG Household & Health Care Ltd. | 40 | 30,312 | ||||||
LG Innotek Co., Ltd. | 60 | 6,270 | ||||||
LS Industrial Systems Co., Ltd. | 89 | 5,113 | ||||||
NAVER Corp. | 10 | 6,033 | ||||||
S-1 Corp. | 129 | 9,747 | ||||||
Samsung C&T Corp. | 103 | 5,506 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 105 | 25,300 | ||||||
Samsung Life Insurance Co., Ltd. | 243 | 21,146 | ||||||
Shinhan Financial Group Co., Ltd. | 419 | 15,742 | ||||||
SK C&C Co., Ltd. | 98 | 20,517 | ||||||
SK Holdings Co., Ltd. | 85 | 13,006 | ||||||
SK Hynix, Inc. | 782 | 31,942 | ||||||
SK Networks Co., Ltd. | 1,070 | 7,853 | ||||||
SK Telecom Co., Ltd. ADR (1) | 2,200 | 59,862 | ||||||
|
| |||||||
680,032 | ||||||||
|
| |||||||
Malaysia - 2.1% | ||||||||
AirAsia Bhd | 34,600 | 22,218 | ||||||
DiGi.Com Bhd | 16,300 | 27,707 | ||||||
IHH Healthcare Bhd | 13,000 | 21,088 | ||||||
IJM Corp. Bhd | 4,000 | 7,771 | ||||||
Malaysia Airports Holdings Bhd | 3,800 | 7,181 | ||||||
MISC Bhd | 18,200 | 41,637 | ||||||
Telekom Malaysia Bhd | 5,500 | 10,768 |
SHARES | VALUE (Note 4) | |||||||
Malaysia - 2.1% (continued) | ||||||||
Tenaga Nasional Bhd | 12,000 | $ | 46,461 | |||||
|
| |||||||
184,831 | ||||||||
|
| |||||||
Malta - 0.2% | ||||||||
Brait SE † | 3,157 | 21,720 | ||||||
|
| |||||||
Mexico - 1.4% | ||||||||
America Movil SAB de CV, Class L ADR (1) | 200 | 4,092 | ||||||
Fibra Uno Administracion SA de CV REIT (1) | 11,100 | 29,406 | ||||||
Gentera SAB de CV (1)† | 10,100 | 18,189 | ||||||
Gruma SAB de CV, Class B (1) | 2,000 | 25,390 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | 2,100 | 13,767 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 500 | 2,902 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O (1) | 4,500 | 11,364 | ||||||
Promotora y Operadora de Infraestructura SAB de CV (1)† | 1,500 | 16,001 | ||||||
|
| |||||||
121,111 | ||||||||
|
| |||||||
Peru - 0.3% | ||||||||
Credicorp Ltd. (1) | 200 | 28,126 | ||||||
|
| |||||||
Poland - 0.7% | ||||||||
Bank Handlowy w Warszawie SA | 235 | 6,713 | ||||||
Bank Millennium SA | 4,098 | 7,171 | ||||||
Enea SA | 1,321 | 5,754 | ||||||
mBank | 78 | 9,052 | ||||||
PGE Polska Grupa Energetyczna SA | 2,230 | 12,252 | ||||||
Powszechny Zaklad Ubezpieczen SA | 142 | 18,322 | ||||||
|
| |||||||
59,264 | ||||||||
|
| |||||||
Russia - 0.9% | ||||||||
MMC Norilsk Nickel OJSC ADR (1) | 3,213 | 57,031 | ||||||
Severstal PAO GDR (Borse Berlin Equiduct) | 2,172 | 24,416 | ||||||
|
| |||||||
81,447 | ||||||||
|
| |||||||
South Africa - 10.0% | ||||||||
African Rainbow Minerals Ltd. | 424 | 3,449 | ||||||
Aspen Pharmacare Holdings Ltd. † | 1,579 | 49,891 | ||||||
Assore Ltd. | 215 | 2,350 | ||||||
Barclays Africa Group Ltd. | 1,152 | 17,557 | ||||||
Barloworld Ltd. | 881 | 6,722 | ||||||
Bidvest Group Ltd./The | 754 | 20,396 | ||||||
Coronation Fund Managers Ltd. | 1,528 | 12,351 | ||||||
Discovery Ltd. | 2,063 | 21,173 | ||||||
FirstRand Ltd. | 11,385 | 52,337 | ||||||
Foschini Group Ltd./The | 1,433 | 21,306 | ||||||
Gold Fields Ltd. ADR (1) | 4,848 | 19,440 | ||||||
Impala Platinum Holdings Ltd. † | 1,336 | 6,460 | ||||||
Investec Ltd. | 1,176 | 9,732 | ||||||
Life Healthcare Group Holdings Ltd. | 2,629 | 9,157 | ||||||
Mediclinic International Ltd. | 3,122 | 31,344 | ||||||
MMI Holdings Ltd. | 3,947 | 10,684 | ||||||
Mr Price Group Ltd. | 732 | 15,656 | ||||||
MTN Group Ltd. | 1,933 | 32,585 | ||||||
Naspers Ltd., N Shares | 1,100 | 168,730 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
62
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
South Africa - 10.0% (continued) | ||||||||
Nedbank Group Ltd. | 894 | $ | 17,509 | |||||
Netcare Ltd. | 4,175 | 14,317 | ||||||
Pick n Pay Stores Ltd. | 1,524 | 6,208 | ||||||
Rand Merchant Insurance Holdings Ltd. | 2,948 | 11,226 | ||||||
Remgro Ltd. | 2,739 | 59,939 | ||||||
RMB Holdings Ltd. | 2,284 | 13,138 | ||||||
Sanlam Ltd. | 7,451 | 48,020 | ||||||
Sappi Ltd. † | 2,774 | 11,200 | ||||||
Sasol Ltd. ADR (1) | 300 | 10,212 | ||||||
SPAR Group Ltd./The | 1,663 | 25,825 | ||||||
Standard Bank Group Ltd. | 1,004 | 13,874 | ||||||
Steinhoff International Holdings Ltd. | 8,799 | 55,071 | ||||||
Telkom SA SOC Ltd. † | 3,391 | 22,118 | ||||||
Tiger Brands Ltd. | 601 | 15,123 | ||||||
Vodacom Group Ltd. | 1,012 | 11,054 | ||||||
Woolworths Holdings Ltd. | 3,986 | 28,260 | ||||||
|
| |||||||
874,414 | ||||||||
|
| |||||||
Taiwan - 12.2% | ||||||||
Advanced Semiconductor Engineering, Inc. | 19,000 | 25,729 | ||||||
Advantech Co., Ltd. | 2,198 | 16,714 | ||||||
Asia Cement Corp. | 8,160 | 10,253 | ||||||
Asustek Computer, Inc. | 2,000 | 20,106 | ||||||
AU Optronics Corp. | 41,000 | 20,572 | ||||||
Catcher Technology Co., Ltd. | 2,000 | 20,916 | ||||||
Cathay Financial Holding Co., Ltd. | 18,600 | 29,636 | ||||||
Chang Hwa Commercial Bank Ltd. | 27,540 | 15,910 | ||||||
China Airlines Ltd. † | 42,000 | 21,545 | ||||||
CTBC Financial Holding Co., Ltd. | 22,813 | 15,143 | ||||||
Delta Electronics, Inc. | 2,000 | 12,603 | ||||||
E.Sun Financial Holding Co., Ltd. | 23,961 | 14,651 | ||||||
Eclat Textile Co., Ltd. | 1,040 | 13,628 | ||||||
Epistar Corp. | 5,000 | 8,038 | ||||||
Eva Airways Corp. † | 29,000 | 21,266 | ||||||
First Financial Holding Co., Ltd. | 23,540 | 13,979 | ||||||
Formosa International Hotels Corp. | 1,100 | 11,606 | ||||||
Formosa Plastics Corp. | 2,000 | 4,845 | ||||||
Formosa Taffeta Co., Ltd. | 7,000 | 7,363 | ||||||
Fubon Financial Holding Co., Ltd. | 30,000 | 53,776 | ||||||
Giant Manufacturing Co., Ltd. | 1,000 | 9,647 | ||||||
Highwealth Construction Corp. | 3,000 | 7,076 | ||||||
Hiwin Technologies Corp. | 1,030 | 7,605 | ||||||
Hon Hai Precision Industry Co., Ltd. | 33,560 | 98,235 | ||||||
Hotai Motor Co., Ltd. | 1,000 | 15,429 | ||||||
Innolux Corp. | 54,000 | 26,904 | ||||||
Inotera Memories, Inc. † | 19,000 | 25,219 | ||||||
Kinsus Interconnect Technology Corp. | 2,000 | 6,406 | ||||||
MediaTek, Inc. | 1,000 | 13,506 | ||||||
Merida Industry Co., Ltd. | 1,050 | 8,243 | ||||||
Pegatron Corp. | 8,000 | 21,584 | ||||||
President Chain Store Corp. | 2,000 | 15,032 | ||||||
Quanta Computer, Inc. | 2,000 | 4,827 | ||||||
Realtek Semiconductor Corp. | 3,000 | 9,555 | ||||||
Ruentex Industries Ltd. | 3,000 | 6,565 | ||||||
Siliconware Precision Industries Co., Ltd. | 12,000 | 19,882 | ||||||
Taishin Financial Holding Co., Ltd. | 31,880 | 13,529 | ||||||
Taiwan Cement Corp. | 14,000 | 19,704 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | 14,900 | 349,852 |
SHARES | VALUE (Note 4) | |||||||
Taiwan - 12.2% (continued) | ||||||||
Teco Electric and Machinery Co., Ltd. | 10,000 | $ | 9,504 | |||||
WPG Holdings Ltd. | 6,000 | 7,720 | ||||||
Zhen Ding Technology Holding Ltd. | 3,000 | 9,770 | ||||||
|
| |||||||
1,064,073 | ||||||||
|
| |||||||
Thailand - 4.3% | ||||||||
Advanced Info Service PCL NVDR | 2,600 | 18,895 | ||||||
Airports of Thailand PCL NVDR | 2,000 | 17,188 | ||||||
Bangkok Dusit Medical Services PCL NVDR | 65,500 | 39,603 | ||||||
Bumrungrad Hospital PCL NVDR | 4,700 | 21,939 | ||||||
Charoen Pokphand Foods PCL NVDR | 22,100 | 15,276 | ||||||
CP ALL PCL NVDR | 11,800 | 14,862 | ||||||
Energy Absolute PCL NVDR | 24,600 | 19,067 | ||||||
Indorama Ventures PCL NVDR | 18,400 | 14,691 | ||||||
Kasikornbank PCL NVDR | 9,000 | 63,283 | ||||||
Krung Thai Bank PCL NVDR | 25,300 | 17,724 | ||||||
Minor International PCL NVDR | 17,600 | 18,909 | ||||||
PTT PCL NVDR | 3,800 | 37,695 | ||||||
Siam Commercial Bank PCL/The NVDR | 9,700 | 53,051 | ||||||
True Corp. PCL NVDR † | 57,900 | 22,185 | ||||||
|
| |||||||
374,368 | ||||||||
|
| |||||||
Turkey - 4.6% | ||||||||
Akbank TAS | 11,587 | 33,991 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi AS REIT | 21,934 | 24,828 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 11,153 | 17,334 | ||||||
Ford Otomotiv Sanayi AS | 1,509 | 19,436 | ||||||
KOC Holding AS | 7,402 | 33,669 | ||||||
TAV Havalimanlari Holding AS † | 1,882 | 15,724 | ||||||
Tofas Turk Otomobil Fabrikasi AS | 2,810 | 16,997 | ||||||
Turk Hava Yollari AO † | 13,018 | 42,944 | ||||||
Turk Telekomunikasyon AS | 8,226 | 21,809 | ||||||
Turkcell Iletisim Hizmetleri AS † | 8,540 | 43,802 | ||||||
Turkiye Garanti Bankasi AS | 17,624 | 57,473 | ||||||
Turkiye Is Bankasi, Class C | 7,121 | 16,026 | ||||||
Turkiye Sise ve Cam Fabrikalari AS | 12,634 | 15,582 | ||||||
Turkiye Vakiflar Bankasi Tao, Class D | 9,353 | 15,265 | ||||||
Ulker Biskuvi Sanayi AS | 1,630 | 12,207 | ||||||
Yapi ve Kredi Bankasi AS | 9,302 | 14,258 | ||||||
|
| |||||||
401,345 | ||||||||
|
| |||||||
United States - 0.1% | ||||||||
Southern Copper Corp. (1) | 300 | 8,754 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 8,373,448 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.7% | ||||||||
Brazil - 0.7% | ||||||||
Cia Energetica de Sao Paulo, Series B (1) | 900 | 6,711 | ||||||
Itausa - Investimentos Itau SA (1) | 8,400 | 26,346 | ||||||
Suzano Papel e Celulose SA, Series A (1) | 5,200 | 24,114 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 57,171 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
63
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING MOMENTUM STYLE FUND |
EXCHANGE-TRADED FUNDS (ETF) - 2.4% | SHARES | VALUE (Note 4) | ||||||
United States - 2.4% | ||||||||
iShares MSCI Emerging Markets ETF (1) | 5,306 | $ | 212,930 | |||||
|
| |||||||
TOTAL INVESTMENTS IN | 8,643,549 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.2% | 102,483 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 8,746,032 | ||||||
|
|
† | Non-income producing security. |
(a) | Security fair valued as of March 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $12,244 or 0.1% of total net assets. |
(b) | 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. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 702,621 | 8.0 | % | ||||
Consumer Staples | 350,165 | 4.0 | ||||||
Energy | 77,640 | 0.9 | ||||||
Exchange-Traded Funds | 212,930 | 2.4 | ||||||
Financials | 3,467,803 | 39.7 | ||||||
Health Care | 345,683 | 4.0 | ||||||
Industrials | 796,528 | 9.1 | ||||||
Information Technology | 1,305,268 | 14.9 | ||||||
Materials | 300,320 | 3.4 | ||||||
Telecommunication Services | 821,942 | 9.4 | ||||||
Utilities | 262,649 | 3.0 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 8,643,549 | 98.8 | ||||||
Other Assets in Excess of Liabilities | 102,483 | 1.2 | ||||||
|
|
|
| |||||
Net Assets | $ | 8,746,032 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
64
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 96.9% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 13.1% | ||||||||
Advance Auto Parts, Inc. | 600 | $ | 89,814 | |||||
Bed Bath & Beyond, Inc. † | 101 | 7,754 | ||||||
Best Buy Co., Inc. | 4,648 | 175,648 | ||||||
BorgWarner, Inc. | 4,288 | 259,338 | ||||||
Brunswick Corp. | 1,969 | 101,305 | ||||||
CBS Corp., Class B | 4,744 | 287,629 | ||||||
Charter Communications, Inc., Class A † | 600 | 115,866 | ||||||
Chipotle Mexican Grill, Inc. † | 642 | 417,647 | ||||||
Coach, Inc. | 66 | 2,734 | ||||||
Comcast Corp., Class A | 6,751 | 381,229 | ||||||
Conn’s, Inc. † | 553 | 16,745 | ||||||
Dana Holding Corp. | 2,784 | 58,909 | ||||||
DISH Network Corp., Class A † | 6,730 | 471,504 | ||||||
Dollar General Corp. † | 900 | 67,842 | ||||||
Dollar Tree, Inc. † | 3,141 | 254,876 | ||||||
DSW, Inc., Class A | 330 | 12,170 | ||||||
Gannett Co., Inc. | 2,894 | 107,310 | ||||||
Gap, Inc./The | 868 | 37,610 | ||||||
GNC Holdings, Inc., Class A | 2,197 | 107,807 | ||||||
Goodyear Tire & Rubber Co./The | 3,168 | 85,789 | ||||||
Groupon, Inc. † | 7,676 | 55,344 | ||||||
H&R Block, Inc. | 1,923 | 61,671 | ||||||
Hanesbrands, Inc. | 3,600 | 120,636 | ||||||
Harman International Industries, Inc. | 1,600 | 213,808 | ||||||
Home Depot, Inc./The | 19,000 | 2,158,590 | ||||||
Johnson Controls, Inc. | 4,435 | 223,701 | ||||||
L Brands, Inc. | 3,700 | 348,873 | ||||||
LKQ Corp. † | 2,515 | 64,283 | ||||||
Lowe’s Cos., Inc. | 14,904 | 1,108,709 | ||||||
Macy’s, Inc. | 1,624 | 105,414 | ||||||
Madison Square Garden Co./The, Class A † | 948 | 80,248 | ||||||
Marriott International, Inc., Class A | 1,800 | 144,576 | ||||||
MGM Resorts International † | 2,967 | 62,396 | ||||||
Mohawk Industries, Inc. † | 936 | 173,862 | ||||||
Netflix, Inc. † | 439 | 182,927 | ||||||
NIKE, Inc., Class B | 10,348 | 1,038,215 | ||||||
Nordstrom, Inc. | 1,100 | 88,352 | ||||||
Norwegian Cruise Line Holdings Ltd. † | 1,800 | 97,218 | ||||||
O’Reilly Automotive, Inc. † | 1,900 | 410,856 | ||||||
Panera Bread Co., Class A † | 24 | 3,840 | ||||||
Polaris Industries, Inc. | 1,008 | 142,229 | ||||||
PulteGroup, Inc. | 2,843 | 63,200 | ||||||
Ralph Lauren Corp. | 40 | 5,260 | ||||||
Rent-A-Center, Inc. | 182 | 4,994 | ||||||
Ross Stores, Inc. | 2,400 | 252,864 | ||||||
Sally Beauty Holdings, Inc. † | 147 | 5,052 | ||||||
Signet Jewelers Ltd. | 800 | 111,032 | ||||||
Standard Pacific Corp. † | 4,289 | 38,601 | ||||||
Starbucks Corp. | 9,751 | 923,420 | ||||||
Target Corp. | 7,000 | 574,490 | ||||||
Tenneco, Inc. † | 1,200 | 68,904 | ||||||
Tesla Motors, Inc. † | 906 | 171,026 | ||||||
Time Warner, Inc. | 7,000 | 591,080 | ||||||
TJX Cos., Inc./The | 6,403 | 448,530 | ||||||
TripAdvisor, Inc. † | 1,729 | 143,801 | ||||||
Twenty-First Century Fox, Inc., Class A | 6,684 | 226,187 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. † | 600 | 90,510 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 13.1% (continued) | ||||||||
Under Armour, Inc., Class A † | 5,190 | $ | 419,093 | |||||
VF Corp. | 5,956 | 448,546 | ||||||
Viacom, Inc., Class B | 3,706 | 253,120 | ||||||
Walt Disney Co./The | 20,458 | 2,145,840 | ||||||
Weight Watchers International, Inc. † | 51 | 356 | ||||||
Whirlpool Corp. | 872 | 176,196 | ||||||
Wynn Resorts Ltd. | 1,255 | 157,979 | ||||||
Yum! Brands, Inc. | 243 | 19,129 | ||||||
|
| |||||||
17,284,484 | ||||||||
|
| |||||||
Consumer Staples - 9.4% | ||||||||
Altria Group, Inc. | 40,300 | 2,015,806 | ||||||
Archer-Daniels-Midland Co. | 2,109 | 99,967 | ||||||
Coca-Cola Co./The | 102 | 4,136 | ||||||
Colgate-Palmolive Co. | 310 | 21,495 | ||||||
Constellation Brands, Inc., Class A † | 4,163 | 483,782 | ||||||
Costco Wholesale Corp. | 6,700 | 1,015,017 | ||||||
CVS Health Corp. | 19,800 | 2,043,558 | ||||||
Dr Pepper Snapple Group, Inc. | 5,100 | 400,248 | ||||||
Flowers Foods, Inc. | 1,538 | 34,974 | ||||||
General Mills, Inc. | 150 | 8,490 | ||||||
Hershey Co./The | 95 | 9,586 | ||||||
JM Smucker Co./The | 179 | 20,716 | ||||||
Keurig Green Mountain, Inc. | 2,927 | 327,034 | ||||||
Kroger Co./The | 10,500 | 804,930 | ||||||
Mondelez International, Inc., Class A | 9,635 | 347,727 | ||||||
Monster Beverage Corp. † | 2,300 | 318,308 | ||||||
Nu Skin Enterprises, Inc., Class A | 1,053 | 63,401 | ||||||
PepsiCo, Inc. | 15,900 | 1,520,358 | ||||||
Philip Morris International, Inc. | 37 | 2,787 | ||||||
Pilgrim’s Pride Corp. | 3,191 | 72,085 | ||||||
PriceSmart, Inc. | 417 | 35,437 | ||||||
Procter & Gamble Co./The | 8,500 | 696,490 | ||||||
Reynolds American, Inc. | 9,332 | 643,068 | ||||||
Rite Aid Corp. † | 28,118 | 244,345 | ||||||
Tyson Foods, Inc., Class A | 5,589 | 214,059 | ||||||
Walgreens Boots Alliance, Inc. | 9,835 | 832,828 | ||||||
WhiteWave Foods Co./The † | 2,600 | 115,284 | ||||||
Whole Foods Market, Inc. | 270 | 14,062 | ||||||
|
| |||||||
12,409,978 | ||||||||
|
| |||||||
Energy - 1.9% | ||||||||
Anadarko Petroleum Corp. | 60 | 4,969 | ||||||
Cheniere Energy, Inc. † | 5,410 | 418,734 | ||||||
Chevron Corp. | 66 | 6,929 | ||||||
Cimarex Energy Co. | 1,073 | 123,491 | ||||||
Diamondback Energy, Inc. † | 1,700 | 130,628 | ||||||
Energen Corp. | 1,000 | 66,000 | ||||||
EQT Corp. | 1,200 | 99,444 | ||||||
FMC Technologies, Inc. † | 64 | 2,369 | ||||||
Gulfport Energy Corp. † | 1,449 | 66,523 | ||||||
Helix Energy Solutions Group, Inc. † | 1,805 | 27,003 | ||||||
Helmerich & Payne, Inc. | 1,200 | 81,684 | ||||||
HollyFrontier Corp. | 304 | 12,242 | ||||||
Key Energy Services, Inc. † | 134 | 244 | ||||||
Kinder Morgan, Inc. | 15,500 | 651,930 | ||||||
Oceaneering International, Inc. | 607 | 32,735 | ||||||
ONEOK, Inc. | 1,300 | 62,712 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
65
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Energy - 1.9% (continued) | ||||||||
Phillips 66 | 1,010 | $ | 79,386 | |||||
Rosetta Resources, Inc. † | 40 | 681 | ||||||
Targa Resources Corp. | 1,698 | 162,651 | ||||||
Valero Energy Corp. | 1,450 | 92,249 | ||||||
Williams Cos., Inc./The | 7,169 | 362,680 | ||||||
World Fuel Services Corp. | 52 | 2,989 | ||||||
|
| |||||||
2,488,273 | ||||||||
|
| |||||||
Financials - 14.5% | ||||||||
American Express Co. | 2,697 | 210,690 | ||||||
American Financial Group, Inc. | 1,065 | 68,320 | ||||||
American Tower Corp. REIT | 14,900 | 1,402,835 | ||||||
Ameriprise Financial, Inc. | 1,200 | 157,008 | ||||||
Arch Capital Group Ltd. † | 267 | 16,447 | ||||||
AvalonBay Communities, Inc. REIT | 4,737 | 825,422 | ||||||
BB&T Corp. | 375 | 14,621 | ||||||
Berkshire Hathaway, Inc., Class B † | 25,323 | 3,654,615 | ||||||
Boston Properties, Inc. REIT | 5,439 | 764,071 | ||||||
Brixmor Property Group, Inc. REIT | 2,800 | 74,340 | ||||||
Capital One Financial Corp. | 2,317 | 182,626 | ||||||
CBOE Holdings, Inc. | 1,623 | 93,168 | ||||||
Charles Schwab Corp./The | 4,132 | 125,778 | ||||||
Chubb Corp./The | 190 | 19,209 | ||||||
CME Group, Inc. | 3,213 | 304,303 | ||||||
Comerica, Inc. | 1,500 | 67,695 | ||||||
Crown Castle International Corp. REIT | 380 | 31,365 | ||||||
Digital Realty Trust, Inc. REIT | 3,200 | 211,072 | ||||||
Discover Financial Services | 3,539 | 199,423 | ||||||
E*TRADE Financial Corp. † | 5,200 | 148,486 | ||||||
Equity Residential REIT | 12,900 | 1,004,394 | ||||||
Essex Property Trust, Inc. REIT | 2,600 | 597,740 | ||||||
Extra Space Storage, Inc. REIT | 1,500 | 101,355 | ||||||
Federal Realty Investment Trust REIT | 700 | 103,047 | ||||||
Fifth Third Bancorp | 6,600 | 124,410 | ||||||
First Republic Bank/CA | 1,400 | 79,926 | ||||||
General Growth Properties, Inc. REIT | 11,239 | 332,112 | ||||||
Hartford Financial Services Group, Inc./The | 3,282 | 137,253 | ||||||
HCP, Inc. REIT | 8,400 | 362,964 | ||||||
Health Care REIT, Inc. REIT | 10,400 | 804,544 | ||||||
Huntington Bancshares, Inc. | 10,400 | 114,920 | ||||||
Intercontinental Exchange, Inc. | 600 | 139,962 | ||||||
KeyCorp | 8,100 | 114,696 | ||||||
Lincoln National Corp. | 2,367 | 136,008 | ||||||
LPL Financial Holdings, Inc. | 1,500 | 65,790 | ||||||
McGraw Hill Financial, Inc. | 2,820 | 291,588 | ||||||
Moody’s Corp. | 2,313 | 240,089 | ||||||
Principal Financial Group, Inc. | 1,500 | 77,055 | ||||||
ProAssurance Corp. | 66 | 3,030 | ||||||
Public Storage REIT | 4,317 | 851,053 | ||||||
Realty Income Corp. REIT | 1,500 | 77,400 | ||||||
Retail Properties of America, Inc., Class A REIT | 5,600 | 89,768 | ||||||
Signature Bank † | 600 | 77,748 | ||||||
Simon Property Group, Inc. REIT | 10,700 | 2,093,348 | ||||||
State Street Corp. | 2,150 | 158,090 | ||||||
SunTrust Banks, Inc. | 3,600 | 147,924 | ||||||
SVB Financial Group † | 700 | 88,928 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 263 | 9,250 |
SHARES | VALUE (Note 4) | |||||||
Financials - 14.5% (continued) | ||||||||
Travelers Cos., Inc./The | 1,000 | $ | 108,130 | |||||
UDR, Inc. REIT | 2,100 | 71,463 | ||||||
Urban Edge Properties REIT | 1,550 | 36,735 | ||||||
Ventas, Inc. REIT | 9,029 | 659,298 | ||||||
Vornado Realty Trust REIT | 4,200 | 470,400 | ||||||
Wells Fargo & Co. | 13,200 | 718,080 | ||||||
WP GLIMCHER, Inc. REIT | 47 | 782 | ||||||
|
| |||||||
19,060,774 | ||||||||
|
| |||||||
Health Care - 17.8% | ||||||||
Abbott Laboratories | 8,000 | 370,640 | ||||||
AbbVie, Inc. | 16,247 | 951,099 | ||||||
ACADIA Pharmaceuticals, Inc. † | 3,700 | 120,583 | ||||||
Actavis PLC † | 1,185 | 352,680 | ||||||
Aetna, Inc. | 3,281 | 349,525 | ||||||
Agilent Technologies, Inc. | 1,300 | 54,015 | ||||||
Agios Pharmaceuticals, Inc. † | 1,300 | 122,590 | ||||||
Alexion Pharmaceuticals, Inc. † | 3,280 | 568,424 | ||||||
Align Technology, Inc. † | 1,400 | 75,299 | ||||||
Alnylam Pharmaceuticals, Inc. † | 2,169 | 226,487 | ||||||
AmerisourceBergen Corp. | 1,590 | 180,735 | ||||||
Amgen, Inc. | 10,400 | 1,662,440 | ||||||
Anthem, Inc. | 4,964 | 766,491 | ||||||
Arena Pharmaceuticals, Inc. † | 1,886 | 8,242 | ||||||
athenahealth, Inc. † | 1,017 | 121,420 | ||||||
Biogen, Inc. † | 1,298 | 548,068 | ||||||
BioMarin Pharmaceutical, Inc. † | 771 | 96,082 | ||||||
Boston Scientific Corp. † | 15,571 | 276,385 | ||||||
Bristol-Myers Squibb Co. | 7,279 | 469,495 | ||||||
Cardinal Health, Inc. | 3,661 | 330,478 | ||||||
Celgene Corp. † | 10,030 | 1,156,258 | ||||||
Cepheid † | 1,365 | 77,669 | ||||||
Cerner Corp. † | 787 | 57,656 | ||||||
Cigna Corp. | 2,422 | 313,504 | ||||||
DexCom, Inc. † | 2,200 | 137,148 | ||||||
Edwards Lifesciences Corp. † | 900 | 128,214 | ||||||
Eli Lilly & Co. | 19,000 | 1,380,350 | ||||||
Endo International PLC (Ireland) † | 1,372 | 123,068 | ||||||
Gilead Sciences, Inc. † | 18,287 | 1,794,503 | ||||||
HCA Holdings, Inc. † | 5,440 | 409,251 | ||||||
Humana, Inc. | 2,600 | 462,852 | ||||||
Illumina, Inc. † | 2,631 | 488,419 | ||||||
Incyte Corp. † | 4,491 | 411,645 | ||||||
Intercept Pharmaceuticals, Inc. † | 400 | 112,808 | ||||||
Isis Pharmaceuticals, Inc. † | 3,547 | 225,837 | ||||||
Jazz Pharmaceuticals PLC (Ireland) † | 22 | 3,801 | ||||||
Johnson & Johnson | 9,600 | 965,760 | ||||||
McKesson Corp. | 4,104 | 928,325 | ||||||
Medidata Solutions, Inc. † | 3,410 | 167,226 | ||||||
Medivation, Inc. † | 1,200 | 154,884 | ||||||
Medtronic PLC (Ireland) | 6,510 | 507,715 | ||||||
Merck & Co., Inc. | 19,900 | 1,143,852 | ||||||
Mylan NV † | 4,773 | 283,278 | ||||||
Perrigo Co. PLC (Ireland) | 47 | 7,781 | ||||||
Pfizer, Inc. | 759 | 26,406 | ||||||
Puma Biotechnology, Inc. † | 1,000 | 236,110 | ||||||
Receptos, Inc. † | 800 | 131,912 | ||||||
Regeneron Pharmaceuticals, Inc. † | 1,539 | 694,828 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
66
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 17.8% (continued) | ||||||||
St. Jude Medical, Inc. | 2,465 | $ | 161,211 | |||||
Tenet Healthcare Corp. † | 1,805 | 89,366 | ||||||
Thermo Fisher Scientific, Inc. | 5,346 | 718,182 | ||||||
UnitedHealth Group, Inc. | 15,930 | 1,884,360 | ||||||
Vertex Pharmaceuticals, Inc. † | 2,188 | 258,118 | ||||||
Zoetis, Inc. | 2,000 | 92,580 | ||||||
|
| |||||||
23,386,055 | ||||||||
|
| |||||||
Industrials - 11.7% | ||||||||
3M Co. | 7,500 | 1,237,125 | ||||||
A. O. Smith Corp. | 2,198 | 144,321 | ||||||
Acuity Brands, Inc. | 600 | 100,896 | ||||||
Alaska Air Group, Inc. | 2,312 | 153,008 | ||||||
American Airlines Group, Inc. | 12,300 | 649,194 | ||||||
Avis Budget Group, Inc. † | 4,091 | 241,430 | ||||||
B/E Aerospace, Inc. | 2,772 | 176,355 | ||||||
Chart Industries, Inc. † | 899 | 31,532 | ||||||
CLARCOR, Inc. | 41 | 2,708 | ||||||
Clean Harbors, Inc. † | 45 | 2,555 | ||||||
Colfax Corp. † | 1,100 | 52,503 | ||||||
Copart, Inc. † | 321 | 12,060 | ||||||
Cummins, Inc. | 2,472 | 342,718 | ||||||
Delta Air Lines, Inc. | 19,305 | 867,953 | ||||||
Donaldson Co., Inc. | 84 | 3,168 | ||||||
Dover Corp. | 2,493 | 172,316 | ||||||
Fastenal Co. | 131 | 5,428 | ||||||
FedEx Corp. | 6,737 | 1,114,637 | ||||||
Flowserve Corp. | 986 | 55,699 | ||||||
Fortune Brands Home & Security, Inc. | 3,256 | 154,595 | ||||||
Generac Holdings, Inc. † | 2,125 | 103,466 | ||||||
General Dynamics Corp. | 5,500 | 746,515 | ||||||
Hertz Global Holdings, Inc. † | 2,722 | 59,013 | ||||||
Honeywell International, Inc. | 5,345 | 557,537 | ||||||
Huntington Ingalls Industries, Inc. | 1,500 | 210,225 | ||||||
Illinois Tool Works, Inc. | 871 | 84,609 | ||||||
KLX, Inc. † | 1,386 | 53,416 | ||||||
Lockheed Martin Corp. | 6,291 | 1,276,821 | ||||||
Macquarie Infrastructure Co. LLC | 800 | 65,832 | ||||||
Masco Corp. | 1,831 | 48,888 | ||||||
Middleby Corp./The † | 1,800 | 184,770 | ||||||
Nielsen NV | 2,443 | 108,885 | ||||||
Norfolk Southern Corp. | 3,251 | 334,593 | ||||||
Northrop Grumman Corp. | 5,646 | 908,780 | ||||||
Old Dominion Freight Line, Inc. † | 1,956 | 151,199 | ||||||
Owens Corning | 565 | 24,521 | ||||||
Parker-Hannifin Corp. | 1,500 | 178,170 | ||||||
Raytheon Co. | 6,276 | 685,653 | ||||||
Rockwell Automation, Inc. | 2,600 | 301,574 | ||||||
Rollins, Inc. | 570 | 14,096 | ||||||
SolarCity Corp. † | 2,391 | 122,610 | ||||||
Southwest Airlines Co. | 14,418 | 638,717 | ||||||
Spirit Airlines, Inc. † | 3,636 | 281,281 | ||||||
Swift Transportation Co. † | 5,294 | 137,750 | ||||||
Teledyne Technologies, Inc. † | 41 | 4,376 | ||||||
Textron, Inc. | 2,100 | 93,093 | ||||||
Towers Watson & Co., Class A | 702 | 92,794 | ||||||
Trinity Industries, Inc. | 3,400 | 120,734 | ||||||
Triumph Group, Inc. | 44 | 2,628 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 11.7% (continued) | ||||||||
Union Pacific Corp. | 11,616 | $ | 1,258,129 | |||||
United Continental Holdings, Inc. † | 5,142 | 345,800 | ||||||
United Parcel Service, Inc., Class B | 166 | 16,092 | ||||||
United Rentals, Inc. † | 2,943 | 268,284 | ||||||
USG Corp. † | 586 | 15,646 | ||||||
WABCO Holdings, Inc. † | 800 | 98,304 | ||||||
Wabtec Corp. | 785 | 74,583 | ||||||
Waste Connections, Inc. | 1,237 | 59,549 | ||||||
WESCO International, Inc. † | 423 | 29,563 | ||||||
Xylem, Inc. | 2,200 | 77,044 | ||||||
|
| |||||||
15,355,741 | ||||||||
|
| |||||||
Information Technology - 21.6% | ||||||||
Activision Blizzard, Inc. | 10,763 | 244,589 | ||||||
Adobe Systems, Inc. † | 8,721 | 644,831 | ||||||
Akamai Technologies, Inc. † | 1,700 | 120,777 | ||||||
Alliance Data Systems Corp. † | 903 | 267,514 | ||||||
Apple, Inc. | 70,454 | 8,766,591 | ||||||
Applied Materials, Inc. | 21,557 | 486,326 | ||||||
ARRIS Group, Inc. † | 2,800 | 80,906 | ||||||
Autodesk, Inc. † | 1,500 | 87,960 | ||||||
Automatic Data Processing, Inc. | 1,100 | 94,204 | ||||||
Broadcom Corp., Class A | 2,300 | 99,579 | ||||||
Brocade Communications Systems, Inc. | 7,800 | 92,547 | ||||||
CA, Inc. | 2,700 | 88,047 | ||||||
CDK Global, Inc. | 53 | 2,478 | ||||||
Cisco Systems, Inc. | 41,000 | 1,128,525 | ||||||
Cognizant Technology Solutions Corp., Class A † | 6,000 | 374,340 | ||||||
Corning, Inc. | 17,100 | 387,828 | ||||||
CoStar Group, Inc. † | 500 | 98,915 | ||||||
Cree, Inc. † | 1,478 | 52,454 | ||||||
eBay, Inc. † | 698 | 40,261 | ||||||
Electronic Arts, Inc. † | 4,698 | 276,313 | ||||||
F5 Networks, Inc. † | 1,500 | 172,410 | ||||||
Facebook, Inc., Class A † | 22,759 | 1,871,131 | ||||||
FleetCor Technologies, Inc. † | 1,395 | 210,533 | ||||||
Google, Inc., Class A † | 134 | 74,330 | ||||||
Guidewire Software, Inc. † | 1,984 | 104,378 | ||||||
Hewlett-Packard Co. | 25,080 | 781,493 | ||||||
Intel Corp. | 56,248 | 1,758,875 | ||||||
International Business Machines Corp. | 24 | 3,852 | ||||||
Intuit, Inc. | 1,200 | 116,352 | ||||||
Jack Henry & Associates, Inc. | 963 | 67,304 | ||||||
Juniper Networks, Inc. | 7,300 | 164,834 | ||||||
Marvell Technology Group Ltd. | 6,200 | 91,140 | ||||||
MasterCard, Inc., Class A | 3,490 | 301,501 | ||||||
Micron Technology, Inc. † | 16,673 | 452,339 | ||||||
Microsoft Corp. | 58,050 | 2,360,023 | ||||||
Motorola Solutions, Inc. | 138 | 9,201 | ||||||
NCR Corp. † | 1,190 | 35,117 | ||||||
NetSuite, Inc. † | 656 | 60,851 | ||||||
NeuStar, Inc., Class A † | 661 | 16,274 | ||||||
Nuance Communications, Inc. † | 155 | 2,224 | ||||||
NVIDIA Corp. | 8,300 | 173,678 | ||||||
Palo Alto Networks, Inc. † | 1,300 | 189,904 | ||||||
Qlik Technologies, Inc. † | 1,202 | 37,418 | ||||||
Qorvo, Inc. † | 1,000 | 79,700 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
67
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 21.6% (continued) | ||||||||
salesforce.com, Inc. † | 2,615 | $ | 174,708 | |||||
SanDisk Corp. | 4,597 | 292,461 | ||||||
ServiceNow, Inc. † | 4,695 | 369,872 | ||||||
Shutterstock, Inc. † | 1,000 | 68,670 | ||||||
Skyworks Solutions, Inc. | 6,300 | 619,227 | ||||||
Splunk, Inc. † | 1,512 | 89,510 | ||||||
SS&C Technologies Holdings, Inc. | 1,261 | 78,560 | ||||||
SunEdison, Inc. † | 11,081 | 265,944 | ||||||
SunPower Corp. † | 3,373 | 105,609 | ||||||
Symantec Corp. | 2,719 | 63,529 | ||||||
Teradata Corp. † | 80 | 3,531 | ||||||
Texas Instruments, Inc. | 15,895 | 908,956 | ||||||
Total System Services, Inc. | 2,043 | 77,940 | ||||||
Ubiquiti Networks, Inc. | 2,913 | 86,079 | ||||||
Universal Display Corp. † | 41 | 1,917 | ||||||
Visa, Inc., Class A | 9,140 | 597,847 | ||||||
VMware, Inc., Class A † | 2,940 | 241,109 | ||||||
Western Digital Corp. | 5,433 | 494,457 | ||||||
Workday, Inc., Class A † | 2,678 | 226,050 | ||||||
Xerox Corp. | 11,832 | 152,041 | ||||||
Xilinx, Inc. | 2,840 | 120,132 | ||||||
Yahoo!, Inc. † | 11,628 | 516,690 | ||||||
Yelp, Inc. † | 1,260 | 59,661 | ||||||
Zillow Group, Inc., Class A † | 1,435 | 143,931 | ||||||
|
| |||||||
28,328,278 | ||||||||
|
| |||||||
Materials - 1.9% | ||||||||
Air Products & Chemicals, Inc. | 1,700 | 257,176 | ||||||
Airgas, Inc. | 30 | 3,183 | ||||||
Alcoa, Inc. | 18,300 | 236,436 | ||||||
Axiall Corp. | 400 | 18,776 | ||||||
Ball Corp. | 1,400 | 98,896 | ||||||
Dow Chemical Co./The | 5,800 | 278,284 | ||||||
Ecolab, Inc. | 2,147 | 245,574 | ||||||
EI du Pont de Nemours & Co. | 6,900 | 493,143 | ||||||
Newmont Mining Corp. | 60 | 1,303 | ||||||
PPG Industries, Inc. | 1,913 | 431,458 | ||||||
Praxair, Inc. | 34 | 4,105 | ||||||
Royal Gold, Inc. | 2,500 | 157,775 | ||||||
Sherwin-Williams Co./The | 470 | 133,715 | ||||||
Westlake Chemical Corp. | 1,100 | 79,134 | ||||||
WR Grace & Co. † | 480 | 47,458 | ||||||
|
| |||||||
2,486,416 | ||||||||
|
| |||||||
Telecommunication Services - 0.1% | ||||||||
Level 3 Communications, Inc. † | 3,900 | 209,976 | ||||||
|
| |||||||
Utilities - 4.9% | ||||||||
American Electric Power Co., Inc. | 14,200 | 798,750 | ||||||
American Water Works Co., Inc. | 1,300 | 70,473 | ||||||
CenterPoint Energy, Inc. | 247 | 5,041 | ||||||
CMS Energy Corp. | 2,100 | 73,311 | ||||||
Consolidated Edison, Inc. | 4,920 | 300,120 | ||||||
Dominion Resources, Inc. | 205 | 14,528 | ||||||
DTE Energy Co. | 3,287 | 265,228 | ||||||
Duke Energy Corp. | 16,900 | 1,297,582 | ||||||
Edison International | 9,500 | 593,465 | ||||||
Entergy Corp. | 3,300 | 255,717 |
SHARES | VALUE (Note 4) | |||||||
Utilities - 4.9% (continued) | ||||||||
Exelon Corp. | 3,100 | $ | 104,191 | |||||
NextEra Energy, Inc. | 11,100 | 1,154,955 | ||||||
PG&E Corp. | 9,400 | 498,858 | ||||||
Public Service Enterprise Group, Inc. | 7,400 | 310,208 | ||||||
Questar Corp. | 410 | 9,783 | ||||||
Sempra Energy | 4,100 | 446,982 | ||||||
WGL Holdings, Inc. | 68 | 3,835 | ||||||
Xcel Energy, Inc. | 5,700 | 198,417 | ||||||
|
| |||||||
6,401,444 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 127,411,419 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 4.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) (cost $6,244,548) | 6,244,548 | 6,244,548 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 133,655,967 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.7%) (b) | (2,281,295) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 131,374,672 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
68
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
25 | Goldman Sachs | S&P 500 E-Mini Futures | 6/2015 | $ | 2,564,396 | $ | 2,576,000 | $ | 11,604 | |||||||||
|
|
|
|
|
|
Cash held as collateral at Goldman Sachs for futures contracts was $85,488 at March 31, 2015.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
69
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
COMMON STOCKS - 96.8% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 14.5% | ||||||||
1-800-Flowers.com, Inc., Class A † | 2,400 | $ | 28,392 | |||||
A. H. Belo Corp., Class A | 1,400 | 11,522 | ||||||
AMC Entertainment Holdings, Inc., Class A | 1,200 | 42,588 | ||||||
American Public Education, Inc. † | 58 | 1,739 | ||||||
America’s Car-Mart, Inc. † | 200 | 10,850 | ||||||
Arctic Cat, Inc. | 166 | 6,029 | ||||||
Asbury Automotive Group, Inc. †(a) | 376 | 31,246 | ||||||
Ascent Capital Group, Inc., Class A † | 63 | 2,508 | ||||||
Barnes & Noble, Inc. † | 1,300 | 30,875 | ||||||
bebe stores, Inc. | 1,766 | 6,411 | ||||||
Big 5 Sporting Goods Corp. | 448 | 5,945 | ||||||
Big Lots, Inc. | 1,100 | 52,833 | ||||||
BJ’s Restaurants, Inc. † | 600 | 30,270 | ||||||
Black Diamond, Inc. † | 1,082 | 10,225 | ||||||
Bob Evans Farms, Inc. | 192 | 8,882 | ||||||
Bon-Ton Stores, Inc./The | 43 | 299 | ||||||
Bright Horizons Family Solutions, Inc. †(a) | 300 | 15,381 | ||||||
Brown Shoe Co., Inc. (a) | 931 | 30,537 | ||||||
Brunswick Corp. | 116 | 5,968 | ||||||
Buckle, Inc./The | 400 | 20,436 | ||||||
Build-A-Bear Workshop, Inc. ��� | 1,000 | 19,650 | ||||||
Burlington Stores, Inc. † | 400 | 23,768 | ||||||
Cabela’s, Inc. † | 102 | 5,710 | ||||||
Capella Education Co. | 200 | 12,976 | ||||||
Career Education Corp. † | 2,400 | 12,072 | ||||||
Carriage Services, Inc. | 552 | 13,176 | ||||||
Cato Corp./The, Class A | 400 | 15,840 | ||||||
Christopher & Banks Corp. † | 2,079 | 11,559 | ||||||
Citi Trends, Inc. † | 600 | 16,200 | ||||||
ClubCorp Holdings, Inc. | 1,100 | 21,296 | ||||||
Columbia Sportswear Co. | 800 | 48,720 | ||||||
Cooper-Standard Holding, Inc. † | 400 | 23,680 | ||||||
Core-Mark Holding Co., Inc. | 1,000 | 64,320 | ||||||
Cracker Barrel Old Country Store, Inc. | 163 | 24,799 | ||||||
CST Brands, Inc. (a) | 500 | 21,915 | ||||||
Deckers Outdoor Corp. † | 63 | 4,591 | ||||||
Del Frisco’s Restaurant Group, Inc. †(a) | 700 | 14,105 | ||||||
Denny’s Corp. † | 2,000 | 22,800 | ||||||
DeVry Education Group, Inc. | 300 | 10,008 | ||||||
Dex Media, Inc. † | 1,306 | 5,472 | ||||||
Diamond Resorts International, Inc. † | 1,700 | 56,831 | ||||||
DineEquity, Inc. | 299 | 31,996 | ||||||
Dixie Group, Inc./The †(a) | 1,002 | 9,068 | ||||||
Domino’s Pizza, Inc. | 176 | 17,697 | ||||||
Drew Industries, Inc. | 234 | 14,400 | ||||||
Empire Resorts, Inc. † | 2,800 | 12,880 | ||||||
Entravision Communications Corp., Class A | 2,467 | 15,616 | ||||||
EVINE Live, Inc. † | 1,892 | 12,695 | ||||||
EW Scripps Co./The, Class A † | 758 | 21,558 | ||||||
Famous Dave’s of America, Inc. † | 500 | 14,250 | ||||||
Federal-Mogul Holdings Corp. † | 963 | 12,818 | ||||||
Fiesta Restaurant Group, Inc. †(a) | 682 | 41,602 | ||||||
Finish Line, Inc./The, Class A | 838 | 20,548 | ||||||
FTD Cos., Inc. † | 500 | 14,970 | ||||||
Gentherm, Inc. † | 1,057 | 53,389 | ||||||
G-III Apparel Group Ltd. † | 439 | 49,453 | ||||||
Grand Canyon Education, Inc. † | 538 | 23,295 |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 14.5% (continued) | ||||||||
Gray Television, Inc. † | 2,135 | $ | 29,506 | |||||
Group 1 Automotive, Inc. | 200 | 17,266 | ||||||
Helen of Troy Ltd. † | 700 | 57,043 | ||||||
hhgregg, Inc. †(a) | 328 | 2,011 | ||||||
Hibbett Sports, Inc. † | 72 | 3,532 | ||||||
Houghton Mifflin Harcourt Co. † | 1,300 | 30,524 | ||||||
Hovnanian Enterprises, Inc., Class A †(a) | 770 | 2,741 | ||||||
Iconix Brand Group, Inc. † | 530 | 17,845 | ||||||
Jack in the Box, Inc. | 1,505 | 144,360 | ||||||
Kirkland’s, Inc. † | 900 | 21,375 | ||||||
Kona Grill, Inc. † | 1,400 | 39,788 | ||||||
Krispy Kreme Doughnuts, Inc. † | 925 | 18,491 | ||||||
La-Z-Boy, Inc. | 430 | 12,087 | ||||||
Lee Enterprises, Inc. † | 3,351 | 10,623 | ||||||
Libbey, Inc. | 400 | 15,964 | ||||||
Life Time Fitness, Inc. †(a) | 500 | 35,480 | ||||||
LifeLock, Inc. † | 964 | 13,602 | ||||||
Lithia Motors, Inc., Class A | 369 | 36,682 | ||||||
Loral Space & Communications, Inc. † | 167 | 11,429 | ||||||
Lumber Liquidators Holdings, Inc. †(a) | 61 | 1,878 | ||||||
M/I Homes, Inc. †(a) | 386 | 9,202 | ||||||
Marriott Vacations Worldwide Corp. | 1,109 | 89,884 | ||||||
Mattress Firm Holding Corp. † | 1,000 | 69,640 | ||||||
McClatchy Co./The, Class A † | 4,100 | 7,544 | ||||||
MDC Holdings, Inc. | 97 | 2,764 | ||||||
MDC Partners, Inc., Class A | 610 | 17,293 | ||||||
Meredith Corp. | 300 | 16,731 | ||||||
Modine Manufacturing Co. † | 900 | 12,123 | ||||||
Monro Muffler Brake, Inc. | 414 | 26,931 | ||||||
Motorcar Parts of America, Inc. † | 1,306 | 36,294 | ||||||
Movado Group, Inc. | 246 | 7,016 | ||||||
Murphy USA, Inc. † | 1,700 | 123,029 | ||||||
NACCO Industries, Inc., Class A | 143 | 7,578 | ||||||
Nathan’s Famous, Inc. | 300 | 16,245 | ||||||
Nautilus, Inc. † | 1,157 | 17,667 | ||||||
New Media Investment Group, Inc. | 400 | 9,572 | ||||||
Nexstar Broadcasting Group, Inc., Class A | 356 | 20,370 | ||||||
Nutrisystem, Inc. | 1,800 | 35,964 | ||||||
Overstock.com, Inc. † | 485 | 11,747 | ||||||
Papa John’s International, Inc. | 1,424 | 88,017 | ||||||
Penske Automotive Group, Inc. | 131 | 6,745 | ||||||
Pier 1 Imports, Inc. | 221 | 3,090 | ||||||
Pool Corp. | 699 | 48,762 | ||||||
Popeyes Louisiana Kitchen, Inc. † | 873 | 52,223 | ||||||
Rave Restaurant Group, Inc. † | 700 | 9,772 | ||||||
Red Robin Gourmet Burgers, Inc. † | 219 | 19,053 | ||||||
Rent-A-Center, Inc. | 400 | 10,976 | ||||||
Rentrak Corp. †(a) | 300 | 16,668 | ||||||
Restoration Hardware Holdings, Inc. † | 100 | 9,919 | ||||||
Ruth’s Hospitality Group, Inc. | 972 | 15,435 | ||||||
Select Comfort Corp. † | 1,200 | 41,364 | ||||||
Shiloh Industries, Inc. †(a) | 800 | 11,232 | ||||||
Sinclair Broadcast Group, Inc., Class A | 303 | 9,517 | ||||||
Skechers U.S.A., Inc., Class A † | 572 | 41,133 | ||||||
Skullcandy, Inc. † | 900 | 10,170 | ||||||
Sonic Corp. | 1,127 | 35,726 | ||||||
Stage Stores, Inc. | 611 | 14,004 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
70
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Consumer Discretionary - 14.5% (continued) | ||||||||
Standard Motor Products, Inc. | 641 | $ | 27,089 | |||||
Standard Pacific Corp. † | 722 | 6,498 | ||||||
Stein Mart, Inc. (a) | 947 | 11,790 | ||||||
Steven Madden Ltd. † | 163 | 6,194 | ||||||
Strattec Security Corp. (a) | 300 | 22,152 | ||||||
Texas Roadhouse, Inc. | 2,000 | 72,860 | ||||||
Thor Industries, Inc. (a) | 190 | 12,010 | ||||||
Tilly’s, Inc., A Shares † | 600 | 9,390 | ||||||
Tower International, Inc. † | 753 | 20,030 | ||||||
Tuesday Morning Corp. † | 1,155 | 18,596 | ||||||
Universal Electronics, Inc. † | 400 | 22,576 | ||||||
VOXX International Corp. † | 901 | 8,253 | ||||||
World Wrestling Entertainment, Inc., Class A (a) | 700 | 9,807 | ||||||
YOU On Demand Holdings, Inc. †(a) | 3,000 | 6,390 | ||||||
Zumiez, Inc. † | 700 | 28,175 | ||||||
|
| |||||||
2,954,096 | ||||||||
|
| |||||||
Consumer Staples - 3.7% | ||||||||
Andersons, Inc./The | 466 | 19,278 | ||||||
B&G Foods, Inc. (a) | 336 | 9,888 | ||||||
Boston Beer Co., Inc./The, Class A †(a) | 72 | 19,253 | ||||||
Calavo Growers, Inc. | 300 | 15,426 | ||||||
Cal-Maine Foods, Inc. (a) | 1,802 | 70,386 | ||||||
Chefs’ Warehouse, Inc./The † | 400 | 8,972 | ||||||
Coca-Cola Bottling Co. Consolidated | 100 | 11,306 | ||||||
Craft Brew Alliance, Inc. † | 2,106 | 28,726 | ||||||
Diamond Foods, Inc. † | 500 | 16,285 | ||||||
Fresh Del Monte Produce, Inc. (a) | 1,300 | 50,583 | ||||||
Fresh Market, Inc./The † | 200 | 8,128 | ||||||
Hain Celestial Group, Inc./The † | 160 | 10,248 | ||||||
HRG Group, Inc. † | 3,776 | 47,124 | ||||||
Ingles Markets, Inc., Class A | 500 | 24,740 | ||||||
J&J Snack Foods Corp. (a) | 384 | 40,973 | ||||||
John B. Sanfilippo & Son, Inc. | 300 | 12,930 | ||||||
Lancaster Colony Corp. | 40 | 3,807 | ||||||
Liberator Medical Holdings, Inc. (a) | 5,100 | 17,850 | ||||||
Lifevantage Corp. † | 1,907 | 1,507 | ||||||
Revlon, Inc., Class A † | 830 | 34,196 | ||||||
Rite Aid Corp. † | 1,984 | 17,241 | ||||||
Sanderson Farms, Inc. | 800 | 63,720 | ||||||
SpartanNash Co. | 755 | 23,828 | ||||||
SUPERVALU, Inc. † | 3,800 | 44,194 | ||||||
Universal Corp. | 72 | 3,396 | ||||||
USANA Health Sciences, Inc. † | 300 | 33,336 | ||||||
Vector Group Ltd. (a) | 4,325 | 95,020 | ||||||
WD-40 Co. (a) | 200 | 17,708 | ||||||
Weis Markets, Inc. | 80 | 3,981 | ||||||
|
| |||||||
754,030 | ||||||||
|
| |||||||
Energy - 1.6% | ||||||||
Abraxas Petroleum Corp. † | 3,000 | 9,750 | ||||||
Alon USA Energy, Inc. | 841 | 13,935 | ||||||
Bristow Group, Inc. | 51 | 2,777 | ||||||
Cheniere Energy, Inc. † | 88 | 6,811 | ||||||
Delek US Holdings, Inc. | 600 | 23,850 | ||||||
DHT Holdings, Inc. | 1,300 | 9,074 | ||||||
Enbridge Energy Management LLC | 710 | 25,830 |
SHARES | VALUE (Note 4) | |||||||
Energy - 1.6% (continued) | ||||||||
Green Plains, Inc. | 916 | $ | 26,152 | |||||
Gulf Island Fabrication, Inc. | 61 | 906 | ||||||
Matador Resources Co. † | 393 | 8,615 | ||||||
Matrix Service Co. † | 700 | 12,292 | ||||||
Natural Gas Services Group, Inc. † | 400 | 7,688 | ||||||
Newpark Resources, Inc. † | 1,331 | 12,125 | ||||||
Pacific Ethanol, Inc. †(a) | 900 | 9,711 | ||||||
PDC Energy, Inc. † | 72 | 3,891 | ||||||
REX American Resources Corp. †(a) | 300 | 18,243 | ||||||
RigNet, Inc. †(a) | 751 | 21,471 | ||||||
Ship Finance International Ltd. (Norway) (a) | 1,000 | 14,800 | ||||||
Synergy Resources Corp. † | 2,062 | 24,435 | ||||||
Tesco Corp. | 1,131 | 12,860 | ||||||
US Energy Corp. Wyoming †(a) | 1,800 | 2,034 | ||||||
Vertex Energy, Inc. †(a) | 3,900 | 14,430 | ||||||
Western Refining, Inc. | 170 | 8,396 | ||||||
Westmoreland Coal Co. † | 1,100 | 29,436 | ||||||
|
| |||||||
319,512 | ||||||||
|
| |||||||
Financials - 22.3% | ||||||||
Acadia Realty Trust REIT | 1,600 | 55,808 | ||||||
Actua Corp. † | 900 | 13,941 | ||||||
American Assets Trust, Inc. REIT | 1,500 | 64,920 | ||||||
American Equity Investment Life Holding Co. | 641 | 18,672 | ||||||
Ameris Bancorp | 1,531 | 40,403 | ||||||
AMERISAFE, Inc. | 315 | 14,569 | ||||||
AmTrust Financial Services, Inc. (a) | 242 | 13,790 | ||||||
Argo Group International Holdings Ltd. | 600 | 30,090 | ||||||
Ashford Hospitality Trust, Inc. REIT | 1,500 | 14,430 | ||||||
Ashford, Inc. † | 17 | 2,019 | ||||||
Aspen Insurance Holdings Ltd. | 1,200 | 56,676 | ||||||
Associated Estates Realty Corp. REIT | 1,800 | 44,424 | ||||||
Astoria Financial Corp. | 1,400 | 18,130 | ||||||
Bank of the Ozarks, Inc. | 626 | 23,118 | ||||||
Banner Corp. (a) | 212 | 9,731 | ||||||
BBCN Bancorp, Inc. | 497 | 7,192 | ||||||
BGC Partners, Inc., Class A | 6,967 | 65,838 | ||||||
BNC Bancorp | 800 | 14,480 | ||||||
BofI Holding, Inc. † | 488 | 45,404 | ||||||
Boston Private Financial Holdings, Inc. | 1,225 | 14,884 | ||||||
Brandywine Realty Trust REIT | 1,900 | 30,362 | ||||||
Bridge Capital Holdings †(a) | 100 | 2,611 | ||||||
Capital Bank Financial Corp., Class A †(a) | 1,800 | 49,698 | ||||||
Cedar Realty Trust, Inc. REIT | 1,989 | 14,898 | ||||||
Chambers Street Properties REIT | 1,700 | 13,396 | ||||||
Chatham Lodging Trust REIT | 1,800 | 52,938 | ||||||
Chesapeake Lodging Trust REIT | 2,200 | 74,426 | ||||||
CNO Financial Group, Inc. | 725 | 12,484 | ||||||
Community Trust Bancorp, Inc. | 93 | 3,084 | ||||||
ConnectOne Bancorp, Inc. | 900 | 17,514 | ||||||
CoreSite Realty Corp. REIT (a) | 700 | 34,076 | ||||||
Corporate Office Properties Trust REIT (a) | 1,700 | 49,946 | ||||||
Cousins Properties, Inc. REIT (a) | 2,700 | 28,620 | ||||||
Credit Acceptance Corp. † | 100 | 19,500 | ||||||
CubeSmart REIT | 2,392 | 57,767 | ||||||
CVB Financial Corp. | 1,182 | 18,841 | ||||||
CyrusOne, Inc. REIT | 1,700 | 52,904 | ||||||
DCT Industrial Trust, Inc. REIT | 3,050 | 105,713 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
71
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 22.3% (continued) | ||||||||
DiamondRock Hospitality Co. REIT (a) | 4,100 | $ | 57,933 | |||||
DuPont Fabros Technology, Inc. REIT | 3,000 | 98,040 | ||||||
Eagle Bancorp, Inc. † | 980 | 37,632 | ||||||
EastGroup Properties, Inc. REIT | 400 | 24,056 | ||||||
Education Realty Trust, Inc. REIT | 2,332 | 82,506 | ||||||
eHealth, Inc. †(a) | 349 | 3,274 | ||||||
Empire State Realty Trust, Inc. REIT | 2,100 | 39,501 | ||||||
Encore Capital Group, Inc. †(a) | 166 | 6,904 | ||||||
Endurance Specialty Holdings Ltd. | 1,300 | 79,482 | ||||||
Enstar Group Ltd. † | 155 | 21,988 | ||||||
Essent Group Ltd. † | 600 | 14,346 | ||||||
EverBank Financial Corp. | 2,100 | 37,863 | ||||||
Excel Trust, Inc. REIT | 700 | 9,814 | ||||||
FBL Financial Group, Inc., Class A | 241 | 14,944 | ||||||
FBR & Co. † | 566 | 13,080 | ||||||
Federal Agricultural Mortgage Corp., Class C | 183 | 5,159 | ||||||
Federated National Holding Co. | 1,900 | 58,140 | ||||||
FelCor Lodging Trust, Inc. REIT | 3,003 | 34,504 | ||||||
Fidelity Southern Corp. | 456 | 7,697 | ||||||
Fidus Investment Corp. | 666 | 10,236 | ||||||
First Business Financial Services, Inc. | 200 | 8,648 | ||||||
First Cash Financial Services, Inc. † | 128 | 5,955 | ||||||
First Interstate BancSystem, Inc. (a) | 2,425 | 67,463 | ||||||
Gain Capital Holdings, Inc. | 1,483 | 14,489 | ||||||
GAMCO Investors, Inc., Class A | 344 | 27,007 | ||||||
GEO Group, Inc./The REIT | 1,257 | 54,981 | ||||||
Glacier Bancorp, Inc. (a) | 374 | 9,406 | ||||||
Gladstone Commercial Corp. REIT | 800 | 14,888 | ||||||
Gramercy Property Trust, Inc. REIT (a) | 425 | 11,930 | ||||||
Greenlight Capital Re Ltd., Class A † | 400 | 12,720 | ||||||
GSV Capital Corp. †(a) | 936 | 9,173 | ||||||
Hanmi Financial Corp. | 1,300 | 27,495 | ||||||
Hanover Insurance Group, Inc./The | 200 | 14,516 | ||||||
HCI Group, Inc. | 313 | 14,357 | ||||||
Healthcare Realty Trust, Inc. REIT | 2,700 | 75,006 | ||||||
Hersha Hospitality Trust REIT | 6,200 | 40,114 | ||||||
HFF, Inc., Class A | 1,079 | 40,506 | ||||||
Hilltop Holdings, Inc. † | 800 | 15,552 | ||||||
Home BancShares, Inc. | 597 | 20,232 | ||||||
HomeStreet, Inc. † | 265 | 4,855 | ||||||
Hudson Pacific Properties, Inc. REIT | 2,200 | 73,018 | ||||||
Independent Bank Corp. | 1,043 | 13,382 | ||||||
Independent Bank Group, Inc. | 300 | 11,673 | ||||||
Interactive Brokers Group, Inc., Class A (a) | 2,900 | 98,658 | ||||||
International Bancshares Corp. (a) | 362 | 9,423 | ||||||
Investors Bancorp, Inc. | 742 | 8,696 | ||||||
Janus Capital Group, Inc. | 800 | 13,752 | ||||||
Kemper Corp. | 236 | 9,195 | ||||||
Kennedy-Wilson Holdings, Inc. | 1,600 | 41,824 | ||||||
Ladder Capital Corp. REIT † | 500 | 9,255 | ||||||
Ladenburg Thalmann Financial Services, Inc. † | 5,000 | 19,300 | ||||||
Lakeland Financial Corp. | 500 | 20,290 | ||||||
LegacyTexas Financial Group, Inc. | 492 | 11,183 | ||||||
LendingTree, Inc. †(a) | 452 | 25,317 | ||||||
Maiden Holdings Ltd. (a) | 1,054 | 15,631 |
SHARES | VALUE (Note 4) | |||||||
Financials - 22.3% (continued) | ||||||||
Main Street Capital Corp. | 317 | $ | 9,795 | |||||
Marcus & Millichap, Inc. † | 900 | 33,732 | ||||||
MarketAxess Holdings, Inc. | 370 | 30,673 | ||||||
Meta Financial Group, Inc. | 618 | 24,553 | ||||||
Montpelier Re Holdings Ltd. | 1,100 | 42,284 | ||||||
National Health Investors, Inc. REIT | 800 | 56,808 | ||||||
National Penn Bancshares, Inc. | 380 | 4,093 | ||||||
Navigators Group, Inc./The † | 200 | 15,568 | ||||||
Nelnet, Inc., Class A | 400 | 18,928 | ||||||
New Mountain Finance Corp. | 1,400 | 20,440 | ||||||
Old National Bancorp/IN (a) | 280 | 3,973 | ||||||
OneBeacon Insurance Group Ltd., Class A | 661 | 10,054 | ||||||
Oritani Financial Corp. (a) | 260 | 3,783 | ||||||
Pacific Premier Bancorp, Inc. † | 458 | 7,415 | ||||||
Pebblebrook Hotel Trust REIT | 2,300 | 107,111 | ||||||
Physicians Realty Trust REIT | 3,300 | 58,113 | ||||||
Pinnacle Financial Partners, Inc. (a) | 881 | 39,169 | ||||||
PRA Group, Inc. † | 36 | 1,956 | ||||||
Primerica, Inc. | 1,657 | 84,341 | ||||||
PrivateBancorp, Inc. | 981 | 34,502 | ||||||
PS Business Parks, Inc. REIT | 200 | 16,608 | ||||||
Pzena Investment Management, Inc., Class A | 1,000 | 9,170 | ||||||
QTS Realty Trust, Inc. REIT | 800 | 29,128 | ||||||
Ramco-Gershenson Properties Trust REIT | 1,967 | 36,586 | ||||||
RE/MAX Holdings, Inc., Class A | 300 | 9,963 | ||||||
Retail Opportunity Investments Corp. REIT | 2,000 | 36,600 | ||||||
Rexford Industrial Realty, Inc. REIT | 600 | 9,486 | ||||||
Ryman Hospitality Properties, Inc. REIT | 2,700 | 164,457 | ||||||
Sabra Health Care REIT, Inc. | 393 | 13,028 | ||||||
Select Income REIT | 1,200 | 29,988 | ||||||
Selective Insurance Group, Inc. | 415 | 12,056 | ||||||
Simmons First National Corp., Class A | 600 | 27,282 | ||||||
Southside Bancshares, Inc. (a) | 800 | 22,952 | ||||||
Sovran Self Storage, Inc. REIT | 910 | 85,485 | ||||||
STAG Industrial, Inc. REIT | 3,099 | 72,888 | ||||||
StanCorp Financial Group, Inc. | 586 | 40,200 | ||||||
Strategic Hotels & Resorts, Inc. REIT † | 1,142 | 14,195 | ||||||
Summit Hotel Properties, Inc. REIT | 1,200 | 16,884 | ||||||
Sun Communities, Inc. REIT | 2,300 | 153,456 | ||||||
Symetra Financial Corp. | 2,028 | 47,577 | ||||||
Terreno Realty Corp. REIT | 700 | 15,960 | ||||||
Triangle Capital Corp. (a) | 324 | 7,390 | ||||||
UMB Financial Corp. (a) | 34 | 1,798 | ||||||
United Community Banks, Inc. | 800 | 15,104 | ||||||
United Financial Bancorp, Inc. | 141 | 1,753 | ||||||
United Insurance Holdings Corp. (a) | 2,600 | 58,500 | ||||||
Universal Health Realty Income Trust REIT | 200 | 11,250 | ||||||
Universal Insurance Holdings, Inc. (a) | 1,100 | 28,149 | ||||||
Virtus Investment Partners, Inc. | 49 | 6,408 | ||||||
Washington Real Estate Investment Trust REIT (a) | 1,800 | 49,734 | ||||||
Waterstone Financial, Inc. (a) | 2,000 | 25,680 | ||||||
WesBanco, Inc. | 352 | 11,468 | ||||||
Western Alliance Bancorp † | 2,023 | 59,962 | ||||||
Whitestone REIT | 600 | 9,528 | ||||||
Wilshire Bancorp, Inc. | 1,800 | 17,946 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
72
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Financials - 22.3% (continued) | ||||||||
Winthrop Realty Trust REIT | 800 | $ | 13,056 | |||||
WisdomTree Investments, Inc. | 800 | 17,168 | ||||||
World Acceptance Corp. †(a) | 66 | 4,813 | ||||||
|
| |||||||
4,545,233 | ||||||||
|
| |||||||
Health Care - 19.2% | ||||||||
AAC Holdings, Inc. † | 300 | 9,174 | ||||||
Abaxis, Inc. (a) | 657 | 42,120 | ||||||
ABIOMED, Inc. † | 935 | 66,927 | ||||||
Acadia Healthcare Co., Inc. †(a) | 620 | 44,392 | ||||||
ACADIA Pharmaceuticals, Inc. †(a) | 274 | 8,930 | ||||||
Accelerate Diagnostics, Inc. †(a) | 2,039 | 45,877 | ||||||
Acceleron Pharma, Inc. † | 500 | 19,030 | ||||||
Accuray, Inc. †(a) | 1,300 | 12,090 | ||||||
Aceto Corp. (a) | 1,044 | 22,968 | ||||||
Achillion Pharmaceuticals, Inc. † | 2,600 | 25,636 | ||||||
Acorda Therapeutics, Inc. † | 309 | 10,284 | ||||||
Addus HomeCare Corp. † | 1,100 | 25,322 | ||||||
Advaxis, Inc. † | 900 | 12,996 | ||||||
Aerie Pharmaceuticals, Inc. † | 800 | 25,072 | ||||||
Affymetrix, Inc. †(a) | 1,156 | 14,519 | ||||||
Agios Pharmaceuticals, Inc. † | 200 | 18,860 | ||||||
Air Methods Corp. † | 300 | 13,977 | ||||||
Akorn, Inc. † | 466 | 22,140 | ||||||
Albany Molecular Research, Inc. †(a) | 622 | 10,947 | ||||||
Align Technology, Inc. † | 105 | 5,647 | ||||||
Alimera Sciences, Inc. †(a) | 2,200 | 11,022 | ||||||
Alkermes PLC (Ireland) † | 155 | 9,450 | ||||||
Alliance HealthCare Services, Inc. † | 453 | 10,048 | ||||||
AMAG Pharmaceuticals, Inc. †(a) | 1,000 | 54,660 | ||||||
Amedisys, Inc. † | 400 | 10,712 | ||||||
Amicus Therapeutics, Inc. † | 2,700 | 29,376 | ||||||
AMN Healthcare Services, Inc. † | 743 | 17,141 | ||||||
Amsurg Corp. †(a) | 500 | 30,760 | ||||||
Anacor Pharmaceuticals, Inc. † | 1,230 | 71,155 | ||||||
Analogic Corp. | 62 | 5,636 | ||||||
ANI Pharmaceuticals, Inc. †(a) | 400 | 25,020 | ||||||
Anika Therapeutics, Inc. †(a) | 794 | 32,689 | ||||||
Antares Pharma, Inc. †(a) | 931 | 2,523 | ||||||
Arena Pharmaceuticals, Inc. †(a) | 475 | 2,076 | ||||||
ARIAD Pharmaceuticals, Inc. † | 200 | 1,648 | ||||||
Array BioPharma, Inc. †(a) | 1,518 | 11,188 | ||||||
AtriCure, Inc. †(a) | 800 | 16,392 | ||||||
Auspex Pharmaceuticals, Inc. † | 300 | 30,081 | ||||||
BioCryst Pharmaceuticals, Inc. †(a) | 1,562 | 14,105 | ||||||
BioDelivery Sciences International, Inc. † | 2,100 | 22,050 | ||||||
Bio-Reference Laboratories, Inc. †(a) | 714 | 25,161 | ||||||
BioScrip, Inc. † | 757 | 3,354 | ||||||
BioTelemetry, Inc. † | 1,700 | 15,045 | ||||||
Bluebird Bio, Inc. † | 300 | 36,231 | ||||||
Cambrex Corp. † | 1,200 | 47,556 | ||||||
Cantel Medical Corp. (a) | 420 | 19,950 | ||||||
Capital Senior Living Corp. † | 432 | 11,206 | ||||||
Cardiovascular Systems, Inc. † | 380 | 14,835 | ||||||
Catalyst Pharmaceutical Partners, Inc. †(a) | 9,282 | 40,191 | ||||||
Celladon Corp. † | 500 | 9,470 | ||||||
Celsion Corp. † | 632 | 1,687 | ||||||
Cempra, Inc. † | 1,359 | 46,627 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 19.2% (continued) | ||||||||
Centene Corp. † | 122 | $ | 8,624 | |||||
Cerus Corp. † | 3,201 | 13,348 | ||||||
Charles River Laboratories International, Inc. † | 200 | 15,858 | ||||||
Chemed Corp. | 500 | 59,700 | ||||||
Chimerix, Inc. † | 1,600 | 60,304 | ||||||
CONMED Corp. (a) | 500 | 25,245 | ||||||
CorVel Corp. † | 404 | 13,902 | ||||||
Cross Country Healthcare, Inc. †(a) | 1,400 | 16,604 | ||||||
CTI BioPharma Corp. † | 3,700 | 6,697 | ||||||
Curis, Inc. † | 447 | 1,073 | ||||||
Cyberonics, Inc. † | 400 | 25,968 | ||||||
Cynosure, Inc., Class A † | 345 | 10,581 | ||||||
CytRx Corp. †(a) | 2,800 | 9,436 | ||||||
Depomed, Inc. †(a) | 1,300 | 29,133 | ||||||
DexCom, Inc. † | 532 | 33,165 | ||||||
Dyax Corp. † | 3,287 | 55,074 | ||||||
Eagle Pharmaceuticals, Inc. † | 300 | 12,567 | ||||||
Emergent Biosolutions, Inc. † | 500 | 14,380 | ||||||
Enanta Pharmaceuticals, Inc. †(a) | 1,100 | 33,682 | ||||||
Endologix, Inc. †(a) | 690 | 11,778 | ||||||
Ensign Group, Inc./The | 1,000 | 46,860 | ||||||
Esperion Therapeutics, Inc. † | 1,000 | 92,600 | ||||||
Exact Sciences Corp. †(a) | 1,807 | 39,790 | ||||||
ExamWorks Group, Inc. †(a) | 961 | 39,997 | ||||||
Five Prime Therapeutics, Inc. † | 500 | 11,425 | ||||||
Fluidigm Corp. † | 370 | 15,577 | ||||||
Fonar Corp. † | 1,153 | 15,116 | ||||||
GenMark Diagnostics, Inc. †(a) | 1,094 | 14,200 | ||||||
Genomic Health, Inc. † | 324 | 9,898 | ||||||
Globus Medical, Inc., Class A † | 1,300 | 32,812 | ||||||
Greatbatch, Inc. † | 400 | 23,140 | ||||||
Hanger, Inc. † | 261 | 5,922 | ||||||
HealthStream, Inc. †(a) | 255 | 6,426 | ||||||
Healthways, Inc. † | 600 | 11,820 | ||||||
Hyperion Therapeutics, Inc. † | 509 | 23,363 | ||||||
ICU Medical, Inc. † | 559 | 52,065 | ||||||
IGI Laboratories, Inc. † | 4,300 | 35,088 | ||||||
ImmunoGen, Inc. †(a) | 127 | 1,137 | ||||||
Immunomedics, Inc. †(a) | 2,600 | 9,958 | ||||||
Impax Laboratories, Inc. † | 1,600 | 74,992 | ||||||
Inogen, Inc. † | 300 | 9,597 | ||||||
Inovio Pharmaceuticals, Inc. †(a) | 1,375 | 11,220 | ||||||
Insmed, Inc. † | 690 | 14,352 | ||||||
Insulet Corp. †(a) | 548 | 18,276 | ||||||
Insys Therapeutics, Inc. †(a) | 959 | 55,747 | ||||||
Intra-Cellular Therapies, Inc. † | 400 | 9,552 | ||||||
Ironwood Pharmaceuticals, Inc. †(a) | 1,600 | 25,600 | ||||||
IsoRay, Inc. †(a) | 7,400 | 11,618 | ||||||
Jazz Pharmaceuticals PLC (Ireland) † | 72 | 12,441 | ||||||
Karyopharm Therapeutics, Inc. †(a) | 400 | 12,244 | ||||||
Keryx Biopharmaceuticals, Inc. †(a) | 879 | 11,190 | ||||||
Kindred Healthcare, Inc. | 600 | 14,274 | ||||||
KYTHERA Biopharmaceuticals, Inc. †(a) | 300 | 15,045 | ||||||
Lannett Co., Inc. †(a) | 1,002 | 67,845 | ||||||
LDR Holding Corp. † | 900 | 32,976 | ||||||
Ligand Pharmaceuticals, Inc. † | 277 | 21,359 | ||||||
Magellan Health, Inc. † | 146 | 10,340 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
73
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 19.2% (continued) | ||||||||
MedAssets, Inc. † | 339 | $ | 6,380 | |||||
Merrimack Pharmaceuticals, Inc. †(a) | 4,100 | 48,708 | ||||||
MiMedx Group, Inc. †(a) | 3,491 | 36,306 | ||||||
Molina Healthcare, Inc. † | 800 | 53,832 | ||||||
Myriad Genetics, Inc. †(a) | 900 | 31,860 | ||||||
Nanosphere, Inc. † | 1,970 | 457 | ||||||
Natus Medical, Inc. †(a) | 1,100 | 43,417 | ||||||
Nektar Therapeutics † | 1,800 | 19,800 | ||||||
Neuralstem, Inc. †(a) | 4,100 | 7,790 | ||||||
Neurocrine Biosciences, Inc. † | 1,600 | 63,536 | ||||||
NewLink Genetics Corp. †(a) | 809 | 44,260 | ||||||
Novavax, Inc. † | 2,505 | 20,716 | ||||||
NuVasive, Inc. † | 499 | 22,949 | ||||||
NxStage Medical, Inc. † | 700 | 12,110 | ||||||
Omeros Corp. †(a) | 1,600 | 35,248 | ||||||
Omnicell, Inc. †(a) | 488 | 17,129 | ||||||
Ophthotech Corp. †(a) | 600 | 27,918 | ||||||
OraSure Technologies, Inc. † | 1,700 | 11,118 | ||||||
Organovo Holdings, Inc. †(a) | 2,400 | 8,496 | ||||||
Osiris Therapeutics, Inc. † | 672 | 11,814 | ||||||
OvaScience, Inc. †(a) | 1,100 | 38,203 | ||||||
Pacific Biosciences of California, Inc. † | 2,694 | 15,733 | ||||||
Pacira Pharmaceuticals, Inc. † | 201 | 17,859 | ||||||
PAREXEL International Corp. † | 228 | 15,730 | ||||||
Peregrine Pharmaceuticals, Inc. †(a) | 9,591 | 12,948 | ||||||
Pernix Therapeutics Holdings, Inc. †(a) | 2,000 | 21,380 | ||||||
PharMerica Corp. † | 900 | 25,371 | ||||||
POZEN, Inc. † | 1,300 | 10,036 | ||||||
Premier, Inc., Class A † | 300 | 11,274 | ||||||
Prestige Brands Holdings, Inc. † | 333 | 14,282 | ||||||
Providence Service Corp./The †(a) | 400 | 21,248 | ||||||
PTC Therapeutics, Inc. † | 1,100 | 66,935 | ||||||
Puma Biotechnology, Inc. †(a) | 89 | 21,014 | ||||||
Quidel Corp. † | 203 | 5,477 | ||||||
RadNet, Inc. † | 2,500 | 21,000 | ||||||
Raptor Pharmaceutical Corp. †(a) | 991 | 10,772 | ||||||
Receptos, Inc. † | 100 | 16,489 | ||||||
Regulus Therapeutics, Inc. †(a) | 1,400 | 23,716 | ||||||
Repligen Corp. †(a) | 1,200 | 36,432 | ||||||
Retrophin, Inc. †(a) | 900 | 21,564 | ||||||
Rexahn Pharmaceuticals, Inc. †(a) | 12,100 | 8,833 | ||||||
Rockwell Medical, Inc. †(a) | 1,724 | 18,843 | ||||||
RTI Surgical, Inc. †(a) | 2,746 | 13,565 | ||||||
Sagent Pharmaceuticals, Inc. † | 600 | 13,950 | ||||||
Select Medical Holdings Corp. | 3,600 | 53,388 | ||||||
Spectranetics Corp./The † | 656 | 22,803 | ||||||
Spectrum Pharmaceuticals, Inc. †(a) | 151 | 917 | ||||||
STAAR Surgical Co. †(a) | 1,349 | 10,023 | ||||||
Stemline Therapeutics, Inc. † | 700 | 10,129 | ||||||
Stereotaxis, Inc. † | 2,200 | 4,532 | ||||||
Sucampo Pharmaceuticals, Inc., Class A † | 1,300 | 20,228 | ||||||
Supernus Pharmaceuticals, Inc. † | 1,600 | 19,344 | ||||||
Synageva BioPharma Corp. †(a) | 200 | 19,506 | ||||||
TESARO, Inc. †(a) | 600 | 34,440 | ||||||
Tetraphase Pharmaceuticals, Inc. † | 1,000 | 36,640 | ||||||
TG Therapeutics, Inc. †(a) | 1,400 | 21,672 | ||||||
TherapeuticsMD, Inc. † | 2,100 | 12,705 | ||||||
Threshold Pharmaceuticals, Inc. †(a) | 1,495 | 6,070 |
SHARES | VALUE (Note 4) | |||||||
Health Care - 19.2% (continued) | ||||||||
US Physical Therapy, Inc. | 200 | $ | 9,500 | |||||
Vanda Pharmaceuticals, Inc. † | 813 | 7,561 | ||||||
Vascular Solutions, Inc. † | 300 | 9,096 | ||||||
VIVUS, Inc. †(a) | 199 | 490 | ||||||
Xencor, Inc. † | 700 | 10,724 | ||||||
XenoPort, Inc. † | 1,877 | 13,364 | ||||||
Zeltiq Aesthetics, Inc. † | 1,431 | 44,118 | ||||||
ZIOPHARM Oncology, Inc. †(a) | 1,500 | 16,155 | ||||||
|
| |||||||
3,898,837 | ||||||||
|
| |||||||
Industrials - 10.9% | ||||||||
AAON, Inc. | 1,050 | 25,757 | ||||||
AAR Corp. | 688 | 21,122 | ||||||
Adept Technology, Inc. †(a) | 883 | 5,430 | ||||||
Advisory Board Co./The † | 101 | 5,381 | ||||||
Aerovironment, Inc. †(a) | 800 | 21,208 | ||||||
Air Transport Services Group, Inc. † | 1,277 | 11,774 | ||||||
Aircastle Ltd. | 713 | 16,014 | ||||||
Albany International Corp., Class A (a) | 329 | 13,078 | ||||||
Allegiant Travel Co. | 529 | 101,721 | ||||||
Allied Motion Technologies, Inc. | 300 | 9,957 | ||||||
AMERCO | 85 | 28,084 | ||||||
American Railcar Industries, Inc. | 213 | 10,592 | ||||||
American Woodmark Corp. † | 270 | 14,777 | ||||||
Apogee Enterprises, Inc. | 271 | 11,707 | ||||||
Applied Industrial Technologies, Inc. | 164 | 7,436 | ||||||
ARC Document Solutions, Inc. † | 1,784 | 16,466 | ||||||
ARC Group Worldwide, Inc. †(a) | 1,100 | 5,874 | ||||||
ArcBest Corp. | 1,099 | 41,641 | ||||||
Argan, Inc. | 730 | 26,404 | ||||||
Arotech Corp. †(a) | 4,400 | 13,684 | ||||||
Astec Industries, Inc. | 103 | 4,417 | ||||||
Astronics Corp. † | 515 | 37,956 | ||||||
Avis Budget Group, Inc. † | 169 | 9,974 | ||||||
AZZ, Inc. | 116 | 5,404 | ||||||
Barnes Group, Inc. | 224 | 9,070 | ||||||
Beacon Roofing Supply, Inc. †(a) | 267 | 8,357 | ||||||
Brink’s Co./The (a) | 68 | 1,879 | ||||||
Broadwind Energy, Inc. † | 1,511 | 7,555 | ||||||
Chart Industries, Inc. † | 43 | 1,508 | ||||||
CIRCOR International, Inc. | 91 | 4,978 | ||||||
Colfax Corp. †(a) | 113 | 5,393 | ||||||
Corporate Executive Board Co./The | 189 | 15,094 | ||||||
Covanta Holding Corp. | 2,300 | 51,589 | ||||||
Covenant Transportation Group, Inc., Class A † | 1,000 | 33,160 | ||||||
Curtiss-Wright Corp. | 182 | 13,457 | ||||||
Deluxe Corp. | 267 | 18,498 | ||||||
Ducommun, Inc. † | 394 | 10,205 | ||||||
Dycom Industries, Inc. † | 600 | 29,304 | ||||||
Echo Global Logistics, Inc. † | 1,000 | 27,260 | ||||||
Energy Recovery, Inc. † | 2,300 | 5,957 | ||||||
EnerSys (a) | 213 | 13,683 | ||||||
Engility Holdings, Inc. | 665 | 19,977 | ||||||
Enphase Energy, Inc. † | 2,164 | 28,543 | ||||||
EnPro Industries, Inc. | 400 | 26,380 | ||||||
Erickson, Inc. † | 137 | 592 | ||||||
Exponent, Inc. | 100 | 8,890 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
74
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Industrials - 10.9% (continued) | ||||||||
Federal Signal Corp. | 2,000 | $ | 31,580 | |||||
Franklin Electric Co., Inc. | 202 | 7,704 | ||||||
FuelCell Energy, Inc. †(a) | 7,700 | 9,625 | ||||||
G&K Services, Inc., Class A | 400 | 29,012 | ||||||
GATX Corp. | 58 | 3,363 | ||||||
GenCorp, Inc. † | 588 | 13,636 | ||||||
Gibraltar Industries, Inc. † | 498 | 8,172 | ||||||
Greenbrier Cos., Inc./The (a) | 700 | 40,600 | ||||||
H&E Equipment Services, Inc. | 389 | 9,721 | ||||||
Hawaiian Holdings, Inc. † | 1,800 | 39,645 | ||||||
Healthcare Services Group, Inc. (a) | 518 | 16,643 | ||||||
Heartland Express, Inc. | 2,500 | 59,400 | ||||||
HNI Corp. | 700 | 38,619 | ||||||
Hub Group, Inc., Class A † | 700 | 27,503 | ||||||
Huron Consulting Group, Inc. † | 402 | 26,592 | ||||||
Hyster-Yale Materials Handling, Inc. | 531 | 38,917 | ||||||
Insperity, Inc. | 300 | 15,687 | ||||||
John Bean Technologies Corp. | 400 | 14,288 | ||||||
Kforce, Inc. | 539 | 12,025 | ||||||
Kimball International, Inc., Class B | 1,371 | 14,368 | ||||||
Knight Transportation, Inc. | 3,000 | 96,750 | ||||||
Korn/Ferry International | 1,020 | 33,527 | ||||||
Kratos Defense & Security Solutions, Inc. † | 1,700 | 9,401 | ||||||
Lydall, Inc. † | 699 | 22,172 | ||||||
Manitex International, Inc. †(a) | 1,295 | 12,600 | ||||||
Marten Transport Ltd. | 800 | 18,560 | ||||||
McGrath RentCorp. | 83 | 2,732 | ||||||
Meritor, Inc. † | 2,600 | 32,786 | ||||||
Middleby Corp./The † | 168 | 17,245 | ||||||
Mobile Mini, Inc. | 427 | 18,207 | ||||||
Moog, Inc., Class A † | 68 | 5,103 | ||||||
Mueller Industries, Inc. | 332 | 11,995 | ||||||
Multi-Color Corp. | 444 | 30,783 | ||||||
Navigant Consulting, Inc. † | 656 | 8,502 | ||||||
NN, Inc. (a) | 927 | 23,249 | ||||||
Nortek, Inc. † | 191 | 16,856 | ||||||
PAM Transportation Services, Inc. † | 300 | 17,181 | ||||||
Park-Ohio Holdings Corp. (a) | 324 | 17,065 | ||||||
Patrick Industries, Inc. † | 1,022 | 63,640 | ||||||
Pendrell Corp. † | 2,856 | 3,713 | ||||||
Plug Power, Inc. †(a) | 4,900 | 12,691 | ||||||
Primoris Services Corp. | 439 | 7,546 | ||||||
Proto Labs, Inc. †(a) | 200 | 14,000 | ||||||
Quality Distribution, Inc. † | 885 | 9,142 | ||||||
RBC Bearings, Inc. | 66 | 5,052 | ||||||
Revolution Lighting Technologies, Inc. †(a) | 2,044 | 2,269 | ||||||
Saia, Inc. † | 643 | 28,485 | ||||||
Simpson Manufacturing Co., Inc. (a) | 89 | 3,326 | ||||||
Sparton Corp. † | 366 | 8,967 | ||||||
Standex International Corp. | 200 | 16,426 | ||||||
Steelcase, Inc., Class A | 1,047 | 19,830 | ||||||
TASER International, Inc. †(a) | 1,164 | 28,064 | ||||||
Team, Inc. †(a) | 99 | 3,859 | ||||||
Tennant Co. (a) | 497 | 32,489 | ||||||
Textainer Group Holdings Ltd. (a) | 231 | 6,928 | ||||||
Thermon Group Holdings, Inc. † | 417 | 10,037 | ||||||
Titan International, Inc. (a) | 137 | 1,282 | ||||||
Trex Co., Inc. † | 402 | 21,921 |
SHARES | VALUE (Note 4) | |||||||
Industrials - 10.9% (continued) | ||||||||
TriMas Corp. † | 313 | $ | 9,637 | |||||
Tutor Perini Corp. † | 900 | 21,015 | ||||||
UniFirst Corp. | 100 | 11,769 | ||||||
United Rentals, Inc. † | 89 | 8,113 | ||||||
United Stationers, Inc. | 120 | 4,919 | ||||||
US Ecology, Inc. | 349 | 17,440 | ||||||
USG Corp. † | 223 | 5,954 | ||||||
VSE Corp. | 200 | 16,376 | ||||||
Wabash National Corp. † | 826 | 11,647 | ||||||
WageWorks, Inc. † | 151 | 8,053 | ||||||
Werner Enterprises, Inc. | 1,200 | 37,692 | ||||||
West Corp. | 1,700 | 57,341 | ||||||
Willdan Group, Inc. † | 600 | 9,504 | ||||||
XPO Logistics, Inc. † | 826 | 37,558 | ||||||
YRC Worldwide, Inc. † | 600 | 10,776 | ||||||
|
| |||||||
2,226,462 | ||||||||
|
| |||||||
Information Technology - 16.8% | ||||||||
ACI Worldwide, Inc. † | 441 | 9,552 | ||||||
Advanced Energy Industries, Inc. † | 716 | 18,373 | ||||||
Alliance Fiber Optic Products, Inc. | 1,541 | 26,844 | ||||||
Ambarella, Inc. †(a) | 1,022 | 77,376 | ||||||
Amkor Technology, Inc. † | 4,800 | 42,408 | ||||||
ARRIS Group, Inc. † | 436 | 12,598 | ||||||
Aspen Technology, Inc. † | 281 | 10,816 | ||||||
Autobytel, Inc. † | 1,376 | 20,324 | ||||||
Axcelis Technologies, Inc. † | 7,009 | 16,681 | ||||||
Barracuda Networks, Inc. † | 400 | 15,388 | ||||||
Blackbaud, Inc. | 300 | 14,214 | ||||||
Blackhawk Network Holdings, Inc. †(a) | 2,000 | 71,540 | ||||||
Blucora, Inc. † | 397 | 5,423 | ||||||
Cabot Microelectronics Corp. † | 300 | 14,991 | ||||||
CalAmp Corp. †(a) | 496 | 8,030 | ||||||
Callidus Software, Inc. † | 2,014 | 25,538 | ||||||
Cardtronics, Inc. † | 238 | 8,949 | ||||||
Cass Information Systems, Inc. (a) | 159 | 8,926 | ||||||
Cavium, Inc. † | 800 | 56,656 | ||||||
Checkpoint Systems, Inc. | 800 | 8,656 | ||||||
Cirrus Logic, Inc. † | 600 | 19,956 | ||||||
Clearfield, Inc. †(a) | 1,561 | 23,134 | ||||||
Cognex Corp. † | 218 | 10,811 | ||||||
Coherent, Inc. † | 68 | 4,417 | ||||||
CommVault Systems, Inc. † | 72 | 3,146 | ||||||
comScore, Inc. † | 900 | 46,080 | ||||||
Constant Contact, Inc. † | 446 | 17,042 | ||||||
Cray, Inc. † | 1,006 | 28,248 | ||||||
CTS Corp. | 722 | 12,989 | ||||||
Cypress Semiconductor Corp. † | 4,000 | 56,440 | ||||||
Datalink Corp. † | 1,100 | 13,244 | ||||||
Datawatch Corp. †(a) | 510 | 3,463 | ||||||
Dealertrack Technologies, Inc. †(a) | 371 | 14,291 | ||||||
Demandware, Inc. † | 126 | 7,673 | ||||||
Diebold, Inc. (a) | 1,100 | 39,006 | ||||||
Diodes, Inc. † | 696 | 19,878 | ||||||
Dot Hill Systems Corp. † | 3,200 | 16,960 | ||||||
Ebix, Inc. | 500 | 15,190 | ||||||
eGain Corp. † | 877 | 2,894 | ||||||
Electronics For Imaging, Inc. †(a) | 983 | 41,040 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
75
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 16.8% (continued) | ||||||||
Ellie Mae, Inc. † | 1,300 | $ | 71,903 | |||||
Endurance International Group Holdings, Inc. †(a) | 2,300 | 43,838 | ||||||
EnerNOC, Inc. † | 800 | 9,120 | ||||||
Entegris, Inc. † | 1,000 | 13,690 | ||||||
Envestnet, Inc. † | 592 | 33,199 | ||||||
EPAM Systems, Inc. † | 734 | 44,987 | ||||||
ePlus, Inc. † | 190 | 16,517 | ||||||
Euronet Worldwide, Inc. † | 640 | 37,600 | ||||||
Exar Corp. †(a) | 1,200 | 12,060 | ||||||
ExlService Holdings, Inc. † | 262 | 9,746 | ||||||
Fabrinet (Thailand) † | 1,300 | 24,687 | ||||||
Fair Isaac Corp. | 465 | 41,255 | ||||||
Fairchild Semiconductor International, Inc. † | 1,800 | 32,724 | ||||||
FARO Technologies, Inc. † | 279 | 17,334 | ||||||
FEI Co. | 87 | 6,642 | ||||||
Fleetmatics Group PLC (Ireland) † | 200 | 8,970 | ||||||
Glu Mobile, Inc. † | 5,554 | 27,826 | ||||||
Heartland Payment Systems, Inc. | 574 | 26,892 | ||||||
IGATE Corp. † | 795 | 33,915 | ||||||
Immersion Corp. †(a) | 870 | 7,987 | ||||||
Infinera Corp. † | 2,600 | 51,142 | ||||||
Information Services Group, Inc. | 2,600 | 10,374 | ||||||
Inphi Corp. †(a) | 700 | 12,481 | ||||||
Insight Enterprises, Inc. † | 700 | 19,964 | ||||||
Integrated Device Technology, Inc. † | 3,700 | 74,074 | ||||||
Integrated Silicon Solution, Inc. | 600 | 10,734 | ||||||
Interactive Intelligence Group, Inc. †(a) | 216 | 8,895 | ||||||
InterDigital, Inc. | 800 | 40,592 | ||||||
Intersil Corp., Class A | 2,200 | 31,504 | ||||||
Intralinks Holdings, Inc. † | 761 | 7,869 | ||||||
Ixia † | 225 | 2,729 | ||||||
j2 Global, Inc. | 800 | 52,544 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore) † | 235 | 3,673 | ||||||
Lattice Semiconductor Corp. † | 1,900 | 12,046 | ||||||
Lexmark International, Inc., Class A | 600 | 25,404 | ||||||
Liquidity Services, Inc. † | 81 | 800 | ||||||
Littelfuse, Inc. | 300 | 29,817 | ||||||
LiveDeal, Inc. †(a) | 6,000 | 18,900 | ||||||
LogMeIn, Inc. † | 1,100 | 61,589 | ||||||
M/A-COM Technology Solutions Holdings, Inc. † | 1,200 | 44,712 | ||||||
Manhattan Associates, Inc. † | 1,052 | 53,242 | ||||||
Marchex, Inc., Class B | 1,947 | 7,944 | ||||||
Mattson Technology, Inc. † | 5,468 | 21,544 | ||||||
MAXIMUS, Inc. | 274 | 18,292 | ||||||
Maxwell Technologies, Inc. † | 1,600 | 12,896 | ||||||
Mentor Graphics Corp. | 559 | 13,433 | ||||||
Mesa Laboratories, Inc. (a) | 200 | 14,440 | ||||||
Methode Electronics, Inc. | 1,112 | 52,308 | ||||||
Micrel, Inc. | 700 | 10,556 | ||||||
Microsemi Corp. † | 1,200 | 42,480 | ||||||
MicroStrategy, Inc., Class A † | 200 | 33,838 | ||||||
Mitek Systems, Inc. † | 603 | 1,905 | ||||||
MKS Instruments, Inc. | 500 | 16,905 | ||||||
Monolithic Power Systems, Inc. | 1,143 | 60,179 | ||||||
Monotype Imaging Holdings, Inc. | 488 | 15,928 | ||||||
MTS Systems Corp. (a) | 53 | 4,009 |
SHARES | VALUE (Note 4) | |||||||
Information Technology - 16.8% (continued) | ||||||||
Nanometrics, Inc. † | 125 | $ | 2,102 | |||||
NetScout Systems, Inc. †(a) | 776 | 34,028 | ||||||
NIC, Inc. | 574 | 10,143 | ||||||
OmniVision Technologies, Inc. † | 1,500 | 39,555 | ||||||
OSI Systems, Inc. † | 155 | 11,510 | ||||||
ParkerVision, Inc. † | 2,090 | 1,735 | ||||||
PDF Solutions, Inc. †(a) | 400 | 7,168 | ||||||
Perficient, Inc. † | 546 | 11,297 | ||||||
Pericom Semiconductor Corp. | 1,100 | 17,017 | ||||||
Photronics, Inc. † | 1,352 | 11,492 | ||||||
Plexus Corp. † | 600 | 24,462 | ||||||
PMC-Sierra, Inc. † | 3,800 | 35,264 | ||||||
Power Integrations, Inc. | 424 | 22,082 | ||||||
Proofpoint, Inc. † | 1,306 | 77,341 | ||||||
Qlik Technologies, Inc. † | 500 | 15,565 | ||||||
Qorvo, Inc. † | 225 | 17,932 | ||||||
Qualys, Inc. † | 1,903 | 88,451 | ||||||
QuickLogic Corp. †(a) | 3,000 | 5,790 | ||||||
Rambus, Inc. † | 3,205 | 40,303 | ||||||
RF Industries Ltd. (a) | 906 | 3,706 | ||||||
Rogers Corp. † | 300 | 24,663 | ||||||
Rubicon Technology, Inc. † | 1,700 | 6,698 | ||||||
Sanmina Corp. † | 1,891 | 45,743 | ||||||
Semtech Corp. † | 500 | 13,323 | ||||||
SPS Commerce, Inc. † | 177 | 11,877 | ||||||
Stamps.com, Inc. † | 380 | 25,570 | ||||||
Stratasys Ltd. †(a) | 59 | 3,114 | ||||||
Super Micro Computer, Inc. † | 1,470 | 48,819 | ||||||
Synaptics, Inc. † | 443 | 36,018 | ||||||
Synchronoss Technologies, Inc. † | 477 | 22,638 | ||||||
SYNNEX Corp. | 700 | 54,075 | ||||||
Take-Two Interactive Software, Inc. † | 1,200 | 30,546 | ||||||
Tech Data Corp. † | 1,100 | 63,547 | ||||||
Tessera Technologies, Inc. | 1,800 | 72,504 | ||||||
Tyler Technologies, Inc. † | 137 | 16,513 | ||||||
Ultimate Software Group, Inc./The † | 83 | 14,106 | ||||||
Ultra Clean Holdings, Inc. † | 1,500 | 10,725 | ||||||
Ultratech, Inc. †(a) | 112 | 1,942 | ||||||
VASCO Data Security International, Inc. †(a) | 1,700 | 36,618 | ||||||
Verint Systems, Inc. † | 900 | 55,737 | ||||||
VirnetX Holding Corp. † | 80 | 487 | ||||||
Virtusa Corp. † | 479 | 19,821 | ||||||
WebMD Health Corp. †(a) | 472 | 20,690 | ||||||
Xcerra Corp. † | 1,800 | 16,002 | ||||||
Zhone Technologies, Inc. † | 3,600 | 4,680 | ||||||
|
| |||||||
3,423,218 | ||||||||
|
| |||||||
Materials - 2.5% | ||||||||
A Schulman, Inc. | 500 | 24,100 | ||||||
American Vanguard Corp. (a) | 323 | 3,430 | ||||||
Balchem Corp. | 182 | 10,079 | ||||||
Boise Cascade Co. † | 900 | 33,714 | ||||||
Calgon Carbon Corp. | 582 | 12,263 | ||||||
Century Aluminum Co. † | 2,600 | 35,880 | ||||||
Clearwater Paper Corp. †(a) | 200 | 13,060 | ||||||
Deltic Timber Corp. | 41 | 2,716 | ||||||
Ferro Corp. † | 2,400 | 30,120 | ||||||
Flotek Industries, Inc. † | 574 | 8,461 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
76
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Materials - 2.5% (continued) | ||||||||
FutureFuel Corp. | 1,187 | $ | 12,190 | |||||
Graphic Packaging Holding Co. | 551 | 8,012 | ||||||
H.B. Fuller Co. (a) | 215 | 9,217 | ||||||
Haynes International, Inc. | 62 | 2,766 | ||||||
Headwaters, Inc. † | 1,216 | 22,301 | ||||||
Horsehead Holding Corp. † | 1,400 | 17,724 | ||||||
Innophos Holdings, Inc. | 300 | 16,908 | ||||||
Innospec, Inc. | 119 | 5,520 | ||||||
Louisiana-Pacific Corp. † | 209 | 3,451 | ||||||
Minerals Technologies, Inc. | 800 | 58,480 | ||||||
OM Group, Inc. | 200 | 6,006 | ||||||
PH Glatfelter Co. | 528 | 14,536 | ||||||
PolyOne Corp. | 156 | 5,827 | ||||||
Rentech, Inc. † | 1,324 | 1,483 | ||||||
Senomyx, Inc. †(a) | 1,700 | 7,497 | ||||||
Sensient Technologies Corp. | 1,100 | 75,768 | ||||||
Stillwater Mining Co. †(a) | 600 | 7,752 | ||||||
Tredegar Corp. | 403 | 8,104 | ||||||
US Concrete, Inc. † | 1,111 | 37,641 | ||||||
Worthington Industries, Inc. | 286 | 7,610 | ||||||
|
| |||||||
502,616 | ||||||||
|
| |||||||
Telecommunication Services - 1.0% | ||||||||
8x8, Inc. † | 1,152 | 9,677 | ||||||
Atlantic Tele-Network, Inc. (a) | 181 | 12,529 | ||||||
Cogent Communications Holdings, Inc. | 519 | 18,336 | ||||||
Consolidated Communications Holdings, Inc. | 1,600 | 32,640 | ||||||
Globalstar, Inc. †(a) | 6,600 | 21,978 | ||||||
IDT Corp., Class B | 755 | 13,401 | ||||||
Inteliquent, Inc. | 1,436 | 22,603 | ||||||
Iridium Communications, Inc. †(a) | 2,800 | 27,188 | ||||||
Lumos Networks Corp. | 1,293 | 19,731 | ||||||
Straight Path Communications, Inc., Class B † | 500 | 9,960 | ||||||
Vonage Holdings Corp. † | 2,700 | 13,257 | ||||||
|
| |||||||
201,300 | ||||||||
|
| |||||||
Utilities - 4.3% | ||||||||
ALLETE, Inc. | 435 | 22,951 | ||||||
American States Water Co. | 700 | 27,923 | ||||||
Avista Corp. (a) | 2,100 | 71,778 | ||||||
Black Hills Corp. | 78 | 3,934 | ||||||
Chesapeake Utilities Corp. | 258 | 13,058 | ||||||
El Paso Electric Co. | 544 | 21,020 | ||||||
Empire District Electric Co./The | 1,300 | 32,266 | ||||||
Laclede Group, Inc./The | 900 | 46,098 | ||||||
New Jersey Resources Corp. (a) | 1,900 | 59,014 | ||||||
Northwest Natural Gas Co. | 500 | 23,975 | ||||||
NorthWestern Corp. | 1,700 | 91,443 | ||||||
ONE Gas, Inc. | 1,400 | 60,522 | ||||||
Otter Tail Corp. | 366 | 11,774 | ||||||
Pattern Energy Group, Inc. | 1,400 | 39,648 | ||||||
PNM Resources, Inc. | 3,300 | 96,360 | ||||||
Portland General Electric Co. (a) | 4,200 | 155,778 | ||||||
Southwest Gas Corp. | 400 | 23,268 | ||||||
WGL Holdings, Inc. | 1,400 | 78,960 | ||||||
|
| |||||||
879,770 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 19,705,074 | |||||||
|
|
EXCHANGE-TRADED FUNDS (ETF) - 1.7% | SHARES | VALUE (Note 4) | ||||||
iShares Russell 2000 ETF (a) | ||||||||
(cost $328,181) | 2,844 | $ | 353,652 | |||||
|
| |||||||
MONEY MARKET FUNDS - 1.3% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(b) | ||||||||
(cost $263,795) | 263,795 | 263,795 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 19.3% | ||||||||
Money Market Funds - 19.3% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (2)(b)(c) | ||||||||
(cost $3,926,470) | 3,926,470 | 3,926,470 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 24,248,991 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (19.1%) | (3,881,625) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 20,367,366 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $3,804,190; cash collateral of $3,926,470 was received with which the Fund purchased a money market fund. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
(c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
77
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
COMMON STOCKS - 96.6% | SHARES | VALUE (Note 4) | ||||||
Australia - 4.7% | ||||||||
ALS Ltd. | 295 | $ | 1,108 | |||||
Amcor Ltd. | 28,362 | 302,196 | ||||||
Australia & New Zealand Banking Group Ltd. | 2,199 | 61,177 | ||||||
Brambles Ltd. | 11,872 | 103,823 | ||||||
Coca-Cola Amatil Ltd. | 386 | 3,160 | ||||||
Commonwealth Bank of Australia | 4,542 | 322,167 | ||||||
Crown Resorts Ltd. | 11,649 | 118,237 | ||||||
CSL Ltd. | 2,131 | 149,090 | ||||||
Fortescue Metals Group Ltd. | 17,563 | 25,999 | ||||||
Insurance Australia Group Ltd. | 28,183 | 130,459 | ||||||
Orica Ltd. | 113 | 1,716 | ||||||
Orora Ltd. | 28,362 | 48,875 | ||||||
Qantas Airways Ltd. † | 18,405 | 43,655 | ||||||
Ramsay Health Care Ltd. | 11,496 | 586,936 | ||||||
Santos Ltd. | 278 | 1,504 | ||||||
Scentre Group REIT | 128,107 | 363,931 | ||||||
Suncorp Group Ltd. | 11,005 | 112,852 | ||||||
Telstra Corp. Ltd. | 130,687 | 627,357 | ||||||
Wesfarmers Ltd. | 1,136 | 37,935 | ||||||
Woolworths Ltd. | 1,566 | 35,069 | ||||||
|
| |||||||
3,077,246 | ||||||||
|
| |||||||
Austria - 0.1% | ||||||||
ANDRITZ AG | 416 | 24,838 | ||||||
voestalpine AG | 1,869 | 68,368 | ||||||
|
| |||||||
93,206 | ||||||||
|
| |||||||
Belgium - 2.9% | ||||||||
Anheuser-Busch InBev NV | 10,965 | 1,339,544 | ||||||
Belgacom SA | 5,258 | 183,968 | ||||||
Delhaize Group SA | 1,994 | 179,141 | ||||||
KBC Groep NV † | 1,448 | 89,490 | ||||||
UCB SA | 1,538 | 111,107 | ||||||
|
| |||||||
1,903,250 | ||||||||
|
| |||||||
Canada - 11.7% | ||||||||
Agrium, Inc. (1) | 400 | 41,688 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 12,723 | 506,991 | ||||||
AltaGas Ltd. (1) | 1,400 | 46,713 | ||||||
Amaya, Inc. (1)† | 1,400 | 32,829 | ||||||
Bank of Montreal (1) | 2,500 | 149,816 | ||||||
BCE, Inc. (1) | 3,936 | 166,632 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 8,300 | 443,916 | ||||||
Canadian Imperial Bank of Commerce (1) | 1,300 | 94,245 | ||||||
Canadian National Railway Co. (1) | 7,600 | 508,967 | ||||||
Canadian Pacific Railway Ltd. (1) | 2,566 | 469,824 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 2,137 | 217,707 | ||||||
CGI Group, Inc., Class A (1)† | 1,100 | 46,656 | ||||||
CI Financial Corp. (1) | 9,647 | 269,709 | ||||||
Constellation Software, Inc. (1) | 1,083 | 374,319 | ||||||
Dollarama, Inc. (1) | 5,644 | 315,499 | ||||||
Enbridge, Inc. (1) | 3,700 | 178,347 | ||||||
Fortis, Inc. (1) | 4,800 | 146,211 | ||||||
Franco-Nevada Corp. (1) | 700 | 33,924 | ||||||
Gildan Activewear, Inc. (1) | 9,974 | 294,050 | ||||||
Jean Coutu Group PJC, Inc./The, Class A (1) | 3,300 | 70,531 | ||||||
Keyera Corp. (1) | 1,800 | 119,735 |
SHARES | VALUE (Note 4) | |||||||
Canada - 11.7% (continued) | ||||||||
Loblaw Cos., Ltd. (1) | 6,778 | $ | 331,368 | |||||
MacDonald Dettwiler & Associates Ltd. (1) | 463 | 35,880 | ||||||
Magna International, Inc. (1) | 6,878 | 367,699 | ||||||
Manulife Financial Corp. (1) | 2,352 | 39,944 | ||||||
Methanex Corp. (1) | 1,600 | 85,663 | ||||||
Metro, Inc. (1) | 1,200 | 32,517 | ||||||
Open Text Corp. (1) | 5,160 | 272,392 | ||||||
Potash Corp of Saskatchewan, Inc. (1) | 8,800 | 283,687 | ||||||
RioCan Real Estate Investment Trust REIT (1) | 242 | 5,535 | ||||||
Rogers Communications, Inc., Class B (1) | 3,763 | 125,973 | ||||||
Royal Bank of Canada (1) | 3,579 | 215,438 | ||||||
Saputo, Inc. (1) | 3,000 | 82,452 | ||||||
Sun Life Financial, Inc. (1) | 9,030 | 278,269 | ||||||
Toronto-Dominion Bank/The (1) | 4,800 | 205,446 | ||||||
TransAlta Corp. (1) | 100 | 928 | ||||||
TransCanada Corp. (1) | 1,000 | 42,762 | ||||||
Valeant Pharmaceuticals International, Inc. (1)† | 3,394 | 670,493 | ||||||
|
| |||||||
7,604,755 | ||||||||
|
| |||||||
China - 0.0% (a) | ||||||||
FIH Mobile Ltd. † | 62,000 | 32,855 | ||||||
|
| |||||||
Denmark - 3.3% | ||||||||
AP Moeller - Maersk A/S, Class B | 103 | 215,293 | ||||||
Coloplast A/S, Class B | 6,320 | 477,445 | ||||||
Danske Bank A/S | 4,267 | 112,492 | ||||||
Novo Nordisk A/S, Class B | 13,124 | 700,609 | ||||||
Pandora A/S | 2,756 | 250,920 | ||||||
Tryg A/S | 2,393 | 281,437 | ||||||
Vestas Wind Systems A/S | 2,142 | 88,317 | ||||||
William Demant Holding A/S † | 39 | 3,312 | ||||||
|
| |||||||
2,129,825 | ||||||||
|
| |||||||
Finland - 1.2% | ||||||||
Kone OYJ, Class B | 885 | 39,241 | ||||||
Nokia OYJ | 37,059 | 282,566 | ||||||
Sampo OYJ, A Shares | 8,956 | 451,726 | ||||||
Valmet OYJ | 434 | 5,206 | ||||||
|
| |||||||
778,739 | ||||||||
|
| |||||||
France - 2.9% | ||||||||
Air Liquide SA | 177 | 22,787 | ||||||
Alcatel-Lucent † | 9,548 | 35,895 | ||||||
Credit Agricole SA | 7,754 | 113,945 | ||||||
Danone SA | 363 | 24,469 | ||||||
Edenred | 323 | 8,059 | ||||||
Eutelsat Communications SA | 106 | 3,516 | ||||||
GDF Suez | 19,343 | 381,889 | ||||||
Iliad SA | 718 | 167,667 | ||||||
L’Oreal SA | 257 | 47,337 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 196 | 34,493 | ||||||
Orange SA | 23,064 | 370,398 | ||||||
Renault SA | 1,693 | 153,775 | ||||||
Sanofi | 811 | 80,093 | ||||||
TOTAL SA | 6,790 | 337,511 | ||||||
Unibail-Rodamco SE REIT | 362 | 97,753 | ||||||
|
| |||||||
1,879,587 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
78
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 4.8% | ||||||||
adidas AG | 160 | $ | 12,634 | |||||
Allianz SE | 2,321 | 402,964 | ||||||
Bayer AG | 9,259 | 1,385,294 | ||||||
Beiersdorf AG | 64 | 5,549 | ||||||
Continental AG | 556 | 130,936 | ||||||
Deutsche Annington Immobilien SE | 6,054 | 204,006 | ||||||
Deutsche Bank AG | 67 | 2,322 | ||||||
Deutsche Telekom AG | 18,951 | 346,622 | ||||||
Fresenius Medical Care AG & Co. KGaA | 868 | 72,150 | ||||||
Fresenius SE & Co. KGaA | 183 | 10,910 | ||||||
Merck KGaA | 2,173 | 243,197 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 264 | 56,729 | ||||||
ProSiebenSat.1 Media AG | 1,943 | 95,038 | ||||||
SAP SE | 171 | 12,359 | ||||||
ThyssenKrupp AG | 6,783 | 177,580 | ||||||
|
| |||||||
3,158,290 | ||||||||
|
| |||||||
Hong Kong - 3.5% | ||||||||
AIA Group Ltd. | 54,000 | 339,038 | ||||||
BOC Hong Kong Holdings Ltd. | 10,500 | 37,448 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 1,000 | 8,589 | ||||||
CK Hutchison Holdings Ltd. | 12,000 | 245,166 | ||||||
CLP Holdings Ltd. | 6,000 | 52,441 | ||||||
First Pacific Co., Ltd. | 12,000 | 11,971 | ||||||
Galaxy Entertainment Group Ltd. | 22,000 | 99,888 | ||||||
Giordano International Ltd. | 2,000 | 978 | ||||||
Goldin Financial Holdings Ltd. † | 10,000 | 31,602 | ||||||
Hang Seng Bank Ltd. | 1,200 | 21,719 | ||||||
Henderson Land Development Co., Ltd. | 11,000 | 77,276 | ||||||
Hong Kong & China Gas Co., Ltd. | 2,662 | 6,164 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 8,700 | 213,257 | ||||||
Hongkong Land Holdings Ltd. | 11,400 | 86,077 | ||||||
Link REIT/The | 30,000 | 185,075 | ||||||
Luk Fook Holdings International Ltd. | 1,000 | 2,789 | ||||||
Melco International Development Ltd. | 38,000 | 63,945 | ||||||
MGM China Holdings Ltd. | 52,000 | 97,697 | ||||||
New World Development Co., Ltd. | 9,000 | 10,434 | ||||||
PCCW Ltd. | 75,000 | 45,831 | ||||||
Power Assets Holdings Ltd. | 16,000 | 163,325 | ||||||
Samsonite International SA | 29,100 | 101,259 | ||||||
Sands China Ltd. | 14,800 | 61,201 | ||||||
SmarTone Telecommunications Holdings Ltd. | 1,500 | 2,865 | ||||||
Sun Hung Kai Properties Ltd. | 4,000 | 61,678 | ||||||
Wharf Holdings Ltd./The | 18,000 | 125,655 | ||||||
Wheelock & Co., Ltd. | 9,000 | 45,991 | ||||||
Wynn Macau Ltd. | 24,400 | 52,731 | ||||||
|
| |||||||
2,252,090 | ||||||||
|
| |||||||
Italy - 1.4% | ||||||||
Davide Campari-Milano SpA | 430 | 3,000 | ||||||
Enel SpA | 52,367 | 236,564 | ||||||
Finmeccanica SpA † | 19,712 | 234,142 | ||||||
Intesa Sanpaolo SpA | 65,019 | 220,675 | ||||||
Luxottica Group SpA | 718 | 45,475 | ||||||
Snam SpA | 36,381 | 176,598 | ||||||
|
| |||||||
916,454 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Japan - 34.2% | ||||||||
Activia Properties, Inc. REIT | 4 | $ | 34,947 | |||||
Advance Residence Investment Corp. REIT | 35 | 83,956 | ||||||
Ajinomoto Co., Inc. | 8,000 | 175,507 | ||||||
Alps Electric Co., Ltd. | 8,700 | 209,490 | ||||||
ANA Holdings, Inc. | 27,000 | 72,284 | ||||||
Aozora Bank Ltd. | 9,000 | 31,901 | ||||||
Asahi Group Holdings Ltd. | 6,300 | 199,763 | ||||||
Asics Corp. | 2,100 | 57,146 | ||||||
Astellas Pharma, Inc. | 47,900 | 784,837 | ||||||
Bandai Namco Holdings, Inc. | 8,500 | 165,444 | ||||||
Bank of Yokohama Ltd./The | 12,000 | 70,280 | ||||||
Bridgestone Corp. | 2,800 | 112,112 | ||||||
Calbee, Inc. | 3,700 | 160,625 | ||||||
Central Japan Railway Co. | 2,700 | 487,943 | ||||||
Chugai Pharmaceutical Co., Ltd. | 7,100 | 224,083 | ||||||
Coca-Cola East Japan Co., Ltd. | 3,600 | 73,369 | ||||||
COLOPL, Inc. | 4,900 | 105,628 | ||||||
Cosmos Pharmaceutical Corp. | 300 | 46,879 | ||||||
Daicel Corp. | 3,400 | 40,526 | ||||||
Daikin Industries Ltd. | 2,200 | 147,079 | ||||||
Daito Trust Construction Co., Ltd. | 3,600 | 401,997 | ||||||
Daiwa House Residential Investment Corp. REIT | 16 | 34,908 | ||||||
Daiwa Office Investment Corp. REIT | 8 | 43,248 | ||||||
Denso Corp. | 800 | 36,468 | ||||||
Eisai Co., Ltd. | 500 | 35,564 | ||||||
Electric Power Development Co., Ltd. | 1,300 | 43,793 | ||||||
Ezaki Glico Co., Ltd. | 2,500 | 101,067 | ||||||
Fuji Heavy Industries Ltd. | 6,600 | 219,095 | ||||||
FUJIFILM Holdings Corp. | 5,600 | 199,229 | ||||||
Fujitsu Ltd. | 41,000 | 279,605 | ||||||
GLP J-Reit REIT | 73 | 75,579 | ||||||
Haseko Corp. | 16,900 | 164,622 | ||||||
Hino Motors Ltd. | 11,000 | 156,515 | ||||||
HIS Co. Ltd. | 2,200 | 77,257 | ||||||
Hitachi Ltd. | 21,000 | 143,427 | ||||||
Hitachi Transport System Ltd. | 200 | 3,025 | ||||||
Hokuhoku Financial Group, Inc. | 64,000 | 142,661 | ||||||
Hoshizaki Electric Co., Ltd. | 1,300 | 84,420 | ||||||
Hoya Corp. | 11,100 | 444,381 | ||||||
Inpex Corp. | 14,300 | 157,569 | ||||||
Iwatani Corp. | 23,000 | 150,673 | ||||||
Japan Airlines Co., Ltd. | 6,000 | 186,644 | ||||||
Japan Airport Terminal Co., Ltd. | 3,400 | 205,619 | ||||||
Japan Hotel REIT Investment Corp. REIT | 175 | 124,487 | ||||||
Japan Logistics Fund, Inc. REIT | 22 | 45,720 | ||||||
JGC Corp. | 3,000 | 59,572 | ||||||
JTEKT Corp. | 11,400 | 177,743 | ||||||
Kaken Pharmaceutical Co., Ltd. | 3,000 | 86,729 | ||||||
Kao Corp. | 12,500 | 624,176 | ||||||
KDDI Corp. | 17,400 | 393,110 | ||||||
Keihan Electric Railway Co., Ltd. | 23,000 | 139,974 | ||||||
Keio Corp. | 5,000 | 39,160 | ||||||
Keisei Electric Railway Co., Ltd. | 8,000 | 99,292 | ||||||
Kenedix Office Investment Corp. REIT | 9 | 49,383 | ||||||
Kewpie Corp. | 3,200 | 77,864 | ||||||
Keyence Corp. | 1,000 | 545,697 | ||||||
Kikkoman Corp. | 4,000 | 126,837 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
79
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.2% (continued) | ||||||||
Koito Manufacturing Co., Ltd. | 2,900 | $ | 87,199 | |||||
Komatsu Ltd. | 7,000 | 137,219 | ||||||
Komeri Co., Ltd. | 100 | 2,355 | ||||||
Kose Corp. | 700 | 38,606 | ||||||
LIXIL Group Corp. | 5,600 | 132,528 | ||||||
M3, Inc. | 10,200 | 216,392 | ||||||
Mabuchi Motor Co., Ltd. | 3,400 | 179,866 | ||||||
Mazda Motor Corp. | 5,800 | 117,519 | ||||||
MEIJI Holdings Co., Ltd. | 1,500 | 182,715 | ||||||
Minebea Co., Ltd. | 8,000 | 125,828 | ||||||
Mitsubishi Electric Corp. | 16,000 | 189,944 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 40,600 | 251,453 | ||||||
Mitsui & Co., Ltd. | 20,100 | 269,183 | ||||||
Mixi, Inc. | 3,700 | 149,569 | ||||||
Mori Trust Sogo Reit, Inc. REIT | 37 | 76,601 | ||||||
Murata Manufacturing Co., Ltd. | 3,100 | 425,752 | ||||||
Nagoya Railroad Co., Ltd. | 29,000 | 115,799 | ||||||
NGK Insulators Ltd. | 7,000 | 149,146 | ||||||
NGK Spark Plug Co., Ltd. | 1,300 | 34,897 | ||||||
NH Foods Ltd. | 2,000 | 46,087 | ||||||
Nidec Corp. | 5,800 | 385,014 | ||||||
Nippon Accommodations Fund, Inc. REIT | 11 | 41,767 | ||||||
Nippon Paint Holdings Co., Ltd. | 9,000 | 329,011 | ||||||
Nippon Prologis REIT, Inc. REIT | 90 | 198,123 | ||||||
Nippon Shinyaku Co., Ltd. | 2,000 | 72,706 | ||||||
Nippon Telegraph & Telephone Corp. | 8,700 | 537,060 | ||||||
Nissan Motor Co., Ltd. | 6,000 | 61,023 | ||||||
Nissin Foods Holdings Co., Ltd. | 2,300 | 113,036 | ||||||
Nitori Holdings Co., Ltd. | 2,800 | 189,542 | ||||||
Nitto Denko Corp. | 600 | 40,064 | ||||||
NOK Corp. | 2,200 | 66,149 | ||||||
Nomura Real Estate Master Fund, Inc. REIT | 48 | 59,644 | ||||||
NSK Ltd. | 5,000 | 72,978 | ||||||
Okasan Securities Group, Inc. | 13,000 | 103,151 | ||||||
Olympus Corp. † | 5,500 | 203,916 | ||||||
Omron Corp. | 3,900 | 175,692 | ||||||
Ono Pharmaceutical Co., Ltd. | 2,200 | 248,257 | ||||||
Oriental Land Co., Ltd. | 3,200 | 242,298 | ||||||
Orix JREIT, Inc. REIT | 28 | 40,103 | ||||||
Otsuka Holdings Co., Ltd. | 5,800 | 181,445 | ||||||
Panasonic Corp. | 21,100 | 277,086 | ||||||
Pigeon Corp. | 800 | 67,227 | ||||||
Rakuten, Inc. | 9,000 | 158,473 | ||||||
Renesas Electronics Corp. † | 17,900 | 132,934 | ||||||
Resorttrust, Inc. | 3,300 | 85,993 | ||||||
Santen Pharmaceutical Co., Ltd. | 4,000 | 58,343 | ||||||
Seiko Epson Corp. | 13,600 | 240,874 | ||||||
Seino Holdings Co., Ltd. | 6,000 | 65,111 | ||||||
Shimano, Inc. | 1,300 | 193,183 | ||||||
Shimizu Corp. | 25,000 | 169,020 | ||||||
Shin-Etsu Chemical Co., Ltd. | 2,500 | 163,220 | ||||||
Shionogi & Co., Ltd. | 3,300 | 109,859 | ||||||
SMC Corp. | 700 | 208,435 | ||||||
SoftBank Corp. | 400 | 23,296 | ||||||
Sony Corp. † | 15,100 | 403,829 | ||||||
Sotetsu Holdings, Inc. | 9,000 | 41,688 | ||||||
Square Enix Holdings Co., Ltd. | 8,900 | 190,441 | ||||||
Sumco Corp. | 5,000 | 83,733 |
SHARES | VALUE (Note 4) | |||||||
Japan - 34.2% (continued) | ||||||||
Suntory Beverage & Food Ltd. | 4,500 | $ | 192,686 | |||||
Suruga Bank Ltd. | 11,000 | 228,433 | ||||||
Suzuki Motor Corp. | 4,800 | 144,164 | ||||||
Sysmex Corp. | 2,500 | 138,617 | ||||||
Taisei Corp. | 36,000 | 203,195 | ||||||
Taiyo Nippon Sanso Corp. | 7,000 | 95,254 | ||||||
TDK Corp. | 1,100 | 77,888 | ||||||
Tohoku Electric Power Co., Inc. | 13,100 | 148,795 | ||||||
Tokai Tokyo Financial Holdings, Inc. | 13,900 | 107,077 | ||||||
Tokio Marine Holdings, Inc. | 1,700 | 64,170 | ||||||
Tokyo Gas Co., Ltd. | 13,000 | 81,727 | ||||||
Tokyo Tatemono Co., Ltd. | 4,000 | 29,305 | ||||||
Toray Industries, Inc. | 5,000 | 41,850 | ||||||
Toyo Seikan Group Holdings Ltd. | 3,000 | 43,880 | ||||||
Toyo Tire & Rubber Co., Ltd. | 4,900 | 88,030 | ||||||
Toyota Motor Corp. | 25,700 | 1,793,956 | ||||||
Tsuruha Holdings, Inc. | 900 | 68,896 | ||||||
Unicharm Corp. | 7,100 | 185,878 | ||||||
USS Co., Ltd. | 4,900 | 84,670 | ||||||
West Japan Railway Co. | 2,100 | 110,104 | ||||||
Yamaha Motor Co., Ltd. | 4,900 | 118,044 | ||||||
Zenkoku Hosho Co., Ltd. | 1,100 | 41,206 | ||||||
|
| |||||||
22,311,116 | ||||||||
|
| |||||||
Luxembourg - 0.2% | ||||||||
Altice SA † | 1,360 | 147,083 | ||||||
|
| |||||||
Netherlands - 0.9% | ||||||||
ASML Holding NV | 4,027 | 408,255 | ||||||
Heineken NV | 2,091 | 159,599 | ||||||
|
| |||||||
567,854 | ||||||||
|
| |||||||
Norway - 0.2% | ||||||||
Gjensidige Forsikring ASA | 4,061 | 70,069 | ||||||
Golar LNG Ltd. | 70 | 1,747 | ||||||
Statoil ASA | 1,779 | 31,455 | ||||||
|
| |||||||
103,271 | ||||||||
|
| |||||||
Portugal - 0.2% | ||||||||
EDP - Energias de Portugal SA | 26,169 | 98,006 | ||||||
Jeronimo Martins SGPS SA | 313 | 3,939 | ||||||
|
| |||||||
101,945 | ||||||||
|
| |||||||
Singapore - 0.8% | ||||||||
CapitaLand Ltd. | 13,800 | 35,971 | ||||||
DBS Group Holdings Ltd. | 2,900 | 43,001 | ||||||
Jardine Matheson Holdings Ltd. | 3,200 | 202,212 | ||||||
Jardine Strategic Holdings Ltd. | 500 | 17,465 | ||||||
Keppel Corp. Ltd. | 3,000 | 19,656 | ||||||
Mapletree Commercial Trust REIT | 20,000 | 23,318 | ||||||
Singapore Telecommunications Ltd. | 10,000 | 31,910 | ||||||
Super Group Ltd. | 102,000 | 110,477 | ||||||
Thai Beverage PCL | 59,000 | 32,849 | ||||||
|
| |||||||
516,859 | ||||||||
|
| |||||||
Spain - 1.3% | ||||||||
Abertis Infraestructuras SA | 2,967 | 53,627 | ||||||
EDP Renovaveis SA | 6,197 | 42,594 | ||||||
Ferrovial SA | 10,815 | 229,949 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
80
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Spain - 1.3% (continued) | ||||||||
Gas Natural SDG SA | 4,011 | $ | 90,055 | |||||
Iberdrola SA | 49,748 | 320,803 | ||||||
Inditex SA | 3,387 | 108,742 | ||||||
|
| |||||||
845,770 | ||||||||
|
| |||||||
Sweden - 3.7% | ||||||||
Assa Abloy AB, Class B | 4,499 | 267,985 | ||||||
Atlas Copco AB, A Shares | 9,439 | 305,575 | ||||||
Electrolux AB, Series B | 4,052 | 115,759 | ||||||
Getinge AB, B Shares | 138 | 3,410 | ||||||
Hennes & Mauritz AB, B Shares | 3,205 | 129,859 | ||||||
ICA Gruppen AB | 3,756 | 125,898 | ||||||
Investment AB Kinnevik, B Shares | 4,637 | 154,794 | ||||||
Investor AB, B Shares | 4,857 | 193,342 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 20,148 | 235,162 | ||||||
Skanska AB, B Shares | 16,212 | 363,462 | ||||||
Svenska Handelsbanken AB, A Shares | 3,242 | 146,008 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 17,992 | 225,889 | ||||||
Trelleborg AB, B Shares | 6,703 | 132,585 | ||||||
|
| |||||||
2,399,728 | ||||||||
|
| |||||||
Switzerland - 7.0% | ||||||||
Actelion Ltd. † | 3,318 | 382,677 | ||||||
EMS-Chemie Holding AG | 718 | 291,967 | ||||||
Givaudan SA † | 377 | 681,106 | ||||||
Novartis AG | 22,516 | 2,222,340 | ||||||
Partners Group Holding AG | 1,371 | 408,733 | ||||||
Schindler Holding AG | 32 | 5,311 | ||||||
SGS SA | 12 | 22,879 | ||||||
Swisscom AG | 603 | 349,674 | ||||||
Syngenta AG | 94 | 31,934 | ||||||
Wolseley PLC | 75 | 4,433 | ||||||
Zurich Insurance Group AG † | 532 | 179,817 | ||||||
|
| |||||||
4,580,871 | ||||||||
|
| |||||||
United Kingdom - 11.6% | ||||||||
Aggreko PLC | 126 | 2,850 | ||||||
ARM Holdings PLC | 1,727 | 28,049 | ||||||
Ashtead Group PLC | 2,587 | 41,490 | ||||||
ASOS PLC † | 898 | 48,067 | ||||||
Associated British Foods PLC | 11,411 | 476,217 | ||||||
AstraZeneca PLC | 16,797 | 1,152,584 | ||||||
Barclays PLC | 13,606 | 49,111 | ||||||
Barratt Developments PLC | 28,853 | 225,594 | ||||||
BG Group PLC | 687 | 8,432 | ||||||
Booker Group PLC | 21,103 | 45,472 | ||||||
BP PLC | 740 | 4,797 | ||||||
British American Tobacco PLC | 10,325 | 534,670 | ||||||
Bunzl PLC | 3,162 | 85,727 | ||||||
Capita PLC | 4,384 | 72,471 | ||||||
Compass Group PLC | 4,990 | 86,623 | ||||||
Croda International PLC | 111 | 4,502 | ||||||
Diageo PLC | 1,887 | 52,146 | ||||||
Direct Line Insurance Group PLC | 8,895 | 41,976 | ||||||
Dixons Carphone PLC | 6,760 | 41,343 | ||||||
Experian PLC | 1,092 | 18,076 | ||||||
Fiat Chrysler Automobiles NV † | 4,113 | 66,771 | ||||||
Fresnillo PLC | 272 | 2,747 |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 11.6% (continued) | ||||||||
G4S PLC | 681 | $ | 2,985 | |||||
GlaxoSmithKline PLC | 126 | 2,901 | ||||||
Hikma Pharmaceuticals PLC | 1,890 | 59,486 | ||||||
HSBC Holdings PLC | 10,509 | 89,552 | ||||||
Imperial Tobacco Group PLC | 8,407 | 368,784 | ||||||
Indivior PLC † | 500 | 1,405 | ||||||
Intertek Group PLC | 94 | 3,482 | ||||||
Kingfisher PLC | 13,199 | 74,470 | ||||||
Legal & General Group PLC | 45,149 | 185,939 | ||||||
London Stock Exchange Group PLC | 947 | 34,442 | ||||||
Meggitt PLC | 501 | 4,072 | ||||||
National Grid PLC | 39,004 | 501,438 | ||||||
Next PLC | 1,489 | 154,854 | ||||||
Prudential PLC | 16,795 | 416,775 | ||||||
Randgold Resources Ltd. | 40 | 2,773 | ||||||
Reckitt Benckiser Group PLC | 500 | 42,953 | ||||||
Reed Elsevier NV | 20,191 | 503,111 | ||||||
Royal Bank of Scotland Group PLC † | 6,019 | 30,406 | ||||||
SABMiller PLC | 13,011 | 681,539 | ||||||
Shire PLC | 6,046 | 482,006 | ||||||
Sky PLC | 451 | 6,635 | ||||||
Smith & Nephew PLC | 3,009 | 51,308 | ||||||
Sports Direct International PLC † | 6,364 | 57,195 | ||||||
SSE PLC | 1,950 | 43,276 | ||||||
Tate & Lyle PLC | 322 | 2,849 | ||||||
Tesco PLC | 1,089 | 3,887 | ||||||
Unilever NV CVA | 10,464 | 437,265 | ||||||
United Utilities Group PLC | 6,524 | 90,209 | ||||||
Whitbread PLC | 1,309 | 101,644 | ||||||
WM Morrison Supermarkets PLC | 1,127 | 3,221 | ||||||
|
| |||||||
7,530,577 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 62,931,371 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 1.7% | ||||||||
United State - 1.7% | ||||||||
iShares MSCI EAFE ETF (1) | ||||||||
(cost $1,121,832) | 17,631 | 1,131,381 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 0.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | ||||||||
(cost $536,020) | 536,020 | 536,020 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 64,598,772 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | 586,164 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 65,184,936 | ||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
81
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 9,401,601 | 14.4 | % | ||||
Consumer Staples | 8,262,048 | 12.7 | ||||||
Energy | 930,570 | 1.4 | ||||||
Exchange-Traded Funds | 1,131,381 | 1.7 | ||||||
Financials | 10,937,346 | 16.8 | ||||||
Health Care | 11,209,500 | 17.2 | ||||||
Industrials | 8,199,643 | 12.6 | ||||||
Information Technology | 5,123,575 | 7.9 | ||||||
Materials | 2,861,318 | 4.4 | ||||||
Telecommunication Services | 3,372,363 | 5.2 | ||||||
Utilities | 2,633,407 | 4.0 | ||||||
Money Market Funds | 536,020 | 0.8 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 64,598,772 | 99.1 | ||||||
Other Assets in Excess of Liabilities | 586,164 | 0.9 | ||||||
|
|
|
| |||||
Net Assets | $ | 65,184,936 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
82
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
COMMON STOCKS - 95.1% | SHARES | VALUE (Note 4) | ||||||
Consumer Discretionary - 12.5% | ||||||||
Amazon.com, Inc. † | 2,312 | $ | 860,295 | |||||
AutoZone, Inc. † | 1,660 | 1,132,386 | ||||||
Bed Bath & Beyond, Inc. † | 10,208 | 783,719 | ||||||
Chipotle Mexican Grill, Inc. † | 1,659 | 1,079,246 | ||||||
Dollar Tree, Inc. † | 13,270 | 1,076,794 | ||||||
Domino’s Pizza, Inc. | 7,900 | 794,345 | ||||||
Expedia, Inc. | 5,600 | 527,128 | ||||||
Home Depot, Inc./The | 10,083 | 1,145,530 | ||||||
Lowe’s Cos., Inc. | 8,700 | 647,193 | ||||||
Madison Square Garden Co./The, Class A † | 2,300 | 194,695 | ||||||
McDonald’s Corp. | 23,751 | 2,314,297 | ||||||
NIKE, Inc., Class B | 10,758 | 1,079,350 | ||||||
O’Reilly Automotive, Inc. † | 4,649 | 1,005,300 | ||||||
Panera Bread Co., Class A † | 3,150 | 503,984 | ||||||
Polaris Industries, Inc. | 500 | 70,550 | ||||||
Priceline Group, Inc./The † | 468 | 544,822 | ||||||
Scripps Networks Interactive, Inc., Class A | 9,466 | 648,989 | ||||||
Starbucks Corp. | 10,710 | 1,014,237 | ||||||
Target Corp. | 2,698 | 221,425 | ||||||
Time Warner, Inc. | 3,667 | 309,642 | ||||||
TJX Cos., Inc./The | 9,240 | 647,262 | ||||||
TripAdvisor, Inc. † | 10,300 | 856,651 | ||||||
Viacom, Inc., Class B | 6,113 | 417,518 | ||||||
Walt Disney Co./The | 8,000 | 839,120 | ||||||
Yum! Brands, Inc. | 12,063 | 949,599 | ||||||
|
| |||||||
19,664,077 | ||||||||
|
| |||||||
Consumer Staples - 20.5% | ||||||||
Altria Group, Inc. | 41,427 | 2,072,179 | ||||||
Archer-Daniels-Midland Co. | 9,855 | 467,127 | ||||||
Brown-Forman Corp., Class B | 4,555 | 411,544 | ||||||
Church & Dwight Co., Inc. | 15,271 | 1,304,449 | ||||||
Clorox Co./The | 3,579 | 395,086 | ||||||
Coca-Cola Co./The | 19,855 | 805,120 | ||||||
Colgate-Palmolive Co. | 31,870 | 2,209,866 | ||||||
Costco Wholesale Corp. | 14,923 | 2,260,760 | ||||||
CVS Health Corp. | 8,719 | 899,888 | ||||||
Dr Pepper Snapple Group, Inc. | 5,100 | 400,248 | ||||||
Estee Lauder Cos., Inc./The, Class A | 15,456 | 1,285,321 | ||||||
General Mills, Inc. | 13,854 | 784,136 | ||||||
Hershey Co./The | 9,751 | 983,973 | ||||||
Hormel Foods Corp. | 11,749 | 667,931 | ||||||
Kellogg Co. | 1,576 | 103,937 | ||||||
Kimberly-Clark Corp. | 17,750 | 1,901,202 | ||||||
Kroger Co./The | 14,701 | 1,126,979 | ||||||
McCormick & Co., Inc. | 11,780 | 908,356 | ||||||
Monster Beverage Corp. † | 8,803 | 1,218,291 | ||||||
PepsiCo, Inc. | 22,902 | 2,189,889 | ||||||
Philip Morris International, Inc. | 21,108 | 1,590,066 | ||||||
Procter & Gamble Co./The | 25,521 | 2,091,191 | ||||||
Reynolds American, Inc. | 32,134 | 2,214,354 | ||||||
Sysco Corp. | 33,344 | 1,258,069 | ||||||
Walgreens Boots Alliance, Inc. | 8,655 | 732,905 | ||||||
Wal-Mart Stores, Inc. | 25,611 | 2,106,505 | ||||||
|
| |||||||
32,389,372 | ||||||||
|
| |||||||
Energy - 0.1% | ||||||||
Exxon Mobil Corp. | 2,332 | 198,220 | ||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Financials - 14.1% | ||||||||
ACE Ltd. (Switzerland) | 5,564 | $ | 620,330 | |||||
Alleghany Corp. † | 800 | 389,600 | ||||||
American Express Co. | 4,400 | 343,728 | ||||||
Aon PLC (United Kingdom) | 9,700 | 932,364 | ||||||
Arch Capital Group Ltd. † | 6,900 | 425,040 | ||||||
Bank of Hawaii Corp. | 18,263 | 1,117,878 | ||||||
BB&T Corp. | 3,286 | 128,121 | ||||||
Chubb Corp./The | 18,245 | 1,844,569 | ||||||
Commerce Bancshares, Inc. | 4,515 | 191,075 | ||||||
Cullen/Frost Bankers, Inc. | 8,176 | 564,798 | ||||||
Everest Re Group Ltd. | 7,870 | 1,369,380 | ||||||
M&T Bank Corp. | �� | 12,151 | 1,543,177 | |||||
Markel Corp. † | 2,100 | 1,614,816 | ||||||
Marsh & McLennan Cos., Inc. | 13,807 | 774,435 | ||||||
New York Community Bancorp, Inc. | 76,278 | 1,276,131 | ||||||
Northern Trust Corp. | 8,674 | 604,144 | ||||||
People’s United Financial, Inc. | 74,716 | 1,135,683 | ||||||
PNC Financial Services Group, Inc./The | 6,300 | 587,412 | ||||||
Progressive Corp./The | 17,526 | 476,707 | ||||||
RenaissanceRe Holdings Ltd. | 9,300 | 927,489 | ||||||
Signature Bank † | 2,300 | 298,034 | ||||||
Travelers Cos., Inc./The | 16,543 | 1,788,795 | ||||||
US Bancorp | 36,116 | 1,577,186 | ||||||
Wells Fargo & Co. | 33,100 | 1,800,640 | ||||||
|
| |||||||
22,331,532 | ||||||||
|
| |||||||
Health Care - 16.4% | ||||||||
Abbott Laboratories | 12,002 | 556,053 | ||||||
AbbVie, Inc. | 16,100 | 942,494 | ||||||
Aetna, Inc. | 13,432 | 1,430,911 | ||||||
Alexion Pharmaceuticals, Inc. † | 5,300 | 918,490 | ||||||
AmerisourceBergen Corp. | 11,223 | 1,275,718 | ||||||
Anthem, Inc. | 1,800 | 277,938 | ||||||
Baxter International, Inc. | 5,885 | 403,122 | ||||||
Becton Dickinson and Co. | 3,902 | 560,288 | ||||||
Bristol-Myers Squibb Co. | 23,257 | 1,500,077 | ||||||
Cardinal Health, Inc. | 4,424 | 399,354 | ||||||
Celgene Corp. † | 286 | 32,970 | ||||||
Centene Corp. † | 9,400 | 664,486 | ||||||
Cerner Corp. † | 1,797 | 131,648 | ||||||
CR Bard, Inc. | 5,104 | 854,154 | ||||||
Edwards Lifesciences Corp. † | 5,469 | 779,114 | ||||||
Eli Lilly & Co. | 31,628 | 2,297,774 | ||||||
Express Scripts Holding Co. † | 1,500 | 130,155 | ||||||
Health Net, Inc. † | 8,300 | 502,067 | ||||||
Henry Schein, Inc. † | 2,238 | 312,470 | ||||||
Humana, Inc. | 2,300 | 409,446 | ||||||
IDEXX Laboratories, Inc. † | 783 | 120,958 | ||||||
Intuitive Surgical, Inc. † | 800 | 404,024 | ||||||
Johnson & Johnson | 22,093 | 2,222,556 | ||||||
Laboratory Corp of America Holdings † | 4,517 | 569,549 | ||||||
McKesson Corp. | 2,261 | 511,438 | ||||||
Medtronic PLC (Ireland) | 16,131 | 1,258,057 | ||||||
Merck & Co., Inc. | 17,385 | 999,290 | ||||||
Pfizer, Inc. | 46,470 | 1,616,691 | ||||||
Stryker Corp. | 17,409 | 1,605,980 | ||||||
UnitedHealth Group, Inc. | 17,378 | 2,055,644 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
83
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Health Care - 16.4% (continued) | ||||||||
Zimmer Holdings, Inc. | 1,077 | $ | 126,569 | |||||
|
| |||||||
25,869,485 | ||||||||
|
| |||||||
Industrials - 8.8% | ||||||||
3M Co. | 13,346 | 2,201,423 | ||||||
Boeing Co./The | 600 | 90,048 | ||||||
Cintas Corp. | 4,682 | 382,192 | ||||||
Danaher Corp. | 4,349 | 369,230 | ||||||
Equifax, Inc. | 3,815 | 354,795 | ||||||
Fastenal Co. | 4,600 | 190,601 | ||||||
FedEx Corp. | 3,300 | 545,985 | ||||||
General Dynamics Corp. | 4,385 | 595,176 | ||||||
Honeywell International, Inc. | 2,469 | 257,541 | ||||||
Lockheed Martin Corp. | 5,300 | 1,075,688 | ||||||
MSC Industrial Direct Co., Inc., Class A | 735 | 53,067 | ||||||
Northrop Grumman Corp. | 1,654 | 266,228 | ||||||
Raytheon Co. | 6,945 | 758,741 | ||||||
Republic Services, Inc. | 9,694 | 393,189 | ||||||
Spirit Airlines, Inc. † | 3,500 | 270,760 | ||||||
Stericycle, Inc. † | 16,806 | 2,360,066 | ||||||
Union Pacific Corp. | 4,600 | 498,226 | ||||||
United Parcel Service, Inc., Class B | 6,239 | 604,809 | ||||||
United Technologies Corp. | 4,037 | 473,136 | ||||||
Waste Connections, Inc. | 4,300 | 207,002 | ||||||
Waste Management, Inc. | 34,990 | 1,897,508 | ||||||
|
| |||||||
13,845,411 | ||||||||
|
| |||||||
Information Technology - 10.3% | ||||||||
Accenture PLC, Class A (Ireland) | 10,260 | 961,259 | ||||||
Amdocs Ltd. | 500 | 27,200 | ||||||
Apple, Inc. | 1,700 | 211,531 | ||||||
Autodesk, Inc. † | 5,391 | 316,128 | ||||||
Automatic Data Processing, Inc. | 6,071 | 519,920 | ||||||
F5 Networks, Inc. † | 4,918 | 565,275 | ||||||
FactSet Research Systems, Inc. | 7,520 | 1,197,184 | ||||||
Gartner, Inc. † | 9,200 | 771,420 | ||||||
Google, Inc., Class A † | 1,248 | 692,266 | ||||||
Hewlett-Packard Co. | 3,700 | 115,292 | ||||||
Intel Corp. | 19,388 | 606,263 | ||||||
International Business Machines Corp. | 6,030 | 967,815 | ||||||
Intuit, Inc. | 15,513 | 1,504,141 | ||||||
Jack Henry & Associates, Inc. | 1,800 | 125,802 | ||||||
Linear Technology Corp. | 16,666 | 779,969 | ||||||
LinkedIn Corp., Class A † | 1,500 | 374,790 | ||||||
MasterCard, Inc., Class A | 2,160 | 186,602 | ||||||
Microsoft Corp. | 25,465 | 1,035,280 | ||||||
NetApp, Inc. | 8,228 | 291,765 | ||||||
Palo Alto Networks, Inc. † | 4,600 | 671,968 | ||||||
Paychex, Inc. | 30,150 | 1,495,892 | ||||||
QUALCOMM, Inc. | 700 | 48,538 | ||||||
Splunk, Inc. † | 5,100 | 301,920 | ||||||
Teradata Corp. † | 3,229 | 142,528 | ||||||
Texas Instruments, Inc. | 3,934 | 224,966 | ||||||
Visa, Inc., Class A | 29,396 | 1,922,792 | ||||||
VMware, Inc., Class A † | 1,833 | 150,324 | ||||||
Workday, Inc., Class A † | 500 | 42,205 | ||||||
|
| |||||||
16,251,035 | ||||||||
|
|
SHARES | VALUE (Note 4) | |||||||
Materials - 1.1% | ||||||||
International Flavors & Fragrances, Inc. | 1,127 | $ | 132,310 | |||||
PPG Industries, Inc. | 2,500 | 563,850 | ||||||
Sherwin-Williams Co./The | 3,670 | 1,044,115 | ||||||
|
| |||||||
1,740,275 | ||||||||
|
| |||||||
Telecommunication Services - 2.2% | ||||||||
AT&T, Inc. | 49,064 | 1,601,940 | ||||||
Verizon Communications, Inc. (NYSE) | 37,602 | 1,828,585 | ||||||
|
| |||||||
3,430,525 | ||||||||
|
| |||||||
Utilities - 9.1% | ||||||||
AGL Resources, Inc. | 7,400 | 367,410 | ||||||
American Electric Power Co., Inc. | 15,879 | 893,194 | ||||||
American Water Works Co., Inc. | 24,032 | 1,302,775 | ||||||
Aqua America, Inc. | 19,200 | 505,920 | ||||||
Atmos Energy Corp. | 11,600 | 641,480 | ||||||
Consolidated Edison, Inc. | 16,130 | 983,930 | ||||||
Dominion Resources, Inc. | 10,826 | 767,239 | ||||||
DTE Energy Co. | 3,510 | 283,222 | ||||||
Duke Energy Corp. | 11,044 | 847,958 | ||||||
NextEra Energy, Inc. | 10,575 | 1,100,329 | ||||||
NiSource, Inc. | 1,721 | 75,999 | ||||||
Pinnacle West Capital Corp. | 3,094 | 197,242 | ||||||
Public Service Enterprise Group, Inc. | 23,475 | 984,072 | ||||||
Questar Corp. | 10,258 | 244,756 | ||||||
Sempra Energy | 12,921 | 1,408,647 | ||||||
Southern Co./The | 37,837 | 1,675,422 | ||||||
UGI Corp. | 1,112 | 36,240 | ||||||
Vectren Corp. | 27,300 | 1,205,022 | ||||||
Wisconsin Energy Corp. | 6,866 | 339,867 | ||||||
Xcel Energy, Inc. | 14,091 | 490,508 | ||||||
|
| |||||||
14,351,232 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 150,071,164 | |||||||
|
| |||||||
MONEY MARKET FUNDS - 4.4% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (2)(a) | ||||||||
(cost $6,977,566) | 6,977,566 | 6,977,566 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 157,048,730 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% (b) | 723,415 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 157,772,145 | ||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
† | Non-income producing security. |
(a) | Represents annualized seven-day yield as of the close of the reporting period. |
(b) | Includes appreciation/(depreciation) on futures contracts. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
84
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR LARGE CAP DEFENSIVE STYLE FUND |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
NYSE - New York Stock Exchange
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Contracts: | ||||||||||||||||||
53 | Goldman Sachs | S&P 500 E-Mini Futures | 6/2015 | $ | 5,432,819 | $ | 5,461,120 | $ | 28,301 | |||||||||
|
|
|
|
|
|
Cash held as collateral at Goldman Sachs for futures contracts was $177,263 at March 31, 2015.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
85
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
COMMON STOCKS - 91.9% | SHARES | VALUE (Note 4) | ||||||
Australia - 17.2% | ||||||||
AGL Energy Ltd. | 30,151 | $ | 348,570 | |||||
Amcor Ltd. | 12,922 | 137,683 | ||||||
APA Group | 20,729 | 142,576 | ||||||
ASX Ltd. | 2,877 | 90,515 | ||||||
Aurizon Holdings Ltd. | 18,076 | 66,533 | ||||||
Australia & New Zealand Banking Group Ltd. | 1,702 | 47,350 | ||||||
Bendigo & Adelaide Bank Ltd. | 2,797 | 26,652 | ||||||
BHP Billiton Ltd. | 4,917 | 114,291 | ||||||
Boral Ltd. | 14,636 | 70,947 | ||||||
Brambles Ltd. | 40,110 | 350,770 | ||||||
Caltex Australia Ltd. | 6,552 | 173,886 | ||||||
Coca-Cola Amatil Ltd. | 9,368 | 76,699 | ||||||
Cochlear Ltd. | 2,349 | 161,486 | ||||||
Commonwealth Bank of Australia | 1,776 | 125,973 | ||||||
Crown Resorts Ltd. | 2,043 | 20,736 | ||||||
CSL Ltd. | 2,708 | 189,458 | ||||||
Flight Centre Travel Group Ltd. | 4,252 | 127,975 | ||||||
Incitec Pivot Ltd. | 17,862 | 55,171 | ||||||
Insurance Australia Group Ltd. | 29,734 | 137,638 | ||||||
Metcash Ltd. | 139,720 | 164,397 | ||||||
National Australia Bank Ltd. | 3,694 | 108,139 | ||||||
Newcrest Mining Ltd. † | 1,601 | 16,147 | ||||||
Orica Ltd. | 4,865 | 73,876 | ||||||
Ramsay Health Care Ltd. | 5,526 | 282,134 | ||||||
Sonic Healthcare Ltd. | 14,967 | 232,526 | ||||||
Suncorp Group Ltd. | 8,268 | 84,785 | ||||||
Sydney Airport | 18,501 | 72,805 | ||||||
Tatts Group Ltd. | 72,906 | 220,568 | ||||||
Telstra Corp. Ltd. | 87,651 | 420,765 | ||||||
Toll Holdings Ltd. | 6,039 | 40,631 | ||||||
Transurban Group | 20,147 | 145,882 | ||||||
Wesfarmers Ltd. | 12,485 | 416,923 | ||||||
Westpac Banking Corp. | 2,508 | 74,967 | ||||||
Woodside Petroleum Ltd. | 5,279 | 138,304 | ||||||
Woolworths Ltd. | 17,471 | 391,246 | ||||||
WorleyParsons Ltd. | 14,168 | 102,537 | ||||||
|
| |||||||
5,451,541 | ||||||||
|
| |||||||
Belgium - 1.5% | ||||||||
Belgacom SA | 6,096 | 213,289 | ||||||
Delhaize Group SA | 2,487 | 223,432 | ||||||
Umicore SA | 954 | 39,844 | ||||||
|
| |||||||
476,565 | ||||||||
|
| |||||||
Canada - 15.4% | ||||||||
Agnico Eagle Mines Ltd. (1) | 2,829 | 78,601 | ||||||
Agrium, Inc. (1) | 1,300 | 135,486 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 9,091 | 362,262 | ||||||
Bank of Montreal (1) | 2,703 | 161,982 | ||||||
Bank of Nova Scotia/The (1) | 3,380 | 169,567 | ||||||
Barrick Gold Corp. (1) | 6,333 | 69,253 | ||||||
BCE, Inc. (1) | 9,146 | 387,200 | ||||||
Canadian Imperial Bank of Commerce (1) | 3,183 | 230,755 | ||||||
Canadian National Railway Co. (1) | 2,422 | 162,200 | ||||||
Canadian Natural Resources Ltd. (1) | 500 | 15,325 | ||||||
Canadian Oil Sands Ltd. (1) | 4,900 | 38,107 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 588 | 59,903 | ||||||
Dollarama, Inc. (1) | 4,800 | 268,319 |
SHARES | VALUE (Note 4) | |||||||
Canada - 15.4% (continued) | ||||||||
Eldorado Gold Corp. (1) | 24,559 | $ | 112,659 | |||||
Enbridge, Inc. (1) | 1,142 | 55,046 | ||||||
Fortis, Inc. (1) | 500 | 15,230 | ||||||
Franco-Nevada Corp. (1) | 2,055 | 99,590 | ||||||
Goldcorp, Inc. (1) | 4,669 | 84,492 | ||||||
Husky Energy, Inc. (1) | 5,900 | 120,418 | ||||||
Imperial Oil Ltd. (1) | 5,871 | 234,321 | ||||||
Intact Financial Corp. (1) | 3,904 | 294,122 | ||||||
Loblaw Cos., Ltd. (1) | 2,096 | 102,471 | ||||||
Metro, Inc. (1) | 9,822 | 266,149 | ||||||
National Bank of Canada (1) | 5,046 | 184,223 | ||||||
Potash Corp of Saskatchewan, Inc. (1) | 2,340 | 75,435 | ||||||
Power Financial Corp. (1) | 800 | 23,680 | ||||||
Rogers Communications, Inc., Class B (1) | 3,237 | 108,364 | ||||||
Royal Bank of Canada (1) | 4,402 | 264,978 | ||||||
Saputo, Inc. (1) | 3,300 | 90,698 | ||||||
Shaw Communications, Inc., Class B (1) | 2,904 | 65,163 | ||||||
Silver Wheaton Corp. (1) | 9,452 | 179,555 | ||||||
Toronto-Dominion Bank/The (1) | 5,898 | 252,442 | ||||||
TransCanada Corp. (1) | 1,197 | 51,186 | ||||||
Vermilion Energy, Inc. (1) | 700 | 29,430 | ||||||
Yamana Gold, Inc. (1) | 10,571 | 37,892 | ||||||
|
| |||||||
4,886,504 | ||||||||
|
| |||||||
Colombia - 0.1% | ||||||||
Pacific Rubiales Energy Corp. (1) | 10,556 | 25,170 | ||||||
|
| |||||||
Denmark - 1.7% | ||||||||
Coloplast A/S, Class B | 3,086 | 233,132 | ||||||
DSV A/S | 2,449 | 76,112 | ||||||
Novo Nordisk A/S, Class B | 4,010 | 214,069 | ||||||
Novozymes A/S, B Shares | 140 | 6,391 | ||||||
|
| |||||||
529,704 | ||||||||
|
| |||||||
Finland - 0.7% | ||||||||
Fortum OYJ | 4,716 | 98,801 | ||||||
Kone OYJ, Class B | 1,603 | 71,077 | ||||||
Sampo OYJ, A Shares | 796 | 40,149 | ||||||
|
| |||||||
210,027 | ||||||||
|
| |||||||
France - 4.6% | ||||||||
Air Liquide SA | 37 | 4,763 | ||||||
AtoS | 474 | 32,628 | ||||||
Cie Generale des Etablissements Michelin | 282 | 28,044 | ||||||
Danone SA | 4,618 | 311,289 | ||||||
Dassault Systemes | 2,643 | 178,864 | ||||||
Essilor International SA | 289 | 33,182 | ||||||
Iliad SA | 455 | 106,251 | ||||||
L’Oreal SA | 1,386 | 255,288 | ||||||
Pernod Ricard SA | 898 | 106,181 | ||||||
Sanofi | 751 | 74,168 | ||||||
SCOR SE | 2,005 | 67,624 | ||||||
SES SA FDR | 361 | 12,798 | ||||||
Sodexo SA | 910 | 88,755 | ||||||
TOTAL SA | 3,147 | 156,428 | ||||||
|
| |||||||
1,456,263 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
86
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Germany - 2.9% | ||||||||
adidas AG | 610 | $ | 48,168 | |||||
Bayer AG | 871 | 130,315 | ||||||
Beiersdorf AG | 3,124 | 270,881 | ||||||
Deutsche Post AG | 1,190 | 37,074 | ||||||
E.ON SE | 782 | 11,627 | ||||||
Fresenius Medical Care AG & Co. KGaA | 1,716 | 142,637 | ||||||
Hannover Rueck SE | 529 | 54,664 | ||||||
Hugo Boss AG | 510 | 61,961 | ||||||
Merck KGaA | 458 | 51,258 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 102 | 21,918 | ||||||
SAP SE | 1,098 | 79,361 | ||||||
|
| |||||||
909,864 | ||||||||
|
| |||||||
Hong Kong - 3.8% | ||||||||
BOC Hong Kong Holdings Ltd. | 21,500 | 76,679 | ||||||
CLP Holdings Ltd. | 27,000 | 235,984 | ||||||
Hang Seng Bank Ltd. | 14,700 | 266,053 | ||||||
Hong Kong & China Gas Co., Ltd. | 107,690 | 249,361 | ||||||
MGM China Holdings Ltd. | 11,200 | 21,042 | ||||||
Power Assets Holdings Ltd. | 29,000 | 296,028 | ||||||
SJM Holdings Ltd. | 54,000 | 70,528 | ||||||
|
| |||||||
1,215,675 | ||||||||
|
| |||||||
Italy - 0.6% | ||||||||
Eni SpA | 575 | 9,952 | ||||||
Luxottica Group SpA | 2,742 | 173,667 | ||||||
|
| |||||||
183,619 | ||||||||
|
| |||||||
Japan - 15.2% | ||||||||
Ajinomoto Co., Inc. | 1,000 | 21,938 | ||||||
Asahi Group Holdings Ltd. | 1,400 | 44,392 | ||||||
Astellas Pharma, Inc. | 13,000 | 213,004 | ||||||
Bandai Namco Holdings, Inc. | 700 | 13,625 | ||||||
Benesse Holdings, Inc. | 1,100 | 34,604 | ||||||
Bridgestone Corp. | 400 | 16,016 | ||||||
Brother Industries Ltd. | 700 | 11,122 | ||||||
Calbee, Inc. | 3,700 | 160,625 | ||||||
Canon, Inc. | 5,700 | 201,673 | ||||||
Chugai Pharmaceutical Co., Ltd. | 4,800 | 151,492 | ||||||
Dai Nippon Printing Co., Ltd. | 1,000 | 9,713 | ||||||
Daihatsu Motor Co., Ltd. | 1,700 | 26,003 | ||||||
Dentsu, Inc. | 300 | 12,834 | ||||||
Eisai Co., Ltd. | 2,900 | 206,271 | ||||||
FamilyMart Co., Ltd. | 3,300 | 138,265 | ||||||
GungHo Online Entertainment, Inc. | 55,700 | 217,592 | ||||||
Hitachi Metals Ltd. | 1,000 | 15,327 | ||||||
Hoya Corp. | 2,500 | 100,086 | ||||||
Inpex Corp. | 4,000 | 44,075 | ||||||
ITOCHU Corp. | 1,300 | 14,068 | ||||||
Japan Airlines Co., Ltd. | 4,200 | 130,650 | ||||||
Japan Tobacco, Inc. | 1,800 | 56,907 | ||||||
JX Holdings, Inc. | 21,800 | 83,879 | ||||||
Kakaku.com, Inc. | 900 | 14,934 | ||||||
Kao Corp. | 4,300 | 214,716 | ||||||
Konica Minolta, Inc. | 4,300 | 43,578 | ||||||
Kuraray Co., Ltd. | 1,300 | 17,602 | ||||||
Lawson, Inc. | 900 | 62,388 |
SHARES | VALUE (Note 4) | |||||||
Japan - 15.2% (continued) | ||||||||
Mitsubishi Motors Corp. | 4,600 | $ | 41,477 | |||||
Mitsubishi Tanabe Pharma Corp. | 300 | 5,147 | ||||||
NH Foods Ltd. | 1,000 | 23,044 | ||||||
Nippon Express Co., Ltd. | 12,000 | 67,048 | ||||||
Nitori Holdings Co., Ltd. | 3,800 | 257,235 | ||||||
Nitto Denko Corp. | 1,100 | 73,451 | ||||||
Nomura Research Institute Ltd. | 1,700 | 63,869 | ||||||
NTT DOCOMO, Inc. | 3,500 | 61,166 | ||||||
Omron Corp. | 900 | 40,544 | ||||||
Ono Pharmaceutical Co., Ltd. | 1,200 | 135,413 | ||||||
Osaka Gas Co., Ltd. | 40,000 | 167,271 | ||||||
Otsuka Corp. | 500 | 21,308 | ||||||
Otsuka Holdings Co., Ltd. | 8,300 | 259,654 | ||||||
Sanrio Co., Ltd. | 1,200 | 32,055 | ||||||
Santen Pharmaceutical Co., Ltd. | 6,500 | 94,808 | ||||||
Secom Co., Ltd. | 600 | 40,020 | ||||||
Seven & I Holdings Co., Ltd. | 800 | 33,619 | ||||||
Shimamura Co., Ltd. | 2,700 | 250,076 | ||||||
Shin-Etsu Chemical Co., Ltd. | 800 | 52,230 | ||||||
Shiseido Co., Ltd. | 600 | 10,644 | ||||||
Suzuki Motor Corp. | 400 | 12,014 | ||||||
Sysmex Corp. | 800 | 44,357 | ||||||
Takeda Pharmaceutical Co., Ltd. | 1,000 | 49,918 | ||||||
Tokyo Gas Co., Ltd. | 30,000 | 188,602 | ||||||
Toyo Suisan Kaisha Ltd. | 5,000 | 175,912 | ||||||
Trend Micro, Inc. | 3,200 | 105,442 | ||||||
Unicharm Corp. | 1,200 | 31,416 | ||||||
West Japan Railway Co. | 700 | 36,701 | ||||||
Yamato Holdings Co., Ltd. | 7,200 | 165,950 | ||||||
|
| |||||||
4,817,770 | ||||||||
|
| |||||||
Netherlands - 1.1% | ||||||||
Koninklijke Ahold NV | 16,757 | 330,211 | ||||||
Randstad Holding NV | 201 | 12,185 | ||||||
|
| |||||||
342,396 | ||||||||
|
| |||||||
Norway - 1.2% | ||||||||
Orkla ASA | 5,852 | 44,167 | ||||||
Statoil ASA | 5,809 | 102,711 | ||||||
Telenor ASA | 11,356 | 229,169 | ||||||
Yara International ASA | 330 | 16,755 | ||||||
|
| |||||||
392,802 | ||||||||
|
| |||||||
Singapore - 3.2% | ||||||||
DBS Group Holdings Ltd. | 9,000 | 133,451 | ||||||
Golden Agri-Resources Ltd. | 139,000 | 43,015 | ||||||
Keppel Corp. Ltd. | 2,000 | 13,104 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 10,000 | 77,004 | ||||||
Singapore Telecommunications Ltd. | 146,000 | 465,892 | ||||||
United Overseas Bank Ltd. | 2,000 | 33,524 | ||||||
Wilmar International Ltd. | 100,000 | 237,398 | ||||||
|
| |||||||
1,003,388 | ||||||||
|
| |||||||
Spain - 1.0% | ||||||||
Enagas SA | 1,116 | 31,912 | ||||||
Gas Natural SDG SA | 621 | 13,943 | ||||||
Iberdrola SA | 12,590 | 81,187 | ||||||
Inditex SA | 4,730 | 151,860 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
87
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Spain - 1.0% (continued) | ||||||||
Telefonica SA | 3,067 | $ | 43,642 | |||||
|
| |||||||
322,544 | ||||||||
|
| |||||||
Sweden - 3.4% | ||||||||
Boliden AB | 4,866 | 96,393 | ||||||
Elekta AB, B Shares | 3,700 | 33,260 | ||||||
Hennes & Mauritz AB, B Shares | 8,294 | 336,054 | ||||||
Svenska Cellulosa AB SCA, Class B | 3,372 | 77,485 | ||||||
Swedish Match AB | 6,532 | 192,059 | ||||||
Tele2 AB, B Shares | 5,633 | 67,375 | ||||||
TeliaSonera AB | 46,084 | 292,849 | ||||||
|
| |||||||
1,095,475 | ||||||||
|
| |||||||
Switzerland - 5.9% | ||||||||
Kuehne + Nagel International AG | 2,322 | 344,751 | ||||||
Nestle SA | 4,807 | 361,979 | ||||||
Novartis AG | 3,246 | 320,382 | ||||||
Roche Holding AG | 701 | 192,629 | ||||||
SGS SA | 71 | 135,370 | ||||||
Swiss Re AG | 2,641 | 254,745 | ||||||
Swisscom AG | 229 | 132,795 | ||||||
Syngenta AG | 36 | 12,230 | ||||||
Zurich Insurance Group AG † | 385 | 130,131 | ||||||
|
| |||||||
1,885,012 | ||||||||
|
| |||||||
United Kingdom - 12.0% | ||||||||
Aggreko PLC | 562 | 12,713 | ||||||
Associated British Foods PLC | 6,170 | 257,494 | ||||||
AstraZeneca PLC | 3,019 | 207,159 | ||||||
BP PLC | 15,556 | 100,837 | ||||||
British American Tobacco PLC | 2,943 | 152,400 | ||||||
Burberry Group PLC | 2,556 | 65,639 | ||||||
Centrica PLC | 66,140 | 247,384 | ||||||
Compass Group PLC | 11,100 | 192,688 | ||||||
Diageo PLC | 926 | 25,589 | ||||||
easyJet PLC | 547 | 15,224 | ||||||
Experian PLC | 561 | 9,286 | ||||||
GlaxoSmithKline PLC | 4,957 | 114,110 | ||||||
HSBC Holdings PLC | 8,431 | 71,844 | ||||||
Imperial Tobacco Group PLC | 2,019 | 88,566 | ||||||
Indivior PLC † | 3,113 | 8,748 | ||||||
J Sainsbury PLC | 42,531 | 163,209 | ||||||
Marks & Spencer Group PLC | 4,636 | 36,666 | ||||||
National Grid PLC | 20,399 | 262,251 | ||||||
Next PLC | 481 | 50,023 | ||||||
Pearson PLC | 795 | 17,111 | ||||||
Reckitt Benckiser Group PLC | 3,113 | 267,424 | ||||||
Rexam PLC | 7,815 | 66,977 | ||||||
Rio Tinto Ltd. | 1,051 | 45,540 | ||||||
Royal Dutch Shell PLC, A Shares | 4,281 | 127,305 | ||||||
Royal Mail PLC | 2,335 | 15,145 | ||||||
SABMiller PLC | 623 | 32,634 | ||||||
Sage Group PLC/The | 3,363 | 23,231 | ||||||
Shire PLC | 288 | 22,960 | ||||||
Sky PLC | 13,247 | 194,890 | ||||||
Smith & Nephew PLC | 14,510 | 247,418 | ||||||
SSE PLC | 9,272 | 205,773 | ||||||
Tate & Lyle PLC | 5,428 | 48,022 |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 12.0% (continued) | ||||||||
Unilever NV CVA | 4,882 | $ | 204,007 | |||||
United Utilities Group PLC | 2,762 | 38,191 | ||||||
Whitbread PLC | 1,298 | 100,790 | ||||||
WM Morrison Supermarkets PLC | 19,883 | 56,824 | ||||||
|
| |||||||
3,796,072 | ||||||||
|
| |||||||
United States - 0.4% | ||||||||
Thomson Reuters Corp. (1) | 3,338 | 135,333 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 29,135,724 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.5% | ||||||||
Germany - 0.5% | ||||||||
Henkel AG & Co. KGaA | 1,444 | 169,614 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 6.6% | ||||||||
United States - 6.6% | ||||||||
iShares MSCI EAFE ETF (1) | 32,433 | 2,081,225 | ||||||
|
| |||||||
RIGHTS - 0.0% (a) | ||||||||
Spain - 0.0% (a) | ||||||||
Telefonica SA † | 3,067 | 495 | ||||||
|
| |||||||
MONEY MARKET FUNDS—0.8% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (b) | ||||||||
(cost $266,455) | 266,455 | 266,455 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 31,653,513 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% | 51,252 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 31,704,765 | ||||||
|
|
† | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Represents annualized seven-day yield as of the close of the reporting period. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
88
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 3,244,618 | 10.2 | % | ||||
Consumer Staples | 6,763,879 | 21.2 | ||||||
Energy | 1,608,917 | 5.1 | ||||||
Exchange-Traded Funds | 2,081,225 | 6.6 | ||||||
Financials | 3,505,555 | 11.1 | ||||||
Health Care | 4,051,096 | 12.8 | ||||||
Industrials | 2,045,013 | 6.5 | ||||||
Information Technology | 1,134,230 | 3.6 | ||||||
Materials | 1,788,583 | 5.6 | ||||||
Telecommunication Services | 2,529,252 | 8.0 | ||||||
Utilities | 2,634,690 | 8.3 | ||||||
Money Market Funds | 266,455 | 0.8 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 31,653,513 | 99.8 | ||||||
Other Assets in Excess of Liabilities | 51,252 | 0.2 | ||||||
|
|
|
| |||||
Net Assets | $ | 31,704,765 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
89
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
COMMON STOCKS - 95.5% | SHARES | VALUE (Note 4) | ||||||
Brazil - 10.7% | ||||||||
Ambev SA ADR (1) | 186,600 | $ | 1,074,816 | |||||
BRF SA (1) | 21,100 | 417,564 | ||||||
CCR SA (1) | 84,400 | 436,604 | ||||||
Cia Brasileira de Distribuicao ADR (1) | 13,281 | 396,039 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) | 84,142 | 456,050 | ||||||
Cia Energetica de Minas Gerais ADR (1) | 87,302 | 357,065 | ||||||
Cia Paranaense de Energia ADR (1) | 4,118 | 43,157 | ||||||
Cielo SA (1) | 7,780 | 111,378 | ||||||
CPFL Energia SA ADR (1)(a) | 18,084 | 230,028 | ||||||
EcoRodovias Infraestrutura e Logistica SA (1) | 143,900 | 402,634 | ||||||
EDP—Energias do Brasil SA (1) | 126,000 | 411,374 | ||||||
Gerdau SA ADR (1) | 51,200 | 163,840 | ||||||
Localiza Rent a Car SA (1) | 71,910 | 824,198 | ||||||
Natura Cosmeticos SA (1) | 34,100 | 289,869 | ||||||
Odontoprev SA (1) | 206,000 | 706,773 | ||||||
Qualicorp SA (1)† | 76,600 | 551,540 | ||||||
Souza Cruz SA (1) | 33,400 | 264,663 | ||||||
Telefonica Brasil SA ADR (1)(a) | 24,535 | 375,140 | ||||||
Tim Participacoes SA ADR (1) | 2,844 | 47,154 | ||||||
TOTVS SA (1) | 13,800 | 158,472 | ||||||
Tractebel Energia SA (1) | 76,100 | 847,423 | ||||||
Ultrapar Participacoes SA ADR (1)(a) | 11,400 | 230,280 | ||||||
WEG SA (1) | 64,790 | 649,006 | ||||||
|
| |||||||
9,445,067 | ||||||||
|
| |||||||
Chile - 5.2% | ||||||||
Banco de Chile (1) | 4,439,112 | 497,508 | ||||||
Banco Santander Chile ADR (1) | 26,493 | 574,368 | ||||||
Empresa Nacional de Electricidad SA ADR (1)(a) | 11,200 | 504,560 | ||||||
Empresas COPEC SA (1) | 57,222 | 665,223 | ||||||
Enersis SA ADR (1) | 72,447 | 1,177,988 | ||||||
SACI Falabella (1) | 89,427 | 684,070 | ||||||
Sociedad Quimica y Minera de Chile SA ADR (1) | 28,078 | 512,424 | ||||||
|
| |||||||
4,616,141 | ||||||||
|
| |||||||
China - 2.5% | ||||||||
ANTA Sports Products Ltd. | 64,000 | 116,867 | ||||||
China Mengniu Dairy Co., Ltd. | 16,000 | 85,226 | ||||||
China Telecom Corp. Ltd., H Shares | 122,000 | 77,996 | ||||||
ENN Energy Holdings Ltd. | 44,000 | 270,176 | ||||||
Lenovo Group Ltd. | 284,000 | 413,847 | ||||||
PetroChina Co., Ltd. ADR (1) | 776 | 86,299 | ||||||
Sun Art Retail Group Ltd. | 332,500 | 289,630 | ||||||
Tingyi Cayman Islands Holding Corp. | 62,000 | 133,486 | ||||||
Tsingtao Brewery Co., Ltd., H Shares (a) | 50,000 | 335,273 | ||||||
Want Want China Holdings Ltd. | 59,000 | 62,786 | ||||||
ZHuzhou CSR Times Electric Co., Ltd., H Shares | 44,000 | 289,429 | ||||||
|
| |||||||
2,161,015 | ||||||||
|
| |||||||
Hong Kong - 3.0% | ||||||||
China Mobile Ltd. ADR (1) | 9,232 | 600,357 | ||||||
China Unicom Hong Kong Ltd. ADR (1)(a) | 3,161 | 48,237 | ||||||
COSCO Pacific Ltd. | 86,000 | 112,651 |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 3.0% (continued) | ||||||||
Guangdong Investment Ltd. | 486,000 | $ | 637,326 | |||||
Haier Electronics Group Co., Ltd. | 79,000 | 206,790 | ||||||
Sino Biopharmaceutical Ltd. | 1,016,000 | 1,027,870 | ||||||
|
| |||||||
2,633,231 | ||||||||
|
| |||||||
India - 0.8% | ||||||||
Dr. Reddy’s Laboratories Ltd. ADR (1) | 8,493 | 484,950 | ||||||
Infosys Ltd. ADR (1) | 7,400 | 259,592 | ||||||
|
| |||||||
744,542 | ||||||||
|
| |||||||
Indonesia - 3.8% | ||||||||
Bank Central Asia Tbk PT | 280,000 | 317,338 | ||||||
Bank Mandiri Persero Tbk PT | 60,700 | 57,888 | ||||||
Indofood Sukses Makmur Tbk PT | 150,900 | 85,932 | ||||||
Kalbe Farma Tbk PT | 5,732,800 | 817,953 | ||||||
Perusahaan Gas Negara Persero Tbk PT | 1,916,400 | 702,414 | ||||||
Semen Indonesia Persero Tbk PT | 754,000 | 786,108 | ||||||
Telekomunikasi Indonesia Persero Tbk PT ADR (1) | 14,239 | 619,966 | ||||||
|
| |||||||
3,387,599 | ||||||||
|
| |||||||
Korea, Republic of - 12.3% | ||||||||
Amorepacific Corp. | 305 | 921,553 | ||||||
Cheil Worldwide, Inc. † | 37,664 | 815,939 | ||||||
Coway Co., Ltd. | 1,122 | 92,346 | ||||||
Dongbu Insurance Co., Ltd. | 9,911 | 441,303 | ||||||
E-Mart Co., Ltd. | 170 | 35,634 | ||||||
Hyundai Department Store Co., Ltd. | 1,879 | 251,898 | ||||||
Hyundai Glovis Co., Ltd. | 3,154 | 641,191 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 11,670 | 260,913 | ||||||
Hyundai Mobis Co., Ltd. | 2,271 | 503,039 | ||||||
Hyundai Wia Corp. | 340 | 43,298 | ||||||
Kangwon Land, Inc. | 29,624 | 923,844 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 1,227 | 107,790 | ||||||
Kia Motors Corp. | 12,648 | 513,988 | ||||||
Korea Aerospace Industries Ltd. | 7,800 | 396,119 | ||||||
KT Corp. ADR (1) | 25,821 | 337,739 | ||||||
KT&G Corp. | 9,465 | 756,785 | ||||||
LG Chem Ltd. | 1,793 | 363,965 | ||||||
LG Household & Health Care Ltd. | 201 | 152,319 | ||||||
LG Uplus Corp. | 67,109 | 664,837 | ||||||
Lotte Shopping Co., Ltd. | 246 | 52,592 | ||||||
Orion Corp. | 143 | 149,144 | ||||||
S-1 Corp. | 5,828 | 440,329 | ||||||
Samsung C&T Corp. | 998 | 53,354 | ||||||
Samsung Electronics Co., Ltd. GDR 144A (b) | 594 | 385,756 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 3,599 | 867,169 | ||||||
Samsung Life Insurance Co., Ltd. | 2,585 | 224,947 | ||||||
SK Hynix, Inc. | 6,231 | 254,515 | ||||||
SK Telecom Co., Ltd. ADR (1) | 6,728 | 183,069 | ||||||
|
| |||||||
10,835,375 | ||||||||
|
| |||||||
Malaysia - 14.4% | ||||||||
AMMB Holdings Bhd | 264,100 | 453,010 | ||||||
Axiata Group Bhd | 663,100 | 1,266,785 | ||||||
CIMB Group Holdings Bhd | 257,100 | 431,603 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
90
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Malaysia - 14.4% (continued) | ||||||||
Dialog Group Bhd | 188,600 | $ | 80,282 | |||||
DiGi.Com Bhd | 740,200 | 1,258,220 | ||||||
Gamuda Bhd | 101,500 | 139,911 | ||||||
Genting Bhd | 153,100 | 371,604 | ||||||
IHH Healthcare Bhd | 433,700 | 703,510 | ||||||
IJM Corp. Bhd | 259,700 | 504,538 | ||||||
IOI Corp. Bhd | 402,600 | 498,948 | ||||||
Malayan Banking Bhd | 491,700 | 1,238,761 | ||||||
Maxis Bhd | 375,600 | 727,999 | ||||||
Petronas Gas Bhd | 157,500 | 978,222 | ||||||
Public Bank Bhd | 194,300 | 990,033 | ||||||
Sime Darby Bhd | 306,400 | 766,876 | ||||||
Telekom Malaysia Bhd | 623,400 | 1,220,550 | ||||||
Tenaga Nasional Bhd | 289,400 | 1,120,493 | ||||||
|
| |||||||
12,751,345 | ||||||||
|
| |||||||
Mexico - 7.1% | ||||||||
Alfa SAB de CV, Class A (1)† | 175,400 | 354,169 | ||||||
America Movil SAB de CV, Class L ADR (1) | 5,676 | 116,131 | ||||||
Arca Continental SAB de CV (1)† | 157,200 | 965,553 | ||||||
Coca-Cola Femsa SAB de CV ADR (1) | 4,752 | 379,495 | ||||||
Genomma Lab Internacional SAB de CV, Class B (1)† | 263,200 | 249,336 | ||||||
Gentera SAB de CV (1)† | 25,800 | 46,463 | ||||||
Gruma SAB de CV, Class B (1) | 53,300 | 676,632 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV ADR (1)(a) | 7,000 | 458,780 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 59,400 | 344,714 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O (1) | 161,800 | 408,597 | ||||||
Grupo Lala SAB de CV (1) | 5,700 | 11,565 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1) | 198,100 | 415,330 | ||||||
Mexichem SAB de CV (1) | 109,100 | 284,954 | ||||||
Promotora y Operadora de Infraestructura SAB de CV (1)† | 21,500 | 229,342 | ||||||
Wal-Mart de Mexico SAB de CV (1) | 539,700 | 1,348,410 | ||||||
|
| |||||||
6,289,471 | ||||||||
|
| |||||||
Poland - 4.1% | ||||||||
Bank Pekao SA | 11,114 | 538,432 | ||||||
Bank Zachodni WBK SA | 4,173 | 379,494 | ||||||
Orange Polska SA | 145,284 | 365,090 | ||||||
PGE Polska Grupa Energetyczna SA | 228,641 | 1,256,170 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 20,131 | 180,181 | ||||||
Powszechny Zaklad Ubezpieczen SA | 7,219 | 931,442 | ||||||
|
| |||||||
3,650,809 | ||||||||
|
| |||||||
South Africa - 14.1% | ||||||||
Anglo American Platinum Ltd. † | 4,409 | 107,935 | ||||||
Aspen Pharmacare Holdings Ltd. † | 4,372 | 138,140 | ||||||
Barclays Africa Group Ltd. | 2,086 | 31,791 | ||||||
Bidvest Group Ltd./The | 24,728 | 668,894 | ||||||
Coronation Fund Managers Ltd. | 17,554 | 141,888 | ||||||
Discovery Ltd. | 5,654 | 58,028 | ||||||
FirstRand Ltd. | 110,291 | 507,012 |
SHARES | VALUE (Note 4) | |||||||
South Africa - 14.1% (continued) | ||||||||
Foschini Group Ltd./The | 6,703 | $ | 99,660 | |||||
Gold Fields Ltd. ADR (1) | 38,932 | 156,117 | ||||||
Kumba Iron Ore Ltd. | 8,067 | 103,586 | ||||||
Life Healthcare Group Holdings Ltd. | 184,202 | 641,556 | ||||||
Mediclinic International Ltd. | 16,125 | 161,891 | ||||||
Mr Price Group Ltd. | 51,256 | 1,096,269 | ||||||
MTN Group Ltd. | 54,242 | 914,366 | ||||||
Naspers Ltd., N Shares | 1,036 | 158,913 | ||||||
Nedbank Group Ltd. | 29,507 | 577,910 | ||||||
Netcare Ltd. | 250,190 | 857,973 | ||||||
RMB Holdings Ltd. | 121,057 | 696,360 | ||||||
Sanlam Ltd. | 34,051 | 219,452 | ||||||
Sasol Ltd. ADR (1) | 15,999 | 544,606 | ||||||
Shoprite Holdings Ltd. | 77,293 | 1,045,013 | ||||||
SPAR Group Ltd./The | 18,028 | 279,955 | ||||||
Standard Bank Group Ltd. | 65,673 | 907,530 | ||||||
Telkom SA SOC Ltd. † | 24,297 | 158,478 | ||||||
Tiger Brands Ltd. | 16,755 | 421,597 | ||||||
Truworths International Ltd. | 80,708 | 585,828 | ||||||
Vodacom Group Ltd. | 63,519 | 693,809 | ||||||
Woolworths Holdings Ltd. | 64,766 | 459,173 | ||||||
|
| |||||||
12,433,730 | ||||||||
|
| |||||||
Taiwan - 11.9% | ||||||||
Advanced Semiconductor Engineering, Inc. | 366,000 | 495,613 | ||||||
Asustek Computer, Inc. | 68,000 | 683,604 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 16,000 | 36,727 | ||||||
China Development Financial Holding Corp. | 464,000 | 160,637 | ||||||
China Steel Corp. | 132,359 | 109,878 | ||||||
Chunghwa Telecom Co., Ltd. ADR (1) | 12,163 | 390,067 | ||||||
CTBC Financial Holding Co., Ltd. | 111,995 | 74,339 | ||||||
Eva Airways Corp. † | 117,000 | 85,799 | ||||||
Far EasTone Telecommunications Co., Ltd. † | 302,000 | 728,559 | ||||||
Foxconn Technology Co., Ltd. | 297,717 | 798,247 | ||||||
Hon Hai Precision Industry Co., Ltd. | 187,600 | 549,132 | ||||||
Inventec Corp. | 102,000 | 73,662 | ||||||
Kinsus Interconnect Technology Corp. | 143,000 | 458,013 | ||||||
Lite-On Technology Corp. | 344,716 | 445,929 | ||||||
MediaTek, Inc. | 23,000 | 310,632 | ||||||
Mega Financial Holding Co., Ltd. | 148,000 | 122,596 | ||||||
Pegatron Corp. | 189,000 | 509,930 | ||||||
Pou Chen Corp. | 192,000 | 268,281 | ||||||
President Chain Store Corp. | 121,000 | 909,453 | ||||||
Quanta Computer, Inc. | 69,000 | 166,542 | ||||||
Radiant Opto-Electronics Corp. | 89,060 | 276,566 | ||||||
Realtek Semiconductor Corp. | 62,442 | 198,882 | ||||||
Taishin Financial Holding Co., Ltd. | 226,462 | 96,108 | ||||||
Taiwan Mobile Co., Ltd. | 300,000 | 1,048,845 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) | 42,956 | 1,008,607 | ||||||
Uni-President Enterprises Corp. | 279,397 | 466,923 | ||||||
Wistron Corp. | 32,928 | 27,940 | ||||||
|
| |||||||
10,501,511 | ||||||||
|
| |||||||
Thailand - 3.3% | ||||||||
Advanced Info Service PCL NVDR | 68,800 | 499,992 | ||||||
Bangkok Dusit Medical Services PCL NVDR | 1,136,600 | 687,225 | ||||||
BTS Group Holdings PCL NVDR | 723,500 | 203,035 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
91
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND |
SHARES | VALUE (Note 4) | |||||||
Thailand - 3.3% (continued) | ||||||||
CP ALL PCL NVDR | 172,100 | $ | 216,751 | |||||
PTT Exploration & Production PCL NVDR | 12,000 | 40,182 | ||||||
PTT PCL NVDR | 70,800 | 702,324 | ||||||
Siam Cement PCL/The NVDR | 29,300 | 460,958 | ||||||
Thai Oil PCL NVDR | 58,000 | 92,572 | ||||||
|
| |||||||
2,903,039 | ||||||||
|
| |||||||
Turkey - 2.3% | ||||||||
BIM Birlesik Magazalar AS | 47,853 | 847,793 | ||||||
Enka Insaat ve Sanayi AS | 15,233 | 30,440 | ||||||
KOC Holding AS | 19,156 | 87,134 | ||||||
Petkim Petrokimya Holding AS | 219,564 | 291,718 | ||||||
Turk Hava Yollari AO † | 39,542 | 130,442 | ||||||
Turk Telekomunikasyon AS | 196,161 | 520,064 | ||||||
Turkcell Iletisim Hizmetleri AS † | 23,106 | 118,513 | ||||||
|
| |||||||
2,026,104 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 84,378,979 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Brazil - 0.1% | ||||||||
Cia Energetica de Sao Paulo, Series B (1) | ||||||||
(cost $151,410) | 15,800 | 117,824 | ||||||
|
| |||||||
EXCHANGE-TRADED FUNDS (ETF) - 3.2% | ||||||||
United States - 3.2% | ||||||||
iShares MSCI Emerging Markets ETF (1) | ||||||||
(cost $2,663,157) | 69,484 | 2,788,393 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 0.7% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | ||||||||
(cost $580,962) | 580,962 | 580,962 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 1.6% | ||||||||
Money Market Funds - 1.6% | ||||||||
Investments in a Pooled Account through Securities Lending Program with JPMorgan Chase Bank | ||||||||
BlackRock Liquidity Funds TempCash Portfolio - Series I, Institutional Shares, 0.070% (c)(d) | ||||||||
(cost $1,431,301) | 1,431,301 | 1,431,301 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN | 89,297,459 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.1%) | (967,148) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 88,330,311 | ||||||
|
|
† | Non-income producing security. |
(a) | All or a portion of the security on loan. The aggregate market value of such securities is $1,404,910; cash collateral of $1,431,301 was received with which the Fund purchased a money market fund. |
(b) | 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. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 7,281,127 | 8.2 | % | ||||
Consumer Staples | 13,934,140 | 15.8 | ||||||
Energy | 2,361,486 | 2.7 | ||||||
Exchange-Traded Funds | 2,788,393 | 3.2 | ||||||
Financials | 12,777,814 | 14.5 | ||||||
Health Care | 7,028,716 | 7.9 | ||||||
Industrials | 8,092,947 | 9.2 | ||||||
Information Technology | 7,586,859 | 8.5 | ||||||
Materials | 3,341,482 | 3.8 | ||||||
Telecommunication Services | 12,981,962 | 14.7 | ||||||
Utilities | 9,110,270 | 10.3 | ||||||
Money Market Funds | 580,962 | 0.7 | ||||||
Securities Lending Collateral | 1,431,301 | 1.6 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 89,297,459 | 101.1 | ||||||
Liabilities in Excess of Other Assets | (967,148 | ) | (1.1 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 88,330,311 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
92
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
COMMON STOCKS - 89.9% | SHARES | VALUE (Note 4) | ||||||
Australia - 1.9% | ||||||||
Asciano Ltd. | 52,264 | $ | 251,337 | |||||
ASX Ltd. | 1,555 | 48,923 | ||||||
Australia & New Zealand Banking Group Ltd. | 27,640 | 768,950 | ||||||
BHP Billiton Ltd. | 25,910 | 602,253 | ||||||
BHP Billiton PLC | 14,775 | 324,242 | ||||||
Computershare Ltd. | 3,819 | 36,914 | ||||||
Dexus Property Group REIT | 6,812 | 39,217 | ||||||
Federation Centres REIT | 11,381 | 26,271 | ||||||
Goodman Group REIT | 14,552 | 70,070 | ||||||
GPT Group/The REIT (Escrow) (3)†(a) | 96,388 | — | ||||||
GPT Group/The REIT | 14,949 | 51,923 | ||||||
Harvey Norman Holdings Ltd. | 38,061 | 128,647 | ||||||
Lend Lease Group | 36,770 | 464,427 | ||||||
Macquarie Group Ltd. | 8,110 | 471,405 | ||||||
Mirvac Group REIT | 30,051 | 45,885 | ||||||
National Australia Bank Ltd. | 18,772 | 549,537 | ||||||
Newcrest Mining Ltd. † | 6,113 | 61,653 | ||||||
Novion Property Group REIT | 17,337 | 33,026 | ||||||
Qantas Airways Ltd. † | 144,351 | 342,387 | ||||||
Scentre Group REIT | 45,297 | 128,681 | ||||||
Stockland REIT | 18,057 | 61,693 | ||||||
Telstra Corp. Ltd. | 174,660 | 838,448 | ||||||
Westfield Corp. REIT | 15,829 | 114,715 | ||||||
Westpac Banking Corp. | 14,842 | 443,643 | ||||||
|
| |||||||
5,904,247 | ||||||||
|
| |||||||
Belgium - 0.5% | ||||||||
Belgacom SA | 42,078 | 1,472,238 | ||||||
|
| |||||||
Canada - 2.4% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 7,800 | 310,818 | ||||||
Bank of Montreal (1) | 5,180 | 310,420 | ||||||
Bank of Nova Scotia/The (1) | 3,199 | 160,487 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 4,802 | 256,829 | ||||||
Canadian Imperial Bank of Commerce (1) | 5,300 | 384,230 | ||||||
Canadian National Railway Co. (1) | 3,800 | 254,483 | ||||||
Canadian Natural Resources Ltd. (1) | 14,300 | 438,298 | ||||||
Canadian Pacific Railway Ltd. (1) | 1,200 | 219,715 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 1,100 | 112,063 | ||||||
CI Financial Corp. (1) | 1,200 | 33,549 | ||||||
Crescent Point Energy Corp. (1) | 3,000 | 66,890 | ||||||
Dollarama, Inc. (1) | 8,200 | 458,379 | ||||||
Encana Corp. (1) | 21,400 | 238,914 | ||||||
Enerplus Corp. (1) | 17,151 | 173,873 | ||||||
Fairfax Financial Holdings Ltd. (1) | 200 | 112,116 | ||||||
Finning International, Inc. (1) | 11,200 | 208,339 | ||||||
Great-West Lifeco, Inc. (1) | 2,245 | 64,910 | ||||||
IGM Financial, Inc. (1) | 800 | 28,430 | ||||||
Kinross Gold Corp. (1)† | 93,900 | 208,329 | ||||||
Magna International, Inc. (1) | 11,868 | 634,465 | ||||||
Manulife Financial Corp. (1) | 17,400 | 295,507 | ||||||
National Bank of Canada (1) | 3,800 | 138,733 | ||||||
Power Corp. of Canada (1) | 2,746 | 72,674 | ||||||
RioCan Real Estate Investment Trust REIT (1) | 2,100 | 48,034 |
SHARES | VALUE (Note 4) | |||||||
Canada - 2.4% (continued) | ||||||||
Royal Bank of Canada (1) | 5,424 | $ | 326,498 | |||||
Suncor Energy, Inc. (1) | 38,982 | 1,139,097 | ||||||
Toronto-Dominion Bank/The (1) | 7,124 | 304,916 | ||||||
Valeant Pharmaceuticals International, Inc. (1)† | 2,574 | 508,500 | ||||||
|
| |||||||
7,509,496 | ||||||||
|
| |||||||
Denmark - 1.0% | ||||||||
Novo Nordisk A/S, Class B | 7,055 | 376,623 | ||||||
Pandora A/S | 26,043 | 2,371,087 | ||||||
TDC A/S | 39,926 | 286,068 | ||||||
|
| |||||||
3,033,778 | ||||||||
|
| |||||||
Finland - 0.7% | ||||||||
Fortum OYJ | 20,807 | 435,911 | ||||||
Nokia OYJ | 130,414 | 994,375 | ||||||
Orion OYJ, Class B | 20,742 | 584,668 | ||||||
|
| |||||||
2,014,954 | ||||||||
|
| |||||||
France - 3.8% | ||||||||
Cie de Saint-Gobain | 9,312 | 408,865 | ||||||
Cie Generale des Etablissements Michelin | 6,074 | 604,029 | ||||||
CNP Assurances | 32,506 | 569,721 | ||||||
GDF Suez | 46,886 | 925,672 | ||||||
Klepierre REIT | 1,740 | 85,445 | ||||||
Lagardere SCA | 23,569 | 708,376 | ||||||
Natixis SA | 79,251 | 593,637 | ||||||
Orange SA | 109,921 | 1,765,283 | ||||||
Peugeot SA † | 51,080 | 853,833 | ||||||
Sanofi | 12,659 | 1,250,191 | ||||||
SCOR SE | 6,788 | 228,944 | ||||||
Societe Generale SA | 20,121 | 971,482 | ||||||
Thales SA | 6,355 | 352,591 | ||||||
TOTAL SA | 12,094 | 601,156 | ||||||
Unibail-Rodamco SE REIT | 1,072 | 289,479 | ||||||
Valeo SA | 1,673 | 249,537 | ||||||
Vivendi SA † | 46,150 | 1,145,802 | ||||||
|
| |||||||
11,604,043 | ||||||||
|
| |||||||
Germany - 2.7% | ||||||||
Allianz SE | 1,649 | 286,294 | ||||||
Bayer AG | 5,583 | 835,305 | ||||||
Commerzbank AG † | 8,181 | 112,417 | ||||||
Deutsche Boerse AG | 1,565 | 127,718 | ||||||
Deutsche Post AG | 23,873 | 743,761 | ||||||
E.ON SE | 65,108 | 968,086 | ||||||
Fresenius SE & Co. KGaA | 5,283 | 314,954 | ||||||
Hannover Rueck SE | 5,525 | 570,924 | ||||||
Infineon Technologies AG | 32,598 | 387,816 | ||||||
Merck KGaA | 3,984 | 445,881 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 3,761 | 808,172 | ||||||
OSRAM Licht AG | 24,501 | 1,212,872 | ||||||
Telefonica Deutschland Holding AG † | 58,391 | 335,773 | ||||||
TUI AG | 11,631 | 204,055 | ||||||
United Internet AG | 20,473 | 929,254 | ||||||
|
| |||||||
8,283,282 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
93
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 1.2% | ||||||||
AIA Group Ltd. | 94,600 | $ | 593,945 | |||||
ASM Pacific Technology Ltd. | 1,882 | 19,589 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 4,749 | 40,788 | ||||||
CK Hutchison Holdings Ltd. | 33,201 | 678,314 | ||||||
First Pacific Co., Ltd. | 18,000 | 17,957 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 9,069 | 222,302 | ||||||
Hysan Development Co., Ltd. | 105,823 | 463,854 | ||||||
Li & Fung Ltd. | 164,000 | 160,147 | ||||||
Link REIT/The | 18,829 | 116,159 | ||||||
MTR Corp. Ltd. | 18,500 | 87,992 | ||||||
New World Development Co., Ltd. | 42,173 | 48,893 | ||||||
NWS Holdings Ltd. | 12,500 | 20,820 | ||||||
PCCW Ltd. | 32,406 | 19,802 | ||||||
Sino Land Co., Ltd. | 346,000 | 564,199 | ||||||
Swire Pacific Ltd., Class A | 5,318 | 72,391 | ||||||
Wheelock & Co., Ltd. | 15,000 | 76,651 | ||||||
Yue Yuen Industrial Holdings Ltd. | 150,123 | 531,201 | ||||||
|
| |||||||
3,735,004 | ||||||||
|
| |||||||
Ireland - 0.1% | ||||||||
Medtronic PLC (1) | 4,719 | 368,035 | ||||||
|
| |||||||
Italy - 1.2% | ||||||||
Assicurazioni Generali SpA | 10,295 | 202,422 | ||||||
Atlantia SpA | 11,543 | 303,123 | ||||||
Enel SpA | 174,944 | 790,297 | ||||||
Finmeccanica SpA † | 57,083 | 678,040 | ||||||
Mediobanca SpA | 16,365 | 156,572 | ||||||
Snam SpA | 69,217 | 335,989 | ||||||
UniCredit SpA | 184,122 | 1,248,585 | ||||||
|
| |||||||
3,715,028 | ||||||||
|
| |||||||
Japan - 7.9% | ||||||||
Aeon Mall Co., Ltd. | 1,100 | 21,783 | ||||||
Alfresa Holdings Corp. | 18,000 | 253,644 | ||||||
Asahi Kasei Corp. | 44,000 | 420,183 | ||||||
Astellas Pharma, Inc. | 34,700 | 568,556 | ||||||
Bandai Namco Holdings, Inc. | 13,400 | 260,818 | ||||||
Brother Industries Ltd. | 30,300 | 481,402 | ||||||
Canon, Inc. | 5,245 | 185,575 | ||||||
Central Japan Railway Co. | 3,200 | 578,303 | ||||||
Dai Nippon Printing Co., Ltd. | 21,000 | 203,976 | ||||||
Daito Trust Construction Co., Ltd. | 686 | 76,603 | ||||||
Daiwa House Industry Co., Ltd. | 4,151 | 81,817 | ||||||
Daiwa Securities Group, Inc. | 13,000 | 102,335 | ||||||
East Japan Railway Co. | 2,512 | 201,297 | ||||||
Fuji Heavy Industries Ltd. | 10,033 | 333,058 | ||||||
FUJIFILM Holdings Corp. | 32,144 | 1,143,573 | ||||||
Fujitsu Ltd. | 136,115 | 928,255 | ||||||
Hakuhodo DY Holdings, Inc. | 65,000 | 691,034 | ||||||
Hitachi High-Technologies Corp. | 9,258 | 281,743 | ||||||
Hoya Corp. | 22,206 | 889,002 | ||||||
Hulic Co., Ltd. | 2,600 | 29,214 | ||||||
Japan Airlines Co., Ltd. | 14,100 | 438,612 | ||||||
Japan Real Estate Investment Corp. REIT | 10 | 47,036 | ||||||
Japan Retail Fund Investment Corp. REIT | 19 | 37,755 | ||||||
JTEKT Corp. | 11,488 | 179,115 | ||||||
Kao Corp. | 1,900 | 94,875 |
SHARES | VALUE (Note 4) | |||||||
Japan - 7.9% (continued) | ||||||||
Kobe Steel Ltd. | 48,759 | $ | 89,932 | |||||
Konica Minolta, Inc. | 71,800 | 727,646 | ||||||
Mabuchi Motor Co., Ltd. | 2,200 | 116,384 | ||||||
Marubeni Corp. | 29,300 | 169,398 | ||||||
Medipal Holdings Corp. | 10,900 | 142,072 | ||||||
MEIJI Holdings Co., Ltd. | 2,500 | 304,525 | ||||||
Mitsubishi Corp. | 10,536 | 211,709 | ||||||
Mitsubishi Electric Corp. | 36,000 | 427,373 | ||||||
Mitsubishi Estate Co., Ltd. | 9,764 | 226,446 | ||||||
Mitsubishi Motors Corp. | 18,800 | 169,515 | ||||||
Mitsubishi Tanabe Pharma Corp. | 9,200 | 157,830 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 153,849 | 952,850 | ||||||
Mitsui Fudosan Co., Ltd. | 7,598 | 223,138 | ||||||
NH Foods Ltd. | 9,097 | 209,628 | ||||||
NHK Spring Co., Ltd. | 16,600 | 172,691 | ||||||
Nippon Building Fund, Inc. REIT | 12 | 58,950 | ||||||
Nippon Prologis REIT, Inc. | 15 | 33,020 | ||||||
Nippon Telegraph & Telephone Corp. | 3,448 | 212,849 | ||||||
Nippon Yusen KK | 34,000 | 97,809 | ||||||
Nomura Holdings, Inc. | 28,700 | 168,573 | ||||||
Nomura Real Estate Holdings, Inc. | 1,700 | 30,616 | ||||||
NTT Data Corp. | 3,300 | 143,327 | ||||||
NTT DOCOMO, Inc. | 6,400 | 111,847 | ||||||
Oji Holdings Corp. | 682 | 2,790 | ||||||
Omron Corp. | 10,631 | 478,918 | ||||||
ORIX Corp. | 12,290 | 172,688 | ||||||
Otsuka Corp. | 6,600 | 281,260 | ||||||
Otsuka Holdings Co., Ltd. | 9,500 | 297,195 | ||||||
Panasonic Corp. | 61,800 | 811,560 | ||||||
Resona Holdings, Inc. | 109,600 | 543,919 | ||||||
Ricoh Co., Ltd. | 15,200 | 165,276 | ||||||
Rohm Co., Ltd. | 9,600 | 655,996 | ||||||
Santen Pharmaceutical Co., Ltd. | 24,500 | 357,353 | ||||||
Secom Co., Ltd. | 3,800 | 253,461 | ||||||
Seiko Epson Corp. | 22,800 | 403,819 | ||||||
Sekisui Chemical Co., Ltd. | 28,000 | 363,300 | ||||||
Sekisui House Ltd. | 5,000 | 72,600 | ||||||
Seven & I Holdings Co., Ltd. | 5,130 | 215,579 | ||||||
Shimamura Co., Ltd. | 2,600 | 240,814 | ||||||
Shionogi & Co., Ltd. | 12,700 | 422,790 | ||||||
Sumitomo Heavy Industries Ltd. | 207,000 | 1,354,671 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 15,349 | 587,937 | ||||||
Sumitomo Realty & Development Co., Ltd. | 3,624 | 130,469 | ||||||
Suzuken Co., Ltd. | 7,700 | 234,704 | ||||||
Suzuki Motor Corp. | 12,100 | 363,414 | ||||||
Takashimaya Co., Ltd. | 29,000 | 284,885 | ||||||
TDK Corp. | 4,700 | 332,795 | ||||||
Tokyo Electric Power Co., Inc. † | 73,170 | 276,945 | ||||||
Tokyo Electron Ltd. | 1,400 | 97,109 | ||||||
Tokyo Gas Co., Ltd. | 16,000 | 100,588 | ||||||
Tokyo Tatemono Co., Ltd. | 4,000 | 29,305 | ||||||
Tokyu Corp. | 15,000 | 92,802 | ||||||
Tokyu Fudosan Holdings Corp. | 5,000 | 34,103 | ||||||
TOTO Ltd. | 16,000 | 237,583 | ||||||
Toyo Suisan Kaisha Ltd. | 4,000 | 140,729 | ||||||
Toyoda Gosei Co., Ltd. | 6,400 | 142,868 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
94
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 7.9% (continued) | ||||||||
Toyota Motor Corp. | 3,500 | $ | 244,313 | |||||
United Urban Investment Corp. REIT | 12 | 18,707 | ||||||
West Japan Railway Co. | 2,000 | 104,861 | ||||||
Yamaha Corp. | 6,600 | 115,252 | ||||||
Yamaha Motor Co., Ltd. | 6,700 | 161,407 | ||||||
|
| |||||||
24,512,457 | ||||||||
|
| |||||||
Netherlands - 1.0% | ||||||||
Boskalis Westminster NV | 13,053 | 643,364 | ||||||
Delta Lloyd NV | 54,761 | 1,030,441 | ||||||
ING Groep NV CVA † | 34,347 | 503,114 | ||||||
Koninklijke Ahold NV | 36,709 | 723,383 | ||||||
Wolters Kluwer NV | 7,985 | 260,748 | ||||||
|
| |||||||
3,161,050 | ||||||||
|
| |||||||
Singapore - 0.1% | ||||||||
Ascendas Real Estate Investment Trust REIT | 16,478 | 31,081 | ||||||
CapitaCommercial Trust REIT | 16,000 | 20,595 | ||||||
CapitaMall Trust REIT | 19,494 | 31,208 | ||||||
Sembcorp Industries Ltd. | 7,777 | 23,875 | ||||||
Singapore Exchange Ltd. | 6,967 | 41,310 | ||||||
Singapore Technologies Engineering Ltd. | 12,103 | 30,692 | ||||||
United Overseas Bank Ltd. | 15,201 | 254,802 | ||||||
UOL Group Ltd. | 3,340 | 18,589 | ||||||
|
| |||||||
452,152 | ||||||||
|
| |||||||
South Africa - 0.0% (b) | ||||||||
Investec PLC | 16,447 | 136,404 | ||||||
|
| |||||||
Spain - 1.6% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 27,526 | 277,999 | ||||||
Banco Santander SA | 199,537 | 1,495,804 | ||||||
CaixaBank SA | 45,560 | 216,066 | ||||||
Gas Natural SDG SA | 46,096 | 1,034,953 | ||||||
Iberdrola SA | 248,640 | 1,603,368 | ||||||
Red Electrica Corp. SA | 2,839 | 230,849 | ||||||
Telefonica SA | 15,597 | 221,938 | ||||||
|
| |||||||
5,080,977 | ||||||||
|
| |||||||
Sweden - 0.9% | ||||||||
Husqvarna AB, B Shares | 120,631 | 873,801 | ||||||
Investment AB Kinnevik, B Shares | 2,409 | 80,418 | ||||||
Investor AB, B Shares | 3,849 | 153,216 | ||||||
Securitas AB, B Shares | 15,055 | 216,136 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 41,856 | 488,532 | ||||||
Tele2 AB, B Shares | 22,832 | 273,089 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 34,123 | 428,412 | ||||||
TeliaSonera AB | 34,247 | 217,629 | ||||||
|
| |||||||
2,731,233 | ||||||||
|
| |||||||
Switzerland - 3.7% | ||||||||
ABB Ltd. † | 17,869 | 379,073 | ||||||
Actelion Ltd. † | 835 | 96,304 | ||||||
Aryzta AG † | 4,398 | 269,609 | ||||||
Baloise Holding AG | 1,693 | 223,742 | ||||||
Garmin Ltd. (1) | 2,800 | 133,056 |
SHARES | VALUE (Note 4) | |||||||
Switzerland - 3.7% (continued) | ||||||||
Nestle SA | 11,709 | $ | 881,716 | |||||
Novartis AG | 21,529 | 2,124,923 | ||||||
Roche Holding AG | 9,791 | 2,690,489 | ||||||
Sika AG | 107 | 383,108 | ||||||
Swiss Life Holding AG † | 8,260 | 2,040,608 | ||||||
Swiss Re AG | 11,436 | 1,103,093 | ||||||
TE Connectivity Ltd. (1) | 14,200 | 1,017,004 | ||||||
|
| |||||||
11,342,725 | ||||||||
|
| |||||||
United Kingdom - 7.4% | ||||||||
3i Group PLC | 16,669 | 119,105 | ||||||
Aon PLC (1) | 7,000 | 672,840 | ||||||
Associated British Foods PLC | 24,843 | 1,036,777 | ||||||
AstraZeneca PLC | 11,156 | 765,508 | ||||||
Barclays PLC | 148,105 | 534,589 | ||||||
BP PLC | 93,442 | 605,706 | ||||||
British Land Co. PLC/The REIT | 13,261 | 163,440 | ||||||
BT Group PLC | 267,814 | 1,740,214 | ||||||
Croda International PLC | 2,864 | 116,158 | ||||||
Delphi Automotive PLC (1) | 7,800 | 621,972 | ||||||
Direct Line Insurance Group PLC | 54,530 | 257,327 | ||||||
Dixons Carphone PLC | 61,718 | 377,457 | ||||||
easyJet PLC | 13,483 | 375,251 | ||||||
Fiat Chrysler Automobiles NV † | 37,387 | 606,943 | ||||||
Friends Life Group Ltd. | 11,689 | 71,560 | ||||||
GlaxoSmithKline PLC | 24,172 | 556,438 | ||||||
Hammerson PLC REIT | 10,329 | 101,722 | ||||||
HSBC Holdings PLC | 29,211 | 248,919 | ||||||
IMI PLC | 15,848 | 299,056 | ||||||
Imperial Tobacco Group PLC | 3,219 | 141,206 | ||||||
International Consolidated Airlines Group SA † | 18,439 | 165,211 | ||||||
ITV PLC | 213,482 | 799,287 | ||||||
Kingfisher PLC | 181,194 | 1,022,310 | ||||||
Land Securities Group PLC REIT | 8,648 | 160,553 | ||||||
Lloyds Banking Group PLC † | 156,323 | 181,200 | ||||||
Melrose Industries PLC | 115,592 | 474,750 | ||||||
Next PLC | 8,751 | 910,091 | ||||||
Persimmon PLC † | 46,031 | 1,134,363 | ||||||
Persimmon PLC, Class B † | 46,031 | 64,868 | ||||||
Randgold Resources Ltd. | 1,514 | 104,954 | ||||||
Reckitt Benckiser Group PLC | 8,186 | 703,223 | ||||||
Reed Elsevier NV | 58,310 | 1,452,945 | ||||||
Rio Tinto PLC | 10,392 | 428,534 | ||||||
Royal Bank of Scotland Group PLC † | 53,762 | 271,590 | ||||||
Royal Dutch Shell PLC, A Shares | 31,097 | 924,734 | ||||||
Royal Dutch Shell PLC, B Shares | 19,975 | 622,228 | ||||||
Schroders PLC | 1,029 | 48,745 | ||||||
Shire PLC | 4,681 | 373,184 | ||||||
Sky PLC | 56,676 | 833,817 | ||||||
Standard Chartered PLC | 18,772 | 304,045 | ||||||
Travis Perkins PLC | 45,208 | 1,305,293 | ||||||
Tullow Oil PLC | 14,217 | 59,601 | ||||||
Unilever PLC | 10,377 | 432,964 | ||||||
Vodafone Group PLC | 168,874 | 552,611 | ||||||
Weir Group PLC/The | 2,981 | 75,221 | ||||||
|
| |||||||
22,818,510 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
95
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
United States - 51.8% | ||||||||
3M Co. (1) | 5,300 | $ | 874,235 | |||||
AbbVie, Inc. (1) | 50,600 | 2,962,124 | ||||||
Actavis PLC (1)† | 884 | 263,072 | ||||||
Aetna, Inc. (1) | 16,400 | 1,747,092 | ||||||
Allstate Corp./The (1) | 12,000 | 854,040 | ||||||
Altria Group, Inc. (1) | 16,300 | 815,326 | ||||||
American Airlines Group, Inc. (1) | 35,700 | 1,884,246 | ||||||
American Electric Power Co., Inc. (1) | 27,300 | 1,535,625 | ||||||
American Tower Corp. REIT (1) | 4,100 | 386,015 | ||||||
Ameriprise Financial, Inc. (1) | 2,700 | 353,268 | ||||||
AmerisourceBergen Corp. (1) | 1,000 | 113,670 | ||||||
Amgen, Inc. (1) | 7,500 | 1,198,875 | ||||||
Anadarko Petroleum Corp. (1) | 8,600 | 712,166 | ||||||
Annaly Capital Management, Inc. REIT (1) | 14,918 | 155,147 | ||||||
Anthem, Inc. (1) | 15,300 | 2,362,473 | ||||||
Apple, Inc. (1) | 52,696 | 6,556,963 | ||||||
Archer-Daniels-Midland Co. (1) | 45,500 | 2,156,700 | ||||||
Arrow Electronics, Inc. (1)† | 8,400 | 513,660 | ||||||
Assurant, Inc. (1) | 8,700 | 534,267 | ||||||
AT&T, Inc. (1) | 38,897 | 1,269,987 | ||||||
AvalonBay Communities, Inc. REIT (1) | 1,311 | 228,442 | ||||||
Avery Dennison Corp. (1) | 11,000 | 582,010 | ||||||
Baker Hughes, Inc. (1) | 3,500 | 222,530 | ||||||
Bank of America Corp. (1) | 84,538 | 1,301,040 | ||||||
Bank of New York Mellon Corp./The (1) | 10,400 | 418,496 | ||||||
Becton Dickinson and Co. (1) | 132 | 18,967 | ||||||
Berkshire Hathaway, Inc., Class B (1)† | 8,550 | 1,233,936 | ||||||
Best Buy Co., Inc. (1) | 44,600 | 1,685,434 | ||||||
Biogen, Inc. (1)† | 6,300 | 2,660,112 | ||||||
BlackRock, Inc. (1) | 1,100 | 402,424 | ||||||
Boston Properties, Inc. REIT (1) | 2,763 | 388,146 | ||||||
Bristol-Myers Squibb Co. (1) | 1,400 | 90,300 | ||||||
Broadcom Corp., Class A (1) | 51,100 | 2,212,374 | ||||||
Bunge Ltd. (1) | 3,100 | 255,316 | ||||||
Capital One Financial Corp. (1) | 4,000 | 315,280 | ||||||
Cardinal Health, Inc. (1) | 16,900 | 1,525,563 | ||||||
Catamaran Corp. (1)† | 1,600 | 95,251 | ||||||
Celgene Corp. (1)† | 9,600 | 1,106,688 | ||||||
CF Industries Holdings, Inc. (1) | 1,800 | 510,624 | ||||||
Chevron Corp. (1) | 4,500 | 472,410 | ||||||
Cigna Corp. (1) | 2,200 | 284,768 | ||||||
Citrix Systems, Inc. (1)† | 7,000 | 447,090 | ||||||
Coca-Cola Co./The (1) | 31,760 | 1,287,868 | ||||||
Cognizant Technology Solutions Corp., Class A (1)† | 5,200 | 324,428 | ||||||
Comcast Corp., Class A (1) | 13,500 | 762,345 | ||||||
Computer Sciences Corp. (1) | 11,200 | 731,136 | ||||||
Corning, Inc. (1) | 37,800 | 857,304 | ||||||
Crown Castle International Corp. REIT (1) | 4,000 | 330,160 | ||||||
CSX Corp. (1) | 18,000 | 596,160 | ||||||
Cummins, Inc. (1) | 2,000 | 277,280 | ||||||
CVS Health Corp. (1) | 30,100 | 3,106,621 | ||||||
Danaher Corp. (1) | 7,100 | 602,790 | ||||||
Deere & Co. (1) | 2,900 | 254,301 | ||||||
Delta Air Lines, Inc. (1) | 25,800 | 1,159,968 | ||||||
DIRECTV (1)† | 4,369 | 371,802 | ||||||
DISH Network Corp., Class A (1)† | 1,100 | 77,066 |
SHARES | VALUE (Note 4) | |||||||
United States - 51.8% (continued) | ||||||||
Dollar General Corp. (1)† | 8,800 | $ | 663,344 | |||||
Dow Chemical Co./The (1) | 25,200 | 1,209,096 | ||||||
Dr Pepper Snapple Group, Inc. (1) | 4,000 | 313,920 | ||||||
DTE Energy Co. (1) | 11,600 | 936,004 | ||||||
Duke Energy Corp. (1) | 5,600 | 429,968 | ||||||
Dun & Bradstreet Corp./The (1) | 700 | 89,852 | ||||||
Edison International (1) | 10,456 | 653,186 | ||||||
Edwards Lifesciences Corp. (1)† | 12,200 | 1,738,012 | ||||||
Electronic Arts, Inc. (1)† | 33,800 | 1,987,947 | ||||||
Eli Lilly & Co. (1) | 11,900 | 864,535 | ||||||
EMC Corp. (1) | 18,400 | 470,304 | ||||||
Emerson Electric Co. (1) | 5,700 | 322,734 | ||||||
Entergy Corp. (1) | 7,300 | 565,677 | ||||||
EOG Resources, Inc. (1) | 5,000 | 458,450 | ||||||
Equity Residential REIT (1) | 3,548 | 276,247 | ||||||
Everest Re Group Ltd. (1) | 5,500 | 957,000 | ||||||
Exxon Mobil Corp. (1) | 19,589 | 1,665,065 | ||||||
Facebook, Inc., Class A (1)† | 6,700 | 550,840 | ||||||
FedEx Corp. (1) | 6,400 | 1,058,880 | ||||||
Fidelity National Information Services, Inc. (1) | 15,800 | 1,075,348 | ||||||
Fiserv, Inc. (1)† | 5,100 | 404,940 | ||||||
Flextronics International Ltd. (1)† | 186,800 | 2,367,690 | ||||||
General Dynamics Corp. (1) | 12,600 | 1,710,198 | ||||||
Gilead Sciences, Inc. (1)† | 34,800 | 3,414,924 | ||||||
Google, Inc., Class C (1)† | 2,202 | 1,206,696 | ||||||
HCP, Inc. REIT (1) | 4,772 | 206,198 | ||||||
Health Care REIT, Inc. (1) | 3,000 | 232,080 | ||||||
Hewlett-Packard Co. (1) | 45,200 | 1,408,432 | ||||||
Home Depot, Inc./The (1) | 19,100 | 2,169,951 | ||||||
Honeywell International, Inc. (1) | 4,100 | 427,671 | ||||||
Hormel Foods Corp. (1) | 14,200 | 807,270 | ||||||
Host Hotels & Resorts, Inc. REIT (1) | 9,300 | 187,674 | ||||||
Humana, Inc. (1) | 13,700 | 2,438,874 | ||||||
Illumina, Inc. (1)† | 1,300 | 241,332 | ||||||
Intel Corp. (1) | 53,700 | 1,679,199 | ||||||
International Business Machines Corp. (1) | 4,223 | 677,791 | ||||||
International Paper Co. (1) | 3,300 | 183,117 | ||||||
Johnson & Johnson (1) | 28,316 | 2,848,590 | ||||||
JPMorgan Chase & Co. (1) | 18,300 | 1,108,614 | ||||||
KeyCorp (1) | 36,500 | 516,840 | ||||||
Kimberly-Clark Corp. (1) | 12,263 | 1,313,490 | ||||||
Kimco Realty Corp. REIT (1) | 6,500 | 174,525 | ||||||
L-3 Communications Holdings, Inc. (1) | 5,900 | 742,161 | ||||||
Lam Research Corp. (1) | 1,900 | 133,446 | ||||||
Lockheed Martin Corp. (1) | 4,400 | 893,024 | ||||||
Lowe’s Cos., Inc. (1) | 20,100 | 1,495,239 | ||||||
LyondellBasell Industries NV, Class A (1) | 21,500 | 1,887,700 | ||||||
Manpowergroup, Inc. (1) | 3,000 | 258,450 | ||||||
Marathon Oil Corp. (1) | 22,229 | 580,399 | ||||||
Marathon Petroleum Corp. (1) | 23,800 | 2,436,882 | ||||||
Marvell Technology Group Ltd. (1) | 94,100 | 1,383,270 | ||||||
McKesson Corp. (1) | 2,500 | 565,500 | ||||||
Medivation, Inc. (1)† | 12,100 | 1,561,747 | ||||||
Merck & Co., Inc. (1) | 56,519 | 3,248,712 | ||||||
Micron Technology, Inc. (1)† | 17,300 | 469,349 | ||||||
Microsoft Corp. (1) | 69,650 | 2,831,621 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
96
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
United States - 51.8% (continued) | ||||||||
Mondelez International, Inc., Class A (1) | 16,200 | $ | 584,658 | |||||
Monster Beverage Corp. (1)† | 15,200 | 2,103,604 | ||||||
Nabors Industries Ltd. (1) | 20,400 | 278,460 | ||||||
Navient Corp. (1) | 14,400 | 292,752 | ||||||
NetApp, Inc. (1) | 10,400 | 368,784 | ||||||
Newmont Mining Corp. (1) | 5,161 | 112,045 | ||||||
Northrop Grumman Corp. (1) | 13,379 | 2,153,484 | ||||||
NVIDIA Corp. (1) | 58,400 | 1,222,020 | ||||||
Oracle Corp. (1) | 15,100 | 651,565 | ||||||
Owens-Illinois, Inc. (1)† | 4,100 | 95,612 | ||||||
PartnerRe Ltd. (1) | 13,900 | 1,589,187 | ||||||
PepsiCo, Inc. (1) | 12,272 | 1,173,449 | ||||||
Pfizer, Inc. (1) | 104,994 | 3,652,741 | ||||||
Philip Morris International, Inc. (1) | 12,900 | 971,757 | ||||||
Phillips 66 (1) | 9,400 | 738,840 | ||||||
PNC Financial Services Group, Inc./The (1) | 11,900 | 1,109,556 | ||||||
PPG Industries, Inc. (1) | 5,897 | 1,330,009 | ||||||
Procter & Gamble Co./The (1) | 10,208 | 836,444 | ||||||
Prologis, Inc. REIT (1) | 5,080 | 221,285 | ||||||
Public Service Enterprise Group, Inc. (1) | 29,000 | 1,215,680 | ||||||
Public Storage REIT (1) | 1,569 | 309,313 | ||||||
QUALCOMM, Inc. (1) | 11,800 | 818,212 | ||||||
Rackspace Hosting, Inc. (1)† | 28,800 | 1,485,792 | ||||||
Raytheon Co. (1) | 9,767 | 1,067,045 | ||||||
Royal Caribbean Cruises Ltd. (1) | 3,200 | 261,920 | ||||||
Simon Property Group, Inc. REIT (1) | 3,242 | 634,265 | ||||||
Skyworks Solutions, Inc. (1) | 11,600 | 1,140,164 | ||||||
Southwest Airlines Co. (1) | 29,600 | 1,311,280 | ||||||
SPX Corp. (1) | 2,200 | 186,780 | ||||||
Staples, Inc. (1) | 64,700 | 1,053,640 | ||||||
Superior Energy Services, Inc. (1) | 7,200 | 160,848 | ||||||
Time Warner Cable, Inc. (1) | 3,200 | 479,616 | ||||||
Time Warner, Inc. (1) | 15,100 | 1,275,044 | ||||||
Travelers Cos., Inc./The (1) | 9,201 | 994,904 | ||||||
Union Pacific Corp. (1) | 6,200 | 671,522 | ||||||
United Continental Holdings, Inc. (1)† | 12,700 | 854,075 | ||||||
United Parcel Service, Inc., Class B (1) | 1,700 | 164,798 | ||||||
United Technologies Corp. (1) | 5,400 | 632,880 | ||||||
UnitedHealth Group, Inc. (1) | 9,800 | 1,159,242 | ||||||
Unum Group (1) | 32,500 | 1,096,225 | ||||||
Urban Edge Properties REIT (1) | 1,374 | 32,564 | ||||||
Valero Energy Corp. (1) | 23,000 | 1,463,260 | ||||||
Ventas, Inc. REIT (1) | 4,800 | 350,496 | ||||||
Verizon Communications, Inc. | 12,099 | 589,506 | ||||||
Verizon Communications, Inc. (NYSE) (1) | 7,412 | 360,446 | ||||||
Vertex Pharmaceuticals, Inc. (1)† | 3,800 | 448,286 | ||||||
Viacom, Inc., Class B (1) | 5,837 | 398,667 | ||||||
Vornado Realty Trust REIT (1) | 2,748 | 307,776 | ||||||
Walgreens Boots Alliance, Inc. (1) | 3,300 | 279,444 | ||||||
Walt Disney Co./The (1) | 2,000 | 209,780 | ||||||
Waste Management, Inc. (1) | 2,373 | 128,688 | ||||||
Wells Fargo & Co. (1) | 53,270 | 2,897,888 | ||||||
Western Digital Corp. (1) | 11,400 | 1,037,514 | ||||||
Whiting Petroleum Corp. (1)† | 14,300 | 441,870 |
SHARES | VALUE (Note 4) | |||||||
United States - 51.8% (continued) | ||||||||
Wyndham Worldwide Corp. (1) | 2,000 | $ | 180,940 | |||||
|
| |||||||
160,532,008 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 278,407,621 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.1% | ||||||||
Germany - 0.1% | ||||||||
Henkel AG & Co. KGaA | ||||||||
(cost $265,934) | 3,557 | 417,810 | ||||||
|
| |||||||
RIGHTS - 0.0% (b) | ||||||||
Spain - 0.0% (b) | ||||||||
Banco Bilbao Vizcaya Argentaria SA † | 27,526 | 3,966 | ||||||
Telefonica SA † | 15,597 | 2,516 | ||||||
|
| |||||||
TOTAL RIGHTS | 6,482 | |||||||
|
| |||||||
WARRANTS - 0.0% (b) | ||||||||
Hong Kong - 0.0% (b) | ||||||||
Sun Hung Kai Properties Ltd. † | ||||||||
(cost $—) | 20 | 58 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 7.6% | ||||||||
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.070% (c)(d) | 166 | 166 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | 23,488,412 | 23,488,412 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) | 40,000 | 40,000 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 23,528,578 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN | 302,360,549 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4% (e) | 7,355,583 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 309,716,132 | ||||||
|
|
† | Non-income producing security. |
(a) | Security fair valued as of March 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
(d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
97
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 31,619,794 | 10.2 | % | ||||
Consumer Staples | 21,888,708 | 7.1 | ||||||
Energy | 14,501,678 | 4.7 | ||||||
Financials | 50,252,173 | 16.1 | ||||||
Health Care | 50,336,594 | 16.2 | ||||||
Industrials | 32,062,102 | 10.4 | ||||||
Information Technology | 46,022,942 | 14.9 | ||||||
Materials | 8,652,350 | 2.8 | ||||||
Telecommunication Services | 11,416,045 | 3.7 | ||||||
Utilities | 12,079,585 | 3.9 | ||||||
Money Market Funds | 23,528,578 | 7.6 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 302,360,549 | 97.6 | ||||||
Other Assets in Excess of Liabilities (e) | 7,355,583 | 2.4 | ||||||
|
|
|
| |||||
Net Assets | $ | 309,716,132 | 100.0 | % | ||||
|
|
|
|
Total return swap contracts outstanding as of March 31, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Hang Seng Index April Futures | 4/2015 | HKD | 35,501,749 | $86,957 | |||||||||
Goldman Sachs | Swiss Market Index June Futures | 6/2015 | CHF | (1,989,240 | ) | 10,358 | ||||||||
|
| |||||||||||||
$97,315 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts in the amount of $40,000 at March 31, 2015.
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
236 | Barclays Capital | CAC40 Index Futures | 4/2015 | $12,752,312 | $12,779,303 | $26,991 | ||||||||||||||
75 | Barclays Capital | DAX Index Futures | 6/2015 | 24,291,432 | 24,214,293 | (77,139 | ) | |||||||||||||
46 | Barclays Capital | FTSE 100 Index Futures | 6/2015 | 4,628,357 | 4,590,262 | (38,095 | ) | |||||||||||||
16 | Barclays Capital | Hang Seng Index Futures | 4/2015 | 2,532,622 | 2,574,501 | 41,879 | ||||||||||||||
20 | Barclays Capital | MSCI Singapore Index Futures | 4/2015 | 1,112,600 | 1,107,881 | (4,719 | ) | |||||||||||||
61 | Barclays Capital | SPI 200 Index Futures | 6/2015 | 6,769,642 | 6,836,684 | 67,042 | ||||||||||||||
78 | Barclays Capital | TOPIX Index Futures | 6/2015 | 9,894,412 | 10,038,187 | 143,775 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
61,981,377 | 62,141,111 | 159,734 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
98
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
90 | Barclays Capital | Amsterdam Index Futures | 4/2015 | $(9,594,051 | ) | $(9,465,318 | ) | $128,733 | ||||||||||||
50 | Barclays Capital | FTSE/MIB Index Futures | 6/2015 | (6,035,124 | ) | (6,133,763 | ) | (98,639 | ) | |||||||||||
10 | Barclays Capital | IBEX 35 Index Futures | 4/2015 | (1,185,298 | ) | (1,235,495 | ) | (50,197 | ) | |||||||||||
13 | Barclays Capital | OMXS30 Index Futures | 4/2015 | (247,835 | ) | (250,274 | ) | (2,439 | ) | |||||||||||
149 | Barclays Capital | S&P 500 E-Mini Futures | 6/2015 | (15,423,757 | ) | (15,352,960 | ) | 70,797 | ||||||||||||
29 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 6/2015 | (3,947,671 | ) | (3,962,528 | ) | (14,857 | ) | |||||||||||
|
|
|
|
|
| |||||||||||||||
(36,433,736 | ) | (36,400,338 | ) | 33,398 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$25,547,641 | $25,740,773 | $193,132 | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $5,407,184 at March 31, 2015.
Forward foreign currency exchange contracts outstanding as of March 31, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/17/15 | CitiBank | AUD | 11,899,500 | $9,057,282 | $9,024,339 | $(32,943 | ) | |||||||||||||
Australian Dollar, Expiring 06/17/15 | Credit Suisse International | AUD | 11,899,500 | 9,057,258 | 9,024,339 | (32,919 | ) | |||||||||||||
Canadian Dollar, Expiring 06/17/15 | CitiBank | CAD | 2,177,500 | 1,719,832 | 1,717,473 | (2,359 | ) | |||||||||||||
Canadian Dollar, Expiring 06/17/15 | Credit Suisse International | CAD | 2,177,500 | 1,719,754 | 1,717,473 | (2,281 | ) | |||||||||||||
Swiss Franc, Expiring 06/17/15 | CitiBank | CHF | 4,325,500 | 4,351,472 | 4,465,102 | 113,630 | ||||||||||||||
Swiss Franc, Expiring 06/17/15 | Credit Suisse International | CHF | 4,325,500 | 4,349,008 | 4,465,102 | 116,094 | ||||||||||||||
Danish Krone, Expiring 06/17/15 | CitiBank | DKK | 539,500 | 78,729 | 77,848 | (881 | ) | |||||||||||||
Danish Krone, Expiring 06/17/15 | Credit Suisse International | DKK | 539,500 | 78,676 | 77,849 | (827 | ) | |||||||||||||
Euro, Expiring 06/17/15 | CitiBank | EUR | 12,882,000 | 13,932,043 | 13,865,945 | (66,098 | ) | |||||||||||||
Euro, Expiring 06/17/15 | Credit Suisse International | EUR | 12,883,000 | 13,932,974 | 13,867,021 | (65,953 | ) | |||||||||||||
British Pound, Expiring 06/17/15 | CitiBank | GBP | 967,000 | 1,444,341 | 1,433,696 | (10,645 | ) | |||||||||||||
British Pound, Expiring 06/17/15 | Credit Suisse International | GBP | 967,000 | 1,444,302 | 1,433,696 | (10,606 | ) | |||||||||||||
Hong Kong Dollar, Expiring 06/17/15 | CitiBank | HKD | 377,000 | 48,607 | 48,622 | 15 | ||||||||||||||
Hong Kong Dollar, Expiring 06/17/15 | Credit Suisse International | HKD | 377,000 | 48,605 | 48,622 | 17 | ||||||||||||||
Israeli Shekel, Expiring 06/17/15 | CitiBank | ILS | 1,417,000 | 356,093 | 356,150 | 57 | ||||||||||||||
Israeli Shekel, Expiring 06/17/15 | Credit Suisse International | ILS | 1,416,999 | 356,091 | 356,151 | 60 | ||||||||||||||
Japanese Yen, Expiring 06/17/15 | CitiBank | JPY | 3,152,388,000 | 26,125,101 | 26,312,482 | 187,381 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
99
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Japanese Yen, Expiring 06/17/15 | Credit Suisse International | JPY | 3,152,388,000 | $26,124,876 | $26,312,482 | $187,606 | ||||||||||||||
Norwegian Krone, Expiring 06/17/15 | CitiBank | NOK | 3,735,500 | 467,835 | 462,742 | (5,093 | ) | |||||||||||||
Norwegian Krone, Expiring 06/17/15 | Credit Suisse International | NOK | 3,735,500 | 467,811 | 462,742 | (5,069 | ) | |||||||||||||
New Zealand Dollar, Expiring 06/17/15 | CitiBank | NZD | 7,873,501 | 5,756,876 | 5,842,624 | 85,748 | ||||||||||||||
New Zealand Dollar, Expiring 06/17/15 | Credit Suisse International | NZD | 7,873,500 | 5,756,876 | 5,842,623 | 85,747 | ||||||||||||||
Swedish Krona, Expiring 06/17/15 | CitiBank | SEK | 57,261,000 | 6,712,636 | 6,656,966 | (55,670 | ) | |||||||||||||
Swedish Krona, Expiring 06/17/15 | Credit Suisse International | SEK | 57,260,999 | 6,712,617 | 6,656,966 | (55,651 | ) | |||||||||||||
Singapore Dollar, Expiring 06/17/15 | CitiBank | SGD | 899,000 | 651,707 | 653,821 | 2,114 | ||||||||||||||
Singapore Dollar, Expiring 06/17/15 | Credit Suisse International | SGD | 899,000 | $651,703 | $653,823 | $2,120 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$141,403,105 | $141,836,699 | $433,594 | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/17/15 | CitiBank | AUD | (1,739,000 | ) | $(1,349,876 | ) | $(1,318,822 | ) | $31,054 | |||||||||||
Australian Dollar, Expiring 06/17/15 | Credit Suisse International | AUD | (1,739,000 | ) | (1,350,046 | ) | (1,318,823 | ) | 31,223 | |||||||||||
Canadian Dollar, Expiring 06/17/15 | CitiBank | CAD | (6,491,501 | ) | (5,174,137 | ) | (5,120,080 | ) | 54,057 | |||||||||||
Canadian Dollar, Expiring 06/17/15 | Credit Suisse International | CAD | (6,491,501 | ) | (5,174,194 | ) | (5,120,081 | ) | 54,113 | |||||||||||
Swiss Franc, Expiring 06/17/15 | CitiBank | CHF | (14,470,500 | ) | (14,883,172 | ) | (14,937,523 | ) | (54,351 | ) | ||||||||||
Swiss Franc, Expiring 06/17/15 | Credit Suisse International | CHF | (14,470,500 | ) | (14,883,194 | ) | (14,937,523 | ) | (54,329 | ) | ||||||||||
Danish Krone, Expiring 06/17/15 | CitiBank | DKK | (3,840,000 | ) | (575,394 | ) | (554,106 | ) | 21,288 | |||||||||||
Danish Krone, Expiring 06/17/15 | Credit Suisse International | DKK | (3,840,000 | ) | (575,026 | ) | (554,106 | ) | 20,920 | |||||||||||
Euro, Expiring 06/17/15 | CitiBank | EUR | (1,507,500 | ) | (1,654,518 | ) | (1,622,645 | ) | 31,873 | |||||||||||
Euro, Expiring 06/17/15 | Credit Suisse International | EUR | (1,507,500 | ) | (1,654,537 | ) | (1,622,645 | ) | 31,892 | |||||||||||
British Pound, Expiring 06/17/15 | CitiBank | GBP | (15,733,502 | ) | (23,975,597 | ) | (23,326,840 | ) | 648,757 | |||||||||||
British Pound, Expiring 06/17/15 | Credit Suisse International | GBP | (15,733,501 | ) | (23,975,758 | ) | (23,326,839 | ) | 648,919 | |||||||||||
Hong Kong Dollar, Expiring 06/17/15 | CitiBank | HKD | (283,000 | ) | (36,461 | ) | (36,499 | ) | (38 | ) | ||||||||||
Hong Kong Dollar, Expiring 06/17/15 | Credit Suisse International | HKD | (283,000 | ) | (36,462 | ) | (36,499 | ) | (37 | ) | ||||||||||
Japanese Yen, Expiring 06/17/15 | CitiBank | JPY | (232,987,000 | ) | (1,914,869 | ) | (1,944,705 | ) | (29,836 | ) | ||||||||||
Japanese Yen, Expiring 06/17/15 | Credit Suisse International | JPY | (232,987,000 | ) | (1,914,931 | ) | (1,944,705 | ) | (29,774 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
100
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR GLOBAL EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Norwegian Krone, Expiring 06/17/15 | CitiBank | NOK | (52,370,500 | ) | $(6,607,641 | ) | $(6,487,492 | ) | $120,149 | |||||||||||
Norwegian Krone, Expiring 06/17/15 | Credit Suisse International | NOK | (52,370,499 | ) | (6,607,727 | ) | (6,487,492 | ) | 120,235 | |||||||||||
New Zealand Dollar, Expiring 06/17/15 | CitiBank | NZD | (6,924,500 | ) | (5,124,795 | ) | (5,138,407 | ) | (13,612 | ) | ||||||||||
New Zealand Dollar, Expiring 06/17/15 | Credit Suisse International | NZD | (6,924,500 | ) | (5,125,490 | ) | (5,138,408 | ) | (12,918 | ) | ||||||||||
Swedish Krona, Expiring 06/17/15 | CitiBank | SEK | (1,411,000 | ) | (169,973 | ) | (164,038 | ) | 5,935 | |||||||||||
Swedish Krona, Expiring 06/17/15 | Credit Suisse International | SEK | (1,411,000 | ) | (169,984 | ) | (164,038 | ) | 5,946 | |||||||||||
Singapore Dollar, Expiring 06/17/15 | CitiBank | SGD | (3,000 | ) | (2,193 | ) | (2,182 | ) | 11 | |||||||||||
Singapore Dollar, Expiring 06/17/15 | Credit Suisse International | SGD | (3,000 | ) | (2,193 | ) | (2,182 | ) | 11 | |||||||||||
|
|
|
|
|
| |||||||||||||||
(122,938,168 | ) | (121,306,680 | ) | 1,631,488 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$18,464,937 | $20,530,019 | $2,065,082 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $166 at March 31, 2015. Cash held as collateral for CitiBank and Credit Suisse International for forward foreign currency exchange contracts were $1,110,000 and $1,080,000, respectively, at March 31, 2015.
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
101
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
COMMON STOCKS - 88.6% | SHARES | VALUE (Note 4) | ||||||
Australia - 5.7% | ||||||||
Alumina Ltd. | 1,176,420 | $ | 1,431,602 | |||||
Amcor Ltd. | 50,298 | 535,923 | ||||||
Asciano Ltd. | 54,951 | 264,258 | ||||||
ASX Ltd. | 10,285 | 323,581 | ||||||
Aurizon Holdings Ltd. | 233,679 | 860,106 | ||||||
Australia & New Zealand Banking Group Ltd. | 242,705 | 6,752,099 | ||||||
Bendigo & Adelaide Bank Ltd. | 152,578 | 1,453,894 | ||||||
BHP Billiton Ltd. | 190,282 | 4,422,921 | ||||||
BHP Billiton PLC | 47,990 | 1,053,156 | ||||||
Caltex Australia Ltd. | 7,284 | 193,313 | ||||||
Commonwealth Bank of Australia | 41,914 | 2,972,987 | ||||||
Computershare Ltd. | 15,439 | 149,231 | ||||||
Dexus Property Group REIT | 47,299 | 272,304 | ||||||
Federation Centres REIT | 83,291 | 192,262 | ||||||
Flight Centre Travel Group Ltd. | 14,495 | 436,266 | ||||||
Goodman Group REIT | 110,663 | 532,859 | ||||||
GPT Group/The REIT | 113,631 | 394,681 | ||||||
GPT Group/The REIT (Escrow) (3)†(a) | 143,427 | — | ||||||
Harvey Norman Holdings Ltd. | 162,654 | 549,775 | ||||||
Incitec Pivot Ltd. | 71,096 | 219,598 | ||||||
Leighton Holdings Ltd. | 33,856 | 542,498 | ||||||
Lend Lease Group | 248,603 | 3,140,002 | ||||||
Macquarie Group Ltd. | 47,607 | 2,767,224 | ||||||
Mirvac Group REIT | 214,560 | 327,615 | ||||||
National Australia Bank Ltd. | 172,218 | 5,041,562 | ||||||
Newcrest Mining Ltd. † | 41,734 | 420,909 | ||||||
Novion Property Group REIT | 134,550 | 256,314 | ||||||
Qantas Airways Ltd. † | 1,479,943 | 3,510,283 | ||||||
Scentre Group REIT | 302,378 | 859,007 | ||||||
Sonic Healthcare Ltd. | 98,692 | 1,533,269 | ||||||
Stockland REIT | 127,919 | 437,046 | ||||||
Telstra Corp. Ltd. | 238,366 | 1,144,266 | ||||||
Westfield Corp. REIT | 118,519 | 858,921 | ||||||
Westpac Banking Corp. | 77,226 | 2,308,367 | ||||||
Woodside Petroleum Ltd. | 13,388 | 350,751 | ||||||
|
| |||||||
46,508,850 | ||||||||
|
| |||||||
Belgium - 1.7% | ||||||||
Anheuser-Busch InBev NV | 6,118 | 747,408 | ||||||
Belgacom SA | 206,679 | 7,231,348 | ||||||
Delhaize Group SA | 46,736 | 4,198,767 | ||||||
Groupe Bruxelles Lambert SA | 2,641 | 218,963 | ||||||
Solvay SA | 9,823 | 1,419,915 | ||||||
|
| |||||||
13,816,401 | ||||||||
|
| |||||||
Denmark - 2.1% | ||||||||
Coloplast A/S, Class B | 16,795 | 1,268,781 | ||||||
Danske Bank A/S | 36,967 | 974,567 | ||||||
Novo Nordisk A/S, Class B | 32,219 | 1,719,972 | ||||||
Pandora A/S | 120,291 | 10,951,906 | ||||||
TDC A/S | 180,322 | 1,292,000 | ||||||
Tryg A/S | 4,035 | 474,551 | ||||||
|
| |||||||
16,681,777 | ||||||||
|
| |||||||
Finland - 1.2% | ||||||||
Fortum OYJ | 128,023 | 2,682,107 | ||||||
Metso OYJ | 15,328 | 447,834 |
SHARES | VALUE (Note 4) | |||||||
Finland - 1.2% (continued) | ||||||||
Nokia OYJ | 208,399 | $ | 1,588,992 | |||||
Orion OYJ, Class B | 120,531 | 3,397,486 | ||||||
Wartsila OYJ | 43,659 | 1,931,057 | ||||||
|
| |||||||
10,047,476 | ||||||||
|
| |||||||
France - 8.4% | ||||||||
Aeroports de Paris | 2,791 | 333,592 | ||||||
Cie Generale des Etablissements Michelin | 28,593 | 2,843,430 | ||||||
CNP Assurances | 100,787 | 1,766,459 | ||||||
Danone SA | 11,636 | 784,358 | ||||||
Essilor International SA | 8,358 | 959,625 | ||||||
Eutelsat Communications SA | 20,370 | 675,698 | ||||||
GDF Suez | 42,934 | 847,647 | ||||||
Klepierre REIT | 3,675 | 180,465 | ||||||
Lafarge SA | 10,511 | 683,327 | ||||||
Lagardere SCA | 153,493 | 4,613,294 | ||||||
L’Oreal SA | 10,279 | 1,893,296 | ||||||
Natixis SA | 101,809 | 762,609 | ||||||
Orange SA | 692,444 | 11,120,348 | ||||||
Peugeot SA † | 401,140 | 6,705,299 | ||||||
Sanofi | 110,104 | 10,873,767 | ||||||
SCOR SE | 33,927 | 1,144,280 | ||||||
SES SA FDR | 13,919 | 493,431 | ||||||
Societe BIC SA | 17,416 | 2,479,362 | ||||||
Societe Generale SA | 43,896 | 2,119,388 | ||||||
Thales SA | 52,059 | 2,888,359 | ||||||
TOTAL SA | 117,203 | 5,825,811 | ||||||
Unibail-Rodamco SE REIT | 7,665 | 2,069,827 | ||||||
Valeo SA | 20,065 | 2,992,799 | ||||||
Vivendi SA † | 128,827 | 3,198,490 | ||||||
|
| |||||||
68,254,961 | ||||||||
|
| |||||||
Germany - 8.7% | ||||||||
Allianz SE | 46,420 | 8,059,283 | ||||||
Bayer AG | 34,966 | 5,231,469 | ||||||
Celesio AG | 7,903 | 233,373 | ||||||
Commerzbank AG † | 213,186 | 2,929,430 | ||||||
Daimler AG | 72,430 | 6,955,796 | ||||||
Deutsche Annington Immobilien SE | 14,469 | 487,571 | ||||||
Deutsche Boerse AG | 12,335 | 1,006,646 | ||||||
Deutsche Lufthansa AG | 18,375 | 257,299 | ||||||
Deutsche Post AG | 61,765 | 1,924,282 | ||||||
E.ON SE | 151,964 | 2,259,542 | ||||||
Fresenius Medical Care AG & Co. KGaA | 13,692 | 1,138,103 | ||||||
Fresenius SE & Co. KGaA | 21,127 | 1,259,518 | ||||||
Hannover Rueck SE | 31,797 | 3,285,731 | ||||||
Infineon Technologies AG | 156,731 | 1,864,618 | ||||||
Linde AG | 1,325 | 269,438 | ||||||
Merck KGaA | 90,152 | 10,089,617 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 34,561 | 7,426,544 | ||||||
OSRAM Licht AG | 81,665 | 4,042,661 | ||||||
Siemens AG | 43,207 | 4,673,017 | ||||||
Telefonica Deutschland Holding AG † | 186,042 | 1,069,821 | ||||||
TUI AG | 59,554 | 1,044,820 | ||||||
United Internet AG | 104,540 | 4,744,990 | ||||||
|
| |||||||
70,253,569 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
102
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Hong Kong - 2.9% | ||||||||
AIA Group Ltd. | 460,600 | $ | 2,891,870 | |||||
ASM Pacific Technology Ltd. | 14,204 | 147,844 | ||||||
Cheung Kong Infrastructure Holdings Ltd. | 37,827 | 324,888 | ||||||
CK Hutchison Holdings Ltd. | 215,278 | 4,398,242 | ||||||
CLP Holdings Ltd. | 95,009 | 830,390 | ||||||
First Pacific Co., Ltd. | 144,000 | 143,656 | ||||||
Henderson Land Development Co., Ltd. | 95,490 | 670,823 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 66,154 | 1,621,584 | ||||||
Hutchison Whampoa Ltd. | 126,000 | 1,746,467 | ||||||
Hysan Development Co., Ltd. | 443,000 | 1,941,801 | ||||||
Li & Fung Ltd. | 1,822,000 | 1,779,194 | ||||||
Link REIT/The | 139,382 | 859,873 | ||||||
New World Development Co., Ltd. | 419,896 | 486,802 | ||||||
NWS Holdings Ltd. | 86,000 | 143,241 | ||||||
PCCW Ltd. | 131,000 | 80,051 | ||||||
Sino Land Co., Ltd. | 1,418,000 | 2,312,238 | ||||||
Sun Hung Kai Properties Ltd. | 40,000 | 616,780 | ||||||
Swire Pacific Ltd., Class A | 41,030 | 558,520 | ||||||
Yue Yuen Industrial Holdings Ltd. | 499,609 | 1,767,836 | ||||||
|
| |||||||
23,322,100 | ||||||||
|
| |||||||
Italy - 1.9% | ||||||||
Atlantia SpA | 108,973 | 2,861,669 | ||||||
Enel SpA | 398,402 | 1,799,752 | ||||||
Finmeccanica SpA † | 227,215 | 2,698,890 | ||||||
Mediobanca SpA | 124,994 | 1,195,882 | ||||||
Pirelli & C. SpA | 44,259 | 732,607 | ||||||
UniCredit SpA | 714,807 | 4,847,315 | ||||||
UnipolSai SpA | 314,203 | 914,245 | ||||||
|
| |||||||
15,050,360 | ||||||||
|
| |||||||
Japan - 20.4% | ||||||||
Ajinomoto Co., Inc. | 177,000 | 3,883,103 | ||||||
Alfresa Holdings Corp. | 124,400 | 1,752,960 | ||||||
Asahi Kasei Corp. | 337,000 | 3,218,224 | ||||||
Astellas Pharma, Inc. | 243,200 | 3,984,808 | ||||||
Bandai Namco Holdings, Inc. | 65,300 | 1,271,000 | ||||||
Bridgestone Corp. | 11,300 | 452,451 | ||||||
Brother Industries Ltd. | 242,300 | 3,849,630 | ||||||
Calbee, Inc. | 42,900 | 1,862,381 | ||||||
Canon, Inc. | 69,700 | 2,466,076 | ||||||
Central Japan Railway Co. | 16,000 | 2,891,514 | ||||||
Chiba Bank Ltd./The | 36,000 | 263,846 | ||||||
Chugai Pharmaceutical Co., Ltd. | 14,400 | 454,477 | ||||||
Citizen Holdings Co., Ltd. | 48,400 | 370,960 | ||||||
Daito Trust Construction Co., Ltd. | 5,187 | 579,210 | ||||||
Daiwa House Industry Co., Ltd. | 17,295 | 340,889 | ||||||
Fuji Electric Co., Ltd. | 48,000 | 226,464 | ||||||
Fuji Heavy Industries Ltd. | 151,821 | 5,039,886 | ||||||
FUJIFILM Holdings Corp. | 163,043 | 5,800,510 | ||||||
Fujitsu Ltd. | 684,000 | 4,664,633 | ||||||
Fukuoka Financial Group, Inc. | 76,000 | 390,829 | ||||||
GungHo Online Entertainment, Inc. | 123,300 | 481,671 | ||||||
Hakuhodo DY Holdings, Inc. | 204,500 | 2,174,099 | ||||||
Hankyu Hanshin Holdings, Inc. | 46,000 | 284,161 | ||||||
Hitachi Chemical Co., Ltd. | 24,400 | 521,027 | ||||||
Hitachi High-Technologies Corp. | 54,200 | 1,649,434 | ||||||
Hoya Corp. | 95,400 | 3,819,276 |
SHARES | VALUE (Note 4) | |||||||
Japan - 20.4% (continued) | ||||||||
Hulic Co., Ltd. | 16,200 | $ | 182,024 | |||||
Japan Airlines Co., Ltd. | 293,700 | 9,136,202 | ||||||
Japan Real Estate Investment Corp. REIT | 84 | 395,101 | ||||||
Japan Retail Fund Investment Corp. REIT | 149 | 296,075 | ||||||
Japan Tobacco, Inc. | 60,000 | 1,896,892 | ||||||
JSR Corp. | 25,000 | 432,930 | ||||||
JTEKT Corp. | 130,670 | 2,037,335 | ||||||
Kao Corp. | 63,300 | 3,160,825 | ||||||
KDDI Corp. | 54,600 | 1,233,552 | ||||||
Keisei Electric Railway Co., Ltd. | 26,000 | 322,698 | ||||||
Kobe Steel Ltd. | 491,000 | 905,608 | ||||||
Konica Minolta, Inc. | 340,900 | 3,454,797 | ||||||
Mabuchi Motor Co., Ltd. | 7,600 | 402,054 | ||||||
Medipal Holdings Corp. | 119,200 | 1,553,669 | ||||||
MEIJI Holdings Co., Ltd. | 22,300 | 2,716,359 | ||||||
Minebea Co., Ltd. | 69,000 | 1,085,263 | ||||||
Mitsubishi Electric Corp. | 310,000 | 3,680,160 | ||||||
Mitsubishi Estate Co., Ltd. | 77,020 | 1,786,245 | ||||||
Mitsubishi Motors Corp. | 106,100 | 956,677 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 892,591 | 5,528,185 | ||||||
Mitsui Fudosan Co., Ltd. | 59,205 | 1,738,733 | ||||||
NH Foods Ltd. | 49,000 | 1,129,138 | ||||||
NHK Spring Co., Ltd. | 74,500 | 775,031 | ||||||
Nippon Building Fund, Inc. REIT | 84 | 412,652 | ||||||
Nippon Express Co., Ltd. | 244,000 | 1,363,305 | ||||||
Nippon Telegraph & Telephone Corp. | 19,019 | 1,174,062 | ||||||
Nippon Yusen KK | 459,000 | 1,320,420 | ||||||
Nitto Denko Corp. | 21,600 | 1,442,317 | ||||||
NOK Corp. | 41,600 | 1,250,810 | ||||||
Nomura Real Estate Holdings, Inc. | 8,000 | 144,073 | ||||||
Omron Corp. | 39,400 | 1,774,937 | ||||||
Otsuka Holdings Co., Ltd. | 116,000 | 3,628,905 | ||||||
Panasonic Corp. | 327,900 | 4,305,997 | ||||||
Resona Holdings, Inc. | 730,300 | 3,624,309 | ||||||
Rohm Co., Ltd. | 68,100 | 4,653,469 | ||||||
Secom Co., Ltd. | 11,300 | 753,714 | ||||||
Seiko Epson Corp. | 172,200 | 3,049,895 | ||||||
Sekisui Chemical Co., Ltd. | 31,000 | 402,225 | ||||||
Sekisui House Ltd. | 32,000 | 464,641 | ||||||
Seven & I Holdings Co., Ltd. | 19,039 | 800,081 | ||||||
Shimadzu Corp. | 26,000 | 289,560 | ||||||
Shimamura Co., Ltd. | 16,000 | 1,481,933 | ||||||
Shimizu Corp. | 51,000 | 344,802 | ||||||
Shionogi & Co., Ltd. | 104,600 | 3,482,190 | ||||||
Sumitomo Heavy Industries Ltd. | 808,000 | 5,287,797 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 61,736 | 2,364,772 | ||||||
Sumitomo Realty & Development Co., Ltd. | 24,261 | 873,429 | ||||||
Sumitomo Rubber Industries Ltd. | 16,400 | 302,307 | ||||||
Suzuken Co., Ltd. | 57,640 | 1,756,926 | ||||||
Suzuki Motor Corp. | 78,500 | 2,357,686 | ||||||
Taisei Corp. | 61,000 | 344,302 | ||||||
Takashimaya Co., Ltd. | 71,000 | 697,478 | ||||||
TDK Corp. | 36,400 | 2,577,393 | ||||||
THK Co., Ltd. | 45,600 | 1,158,733 | ||||||
Tokyo Electron Ltd. | 10,100 | 700,574 | ||||||
Tokyo Gas Co., Ltd. | 68,071 | 427,944 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
103
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
Japan - 20.4% (continued) | ||||||||
Tokyu Corp. | 54,000 | $ | 334,086 | |||||
Tokyu Fudosan Holdings Corp. | 26,483 | 180,629 | ||||||
Toyota Motor Corp. | 99,178 | 6,922,994 | ||||||
West Japan Railway Co. | 37,200 | 1,950,411 | ||||||
Yamaha Corp. | 94,300 | 1,646,705 | ||||||
Yamaha Motor Co., Ltd. | 81,700 | 1,968,206 | ||||||
|
| |||||||
165,515,741 | ||||||||
|
| |||||||
Netherlands - 2.6% | ||||||||
ASML Holding NV | 19,567 | 1,983,692 | ||||||
Boskalis Westminster NV | 37,190 | 1,833,044 | ||||||
Delta Lloyd NV | 179,434 | 3,376,421 | ||||||
Heineken NV | 22,737 | 1,735,439 | ||||||
ING Groep NV CVA † | 247,726 | 3,628,685 | ||||||
Koninklijke Ahold NV | 234,424 | 4,619,529 | ||||||
Wolters Kluwer NV | 124,189 | 4,055,352 | ||||||
|
| |||||||
21,232,162 | ||||||||
|
| |||||||
Singapore - 0.5% | ||||||||
Ascendas Real Estate Investment Trust REIT | 123,637 | 233,208 | ||||||
CapitaCommercial Trust REIT | 120,000 | 154,465 | ||||||
CapitaMall Trust REIT | 145,994 | 233,724 | ||||||
ComfortDelGro Corp. Ltd. | 207,800 | 437,755 | ||||||
DBS Group Holdings Ltd. | 15,528 | 230,247 | ||||||
Sembcorp Industries Ltd. | 60,017 | 184,247 | ||||||
Singapore Airlines Ltd. | 26,000 | 226,370 | ||||||
Singapore Exchange Ltd. | 52,472 | 311,126 | ||||||
Singapore Technologies Engineering Ltd. | 93,265 | 236,510 | ||||||
United Overseas Bank Ltd. | 102,097 | 1,711,367 | ||||||
UOL Group Ltd. | 28,000 | 155,831 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 245,419 | 225,635 | ||||||
|
| |||||||
4,340,485 | ||||||||
|
| |||||||
South Africa - 0.3% | ||||||||
Investec PLC | 256,082 | 2,123,826 | ||||||
|
| |||||||
Spain - 1.9% | ||||||||
Banco Santander SA | 1,316,345 | 9,867,812 | ||||||
Enagas SA | 20,929 | 598,462 | ||||||
Gas Natural SDG SA | 40,604 | 911,646 | ||||||
Iberdrola SA | 278,852 | 1,798,192 | ||||||
Red Electrica Corp. SA | 6,719 | 546,344 | ||||||
Telefonica SA | 142,490 | 2,027,563 | ||||||
|
| |||||||
15,750,019 | ||||||||
|
| |||||||
Sweden - 3.2% | ||||||||
Boliden AB | 114,702 | 2,272,193 | ||||||
Electrolux AB, Series B | 72,402 | 2,068,410 | ||||||
Hennes & Mauritz AB, B Shares | 100,434 | 4,069,359 | ||||||
Husqvarna AB, B Shares | 421,093 | 3,050,222 | ||||||
Investor AB, B Shares | 19,364 | 770,819 | ||||||
Securitas AB, B Shares | 211,159 | 3,031,485 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 187,764 | 2,191,532 | ||||||
Skanska AB, B Shares | 26,473 | 593,507 | ||||||
Svenska Cellulosa AB SCA, Class B | 35,922 | 825,447 | ||||||
Swedish Match AB | 97,467 | 2,865,792 | ||||||
Tele2 AB, B Shares | 156,179 | 1,868,026 |
SHARES | VALUE (Note 4) | |||||||
Sweden - 3.2% (continued) | ||||||||
Telefonaktiebolaget LM Ericsson, B Shares | 170,974 | $ | 2,146,569 | |||||
|
| |||||||
25,753,361 | ||||||||
|
| |||||||
Switzerland - 8.3% | ||||||||
ABB Ltd. † | 127,941 | 2,714,142 | ||||||
Actelion Ltd. † | 5,886 | 678,853 | ||||||
Adecco SA † | 14,627 | 1,215,847 | ||||||
Aryzta AG † | 19,553 | 1,198,653 | ||||||
Baloise Holding AG | 16,979 | 2,243,896 | ||||||
Geberit AG | 2,797 | 1,046,681 | ||||||
Givaudan SA † | 2,196 | 3,967,398 | ||||||
Nestle SA | 159,193 | 11,987,621 | ||||||
Novartis AG | 166,254 | 16,409,351 | ||||||
Roche Holding AG | 33,065 | 9,086,001 | ||||||
Sika AG | 310 | 1,109,938 | ||||||
Swiss Life Holding AG † | 38,677 | 9,555,034 | ||||||
Swiss Re AG | 48,536 | 4,681,684 | ||||||
Wolseley PLC | 17,781 | 1,050,937 | ||||||
|
| |||||||
66,946,036 | ||||||||
|
| |||||||
United Kingdom - 18.8% | ||||||||
3i Group PLC | 59,955 | 428,398 | ||||||
ARM Holdings PLC | 78,966 | 1,282,509 | ||||||
Associated British Foods PLC | 104,724 | 4,370,462 | ||||||
AstraZeneca PLC | 86,984 | 5,968,709 | ||||||
Aviva PLC | 306,121 | 2,449,851 | ||||||
Barclays PLC | 2,110,092 | 7,616,435 | ||||||
BP PLC | 1,045,835 | 6,779,274 | ||||||
British Land Co. PLC/The REIT | 57,695 | 711,085 | ||||||
BT Group PLC | 1,269,160 | 8,246,807 | ||||||
Direct Line Insurance Group PLC | 713,826 | 3,368,541 | ||||||
Dixons Carphone PLC | 89,661 | 548,352 | ||||||
easyJet PLC | 152,740 | 4,250,971 | ||||||
Fiat Chrysler Automobiles NV † | 279,305 | 4,534,257 | ||||||
Friends Life Group Ltd. | 79,990 | 489,701 | ||||||
GKN PLC | 89,984 | 477,309 | ||||||
GlaxoSmithKline PLC | 107,762 | 2,480,675 | ||||||
Hammerson PLC REIT | 28,872 | 284,336 | ||||||
HSBC Holdings PLC | 962,623 | 8,202,919 | ||||||
ICAP PLC | 76,136 | 593,822 | ||||||
IMI PLC | 43,881 | 828,046 | ||||||
Imperial Tobacco Group PLC | 98,446 | 4,318,459 | ||||||
InterContinental Hotels Group PLC | 13,682 | 533,648 | ||||||
International Consolidated Airlines Group SA † | 373,454 | 3,346,109 | ||||||
ITV PLC | 1,332,180 | 4,987,746 | ||||||
Kingfisher PLC | 617,663 | 3,484,900 | ||||||
Land Securities Group PLC REIT | 47,078 | 874,016 | ||||||
Lloyds Banking Group PLC † | 790,194 | 915,944 | ||||||
Melrose Industries PLC | 336,170 | 1,380,690 | ||||||
Next PLC | 37,670 | 3,917,624 | ||||||
Persimmon PLC † | 289,889 | 7,143,864 | ||||||
Persimmon PLC, Class B † | 289,889 | 408,520 | ||||||
Randgold Resources Ltd. | 3,761 | 260,721 | ||||||
Reckitt Benckiser Group PLC | 45,801 | 3,934,562 | ||||||
Reed Elsevier NV | 222,659 | 5,548,127 | ||||||
Reed Elsevier PLC | 63,746 | 1,096,299 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
104
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SHARES | VALUE (Note 4) | |||||||
United Kingdom - 18.8% (continued) | ||||||||
Rio Tinto Ltd. | 25,795 | $ | 1,117,698 | |||||
Rio Tinto PLC | 15,471 | 637,976 | ||||||
Royal Bank of Scotland Group PLC † | 339,062 | 1,712,841 | ||||||
Royal Dutch Shell PLC, A Shares | 224,457 | 6,674,698 | ||||||
Royal Dutch Shell PLC, B Shares | 146,511 | 4,563,864 | ||||||
Royal Mail PLC | 124,772 | 809,296 | ||||||
Schroders PLC | 19,386 | 918,343 | ||||||
Shire PLC | 111,529 | 8,891,440 | ||||||
Smith & Nephew PLC | 187,140 | 3,191,030 | ||||||
Standard Chartered PLC | 155,411 | 2,517,147 | ||||||
Tate & Lyle PLC | 149,963 | 1,326,750 | ||||||
Travis Perkins PLC | 135,555 | 3,913,886 | ||||||
Tullow Oil PLC | 33,537 | 140,594 | ||||||
Unilever PLC | 76,998 | 3,212,623 | ||||||
Vodafone Group PLC | 1,751,935 | 5,732,902 | ||||||
|
| |||||||
151,424,776 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 717,021,900 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.0% | ||||||||
Germany - 1.0% | ||||||||
Henkel AG & Co. KGaA | 33,336 | 3,915,692 | ||||||
Porsche Automobil Holding SE | 44,719 | 4,379,260 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS | 8,294,952 | |||||||
|
| |||||||
RIGHTS - 0.0% (b) | ||||||||
Spain - 0.0% (b) | ||||||||
Telefonica SA † | ||||||||
(cost $—) | 142,490 | 22,982 | ||||||
|
| |||||||
WARRANTS - 0.0% (b) | ||||||||
Hong Kong - 0.0% (b) | ||||||||
Sun Hung Kai Properties Ltd. † | ||||||||
(cost $—) | 79 | 229 | ||||||
|
| |||||||
MONEY MARKET FUNDS - 7.9% | ||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.000% (c) | 57,197,521 | 57,197,521 | ||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) | 6,620,055 | 6,620,055 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUNDS | 63,817,576 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 97.5% | 789,157,639 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.5% (e) | 20,523,209 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 809,680,848 | ||||||
|
|
† | Non-income producing security. |
(a) | Security fair valued as of March 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $0 or 0.0% of total net assets. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents annualized seven-day yield as of the close of the reporting period. |
(d) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(3) | Level 3 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
REIT - Real Estate Investment Trust
SECTOR | VALUE | % OF NET ASSETS | ||||||
Consumer Discretionary | $ | 125,315,527 | 15.5 | % | ||||
Consumer Staples | 67,383,636 | 8.3 | ||||||
Energy | 24,528,307 | 3.0 | ||||||
Financials | 176,910,957 | 21.9 | ||||||
Health Care | 101,024,974 | 12.5 | ||||||
Industrials | 91,853,455 | 11.3 | ||||||
Information Technology | 53,511,257 | 6.6 | ||||||
Materials | 26,342,818 | 3.3 | ||||||
Telecommunication Services | 45,442,217 | 5.6 | ||||||
Utilities | 13,026,915 | 1.6 | ||||||
Money Market Funds | 63,817,576 | 7.9 | ||||||
|
|
|
| |||||
Total Investments In Securities, At Value | 789,157,639 | 97.5 | ||||||
Other Assets in Excess of Liabilities (e) | 20,523,209 | 2.5 | ||||||
|
|
|
| |||||
Net Assets | $ | 809,680,848 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
105
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
Total return swap contracts outstanding as of March 31, 2015:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE | CURRENCY | NOTIONAL VALUE | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||
Goldman Sachs | Hang Seng Index April Futures | 4/2015 | HKD | 62,441,785 | $151,934 | |||||||||
Goldman Sachs | Swiss Market Index June Futures | 6/2015 | CHF | (27,306,840 | ) | 142,193 | ||||||||
|
| |||||||||||||
$294,127 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts in the amount of $6,620,000 at March 31, 2015.
Open futures contracts outstanding at March 31, 2015:
Exchange Traded
NUMBER OF CONTRACTS | COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Long Contracts: | ||||||||||||||||||||
782 | Barclays Capital | CAC40 Index Futures | 4/2015 | $42,229,462 | $42,344,979 | $115,517 | ||||||||||||||
206 | Barclays Capital | DAX Index Futures | 6/2015 | 66,667,403 | 66,508,593 | (158,810 | ) | |||||||||||||
115 | Barclays Capital | Hang Seng Index Futures | 4/2015 | 18,203,311 | 18,504,221 | 300,910 | ||||||||||||||
27 | Barclays Capital | IBEX 35 Index Futures | 4/2015 | 3,202,144 | 3,335,835 | 133,691 | ||||||||||||||
119 | Barclays Capital | MSCI Singapore Index Futures | 4/2015 | 6,621,127 | 6,591,890 | (29,237 | ) | |||||||||||||
264 | Barclays Capital | TOPIX Index Futures | 6/2015 | 33,498,885 | 33,975,403 | 476,518 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
170,422,332 | 171,260,921 | 838,589 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
Short Contracts: | ||||||||||||||||||||
239 | Barclays Capital | Amsterdam Index Futures | 4/2015 | $(25,435,105 | ) | $(25,135,678 | ) | $299,427 | ||||||||||||
98 | Barclays Capital | FTSE 100 Index Futures | 6/2015 | (9,992,838 | ) | (9,779,255 | ) | 213,583 | ||||||||||||
123 | Barclays Capital | FTSE/MIB Index Futures | 6/2015 | (14,853,552 | ) | (15,089,058 | ) | (235,506 | ) | |||||||||||
871 | Barclays Capital | OMXS30 Index Futures | 4/2015 | (16,600,159 | ) | (16,768,379 | ) | (168,220 | ) | |||||||||||
55 | Barclays Capital | SPI 200 Index Futures | 6/2015 | (6,196,573 | ) | (6,164,224 | ) | 32,349 | ||||||||||||
|
|
|
|
|
| |||||||||||||||
(73,078,227 | ) | (72,936,594 | ) | 141,633 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$97,344,105 | $98,324,327 | $980,222 | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $14,418,621 at March 31, 2015.
Forward foreign currency exchange contracts outstanding as of March 31, 2015:
Over the Counter
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/17/15 | CitiBank | AUD | 24,361,550 | $18,555,207 | $18,475,303 | $(79,904 | ) | |||||||||||||
Australian Dollar, Expiring 06/17/15 | Credit Suisse International | AUD | 24,706,550 | 18,822,264 | 18,736,944 | (85,320 | ) | |||||||||||||
Swiss Franc, Expiring 06/17/15 | CitiBank | CHF | 716,500 | 744,632 | 739,625 | (5,007 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
106
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
PURCHASE CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Swiss Franc, Expiring 06/17/15 | Credit Suisse International | CHF | 8,594,500 | $ 8,957,388 | $ 8,871,881 | $ (85,507 | ) | |||||||||||||
Danish Krone, Expiring 06/17/15 | CitiBank | DKK | 4,343,500 | 635,202 | 626,760 | (8,442 | ) | |||||||||||||
Danish Krone, Expiring 06/17/15 | Credit Suisse International | DKK | 8,957,500 | 1,322,308 | 1,292,554 | (29,754 | ) | |||||||||||||
Euro, Expiring 06/17/15 | CitiBank | EUR | 42,431,200 | 45,992,938 | 45,672,151 | (320,787 | ) | |||||||||||||
Euro, Expiring 06/17/15 | Credit Suisse International | EUR | 42,431,200 | 45,992,431 | 45,672,151 | (320,280 | ) | |||||||||||||
British Pound, Expiring 06/17/15 | CitiBank | GBP | 3,820,000 | 5,794,446 | 5,663,616 | (130,830 | ) | |||||||||||||
British Pound, Expiring 06/17/15 | Credit Suisse International | GBP | 4,857,000 | 7,374,710 | 7,201,095 | (173,615 | ) | |||||||||||||
Hong Kong Dollar, Expiring 06/17/15 | CitiBank | HKD | 17,843,500 | 2,298,319 | 2,301,284 | 2,965 | ||||||||||||||
Hong Kong Dollar, Expiring 06/17/15 | Credit Suisse International | HKD | 17,843,500 | 2,298,294 | 2,301,284 | 2,990 | ||||||||||||||
Israeli Shekel, Expiring 06/17/15 | CitiBank | ILS | 10,016,500 | 2,516,750 | 2,517,564 | 814 | ||||||||||||||
Israeli Shekel, Expiring 06/17/15 | Credit Suisse International | ILS | 10,016,500 | 2,516,742 | 2,517,564 | 822 | ||||||||||||||
Japanese Yen, Expiring 06/17/15 | CitiBank | JPY | 10,415,022,900 | 86,239,490 | 86,932,541 | 693,051 | ||||||||||||||
Japanese Yen, Expiring 06/17/15 | Credit Suisse International | JPY | 10,487,502,900 | 86,845,254 | 87,537,520 | 692,266 | ||||||||||||||
New Zealand Dollar, Expiring 06/17/15 | CitiBank | NZD | 23,256,501 | 17,004,477 | 17,257,763 | 253,286 | ||||||||||||||
New Zealand Dollar, Expiring 06/17/15 | Credit Suisse International | NZD | 23,256,500 | 17,004,483 | 17,257,764 | 253,281 | ||||||||||||||
Swedish Krona, Expiring 06/17/15 | CitiBank | SEK | 89,145,000 | 10,422,364 | 10,363,688 | (58,676 | ) | |||||||||||||
Swedish Krona, Expiring 06/17/15 | Credit Suisse International | SEK | 89,145,000 | 10,422,337 | 10,363,689 | (58,648 | ) | |||||||||||||
Singapore Dollar, Expiring 06/17/15 | CitiBank | SGD | 4,266,650 | 3,092,749 | 3,103,040 | 10,291 | ||||||||||||||
Singapore Dollar, Expiring 06/17/15 | Credit Suisse International | SGD | 6,590,650 | 4,786,969 | 4,793,232 | 6,263 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$399,639,754 | $400,199,013 | $559,259 | ||||||||||||||||||
|
|
|
|
|
|
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Australian Dollar, Expiring 06/17/15 | CitiBank | AUD | (5,979,500 | ) | $(4,632,070 | ) | $(4,534,731 | ) | $97,339 | |||||||||||
Australian Dollar, Expiring 06/17/15 | Credit Suisse International | AUD | (5,979,500 | ) | (4,632,584 | ) | (4,534,731 | ) | 97,853 | |||||||||||
Swiss Franc, Expiring 06/17/15 | CitiBank | CHF | (35,219,900 | ) | (36,229,862 | ) | (36,356,592 | ) | (126,730 | ) | ||||||||||
Swiss Franc, Expiring 06/17/15 | Credit Suisse International | CHF | (35,219,900 | ) | (36,230,691 | ) | (36,356,593 | ) | (125,902 | ) | ||||||||||
Danish Krone, Expiring 06/17/15 | CitiBank | DKK | (16,239,500 | ) | (2,433,153 | ) | (2,343,337 | ) | 89,816 | |||||||||||
Danish Krone, Expiring 06/17/15 | Credit Suisse International | DKK | (16,239,500 | ) | (2,433,031 | ) | (2,343,337 | ) | 89,694 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
107
Schedule of Investments | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL EQUITY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD | VALUE AT SETTLEMENT DATE | VALUE AT MARCH 31, 2015 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
Euro, Expiring 06/17/15 | CitiBank | EUR | (6,777,500 | ) | $ (7,401,675 | ) | $ (7,295,175 | ) | $ 106,500 | |||||||||||
Euro, Expiring 06/17/15 | Credit Suisse International | EUR | (10,429,500 | ) | (11,450,012 | ) | (11,226,120 | ) | 223,892 | |||||||||||
British Pound, Expiring 06/17/15 | CitiBank | GBP | (50,067,350 | ) | (76,692,732 | ) | (74,230,970 | ) | 2,461,762 | |||||||||||
British Pound, Expiring 06/17/15 | Credit Suisse International | GBP | (50,067,350 | ) | (76,693,032 | ) | (74,230,970 | ) | 2,462,062 | |||||||||||
Hong Kong Dollar, Expiring 06/17/15 | CitiBank | HKD | (5,265,500 | ) | (678,841 | ) | (679,093 | ) | (252 | ) | ||||||||||
Hong Kong Dollar, Expiring 06/17/15 | Credit Suisse International | HKD | (13,975,500 | ) | (1,801,943 | ) | (1,802,425 | ) | (482 | ) | ||||||||||
Israeli Shekel, Expiring 06/17/15 | CitiBank | ILS | (444,000 | ) | (111,199 | ) | (111,596 | ) | (397 | ) | ||||||||||
Israeli Shekel, Expiring 06/17/15 | Credit Suisse International | ILS | (444,000 | ) | (111,205 | ) | (111,596 | ) | (391 | ) | ||||||||||
Japanese Yen, Expiring 06/17/15 | CitiBank | JPY | (1,224,005,000 | ) | (10,063,622 | ) | (10,216,575 | ) | (152,953 | ) | ||||||||||
Japanese Yen, Expiring 06/17/15 | Credit Suisse International | JPY | (1,224,005,000 | ) | (10,063,956 | ) | (10,216,575 | ) | (152,619 | ) | ||||||||||
New Zealand Dollar, Expiring 06/17/15 | CitiBank | NZD | (23,256,501 | ) | (17,082,243 | ) | (17,257,763 | ) | (175,520 | ) | ||||||||||
New Zealand Dollar, Expiring 06/17/15 | Credit Suisse International | NZD | (23,256,500 | ) | (17,085,009 | ) | (17,257,762 | ) | (172,753 | ) | ||||||||||
Swedish Krona, Expiring 06/17/15 | Credit Suisse International | SEK | (77,788,000 | ) | (9,346,711 | ) | (9,043,363 | ) | 303,348 | |||||||||||
Singapore Dollar, Expiring 06/17/15 | CitiBank | SGD | (276,000 | ) | (201,760 | ) | (200,729 | ) | 1,031 | |||||||||||
Singapore Dollar, Expiring 06/17/15 | Credit Suisse International | SGD | (276,000 | ) | (201,679 | ) | (200,729 | ) | 950 | |||||||||||
|
|
|
|
|
| |||||||||||||||
(325,577,010 | ) | (320,550,762 | ) | 5,026,248 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
$74,062,744 | $79,648,251 | $5,585,507 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $55 at March 31, 2015. Cash held as collateral for Citibank and Credit Suisse International for forward currency exchange contracts was $2,930,000 and $3,050,000, respectively, at March 31, 2015.
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
108
Statements of Assets and Liabilities | March 31, 2015 (Unaudited) |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 583,839,825 | $ | 28,477,449 | $ | 92,039,839 | $ | 39,630,058 | ||||||||
Investments in securities, at value* | $ | 615,781,621 | $ | 30,497,879 | $ | 93,676,522 | $ | 39,996,286 | ||||||||
Foreign currency, at value‡ | — | — | 183,103 | — | ||||||||||||
Deposits with brokers for futures contracts | 702,732 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | 1,716,867 | — | 4,399,294 | ||||||||||||
Foreign tax reclaim | — | — | 36,469 | — | ||||||||||||
Dividends | 564,312 | 18,463 | 358,440 | 51,658 | ||||||||||||
Capital shares sold | 2,507,848 | 28,973 | 441,688 | 190,056 | ||||||||||||
Prepaid expenses | 78,541 | 38,730 | 38,561 | 39,939 | ||||||||||||
Total Assets | 619,635,054 | 32,300,912 | 94,734,783 | 44,677,233 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Due to custodian | — | — | — | 1,737,794 | ||||||||||||
Foreign currency due to custodian, at value‡ | — | — | — | 154,625 | ||||||||||||
Variation margin on futures contracts | 137,640 | — | — | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | — | 1,938,950 | 1,141,154 | 1,946,518 | ||||||||||||
Collateral received on securities loaned | — | 4,296,778 | — | 906,364 | ||||||||||||
Accrued investment advisory fees | 120,142 | — | 15,570 | 827 | ||||||||||||
Accrued shareholder servicing fees | 72,820 | 2,993 | 9,813 | 3,597 | ||||||||||||
Accrued distribution fees—Class N | 11,599 | 1,008 | 551 | 591 | ||||||||||||
Capital shares redeemed | 392,003 | — | 20,186 | 14,559 | ||||||||||||
Other accrued expenses and liabilities | 67,185 | 60,133 | 74,283 | 72,666 | ||||||||||||
Total Liabilities | 801,389 | 6,299,862 | 1,261,557 | 4,837,541 | ||||||||||||
Net Assets | $ | 618,833,665 | $ | 26,001,050 | $ | 93,473,226 | $ | 39,839,692 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 590,763,623 | $ | 23,865,369 | $ | 94,489,910 | $ | 40,253,618 | ||||||||
Undistributed (accumulated) net investment income (loss) | 1,737,830 | 50,376 | 278,999 | 58,835 | ||||||||||||
Undistributed (accumulated) net realized gain (loss) | (5,478,421 | ) | 64,875 | (2,923,048 | ) | (838,692 | ) | |||||||||
Net unrealized appreciation (depreciation) | 31,810,633 | 2,020,430 | 1,627,365 | 365,931 | ||||||||||||
Net Assets | $ | 618,833,665 | $ | 26,001,050 | $ | 93,473,226 | $ | 39,839,692 | ||||||||
NET ASSETS: | ||||||||||||||||
Class L | $ | 428,891,971 | $ | 20,667,247 | $ | 31,054,901 | $ | 18,166,932 | ||||||||
Class N | 55,387,093 | 5,030,599 | 2,594,178 | 2,839,605 | ||||||||||||
Class R6 | 134,554,601 | 303,204 | 59,824,147 | 18,833,155 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class L | 30,383,829 | 1,515,366 | 2,804,653 | 1,836,999 | ||||||||||||
Class N | 3,935,048 | 369,677 | 234,356 | 287,549 | ||||||||||||
Class R6 | 9,534,008 | 22,220 | 5,410,567 | 1,903,338 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class L | $ | 14.12 | $ | 13.64 | $ | 11.07 | $ | 9.89 | ||||||||
Class N | $ | 14.08 | $ | 13.61 | $ | 11.07 | $ | 9.88 | ||||||||
Class R6 | $ | 14.11 | $ | 13.65 | $ | 11.06 | $ | 9.89 | ||||||||
* Market value of securities out on loan | $ | — | $ | 4,197,342 | $ | — | $ | 894,004 | ||||||||
‡ Foreign currency at cost | $ | — | $ | — | $ | 182,828 | $ | (154,560 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
109
Statements of Assets and Liabilities | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 5,560,083 | $ | 2,587,956 | $ | 20,805,016 | $ | 8,478,248 | ||||||||
Investments in securities, at value* | $ | 5,551,316 | $ | 2,643,518 | $ | 20,707,802 | $ | 8,486,377 | ||||||||
Cash | 2,162 | — | 47 | — | ||||||||||||
Foreign currency, at value‡ | — | — | — | 3,755 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 545,529 | 138,148 | 16,587,850 | 3,231,777 | ||||||||||||
Foreign tax reclaim | — | — | 202 | — | ||||||||||||
Dividends | 3,578 | 1,570 | 13,762 | 3,141 | ||||||||||||
Capital shares sold | 101,623 | — | 234,583 | 29,036 | ||||||||||||
Due from Investment Advisor | 12,913 | 13,153 | 15,601 | 15,315 | ||||||||||||
Prepaid expenses | — | — | 103 | 464 | ||||||||||||
Total Assets | 6,217,121 | 2,796,389 | 37,559,950 | 11,769,865 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Foreign currency due to custodian, at value‡ | — | — | 13,480 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 1,169,567 | 219,501 | 21,487,282 | 3,982,387 | ||||||||||||
Collateral received on securities loaned | — | 364,241 | — | 196,825 | ||||||||||||
Accrued distribution fees—Class N | 21 | 22 | 22 | 210 | ||||||||||||
Accrued trustee fees | 11 | 12 | 11 | 30 | ||||||||||||
Capital shares redeemed | — | — | 1,912 | 361 | ||||||||||||
Other accrued expenses and liabilities | 15,225 | 15,533 | 21,237 | 21,794 | ||||||||||||
Total Liabilities | 1,184,824 | 599,309 | 21,523,944 | 4,201,607 | ||||||||||||
Net Assets | $ | 5,032,297 | $ | 2,197,080 | $ | 16,036,006 | $ | 7,568,258 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 5,050,742 | $ | 2,135,952 | $ | 16,113,765 | $ | 7,552,795 | ||||||||
Undistributed (accumulated) net investment income (loss) | 5,217 | 5,345 | 14,006 | 590 | ||||||||||||
Undistributed (accumulated) net realized gain (loss) | (14,895 | ) | 221 | 24,419 | 8,921 | |||||||||||
Net unrealized appreciation (depreciation) | (8,767 | ) | 55,562 | (116,184 | ) | 5,952 | ||||||||||
Net Assets | $ | 5,032,297 | $ | 2,197,080 | $ | 16,036,006 | $ | 7,568,258 | ||||||||
NET ASSETS: | ||||||||||||||||
Class L | $ | 1,209,709 | $ | 235,541 | $ | 1,191,739 | $ | 1,742,835 | ||||||||
Class N | 100,209 | 107,923 | 102,129 | 999,343 | ||||||||||||
Class R6 | 3,722,379 | 1,853,616 | 14,742,138 | 4,826,080 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class L | 120,681 | 22,880 | 116,678 | 174,361 | ||||||||||||
Class N | 10,000 | 10,485 | 10,000 | 100,000 | ||||||||||||
Class R6 | 371,275 | 180,000 | 1,442,951 | 482,732 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class L | $ | 10.02 | $ | 10.29 | $ | 10.21 | $ | 10.00 | ||||||||
Class N | $ | 10.02 | $ | 10.29 | $ | 10.21 | $ | 9.99 | ||||||||
Class R6 | $ | 10.03 | $ | 10.30 | $ | 10.22 | $ | 10.00 | ||||||||
* Market value of securities out on loan | $ | — | $ | 355,466 | $ | — | $ | 194,708 | ||||||||
‡ Foreign currency at cost | $ | — | $ | — | $ | (13,483 | ) | $ | 3,762 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
110
Statements of Assets and Liabilities | March 31, 2015 (Unaudited) |
AQR LARGE CAP | AQR SMALL CAP | AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 889,510,153 | $ | 454,888,009 | $ | 296,696,928 | $ | 8,441,240 | ||||||||
Investments in securities, at value* | $ | 1,103,536,996 | $ | 521,256,461 | $ | 329,321,939 | $ | 8,643,549 | ||||||||
Cash | 396,008 | — | 904 | — | ||||||||||||
Foreign currency, at value‡ | 382 | — | 928,342 | 17,184 | ||||||||||||
Deposits with brokers for futures contracts | 993,647 | 306,641 | 208,879 | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 55,963,558 | 23,067,272 | 40,938,707 | 571,290 | ||||||||||||
Foreign tax reclaim | — | — | 463,821 | — | ||||||||||||
Dividends | 1,149,857 | 511,580 | 1,165,483 | 11,145 | ||||||||||||
Capital shares sold | 1,092,060 | 1,529,299 | 354,668 | — | ||||||||||||
Due from Investment Advisor | — | — | — | 8,641 | ||||||||||||
Prepaid expenses | 70,761 | 48,412 | 49,829 | 37,999 | ||||||||||||
Total Assets | 1,163,203,269 | 546,719,665 | 373,432,572 | 9,289,808 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Due to custodian | — | — | — | 3,709 | ||||||||||||
Variation margin on futures contracts | 159,840 | 16,200 | 95,130 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 56,534,754 | 45,427,521 | 35,278,537 | 431,653 | ||||||||||||
Collateral received on securities loaned | — | 65,505,262 | — | — | ||||||||||||
Accrued investment advisory fees | 171,066 | 115,842 | 84,083 | — | ||||||||||||
Accrued shareholder servicing fees | 141,369 | 52,313 | 43,144 | — | ||||||||||||
Accrued distribution fees—Class N | 18,047 | 1,891 | 8,860 | 281 | ||||||||||||
Capital shares redeemed | 614,706 | 200,428 | 166,473 | — | ||||||||||||
Other accrued expenses and liabilities | 263,253 | 103,933 | 171,076 | 108,133 | ||||||||||||
Total Liabilities | 57,903,035 | 111,423,390 | 35,847,303 | 543,776 | ||||||||||||
Net Assets | $ | 1,105,300,234 | $ | 435,296,275 | $ | 337,585,269 | $ | 8,746,032 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 849,983,915 | $ | 361,420,792 | $ | 322,388,490 | $ | 8,996,655 | ||||||||
Undistributed (accumulated) net investment income (loss) | 3,465,281 | 1,093,301 | 1,313,738 | (1,397 | ) | |||||||||||
Undistributed (accumulated) net realized gain (loss) | 37,887,413 | 6,459,089 | (18,539,247 | ) | (451,331 | ) | ||||||||||
Net unrealized appreciation (depreciation) | 213,963,625 | 66,323,093 | 32,422,288 | 202,105 | ||||||||||||
Net Assets | $ | 1,105,300,234 | $ | 435,296,275 | $ | 337,585,269 | $ | 8,746,032 | ||||||||
NET ASSETS: | ||||||||||||||||
Class L | $ | 969,292,339 | $ | 423,918,153 | $ | 265,914,758 | $ | 7,312,390 | ||||||||
Class N | 85,098,073 | 9,158,476 | 41,555,875 | 1,339,930 | ||||||||||||
Class R6 | 50,909,822 | 2,219,646 | 30,114,636 | 93,712 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class L | 45,449,162 | 19,627,578 | 18,434,133 | 742,121 | ||||||||||||
Class N | 3,992,506 | 425,896 | 2,887,741 | 136,047 | ||||||||||||
Class R6 | 2,390,799 | 102,869 | 2,090,026 | 9,501 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class L | $ | 21.33 | $ | 21.60 | $ | 14.43 | $ | 9.85 | ||||||||
Class N | $ | 21.31 | $ | 21.50 | $ | 14.39 | $ | 9.85 | ||||||||
Class R6 | $ | 21.29 | $ | 21.58 | $ | 14.41 | $ | 9.86 | ||||||||
* Market value of securities out on loan | $ | — | $ | 63,331,053 | $ | — | $ | — | ||||||||
‡ Foreign currency at cost | $ | 431 | $ | — | $ | 951,844 | $ | 17,356 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
111
Statements of Assets and Liabilities | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM | AQR TM SMALL CAP MOMENTUM | AQR TM STYLE FUND | AQR LARGE CAP STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 117,371,548 | $ | 21,150,043 | $ | 61,119,789 | $ | 126,403,188 | ||||||||
Investments in securities, at value* | $ | 133,655,967 | $ | 24,248,991 | $ | 64,598,772 | $ | 157,048,730 | ||||||||
Cash | 28,681 | — | 32 | — | ||||||||||||
Foreign currency, at value‡ | — | — | 173,701 | — | ||||||||||||
Deposits with brokers for futures contracts | 115,592 | — | — | 244,784 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 2,834,949 | 1,142,486 | 6,696,717 | — | ||||||||||||
Foreign tax reclaim | — | — | 67,600 | — | ||||||||||||
Dividends | 135,307 | 25,011 | 237,326 | 198,450 | ||||||||||||
Capital shares sold | 289,267 | 46,131 | 177,171 | 741,752 | ||||||||||||
Due from Investment Advisor | — | 1,545 | — | — | ||||||||||||
Prepaid expenses | 29,890 | 26,453 | 28,121 | 38,964 | ||||||||||||
Total Assets | 137,089,653 | 25,490,617 | 71,979,440 | 158,272,680 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Due to custodian | — | — | — | 857 | ||||||||||||
Variation margin on futures contracts | 18,500 | — | — | 39,220 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 5,547,472 | 1,145,106 | 6,723,911 | — | ||||||||||||
Collateral received on securities loaned | — | 3,926,470 | — | — | ||||||||||||
Accrued investment advisory fees | 14,056 | — | 7,457 | 18,668 | ||||||||||||
Accrued shareholder servicing fees | 16,656 | — | 8,304 | 19,933 | ||||||||||||
Accrued distribution fees—Class N | 39 | 30 | 24 | 3,803 | ||||||||||||
Capital shares redeemed | 91,333 | — | — | 329,656 | ||||||||||||
Other accrued expenses and liabilities | 26,925 | 51,645 | 54,808 | 88,398 | ||||||||||||
Total Liabilities | 5,714,981 | 5,123,251 | 6,794,504 | 500,535 | ||||||||||||
Net Assets | $ | 131,374,672 | $ | 20,367,366 | $ | 65,184,936 | $ | 157,772,145 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 115,765,778 | $ | 17,367,315 | $ | 67,706,400 | $ | 108,938,296 | ||||||||
Undistributed (accumulated) net investment income (loss) | 416,283 | 52,703 | 411,397 | 703,539 | ||||||||||||
Undistributed (accumulated) net realized gain (loss) | (1,103,412 | ) | (151,600 | ) | (6,396,183 | ) | 17,456,467 | |||||||||
Net unrealized appreciation (depreciation) | 16,296,023 | 3,098,948 | 3,463,322 | 30,673,843 | ||||||||||||
Net Assets | $ | 131,374,672 | $ | 20,367,366 | $ | 65,184,936 | $ | 157,772,145 | ||||||||
NET ASSETS: | ||||||||||||||||
Class L | $ | 51,085,261 | $ | 20,116,312 | $ | 22,106,973 | $ | — | ||||||||
Class I | — | — | — | 139,695,282 | ||||||||||||
Class N | 146,096 | 142,137 | 111,508 | 17,966,163 | ||||||||||||
Class R6 | 80,143,315 | 108,917 | 42,966,455 | 110,700 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class L | 3,081,400 | 1,239,391 | 1,739,007 | — | ||||||||||||
Class I | — | — | — | 9,371,894 | ||||||||||||
Class N | 8,826 | 8,788 | 8,782 | 1,204,407 | ||||||||||||
Class R6 | 4,836,242 | 6,717 | 3,380,334 | 7,440 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class L | $ | 16.58 | $ | 16.23 | $ | 12.71 | $ | — | ||||||||
Class I | $ | — | $ | — | $ | — | $ | 14.91 | ||||||||
Class N | $ | 16.55 | $ | 16.17 | $ | 12.70 | $ | 14.92 | ||||||||
Class R6 | $ | 16.57 | $ | 16.22 | $ | 12.71 | $ | 14.88 | ||||||||
* Market value of securities out on loan | $ | — | $ | 3,804,190 | $ | — | $ | — | ||||||||
‡ Foreign currency at cost | $ | — | $ | — | $ | 176,204 | $ | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
112
Statements of Assets and Liabilities | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | AQR FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities, at cost | $ | 30,482,333 | $ | 93,249,723 | $ | 246,377,009 | $ | 698,510,379 | ||||||||
Investments in securities, at value* | $ | 31,653,513 | $ | 89,297,459 | $ | 302,360,549 | $ | 789,157,639 | ||||||||
Cash | — | — | — | 46,988 | ||||||||||||
Foreign currency, at value‡ | 122,531 | 348,118 | 884,794 | 2,317,145 | ||||||||||||
Deposits with brokers for futures contracts | — | — | 5,862,370 | 16,146,231 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 2,065,082 | 5,585,507 | ||||||||||||
Swaps, at value | — | — | 97,315 | 294,127 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 11,891 | — | 106,743 | 330,543 | ||||||||||||
Foreign tax reclaim | 26,510 | 2,431 | 600,596 | 1,874,605 | ||||||||||||
Dividends | 98,830 | 187,527 | 554,216 | 2,573,272 | ||||||||||||
Capital shares sold | 34,229 | 23,516 | — | 1,176,100 | ||||||||||||
Prepaid expenses | 29,801 | 30,272 | 37,859 | 75,693 | ||||||||||||
Total Assets | 31,977,305 | 89,889,323 | 312,569,524 | 819,577,850 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Due to custodian | 8,843 | — | 66,607 | — | ||||||||||||
Due to brokers | — | — | 2,214,068 | 6,019,560 | ||||||||||||
Variation margin on futures contracts | — | — | 260,319 | 747,388 | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 190,886 | — | 24,065 | 259,547 | ||||||||||||
Collateral received on securities loaned | — | 1,431,301 | — | — | ||||||||||||
Accrued investment advisory fees | — | 19,818 | 105,207 | 311,604 | ||||||||||||
Accrued shareholder servicing fees | 36 | 11,199 | 14,621 | 99,242 | ||||||||||||
Accrued distribution fees—Class N | 37 | 73 | 279 | 8,582 | ||||||||||||
Capital shares redeemed | — | 6,567 | — | 2,156,444 | ||||||||||||
Other accrued expenses and liabilities | 72,738 | 90,054 | 168,226 | 294,635 | ||||||||||||
Total Liabilities | 272,540 | 1,559,012 | 2,853,392 | 9,897,002 | ||||||||||||
Net Assets | $ | 31,704,765 | $ | 88,330,311 | $ | 309,716,132 | $ | 809,680,848 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 30,444,686 | $ | 95,103,343 | $ | 247,652,497 | $ | 717,126,931 | ||||||||
Undistributed (accumulated) net investment income (loss) | 128,935 | 124,840 | 526,178 | 335,719 | ||||||||||||
Undistributed (accumulated) net realized gain (loss) | (30,941 | ) | (2,940,287 | ) | 3,130,269 | (4,988,819 | ) | |||||||||
Net unrealized appreciation (depreciation) | 1,162,085 | (3,957,585 | ) | 58,407,188 | 97,207,017 | |||||||||||
Net Assets | $ | 31,704,765 | $ | 88,330,311 | $ | 309,716,132 | $ | 809,680,848 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 31,436,094 | $ | 87,948,359 | $ | 1,334,799 | $ | 318,279,029 | ||||||||
Class N | 173,228 | 294,884 | 1,168,315 | 39,076,979 | ||||||||||||
Class R6 | 95,443 | 87,068 | 80,932,400 | 40,609,698 | ||||||||||||
Class Y | — | — | 226,280,618 | 411,715,142 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 2,661,921 | 9,228,985 | 158,173 | 30,619,469 | ||||||||||||
Class N | 14,323 | 30,443 | 139,553 | 3,694,321 | ||||||||||||
Class R6 | 8,096 | 9,146 | 9,547,581 | 3,698,648 | ||||||||||||
Class Y | — | — | 26,673,357 | 37,475,152 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 11.81 | $ | 9.53 | $ | 8.44 | $ | 10.39 | ||||||||
Class N | $ | 12.09 | $ | 9.69 | $ | 8.37 | $ | 10.58 | ||||||||
Class R6 | $ | 11.79 | $ | 9.52 | $ | 8.48 | $ | 10.98 | ||||||||
Class Y | $ | — | $ | — | $ | 8.48 | $ | 10.99 | ||||||||
* Market value of securities out on loan | $ | — | $ | 1,404,910 | $ | — | $ | — | ||||||||
‡ Foreign currency at cost | $ | 126,704 | $ | 349,893 | $ | 906,839 | $ | 2,345,983 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
113
Statements of Operations | March 31, 2015 (Unaudited) |
AQR LARGE CAP | AQR SMALL CAP | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $3,684,841 | $137,602 | $855,686 | $195,183 | ||||||||||||
Securities lending income, net | — | 2,605 | — | 525 | ||||||||||||
Total Income | 3,684,841 | 140,207 | 855,686 | 195,708 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 609,402 | 38,305 | 118,616 | 54,438 | ||||||||||||
Shareholder servicing fees | 304,701 | 12,768 | 44,481 | 14,846 | ||||||||||||
Custody fees | 6,154 | 7,416 | 11,096 | 28,686 | ||||||||||||
Administration & accounting fees | 44,185 | 1,915 | 6,969 | 2,072 | ||||||||||||
Legal fees | 2,193 | 50 | 750 | 120 | ||||||||||||
Audit & tax fees | 20,654 | 20,647 | 27,101 | 25,636 | ||||||||||||
Shareholder reporting fees | 20,914 | 615 | 2,171 | 1,714 | ||||||||||||
Transfer agent fees | 93,239 | 12,827 | 19,319 | 8,514 | ||||||||||||
Trustee fees | 7,168 | 320 | 1,160 | 355 | ||||||||||||
Organization and offering costs | — | — | — | 5,519 | ||||||||||||
Distribution fees—Class N | 46,473 | 3,409 | 2,415 | 3,522 | ||||||||||||
Registration fees | 31,545 | 21,535 | 21,589 | 27,599 | ||||||||||||
Pricing fee | 1,157 | 3,842 | 9,703 | 9,380 | ||||||||||||
Other expenses | 17,863 | 1,189 | 2,568 | 1,297 | ||||||||||||
Total Expenses | 1,205,648 | 124,838 | 267,938 | 183,698 | ||||||||||||
Less fee waivers and/or reimbursements | (91,457 | ) | (57,651 | ) | (73,485 | ) | (96,731 | ) | ||||||||
Net Expenses | 1,114,191 | 67,187 | 194,453 | 86,967 | ||||||||||||
Net Investment Income (Loss) | 2,570,650 | 73,020 | 661,233 | 108,741 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (6,391,423 | ) | 149,363 | (2,624,720 | ) | (671,713 | ) | |||||||||
Foreign currency and foreign currency transactions | — | — | (21,296 | ) | (45,950 | ) | ||||||||||
Futures contracts | 1,615,255 | — | — | — | ||||||||||||
Net realized gain (loss) | (4,776,168 | ) | 149,363 | (2,646,016 | ) | (717,663 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 24,164,540 | 1,689,357 | 1,367,820 | 990,809 | ||||||||||||
Foreign currency and foreign currency translations | — | — | (4,141 | ) | 591 | |||||||||||
Futures contracts | (131,163 | ) | — | — | — | |||||||||||
Net change in unrealized appreciation (depreciation) | 24,033,377 | 1,689,357 | 1,363,679 | 991,400 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 19,257,209 | 1,838,720 | (1,282,337 | ) | 273,737 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 21,827,859 | $ | 1,911,740 | $ | (621,104 | ) | $ | 382,478 | |||||||
† Net of foreign taxes withheld of | $— | $33 | $104,317 | $11,193 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
114
Statements of Operations | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
FOR THE PERIOD 02/11/15*- 03/31/15 | FOR THE PERIOD 02/11/15*- 03/31/15 | FOR THE PERIOD 02/11/15*- 03/31/15 | FOR THE PERIOD 02/11/15*- 03/31/15 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $6,870 | $6,936 | $16,968 | $6,412 | ||||||||||||
Securities lending income, net | — | 215 | — | 67 | ||||||||||||
Total Income | 6,870 | 7,151 | 16,968 | 6,479 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,060 | 1,207 | 1,917 | 3,871 | ||||||||||||
Shareholder servicing fees | 530 | 402 | 719 | 1,055 | ||||||||||||
Custody fees | 1,736 | 2,131 | 4,499 | 5,210 | ||||||||||||
Administration & accounting fees | 83 | 72 | 100 | 184 | ||||||||||||
Legal fees | 18 | 18 | 18 | 45 | ||||||||||||
Audit & tax fees | 8,012 | 8,012 | 9,520 | 9,975 | ||||||||||||
Shareholder reporting fees | 120 | 120 | 120 | 178 | ||||||||||||
Transfer agent fees | 2,165 | 2,130 | 2,152 | 2,382 | ||||||||||||
Trustee fees | 13 | 13 | 13 | 34 | ||||||||||||
Organization and offering costs | 1,447 | 1,447 | 1,447 | 1,447 | ||||||||||||
Distribution fees—Class N | 33 | 33 | 34 | 328 | ||||||||||||
Registration fees | 7,226 | 7,226 | 7,226 | 7,226 | ||||||||||||
Pricing fee | 395 | 395 | 2,076 | 2,076 | ||||||||||||
Other expenses | 554 | 552 | 553 | 612 | ||||||||||||
Total Expenses | 23,392 | 23,758 | 30,394 | 34,623 | ||||||||||||
Less fee waivers and/or reimbursements | (21,739 | ) | (21,952 | ) | (27,432 | ) | (28,734 | ) | ||||||||
Net Expenses | 1,653 | 1,806 | 2,962 | 5,889 | ||||||||||||
Net Investment Income (Loss) | 5,217 | 5,345 | 14,006 | 590 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (14,895 | ) | 221 | 25,167 | 20,258 | |||||||||||
Foreign currency and foreign currency transactions | — | — | (748 | ) | (11,337 | ) | ||||||||||
Net realized gain (loss) | (14,895 | ) | 221 | 24,419 | 8,921 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | (8,767 | ) | 55,562 | (97,214 | ) | 8,129 | ||||||||||
Foreign currency and foreign currency translations | — | — | (18,970 | ) | (2,177 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (8,767 | ) | 55,562 | (116,184 | ) | 5,952 | ||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (23,662 | ) | 55,783 | (91,765 | ) | 14,873 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (18,445 | ) | $ | 61,128 | $ | (77,759 | ) | $ | 15,463 | ||||||
† Net of foreign taxes withheld of | $— | $— | $1,712 | $594 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
115
Statements of Operations | March 31, 2015 (Unaudited) |
AQR LARGE CAP | AQR SMALL CAP | AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $8,930,671 | $2,622,433 | $4,397,802 | $49,058 | ||||||||||||
Securities lending income, net | — | 154,884 | — | 58 | ||||||||||||
Total Income | 8,930,671 | 2,777,317 | 4,397,802 | 49,116 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,338,935 | 606,581 | 562,130 | 19,982 | ||||||||||||
Shareholder servicing fees | 803,365 | 259,965 | 240,914 | 5,995 | ||||||||||||
Custody fees | 16,325 | 13,853 | 40,517 | 44,998 | ||||||||||||
Administration & accounting fees | 135,258 | 42,575 | 40,886 | 848 | ||||||||||||
Legal fees | 32,817 | 9,049 | 9,756 | 120 | ||||||||||||
Audit & tax fees | 21,994 | 22,095 | 29,849 | 25,636 | ||||||||||||
Shareholder reporting fees | 64,739 | 20,871 | 18,348 | 1,241 | ||||||||||||
Transfer agent fees | 478,067 | 135,594 | 156,711 | 8,027 | ||||||||||||
Trustee fees | 25,424 | 7,947 | 7,786 | 178 | ||||||||||||
Organization and offering costs | — | — | — | 5,275 | ||||||||||||
Distribution fees—Class N | 102,385 | 10,131 | 50,465 | 1,456 | ||||||||||||
Interest expense | 972 | 583 | — | — | ||||||||||||
Recoupment of waiver | — | 979 | — | — | ||||||||||||
Registration fees | 40,368 | 31,176 | 30,999 | 27,300 | ||||||||||||
Pricing fee | 1,380 | 6,342 | 9,554 | 9,408 | ||||||||||||
Other expenses | 30,837 | 11,326 | 9,525 | 1,064 | ||||||||||||
Total Expenses | 3,092,866 | 1,179,067 | 1,207,440 | 151,528 | ||||||||||||
Less fee waivers and/or reimbursements | (356,752 | ) | (38,074 | ) | (111,379 | ) | (118,150 | ) | ||||||||
Net Expenses | 2,736,114 | 1,140,993 | 1,096,061 | 33,378 | ||||||||||||
Net Investment Income (Loss) | 6,194,557 | 1,636,324 | 3,301,741 | 15,738 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 37,828,569 | 7,012,472 | (18,486,257 | ) | (406,312 | ) | ||||||||||
Foreign currency and foreign currency transactions | 197 | — | (160,088 | ) | (6,799 | ) | ||||||||||
Futures contracts | 606,739 | (167,621 | ) | 190,386 | — | |||||||||||
Net realized gain (loss) | 38,435,505 | 6,844,851 | (18,455,959 | ) | (413,111 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 28,911,418 | 38,159,387 | 15,254,534 | 350,999 | ||||||||||||
Foreign currency and foreign currency translations | (66 | ) | — | (51,097 | ) | (1,098 | ) | |||||||||
Futures contracts | (11,844 | ) | (25,269 | ) | (93,920 | ) | — | |||||||||
Net change in unrealized appreciation (depreciation) | 28,899,508 | 38,134,118 | 15,109,517 | 349,901 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 67,335,013 | 44,978,969 | (3,346,442 | ) | (63,210 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 73,529,570 | $ | 46,615,293 | $ | (44,701 | ) | $ | (47,472 | ) | ||||||
† Net of foreign taxes withheld of | $ | 1,671 | $ | 999 | $ | 486,476 | $ | 3,375 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
116
Statements of Operations | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP | AQR TM SMALL CAP | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $ | 971,804 | $ | 129,640 | $ | 832,586 | $ | 2,163,641 | ||||||||
Securities lending income, net | — | 4,282 | — | — | ||||||||||||
Total Income | 971,804 | 133,922 | 832,586 | 2,163,641 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 165,924 | 33,411 | 122,636 | 248,745 | ||||||||||||
Shareholder servicing fees | 88,413 | 13,139 | 47,996 | 149,248 | ||||||||||||
Custody fees | 5,184 | 6,955 | 19,288 | 967 | ||||||||||||
Administration & accounting fees | 14,526 | 2,150 | 8,428 | 27,448 | ||||||||||||
Legal fees | 1,963 | 393 | 1,771 | 5,520 | ||||||||||||
Audit & tax fees | 21,992 | 22,081 | 29,722 | 20,857 | ||||||||||||
Shareholder reporting fees | 6,932 | 980 | 3,988 | 10,971 | ||||||||||||
Transfer agent fees | 30,704 | 16,916 | 8,690 | 83,498 | ||||||||||||
Trustee fees | 2,547 | 388 | 1,601 | 5,274 | ||||||||||||
Distribution fees—Class N | 186 | 166 | 136 | 26,885 | ||||||||||||
Interest expense | — | — | 81 | 389 | ||||||||||||
Registration fees | 20,352 | 18,790 | 20,108 | 26,410 | ||||||||||||
Pricing fee | 1,171 | 5,195 | 9,561 | 539 | ||||||||||||
Other expenses | 4,367 | 1,134 | 3,064 | 6,750 | ||||||||||||
Total Expenses | 364,261 | 121,698 | 277,070 | 613,501 | ||||||||||||
Less fee waivers and/or reimbursements | (60,157 | ) | (61,852 | ) | (60,313 | ) | (96,330 | ) | ||||||||
Net Expenses | 304,104 | 59,846 | 216,757 | 517,171 | ||||||||||||
Net Investment Income (Loss) | 667,700 | 74,076 | 615,829 | 1,646,470 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | (1,124,847 | ) | (14,214 | ) | (5,485,569 | ) | 17,057,168 | |||||||||
Foreign currency and foreign currency transactions | — | — | (22,568 | ) | — | |||||||||||
Futures contracts | 473,488 | — | — | 1,178,105 | ||||||||||||
Net realized gain (loss) | (651,359 | ) | (14,214 | ) | (5,508,137 | ) | 18,235,273 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | 7,584,339 | 2,313,885 | 3,869,525 | 4,625,715 | ||||||||||||
Foreign currency and foreign currency translations | — | — | (2,734 | ) | — | |||||||||||
Futures contracts | 11,604 | — | — | 77,516 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 7,595,943 | 2,313,885 | 3,866,791 | 4,703,231 | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 6,944,584 | 2,299,671 | (1,641,346 | ) | 22,938,504 | |||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 7,612,284 | $ | 2,373,747 | $ | (1,025,517 | ) | $ | 24,584,974 | |||||||
† Net of foreign taxes withheld of | $ | 183 | $ | 81 | $ | 97,807 | $ | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
117
Statements of Operations | March 31, 2015 (Unaudited) |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING | AQR GLOBAL EQUITY | AQR INTERNATIONAL EQUITY FUND | |||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income† | $365,721 | $818,608 | $2,891,585 | $9,378,866 | ||||||||||||
Securities lending income, net | — | 583 | — | — | ||||||||||||
Total Income | 365,721 | 819,191 | 2,891,585 | 9,378,866 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 50,894 | 206,783 | 595,042 | 1,784,444 | ||||||||||||
Shareholder servicing fees | 21,812 | 62,035 | 83,180 | 549,666 | ||||||||||||
Custody fees | 8,237 | 34,553 | 29,782 | 68,894 | ||||||||||||
Administration & accounting fees | 3,660 | 10,331 | 29,226 | 100,147 | ||||||||||||
Legal fees | 627 | 5,650 | 15,344 | 31,289 | ||||||||||||
Audit & tax fees | 27,877 | 28,028 | 31,158 | 30,320 | ||||||||||||
Shareholder reporting fees | 1,921 | 5,054 | 14,415 | 39,398 | ||||||||||||
Transfer agent fees | 23,986 | 46,077 | 9,853 | 132,145 | ||||||||||||
Trustee fees | 686 | 1,821 | 7,174 | 19,686 | ||||||||||||
Distribution fees—Class N | 241 | 788 | 1,876 | 48,749 | ||||||||||||
Recoupment of waiver | — | — | 253 | — | ||||||||||||
Registration fees | 22,488 | 24,415 | 25,814 | 37,086 | ||||||||||||
Pricing fee | 8,424 | 7,830 | 9,679 | 9,437 | ||||||||||||
Other expenses | 1,127 | 3,473 | 9,920 | 26,665 | ||||||||||||
Total Expenses | 171,980 | 436,838 | 862,716 | 2,877,926 | ||||||||||||
Less fee waivers and/or reimbursements | (77,076 | ) | (104,601 | ) | (7,506 | ) | — | |||||||||
Net Expenses | 94,904 | 332,237 | 855,210 | 2,877,926 | ||||||||||||
Net Investment Income (Loss) | 270,817 | 486,954 | 2,036,375 | 6,500,940 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments in securities | 8,591 | (2,408,863 | ) | 6,703,144 | (3,448,621 | ) | ||||||||||
Foreign currency and foreign currency transactions | (17,138 | ) | (103,195 | ) | (96,446 | ) | (977,708 | ) | ||||||||
Forward foreign currency exchange contracts | — | — | (4,527,981 | ) | (19,066,421 | ) | ||||||||||
Futures contracts | — | — | 3,886,119 | 12,718,240 | ||||||||||||
Swap contracts | — | — | 935,795 | 2,969,736 | ||||||||||||
Net realized gain (loss) | (8,547 | ) | (2,512,058 | ) | 6,900,631 | (7,804,774 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in securities | (28,966 | ) | (4,314,793 | ) | 4,632,986 | 12,379,921 | ||||||||||
Foreign currency and foreign currency translations | (3,962 | ) | 3,651 | (156,791 | ) | (89,315 | ) | |||||||||
Forward foreign currency exchange contracts | — | — | 4,940,559 | 13,705,615 | ||||||||||||
Futures contracts | — | — | 335,755 | 1,751,595 | ||||||||||||
Swap contracts | — | — | 368,528 | 1,182,407 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (32,928 | ) | (4,311,142 | ) | 10,121,037 | 28,930,223 | ||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (41,475 | ) | (6,823,200 | ) | 17,021,668 | 21,125,449 | ||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 229,342 | $ | (6,336,246 | ) | $ | 19,058,043 | $ | 27,626,389 | |||||||
† Net of foreign taxes withheld of | $ | 29,602 | $ | 58,576 | $ | 192,713 | $ | 829,185 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
118
Statements of Changes in Net Assets | March 31, 2015 |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 2,570,650 | $ | 943,356 | $ | 73,020 | $ | 20,120 | ||||||||
Net realized gain (loss) | (4,776,168 | ) | 1,299,259 | 149,363 | 124,643 | |||||||||||
Net change in unrealized appreciation (depreciation) | 24,033,377 | 7,207,415 | 1,689,357 | (108,107 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 21,827,859 | 9,450,030 | 1,911,740 | 36,656 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | (1,256,118 | ) | (119,019 | ) | (32,992 | ) | (7,632 | ) | ||||||||
Class N | (147,772 | ) | (13,149 | ) | (293 | ) | (4,611 | ) | ||||||||
Class R6 | (289,685 | ) | — | (274 | ) | — | ||||||||||
Total | (1,693,575 | ) | (132,168 | ) | (33,559 | ) | (12,243 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class L | (1,427,011 | ) | (165,118 | ) | (159,558 | ) | (25,099 | ) | ||||||||
Class N | (190,661 | ) | (22,150 | ) | (25,739 | ) | (22,781 | ) | ||||||||
Class R6 | (294,996 | ) | — | (1,122 | ) | — | ||||||||||
Total | (1,912,668 | ) | (187,268 | ) | (186,419 | ) | (47,880 | ) | ||||||||
Total distributions | (3,606,243 | ) | (319,436 | ) | (219,978 | ) | (60,123 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 298,375,230 | 147,028,800 | 12,597,443 | 7,472,586 | ||||||||||||
Reinvestment of distributions | 2,314,801 | 284,137 | 192,314 | 32,731 | ||||||||||||
Cost of shares redeemed | (51,944,243 | ) | (9,053,445 | ) | (1,753,974 | ) | (1,394,579 | ) | ||||||||
Net increase (decrease) from capital transactions | 248,745,788 | 138,259,492 | 11,035,783 | 6,110,738 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 47,937,260 | 12,485,844 | 3,745,358 | 2,686,574 | ||||||||||||
Reinvestment of distributions | 337,887 | 35,299 | 25,695 | 27,392 | ||||||||||||
Cost of shares redeemed | (4,602,788 | ) | (4,397,128 | ) | (284,726 | ) | (2,853,830 | ) | ||||||||
Net increase (decrease) from capital transactions | 43,672,359 | 8,124,015 | 3,486,327 | (139,864 | ) | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 92,302,581 | 43,024,955 | (a) | 279,306 | 100,000 | (a) | ||||||||||
Reinvestment of distributions | 584,681 | — | 1,396 | — | ||||||||||||
Cost of shares redeemed | (3,336,336 | ) | (110,245 | ) | (105,385 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 89,550,926 | 42,914,710 | 175,317 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 381,969,073 | 189,298,217 | 14,697,427 | 6,070,874 | ||||||||||||
Total increase (decrease) in net assets | 400,190,689 | 198,428,811 | 16,389,189 | 6,047,407 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 218,642,976 | 20,214,165 | 9,611,861 | 3,564,454 | ||||||||||||
End of period | $ | 618,833,665 | $ | 218,642,976 | $ | 26,001,050 | $ | 9,611,861 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 1,737,830 | $ | 860,755 | $ | 50,376 | $ | 10,915 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 120) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
119
Statements of Changes in Net Assets | March 31, 2015 |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 12,425,605 | 1,695,462 | 667,089 | 183,811 | ||||||||||||
Shares sold | 21,625,088 | 11,405,876 | 969,305 | 590,429 | ||||||||||||
Shares issued on reinvestment of distributions | 165,579 | 23,482 | 14,805 | 2,579 | ||||||||||||
Shares redeemed | (3,832,443 | ) | (699,215 | ) | (135,833 | ) | (109,730 | ) | ||||||||
Shares outstanding, end of period | 30,383,829 | 12,425,605 | 1,515,366 | 667,089 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 774,591 | 126,521 | 104,362 | 116,378 | ||||||||||||
Shares sold | 3,470,179 | 995,837 | 285,695 | 212,517 | ||||||||||||
Shares issued on reinvestment of distributions | 24,221 | 2,920 | 1,981 | 2,160 | ||||||||||||
Shares redeemed | (333,943 | ) | (350,687 | ) | (22,361 | ) | (226,693 | ) | ||||||||
Shares outstanding, end of period | 3,935,048 | 774,591 | 369,677 | 104,362 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 3,162,925 | — | (a) | 7,722 | — | (a) | ||||||||||
Shares sold | 6,570,447 | 3,171,171 | 22,220 | 7,722 | ||||||||||||
Shares issued on reinvestment of distributions | 41,823 | — | 107 | — | ||||||||||||
Shares redeemed | (241,187 | ) | (8,246 | ) | (7,829 | ) | — | |||||||||
Shares outstanding, end of period | 9,534,008 | 3,162,925 | 22,220 | 7,722 |
(a) | Commencement of offering class of shares effective July 10, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
120
Statements of Changes in Net Assets | March 31, 2015 |
AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE PERIOD 5/13/14*- 9/30/14 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 661,233 | $ | 594,297 | $ | 108,741 | $ | 104,365 | ||||||||
Net realized gain (loss) | (2,646,016 | ) | 272,909 | (717,663 | ) | (112,270 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 1,363,679 | (1,099,036 | ) | 991,400 | (625,469 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (621,104 | ) | (231,830 | ) | 382,478 | (633,374 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | (403,490 | ) | (141,411 | ) | (141,008 | ) | — | |||||||||
Class N | (26,584 | ) | (15,916 | ) | (22,750 | ) | — | |||||||||
Class R6 | (577,980 | ) | — | (690 | ) | — | ||||||||||
Total | (1,008,054 | ) | (157,327 | ) | (164,448 | ) | — | |||||||||
Net realized gain: | ||||||||||||||||
Class L | (166,855 | ) | — | — | — | |||||||||||
Class N | (13,559 | ) | — | — | — | |||||||||||
Class R6 | (214,047 | ) | — | — | — | |||||||||||
Total | (394,461 | ) | — | — | — | |||||||||||
Total distributions | (1,402,515 | ) | (157,327 | ) | (164,448 | ) | — | |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 12,463,871 | 14,427,190 | 9,582,855 | 12,126,995 | ||||||||||||
Reinvestment of distributions | 569,269 | 141,411 | 141,008 | — | ||||||||||||
Cost of shares redeemed | (7,863,954 | ) | (3,730,566 | ) | (3,226,395 | ) | (20,114 | ) | ||||||||
Net increase (decrease) from capital transactions | 5,169,186 | 10,838,035 | 6,497,468 | 12,106,881 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 2,160,206 | 1,369,545 | 1,392,473 | 2,486,920 | ||||||||||||
Reinvestment of distributions | 39,182 | 15,916 | 22,750 | — | ||||||||||||
Cost of shares redeemed | (2,296,652 | ) | (810,724 | ) | (965,308 | ) | (5,760 | ) | ||||||||
Net increase (decrease) from capital transactions | (97,264 | ) | 574,737 | 449,915 | 2,481,160 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 35,875,229 | 27,011,110 | (a) | 18,767,221 | 100,000 | (a) | ||||||||||
Reinvestment of distributions | 792,027 | — | 690 | — | ||||||||||||
Cost of shares redeemed | (2,138,821 | ) | (102,584 | ) | (148,299 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 34,528,435 | 26,908,526 | 18,619,612 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 39,600,357 | 38,321,298 | 25,566,995 | 14,688,041 | ||||||||||||
Total increase (decrease) in net assets | 37,576,738 | 37,932,141 | 25,785,025 | 14,054,667 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 55,896,488 | 17,964,347 | 14,054,667 | — | ||||||||||||
End of period | $ | 93,473,226 | $ | 55,896,488 | $ | 39,839,692 | $ | 14,054,667 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 278,999 | $ | 625,820 | $ | 58,835 | $ | 114,542 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 122) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
121
Statements of Changes in Net Assets | March 31, 2015 |
AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE PERIOD 5/13/14*- 9/30/14 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 2,331,110 | 1,401,327 | 1,161,585 | — | ||||||||||||
Shares sold | 1,133,728 | 1,236,200 | 988,529 | 1,163,451 | ||||||||||||
Shares issued on reinvestment of distributions | 52,661 | 12,372 | 14,582 | — | ||||||||||||
Shares redeemed | (712,846 | ) | (318,789 | ) | (327,697 | ) | (1,866 | ) | ||||||||
Shares outstanding, end of period | 2,804,653 | 2,331,110 | 1,836,999 | 1,161,585 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 240,807 | 191,136 | 239,916 | — | ||||||||||||
Shares sold | 194,807 | 117,386 | 143,782 | 240,482 | ||||||||||||
Shares issued on reinvestment of distributions | 3,621 | 1,392 | 2,355 | — | ||||||||||||
Shares redeemed | (204,879 | ) | (69,107 | ) | (98,504 | ) | (566 | ) | ||||||||
Shares outstanding, end of period | 234,356 | 240,807 | 287,549 | 239,916 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 2,303,191 | — | (a) | 9,551 | — | (a) | ||||||||||
Shares sold | 3,230,561 | 2,312,075 | 1,908,761 | 9,551 | ||||||||||||
Shares issued on reinvestment of distributions | 73,404 | — | 71 | — | ||||||||||||
Shares redeemed | (196,589 | ) | (8,884 | ) | (15,045 | ) | — | |||||||||
Shares outstanding, end of period | 5,410,567 | 2,303,191 | 1,903,338 | 9,551 |
* | Commencement of operations. |
(a) | Commencement of offering class of shares effective July 10, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
122
Statements of Changes in Net Assets | March 31, 2015 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
FOR THE PERIOD 2/11/15*- 3/31/15 (Unaudited) | FOR THE PERIOD 2/11/15*- 3/31/15 (Unaudited) | FOR THE PERIOD 2/11/15*- 3/31/15 (Unaudited) | FOR THE PERIOD 2/11/15*- 3/31/15 (Unaudited) | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 5,217 | $ | 5,345 | $ | 14,006 | $ | 590 | ||||||||
Net realized gain (loss) | (14,895 | ) | 221 | 24,419 | 8,921 | |||||||||||
Net change in unrealized appreciation (depreciation) | (8,767 | ) | 55,562 | (116,184 | ) | 5,952 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (18,445 | ) | 61,128 | (77,759 | ) | 15,463 | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 1,223,491 | 230,952 | 1,275,944 | 1,744,392 | ||||||||||||
Cost of shares redeemed | (246 | ) | — | (68,133 | ) | (105 | ) | |||||||||
Net increase (decrease) from capital transactions | 1,223,245 | 230,952 | 1,207,811 | 1,744,287 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 100,000 | 105,000 | 100,000 | 1,000,000 | ||||||||||||
Net increase (decrease) from capital transactions | 100,000 | 105,000 | 100,000 | 1,000,000 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 3,732,365 | 1,800,000 | 14,815,226 | 4,809,688 | ||||||||||||
Cost of shares redeemed | (4,868 | ) | — | (9,272 | ) | (1,180 | ) | |||||||||
Net increase (decrease) from capital transactions | 3,727,497 | 1,800,000 | 14,805,954 | 4,808,508 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 5,050,742 | 2,135,952 | 16,113,765 | 7,552,795 | ||||||||||||
Total increase (decrease) in net assets | 5,032,297 | 2,197,080 | 16,036,006 | 7,568,258 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | — | — | — | — | ||||||||||||
End of period | $ | 5,032,297 | $ | 2,197,080 | $ | 16,036,006 | $ | 7,568,258 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 5,217 | $ | 5,345 | $ | 14,006 | $ | 590 | ||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | — | — | — | — | ||||||||||||
Shares sold | 120,706 | 22,880 | 123,299 | 174,371 | ||||||||||||
Shares redeemed | (25 | ) | — | (6,621 | ) | (10 | ) | |||||||||
Shares outstanding, end of period | 120,681 | 22,880 | 116,678 | 174,361 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | — | — | — | — | ||||||||||||
Shares sold | 10,000 | 10,485 | 10,000 | 100,000 | ||||||||||||
Shares outstanding, end of period | 10,000 | 10,485 | 10,000 | 100,000 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | — | — | — | — | ||||||||||||
Shares sold | 371,756 | 180,000 | 1,443,853 | 482,850 | ||||||||||||
Shares redeemed | (481 | ) | — | (902 | ) | (118 | ) | |||||||||
Shares outstanding, end of period | 371,275 | 180,000 | 1,442,951 | 482,732 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
123
Statements of Changes in Net Assets | March 31, 2015 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 6,194,557 | $ | 5,087,759 | $ | 1,636,324 | $ | 8,449 | ||||||||
Net realized gain (loss) | 38,435,505 | 101,076,923 | 6,844,851 | 34,792,987 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 28,899,508 | 35,512,263 | 38,134,118 | (28,508,882 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 73,529,570 | 141,676,945 | 46,615,293 | 6,292,554 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | (5,966,543 | ) | (5,167,616 | ) | (520,487 | ) | (710,780 | ) | ||||||||
Class N | (274,098 | ) | (276,437 | ) | — | (7,577 | ) | |||||||||
Class R6 | (3,434 | ) | — | (776 | ) | — | ||||||||||
Total | (6,244,075 | ) | (5,444,053 | ) | (521,263 | ) | (718,357 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class L | (84,910,757 | ) | (33,760,872 | ) | (34,089,287 | ) | (16,031,831 | ) | ||||||||
Class N | (7,008,345 | ) | (3,094,983 | ) | (840,081 | ) | (173,722 | ) | ||||||||
Class R6 | (37,242 | ) | — | (24,737 | ) | — | ||||||||||
Total | (91,956,344 | ) | (36,855,855 | ) | (34,954,105 | ) | (16,205,553 | ) | ||||||||
Total distributions | (98,200,419 | ) | (42,299,908 | ) | (35,475,368 | ) | (16,923,910 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 117,567,918 | 274,204,732 | 118,128,771 | 95,966,031 | ||||||||||||
Reinvestment of distributions | 90,742,490 | 38,899,012 | 34,231,641 | 16,540,167 | ||||||||||||
Cost of shares redeemed | (168,429,322 | ) | (170,601,504 | ) | (40,499,475 | ) | (43,807,285 | ) | ||||||||
Net increase (decrease) from capital transactions | 39,881,086 | 142,502,240 | 111,860,937 | 68,698,913 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 10,020,117 | 17,442,474 | 1,852,701 | 6,515,783 | ||||||||||||
Reinvestment of distributions | 7,275,650 | 3,371,420 | 840,081 | 181,300 | ||||||||||||
Cost of shares redeemed | (9,725,807 | ) | (19,840,237 | ) | (963,160 | ) | (750,386 | ) | ||||||||
Net increase (decrease) from capital transactions | 7,569,960 | 973,657 | 1,729,622 | 5,946,697 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 51,267,352 | 131,980 | (a) | 2,234,673 | 100,000 | (a) | ||||||||||
Reinvestment of distributions | 40,676 | — | 25,513 | — | ||||||||||||
Cost of shares redeemed | (1,426,350 | ) | — | (152,432 | ) | — | ||||||||||
Net increase (decrease) from capital transactions | 49,881,678 | 131,980 | 2,107,754 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 97,332,724 | 143,607,877 | 115,698,313 | 74,745,610 | ||||||||||||
Total increase (decrease) in net assets | 72,661,875 | 242,984,914 | 126,838,238 | 64,114,254 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 1,032,638,359 | 789,653,445 | 308,458,037 | 244,343,783 | ||||||||||||
End of period | $ | 1,105,300,234 | $ | 1,032,638,359 | $ | 435,296,275 | $ | 308,458,037 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 3,465,281 | $ | 3,514,799 | $ | 1,093,301 | $ | (21,760 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 125) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
124
Statements of Changes in Net Assets | March 31, 2015 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 43,544,682 | 36,612,813 | 14,280,666 | 11,146,293 | ||||||||||||
Shares sold | 5,497,278 | 13,062,922 | 5,588,776 | 4,362,937 | ||||||||||||
Shares issued on reinvestment of distributions | 4,352,158 | 1,906,814 | 1,676,378 | 752,852 | ||||||||||||
Shares redeemed | (7,944,956 | ) | (8,037,867 | ) | (1,918,242 | ) | (1,981,416 | ) | ||||||||
Shares outstanding, end of period | 45,449,162 | 43,544,682 | 19,627,578 | 14,280,666 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 3,628,327 | 3,583,368 | 342,381 | 76,765 | ||||||||||||
Shares sold | 471,082 | 824,822 | 88,143 | 292,076 | ||||||||||||
Shares issued on reinvestment of distributions | 348,952 | 165,266 | 41,282 | 8,271 | ||||||||||||
Shares redeemed | (455,855 | ) | (945,129 | ) | (45,910 | ) | (34,731 | ) | ||||||||
Shares outstanding, end of period | 3,992,506 | 3,628,327 | 425,896 | 342,381 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 5,987 | — | (a) | 4,529 | — | (a) | ||||||||||
Shares sold | 2,449,386 | 5,987 | 104,257 | 4,529 | ||||||||||||
Shares issued on reinvestment of distributions | 1,954 | — | 1,251 | — | ||||||||||||
Shares redeemed | (66,528 | ) | — | (7,168 | ) | — | ||||||||||
Shares outstanding, end of period | 2,390,799 | 5,987 | 102,869 | 4,529 |
(a) | Commencement of offering class of shares effective July 10, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
125
Statements of Changes in Net Assets | March 31, 2015 |
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE PERIOD 5/13/14*- 9/30/14 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 3,301,741 | $ | 5,343,481 | $ | 15,738 | $ | 56,227 | ||||||||
Net realized gain (loss) | (18,455,959 | ) | 8,360,764 | (413,111 | ) | (38,390 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 15,109,517 | (17,399,020 | ) | 349,901 | (147,796 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (44,701 | ) | (3,694,775 | ) | (47,472 | ) | (129,959 | ) | ||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | (5,801,763 | ) | (3,959,589 | ) | (65,400 | ) | — | |||||||||
Class N | (766,472 | ) | (609,999 | ) | (8,023 | ) | — | |||||||||
Class R6 | (2,173 | ) | — | (894 | ) | — | ||||||||||
Total | (6,570,408 | ) | (4,569,588 | ) | (74,317 | ) | — | |||||||||
Net realized gain: | ||||||||||||||||
Class L | (3,099,138 | ) | — | — | — | |||||||||||
Class N | (466,349 | ) | — | — | — | |||||||||||
Class R6 | (1,071 | ) | — | — | — | |||||||||||
Total | (3,566,558 | ) | — | — | — | |||||||||||
Total distributions | (10,136,966 | ) | (4,569,588 | ) | (74,317 | ) | — | |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 61,137,364 | 122,678,856 | 1,319,067 | 6,393,787 | ||||||||||||
Reinvestment of distributions | 8,899,197 | 3,958,755 | 65,400 | — | ||||||||||||
Cost of shares redeemed | (74,364,437 | ) | (58,524,145 | ) | (217,798 | ) | (10,053 | ) | ||||||||
Net increase (decrease) from capital transactions | (4,327,876 | ) | 68,113,466 | 1,166,669 | 6,383,734 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 4,882,706 | 8,948,915 | 325,458 | 1,034,945 | ||||||||||||
Reinvestment of distributions | 1,232,821 | 609,999 | 8,023 | — | ||||||||||||
Cost of shares redeemed | (3,362,922 | ) | (10,024,019 | ) | (21,943 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 2,752,605 | (465,105 | ) | 311,538 | 1,034,945 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 29,720,352 | 100,000 | (a) | — | 100,000 | (a) | ||||||||||
Reinvestment of distributions | 3,244 | — | 894 | — | ||||||||||||
Cost of shares redeemed | (369,931 | ) | — | — | — | |||||||||||
Net increase (decrease) from capital transactions | 29,353,665 | 100,000 | 894 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 27,778,394 | 67,748,361 | 1,479,101 | 7,518,679 | ||||||||||||
Total increase (decrease) in net assets | 17,596,727 | 59,483,998 | 1,357,312 | 7,388,720 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 319,988,542 | 260,504,544 | 7,388,720 | — | ||||||||||||
End of period | $ | 337,585,269 | $ | 319,988,542 | $ | 8,746,032 | $ | 7,388,720 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 1,313,738 | $ | 4,582,405 | $ | (1,397 | ) | $ | 57,182 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 127) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
126
Statements of Changes in Net Assets | March 31, 2015 |
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE PERIOD 5/13/14*- 9/30/14 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 18,723,227 | 14,326,003 | 625,023 | — | ||||||||||||
Shares sold | 4,309,747 | 7,953,475 | 132,525 | 625,968 | ||||||||||||
Shares issued on reinvestment of distributions | 637,478 | 258,404 | 6,877 | — | ||||||||||||
Shares redeemed | (5,236,319 | ) | (3,814,655 | ) | (22,304 | ) | (945 | ) | ||||||||
Shares outstanding, end of period | 18,434,133 | 18,723,227 | 742,121 | 625,023 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 2,690,049 | 2,721,721 | 103,336 | — | ||||||||||||
Shares sold | 346,671 | 580,437 | 34,124 | 103,336 | ||||||||||||
Shares issued on reinvestment of distributions | 88,501 | 39,895 | 843 | — | ||||||||||||
Shares redeemed | (237,480 | ) | (652,004 | ) | (2,256 | ) | — | |||||||||
Shares outstanding, end of period | 2,887,741 | 2,690,049 | 136,047 | 103,336 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 6,435 | — | (a) | 9,407 | — | (a) | ||||||||||
Shares sold | 2,108,578 | 6,435 | — | 9,407 | ||||||||||||
Shares issued on reinvestment of distributions | 233 | — | 94 | — | ||||||||||||
Shares redeemed | (25,220 | ) | — | — | — | |||||||||||
Shares outstanding, end of period | 2,090,026 | 6,435 | 9,501 | 9,407 |
* | Commencement of operations. |
(a) | Commencement of offering class of shares effective July 10, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
127
Statements of Changes in Net Assets | March 31, 2015 |
AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR TM SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 667,700 | $ | 380,075 | $ | 74,076 | $ | 4,561 | ||||||||
Net realized gain (loss) | (651,359 | ) | 1,570,147 | (14,214 | ) | 418,735 | ||||||||||
Net change in unrealized appreciation (depreciation) | 7,595,943 | 6,934,858 | 2,313,885 | (703,349 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 7,612,284 | 8,885,080 | 2,373,747 | (280,053 | ) | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | (570,768 | ) | (128,737 | ) | (14,503 | ) | (21,215 | ) | ||||||||
Class N | (366 | ) | (55 | ) | — | (33 | ) | |||||||||
Class R6 | (587 | ) | — | (257 | ) | — | ||||||||||
Total | (571,721 | ) | (128,792 | ) | (14,760 | ) | (21,248 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class L | (1,895,534 | ) | (317,031 | ) | (537,085 | ) | (139,024 | ) | ||||||||
Class N | (2,336 | ) | (940 | ) | (4,583 | ) | (2,068 | ) | ||||||||
Class R6 | (1,710 | ) | — | (3,495 | ) | — | ||||||||||
Total | (1,899,580 | ) | (317,971 | ) | (545,163 | ) | (141,092 | ) | ||||||||
Total distributions | (2,471,301 | ) | (446,763 | ) | (559,923 | ) | (162,340 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 32,005,153 | 79,287,715 | 7,325,519 | 14,374,949 | ||||||||||||
Reinvestment of distributions | 2,465,957 | 445,768 | 551,580 | 160,239 | ||||||||||||
Cost of shares redeemed | (88,672,211 | ) | (8,524,640 | ) | (4,241,427 | ) | (6,173,028 | ) | ||||||||
Net increase (decrease) from capital transactions | (54,201,101 | ) | 71,208,843 | 3,635,672 | 8,362,160 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 49,000 | 1,500 | — | 1,448 | ||||||||||||
Reinvestment of distributions | 2,702 | 995 | 4,583 | 2,101 | ||||||||||||
Cost of shares redeemed | (48,058 | ) | — | — | — | |||||||||||
Net increase (decrease) from capital transactions | 3,644 | 2,495 | 4,583 | 3,549 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 79,421,368 | 100,000 | (a) | — | 100,000 | (a) | ||||||||||
Reinvestment of distributions | 2,297 | — | 3,752 | — | ||||||||||||
Cost of shares redeemed | (566,799 | ) | — | — | — | |||||||||||
Net increase (decrease) from capital transactions | 78,856,866 | 100,000 | 3,752 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 24,659,409 | 71,311,338 | 3,644,007 | 8,465,709 | ||||||||||||
Total increase (decrease) in net assets | 29,800,392 | 79,749,655 | 5,457,831 | 8,023,316 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 101,574,280 | 21,824,625 | 14,909,535 | 6,886,219 | ||||||||||||
End of period | $ | 131,374,672 | $ | 101,574,280 | $ | 20,367,366 | $ | 14,909,535 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 416,283 | $ | 320,304 | $ | 52,703 | $ | (6,613 | ) |
The accompanying notes are an integral part of these financial statements. | (continued on p. 129) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
128
Statements of Changes in Net Assets | March 31, 2015 |
AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR TM SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 6,375,044 | 1,596,498 | 998,131 | 455,448 | ||||||||||||
Shares sold | 1,990,540 | 5,314,373 | 479,025 | 943,530 | ||||||||||||
Shares issued on reinvestment of distributions | 151,565 | 30,365 | 35,910 | 10,358 | ||||||||||||
Shares redeemed | (5,435,749 | ) | (566,192 | ) | (273,675 | ) | (411,205 | ) | ||||||||
Shares outstanding, end of period | 3,081,400 | 6,375,044 | 1,239,391 | 998,131 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 8,660 | 8,489 | 8,489 | 8,251 | ||||||||||||
Shares sold | 2,914 | 103 | — | 102 | ||||||||||||
Shares issued on reinvestment of distributions | 166 | 68 | 299 | 136 | ||||||||||||
Shares redeemed | (2,914 | ) | — | — | — | |||||||||||
Shares outstanding, end of period | 8,826 | 8,660 | 8,788 | 8,489 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 6,337 | — | (a) | 6,472 | — | (a) | ||||||||||
Shares sold | 4,863,791 | 6,337 | — | 6,472 | ||||||||||||
Shares issued on reinvestment of distributions | 141 | — | 245 | — | ||||||||||||
Shares redeemed | (34,027 | ) | — | — | — | |||||||||||
Shares outstanding, end of period | 4,836,242 | 6,337 | 6,717 | 6,472 |
(a) | Commencement of offering class of shares effective July 10, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
129
Statements of Changes in Net Assets | March 31, 2015 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 615,829 | $ | 1,013,561 | $ | 1,646,470 | $ | 3,314,889 | ||||||||
Net realized gain (loss) | (5,508,137 | ) | (426,846 | ) | 18,235,273 | 4,860,334 | ||||||||||
Net change in unrealized appreciation (depreciation) | 3,866,791 | (1,693,193 | ) | 4,703,231 | 24,266,505 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (1,025,517 | ) | (1,106,478 | ) | 24,584,974 | 32,441,728 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class L | (1,175,400 | ) | (171,579 | ) | — | — | ||||||||||
Class I | — | — | (3,243,005 | ) | (1,166,110 | ) | ||||||||||
Class N | (1,938 | ) | (189 | ) | (320,128 | ) | (124,307 | ) | ||||||||
Class R6 | (1,973 | ) | — | (2,267 | ) | — | ||||||||||
Total | (1,179,311 | ) | (171,768 | ) | (3,565,400 | ) | (1,290,417 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class L | (271,071 | ) | (457,829 | ) | — | — | ||||||||||
Class I | — | — | (4,763,948 | ) | (590,291 | ) | ||||||||||
Class N | (502 | ) | (1,358 | ) | (581,240 | ) | (75,618 | ) | ||||||||
Class R6 | (428 | ) | — | (2,984 | ) | — | ||||||||||
Total | (272,001 | ) | (459,187 | ) | (5,348,172 | ) | (665,909 | ) | ||||||||
Total distributions | (1,451,312 | ) | (630,955 | ) | (8,913,572 | ) | (1,956,326 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS L | ||||||||||||||||
Proceeds from shares sold | 26,735,029 | 74,819,447 | — | — | ||||||||||||
Reinvestment of distributions | 1,446,199 | 629,408 | — | — | ||||||||||||
Cost of shares redeemed | (84,220,131 | ) | (9,509,891 | ) | — | — | ||||||||||
Net increase (decrease) from capital transactions | (56,038,903 | ) | 65,938,964 | — | — | |||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | — | — | 39,338,525 | 61,663,509 | ||||||||||||
Reinvestment of distributions | — | — | 8,002,469 | 1,756,401 | ||||||||||||
Cost of shares redeemed | — | — | (146,264,560 | ) | (21,323,604 | ) | ||||||||||
Net increase (decrease) from capital transactions | — | — | (98,923,566 | ) | 42,096,306 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | — | — | 10,723,804 | 7,749,037 | ||||||||||||
Reinvestment of distributions | 2,440 | 1,547 | 901,368 | 199,925 | ||||||||||||
Cost of shares redeemed | — | — | (24,375,141 | ) | (3,257,910 | ) | ||||||||||
Net increase (decrease) from capital transactions | 2,440 | 1,547 | (12,749,969 | ) | 4,691,052 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 43,253,848 | 100,000 | (a) | — | 100,000 | (b) | ||||||||||
Reinvestment of distributions | 2,401 | — | 5,251 | — | ||||||||||||
Cost of shares redeemed | (1,390,360 | ) | — | — | — | |||||||||||
Net increase (decrease) from capital transactions | 41,865,889 | 100,000 | 5,251 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (14,170,574 | ) | 66,040,511 | (111,668,284 | ) | 46,887,358 | ||||||||||
Total increase (decrease) in net assets | (16,647,403 | ) | 64,303,078 | (95,996,882 | ) | 77,372,760 | ||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 81,832,339 | 17,529,261 | 253,769,027 | 176,396,267 | ||||||||||||
End of period | $ | 65,184,936 | $ | 81,832,339 | $ | 157,772,145 | $ | 253,769,027 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 411,397 | $ | 974,879 | $ | 703,539 | $ | 2,622,469 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 131) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
130
Statements of Changes in Net Assets | March 31, 2015 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS L | ||||||||||||||||
Shares outstanding, beginning of period | 6,235,784 | 1,321,265 | — | — | ||||||||||||
Shares sold | 2,135,230 | 5,579,502 | — | — | ||||||||||||
Shares issued on reinvestment of distributions | 117,101 | 47,539 | — | — | ||||||||||||
Shares redeemed | (6,749,108 | ) | (712,522 | ) | — | — | ||||||||||
Shares outstanding, end of period | 1,739,007 | 6,235,784 | — | — | ||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | — | — | 15,984,434 | 12,763,386 | ||||||||||||
Shares sold | — | — | 2,713,792 | 4,666,997 | ||||||||||||
Shares issued on reinvestment of distributions | — | — | 551,514 | 135,525 | ||||||||||||
Shares redeemed | — | — | (9,877,846 | ) | (1,581,474 | ) | ||||||||||
Shares outstanding, end of period | — | — | 9,371,894 | 15,984,434 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 8,584 | 8,468 | 2,054,040 | 1,700,634 | ||||||||||||
Shares sold | — | — | 732,081 | 579,637 | ||||||||||||
Shares issued on reinvestment of distributions | 198 | 116 | 62,035 | 15,426 | ||||||||||||
Shares redeemed | — | — | (1,643,749 | ) | (241,657 | ) | ||||||||||
Shares outstanding, end of period | 8,782 | 8,584 | 1,204,407 | 2,054,040 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 7,321 | — | (a) | 7,077 | — | (b) | ||||||||||
Shares sold | 3,479,652 | 7,321 | — | 7,077 | ||||||||||||
Shares issued on reinvestment of distributions | 194 | — | 363 | — | ||||||||||||
Shares redeemed | (106,833 | ) | — | — | — | |||||||||||
Shares outstanding, end of period | 3,380,334 | 7,321 | 7,440 | 7,077 |
(a) | Commencement of offering class of shares effective July 10, 2014. |
(b) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
131
Statements of Changes in Net Assets | March 31, 2015 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 270,817 | $ | 647,668 | $ | 486,954 | $ | 1,217,488 | ||||||||
Net realized gain (loss) | (8,547 | ) | 666,194 | (2,512,058 | ) | (86,716 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (32,928 | ) | 213,563 | (4,311,142 | ) | (141,210 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | 229,342 | 1,527,425 | (6,336,246 | ) | 989,562 | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (709,481 | ) | (298,045 | ) | (1,397,556 | ) | (351,637 | ) | ||||||||
Class N | — | (20,141 | ) | — | �� | (27,047 | ) | |||||||||
Class R6 | (2,619 | ) | — | (1,702 | ) | — | ||||||||||
Total | (712,100 | ) | (318,186 | ) | (1,399,258 | ) | (378,684 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | (631,276 | ) | (203,528 | ) | — | (270 | ) | |||||||||
Class N | (3,943 | ) | (15,609 | ) | — | (26 | ) | |||||||||
Class R6 | (2,162 | ) | — | — | — | |||||||||||
Total | (637,381 | ) | (219,137 | ) | — | (296 | ) | |||||||||
Total distributions | (1,349,481 | ) | (537,323 | ) | (1,399,258 | ) | (378,980 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 8,182,339 | 13,162,903 | 42,439,723 | 55,390,696 | ||||||||||||
Reinvestment of distributions | 1,337,505 | 501,573 | 1,392,152 | 351,907 | ||||||||||||
Cost of shares redeemed | (4,298,778 | ) | (4,900,870 | ) | (18,313,129 | ) | (15,823,368 | ) | ||||||||
Net increase (decrease) from capital transactions | 5,221,066 | 8,763,606 | 25,518,746 | 39,919,235 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 14,693 | 619,886 | 16,498 | 2,747,201 | ||||||||||||
Reinvestment of distributions | 3,943 | 35,750 | — | 27,073 | ||||||||||||
Cost of shares redeemed | (292,365 | ) | (1,420,052 | ) | (651,730 | ) | (4,288,740 | ) | ||||||||
Net increase (decrease) from capital transactions | (273,729 | ) | (764,416 | ) | (635,232 | ) | (1,514,466 | ) | ||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | — | 100,000 | (a) | — | 100,000 | (a) | ||||||||||
Reinvestment of distributions | 4,781 | — | 1,702 | — | ||||||||||||
Net increase (decrease) from capital transactions | 4,781 | 100,000 | 1,702 | 100,000 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 4,952,118 | 8,099,190 | 24,885,216 | 38,504,769 | ||||||||||||
Total increase (decrease) in net assets | 3,831,979 | 9,089,292 | 17,149,712 | 39,115,351 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 27,872,786 | 18,783,494 | 71,180,599 | 32,065,248 | ||||||||||||
End of period | $ | 31,704,765 | $ | 27,872,786 | $ | 88,330,311 | $ | 71,180,599 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 128,935 | $ | 570,218 | $ | 124,840 | $ | 1,037,144 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 133) |
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132
Statements of Changes in Net Assets | March 31, 2015 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 2,208,372 | 1,483,573 | 6,698,530 | 2,870,660 | ||||||||||||
Shares sold | 698,700 | 1,077,372 | 4,276,439 | 5,330,312 | ||||||||||||
Shares issued on reinvestment of distributions | 115,902 | 42,833 | 144,865 | 35,261 | ||||||||||||
Shares redeemed | (361,053 | ) | (395,406 | ) | (1,890,849 | ) | (1,537,703 | ) | ||||||||
Shares outstanding, end of period | 2,661,921 | 2,208,372 | 9,228,985 | 6,698,530 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 37,419 | 97,048 | 97,323 | 252,784 | ||||||||||||
Shares sold | 1,195 | 51,469 | 1,673 | 268,249 | ||||||||||||
Shares issued on reinvestment of distributions | 333 | 3,053 | — | 2,710 | ||||||||||||
Shares redeemed | (24,624 | ) | (114,151 | ) | (68,553 | ) | (426,420 | ) | ||||||||
Shares outstanding, end of period | 14,323 | 37,419 | 30,443 | 97,323 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 7,680 | — | (a) | 8,969 | — | (a) | ||||||||||
Shares sold | — | 7,680 | — | 8,969 | ||||||||||||
Shares issued on reinvestment of distributions | 416 | — | 177 | — | ||||||||||||
Shares outstanding, end of period | 8,096 | 7,680 | 9,146 | 8,969 |
(a) | Commencement of offering class of shares effective September 2, 2014. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
133
Statements of Changes in Net Assets | March 31, 2015 |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 2,036,375 | $ | 5,269,670 | $ | 6,500,940 | $ | 22,167,199 | ||||||||
Net realized gain (loss) | 6,900,631 | 37,464,970 | (7,804,774 | ) | 48,333,903 | |||||||||||
Net change in unrealized appreciation (depreciation) | 10,121,037 | (10,474,096 | ) | 28,930,223 | (56,188,588 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 19,058,043 | 32,260,544 | 27,626,389 | 14,312,514 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I | (44,059 | ) | (36,899 | ) | (7,468,588 | ) | (4,237,446 | ) | ||||||||
Class N | (33,397 | ) | (18,310 | ) | (1,067,058 | ) | (546,390 | ) | ||||||||
Class R6 | (1,362,728 | ) | — | (3,120,675 | ) | — | ||||||||||
Class Y | (4,184,608 | ) | (7,647,702 | ) | (12,814,382 | ) | (10,825,380 | ) | ||||||||
Total | (5,624,792 | ) | (7,702,911 | ) | (24,470,703 | ) | (15,609,216 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class I | (252,903 | ) | (501,061 | ) | (12,413,847 | ) | (16,832,213 | ) | ||||||||
Class N | (201,754 | ) | (279,116 | ) | (1,953,495 | ) | (2,380,187 | ) | ||||||||
Class R6 | (7,229,201 | ) | — | (4,966,615 | ) | — | ||||||||||
Class Y | (20,189,254 | ) | (95,565,434 | ) | (19,017,323 | ) | (37,157,362 | ) | ||||||||
Total | (27,873,112 | ) | (96,345,611 | ) | (38,351,280 | ) | (56,369,762 | ) | ||||||||
Total distributions | (33,497,904 | ) | (104,048,522 | ) | (62,821,983 | ) | (71,978,978 | ) | ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 325,396 | 1,438,596 | 88,861,765 | 65,273,533 | ||||||||||||
Reinvestment of distributions | 290,801 | 537,960 | 17,337,012 | 18,516,502 | ||||||||||||
Cost of shares redeemed | (1,641,351 | ) | (397,127 | ) | (26,206,519 | ) | (59,389,281 | ) | ||||||||
Net increase (decrease) from capital transactions | (1,025,154 | ) | 1,579,429 | 79,992,258 | 24,400,754 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,186,576 | 776,669 | 4,522,582 | 14,334,638 | ||||||||||||
Reinvestment of distributions | 235,151 | 297,426 | 2,881,032 | 2,900,390 | ||||||||||||
Cost of shares redeemed | (1,239,051 | ) | (458,917 | ) | (5,757,739 | ) | (7,023,943 | ) | ||||||||
Net increase (decrease) from capital transactions | 182,676 | 615,178 | 1,645,875 | 10,211,085 | ||||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | — | 72,600,000 | (a) | 1,925,813 | 151,263,962 | (a) | ||||||||||
Reinvestment of distributions | 8,591,929 | — | 8,087,290 | — | ||||||||||||
Cost of shares redeemed | — | (105,977 | ) | (68,648,677 | ) | (43,566,107 | ) | |||||||||
Net increase (decrease) from capital transactions | 8,591,929 | 72,494,023 | (58,635,574 | ) | 107,697,855 | |||||||||||
CLASS Y | ||||||||||||||||
Proceeds from shares sold | — | — | 11,430 | — | ||||||||||||
Reinvestment of distributions | 24,371,163 | 103,213,136 | 31,831,705 | 47,982,742 | ||||||||||||
Cost of shares redeemed | (269,912 | ) | (70,579,444 | ) | — | (159,763,962 | ) | |||||||||
Redemption fees | 2,699 | 70,534 | — | 8,625 | ||||||||||||
Net increase (decrease) from capital transactions | 24,103,950 | 32,704,226 | 31,843,135 | (111,772,595 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 31,853,401 | 107,392,856 | 54,845,694 | 30,537,099 | ||||||||||||
Total increase (decrease) in net assets | 17,413,540 | 35,604,878 | 19,650,100 | (27,129,365 | ) | |||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 292,302,592 | 256,697,714 | 790,030,748 | 817,160,113 | ||||||||||||
End of period | $ | 309,716,132 | $ | 292,302,592 | $ | 809,680,848 | $ | 790,030,748 | ||||||||
Undistributed accumulated net investment income (loss) | $ | 526,178 | $ | 4,114,595 | $ | 335,719 | $ | 18,305,482 |
The accompanying notes are an integral part of these financial statements. | (continued on p. 135) |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
134
Statements of Changes in Net Assets | March 31, 2015 |
AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | FOR THE SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | FOR THE YEAR ENDED SEPTEMBER 30, 2014 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period | 279,524 | 94,701 | 22,556,156 | 20,333,041 | ||||||||||||
Shares sold | 37,929 | 164,697 | 8,824,695 | 5,586,553 | ||||||||||||
Shares issued on reinvestment of distributions | 35,946 | 63,067 | 1,742,414 | 1,641,534 | ||||||||||||
Shares redeemed | (195,226 | ) | (42,941 | ) | (2,503,796 | ) | (5,004,972 | ) | ||||||||
Shares outstanding, end of period | 158,173 | 279,524 | 30,619,469 | 22,556,156 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period | 127,426 | 53,682 | 3,527,546 | 2,654,916 | ||||||||||||
Shares sold | 133,135 | 86,939 | 426,975 | 1,212,704 | ||||||||||||
Shares issued on reinvestment of distributions | 29,284 | 35,033 | 284,406 | 252,647 | ||||||||||||
Shares redeemed | (150,292 | ) | (48,228 | ) | (544,606 | ) | (592,721 | ) | ||||||||
Shares outstanding, end of period | 139,553 | 127,426 | 3,694,321 | 3,527,546 | ||||||||||||
CLASS R6 | ||||||||||||||||
Shares outstanding, beginning of period | 8,489,461 | — | (a) | 8,984,668 | — | (a) | ||||||||||
Shares sold | — | 8,500,955 | 183,147 | 12,579,407 | ||||||||||||
Shares issued on reinvestment of distributions | 1,058,120 | — | 770,218 | — | ||||||||||||
Shares redeemed | — | (11,494 | ) | (6,239,385 | ) | (3,594,739 | ) | |||||||||
Shares outstanding, end of period | 9,547,581 | 8,489,461 | 3,698,648 | 8,984,668 | ||||||||||||
CLASS Y | ||||||||||||||||
Shares outstanding, beginning of period | 23,708,830 | 19,044,183 | 34,443,561 | 43,655,846 | ||||||||||||
Shares issued on reinvestment of distributions | 2,998,015 | 12,057,609 | 3,031,591 | 4,045,762 | ||||||||||||
Shares redeemed | (33,488 | ) | (7,392,962 | ) | — | (13,258,047 | ) | |||||||||
Shares outstanding, end of period | 26,673,357 | 23,708,830 | 37,475,152 | 34,443,561 |
(a) | Commencement of offering class of shares effective January 8, 2014. |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | March 31, 2015 |
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 LARGE CAP MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $13.36 | 0.09 | 16 | 0.79 | 0.88 | (0.06 | ) | (0.06 | ) | (0.12 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.09 | 0.15 | 2.21 | 2.36 | (0.04 | ) | (0.05 | ) | (0.09 | ) | ||||||||||||||||||
FOR THE PERIOD 3/26/136—9/30/13 | $10.00 | 0.06 | 7 | 1.03 | 1.09 | — | — | — | ||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $13.33 | 0.07 | 16 | 0.79 | 0.86 | (0.05 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.09 | 0.11 | 2.21 | 2.32 | (0.03 | ) | (0.05 | ) | (0.08 | ) | ||||||||||||||||||
FOR THE PERIOD 3/26/136—9/30/13 | $10.00 | 0.04 | 7 | 1.05 | 1.09 | — | — | — | ||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $13.36 | 0.09 | 16 | 0.78 | 0.87 | (0.06 | ) | (0.06 | ) | (0.12 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $13.32 | 0.04 | 0.00 | 11 | 0.04 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $12.34 | 0.06 | 16 | 1.42 | 1.48 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.88 | 0.05 | 12 | 0.57 | 0.62 | (0.04 | ) | (0.12 | ) | (0.16 | ) | |||||||||||||||||
FOR THE PERIOD 3/26/136—9/30/13 | $10.00 | 0.03 | 7 | 1.85 | 1.88 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $12.30 | 0.05 | 16 | 1.41 | 1.46 | (0.00 | )11 | (0.15 | ) | (0.15 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.87 | 0.01 | 12 | 0.56 | 0.57 | (0.02 | ) | (0.12 | ) | (0.14 | ) | |||||||||||||||||
FOR THE PERIOD 3/26/136—9/30/13 | $10.00 | 0.01 | 7 | 1.86 | 1.87 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $12.35 | 0.06 | 16 | 1.43 | 1.49 | (0.04 | ) | (0.15 | ) | (0.19 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $12.95 | 0.01 | 12 | (0.61 | )13 | (0.60 | ) | — | — | — | ||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $11.47 | 0.11 | 16 | (0.24 | ) | (0.13 | ) | (0.19 | ) | (0.08 | ) | (0.27 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.28 | 0.28 | 0.01 | 13 | 0.29 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
FOR THE PERIOD 3/26/136—9/30/13 | $10.00 | 0.13 | 7 | 1.15 | 1.28 | — | — | — | ||||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $11.44 | 0.09 | 16 | (0.23 | ) | (0.14 | ) | (0.15 | ) | (0.08 | ) | (0.23 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.27 | 0.24 | 0.01 | 13 | 0.25 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
FOR THE PERIOD 3/26/136—9/30/13 | $10.00 | 0.15 | 7 | 1.12 | 1.27 | — | — | — | ||||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $11.47 | 0.13 | 16 | (0.25 | ) | (0.12 | ) | (0.21 | ) | (0.08 | ) | (0.29 | ) | |||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $11.94 | 0.13 | (0.60 | ) | (0.47 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $9.96 | 0.06 | (0.06 | )13 | — | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
FOR THE PERIOD 5/13/146—9/30/14 | $10.00 | 0.14 | (0.18 | ) | (0.04 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $9.95 | 0.04 | (0.05 | )13 | (0.01 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/146—9/30/14 | $10.00 | 0.14 | (0.19 | ) | (0.05 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $9.96 | 0.05 | (0.05 | )13 | — | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $10.47 | 0.05 | (0.56 | ) | (0.51 | ) | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.02 | 0.00 | 11 | 0.02 | — | — | — | ||||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.02 | 0.00 | 11 | 0.02 | — | — | — | ||||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.02 | 0.01 | 0.03 | — | — | — |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | March 31, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period (000’s) | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3 | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$14.12 | 6.60 | % | $428,892 | 0.54 | % | 0.54 | % | 0.57 | % | 1.27 | %16 | 27 | % | |||||||||||||||||||
$13.36 | 21.39 | % | $166,058 | 0.54 | % | 0.54 | % | 0.71 | % | 1.17 | % | 277 | % | |||||||||||||||||||
$11.09 | 10.90 | % | $18,811 | 0.54 | % | 0.54 | % | 1.80 | %8,9 | 1.09 | %7 | 223 | % | |||||||||||||||||||
$14.08 | 6.48 | % | $55,387 | 0.79 | % | 0.79 | % | 0.87 | % | 1.03 | %16 | 27 | % | |||||||||||||||||||
$13.33 | 21.05 | % | $10,328 | 0.79 | % | 0.79 | % | 1.14 | % | 0.90 | % | 277 | % | |||||||||||||||||||
$11.09 | 10.90 | % | $1,403 | 0.79 | % | 0.79 | % | 4.30 | %8,9 | 0.72 | %7 | 223 | % | |||||||||||||||||||
$14.11 | 6.57 | % | $134,555 | 0.44 | % | 0.44 | % | 0.53 | % | 1.36 | %16 | 27 | % | |||||||||||||||||||
$13.36 | 0.30 | % | $42,256 | 0.44 | % | 0.44 | % | 0.61 | % | 1.23 | % | 277 | % | |||||||||||||||||||
$13.64 | 12.03 | % | $20,667 | 0.75 | % | 0.75 | % | 1.44 | % | 0.88 | %16 | 116 | % | |||||||||||||||||||
$12.34 | 5.13 | % | $8,233 | 0.75 | % | 0.75 | % | 2.58 | % | 0.37 | %12 | 189 | % | |||||||||||||||||||
$11.88 | 18.80 | % | $2,184 | 0.75 | % | 0.75 | % | 5.84 | %8 | 0.45 | %7 | 70 | % | |||||||||||||||||||
$13.61 | 11.90 | % | $5,031 | 1.00 | % | 1.00 | % | 1.64 | % | 0.74 | %16 | 116 | % | |||||||||||||||||||
$12.30 | 4.78 | % | $1,284 | 1.00 | % | 1.00 | % | 3.27 | % | 0.11 | %12 | 189 | % | |||||||||||||||||||
$11.87 | 18.70 | % | $1,381 | 1.00 | % | 1.00 | % | 6.40 | %8 | 0.17 | %7 | 70 | % | |||||||||||||||||||
$13.65 | 12.06 | % | $303 | 0.65 | % | 0.65 | % | 1.33 | % | 0.86 | %16 | 116 | % | |||||||||||||||||||
$12.35 | (4.63 | )% | $95 | 0.65 | % | 0.65 | % | 2.34 | % | 0.45 | %12 | 189 | % | |||||||||||||||||||
$11.07 | (1.09 | )% | $31,055 | 0.70 | % | 0.70 | % | 0.95 | % | 1.99 | %16 | 109 | % | |||||||||||||||||||
$11.47 | 2.53 | % | $26,729 | 0.70 | % | 0.70 | % | 1.38 | % | 2.36 | % | 204 | % | |||||||||||||||||||
$11.28 | 12.80 | % | $15,810 | 0.70 | % | 0.70 | % | 2.16 | %8 | 2.25 | %7 | 218 | % | |||||||||||||||||||
$11.07 | (1.16 | )% | $2,594 | 0.95 | % | 0.95 | % | 1.16 | % | 1.72 | %16 | 109 | % | |||||||||||||||||||
$11.44 | 2.19 | % | $2,756 | 0.95 | % | 0.95 | % | 1.85 | % | 2.02 | % | 204 | % | |||||||||||||||||||
$11.27 | 12.70 | % | $2,154 | 0.95 | % | 0.95 | % | 4.10 | %8 | 2.65 | %7 | 218 | % | |||||||||||||||||||
$11.06 | (0.98 | )% | $59,824 | 0.60 | % | 0.60 | % | 0.85 | % | 2.45 | %16 | 109 | % | |||||||||||||||||||
$11.47 | (3.94 | )% | $26,412 | 0.60 | % | 0.60 | % | 1.34 | % | 5.13 | % | 204 | % | |||||||||||||||||||
$9.89 | 0.06 | % | $18,167 | 0.85 | % | 0.85 | % | 1.82 | %8 | 1.14 | % | 166 | % | |||||||||||||||||||
$9.96 | (0.40 | )% | $11,572 | 0.85 | % | 0.85 | % | 3.30 | %8,9 | 3.49 | % | 154 | % | |||||||||||||||||||
$9.88 | (0.04 | )% | $2,840 | 1.10 | % | 1.10 | % | 2.15 | %8 | 0.88 | % | 166 | % | |||||||||||||||||||
$9.95 | (0.50 | )% | $2,388 | 1.10 | % | 1.10 | % | 3.55 | %8,9 | 3.49 | % | 154 | % | |||||||||||||||||||
$9.89 | 0.04 | % | $18,833 | 0.75 | % | 0.75 | % | 1.25 | %8 | 1.05 | % | 166 | % | |||||||||||||||||||
$9.96 | (4.87 | )% | $95 | 0.75 | % | 0.75 | % | 2.73 | %8,9 | 2.09 | % | 154 | % | |||||||||||||||||||
$10.02 | 0.20 | % | $1,210 | 0.54 | % | 0.54 | % | 3.85 | %8 | 1.37 | % | 113 | % | |||||||||||||||||||
$10.02 | 0.20 | % | $100 | 0.79 | % | 0.79 | % | 4.86 | %8 | 1.17 | % | 113 | % | |||||||||||||||||||
$10.03 | 0.30 | % | $3,722 | 0.44 | % | 0.44 | % | 4.31 | %8 | 1.51 | % | 113 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
137
Financial Highlights | March 31, 2015 |
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 TM SMALL CAP MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.03 | 0.26 | 0.29 | — | — | — | |||||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.02 | 0.27 | 0.29 | — | — | — | |||||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.03 | 0.27 | 0.30 | — | — | — | |||||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.04 | 0.17 | 13 | 0.21 | — | — | — | ||||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.02 | 0.19 | 13 | 0.21 | — | — | — | ||||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | 0.04 | 0.18 | 13 | 0.22 | — | — | — | ||||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS L | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | (0.00 | )11 | 0.00 | 11 | — | — | — | — | |||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | (0.00 | )11 | (0.01 | )13 | (0.01 | ) | — | — | — | ||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
FOR THE PERIOD 2/11/156—3/31/15 (Unaudited) | $10.00 | (0.00 | )11 | 0.00 | 11 | — | — | — | — | |||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $21.89 | 0.13 | 16 | 1.37 | 1.50 | (0.14 | ) | (1.92 | ) | (2.06 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $19.65 | 0.12 | 3.12 | 3.24 | (0.13 | ) | (0.87 | ) | (1.00 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $16.06 | 0.12 | 7 | 3.47 | 3.59 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $13.89 | 0.26 | 14 | 2.16 | 2.42 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $14.40 | 0.15 | (0.54 | ) | (0.39 | ) | (0.09 | ) | (0.03 | ) | (0.12 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | $12.19 | 0.06 | 2.21 | 2.27 | (0.02 | ) | (0.04 | ) | (0.06 | ) | ||||||||||||||||||
FOR THE PERIOD 7/09/096—12/31/09† | $10.00 | 0.07 | 2.48 | 2.55 | (0.05 | ) | (0.31 | ) | (0.36 | ) | ||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $21.85 | 0.10 | 16 | 1.36 | 1.46 | (0.08 | ) | (1.92 | ) | (2.00 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $19.61 | 0.06 | 3.13 | 3.19 | (0.08 | ) | (0.87 | ) | (0.95 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $16.05 | 0.09 | 7 | 3.47 | 3.56 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1210—12/31/12 | $16.02 | 0.01 | 14 | 0.02 | 0.03 | — | — | — | ||||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $21.89 | 0.14 | 16 | 1.36 | 1.50 | (0.18 | ) | (1.92 | ) | (2.10 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $21.90 | 0.04 | (0.05 | )13 | (0.01 | ) | — | — | — | |||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $21.09 | 0.10 | 16 | 2.81 | 2.91 | (0.04 | ) | (2.36 | ) | (2.40 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $21.77 | 0.00 | 11,12 | 0.73 | 0.73 | (0.06 | ) | (1.35 | ) | (1.41 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $16.43 | 0.09 | 7 | 5.25 | 5.34 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $13.89 | 0.22 | 14 | 2.50 | 2.72 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $14.39 | 0.04 | (0.42 | ) | (0.38 | ) | (0.02 | ) | (0.10 | ) | (0.12 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | $11.40 | 0.03 | 3.13 | 3.16 | (0.03 | ) | (0.14 | ) | (0.17 | ) | ||||||||||||||||||
FOR THE PERIOD 7/09/096—12/31/09† | $10.00 | 0.04 | 2.06 | 2.10 | (0.03 | ) | (0.67 | ) | (0.70 | ) | ||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $21.00 | 0.07 | 16 | 2.79 | 2.86 | — | (2.36 | ) | (2.36 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $21.73 | (0.06 | )12 | 0.73 | 0.67 | (0.05 | ) | (1.35 | ) | (1.40 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $16.43 | 0.03 | 7 | 5.27 | 5.30 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1210—12/31/12 | $16.09 | 0.02 | 14 | 0.32 | 0.34 | — | — | — | ||||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $21.10 | 0.17 | 16 | 2.74 | 2.91 | (0.07 | ) | (2.36 | ) | (2.43 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $22.08 | 0.01 | 12 | (0.99 | )13 | (0.98 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
138
Financial Highlights | March 31, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period (000’s) | 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 | |||||||||||||||||||||||||
$10.29 | 2.90 | % | $236 | 0.75 | % | 0.75 | % | 5.80 | %8,9 | 2.02 | % | 11 | % | |||||||||||||||||||
$10.29 | 2.90 | % | $108 | 1.00 | % | 1.00 | % | 6.08 | %8,9 | 1.66 | % | 11 | % | |||||||||||||||||||
$10.30 | 3.00 | % | $1,854 | 0.65 | % | 0.65 | % | 5.74 | %8,9 | 2.01 | % | 11 | % | |||||||||||||||||||
$10.21 | 2.10 | % | $1,192 | 0.70 | % | 0.70 | % | 4.38 | %8,9 | 2.88 | % | 232 | % | |||||||||||||||||||
$10.21 | 2.10 | % | $102 | 0.95 | % | 0.95 | % | 6.61 | %8,9 | 1.57 | % | 232 | % | |||||||||||||||||||
$10.22 | 2.20 | % | $14,742 | 0.60 | % | 0.60 | % | 4.26 | %8,9 | 2.97 | % | 232 | % | |||||||||||||||||||
$10.00 | 0.00 | % | $1,743 | 0.85 | % | 0.85 | % | 3.48 | %8,9 | 0.13 | % | 62 | % | |||||||||||||||||||
$9.99 | (0.10 | )% | $999 | 1.10 | % | 1.10 | % | 3.79 | %8,9 | (0.23 | )% | 62 | % | |||||||||||||||||||
$10.00 | 0.00 | % | $4,826 | 0.75 | % | 0.75 | % | 3.40 | %8,9 | 0.16 | % | 62 | % | |||||||||||||||||||
$21.33 | 7.05 | % | $969,292 | 0.49 | % | 0.49 | % | 0.56 | % | 1.17 | %16 | 48 | % | |||||||||||||||||||
$21.89 | 16.86 | % | $953,235 | 0.49 | % | 0.49 | % | 0.55 | % | 0.55 | % | 83 | % | |||||||||||||||||||
$19.65 | 22.35 | % | $719,389 | 0.49 | % | 0.49 | % | 0.55 | %8 | 0.88 | %7 | 62 | % | |||||||||||||||||||
$16.06 | 17.49 | % | $490,442 | 0.50 | % | 0.49 | % | 0.58 | % | 1.69 | %14 | 68 | % | |||||||||||||||||||
$13.89 | (2.68 | )% | $302,755 | 0.50 | % | 0.49 | % | 0.67 | % | 1.07 | % | 162 | % | |||||||||||||||||||
$14.40 | 18.60 | % | $124,491 | 0.49 | % | 0.49 | % | 0.98 | % | 1.37 | % | 180 | % | |||||||||||||||||||
$12.19 | 25.58 | % | $6,933 | 0.49 | % | 0.49 | % | 5.08 | % | 1.23 | % | 163 | % | |||||||||||||||||||
$21.31 | 6.87 | % | $85,098 | 0.74 | % | 0.74 | % | 0.84 | % | 0.92 | %16 | 48 | % | |||||||||||||||||||
$21.85 | 16.59 | % | $79,272 | 0.74 | % | 0.74 | % | 0.83 | % | 0.30 | % | 83 | % | |||||||||||||||||||
$19.61 | 22.18 | % | $70,265 | 0.74 | % | 0.74 | % | 0.83 | %8 | 0.64 | %7 | 62 | % | |||||||||||||||||||
$16.05 | 0.19 | % | $58,422 | 0.75 | % | 0.74 | % | 0.82 | % | 1.19 | %14 | 68 | % | |||||||||||||||||||
$21.29 | 7.07 | % | $50,910 | 0.39 | % | 0.39 | % | 0.47 | % | 1.33 | %16 | 48 | % | |||||||||||||||||||
$21.89 | (0.05 | )% | $131 | 0.39 | % | 0.39 | % | 0.48 | % | 0.75 | % | 83 | % | |||||||||||||||||||
$21.60 | 14.41 | % | $423,918 | 0.65 | % | 0.65 | % | 0.68 | % | 0.95 | %16 | 45 | % | |||||||||||||||||||
$21.09 | 3.07 | % | $301,173 | 0.65 | % | 0.65 | % | 0.68 | % | 0.01 | %12 | 83 | % | |||||||||||||||||||
$21.77 | 32.50 | % | $242,675 | 0.65 | % | 0.65 | % | 0.68 | %8,9 | 0.60 | %7 | 49 | % | |||||||||||||||||||
$16.43 | 19.62 | % | $145,770 | 0.66 | % | 0.65 | % | 0.72 | % | 1.44 | %14 | 73 | % | |||||||||||||||||||
$13.89 | (2.62 | )% | $100,534 | 0.66 | % | 0.65 | % | 0.85 | % | 0.26 | % | 121 | % | |||||||||||||||||||
$14.39 | 27.69 | % | $54,505 | 0.65 | % | 0.65 | % | 1.85 | % | 0.66 | % | 380 | % | |||||||||||||||||||
$11.40 | 21.24 | % | $3,240 | 0.65 | % | 0.65 | % | 7.53 | % | 0.65 | % | 136 | % | |||||||||||||||||||
$21.50 | 14.23 | % | $9,158 | 0.90 | % | 0.90 | % | 0.90 | % | 0.68 | %16 | 45 | % | |||||||||||||||||||
$21.00 | 2.83 | % | $7,189 | 0.90 | % | 0.90 | % | 1.04 | % | (0.26 | )%12 | 83 | % | |||||||||||||||||||
$21.73 | 32.26 | % | $1,668 | 0.90 | % | 0.90 | % | 4.82 | %8,9 | 0.18 | %7 | 49 | % | |||||||||||||||||||
$16.43 | 2.11 | % | $10 | 0.90 | % | 0.90 | % | 135.33 | %15 | 3.36 | %14 | 73 | % | |||||||||||||||||||
$21.58 | 14.46 | % | $2,220 | 0.55 | % | 0.55 | % | 0.60 | % | 1.64 | %16 | 45 | % | |||||||||||||||||||
$21.10 | (4.44 | )% | $96 | 0.55 | % | 0.55 | % | 0.63 | % | 0.13 | %12 | 83 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
139
Financial Highlights | March 31, 2015 |
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 INTERNATIONAL MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.95 | 0.15 | 16 | (0.19 | ) | (0.04 | ) | (0.31 | ) | (0.17 | ) | (0.48 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $15.29 | 0.27 | 12 | (0.36 | ) | (0.09 | ) | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $13.09 | 0.22 | 7 | 1.98 | 2.20 | — | — | — | ||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $11.37 | 0.29 | 1.74 | 2.03 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $13.62 | 0.29 | (2.26 | ) | (1.97 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010†,^ | $11.98 | 0.08 | 1.62 | 1.70 | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||||
FOR THE PERIOD 7/09/096—12/31/09† | $10.00 | 0.04 | 2.26 | 2.30 | (0.09 | ) | (0.23 | ) | (0.32 | ) | ||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.89 | 0.13 | 16 | (0.19 | ) | (0.06 | ) | (0.27 | ) | (0.17 | ) | (0.44 | ) | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $15.25 | 0.22 | 12 | (0.35 | ) | (0.13 | ) | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $13.08 | 0.25 | 7 | 1.92 | 2.17 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1210—12/31/12 | $12.95 | — | 0.13 | 0.13 | — | — | — | |||||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.94 | 0.40 | 16 | (0.42 | ) | (0.02 | ) | (0.34 | ) | (0.17 | ) | (0.51 | ) | |||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $15.54 | 0.05 | 12 | (0.65 | ) | (0.60 | ) | — | — | — | ||||||||||||||||||
AQR EMERGING MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.02 | 0.02 | (0.10 | ) | (0.08 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/146—9/30/14 | $10.00 | 0.09 | (0.07 | ) | 0.02 | — | — | — | ||||||||||||||||||||
AQR EMERGING MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.01 | 0.01 | (0.09 | ) | (0.08 | ) | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
FOR THE PERIOD 5/13/146—9/30/14 | $10.00 | 0.09 | (0.08 | ) | 0.01 | — | — | — | ||||||||||||||||||||
AQR EMERGING MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.02 | 0.03 | (0.09 | ) | (0.06 | ) | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $10.63 | 0.05 | (0.66 | )13 | (0.61 | ) | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $15.90 | 0.09 | 0.94 | 1.03 | (0.08 | ) | (0.27 | ) | (0.35 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.60 | 0.09 | 2.36 | 2.45 | (0.04 | ) | (0.11 | ) | (0.15 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.13 | 0.09 | 7 | 2.38 | 2.47 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 1/27/126—12/31/12 | $10.00 | 0.19 | 14 | 1.17 | 1.36 | (0.14 | ) | (0.09 | ) | (0.23 | ) | |||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $15.86 | 0.07 | 0.93 | 1.00 | (0.04 | ) | (0.27 | ) | (0.31 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.57 | 0.04 | 2.37 | 2.41 | (0.01 | ) | (0.11 | ) | (0.12 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.13 | 0.07 | 7 | 2.37 | 2.44 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1210—12/31/12 | $11.12 | 0.01 | 14 | 0.00 | 11 | 0.01 | — | — | — | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $15.90 | 0.12 | 0.91 | 1.03 | (0.09 | ) | (0.27 | ) | (0.36 | ) | ||||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $15.78 | 0.03 | 0.09 | 0.12 | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
140
Financial Highlights | March 31, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period (000’s) | Expenses, Net of Reimbursements and/or Waivers3 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)3 | Expenses, Before Reimbursements and/or Waivers3 | Net Investment Income (Loss) | Portfolio Turnover Rate4 | |||||||||||||||||||||||||
$14.43 | (0.17 | )% | $265,915 | 0.65 | % | 0.65 | % | 0.72 | % | 2.04 | %16 | 52 | % | |||||||||||||||||||
$14.95 | (0.64 | )% | $279,838 | 0.65 | % | 0.65 | % | 0.71 | % | 1.73 | %12 | 98 | % | |||||||||||||||||||
$15.29 | 16.81 | % | $219,002 | 0.65 | % | 0.65 | % | 0.73 | %8 | 2.09 | %7 | 76 | % | |||||||||||||||||||
$13.09 | 17.92 | % | $127,673 | 0.66 | % | 0.65 | % | 0.80 | % | 2.41 | % | 116 | % | |||||||||||||||||||
$11.37 | (14.42 | )% | $77,225 | 0.66 | % | 0.65 | % | 0.97 | % | 2.23 | % | 203 | % | |||||||||||||||||||
$13.62 | 14.20 | % | $62,091 | 0.65 | % | 0.65 | % | 1.46 | % | 1.44 | % | 269 | % | |||||||||||||||||||
$11.98 | 23.08 | % | $29,762 | 0.65 | % | 0.65 | % | 2.22 | % | 0.63 | % | 160 | % | |||||||||||||||||||
$14.39 | (0.30 | )% | $41,556 | 0.90 | % | 0.90 | % | 0.99 | % | 1.83 | %16 | 52 | % | |||||||||||||||||||
$14.89 | (0.91 | )% | $40,054 | 0.90 | % | 0.90 | % | 1.00 | % | 1.42 | %12 | 98 | % | |||||||||||||||||||
$15.25 | 16.59 | % | $41,503 | 0.90 | % | 0.90 | % | 1.03 | %8 | 2.28 | %7 | 76 | % | |||||||||||||||||||
$13.08 | 1.00 | % | $11 | 0.90 | % | 0.90 | % | 132.42 | %15 | 0.25 | % | 116 | % | |||||||||||||||||||
$14.41 | (0.06 | )% | $30,115 | 0.55 | % | 0.55 | % | 0.62 | % | 5.51 | %16 | 52 | % | |||||||||||||||||||
$14.94 | (3.86 | )% | $96 | 0.55 | % | 0.55 | % | 0.64 | % | 1.38 | %12 | 98 | % | |||||||||||||||||||
$9.85 | (0.73 | )% | $7,312 | 0.80 | % | 0.80 | % | 3.70 | %8 | 0.43 | % | 71 | % | |||||||||||||||||||
$10.02 | 0.20 | % | $6,260 | 0.80 | % | 0.80 | % | 4.03 | %8,9 | 2.27 | % | 72 | % | |||||||||||||||||||
$9.85 | (0.81 | )% | $1,340 | 1.05 | % | 1.05 | % | 3.86 | %8 | 0.17 | % | 71 | % | |||||||||||||||||||
$10.01 | 0.10 | % | $1,034 | 1.05 | % | 1.05 | % | 4.18 | %8,9 | 2.13 | % | 72 | % | |||||||||||||||||||
$9.86 | (0.61 | )% | $94 | 0.70 | % | 0.70 | % | 3.75 | %8 | 0.52 | % | 71 | % | |||||||||||||||||||
$10.02 | (5.74 | )% | $94 | 0.70 | % | 0.70 | % | 3.73 | %8,9 | 2.01 | % | 72 | % | |||||||||||||||||||
$16.58 | 6.53 | % | $51,085 | 0.52 | % | 0.52 | % | 0.63 | % | 1.11 | % | 33 | % | |||||||||||||||||||
$15.90 | 18.15 | % | $101,336 | 0.54 | % | 0.54 | % | 0.69 | % | 0.57 | % | 153 | % | |||||||||||||||||||
$13.60 | 22.19 | % | $21,709 | 0.54 | % | 0.54 | % | 1.41 | %8,9 | 1.00 | %7 | 178 | % | |||||||||||||||||||
$11.13 | 13.67 | % | $6,041 | 0.55 | % | 0.54 | % | 4.57 | % | 1.89 | %14 | 93 | % | |||||||||||||||||||
$16.55 | 6.35 | % | $146 | 0.77 | % | 0.77 | % | 0.83 | % | 0.86 | % | 33 | % | |||||||||||||||||||
$15.86 | 17.81 | % | $137 | 0.79 | % | 0.79 | % | 1.60 | % | 0.30 | % | 153 | % | |||||||||||||||||||
$13.57 | 21.92 | % | $115 | 0.79 | % | 0.79 | % | 4.11 | %8,9 | 0.71 | %7 | 178 | % | |||||||||||||||||||
$11.13 | 0.09 | % | $10 | 0.79 | % | 0.79 | % | 15.32 | %15 | 2.41 | %14 | 93 | % | |||||||||||||||||||
$16.57 | 6.54 | % | $80,143 | 0.39 | % | 0.39 | % | 0.54 | % | 1.40 | % | 33 | % | |||||||||||||||||||
$15.90 | 0.76 | % | $101 | 0.44 | % | 0.44 | % | 0.67 | % | 0.77 | % | 153 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
141
Financial Highlights | March 31, 2015 |
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 TM SMALL CAP MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.72 | 0.07 | 16 | 1.99 | 2.06 | (0.01 | ) | (0.54 | ) | (0.55 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $14.85 | 0.01 | 0.15 | 0.16 | (0.04 | ) | (0.25 | ) | (0.29 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.15 | 0.05 | 7 | 3.65 | 3.70 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 1/27/126—12/31/12 | $10.00 | 0.19 | 14 | 1.11 | 1.30 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.67 | 0.04 | 16 | 2.00 | 2.04 | — | (0.54 | ) | (0.54 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $14.81 | (0.03 | ) | 0.14 | 0.11 | (0.00 | )11 | (0.25 | ) | (0.25 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.15 | 0.03 | 7 | 3.63 | 3.66 | — | — | — | ||||||||||||||||||||
FOR THE PERIOD 12/17/1210—12/31/12 | $10.91 | 0.02 | 14 | 0.22 | 0.24 | — | — | — | ||||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.72 | 0.07 | 16 | 2.01 | 2.08 | (0.04 | ) | (0.54 | ) | (0.58 | ) | |||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $15.45 | 0.01 | (0.74 | )13 | (0.73 | ) | — | — | — | |||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS L | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $13.09 | 0.09 | (0.16 | ) | (0.07 | ) | (0.25 | ) | (0.06 | ) | (0.31 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.18 | 0.23 | 12 | (0.10 | ) | 0.13 | (0.06 | ) | (0.16 | ) | (0.22 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.24 | 0.20 | 1.74 | 1.94 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 1/27/126—12/31/12 | $10.00 | 0.23 | 1.22 | 1.45 | (0.19 | ) | (0.02 | ) | (0.21 | ) | ||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $13.06 | 0.11 | (0.18 | ) | (0.07 | ) | (0.23 | ) | (0.06 | ) | (0.29 | ) | ||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.15 | 0.17 | 12 | (0.08 | ) | 0.09 | (0.02 | ) | (0.16 | ) | (0.18 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.24 | 0.20 | 1.71 | 1.91 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 12/17/1210—12/31/12 | $11.14 | — | 0.10 | 0.10 | — | — | — | |||||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $13.09 | 0.43 | (0.48 | ) | (0.05 | ) | (0.27 | ) | (0.06 | ) | (0.33 | ) | ||||||||||||||||
FOR THE PERIOD 7/10/1410—9/30/14 | $13.66 | 0.03 | 12 | (0.60 | ) | (0.57 | ) | — | — | — | ||||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.07 | 0.12 | 1.43 | 1.55 | (0.29 | ) | (0.42 | ) | (0.71 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $12.20 | 0.20 | 1.79 | 1.99 | (0.08 | ) | (0.04 | ) | (0.12 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.16 | 0.15 | 1.89 | 2.04 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 7/09/126—12/31/12 | $10.00 | 0.14 | 14 | 0.10 | 0.24 | (0.07 | ) | (0.01 | ) | (0.08 | ) | |||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.04 | 0.10 | 1.43 | 1.53 | (0.23 | ) | (0.42 | ) | (0.65 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $12.19 | 0.17 | 1.79 | 1.96 | (0.07 | ) | (0.04 | ) | (0.11 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.18 | 0.13 | 1.88 | 2.01 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 7/09/126—12/31/12 | $10.00 | 0.08 | 14 | 0.15 | 0.23 | (0.04 | ) | (0.01 | ) | (0.05 | ) | |||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $14.07 | 0.13 | 1.42 | 1.55 | (0.32 | ) | (0.42 | ) | (0.74 | ) | ||||||||||||||||||
FOR THE PERIOD 9/02/1410—9/30/14 | $14.13 | 0.02 | (0.08 | )13 | (0.06 | ) | — | — | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
142
Financial Highlights | March 31, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period (000’s) | 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 | |||||||||||||||||||||||||
$16.23 | 14.24 | % | $20,116 | 0.68 | % | 0.68 | % | 1.39 | % | 0.85 | %16 | 59 | % | |||||||||||||||||||
$14.72 | 0.98 | % | $14,690 | 0.70 | % | 0.70 | % | 1.61 | % | 0.04 | % | 154 | % | |||||||||||||||||||
$14.85 | 33.18 | % | $6,764 | 0.70 | % | 0.70 | % | 2.67 | %8,9 | 0.49 | %7 | 81 | % | |||||||||||||||||||
$11.15 | 13.01 | % | $3,435 | 0.71 | % | 0.70 | % | 5.77 | % | 1.91 | %14 | 93 | % | |||||||||||||||||||
$16.17 | 14.11 | % | $142 | 0.93 | % | 0.93 | % | 1.54 | % | 0.57 | %16 | 59 | % | |||||||||||||||||||
$14.67 | 0.69 | % | $125 | 0.95 | % | 0.95 | % | 2.44 | % | (0.21 | )% | 154 | % | |||||||||||||||||||
$14.81 | 32.83 | % | $122 | 0.95 | % | 0.95 | % | 5.05 | %8,9 | 0.26 | %7 | 81 | % | |||||||||||||||||||
$11.15 | 2.20 | % | $10 | 0.95 | % | 0.95 | % | 12.32 | % | 4.19 | %14 | 93 | % | |||||||||||||||||||
$16.22 | 14.35 | % | $109 | 0.58 | % | 0.58 | % | 1.29 | % | 0.92 | %16 | 59 | % | |||||||||||||||||||
$14.72 | (4.72 | )% | $95 | 0.60 | % | 0.60 | % | 1.65 | % | 0.22 | % | 154 | % | |||||||||||||||||||
$12.71 | (0.45 | )% | $22,107 | 0.69 | % | 0.69 | % | 0.87 | % | 1.48 | % | 70 | % | |||||||||||||||||||
$13.09 | 0.97 | % | $81,624 | 0.70 | % | 0.70 | % | 0.91 | % | 1.73 | %12 | 185 | % | |||||||||||||||||||
$13.18 | 17.26 | % | $17,418 | 0.70 | % | 0.70 | % | 2.31 | %8,9 | 2.14 | % | 154 | % | |||||||||||||||||||
$11.24 | 14.46 | % | $5,739 | 0.71 | % | 0.70 | % | 5.28 | % | 2.38 | % | 131 | % | |||||||||||||||||||
$12.70 | (0.52 | )% | $112 | 0.93 | % | 0.93 | % | 1.11 | % | 1.68 | % | 70 | % | |||||||||||||||||||
$13.06 | 0.69 | % | $112 | 0.95 | % | 0.95 | % | 1.92 | % | 1.26 | %12 | 185 | % | |||||||||||||||||||
$13.15 | 16.99 | % | $111 | 0.95 | % | 0.95 | % | 5.00 | %8,9 | 2.19 | % | 154 | % | |||||||||||||||||||
$11.24 | 0.90 | % | $10 | 0.95 | % | 0.95 | % | 15.82 | %15 | 0.15 | % | 131 | % | |||||||||||||||||||
$12.71 | (0.32 | )% | $42,966 | 0.55 | % | 0.55 | % | 0.81 | % | 6.72 | % | 70 | % | |||||||||||||||||||
$13.09 | (4.17 | )% | $96 | 0.60 | % | 0.60 | % | 0.94 | % | 1.13 | %12 | 185 | % | |||||||||||||||||||
$14.91 | 11.15 | % | $139,695 | 0.49 | % | 0.49 | % | 0.59 | % | 1.68 | % | 3 | % | |||||||||||||||||||
$14.07 | 16.44 | % | $224,826 | 0.49 | % | 0.49 | % | 0.62 | % | 1.51 | % | 16 | % | |||||||||||||||||||
$12.20 | 20.08 | % | $155,660 | 0.52 | % | 0.52 | % | 0.93 | %8 | 1.69 | % | 106 | % | |||||||||||||||||||
$10.16 | 2.34 | % | $7,842 | 0.75 | % | 0.75 | % | 3.90 | % | 2.90 | %14 | 141 | % | |||||||||||||||||||
$14.92 | 11.05 | % | $17,966 | 0.74 | % | 0.74 | % | 0.87 | % | 1.41 | % | 3 | % | |||||||||||||||||||
$14.04 | 16.16 | % | $28,843 | 0.74 | % | 0.74 | % | 0.92 | % | 1.26 | % | 16 | % | |||||||||||||||||||
$12.19 | 19.74 | % | $20,736 | 0.77 | % | 0.77 | % | 1.48 | %8 | 1.44 | % | 106 | % | |||||||||||||||||||
$10.18 | 2.29 | % | $421 | 1.00 | % | 1.00 | % | 9.36 | % | 1.70 | %14 | 141 | % | |||||||||||||||||||
$14.88 | 11.18 | % | $111 | 0.39 | % | 0.39 | % | 0.52 | % | 1.81 | % | 3 | % | |||||||||||||||||||
$14.07 | (0.42 | )% | $100 | 0.39 | % | 0.39 | % | 0.54 | % | 1.69 | % | 16 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
143
Financial Highlights | March 31, 2015 |
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 INTERNATIONAL DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $12.37 | 0.11 | (0.07 | ) | 0.04 | (0.32 | ) | (0.28 | ) | (0.60 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.88 | 0.31 | 0.47 | 0.78 | (0.17 | ) | (0.12 | ) | (0.29 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.67 | 0.23 | 0.98 | 1.21 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 7/09/126—12/31/12 | $10.00 | 0.10 | 0.67 | 0.77 | (0.06 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $12.35 | 0.08 | (0.06 | ) | 0.02 | — | (0.28 | ) | (0.28 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.88 | 0.27 | 0.47 | 0.74 | (0.15 | ) | (0.12 | ) | (0.27 | ) | ||||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.69 | 0.20 | 0.99 | 1.19 | — | — | — | |||||||||||||||||||||
FOR THE PERIOD 7/09/126—12/31/12 | $10.00 | 0.08 | 0.68 | 0.76 | (0.03 | ) | (0.04 | ) | (0.07 | ) | ||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $12.37 | 0.11 | (0.07 | ) | 0.04 | (0.34 | ) | (0.28 | ) | (0.62 | ) | |||||||||||||||||
FOR THE PERIOD 9/02/1410—9/30/14 | $13.02 | 0.03 | (0.68 | )13 | (0.65 | ) | — | — | — | |||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.46 | 0.06 | (0.81 | ) | (0.75 | ) | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $10.27 | 0.25 | 12 | 0.03 | 13 | 0.28 | (0.09 | ) | (0.00 | )11 | (0.09 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.92 | 0.20 | (0.85 | ) | (0.65 | ) | — | — | — | |||||||||||||||||||
FOR THE PERIOD 7/09/126—12/31/12 | $10.00 | 0.10 | 0.94 | 1.04 | (0.09 | ) | (0.03 | ) | (0.12 | ) | ||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.45 | 0.04 | (0.80 | ) | (0.76 | ) | — | — | — | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $10.26 | 0.18 | 12 | 0.08 | 13 | 0.26 | (0.07 | ) | (0.00 | )11 | (0.07 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.93 | 0.16 | (0.83 | ) | (0.67 | ) | — | — | — | |||||||||||||||||||
FOR THE PERIOD 7/09/126—12/31/12 | $10.00 | 0.08 | 0.94 | 1.02 | (0.06 | ) | (0.03 | ) | (0.09 | ) | ||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.46 | 0.06 | (0.81 | ) | (0.75 | ) | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
FOR THE PERIOD 9/02/1410—9/30/14 | $11.15 | 0.03 | 12 | (0.72 | ) | (0.69 | ) | — | — | — | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $8.91 | 0.04 | 0.49 | 0.53 | (0.15 | ) | (0.85 | ) | (1.00 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.33 | 0.15 | 12 | 1.13 | 1.28 | (0.39 | ) | (5.31 | ) | (5.70 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.35 | 0.14 | 1.84 | 1.98 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.99 | 0.20 | 1.69 | 1.89 | (0.29 | ) | (0.24 | ) | (0.53 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $10.97 | 0.21 | (0.95 | ) | (0.74 | ) | (0.11 | ) | (0.13 | ) | (0.24 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.00 | 0.16 | 1.25 | 1.41 | (0.36 | ) | (0.08 | ) | (0.44 | ) | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $8.85 | 0.03 | 0.48 | 0.51 | (0.14 | ) | (0.85 | ) | (0.99 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $13.27 | 0.12 | 12 | 1.12 | 1.24 | (0.35 | ) | (5.31 | ) | (5.66 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $11.32 | 0.11 | 1.84 | 1.95 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.97 | 0.16 | 1.70 | 1.86 | (0.27 | ) | (0.24 | ) | (0.51 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $10.97 | 0.16 | (0.94 | ) | (0.78 | ) | (0.09 | ) | (0.13 | ) | (0.22 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.00 | 0.13 | 1.25 | 1.38 | (0.33 | ) | (0.08 | ) | (0.41 | ) | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $8.96 | 0.05 | 0.48 | 0.53 | (0.16 | ) | (0.85 | ) | (1.01 | ) | ||||||||||||||||||
FOR THE PERIOD 1/08/1410—9/30/14 | $8.70 | 0.15 | 12 | 0.11 | 0.26 | — | — | — | ||||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015† (Unaudited) | $8.97 | 0.06 | 0.48 | 0.54 | (0.18 | ) | (0.85 | ) | (1.03 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014† | $13.38 | 0.18 | 12 | 1.15 | 1.33 | (0.43 | ) | (5.31 | ) | (5.74 | ) | |||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013† | $11.35 | 0.18 | 1.85 | 2.03 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012† | $10.00 | 0.24 | 1.70 | 1.94 | (0.35 | ) | (0.24 | ) | (0.59 | ) | ||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $10.99 | 0.24 | (0.94 | ) | (0.70 | ) | (0.16 | ) | (0.13 | ) | (0.29 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.00 | 0.18 | 1.27 | 1.45 | (0.38 | ) | (0.08 | ) | (0.46 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
144
Financial Highlights | March 31, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period (000’s) | 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 | |||||||||||||||||||||||||
$11.81 | 0.42 | % | $31,436 | 0.65 | % | 0.65 | % | 1.18 | % | 1.87 | % | 19 | % | |||||||||||||||||||
$12.37 | 6.68 | % | $27,316 | 0.65 | % | 0.65 | % | 1.24 | % | 2.53 | % | 57 | % | |||||||||||||||||||
$11.88 | 11.34 | % | $17,631 | 0.73 | % | 0.73 | % | 2.01 | %8,9 | 2.68 | % | 115 | % | |||||||||||||||||||
$10.67 | 7.69 | % | $5,366 | 0.90 | % | 0.90 | % | 5.00 | % | 1.91 | % | 81 | % | |||||||||||||||||||
$12.09 | 0.22 | % | $173 | 0.90 | % | 0.90 | % | 1.54 | % | 1.36 | % | 19 | % | |||||||||||||||||||
$12.35 | 6.32 | % | $462 | 0.90 | % | 0.90 | % | 1.85 | % | 2.18 | % | 57 | % | |||||||||||||||||||
$11.88 | 11.13 | % | $1,153 | 1.00 | % | 1.00 | % | 4.15 | %8,9 | 2.34 | % | 115 | % | |||||||||||||||||||
$10.69 | 7.62 | % | $850 | 1.15 | % | 1.15 | % | 6.96 | % | 1.61 | % | 81 | % | |||||||||||||||||||
$11.79 | 0.46 | % | $95 | 0.55 | % | 0.55 | % | 1.07 | % | 1.93 | % | 19 | % | |||||||||||||||||||
$12.37 | (4.99 | )% | $95 | 0.55 | % | 0.55 | % | 1.23 | % | 3.49 | % | 57 | % | |||||||||||||||||||
$9.53 | (7.22 | )% | $87,948 | 0.80 | % | 0.80 | % | 1.05 | % | 1.18 | % | 52 | % | |||||||||||||||||||
$10.46 | 2.78 | % | $70,070 | 0.85 | % | 0.85 | % | 1.23 | % | 2.35 | %12 | 124 | % | |||||||||||||||||||
$10.27 | (5.95 | )% | $29,471 | 0.96 | % | 0.96 | % | 2.08 | %8 | 2.55 | % | 181 | % | |||||||||||||||||||
$10.92 | 10.39 | % | $5,402 | 1.15 | % | 1.15 | % | 4.14 | % | 1.92 | % | 38 | % | |||||||||||||||||||
$9.69 | (7.27 | )% | $295 | 1.05 | % | 1.05 | % | 1.41 | % | 0.80 | % | 52 | % | |||||||||||||||||||
$10.45 | 2.60 | % | $1,017 | 1.10 | % | 1.10 | % | 1.68 | % | 1.73 | %12 | 124 | % | |||||||||||||||||||
$10.26 | (6.13 | )% | $2,594 | 1.25 | % | 1.25 | % | 3.50 | %8 | 2.06 | % | 181 | % | |||||||||||||||||||
$10.93 | 10.22 | % | $1,804 | 1.40 | % | 1.40 | % | 5.41 | % | 1.67 | % | 38 | % | |||||||||||||||||||
$9.52 | (7.19 | )% | $87 | 0.70 | % | 0.70 | % | 0.97 | % | 1.26 | % | 52 | % | |||||||||||||||||||
$10.46 | (6.19 | )% | $94 | 0.70 | % | 0.70 | % | 1.36 | % | 4.04 | %12 | 124 | % | |||||||||||||||||||
$8.44 | 6.43 | % | $1,335 | 0.90 | % | 0.90 | % | 0.90 | % | 0.97 | % | 30 | % | |||||||||||||||||||
$8.91 | 11.55 | % | $2,492 | 0.91 | % | 0.91 | % | 1.14 | % | 1.62 | %12 | 90 | % | |||||||||||||||||||
$13.33 | 17.44 | % | $1,263 | 0.95 | % | 0.95 | % | 2.27 | %8,9 | 1.46 | % | 71 | % | |||||||||||||||||||
$11.35 | 18.95 | % | $626 | 0.95 | % | 0.94 | % | 1.41 | % | 1.83 | % | 87 | % | |||||||||||||||||||
$9.99 | (6.68 | )% | $2,103 | 0.96 | % | 0.95 | % | 2.03 | % | 1.90 | % | 59 | % | |||||||||||||||||||
$10.97 | 14.12 | % | $1,842 | 0.79 | % | 0.79 | % | 0.79 | % | 1.41 | % | 72 | % | |||||||||||||||||||
$8.37 | 6.27 | % | $1,168 | 1.18 | % | 1.18 | % | 1.18 | % | 0.75 | % | 30 | % | |||||||||||||||||||
$8.85 | 11.17 | % | $1,128 | 1.21 | % | 1.21 | % | 1.60 | % | 1.28 | %12 | 90 | % | |||||||||||||||||||
$13.27 | 17.23 | % | $712 | 1.25 | % | 1.25 | % | 3.06 | %8,9 | 1.14 | % | 71 | % | |||||||||||||||||||
$11.32 | 18.67 | % | $518 | 1.25 | % | 1.24 | % | 1.87 | % | 1.51 | % | 87 | % | |||||||||||||||||||
$9.97 | (7.03 | )% | $2,019 | 1.27 | % | 1.26 | % | 3.22 | % | 1.46 | % | 59 | % | |||||||||||||||||||
$10.97 | 13.83 | % | $1,498 | 1.10 | % | 1.10 | % | 1.10 | % | 1.28 | % | 72 | % | |||||||||||||||||||
$8.48 | 6.44 | % | $80,932 | 0.70 | % | 0.70 | % | 0.72 | % | 1.24 | % | 30 | % | |||||||||||||||||||
$8.96 | 2.99 | % | $76,031 | 0.70 | % | 0.70 | % | 0.73 | % | 2.23 | %12 | 90 | % | |||||||||||||||||||
$8.48 | 6.49 | % | $226,281 | 0.52 | % | 0.52 | % | 0.52 | % | 1.42 | % | 30 | % | |||||||||||||||||||
$8.97 | 11.99 | % | $212,652 | 0.54 | % | 0.54 | % | 0.54 | % | 1.79 | %12 | 90 | % | |||||||||||||||||||
$13.38 | 17.89 | % | $254,723 | 0.51 | % | 0.51 | % | 0.51 | %8,9 | 1.88 | % | 71 | % | |||||||||||||||||||
$11.35 | 19.45 | % | $474,413 | 0.51 | % | 0.50 | % | 0.51 | % | 2.24 | % | 87 | % | |||||||||||||||||||
$10.00 | (6.22 | )% | $397,662 | 0.52 | % | 0.51 | % | 0.52 | % | 2.21 | % | 59 | % | |||||||||||||||||||
$10.99 | 14.54 | % | $424,346 | 0.50 | % | 0.50 | % | 0.71 | % | 1.81 | % | 72 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
145
Financial Highlights | March 31, 2015 |
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 INTERNATIONAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $10.99 | 0.08 | 0.20 | 0.28 | (0.33 | ) | (0.55 | ) | (0.88 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $11.88 | 0.28 | 12 | (0.09 | ) | 0.19 | (0.22 | ) | (0.86 | ) | (1.08 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.24 | 0.17 | 1.47 | 1.64 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $8.60 | 0.20 | 1.76 | 1.96 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.45 | 0.21 | (1.78 | ) | (1.57 | ) | (0.21 | ) | (0.07 | ) | (0.28 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $ 9.78 | 0.16 | 0.84 | 1.00 | (0.24 | ) | (0.09 | ) | (0.33 | ) | ||||||||||||||||||
FOR THE PERIOD 9/30/0910—12/31/09† | $10.00 | (0.01 | ) | 0.22 | 0.21 | (0.14 | ) | (0.29 | ) | (0.43 | ) | |||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $11.15 | 0.06 | 0.22 | 0.28 | (0.30 | ) | (0.55 | ) | (0.85 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014 | $12.06 | 0.25 | 12 | (0.10 | ) | 0.15 | (0.20 | ) | (0.86 | ) | (1.06 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013 | $10.43 | 0.13 | 1.50 | 1.63 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012 | $8.76 | 0.19 | 1.76 | 1.95 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011 | $10.61 | 0.20 | (1.83 | ) | (1.63 | ) | (0.15 | ) | (0.07 | ) | (0.22 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010 | $9.91 | 0.14 | 0.88 | 1.02 | (0.23 | ) | (0.09 | ) | (0.32 | ) | ||||||||||||||||||
FOR THE PERIOD 9/30/0910—12/31/09† | $10.00 | — | 0.20 | 0.20 | — | (0.29 | ) | (0.29 | ) | |||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $11.56 | 0.07 | 0.25 | 0.32 | (0.35 | ) | (0.55 | ) | (0.90 | ) | ||||||||||||||||||
FOR THE PERIOD 1/08/1410—9/30/14 | $12.08 | 0.34 | 12 | (0.86 | ) | (0.52 | ) | — | — | — | ||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
SIX MONTHS ENDED MARCH 31, 2015 (Unaudited) | $11.58 | 0.10 | 0.23 | 0.33 | (0.37 | ) | (0.55 | ) | (0.92 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2014† | $12.45 | 0.31 | 12 | (0.07 | ) | 0.24 | (0.25 | ) | (0.86 | ) | (1.11 | ) | ||||||||||||||||
NINE MONTHS ENDED SEPTEMBER 30, 2013† | $10.71 | 0.21 | 1.53 | 1.74 | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2012† | $8.98 | 0.25 | 1.83 | 2.08 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011† | $10.89 | 0.28 | (1.88 | ) | (1.60 | ) | (0.24 | ) | (0.07 | ) | (0.31 | ) | ||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.16 | 0.20 | 0.89 | 1.09 | (0.27 | ) | (0.09 | ) | (0.36 | ) | ||||||||||||||||||
FOR THE PERIOD 8/28/096—12/31/09† | $10.00 | 0.03 | 0.57 | 0.60 | (0.15 | ) | (0.29 | ) | (0.44 | ) |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
146
Financial Highlights | March 31, 2015 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return1,2 | Net Assets, End of Period (000’s) | 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 | |||||||||||||||||||||||||
$ | 10.39 | 2.94 | % | $ | 318,279 | 0.91 | % | 0.91 | % | 0.91 | % | 1.58 | % | 37 | % | |||||||||||||||||
$ | 10.99 | 1.33 | % | $ | 247,847 | 0.90 | % | 0.90 | % | 0.90 | % | 2.41 | %12 | 71 | % | |||||||||||||||||
$ | 11.88 | 16.02 | % | $ | 241,467 | 0.90 | % | 0.90 | % | 0.90 | %8 | 2.11 | % | 59 | % | |||||||||||||||||
$ | 10.24 | 22.87 | % | $ | 196,971 | 0.91 | % | 0.90 | % | 0.91 | % | 2.17 | % | 74 | % | |||||||||||||||||
$ | 8.60 | (15.00 | )% | $ | 138,229 | 0.94 | % | 0.93 | % | 0.94 | % | 2.13 | % | 60 | % | |||||||||||||||||
$ | 10.45 | 10.40 | % | $ | 85,969 | 0.90 | % | 0.90 | % | 1.03 | % | 1.72 | % | 93 | % | |||||||||||||||||
$ | 9.78 | 2.20 | % | $ | 44,016 | 0.90 | % | 0.90 | % | 1.01 | % | (0.47 | )% | 29 | % | |||||||||||||||||
$ | 10.58 | 2.88 | % | $ | 39,077 | 1.21 | % | 1.21 | % | 1.21 | % | 1.15 | % | 37 | % | |||||||||||||||||
$ | 11.15 | 0.96 | % | $ | 39,336 | 1.25 | % | 1.25 | % | 1.25 | % | 2.11 | %12 | 71 | % | |||||||||||||||||
$ | 12.06 | 15.63 | % | $ | 32,011 | 1.29 | % | 1.29 | % | 1.29 | %8 | 1.52 | % | 59 | % | |||||||||||||||||
$ | 10.43 | 22.41 | % | $ | 15,562 | 1.28 | % | 1.27 | % | 1.28 | % | 2.00 | % | 74 | % | |||||||||||||||||
$ | 8.76 | (15.27 | )% | $ | 1,167 | 1.35 | % | 1.34 | % | 2.18 | % | 1.96 | % | 60 | % | |||||||||||||||||
$ | 10.61 | 10.40 | % | $ | 1,472 | 1.25 | % | 1.25 | % | 3.50 | % | 1.51 | % | 93 | % | |||||||||||||||||
$ | 9.91 | 2.04 | % | $ | 6 | 1.25 | % | 1.25 | % | 472.86 | %15 | (0.07 | )% | 29 | % | |||||||||||||||||
$ | 10.98 | 3.12 | % | $ | 40,610 | 0.75 | % | 0.75 | % | 0.75 | % | 1.22 | % | 37 | % | |||||||||||||||||
$ | 11.56 | (4.30 | )% | $ | 103,882 | 0.74 | % | 0.74 | % | 0.74 | % | 3.90 | %12 | 71 | % | |||||||||||||||||
$ | 10.99 | 3.26 | % | $ | 411,715 | 0.55 | % | 0.55 | % | 0.55 | % | 1.82 | % | 37 | % | |||||||||||||||||
$ | 11.58 | 1.71 | % | $ | 398,966 | 0.54 | % | 0.54 | % | 0.54 | % | 2.54 | %12 | 71 | % | |||||||||||||||||
$ | 12.45 | 16.25 | % | $ | 543,667 | 0.55 | % | 0.55 | % | 0.55 | %8 | 2.45 | % | 59 | % | |||||||||||||||||
$ | 10.71 | 23.26 | % | $ | 474,564 | 0.56 | % | 0.55 | % | 0.56 | % | 2.52 | % | 74 | % | |||||||||||||||||
$ | 8.98 | (14.66 | )% | $ | 348,681 | 0.58 | % | 0.57 | % | 0.58 | % | 2.63 | % | 60 | % | |||||||||||||||||
$ | 10.89 | 10.84 | % | $ | 371,799 | 0.55 | % | 0.55 | % | 0.77 | % | 2.02 | % | 93 | % | |||||||||||||||||
$ | 10.16 | 6.08 | % | $ | 360,491 | 0.55 | % | 0.55 | % | 0.98 | % | 0.99 | % | 29 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
147
Financial Highlights | March 31, 2015 |
* | 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 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 | Commencement of operations. |
7 | For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Large Cap Multi-Style Fund—Class L | $0.06 | 0.98 | % | |||||
AQR Large Cap Multi-Style Fund—Class N | 0.04 | 0.61 | ||||||
AQR Small Cap Multi-Style Fund—Class L | 0.03 | 0.38 | ||||||
AQR Small Cap Multi-Style Fund—Class N | 0.01 | 0.10 | ||||||
AQR International Multi-Style Fund—Class L | 0.13 | 2.08 | ||||||
AQR International Multi-Style Fund—Class N | 0.15 | 2.48 | ||||||
AQR Large Cap Momentum Style Fund—Class L | 0.11 | 0.80 | ||||||
AQR Large Cap Momentum Style Fund—Class N | 0.08 | 0.56 | ||||||
AQR Small Cap Momentum Style Fund—Class L | 0.07 | 0.52 | ||||||
AQR Small Cap Momentum Style Fund—Class N | 0.01 | 0.10 | ||||||
AQR International Momentum Style Fund—Class L | 0.21 | 1.97 | ||||||
AQR International Momentum Style Fund—Class N | 0.23 | 2.16 | ||||||
AQR TM Large Cap Momentum Style Fund—Class L | 0.09 | 0.92 | ||||||
AQR TM Large Cap Momentum Style Fund—Class N | 0.07 | 0.63 | ||||||
AQR TM Small Cap Momentum Style Fund—Class L | 0.04 | 0.37 | ||||||
AQR TM Small Cap Momentum Style Fund—Class N | 0.01 | 0.14 |
8 | Certain expenses incurred by the Fund were not annualized for the period. |
9 | Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
10 | Commencement of offering of shares. |
11 | Amount is less than $.005 per share. |
12 | For the period ended September 30, 2014 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Small Cap Multi-Style Fund—Class L | $0.04 | 0.28 | % | |||||
AQR Small Cap Multi-Style Fund—Class N | (0.00 | ) | 0.02 | |||||
AQR Small Cap Multi-Style Fund—Class R6 | (0.00 | ) | 0.36 | |||||
AQR Small Cap Momentum Style Fund—Class L | (0.02 | ) | (0.07 | ) | ||||
AQR Small Cap Momentum Style Fund—Class N | (0.08 | ) | (0.34 | ) | ||||
AQR Small Cap Momentum Style Fund—Class R6 | (0.01 | ) | 0.05 | |||||
AQR International Momentum Style Fund—Class L | 0.25 | 1.57 | ||||||
AQR International Momentum Style Fund—Class N | 0.20 | 1.26 | ||||||
AQR International Momentum Style Fund—Class R6 | 0.03 | 1.22 | ||||||
AQR TM International Momentum Style Fund—Class L | 0.22 | 1.63 | ||||||
AQR TM International Momentum Style Fund—Class N | 0.16 | 1.16 | ||||||
AQR TM International Momentum Style Fund—Class R6 | 0.02 | 1.03 | ||||||
AQR Emerging Defensive Style Fund—Class I | 0.23 | 2.13 | ||||||
AQR Emerging Defensive Style Fund—Class N | 0.16 | 1.51 | ||||||
AQR Emerging Defensive Style Fund—Class R6 | 0.01 | 3.82 | ||||||
AQR Global Equity Fund—Class I | 0.14 | 1.50 | ||||||
AQR Global Equity Fund—Class N | 0.11 | 1.16 | ||||||
AQR Global Equity Fund—Class Y | 0.17 | 1.67 | ||||||
AQR Global Equity Fund—Class R6 | 0.14 | 2.11 |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | March 31, 2015 |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR International Equity Fund—Class I | $ | 0.26 | 2.22 | % | ||||
AQR International Equity Fund—Class N | 0.23 | 1.92 | ||||||
AQR International Equity Fund—Class Y | 0.29 | 2.35 | ||||||
AQR International Equity Fund—Class R6 | 0.32 | 3.71 |
13 | 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. |
14 | For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Large Cap Momentum Style Fund—Class L | $0.24 | 1.57 | % | |||||
AQR Large Cap Momentum Style Fund—Class N | 0.01 | 1.07 | ||||||
AQR Small Cap Momentum Style Fund—Class L | 0.15 | 1.01 | ||||||
AQR Small Cap Momentum Style Fund—Class N | 0.02 | 2.93 | ||||||
AQR TM Large Cap Momentum Style Fund—Class L | 0.17 | 1.76 | ||||||
AQR TM Large Cap Momentum Style Fund—Class N | 0.01 | 2.28 | ||||||
AQR TM Small Cap Momentum Style Fund—Class L | 0.12 | 1.26 | ||||||
AQR TM Small Cap Momentum Style Fund—Class N | 0.02 | 3.54 | ||||||
AQR Large Cap Defensive Style Fund—Class I | 0.11 | 2.58 | ||||||
AQR Large Cap Defensive Style Fund—Class N | 0.05 | 1.38 |
15 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period. |
16 | For the period ended March 31, 2015 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 Large Cap Multi-Style Fund—Class L | $0.08 | 1.18 | % | |||||
AQR Large Cap Multi-Style Fund—Class N | 0.06 | 0.94 | ||||||
AQR Large Cap Multi-Style Fund—Class R6 | 0.08 | 1.27 | �� | |||||
AQR Small Cap Multi-Style Fund—Class L | 0.05 | 0.78 | ||||||
AQR Small Cap Multi-Style Fund—Class N | 0.04 | 0.64 | ||||||
AQR Small Cap Multi-Style Fund—Class R6 | 0.05 | 0.76 | ||||||
AQR International Multi-Style Fund—Class L | 0.09 | 1.84 | ||||||
AQR International Multi-Style Fund—Class N | 0.07 | 1.57 | ||||||
AQR International Multi-Style Fund—Class R6 | 0.11 | 2.30 | ||||||
AQR Large Cap Momentum Style Fund—Class L | 0.11 | 1.10 | ||||||
AQR Large Cap Momentum Style Fund—Class N | 0.08 | 0.85 | ||||||
AQR Large Cap Momentum Style Fund—Class R6 | 0.12 | 1.26 | ||||||
AQR Small Cap Momentum Style Fund—Class L | 0.08 | 0.85 | ||||||
AQR Small Cap Momentum Style Fund—Class N | 0.05 | 0.58 | ||||||
AQR Small Cap Momentum Style Fund—Class R6 | 0.15 | 1.54 | ||||||
AQR International Momentum Style Fund—Class L | 0.14 | 1.96 | ||||||
AQR International Momentum Style Fund—Class N | 0.12 | 1.75 | ||||||
AQR International Momentum Style Fund—Class R6 | 0.39 | 5.43 | ||||||
AQR TM Small Cap Momentum Style Fund—Class I | 0.05 | 0.75 | ||||||
AQR TM Small Cap Momentum Style Fund—Class N | 0.02 | 0.47 | ||||||
AQR TM Small Cap Momentum Style Fund—Class R6 | 0.05 | 0.82 |
The accompanying notes are an integral part of these financial statements. |
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149
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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 March 31, 2015, the Trust consists of thirty-three active series, twenty of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund. The remaining active series are reported in a separate book. AQR Capital Management, LLC (the “Advisor”) serves as the investment advisor of each Fund.
AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style Fund commenced operations on February 11, 2015.
The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek long-term after-tax capital appreciation.
The Funds offer the following classes of shares:
FUND | CLASSES OFFERED | |
AQR Large Cap Multi-Style Fund | Class L, Class N and Class R6 | |
AQR Small Cap Multi-Style Fund | Class L, Class N and Class R6 | |
AQR International Multi-Style Fund | Class L, Class N and Class R6 | |
AQR Emerging Multi-Style Fund | Class L, Class N and Class R6 | |
AQR TM Large Cap Multi-Style Fund | Class L, Class N and Class R6 | |
AQR TM Small Cap Multi-Style Fund | Class L, Class N and Class R6 | |
AQR TM International Multi-Style Fund | Class L, Class N and Class R6 | |
AQR TM Emerging Multi-Style Fund | Class L, Class N and Class R6 | |
AQR Large Cap Momentum Style Fund | Class L, Class N and Class R6 | |
AQR Small Cap Momentum Style Fund | Class L, Class N and Class R6 | |
AQR International Momentum Style Fund | Class L, Class N and Class R6 | |
AQR Emerging Momentum Style Fund | Class L, Class N and Class R6 | |
AQR TM Large Cap Momentum Style Fund | Class L, Class N and Class R6 | |
AQR TM Small Cap Momentum Style Fund | Class L, Class N and Class R6 | |
AQR TM International Momentum Style Fund | Class L, Class N and Class R6 | |
AQR Large Cap Defensive Style Fund | Class I, Class N and Class R6 | |
AQR International Defensive Style Fund | Class I, Class N and Class R6 | |
AQR Emerging Defensive Style Fund | Class I, Class N and Class R6 | |
AQR Global Equity Fund | Class I, Class N, Class Y and Class R6 | |
AQR International Equity Fund | Class I, Class N, Class Y and Class R6 |
Effective January 28, 2015, the Board of Trustees of the AQR Funds approved changing the names of the following Funds:
NAME—PRIOR TO NAME CHANGE | NAME—AFTER NAME CHANGE | |
AQR Core Equity Fund | AQR Large Cap Multi-Style Fund | |
AQR Small Cap Core Equity Fund | AQR Small Cap Multi-Style Fund | |
AQR International Core Equity Fund | AQR International Multi-Style Fund | |
AQR Emerging Core Equity Fund | AQR Emerging Multi-Style Fund | |
AQR Momentum Fund | AQR Large Cap Momentum Style Fund | |
AQR Small Cap Momentum Fund | AQR Small Cap Momentum Style Fund | |
AQR International Momentum Fund | AQR International Momentum Style Fund | |
AQR Emerging Momentum Fund | AQR Emerging Momentum Style Fund | |
AQR Tax-Managed Momentum Fund | AQR TM Large Cap Momentum Style Fund | |
AQR Tax-Managed Small Cap Momentum Fund | AQR TM Small Cap Momentum Style Fund | |
AQR Tax-Managed International Momentum Fund | AQR TM International Momentum Style Fund |
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150
Notes to Financial Statements | March 31, 2015 (Unaudited) |
NAME—PRIOR TO NAME CHANGE | NAME—AFTER NAME CHANGE | |
AQR U.S. Defensive Equity Fund | AQR Large Cap Defensive Style Fund | |
AQR International Defensive Equity Fund | AQR International Defensive Style Fund | |
AQR Emerging Defensive Equity Fund | AQR Emerging Defensive Style Fund |
2. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with 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 4.
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 earned on the principal amount and 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.
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Notes to Financial Statements | March 31, 2015 (Unaudited) |
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.
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 March 31, 2015, 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: Distributions to shareholders are recorded on the ex-dividend date. 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. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
3. 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.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements are contracts that govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
Customer Account Agreements govern cleared derivatives transactions and exchange traded futures transactions. Cleared derivative transactions and exchange traded futures contracts require posting of cash or securities, referred to as initial margin, as determined by each relevant clearing organization. Securities deposited as initial margin are designated on the Schedules of Investments. Cash deposited as initial margin is reflected in Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. Subsequent payments, referred to as “variation margin”, are periodically made or received by the Fund and are based on fluctuation in the market value of the open futures contracts. 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. 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
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Notes to Financial Statements | March 31, 2015 (Unaudited) |
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.
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. 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. 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 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.
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
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Notes to Financial Statements | March 31, 2015 (Unaudited) |
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.
Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Advisor in order to generate additional income. Securities loaned are collateralized by cash valued at 102% to 105% of the market value of the securities on loan. The Funds invest cash collateral in money market funds as indicated on the Schedule of Investments, and record a liability in the Statements of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. Loans are subject to termination by the Funds or the borrower at any time. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in the Securities Lending Agency Agreement between the Funds and the lending agent. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. This amount is recorded as Securities lending income, net on the Statements of Operations. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.
4. 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 against internal model prices. The VC reviews the results of back testing and reports to 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)
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154
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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.
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, and money market funds. 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 a 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 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.
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
155
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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.
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments:
AQR LARGE CAP MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 591,533,903 | $ | — | $ | — | $ | 591,533,903 | ||||||||
Money Market Funds | — | 24,247,718 | — | 24,247,718 | ||||||||||||
Total Assets | $ | 591,533,903 | $ | 24,247,718 | $ | — | $ | 615,781,621 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (131,163 | ) | $ | — | $ | — | $ | (131,163 | ) | ||||||
Total Liabilities | $ | (131,163 | ) | $ | — | $ | — | $ | (131,163 | ) |
AQR SMALL CAP MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 25,185,800 | $ | — | $ | — | $ | 25,185,800 | ||||||||
Exchange-Traded Funds | 523,389 | — | — | 523,389 | ||||||||||||
Securities Lending Collateral | — | 4,296,778 | — | 4,296,778 | ||||||||||||
Money Market Funds | — | 491,912 | — | 491,912 | ||||||||||||
Total Assets | $ | 25,709,189 | $ | 4,788,690 | $ | — | $ | 30,497,879 |
AQR INTERNATIONAL MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 9,259,567 | $ | 79,721,718 | $ | — | $ | 88,981,285 | ||||||||
Exchange-Traded Funds | 2,910,623 | — | — | 2,910,623 | ||||||||||||
Rights† | — | 17,009 | — | 17,009 | ||||||||||||
Money Market Funds | — | 1,767,605 | — | 1,767,605 | ||||||||||||
Total Assets | $ | 12,170,190 | $ | 81,506,332 | $ | — | $ | 93,676,522 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
156
Notes to Financial Statements | March 31, 2015 (Unaudited) |
AQR EMERGING MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 8,101,954 | $ | 29,007,183 | $ | — | $ | 37,109,137 | ||||||||
Exchange-Traded Funds | 1,378,425 | — | — | 1,378,425 | ||||||||||||
Preferred Stocks† | 602,360 | — | — | 602,360 | ||||||||||||
Securities Lending Collateral | — | 906,364 | — | 906,364 | ||||||||||||
Total Assets | $ | 10,082,739 | $ | 29,913,547 | $ | — | $ | 39,996,286 |
AQR TM LARGE CAP MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 4,562,949 | $ | — | $ | — | $ | 4,562,949 | ||||||||
Exchange-Traded Funds | 319,347 | — | — | 319,347 | ||||||||||||
Money Market Funds | — | 669,020 | — | 669,020 | ||||||||||||
Total Assets | $ | 4,882,296 | $ | 669,020 | $ | — | $ | 5,551,316 |
AQR TM SMALL CAP MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 2,125,609 | $ | — | $ | — | $ | 2,125,609 | ||||||||
Exchange-Traded Funds | 45,637 | — | — | 45,637 | ||||||||||||
Securities Lending Collateral | — | 364,241 | — | 364,241 | ||||||||||||
Money Market Funds | — | 108,031 | — | 108,031 | ||||||||||||
Total Assets | $ | 2,171,246 | $ | 472,272 | $ | — | $ | 2,643,518 |
AQR TM INTERNATIONAL MULTI-STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 1,512,428 | $ | 13,656,825 | $ | — | $ | 15,169,253 | ||||||||
Exchange-Traded Funds | 369,042 | — | — | 369,042 | ||||||||||||
Rights† | — | 683 | — | 683 | ||||||||||||
Money Market Funds | — | 5,168,824 | — | 5,168,824 | ||||||||||||
Total Assets | $ | 1,881,470 | $ | 18,826,332 | $ | — | $ | 20,707,802 |
AQR TM EMERGING MULTI-STYLE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 2,111,248 | $ | 5,067,129 | $ | — | $ | 7,178,377 | ||||||||
Exchange-Traded Funds | 169,148 | — | — | 169,148 | ||||||||||||
Preferred Stocks† | 87,350 | — | — | 87,350 | ||||||||||||
Securities Lending Collateral | — | 196,825 | — | 196,825 | ||||||||||||
Money Market Funds | — | 854,677 | — | 854,677 | ||||||||||||
Total Assets | $ | 2,367,746 | $ | 6,118,631 | $ | — | $ | 8,486,377 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
157
Notes to Financial Statements | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 1,072,676,440 | $ | — | $ | — | $ | 1,072,676,440 | ||||||||
Money Market Funds | — | 30,860,556 | — | 30,860,556 | ||||||||||||
Total Assets | $ | 1,072,676,440 | $ | 30,860,556 | $ | — | $ | 1,103,536,996 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (63,169 | ) | $ | — | $ | — | $ | (63,169 | ) | ||||||
Total Liabilities | $ | (63,169 | ) | $ | — | $ | — | $ | (63,169 | ) |
AQR SMALL CAP MOMENTUM STYLE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 421,465,159 | $ | — | $ | — | (a) | $ | 421,465,159 | |||||||
Preferred Stocks | 40,828 | — | — | 40,828 | ||||||||||||
Rights | — | — | 9,792 | 9,792 | ||||||||||||
Securities Lending Collateral | — | 65,505,262 | — | 65,505,262 | ||||||||||||
Money Market Funds | — | 34,235,420 | — | 34,235,420 | ||||||||||||
Total Assets | $ | 421,505,987 | $ | 99,740,682 | $ | 9,792 | $ | 521,256,461 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (45,359 | ) | $ | — | $ | — | $ | (45,359 | ) | ||||||
Total Liabilities | $ | (45,359 | ) | $ | — | $ | — | $ | (45,359 | ) |
AQR INTERNATIONAL MOMENTUM STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 34,129,351 | $ | 292,660,624 | $ | 73,949 | $ | 326,863,924 | ||||||||
Rights† | — | 5,349 | — | 5,349 | ||||||||||||
Money Market Funds | — | 2,452,666 | — | 2,452,666 | ||||||||||||
Total Assets | $ | 34,129,351 | $ | 295,118,639 | $ | 73,949 | $ | 329,321,939 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (97,572 | ) | $ | — | $ | — | $ | (97,572 | ) | ||||||
Total Liabilities | $ | (97,572 | ) | $ | — | $ | — | $ | (97,572 | ) |
AQR EMERGING MOMENTUM STYLE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 1,922,577 | $ | 6,438,627 | $ | 12,244 | $ | 8,373,448 | ||||||||
Exchange-Traded Funds | 212,930 | — | — | 212,930 | ||||||||||||
Preferred Stocks† | 57,171 | — | — | 57,171 | ||||||||||||
Total Assets | $ | 2,192,678 | $ | 6,438,627 | $ | 12,244 | $ | 8,643,549 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
158
Notes to Financial Statements | March 31, 2015 (Unaudited) |
AQR TM LARGE CAP MOMENTUM STYLE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 127,411,419 | $ | — | $ | — | $ | 127,411,419 | ||||||||
Money Market Funds | — | 6,244,548 | — | 6,244,548 | ||||||||||||
Futures Contracts* | 11,604 | — | — | 11,604 | ||||||||||||
Total Assets | $ | 127,423,023 | $ | 6,244,548 | $ | — | $ | 133,667,571 |
AQR TM SMALL CAP MOMENTUM STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 19,705,074 | $ | — | $ | — | $ | 19,705,074 | ||||||||
Exchange-Traded Funds | 353,652 | — | — | 353,652 | ||||||||||||
Securities Lending Collateral | — | 3,926,470 | — | 3,926,470 | ||||||||||||
Money Market Funds | — | 263,795 | — | 263,795 | ||||||||||||
Total Assets | $ | 20,058,726 | $ | 4,190,265 | $ | — | $ | 24,248,991 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 7,604,755 | $ | 55,326,616 | $ | — | $ | 62,931,371 | ||||||||
Exchange-Traded Funds | 1,131,381 | — | — | 1,131,381 | ||||||||||||
Money Market Funds | — | 536,020 | — | 536,020 | ||||||||||||
Total Assets | $ | 8,736,136 | $ | 55,862,636 | $ | — | $ | 64,598,772 |
AQR LARGE CAP DEFENSIVE STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 150,071,164 | $ | — | $ | — | $ | 150,071,164 | ||||||||
Money Market Funds | — | 6,977,566 | — | 6,977,566 | ||||||||||||
Futures Contracts* | 28,301 | — | — | 28,301 | ||||||||||||
Total Assets | $ | 150,099,465 | $ | 6,977,566 | $ | — | $ | 157,077,031 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 5,047,007 | $ | 24,088,717 | $ | — | $ | 29,135,724 | ||||||||
Exchange-Traded Funds | 2,081,225 | — | — | 2,081,225 | ||||||||||||
Preferred Stocks† | — | 169,614 | — | 169,614 | ||||||||||||
Rights† | — | 495 | — | 495 | ||||||||||||
Money Market Funds | — | 266,455 | — | 266,455 | ||||||||||||
Total Assets | $ | 7,128,232 | $ | 24,525,281 | $ | — | $ | 31,653,513 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
159
Notes to Financial Statements | March 31, 2015 (Unaudited) |
AQR EMERGING DEFENSIVE STYLE FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 25,070,285 | $ | 59,308,694 | $ | — | $ | 84,378,979 | ||||||||
Exchange-Traded Funds | 2,788,393 | — | — | 2,788,393 | ||||||||||||
Preferred Stocks† | 117,824 | — | — | 117,824 | ||||||||||||
Securities Lending Collateral | — | 1,431,301 | — | 1,431,301 | ||||||||||||
Money Market Funds | — | 580,962 | — | 580,962 | ||||||||||||
Total Assets | $ | 27,976,502 | $ | 61,320,957 | $ | — | $ | 89,297,459 |
AQR GLOBAL EQUITY FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 170,264,905 | $ | 108,142,716 | $ | — | (a) | $ | 278,407,621 | |||||||
Preferred Stocks† | — | 417,810 | — | 417,810 | ||||||||||||
Rights† | — | 6,482 | — | 6,482 | ||||||||||||
Warrants† | — | 58 | — | 58 | ||||||||||||
Money Market Funds | — | 23,528,578 | — | 23,528,578 | ||||||||||||
Futures Contracts* | 193,132 | — | — | 193,132 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 2,065,082 | — | 2,065,082 | ||||||||||||
Total Return Swap Contracts* | — | 97,315 | — | 97,315 | ||||||||||||
Total Assets | $ | 170,458,037 | $ | 134,258,041 | $ | — | (a) | $ | 304,716,078 |
AQR INTERNATIONAL EQUITY FUND | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT (LEVEL 3) | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | — | $ | 717,021,900 | $ — | (a) | $ | 717,021,900 | ||||||||
Preferred Stocks† | — | 8,294,952 | — | 8,294,952 | ||||||||||||
Rights† | — | 22,982 | — | 22,982 | ||||||||||||
Warrants† | — | 229 | — | 229 | ||||||||||||
Money Market Funds | — | 63,817,576 | — | 63,817,576 | ||||||||||||
Futures Contracts* | 980,222 | — | — | 980,222 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 5,585,507 | — | 5,585,507 | ||||||||||||
Total Return Swap Contracts* | — | 294,127 | — | 294,127 | ||||||||||||
Total Assets | $ | 980,222 | $ | 795,037,273 | $ — | (a) | $ | 796,017,495 |
* | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are reported at the unrealized appreciation (depreciation) of the instrument. |
† | Please refer to the Schedule of Investments to view securities segregated by country. |
(a) | Security has zero value. |
There were no Level 3 securities held at period end, except where noted in AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for each Fund.
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 March 31, 2015, AQR Small Cap Multi-Style Fund and AQR Small Cap Momentum Style Fund had 2 investments and 1 investment, respectively, which transferred levels between 1 and 2. There were no transfers of investments between levels for any of the remaining Funds.
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
160
Notes to Financial Statements | March 31, 2015 (Unaudited) |
5. Federal Income Tax Matters
At March 31, 2015, the cost of 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 Large Cap Multi-Style Fund | $ | 584,643,585 | $ | 42,314,323 | $ | (11,176,287 | ) | $ | 31,138,036 | |||||||
AQR Small Cap Multi-Style Fund | 28,517,833 | 2,603,756 | (623,710 | ) | 1,980,046 | |||||||||||
AQR International Multi-Style Fund | 92,193,198 | 4,381,751 | (2,898,427 | ) | 1,483,324 | |||||||||||
AQR Emerging Multi-Style Fund | 39,796,016 | 1,467,187 | (1,239,917 | ) | 227,270 | |||||||||||
AQR TM Large Cap Multi-Style Fund | 5,566,324 | 51,964 | (66,972 | ) | (15,008 | ) | ||||||||||
AQR TM Small Cap Multi-Style Fund | 2,588,167 | 107,573 | (52,222 | ) | 55,351 | |||||||||||
AQR TM International Multi-Style Fund | 20,810,121 | 71,674 | (173,993 | ) | (102,319 | ) | ||||||||||
AQR TM Emerging Multi-Style Fund | 8,483,419 | 157,376 | (154,418 | ) | 2,958 | |||||||||||
AQR Large Cap Momentum Style Fund | 889,894,208 | 225,405,970 | (11,763,182 | ) | 213,642,788 | |||||||||||
AQR Small Cap Momentum Style Fund | 455,081,621 | 76,106,324 | (9,931,484 | ) | 66,174,840 | |||||||||||
AQR International Momentum Style Fund | 296,713,105 | 40,296,980 | (7,688,146 | ) | 32,608,834 | |||||||||||
AQR Emerging Momentum Style Fund | 8,472,877 | 632,596 | (461,924 | ) | 170,672 | |||||||||||
AQR TM Large Cap Momentum Style Fund | 117,373,850 | 18,357,791 | (2,075,674 | ) | 16,282,117 | |||||||||||
AQR TM Small Cap Momentum Style Fund | 21,173,797 | 3,774,190 | (698,996 | ) | 3,075,194 | |||||||||||
AQR TM International Momentum Style Fund | 61,136,735 | 6,205,089 | (2,743,052 | ) | 3,462,037 | |||||||||||
AQR Large Cap Defensive Style Fund | 126,436,397 | 31,488,257 | (875,924 | ) | 30,612,333 | |||||||||||
AQR International Defensive Style Fund | 30,569,767 | 3,351,117 | (2,267,371 | ) | 1,083,746 | |||||||||||
AQR Emerging Defensive Style Fund | 93,589,161 | 4,888,230 | (9,179,932 | ) | (4,291,702 | ) | ||||||||||
AQR Global Equity Fund | 248,345,293 | 60,023,539 | (6,008,283 | ) | 54,015,256 | |||||||||||
AQR International Equity Fund | 701,378,389 | 106,033,077 | (18,253,827 | ) | 87,779,250 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
As of September 30, 2014, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.
FUND | SHORT-TERM | LONG-TERM | ||||||
AQR Emerging Multi-Style Fund | $ | 97,528 | $ | 10,450 | ||||
AQR Emerging Momentum Style Fund | 11,010 | 2,643 | ||||||
AQR Emerging Defensive Style Fund | 53,557 | 32,559 |
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.
6. Investment Transactions
During the period ended March 31, 2015, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:
FUND | PURCHASES | SALES | ||||||
AQR Large Cap Multi-Style Fund | $ | 462,231,452 | $ | 106,047,191 | ||||
AQR Small Cap Multi-Style Fund | 34,022,642 | 19,708,187 | ||||||
AQR International Multi-Style Fund | 105,703,630 | 67,761,541 | ||||||
AQR Emerging Multi-Style Fund | 59,652,962 | 34,734,602 | ||||||
AQR TM Large Cap Multi-Style Fund | 7,543,233 | 2,637,274 | ||||||
AQR TM Small Cap Multi-Style Fund | 2,272,508 | 157,017 | ||||||
AQR TM International Multi-Style Fund | 29,218,485 | 13,607,472 | ||||||
AQR TM Emerging Multi-Style Fund | 9,978,279 | 2,572,141 | ||||||
AQR Large Cap Momentum Style Fund | 515,987,521 | 536,093,955 | ||||||
AQR Small Cap Momentum Style Fund | 225,292,202 | 155,653,330 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
161
Notes to Financial Statements | March 31, 2015 (Unaudited) |
FUND | PURCHASES | SALES | ||||||
AQR International Momentum Style Fund | $ | 185,609,958 | $ | 166,143,931 | ||||
AQR Emerging Momentum Style Fund | 7,027,748 | 5,634,073 | ||||||
AQR TM Large Cap Momentum Style Fund | 57,767,156 | 37,863,146 | ||||||
AQR TM Small Cap Momentum Style Fund | 13,376,931 | 10,429,175 | ||||||
AQR TM International Momentum Style Fund | 45,184,397 | 60,763,449 | ||||||
AQR Large Cap Defensive Style Fund | 6,242,342 | 121,603,935 | ||||||
AQR International Defensive Style Fund | 9,487,561 | 5,638,790 | ||||||
AQR Emerging Defensive Style Fund | 67,128,718 | 42,566,467 | ||||||
AQR Global Equity Fund | 80,932,783 | 81,261,113 | ||||||
AQR International Equity Fund | 264,653,658 | 290,929,378 |
7. 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 March 31, 2015, 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.
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 March 31, 2015.
ASSETS | LIABILITIES | |||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS | SWAPS AT VALUE | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | |||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | — | $ | — | $ | — | $ | 131,163 | $ | — | ||||||||||
AQR Large Cap Momentum Style Fund | — | — | — | 63,169 | — | |||||||||||||||
AQR Small Cap Momentum Style Fund | — | — | — | 45,359 | — | |||||||||||||||
AQR International Momentum Style Fund | — | — | — | 97,572 | — | |||||||||||||||
AQR TM Large Cap Momentum Style Fund | 11,604 | — | — | — | — | |||||||||||||||
AQR Large Cap Defensive Style Fund | 28,301 | — | — | — | — | |||||||||||||||
AQR Global Equity Fund | 479,217 | 97,315 | — | 286,085 | — | |||||||||||||||
AQR International Equity Fund | 1,571,995 | 294,127 | — | 591,773 | — | |||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||
AQR Global Equity Fund | — | — | 2,606,972 | — | 541,890 | |||||||||||||||
AQR International Equity Fund | — | — | 7,850,276 | — | 2,264,769 | |||||||||||||||
Netting: | ||||||||||||||||||||
AQR Global Equity Fund | (286,085 | ) | — | (541,890 | ) | (286,085 | ) | (541,890 | ) | |||||||||||
AQR International Equity Fund | (591,773 | ) | — | (2,264,769 | ) | (591,773 | ) | (2,264,769 | ) | |||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||
AQR Large Cap Multi-Style Fund | — | 131,163 | — | |||||||||||||||||
AQR Large Cap Momentum Style Fund | — | — | — | 63,169 | — | |||||||||||||||
AQR Small Cap Momentum Style Fund | — | — | — | 45,359 | — | |||||||||||||||
AQR International Momentum Style Fund | — | — | — | 97,572 | — | |||||||||||||||
AQR TM Large Cap Momentum Style Fund | 11,604 | — | — | — | — | |||||||||||||||
AQR Large Cap Defensive Style Fund | 28,301 | — | — | — | — | |||||||||||||||
AQR Global Equity Fund | 193,132 | 97,315 | 2,065,082 | — | — | |||||||||||||||
AQR International Equity Fund | 980,222 | 294,127 | 5,585,507 | — | — |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
162
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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 March 31, 2015:
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 | SWAP CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | FUTURES CONTRACTS | SWAP CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | 1,615,255 | $ | (131,163 | ) | $ | — | $ | — | |||||||||||||||
AQR Large Cap Momentum Style Fund | 606,739 | — | — | (11,844 | ) | — | — | |||||||||||||||||
AQR Small Cap Momentum Style Fund | (167,621 | ) | — | — | (25,269 | ) | — | — | ||||||||||||||||
AQR International Momentum Style Fund | 190,386 | — | — | (93,920 | ) | — | — | |||||||||||||||||
AQR TM Large Cap Momentum Style Fund | 473,488 | — | — | 11,604 | — | — | ||||||||||||||||||
AQR Large Cap Defensive Style Fund | 1,178,105 | — | — | 77,516 | — | — | ||||||||||||||||||
AQR Global Equity Fund | 3,886,119 | 935,795 | — | 335,755 | 368,528 | — | ||||||||||||||||||
AQR International Equity Fund | 12,718,240 | 2,969,736 | — | 1,751,595 | 1,182,407 | — | ||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
AQR Global Equity Fund | — | — | (4,527,981 | ) | — | — | 4,940,559 | |||||||||||||||||
AQR International Equity Fund | — | — | (19,066,421 | ) | — | — | 13,705,615 |
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of March 31, 2015.
AQR GLOBAL EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
Citibank | Forward Foreign Currency Exchange Contracts | $ | 1,302,069 | $ | (271,526 | ) | $ | 1,030,543 | $ | — | $ | (1,030,543 | ) | $ | — | |||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 1,304,903 | (270,364 | ) | 1,034,539 | — | (1,034,539 | ) | — | |||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 97,315 | — | 97,315 | — | 97,315 | ||||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 2,704,287 | (541,890 | ) | 2,162,397 | — | (2,065,082 | ) | 97,315 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
163
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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 | |||||||||||||||||||
Citibank | Forward Foreign Currency Exchange Contracts | $ | 271,526 | $ | (271,526 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 270,364 | (270,364 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 541,890 | (541,890 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $124,918. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $40,166. |
AQR INTERNATIONAL EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS | GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | FINANCIAL INSTRUMENTS | COLLATERAL RECEIVED (a) | NET AMOUNT | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 3,716,855 | $ | (1,059,498 | ) | $ | 2,657,357 | $ | — | $ | (2,657,357 | ) | $ | — | |||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 4,133,421 | (1,205,271 | ) | 2,928,150 | — | (2,928,150 | ) | — | |||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 294,127 | — | 294,127 | — | — | 294,127 | |||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 8,144,403 | (2,264,769 | ) | 5,879,634 | — | (5,585,507 | ) | 294,127 |
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 | |||||||||||||||||||
CitiBank | Forward Foreign Currency Exchange Contracts | $ | 1,059,498 | $ | (1,059,498 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 1,205,271 | (1,205,271 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 2,264,769 | (2,264,769 | ) | — | — | — | — |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $394,493. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,620,055. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
164
Notes to Financial Statements | March 31, 2015 (Unaudited) |
For the period ended March 31, 2015, the quarterly average values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
AQR LARGE CAP MULTI-STYLE FUND | AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | AQR FUND | AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||||||||||||||
Futures Contracts: | ||||||||||||||||||||||||||||||||
Average Notional Balance Long | $ | 21,794,500 | $ | 10,933,818 | $ | 3,387,107 | $ | 8,219,227 | $ | 2,108,960 | $ | 5,029,795 | $ | 54,696,974 | $ | 164,336,134 | ||||||||||||||||
Average Notional Balance Short | — | — | — | — | — | — | 25,654,893 | 74,179,656 | ||||||||||||||||||||||||
Ending Notional Balance Long | 19,165,440 | 22,256,640 | 7,493,400 | 5,764,185 | 2,576,000 | 5,461,120 | 62,141,111 | 171,260,921 | ||||||||||||||||||||||||
Ending Notional Balance Short | — | — | — | — | — | — | 36,400,338 | 72,936,594 | ||||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||||||
Average Settlement Value Purchased | — | — | — | — | — | — | 143,781,013 | 432,412,620 | ||||||||||||||||||||||||
Average Settlement Value Sold | — | — | — | — | — | — | 130,675,783 | 369,622,803 | ||||||||||||||||||||||||
Ending Value Purchased | — | — | — | — | — | — | 141,403,105 | 399,639,754 | ||||||||||||||||||||||||
Ending Value Sold | — | — | — | — | — | — | 122,938,168 | 325,577,010 | ||||||||||||||||||||||||
Total Return Swaps: | ||||||||||||||||||||||||||||||||
Average Notional Balance Long | — | — | — | — | — | — | 4,017,575 | 10,919,227 | ||||||||||||||||||||||||
Average Notional Balance Short | — | — | — | — | — | — | 8,144,705 | 39,803,798 | ||||||||||||||||||||||||
Ending Notional Balance Long | — | — | — | — | — | — | 4,579,325 | 8,054,286 | ||||||||||||||||||||||||
Ending Notional Balance Short | — | — | — | — | — | — | 2,048,041 | 28,114,018 |
* | Values as of each quarter end are used to calculate the average represented. |
8. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, 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 Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND | RATIO | |||
AQR Large Cap Multi-Style Fund | 0.30 | % | ||
AQR Small Cap Multi-Style Fund | 0.45 | |||
AQR International Multi-Style Fund | 0.40 | |||
AQR Emerging Multi-Style Fund | 0.55 | |||
AQR TM Large Cap Multi-Style Fund | 0.30 | |||
AQR TM Small Cap Multi-Style Fund | 0.45 | |||
AQR TM International Multi-Style Fund | 0.40 | |||
AQR TM Emerging Multi-Style Fund | 0.55 | |||
AQR Large Cap Momentum Style Fund | 0.25 | |||
AQR Small Cap Momentum Style Fund | 0.35 | |||
AQR International Momentum Style Fund | 0.35 | |||
AQR Emerging Momentum Style Fund | 0.50 | |||
AQR TM Large Cap Momentum Style Fund | 0.25 | † | ||
AQR TM Small Cap Momentum Style Fund | 0.35 | †† | ||
AQR TM International Momentum Style Fund | 0.35 | †† | ||
AQR Large Cap Defensive Style Fund | 0.25 | |||
AQR International Defensive Style Fund | 0.35 | |||
AQR Emerging Defensive Style Fund | 0.50 | |||
AQR Global Equity Fund | 0.40 | |||
AQR International Equity Fund | 0.45 |
† | Effective January 29, 2015, the Fund’s Advisory Fee was reduced from 0.30% to 0.25%. |
†† | Effective January 29, 2015, the Fund’s Advisory Fee was reduced from 0.40% to 0.35%. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
165
Notes to Financial Statements | March 31, 2015 (Unaudited) |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2016 for Class I, L, N, and R6 respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND | CLASS I | CLASS L | CLASS N | CLASS R6 | ||||||||||||
AQR Large Cap Multi-Style Fund | n/a | 0.54 | % | 0.79 | % | 0.44 | % | |||||||||
AQR Small Cap Multi-Style Fund | n/a | 0.75 | 1.00 | 0.65 | ||||||||||||
AQR International Multi-Style Fund | n/a | 0.70 | 0.95 | 0.60 | ||||||||||||
AQR Emerging Multi-Style Fund | n/a | 0.85 | 1.10 | 0.75 | ||||||||||||
AQR TM Large Cap Multi-Style Fund* | n/a | 0.54 | 0.79 | 0.44 | ||||||||||||
AQR TM Small Cap Multi-Style Fund* | n/a | 0.75 | 1.00 | 0.65 | ||||||||||||
AQR TM International Multi-Style Fund* | n/a | 0.70 | 0.95 | 0.60 | ||||||||||||
AQR TM Emerging Multi-Style Fund* | n/a | 0.85 | 1.10 | 0.75 | ||||||||||||
AQR Large Cap Momentum Style Fund | n/a | 0.49 | 0.74 | 0.39 | ||||||||||||
AQR Small Cap Momentum Style Fund | n/a | 0.65 | 0.90 | 0.55 | ||||||||||||
AQR International Momentum Style Fund | n/a | 0.65 | 0.90 | 0.55 | ||||||||||||
AQR Emerging Momentum Style Fund | n/a | 0.80 | 1.05 | 0.70 | ||||||||||||
AQR TM Large Cap Momentum Style Fund | n/a | 0.49 | 0.74 | 0.39 | ||||||||||||
AQR TM Small Cap Momentum Style Fund | n/a | 0.65 | 0.90 | 0.55 | ||||||||||||
AQR TM International Momentum Style Fund | n/a | 0.65 | 0.90 | 0.55 | ||||||||||||
AQR Large Cap Defensive Style Fund | 0.49 | % | n/a | 0.74 | 0.39 | |||||||||||
AQR International Defensive Style Fund | 0.65 | n/a | 0.90 | 0.55 | ||||||||||||
AQR Emerging Defensive Style Fund | 0.80 | n/a | 1.05 | 0.70 | ||||||||||||
AQR Global Equity Fund | 0.90 | n/a | 1.15 | 0.70 | ||||||||||||
AQR International Equity Fund | 0.95 | n/a | 1.20 | 0.75 |
* | This arrangement will continue at least through January 28, 2017 for Class L, N and R6. |
Prior to January 28, 2015, the Fee Waiver for the AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Global Equity Fund and AQR International Equity Fund was as follows:
FUND | CLASS I | CLASS L | CLASS N | CLASS R6 | ||||||||||||
AQR TM Large Cap Momentum Style Fund | n/a | 0.54 | % | 0.79 | % | 0.44 | % | |||||||||
AQR TM Small Cap Momentum Style Fund | n/a | 0.70 | 0.95 | 0.60 | ||||||||||||
AQR TM International Momentum Style Fund | n/a | 0.70 | 0.95 | 0.60 | ||||||||||||
AQR Global Equity Fund | no change | n/a | 1.20 | no change | ||||||||||||
AQR International Equity Fund | no change | n/a | 1.25 | no change |
For the period ended March 31, 2015 the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:
AQR LARGE CAP | AQR SMALL CAP MULTI-STYLE FUND | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||
Waivers and reimbursements: | ||||||||||||||||
Investment advisory fees and shareholder servicing fees waived | $ | 91,457 | $ | 51,072 | $ | 73,485 | $ | 63,112 | ||||||||
Expense reimbursements | — | 6,579 | — | 33,619 | ||||||||||||
Total | $ | 91,457 | $ | 57,651 | $ | 73,485 | $ | 96,731 | ||||||||
AQR TM LARGE CAP MULTI- STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
Waivers and reimbursements: | ||||||||||||||||
Investment advisory fees and shareholder servicing fees waived | $ | 1,590 | $ | 1,609 | $ | 2,636 | $ | 4,927 | ||||||||
Expense reimbursements | 20,149 | 20,343 | 24,796 | 23,807 | ||||||||||||
Total | $ | 21,739 | $ | 21,952 | $ | 27,432 | $ | 28,734 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
166
Notes to Financial Statements | March 31, 2015 (Unaudited) |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR EMERGING MOMENTUM STYLE FUND | |||||||||||||
Waivers and reimbursements: | ||||||||||||||||
Investment advisory fees and shareholder servicing fees waived | $ | 356,752 | $ | 38,074 | $ | 111,379 | $ | 25,977 | ||||||||
Expense reimbursements | — | — | — | 92,173 | ||||||||||||
Total | $ | 356,752 | $ | 38,074 | $ | 111,379 | $ | 118,150 | ||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR TM SMALL CAP MOMENTUM STYLE FUND | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | |||||||||||||
Waivers and reimbursements: | ||||||||||||||||
Investment advisory fees and shareholder servicing fees waived | $ | 60,157 | $ | 46,549 | $ | 60,313 | $ | 96,330 | ||||||||
Expense reimbursements | — | 15,303 | — | — | ||||||||||||
Total | $ | 60,157 | $ | 61,852 | $ | 60,313 | $ | 96,330 | ||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | ||||||||||
Waivers and reimbursements: | ||||||||||||
Investment advisory fees and shareholder servicing fees waived | $ | 72,705 | $ | 104,601 | $ | 7,506 | ||||||
Expense reimbursements | 4,371 | — | — | |||||||||
Total | $ | 77,076 | $ | 104,601 | $ | 7,506 |
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 March 31, 2015, 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 March 31, 2015 are as follows:
FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED MARCH 31, 2015 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2015 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING | ||||||||||||||||||||||
DECEMBER 31, 2015 | SEPTEMBER 30, 2016 | 2017 | 2018 | |||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 48,311 | $ | 258,465 | $ | — | $ | 81,226 | $ | 128,928 | $ | 48,311 | ||||||||||||
Class N | 14,188 | 55,382 | — | 21,410 | 19,784 | 14,188 | ||||||||||||||||||
Class R6 | 28,958 | 31,045 | — | — | 2,087 | 28,958 | ||||||||||||||||||
Totals | $ | 91,457 | $ | 344,892 | $ | — | $ | 102,636 | $ | 150,799 | $ | 91,457 | ||||||||||||
AQR SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 48,282 | $ | 197,746 | $ | — | $ | 58,782 | $ | 90,682 | $ | 48,282 | ||||||||||||
Class N | 8,679 | 92,216 | — | 45,218 | 38,319 | 8,679 | ||||||||||||||||||
Class R6 | 690 | 1,065 | — | — | 375 | 690 | ||||||||||||||||||
Totals | $ | 57,651 | $ | 291,027 | $ | — | $ | 104,000 | $ | 129,376 | $ | 57,651 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
167
Notes to Financial Statements | March 31, 2015 (Unaudited) |
FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED MARCH 31, 2015 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2015 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING | ||||||||||||||||||||||
DECEMBER 31, 2015 | SEPTEMBER 30, 2016 | 2017 | 2018 | |||||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 31,004 | $ | 262,767 | $ | — | $ | 85,481 | $ | 146,282 | $ | 31,004 | ||||||||||||
Class N | 2,059 | 60,528 | — | 35,097 | 23,372 | 2,059 | ||||||||||||||||||
Class R6 | 40,422 | 45,238 | — | — | 4,816 | 40,422 | ||||||||||||||||||
Totals | $ | 73,485 | $ | 368,533 | $ | — | $ | 120,578 | $ | 174,470 | $ | 73,485 | ||||||||||||
AQR EMERGING MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 77,907 | $ | 172,800 | $ | — | $ | — | $ | 94,893 | $ | 77,907 | ||||||||||||
Class N | 15,171 | 36,494 | — | — | 21,323 | 15,171 | ||||||||||||||||||
Class R6 | 3,653 | 4,530 | — | — | 877 | 3,653 | ||||||||||||||||||
Totals | $ | 96,731 | $ | 213,824 | $ | — | $ | — | $ | 117,093 | $ | 96,731 | ||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 2,740 | $ | 2,740 | $ | — | $ | — | $ | — | $ | 2,740 | ||||||||||||
Class N | 874 | 874 | — | — | — | 874 | ||||||||||||||||||
Class R6 | 18,125 | 18,125 | — | — | — | 18,125 | ||||||||||||||||||
Totals | $ | 21,739 | $ | 21,739 | $ | — | $ | — | $ | — | $ | 21,739 | ||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 1,249 | $ | 1,249 | $ | — | $ | — | $ | — | $ | 1,249 | ||||||||||||
Class N | 1,090 | 1,090 | — | — | — | 1,090 | ||||||||||||||||||
Class R6 | 19,613 | 19,613 | — | — | — | 19,613 | ||||||||||||||||||
Totals | $ | 21,952 | $ | 21,952 | $ | — | $ | — | $ | — | $ | 21,952 | ||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 2,136 | $ | 2,136 | $ | — | $ | — | $ | — | $ | 2,136 | ||||||||||||
Class N | 1,170 | 1,170 | — | — | — | 1,170 | ||||||||||||||||||
Class R6 | 24,126 | 24,126 | — | — | — | 24,126 | ||||||||||||||||||
Totals | $ | 27,432 | $ | 27,432 | $ | — | $ | — | $ | — | $ | 27,432 | ||||||||||||
AQR TM EMERGING MULTI-STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 6,067 | $ | 6,067 | $ | — | $ | — | $ | — | $ | 6,067 | ||||||||||||
Class N | 5,440 | 5,440 | — | — | — | 5,440 | ||||||||||||||||||
Class R6 | 17,227 | 17,227 | — | — | — | 17,227 | ||||||||||||||||||
Totals | $ | 28,734 | $ | 28,734 | $ | — | $ | — | $ | — | $ | 28,734 | ||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 316,118 | $ | 1,422,555 | $ | 334,720 | $ | 268,782 | $ | 502,935 | $ | 316,118 | ||||||||||||
Class N | 38,182 | 152,525 | 1,156 | 49,723 | 63,464 | 38,182 | ||||||||||||||||||
Class R6 | 2,452 | 2,472 | — | — | 20 | 2,452 | ||||||||||||||||||
Totals | $ | 356,752 | $ | 1,577,552 | $ | 335,876 | $ | 318,505 | $ | 566,419 | $ | 356,752 | ||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 37,999 | $ | 226,525 | $ | 74,142 | $ | 48,178 | $ | 66,206 | $ | 37,999 | ||||||||||||
Class N | — | 18,674 | — | 11,514 | 7,160 | — | ||||||||||||||||||
Class R6 | 75 | 92 | — | — | 17 | 75 | ||||||||||||||||||
Totals | $ | 38,074 | $ | 245,291 | $ | 74,142 | $ | 59,692 | $ | 73,383 | $ | 38,074 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
168
Notes to Financial Statements | March 31, 2015 (Unaudited) |
FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED MARCH 31, 2015 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2015 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING | ||||||||||||||||||||||
DECEMBER 31, 2015 | SEPTEMBER 30, 2016 | 2017 | 2018 | |||||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 92,718 | $ | 517,141 | $ | 140,213 | $ | 121,275 | $ | 162,935 | $ | 92,718 | ||||||||||||
Class N | 17,501 | 79,395 | 520 | 20,883 | 40,491 | 17,501 | ||||||||||||||||||
Class R6 | 1,160 | 1,179 | — | — | 19 | 1,160 | ||||||||||||||||||
Totals | $ | 111,379 | $ | 597,715 | $ | 140,733 | $ | 142,158 | $ | 203,445 | $ | 111,379 | ||||||||||||
AQR EMERGING MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 99,967 | $ | 202,894 | $ | — | $ | — | $ | 102,927 | $ | 99,967 | ||||||||||||
Class N | 16,738 | 36,723 | — | — | 19,986 | 16,738 | ||||||||||||||||||
Class R6 | 1,445 | 2,617 | — | — | 1,172 | 1,445 | ||||||||||||||||||
Totals | $ | 118,150 | $ | 242,234 | $ | — | $ | — | $ | 124,085 | $ | 118,150 | ||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 53,368 | $ | 353,524 | $ | 123,116 | $ | 75,506 | $ | 101,535 | $ | 53,368 | ||||||||||||
Class N | 41 | 3,531 | 61 | 2,381 | 1,048 | 41 | ||||||||||||||||||
Class R6 | 6,748 | 6,801 | — | — | 53 | 6,748 | ||||||||||||||||||
Totals | $ | 60,157 | $ | 363,856 | $ | 123,177 | $ | 77,887 | $ | 102,636 | $ | 60,157 | ||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 61,093 | $ | 379,053 | $ | 127,875 | $ | 80,939 | $ | 109,145 | $ | 61,093 | ||||||||||||
Class N | 401 | 5,469 | 52 | 3,096 | 1,920 | 401 | ||||||||||||||||||
Class R6 | 358 | 592 | — | — | 234 | 358 | ||||||||||||||||||
Totals | $ | 61,852 | $ | 385,114 | $ | 127,927 | $ | 84,035 | $ | 111,299 | $ | 61,852 | ||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||||||
Class L | $ | 53,447 | $ | 439,755 | $ | 160,934 | $ | 101,643 | $ | 123,731 | $ | 53,447 | ||||||||||||
Class N | 97 | 4,147 | 63 | 2,878 | 1,109 | 97 | ||||||||||||||||||
Class R6 | 6,769 | 6,844 | — | — | 75 | 6,769 | ||||||||||||||||||
Totals | $ | 60,313 | $ | 450,746 | $ | 160,997 | $ | 104,521 | $ | 124,915 | $ | 60,313 | ||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 83,132 | $ | 541,500 | $ | 65,338 | $ | 141,173 | $ | 251,857 | $ | 83,132 | ||||||||||||
Class N | 13,132 | 127,596 | 38,829 | 30,923 | 44,712 | 13,132 | ||||||||||||||||||
Class R6 | 66 | 77 | — | — | 11 | 66 | ||||||||||||||||||
Totals | $ | 96,330 | $ | 669,173 | $ | 104,167 | $ | 172,096 | $ | 296,580 | $ | 96,330 | ||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 76,211 | $ | 418,903 | $ | 79,941 | $ | 119,897 | $ | 142,854 | $ | 76,211 | ||||||||||||
Class N | 620 | 81,148 | 43,475 | 24,012 | 13,041 | 620 | ||||||||||||||||||
Class R6 | 245 | 296 | — | — | 51 | 245 | ||||||||||||||||||
Totals | $ | 77,076 | $ | 500,347 | $ | 123,416 | $ | 143,909 | $ | 155,946 | $ | 77,076 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
169
Notes to Financial Statements | March 31, 2015 (Unaudited) |
FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED MARCH 31, 2015 | TOTAL POTENTIAL RECOUPMENT AMOUNT MARCH 31, 2015 | POTENTIAL RECOUPMENT AMOUNTS EXPIRING | ||||||||||||||||||||||
DECEMBER 31, 2015 | SEPTEMBER 30, 2016 | 2017 | 2018 | |||||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND | ||||||||||||||||||||||||
Class I | $ | 103,337 | $ | 495,574 | $ | 91,760 | $ | 107,052 | $ | 193,425 | $ | 103,337 | ||||||||||||
Class N | 1,146 | 81,201 | 32,715 | 30,375 | 16,965 | 1,146 | ||||||||||||||||||
Class R6 | 118 | 167 | — | — | 49 | 118 | ||||||||||||||||||
Totals | $ | 104,601 | $ | 576,942 | $ | 124,475 | $ | 137,427 | $ | 210,439 | $ | 104,601 | ||||||||||||
AQR GLOBAL EQUITY FUND | ||||||||||||||||||||||||
Class I | $ | — | $ | 23,872 | $ | 9,671 | $ | 9,725 | $ | 4,476 | $ | — | ||||||||||||
Class N | — | 23,058 | 9,936 | 8,886 | 4,236 | — | ||||||||||||||||||
Class R6 | 7,506 | 23,285 | — | — | 15,779 | 7,506 | ||||||||||||||||||
Totals | $ | 7,506 | $ | 70,215 | $ | 19,607 | $ | 18,611 | $ | 24,491 | $ | 7,506 |
During the period ended March 31, 2015, the Funds recouped amounts as follows:
FUND | CLASS L | CLASS N | ||||||
AQR Small Cap Momentum Style Fund | — | $ | 979 | |||||
AQR Global Equity Fund | $ | 185 | 68 |
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent, Custodian and Securities Lending Agent.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. 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.
10. Shareholder Servicing Agreements
Pursuant to a Shareholder Services Agreement, between the Trust 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 prospectus 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 L | CLASS N | CLASS R6 | ||||||||||||
AQR Large Cap Multi-Style Fund | n/a | 0.15 | % | 0.15 | % | 0.15 | % | |||||||||
AQR Small Cap Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR International Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR Emerging Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR TM Large Cap Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR TM Small Cap Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR TM International Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR TM Emerging Multi-Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR Large Cap Momentum Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR Small Cap Momentum Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR International Momentum Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR Emerging Momentum Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR TM Large Cap Momentum Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR TM Small Cap Momentum Style Fund | n/a | 0.15 | 015 | 0.15 | ||||||||||||
AQR TM International Momentum Style Fund | n/a | 0.15 | 0.15 | 0.15 | ||||||||||||
AQR Large Cap Defensive Style Fund | 0.15 | % | n/a | 0.15 | 0.15 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
170
Notes to Financial Statements | March 31, 2015 (Unaudited) |
FUND | CLASS I | CLASS L | CLASS N | CLASS R6 | ||||||||||||
AQR International Defensive Style Fund | 0.15 | % | n/a | 0.15 | % | 0.15 | % | |||||||||
AQR Emerging Defensive Style Fund | 0.15 | n/a | 0.15 | 0.15 | ||||||||||||
AQR Global Equity Fund | 0.30 | n/a | 0.30 | 0.20 | ||||||||||||
AQR International Equity Fund | 0.30 | n/a | 0.30 | 0.20 |
Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the period ended March 31, 2015, were as follows:
FUND | CLASS I | CLASS L | CLASS N | CLASS R6 | ||||||||||||
AQR Large Cap Multi-Style Fund | n/a | $ | 227,116 | $ | 27,884 | $ | 49,701 | |||||||||
AQR Small Cap Multi-Style Fund | n/a | 10,571 | 2,045 | 152 | ||||||||||||
AQR International Multi-Style Fund | n/a | 18,993 | 1,449 | 24,039 | ||||||||||||
AQR Emerging Multi-Style Fund | n/a | 11,693 | 2,113 | 1,040 | ||||||||||||
AQR TM Large Cap Multi-Style Fund | n/a | 77 | 20 | 433 | ||||||||||||
AQR TM Small Cap Multi-Style Fund | n/a | 23 | 20 | 359 | ||||||||||||
AQR TM International Multi-Style Fund | n/a | 57 | 20 | 642 | ||||||||||||
AQR TM Emerging Multi-Style Fund | n/a | 224 | 197 | 634 | ||||||||||||
AQR Large Cap Momentum Style Fund | n/a | 737,179 | 61,431 | 4,755 | ||||||||||||
AQR Small Cap Momentum Style Fund | n/a | 253,628 | 6,078 | 259 | ||||||||||||
AQR International Momentum Style Fund | n/a | 207,953 | 30,279 | 2,682 | ||||||||||||
AQR Emerging Momentum Style Fund | n/a | 5,051 | 874 | 70 | ||||||||||||
AQR TM Large Cap Momentum Style Fund | n/a | 81,291 | 111 | 7,011 | ||||||||||||
AQR TM Small Cap Momentum Style Fund | n/a | 12,964 | 99 | 76 | ||||||||||||
AQR TM International Momentum Style Fund | n/a | 43,884 | 82 | 4,030 | ||||||||||||
AQR Large Cap Defensive Style Fund | $ | 133,037 | n/a | 16,131 | 80 | |||||||||||
AQR International Defensive Style Fund | 21,596 | n/a | 145 | 71 | ||||||||||||
AQR Emerging Defensive Style Fund | 61,495 | n/a | 473 | 67 | ||||||||||||
AQR Global Equity Fund | 3,583 | n/a | 2,251 | 77,346 | ||||||||||||
AQR International Equity Fund | 399,542 | n/a | 58,499 | 91,625 |
11. Capital Transactions
Investors may purchase shares of a Fund at its net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Except as noted below, neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge purchase and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Class I, Class L and Class N Shares.
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.
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
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
171
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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.
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 27, 2015 and terminating on February 26, 2016, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. The line of credit is in the amount of $225,000,000. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. For the period ended March 31, 2015, 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 (between 300-500% per 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,
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
172
Notes to Financial Statements | March 31, 2015 (Unaudited) |
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 27, 2015, the line of credit available was $200,000,000, subject to substantially similar terms.
Average borrowings under the agreement during the period ended March 31, 2015 were as follows:
FUND | AVERAGE BORROWINGS | AVERAGE INTEREST RATE % | NUMBER OF DAYS OUTSTANDING | INTEREST PAID | ||||||||||||
AQR Large Cap Momentum Style Fund | $ | 10,000,000 | 1.17 | % | 3 | $ | 972 | |||||||||
AQR Small Cap Momentum Style Fund | 6,000,000 | 1.17 | 3 | 583 | ||||||||||||
AQR TM International Momentum Style Fund | 500,000 | 1.17 | 5 | 81 | ||||||||||||
AQR Large Cap Defensive Style Fund | 4,000,000 | 1.17 | 3 | 389 |
Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.
14. Principal Ownership
As of March 31, 2015, 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 Emerging Multi-Style Fund* | 1 | 12.81 | % | |||||
AQR TM Large Cap Multi-Style Fund* | 1 | 40.66 | ||||||
AQR TM Small Cap Multi-Style Fund* | 1 | 93.74 | ||||||
AQR TM International Multi-Style Fund* | 1 | 12.93 | ||||||
AQR TM Emerging Multi-Style Fund* | 1 | 66.30 | ||||||
AQR Large Cap Momentum Style Fund | 1 | 22.82 | ||||||
AQR International Momentum Style Fund | 1 | 32.89 | ||||||
AQR Emerging Momentum Style Fund* | 1 | 57.93 | ||||||
AQR Global Equity Fund | 3 | 96.74 | ||||||
AQR International Equity Fund | 3 | 59.76 |
* | 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. New Accounting Pronouncements
In May 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (ASU) 2015-07 Fair Value Measurement (Topic 820)—Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), the amendment removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the Net Asset Value per Share practical expedient. The Funds are required to apply ASU 2015-07 for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. Management is currently evaluating the impact.
In June 2014, the FASB 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 fiscal years. Management has evaluated the impact and does not believe the adoption will have a material impact on the Funds’ financial statements.
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
173
Notes to Financial Statements | March 31, 2015 (Unaudited) |
16. Subsequent Events
Share Class Change
Effective April 1, 2015, the Board of Trustees of the AQR Funds approved the reclassification of Class L shares as Class I shares for the following Funds: AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, and AQR TM International Momentum Style Fund.
Investment Advisory and Other Agreements
Subsequent to the fiscal year end, the Board of Trustees of the Trust approved (i) an amendment to the Investment Advisory Agreement of the AQR Funds, effective April 1, 2015, removing the AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund (collectively, the “Style Funds”) effective April 1, 2015 (the “Amended Investment Advisory Agreement”); and (ii) an amendment to the Investment Management Agreement of the AQR Funds, effective April 1, 2015, reflecting: (a) the addition of the Style Funds, (b) for the Style Funds, the bundling of advisory services and shareholder servicing into a single agreement with a single contractual management fee (combining services that had been provided separately under the Investment Advisory Agreement and Shareholder Services Agreement prior to April 1, 2015), and (c) a reduction in the total fees payable to AQR for advisory and shareholder services by each of the Style Funds (the “Amended Investment Management Agreement” and, together with the Amended Investment Advisory Agreement, the “Amendments”). Under the Amendments, the fee structure for the Funds was revised as follows, effective April 1, 2015:
BEFORE AMENDMENTS | AFTER AMENDMENTS | |||||||||||||||
ADVISORY FEE INVESTMENT ADVISORY AGREEMENT) | SHAREHOLDER SERVICES FEE (UNDER SEPARATE SHAREHOLDER SERVICES AGREEMENT) | INVESTMENT (UNDER INVESTMENT MANAGEMENT AGREEMENT)1 | SHAREHOLDER (UNDER SEPARATE | |||||||||||||
AQR Large Cap Multi-Style Fund | 0.30 | % | 0.15 | % | 0.30 | % | None | |||||||||
AQR Small Cap Multi-Style Fund | 0.45 | 0.15 | 0.50 | None | ||||||||||||
AQR International Multi-Style Fund | 0.40 | 0.15 | 0.45 | None | ||||||||||||
AQR Emerging Multi-Style Fund | 0.55 | 0.15 | 0.60 | None | ||||||||||||
AQR Large Cap Momentum Style Fund | 0.25 | 0.15 | 0.25 | None | ||||||||||||
AQR Small Cap Momentum Style Fund | 0.35 | 0.15 | 0.45 | None | ||||||||||||
AQR International Momentum Style Fund | 0.35 | 0.15 | 0.40 | None | ||||||||||||
AQR Emerging Momentum Style Fund | 0.50 | 0.15 | 0.55 | None | ||||||||||||
AQR TM Large Cap Momentum Style Fund | 0.25 | 2 | 0.15 | 2 | 0.25 | None | ||||||||||
AQR TM Small Cap Momentum Style Fund | 0.35 | 3 | 0.15 | 3 | 0.45 | None | ||||||||||
AQR TM International Momentum Style Fund | 0.35 | 3 | 0.15 | 3 | 0.40 | None | ||||||||||
AQR Large Cap Defensive Style Fund | 0.25 | 0.15 | 0.25 | None | ||||||||||||
AQR International Defensive Style Fund | 0.35 | 0.15 | 0.40 | None | ||||||||||||
AQR Emerging Defensive Style Fund | 0.50 | 0.15 | 0.55 | None |
1 | Reflects the fee under the Investment Management Agreement under which AQR provides a combination of advisory and shareholder services. |
2 | For the period of January 29, 2015 to March 31, 2015. Prior to January 29, 2015 the Fund’s Advisory Fee was 0.30% and the shareholder services fee was 0.15%. |
3 | For the period of January 29, 2015 to March 31, 2015. Prior to January 29, 2015 the Fund’s Advisory Fee was 0.40% and the shareholder services fee was 0.15%. |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
174
Notes to Financial Statements | March 31, 2015 (Unaudited) |
Effective April 1, 2015 the Trust and the Advisor have entered into a new Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2017 for Class I, N, and R6 respectively.
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Large Cap Multi-Style Fund | 0.45 | % | 0.70 | % | 0.35 | % | ||||||
AQR Small Cap Multi-Style Fund | 0.65 | 0.90 | 0.55 | |||||||||
AQR International Multi-Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR Emerging Multi-Style Fund | 0.75 | 1.00 | 0.65 | |||||||||
AQR TM Large Cap Multi-Style Fund | 0.45 | 0.70 | 0.35 | |||||||||
AQR TM Small Cap Multi-Style Fund | 0.65 | 0.90 | 0.55 | |||||||||
AQR TM International Multi-Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR TM Emerging Multi-Style Fund | 0.75 | 1.00 | 0.65 | |||||||||
AQR Large Cap Momentum Style Fund | 0.40 | 0.65 | 0.30 | |||||||||
AQR Small Cap Momentum Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR International Momentum Style Fund | 0.55 | 0.80 | 0.45 | |||||||||
AQR Emerging Momentum Style Fund | 0.70 | 0.95 | 0.60 | |||||||||
AQR TM Large Cap Momentum Style Fund | 0.40 | 0.65 | 0.30 | |||||||||
AQR TM Small Cap Momentum Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR TM International Momentum Style Fund | 0.55 | 0.80 | 0.45 | |||||||||
AQR Large Cap Defensive Style Fund | 0.40 | 0.65 | 0.30 | |||||||||
AQR International Defensive Style Fund | 0.55 | 0.80 | 0.45 | |||||||||
AQR Emerging Defensive Style Fund | 0.70 | 0.95 | 0.60 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
175
Fund Expense Examples (Unaudited) |
As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ended 3/31/15” 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 3/31/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/15 | |||||||||||||
AQR Large Cap Multi-Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,066.00 | 0.54 | % | $2.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.24 | 0.54 | % | $2.72 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,064.80 | 0.79 | % | $4.07 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.99 | 0.79 | % | $3.98 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,065.70 | 0.44 | % | $2.27 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.74 | 0.44 | % | $2.22 | |||||||||||
AQR Small Cap Multi-Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,120.30 | 0.75 | % | $3.96 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.19 | 0.75 | % | $3.78 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,119.00 | 1.00 | % | $5.28 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.95 | 1.00 | % | $5.04 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,120.60 | 0.65 | % | $3.44 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.69 | 0.65 | % | $3.28 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
176
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/15 | |||||||||||||
AQR International Multi-Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $989.10 | 0.70 | % | $3.47 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.44 | 0.70 | % | $3.53 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $988.40 | 0.95 | % | $4.71 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.19 | 0.95 | % | $4.78 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $990.20 | 0.60 | % | $2.98 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.94 | 0.60 | % | $3.02 | |||||||||||
AQR Emerging Multi-Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.60 | 0.85 | % | $4.24 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.69 | 0.85 | % | $4.28 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $999.60 | 1.10 | % | $5.48 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.45 | 1.10 | % | $5.54 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.40 | 0.75 | % | $3.74 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.19 | 0.75 | % | $3.78 | |||||||||||
AQR TM Large Cap Multi-Style Fund (1) | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,002.00 | 0.54 | % | $0.71(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,022.24 | 0.54 | % | $2.72 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,002.00 | 0.79 | % | $1.04(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,020.99 | 0.79 | % | $3.98 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,003.00 | 0.44 | % | $0.58(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,022.74 | 0.44 | % | $2.22 | |||||||||||
AQR TM Small Cap Multi-Style Fund (1) | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.00 | 0.75 | % | $1.00(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,021.19 | 0.75 | % | $3.78 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.00 | 1.00 | % | $1.33(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,019.95 | 1.00 | % | $5.04 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,030.00 | 0.65 | % | $0.87(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,021.69 | 0.65 | % | $3.28 | |||||||||||
AQR TM International Multi-Style Fund (1) | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,021.00 | 0.70 | % | $0.93(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,021.44 | 0.70 | % | $3.53 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,021.00 | 0.95 | % | $1.26(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,020.19 | 0.95 | % | $4.78 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,022.00 | 0.60 | % | $0.80(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,021.94 | 0.60 | % | $3.02 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
177
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/15 | |||||||||||||
AQR TM Emerging Multi-Style Fund (1) | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.00 | 0.85 | % | $1.12(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,020.69 | 0.85 | % | $4.28 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $999.00 | 1.10 | % | $1.45(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,019.45 | 1.10 | % | $5.54 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.00 | 0.75 | % | $0.99(a | ) | ||||||||||
Hypothetical Return | $1,000.00 | $1,021.19 | 0.75 | % | $3.78 | |||||||||||
AQR Large Cap Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,070.50 | 0.49 | % | $2.53 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.49 | 0.49 | % | $2.47 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,068.70 | 0.74 | % | $3.82 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.24 | 0.74 | % | $3.73 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,070.70 | 0.39 | % | $2.01 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.99 | 0.39 | % | $1.97 | |||||||||||
AQR Small Cap Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,144.10 | 0.65 | % | $3.47 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.69 | 0.65 | % | $3.28 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,142.30 | 0.90 | % | $4.81 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.44 | 0.90 | % | $4.53 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,144.60 | 0.55 | % | $2.94 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.19 | 0.55 | % | $2.77 | |||||||||||
AQR International Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $998.30 | 0.65 | % | $3.24 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.69 | 0.65 | % | $3.28 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $997.00 | 0.90 | % | $4.48 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.44 | 0.90 | % | $4.53 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $999.40 | 0.55 | % | $2.74 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.19 | 0.55 | % | $2.77 | |||||||||||
AQR Emerging Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $992.70 | 0.80 | % | $3.97 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.94 | 0.80 | % | $4.03 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $991.90 | 1.05 | % | $5.21 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.70 | 1.05 | % | $5.29 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $993.90 | 0.70 | % | $3.48 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.44 | 0.70 | % | $3.53 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
178
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/15 | |||||||||||||
AQR TM Large Cap Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,065.30 | 0.52 | % | $2.68 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.34 | 0.52 | % | $2.62 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,063.50 | 0.77 | % | $3.96 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.09 | 0.77 | % | $3.88 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,065.40 | 0.39 | % | $2.01 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.99 | 0.39 | % | $1.97 | |||||||||||
AQR TM Small Cap Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $1,142.40 | 0.68 | % | $3.63 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.54 | 0.68 | % | $3.43 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,141.10 | 0.93 | % | $4.96 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.29 | 0.93 | % | $4.68 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,143.50 | 0.58 | % | $3.10 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.04 | 0.58 | % | $2.92 | |||||||||||
AQR TM International Momentum Style Fund | ||||||||||||||||
Class L | ||||||||||||||||
Actual Return | $1,000.00 | $995.50 | 0.69 | % | $3.43 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.49 | 0.69 | % | $3.48 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $994.80 | 0.93 | % | $4.63 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.29 | 0.93 | % | $4.68 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $996.80 | 0.55 | % | $2.74 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.19 | 0.55 | % | $2.77 | |||||||||||
AQR Large Cap Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,111.50 | 0.49 | % | $2.58 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.49 | 0.49 | % | $2.47 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,110.50 | 0.74 | % | $3.89 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.24 | 0.74 | % | $3.73 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,111.80 | 0.39 | % | $2.05 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.99 | 0.39 | % | $1.97 | |||||||||||
AQR International Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,004.20 | 0.65 | % | $3.25 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.69 | 0.65 | % | $3.28 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,002.20 | 0.90 | % | $4.49 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.44 | 0.90 | % | $4.53 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,004.60 | 0.55 | % | $2.75 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.19 | 0.55 | % | $2.77 |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
179
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 3/31/15 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 3/31/15 | |||||||||||||
AQR Emerging Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $927.80 | 0.80 | % | $3.85 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.94 | 0.80 | % | $4.03 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $927.30 | 1.05 | % | $5.05 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.70 | 1.05 | % | $5.29 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $928.10 | 0.70 | % | $3.36 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.44 | 0.70 | % | $3.53 | |||||||||||
AQR Global Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,064.30 | 0.90 | % | $4.63 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.44 | 0.90 | % | $4.53 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,062.70 | 1.18 | % | $6.07 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.05 | 1.18 | % | $5.94 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,064.40 | 0.70 | % | $3.60 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.44 | 0.70 | % | $3.53 | |||||||||||
Class Y | ||||||||||||||||
Actual Return | $1,000.00 | $1,064.90 | 0.52 | % | $2.68 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.34 | 0.52 | % | $2.62 | |||||||||||
AQR International Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.40 | 0.91 | % | $4.60 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.39 | 0.91 | % | $4.58 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,028.80 | 1.21 | % | $6.12 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.90 | 1.21 | % | $6.09 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,031.20 | 0.75 | % | $3.80 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.19 | 0.75 | % | $3.78 | |||||||||||
Class Y | ||||||||||||||||
Actual Return | $1,000.00 | $1,032.60 | 0.55 | % | $2.79 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.19 | 0.55 | % | $2.77 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/365 (to reflect the one-half year period unless stated otherwise).
(1) | Commencement of operations was February 11, 2015 . |
(a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 48/365 (to reflect the period since commencement of operations). |
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
180
Board Approval of Investment Advisory Agreements (Unaudited) |
AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style 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 approval of the Investment Advisory Agreement (as amended) between the Trust, on behalf of the AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund and AQR TM Emerging Multi-Style Fund (each, a “Fund” and together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate call in advance of the in person meeting held on 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 relevant to the Board’s consideration of whether to approve the Investment Advisory Agreement. These materials included: (1) memoranda and materials provided by AQR describing the personnel and services to be provided to the Funds; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Advisory Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial 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 November 7, 2014, the Board, including the Independent Board Members, unanimously approved the addition of the Funds to the Investment Advisory Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Investment Advisory Agreement:
The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the Funds under the Investment Advisory Agreement, including certain administrative services. 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 under the Investment Advisory Agreement. The Board also reviewed a wide range of services to be provided to the Funds under a shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Investment Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the Funds by AQR pursuant to the Investment Advisory 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 Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the Funds.
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
181
Board Approval of Investment Advisory Agreements (Unaudited) |
To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.
The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to Fund-related activities at an assumed asset level. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting, the Board concluded that the proposed management fees are reasonable.
Economies of Scale. Because the Funds are newly formed and had not commenced operations as of November 7, 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 advisory 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 advisory 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 advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the Investment Advisory Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | March 2015 | ||||||||||||||
182
Board Approval of Investment Advisory Agreements (Unaudited) |
AQR Global Equity Fund, AQR International Equity Fund, AQR International Momentum Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund and AQR International Multi-Style 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 Investment Advisory Agreement (as amended) between the Trust, on behalf of the AQR Global Equity Fund, AQR International Equity Fund, AQR International Momentum Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund and AQR International Multi-Style Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). 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 relevant to the Board’s consideration of whether to approve the continuation of the Investment Advisory Agreement. These materials included: (i) memoranda and materials provided by AQR, describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Investment Advisory Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and certain Funds’ proposed fees and expenses; (iv) a discussion of the financial information of AQR; and (v) a discussion of the compliance program of AQR and AQR’s regulatory exam history. AQR is referred to herein as the “Adviser.” The Investment Advisory Agreement is referred to herein as the “Advisory Agreement.”
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 Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services 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, 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 under a shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
Finally, the Independent Board Members had an opportunity to meet outside the presence of 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 | Semi-Annual Report | March 2015 | ||||||||||||||
183
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.
The Board was advised of a proposed 0.05% reduction to the contractual advisory fee for each of the AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund.
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. 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 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 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 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 | Semi-Annual Report | March 2015 | ||||||||||||||
184
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 3rd Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
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 https://funds.aqr.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 202-551-8090.
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: https://funds.aqr.com
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
(a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not required for this filing. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. | |
(b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds | ||
By: | /s/ Marco Hanig | |
Marco Hanig, | ||
Principal Executive Officer | ||
June 4, 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.
By: | /s/ Marco Hanig | |
Marco Hanig, | ||
Principal Executive Officer | ||
June 4, 2015 | ||
By: | /s/ Heather Bonner | |
Heather Bonner, | ||
Principal Financial Officer | ||
June 4, 2015 |